| 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 |
4.08% |
4.10% |
24,988 |
17.26 |
1 |
+0.0403% |
1,028.8 |
| Fixed-Floater |
4.78% |
3.40% |
79,069 |
12.51 |
7 |
+0.2188% |
1,041.2 |
| Floater |
4.57% |
-22.20% |
62,349 |
8.22 |
4 |
+0.0591% |
1,040.8 |
| Op. Retract |
4.68% |
2.07% |
79,896 |
2.02 |
17 |
-0.0751% |
1,030.8 |
| Split-Share |
5.05% |
0.55% |
402,952 |
2.85 |
11 |
-0.0468% |
1,045.5 |
| Interest Bearing |
6.71% |
5.64% |
74,560 |
2.64 |
6 |
-0.1106% |
1,034.3 |
| Perpetual-Premium |
5.02% |
3.64% |
242,646 |
5.26 |
55 |
+0.0184% |
1,052.4 |
| Perpetual-Discount |
4.51% |
4.54% |
773,725 |
16.33 |
3 |
-0.0132% |
1,054.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BAM.PR.J |
OpRet |
-1.5575% |
Huh. I like this issue – and it has a horrible day! Such is life. Now with a pre-tax bid-YTW of 4.14%, based on a bid of $27.81 and a call 2014-4-30 at $25.00. And 4.14% dividends is worth 5.80% interest, at the Ontario Equivalency Factor of 1.4. Try getting that from a seven-year (OK, maybe eleven if there’s no early call) bond! |
| LBS.PR.A |
SplitShare |
-1.2727% |
Another issue I like has a lousy day. Huh. It gave up yesterday’s gains. Now with a pre-tax bid-YTW of 3.84% based on a bid of $10.86 and a hardMaturity 2013-11-29 at $10.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BNA.PR.C |
SplitShare |
203,480 |
Recent New Issue. CIBC crossed 95,000 at $24.70. Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.72 and a hardMaturity 2019-1-10. |
| BAM.PR.M |
PerpetualPremium |
29,270 |
RBC crossed 25,000 at $25.05. Now with a pre-tax bid-YTW of 4.76% based on a bid of $25.07 and a limitMaturity |
| CM.PR.D |
PerpetualPremium |
27,190 |
RBC crossed 15,000 at $26.85. Now with a pre-tax bid-YTW of 3.06% based on a bid of $26.81 and a call 2008-05-30 at $26.00. It may make it to its optionCertainty 2034-3-6 at $25.00, to yield 5.27%, but that seems highly unlikely given that it pays $1.4375, $0.30 more p.a. than perpetuals are paying now. But a pre-tax bid-YTW of only 3.06%? The interest-equivalent is comparable with bonds, with more risk (call-risk and interest-rate-risk) on the preferred issue. |
| CM.PR.H |
PerpetualPremium |
23,690 |
Now with a pre-tax bid-YTW of 4.42%, based on a bid of $25.58 and a call 2014-4-29 at $25.00. |
| TD.PR.O |
PerpetualPremium |
19,740 |
Is all this activity the result of Carrick’s article? Now with a pre-tax bid-YTW of 4.11% based on a bid of $26.22 and a call 2014-11-30 at $25.00 |
There were four other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Monday, January 15th, 2007 at 11:13 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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