| 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 |
4.47% |
4.49% |
41,817 |
16.49 |
1 |
0.0000% |
999.2 |
| Fixed-Floater |
4.91% |
3.94% |
314,996 |
11.53 |
6 |
0.1484% |
1,010.9 |
| Floater |
4.67% |
-12.70% |
91,194 |
8.14 |
4 |
-0.2448% |
1,008.9 |
| Op. Retract |
4.70% |
2.52% |
78,745 |
2.40 |
18 |
-0.0240% |
1,012.0 |
| Split-Share |
4.99% |
3.08% |
55,308 |
2.70 |
10 |
-0.2135% |
1,009.8 |
| Interest Bearing |
6.86% |
4.76% |
57,113 |
2.09 |
7 |
0.1203% |
1,020.5 |
| Perpetual-Premium |
5.15% |
4.19% |
180,543 |
4.40 |
48 |
0.0496% |
1,023.0 |
| Perpetual-Discount |
4.62% |
4.63% |
311,417 |
16.20 |
6 |
0.1087% |
1,030.3 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| FFN.PR.A |
SplitShare |
-1.8868% |
Now quoted at an attractive YTW of 3.98% (as dividends!), based on a maturity 2009-12-01 and a bid price of $10.40. |
| BCE.PR.R |
FixedFloater |
+1.3732% |
It did this on a high volume of 100,800 shares. Can’t think why – they look rather expensive to me! |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| GWO.PR.X |
OpRet |
402,470 |
These have a YTW of 2.82% at the closing bid of 27.35, based on a call in 2009 at $26.00. If they survive until their soft-maturity in 2013, the yield from today’s closing bid of $27.35 will be 3.28%. The dividend’s only $1.20 and GWO will save $0.25 annually by delaying, so there’s a good chance they’ll make it! |
| TOC.PR.B |
Floater |
173,900 |
|
| BC.PR.E |
Scraps |
133,900 |
A ratchet-rate issue, discussed here, currently ignomiously in “Scraps” due to low volume. |
| BCE.PR.R |
Fixed Floater |
100,800 |
A powerful day, performance (bid/bid) +1.3732% on this volume. Can’t think who might have wanted it so badly! It pays only $1.135 until 2010-12-1, at which point the rate will be reset and holders might have to convert to the (currently non-existent) ratchet-rate. |
| BAM.PR.K |
Floater |
93,550 |
|
There were thirteen other index-included issues trading over 10,000 shares today.
This entry was posted on Friday, September 15th, 2006 at 12:26 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
You can leave a response, or trackback from your own site.
HIMI Pref gives FFN.PR.A a YTW of 3.17%. Why the discrepancy with what you report above?
Tax Effects. I should have specified. Mea culpa.
FFN.PR.A has an AFTER-TAX YTW of 3.1789%, based on a recovery of 23.2% of capital losses and a dividend tax rate of 21.00%, as shown:
2006-10-08 DIVIDEND 0.04 0.997930 0.04
2006-11-08 DIVIDEND 0.04 0.995262 0.04
2006-12-08 DIVIDEND 0.04 0.992687 0.04
2007-01-08 DIVIDEND 0.04 0.990034 0.04
2007-02-08 DIVIDEND 0.04 0.987387 0.04
2007-03-08 DIVIDEND 0.04 0.985003 0.04
2007-04-08 DIVIDEND 0.04 0.982369 0.04
2007-04-30 INCOME TAX -0.03 0.980505 -0.03
2007-05-08 DIVIDEND 0.04 0.979828 0.04
2007-06-08 DIVIDEND 0.04 0.977209 0.04
2007-07-08 DIVIDEND 0.04 0.974681 0.04
2007-08-08 DIVIDEND 0.04 0.972075 0.04
2007-09-08 DIVIDEND 0.04 0.969476 0.04
2007-10-08 DIVIDEND 0.04 0.966968 0.04
2007-11-08 DIVIDEND 0.04 0.964383 0.04
2007-12-08 DIVIDEND 0.04 0.961888 0.04
