| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 |
| Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.10% |
4.10% |
31,372 |
17.27 |
1 |
+0.0000% |
1,036.2 |
| Fixed-Floater |
4.78% |
3.65% |
90,998 |
8.40 |
7 |
+0.1127% |
1,038.9 |
| Floater |
4.50% |
-19.07% |
59,079 |
6.61 |
5 |
-0.1571% |
1,036.7 |
| Op. Retract |
4.64% |
0.09% |
82,567 |
1.97 |
17 |
+0.1159% |
1,033.7 |
| Split-Share |
5.08% |
2.14% |
234,234 |
2.51 |
9 |
+0.0496% |
1,043.2 |
| Interest Bearing |
6.96% |
6.12% |
79,631 |
3.38 |
7 |
-0.2055% |
1,031.4 |
| Perpetual-Premium |
5.02% |
3.61% |
258,326 |
4.39 |
52 |
-0.0373% |
1,053.6 |
| Perpetual-Discount |
4.54% |
4.54% |
790,495 |
13.31 |
6 |
-0.1794% |
1,057.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| TD.PR.N |
OpRet |
-1.0881% |
On volume of 26 – count ’em, twenty-six – shares, to close at 27.27-13, 17×11. Now with a pre-tax bid-YTW of 2.65% based on a call 2009-5-30 at $26.00. |
| ACO.PR.A |
OpRet |
+1.0172% |
I don’t get it. This now has a pre-tax bid-YTW of 0.35% based on a bid of 28.8 and a call 2008-12-31 at $26.00. Even if it makes it to the softMaturity 2011-11-30, it will only have yielded 2.56% (PRE-tax) from these nose-bleed levels … and this latter, generous figure is only 3.58% interest-equivalent with an Ontario Equivalency Factor of 1.40. Three point Five Eight Percent? I can do better than that in Canadas. Retail. |
| LBS.PR.A |
SplitShare |
+1.0195% |
Still with a pre-tax bid-YTW of 3.75%, based on a bid of 10.90 and a hardMaturity 2013-11-29 at $10.00. An interest-equivalent rate of 5.25% is something I find MUCH more interesting for seven-year money. |
| BMO.PR.I |
OpRet |
+1.1650% |
Against all odds, this issue has gained in price since I mentioned it in November, to close at 26.05-07 1×50, on frenzied volume of 100 shares. That makes the pre-tax bid-YTW -26.38% (yes, NEGATIVE 26.38%), based on a call 2007-1-28 at 25.25. I can only imagine that people figure that since the issue has survived redemption possibilities since 2005-11-25, it will make it until the softMaturity 2008-11-24 at $25.00 … and they may be right! The issue pays $1.1875 so, by waiting until 2007-11-25 anyway, the bank can save another $0.25 call premium for a net cost of $0.9375 … which is about where BMO could issue new retractible prefs right now, assuming they wanted to. But so what? What’s the point of this analysis and risk-taking? If the things survive a year beyond that, to the softMaturity 2008-11-24, they will have yielded 2.72%, so it’s the same story as ACO.PR.A mentioned above: interest equivalent (factor 1.4) of 3.81% for two-year money? My cat can do better than that with Canadas. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| FBS.PR.B |
SplitShare |
46,040 |
RBC bought 10,000 shares of this recent new issue from Scotia at 10.39. But why wouldn’t the purchaser just set fire to his money instead, and save the aggravation of waiting? The pre-tax bid-YTW is 1.35% based on a call 2008-1-14 at $10.00. They must be hoping for survival until the hardMaturity 2011-12-15, which results in a yield of 3.99%. Some might make it. There will always be some capital unit holders who hang on to their stock and don’t force redemption. But it’s not a bet I would make. |
| SLF.PR.C |
PerpetualDiscount |
18,500 |
RBC crossed 10,600 at 24.78, so we know at least one trader showed up for work today. Now with a pre-tax bid-YTW of 4.50% based on a closing bid of $24.79 and a limitMaturity. |
| CM.PR.I |
PerpetualPremium |
17,075 |
Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.38 and a call 2016-3-1 at 25.00. |
| RY.PR.A |
PerpetualPremium |
16,900 |
Now with a pre-tax bid-YTW of 4.48% based on a bid of 25.10 and a call 2015-6-23 at 25.00 |
That’s it! There were no other index-included issues with over 10,000 shares traded today. Happy New Year!
This entry was posted on Friday, December 29th, 2006 at 11:00 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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