January 24, 2007

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 4.02% 4.05% 28,553 17.35 1 -0.2000% 1,033.8
Fixed-Floater 4.75% 3.10% 73,316 8.39 7 -0.0713% 1,045.8
Floater 4.55% -21.75% 60,753 4.17 4 0.2060% 1,046.8
Op. Retract 4.68% 2.22% 79,864 2.00 17 0.0268% 1,031.2
Split-Share 5.05% -0.17% 380,567 2.83 11 +0.0457% 1,045.8
Interest Bearing 6.71% 5.96% 73,335 4.49 6 -0.0522% 1,035.0
Perpetual-Premium 5.01% 3.75% 268,696 5.54 56 +0.0511% 1,052.5
Perpetual-Discount 4.50% 4.52% 1,460,388 16.36 5 +0.0966% 1,057.2
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
BNS.PR.L PerpetualPremium 387,831 New issued settled today. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.07 and a call 2016-5-27 at $25.00.
BMO.PR.J PerpetualDiscount 85,975 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.97 and a limitMaturity.
GWO.PR.X OpRet 67,482 Now with a pre-tax bid-YTW of 2.44% based on a bid of $27.60 and a call 2009-10-30 at $26.00. Buyers are obviously hoping for the softMaturity at $25.00, 2013-9-29, which yields 3.14% pre-tax (still no great shakes compared to normal bonds, bond-equivalent is only 4.40% at the Ontario Equivalency Factor of 1.4x), but why? Great-West has already demonstrated its willingness to pay market prices to retire this issue.
RY.PR.E PerpetualDiscount 66,162 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.00 and a limitMaturity.
RY.PR.W PerpetualPremium 59,085 Global crossed 26,800 for cash at $26.66, then crossed the same number for regular settlement at $26.35. Mr. Calculator says that’s a difference of $0.31, and RBC says it went exDividend 1/23, for $0.30625. I’m glad all that’s cleared up! Now with a pre-tax bid-YTW of 4.12% based on a bid of $26.14 and a call 2014-3-26 at $25.00. I say it’s appallingly expensive, that’s what I say.

There were eleven other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

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