Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 |
|||||||

Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |

Ratchet | 5.54% | 5.62% | 31,218 | 14.64 | 2 | -0.6802% | 950.1 |

Fixed-Floater | 5.72% | 5.79% | 138,113 | 14.59 | 7 | -0.2449% | 878,4 |

Floater | 4.80% | 0.43% | 92,773 | 11.17 | 3 | 0.0136% | 1,047.9 |

Op. Retract | 4.82% | 3.97% | 85,598 | 3.42 | 17 | -0.2845% | 1,018.8 |

Split-Share | 5.07% | 4.82% | 177,468 | 4.18 | 15 | -0.0516% | 1,033.7 |

Interest Bearing | 6.63% | 6.76% | 89,249 | 6.11 | 4 | +0.1482% | 1,039.0 |

Perpetual-Premium | 5.44% | 5.21% | 143,352 | 9.59 | 34 | -0.1489% | 1,011.8 |

Perpetual-Discount | 5.12% | 5.17% | 550,310 | 15.21 | 29 | -0.6742% | 951.6 |

Major Price Changes |
|||

Issue | Index | Change | Notes |

IAG.PR.A | PerpetualDiscount | -4.0860% | Now with a pre-tax bid-YTW of 5.16% based on a bid of 22.30 and a limitMaturity. New low today of 22.50; closed at 22.30-60, 9×10. |

CM.PR.H | PerpetualDiscount | -2.2194% | Now with a pre-tax bid-YTW of 5.31% based on a bid of 22.91 and a limitMaturity. New low today of 22.76. |

TCA.PR.Y | PerpetualPremium | -1.6237% | Now with a pre-tax bid-YTW of 5.21% based on a bid of 51.50 and a call 2014-4-4 at 50.00. New low today of 51.50. |

NA.PR.L | PerpetualPremium (for now!) | -1.6169% | Now with a pre-tax bid-YTW of 5.15% based on a bid of 23.73 and a limitMaturity. This move is particularly strange when compared with the performance of NA.PR.K, below. New low today of 23.73. |

BAM.PR.M | PerpetualDiscount | -1.5281% | Now with a pre-tax bid-YTW of 5.53% based on a bid of 21.91 and a limitMaturity. New low today of 21.90. |

GWO.PR.E | OpRet | -1.5205% | Now with a pre-tax bid-YTW of 4.37% based on a bid of 25.26 and a call 2011-4-30 at 25.00. GWO announced a debt issue today, which should start to clarify the situation with respect to their preferreds – this one has an outstanding issuer bid. |

TD.PR.M | OpRet | -1.5038% | Now with a pre-tax bid-YTW of 3.96% based on a bid of 26.20 and a softMaturity 2013-10-30 at 25.00. Today’s low was 26.60, but the closing quote was 26.20-40, 10×17 and the 52-week low is 26.30. |

BCE.PR.S | Ratchet | -1.3772% | Exchange/Reset date is 2011-11-1 (exchanges with BCE.PR.T, which pays 4.502% until then). The Ss closed at 22.20-70, 3×2; the Ts closed at 19.00-50, 1×10. |

BCE.PR.R | FixFloat | -1.2920% | Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 19.10-50, 5×5. |

BNS.PR.J | PerpetualPremium | -1.1858% | Now with a pre-tax bid-YTW of 5.22% based on a bid of 25.00 a limitMaturity. Today’s low was 25.30; the 52-week low is 25.25. |

BMO.PR.H | PerpetualPremium | -1.1858% | Now with a pre-tax bid-YTW of 5.24% based on a bid of 25.00 and a limitMaturity. |

ELF.PR.G | PerpetualDiscount | -1.1364% | Now with a pre-tax bid-YTW of 5.55% based on a bid of 21.75 and a limitMaturity. |

MFC.PR.C | PerpetualDiscount | -1.1062% | Now with a pre-tax bid-YTW of 5.05% based on a bid of 22.35 and a limitMaturity. New low today of 22.10. |

MFC.PR.B | PerpetualDiscount | -1.0753% | Now with a pre-tax bid-YTW of 5.07% based on a bid of 23.00 and a limitMaturity. |

RY.PR.B | PerpetualDiscount | -1.0661% | Now with a pre-tax bid-YTW of 5.10% based on a bid of 23.20 and a limitMaturity. New low today of 23.02. |

GWO.PR.G | PerpetualPremium (for now!) | -1.0204% | Now with a pre-tax bid-YTW of 5.37% based on a bid of 24.25 and a limitMaturity. New low today of 24.12. GWO announced a debt issue today, which should start to clarify the situation with respect to their preferreds. |

BSD.PR.A | InterestBearing | +1.0363% | Now with a pre-tax bid-YTW of 6.45% (as interest) based on a bid of 9.75 and a hardMaturity 2015-3-31 at 10.00. |

NA.PR.K | PerpetualPremium | +3.5156% | Now with a pre-tax bid-YTW of 4.10% based on a bid of 26.50 and a call 2008-6-14 at $26.00. The price took off shortly after 3:30pm, when “Anonymous” lifted all the offers until the day’s high of 26.50 was reached. Even after some after-hours trading, the end-of-after-hours (is that how you say it?) quote was 26.50-75, 41×5. I have been informed that this is the result of a buy-in. Expect to see the price move reversed tomorrow … but it will be most interesting to see how many shares trade at 26.50! |

Volume Highlights |
|||

Issue | Index | Volume | Notes |

GWO.PR.X | OpRet | 152,840 | Desjardins crossed a total of 147,600 in three tranches at 27.50. Now with a pre-tax bid-YTW of 2.12% based on a bid of 27.45 and a call 2009-10-30 at $26.00. GWO announced a debt issue today, which should start to clarify the situation with respect to their preferreds – this one has an outstanding issuer bid. |

BMO.PR.I | PerpetualPremium | 80,070 | Scotia crossed 73,000 at 25.01. Now with a pre-tax bid-YTW of 4.90% based on a bid of 25.01 and a limitMaturity. |

TOC.PR.B | Floater | 57,530 | Nesbitt bought 50,000 from National Bank at 25.50. |

NA.PR.K | PerpetualPremium | 39,480 | See “Major Price Changes”, above. |

RY.PR.E | PerpetualDiscount | 36,900 | Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.20 and a limitMaturity. |

There were twenty-five other $25-equivalent index-included issues trading over 10,000 shares today.

Of particular interest tomorrow is the closing of the Co-operators 5% Perpetual New Issue, which I calculate has a curvePrice of $22.47. We shall see!

You have analyzed at length POW.PR.A and your lack of enthusiasm for it when it was trading a premium. But what is not to like about about a P1L high coupon, short call date, and YTW of 5.75%?

The lengthy analysis of POW.PR.A referred to by kaspu was performed on October 19, 2006, when prices were – ahem! – a little different.

It was quoted 2007-6-11 at 24.96-01.

It is rated Pfd-2(high) by DBRS and P-2(high) by S&P.

It’s not a bad issue. I calculate the pre-tax bid-YTW to be 5.69%, based on a limitMaturity. But it’s currently callable at 25.25 and becomes callable at $25.00 commencing 2008-6-11.

Some might consider this to be an ideal issue. Problems – which are not necessarily dealbreakers – are:

In B.C., the YTW is an interest equivalent of 8.2%. If you are looking for a GIC-like instrument, it’s seems very attractive.

[…] Unwinding some of yesterday’s ill-gotten gains. Now with a pre-tax bid-YTW of 5.15% based on a bid of 25.91 and a call 2012-6-14 at 25.00. […]