November 27, 2006

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% 34,341 16.90 2 +0.1415% 1,020.8
Fixed-Floater 4.81% 3.89% 107,367 6.69 7 +0.1592% 1,029.8
Floater 4.47% -22.97% 64,012 6.58 5 +0.2759% 1,037.2
Op. Retract 4.65% 0.26% 81,492 2.24 18 +0.0992% 1,029.6
Split-Share 4.97% 3.22% 146,951 3.31 9 +0.0790% 1,035.5
Interest Bearing 6.90% 5.87% 67,940 3.87 7 +0.2321% 1,020.9
Perpetual-Premium 5.05% 3.74% 211,983 4.32 48 +0.1154% 1,046.2
Perpetual-Discount 4.60% 4.63% 1,072,456 16.17 9 +0.2252% 1,043.1
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet -1.8169% Losing some of Friday’s move, but still with a pre-tax YTW of only 1.57% based on a bid of $28.10 and a call 2008-12-31 at $26.00.
BSD.PR.A InterestBearing +1.0101% Whereas this one is building on Friday’s gains! Pre-tax YTW of 6.24%, based on a bid of $10.00 and a maturity 2015-3-31 at par. It goes ex-dividend tomorrow, Nov. 28, for those who are wondering how an issue with a 6.00% coupon priced at par can have a YTW of 6.24%.
RY.PR.B PerpetualPremium +1.0526% Huh! The day after I called it a shade expensive, it skyrockets. But I mean, holy smokes, look at the pre-tax YTWs:  

  • RY.PR.A 4.47%
  • RY.PR.B 4.23%
  • RY.PR.C 4.55%
  • RY.PR.W 4.21%

Someday, I’m sure, I’ll understand this market. But not just yet.

BC.PR.C FixedFloater +1.0950% This one now recovering somewhat from yesterday’s drop.
CM.PR.H PerpetualPremium +1.3774% Now has a pre-tax YTW of 4.41% based on a call 2014-4-29 at $25.00 and a bid of $25.76. Still, I call it a little expensive … not much, just a little, mainly because of optionDoubt.
Volume Highlights
Issue Index Volume Notes
BAM.PR.M PerpetualDiscount 283,500 Recent new issue
CM.PR.I PerpetualDiscount 212,142 Another recent new issue.
GWO.PR.X OpRet 52,393 Scotia crossed 50,000 at $27.53. Closed at $27.50-55 for a pre-tax bid-YTW of 2.83%, based on a call 2009-10-30 at $26.00. If it survives until its softMaturity 2013-9-29, it will have yielded 3.30% pre-tax … it’s basically bond-equivalent at the soft-maturity … with extra risk if they call it … why buy?
SLF.PR.D PerpetualDiscount 36,578 Continues the high-volume tradition that started with the clearance sale
CM.PR.B PerpetualPremium 34,245 This has been trading quite a bit since called for redemption.

There were fourteen other index-included issues trading over 10,000 shares today.

One Response to “November 27, 2006”

  1. […] Still bouncing around. It will be most interesting to see what has happened with respect to the annual redemption feature. […]

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