Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version |
Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
Ratchet |
4.22% |
4.18% |
32,386 |
10.46 |
2 |
+0.0400% |
1,019.1 |
Fixed-Floater |
4.81% |
3.91% |
112,265 |
8.93 |
7 |
-0.0056% |
1,028.1 |
Floater |
4.49% |
-20.62% |
65,074 |
6.55 |
5 |
+0.0337% |
1,031.6 |
Op. Retract |
4.66% |
1.13% |
80,999 |
2.25 |
18 |
-0.0633% |
1,027.1 |
Split-Share |
4.98% |
3.24% |
150,699 |
3.32 |
9 |
+0.2367% |
1,033.4 |
Interest Bearing |
6.93% |
5.99% |
67,042 |
3.88 |
7 |
+0.0764% |
1,016.8 |
Perpetual-Premium |
5.07% |
3.94% |
216,443 |
4.22 |
49 |
+0.0532% |
1,043.3 |
Perpetual-Discount |
4.63% |
4.65% |
1,044,020 |
16.13 |
9 |
+0.0950% |
1,036.3 |
Major Price Changes |
Issue |
Index |
Change |
Notes |
FFN.PR.A |
SplitShare |
+1.6949% |
Assisting in some good performance for the SplitShare index for the month to date! Closed at $10.80-89, 16×15, for a bid-side pre-tax YTW of a completely rotten 2.58% based on a maturity 2009-12-1 at $10.00. I don’t get it, frankly. 2.58% as dividends pre-tax is the equivalent of 3.61% interest pre-tax, at the Ontario-Plutocrat-Equivalency-Factor (OPEF) of 1.4 (you thought I was going to link to the glossary, didn’t you? Ha! OPEF is not a real acronym). Anyway, 3.61% interest-equivalent to 2009? You can do better with Canadas! There’s no monkey-business going on with retractions, either, I wouldn’t think – the only possible retraction is at a 4% discount to NAV (if you retract capital units and the company has to buy prefs in the marketplace – they can’t redeem. I wouldn’t think this is a factor, but who knows? |
Volume Highlights |
Issue |
Index |
Volume |
Notes |
SLF.PR.D |
PerpetualDiscount |
216,237 |
Still trading heavily, despite all my expectations! Closed at 24.10-20, for a bid-YTW of 4.60%. |
SLF.PR.C |
PerpetualDiscount |
120,210 |
Another day of big trading, but this time it closed at $24.09-20, for a bid-YTW of 4.60%. At last its price is congruent with the virtually identical SLF.PR.D! Remember, you read it here first. |
BAM.PR.M |
PerpetualDiscount |
87,850 |
Recent new issue, closed at 24.54-60 for a pre-tax bid-YTW of 4.86%. Not much price movement after the first whack! An attractive issue at these levels. |
CM.PR.I |
PerpetualDiscount |
73,426 |
Yet another recent new issue, closing at $24.90-92 for a pre-tax bid-YTW of 4.74%. |
ACO.PR.A |
OpRet |
67,841 |
This issue again reminds us that there is more to life than recent-new-issue-perpetual-discounts (RNIPD). This time it was Scotia stepping up to the plate to cross 50,000 @ $28.15 (perhaps the commission will pay to settle with Berry!). At the closing bid of $28.20, it has a pre-tax YTW of merely 1.65%, based on a call 2008-12-31 at $26.00. Somebody’s obviously hoping they make it to the softMaturity 2011-11-30, when they will have yielded a more reasonable 3.10%, but you won’t often catch me making that bet! |
There were seventeen other index-included issues trading over 10,000 shares today.
Update More on David Berry.
This entry was posted on Thursday, November 23rd, 2006 at 12:39 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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