| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.41% | 4.37% | 29,275 | 16.58 | 2 | 0.0406% | 988.2 |
| Fixed-Floater | 4.97% | 4.14% | 314,554 | 13.94 | 6 | 0.2749% | 997.6 |
| Floater | 4.59% | -18.25% | 60,762 | 6.44 | 5 | 0.0718% | 1,008.6 |
| Op. Retract | 4.71% | 2.39% | 73,364 | 2.55 | 18 | -0.0871% | 1,006.7 |
| Split-Share | 5.01% | 3.42% | 54,290 | 2.73 | 10 | -0.0563% | 1,005.5 |
| Interest Bearing | 6.82% | 5.03% | 58,842 | 1.88 | 7 | 0.0612% | 1,017.2 |
| Perpetual-Premium | 5.25% | 4.27% | 153,992 | 3.85 | 42 | 0.0663% | 1,018.1 |
| Perpetual-Discount | 4.69% | 4.67% | 339,913 | 11.66 | 13 | 0.2667% | 1,029.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| GWO.PR.E | OpRet | -1.6886% | |
| BAM.PR.G | FixedFloater (but not in index) | +2.5437% | A busy day for this issue, with 12,600 shares trading. Some traded as high as $26.80! I can’t imagine what all the fuss is about: these are “Fixed-Floater-to-Become-Ratchet-Rate” prefs, which will have their coupon adjusted (down, I bet!) on 2006-11-01; the alternative is to convert to ratchets. I don’t see any news releases, particularly not any that would indicate they’re going to increase the dividend! I think somebody just got suckered, that’s what I think. Holders can exchange into BAM.PR.E if they like, on 2006-11-01 |
| BAM.PR.E | Ratchet (but not in index) | +1.0342% | The bid’s way up on zero volume! Holders can exchange into BAM.PR.G on 2006-11-01, if they like. It’s all very mysterious. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BC.PR.C | FixedFloater | 329,826 | |
| WN.PR.E | PerpetualDiscount | 23,110 | |
| SLF.PR.B | PerpetualDiscount | 20,680 | |
| GWO.PR.I | PerpetualDiscount | 14,620 | |
| BNS.PR.J | PerpetualPremium | 14,054 | Nesbitt crossed 10,000 @ $27.00. The issue has a YTW of 4.10% at the closing bid price of $26.95 |
There were four other ‘normally priced’ ($25 par value) issues trading over 10,000 shares today.
RY.PR.O
Tuesday, August 29th, 2006This issue drifted into negative-YTW territory today, with a closing quotation of $25.70-78.
The redemption schedule is:
The redemption scenarios have been calculated by HIMIPref™ as:
One interesting thing about this analysis is the inclusion of the scenario with the end-date of 2007-05-26. The HIMIPref™ constant OPTION_EXERCISE_CALCULATION_INCREMENT_PROBABILITY is currently set to 5% – therefore, since the Option calculation probability has crept up that much higher by 2007-05-26 than it was on the date of the previous entry in the optionCalculationList dated 2006-11-27 (which in turn was sufficiently higher than the previous threshold dated 2006-09-28), the redemption scenario is included in the calculation of portfolioYield
This issue pays $1.375 and given the $0.25 decline in call price annually, the net annual cost to Royal of the money is $1.125 – a tad more expensive than their RY.PR.A issue, but cheaper to them than RY.PR.B! I can’t say I’d bet much on it being around for more than two more years … but who knows? Maybe comparable new issues will be paying more than 5.5% dividends at that time.
Which, of course, is what makes this business fun!
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