December 8, 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 4.24% 4.26% 37,639 16.94 1 +0.0000% 1,019.9
Fixed-Floater 4.81% 3.81% 103,006 8.36 7 +0.0001% 1,028.5
Floater 4.47% -20.59% 60,917 6.58 5 +0.0235% 1,038.1
Op. Retract 4.63% -0.47% 81,806 2.20 17 +0.0372% 1,032.2
Split-Share 5.11% 2.91% 144,894 2.71 8 -0.0020% 1,039.3
Interest Bearing 6.90% 5.52% 76,292 3.85 7 -0.4193% 1,024.5
Perpetual-Premium 5.02% 3.62% 254,404 4.57 51 -0.0704% 1,050.1
Perpetual-Discount 4.59% 4.60% 968,678 16.25 6 -0.2374% 1,045.3
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.6915% This has been volatile lately, probably due to speculation about the possible call. Now with a pre-tax bid-YTW of 6.62% (as interest!) based on a bid of 9.88 and a maturity 2015-3-31.
FCN.PR.A InterestBearing -1.3725% A blowback from yesterday. Now with a pre-tax bid-YTW of 6.44% (as interest!) based on a bid of 10.06 and a hardMaturity 2011-3-31 at 10.00. This issue’s call schedule does not include a declining premium feature, so negative pseudoConvexity is fierce.
SLF.PR.C PerpetualDiscount -1.0157% Virtually identical to SLF.PR.D, which it now brackets in price, being quoted at 24.25-59 compared to SLF.PR.D’s 24.38-46. Now with a pre-tax bid-YTW of 4.59% based on a limitMaturity.
LBS.PR.A SplitShare -1.0157% Now with a pre-tax bid-YTW of 4.17% – not bad for a split share or other retractible – based on a bid of 10.72 and a hard maturity 2013-11-29 at 10.00.
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 129,654 Now with a pre-tax bid-YTW of 4.50%, based on a limit maturity. In other words, these are trading near-as-dammit to even yield with the Royal new issue, which is expected to settle Dec. 13.
SLF.PR.D PerpetualDiscount 41,489 A regular guest on this list! Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.38 and a limit maturity.
SLF.PR.C PerpetualDiscount 35,450 The price collapsed at the close, with 10+ trades in the last minute. Scotia sold on nine of them, selling 6,500 at prices beginning at 24.60 and ending at 24.25. Lesson 1: don’t put market orders in during the last minute unless you know for sure there’s some depth!
CM.PR.I PerpetualPremium 33,115 Recent new issue, now with a pre-tax bid-YTW of 4.63% based on a bid of $25.27 and a call 2016-3-1 at 25.00
BAM.PR.M PerpetualDiscount 19,802 Recent new issue, now with a pre-tax bid-YTW of 4.78% based on a bid of $25.00 and a limit maturity.

There were five other index-included issues with over 10,000 shares traded today.

No enormous blocks crossed by Scotia today! I guess their guy’s still counting his commission from the last two days.

One Response to “December 8, 2006”

  1. […] Comes back from yesterday’s swoon to yield 4.53% based on a bid of $24.55 and a limitMaturity. […]

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