2008-01-08 DIVIDEND 0.04 0.959317 0.04
2008-02-08 DIVIDEND 0.04 0.956753 0.04
2008-03-08 DIVIDEND 0.04 0.954360 0.04
2008-04-08 DIVIDEND 0.04 0.951809 0.04
2008-04-30 INCOME TAX -0.11 0.950002 -0.10
2008-05-08 DIVIDEND 0.04 0.949346 0.04
2008-06-08 DIVIDEND 0.04 0.946808 0.04
2008-07-08 DIVIDEND 0.04 0.944359 0.04
2008-08-08 DIVIDEND 0.04 0.941834 0.04
2008-09-08 DIVIDEND 0.04 0.939317 0.04
2008-10-08 DIVIDEND 0.04 0.936887 0.04
2008-11-08 DIVIDEND 0.04 0.934382 0.04
2008-12-08 DIVIDEND 0.04 0.931965 0.04
2009-01-08 DIVIDEND 0.04 0.929473 0.04
2009-02-08 DIVIDEND 0.04 0.926989 0.04
2009-03-08 DIVIDEND 0.04 0.924750 0.04
2009-04-08 DIVIDEND 0.04 0.922278 0.04
2009-04-30 INCOME TAX -0.11 0.920528 -0.10
2009-05-08 DIVIDEND 0.04 0.919892 0.04
2009-06-08 DIVIDEND 0.04 0.917433 0.04
2009-07-08 DIVIDEND 0.04 0.915059 0.04
2009-08-08 DIVIDEND 0.04 0.912613 0.04
2009-09-08 DIVIDEND 0.04 0.910174 0.04
2009-10-08 DIVIDEND 0.04 0.907819 0.04
2009-11-08 DIVIDEND 0.04 0.905392 0.04
2009-12-01 FINAL DIVIDEND 0.03 0.903596 0.03
2009-12-01 MATURITY 10.00 0.903596 9.04
2010-04-30 INCOME TAX -0.11 0.891968 -0.10
2010-04-30 TAX ON MATURITY 0.09 0.891968 0.08
Total Cash Flows 11.4323
Total Present Value 10.4000
Discounting Rate 3.1789 % (Annual rate compounded semi-annually)
Normally when talking about the market I’ll be using PRE-TAX yields, which I was doing in this instance:
2006-10-08 DIVIDEND 0.04 0.997412 0.04
2006-11-08 DIVIDEND 0.04 0.994079 0.04
2006-12-08 DIVIDEND 0.04 0.990865 0.04
2007-01-08 DIVIDEND 0.04 0.987554 0.04
2007-02-08 DIVIDEND 0.04 0.984254 0.04
2007-03-08 DIVIDEND 0.04 0.981283 0.04
2007-04-08 DIVIDEND 0.04 0.978004 0.04
2007-05-08 DIVIDEND 0.04 0.974841 0.04
2007-06-08 DIVIDEND 0.04 0.971584 0.04
2007-07-08 DIVIDEND 0.04 0.968442 0.04
2007-08-08 DIVIDEND 0.04 0.965206 0.04
2007-09-08 DIVIDEND 0.04 0.961980 0.04
2007-10-08 DIVIDEND 0.04 0.958870 0.04
2007-11-08 DIVIDEND 0.04 0.955666 0.04
2007-12-08 DIVIDEND 0.04 0.952575 0.04
2008-01-08 DIVIDEND 0.04 0.949392 0.04
2008-02-08 DIVIDEND 0.04 0.946220 0.04
2008-03-08 DIVIDEND 0.04 0.943262 0.04
2008-04-08 DIVIDEND 0.04 0.940110 0.04
2008-05-08 DIVIDEND 0.04 0.937070 0.04
2008-06-08 DIVIDEND 0.04 0.933938 0.04
2008-07-08 DIVIDEND 0.04 0.930918 0.04
2008-08-08 DIVIDEND 0.04 0.927808 0.04
2008-09-08 DIVIDEND 0.04 0.924707 0.04
2008-10-08 DIVIDEND 0.04 0.921717 0.04
2008-11-08 DIVIDEND 0.04 0.918637 0.04
2008-12-08 DIVIDEND 0.04 0.915666 0.04
2009-01-08 DIVIDEND 0.04 0.912607 0.04
2009-02-08 DIVIDEND 0.04 0.909557 0.04
2009-03-08 DIVIDEND 0.04 0.906812 0.04
2009-04-08 DIVIDEND 0.04 0.903782 0.04
2009-05-08 DIVIDEND 0.04 0.900859 0.04
2009-06-08 DIVIDEND 0.04 0.897849 0.04
2009-07-08 DIVIDEND 0.04 0.894945 0.04
2009-08-08 DIVIDEND 0.04 0.891955 0.04
2009-09-08 DIVIDEND 0.04 0.888974 0.04
2009-10-08 DIVIDEND 0.04 0.886099 0.04
2009-11-08 DIVIDEND 0.04 0.883139 0.04
2009-12-01 FINAL DIVIDEND 0.03 0.880948 0.03
2009-12-01 MATURITY 10.00 0.880948 8.81
Total Cash Flows 11.6956
Total Present Value 10.4000
Discounting Rate 3.9827 % (Annual rate compounded semi-annually)