Technical difficulties (like mainly the fact that I have no brains at all and wiped out a few records in files that now have to be rebuilt … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| DIV.PR.A | SplitShare | -1.1538% | Still with a pre-tax bid-YTW of -11.19%, (yes, that’s NEGATIVE DOUBLE FIGURES) based on a bid of $25.70 and an immediate call at $25.20. This possibility was discussed briefly on January 9 when the yield-to-worst on the SplitShare index went negative. |
| CM.PR.R | OpRet | -1.0943% | Now with a pre-tax bid-YTW of 3.48% based on a bid of $26.21 and a call 2008-5-30 at $25.75. There wasn’t much volume for this move – only 2,300 shares – but perhaps somebody wanted to switch into the new issue. |
| AL.PR.E | Floater | +1.1278% | This also did well yesterday, but with volume of only 1,600 shares one can’t read too much into it. |
| TOC.PR.B | Floater | +2.2291% | Closed at $26.60-99 10×9 on volume of 1,223 shares. Retail’s gone wild! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.E | PerpetualDiscount | 450,415 | New issue settled today. Now with a pre-tax bid-YTW of 4.57% based on a bid of $24.68 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | 72,139 | Presumably driven by the trading in SLF.PR.E. Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.70 and a limitMaturity. |
| CM.PR.I | PerpetualPremium | 67,176 | Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.34 and a call 2016-3-1 at $25.00. |
| GWO.PR.I | PerpetualDiscount | 58,460 | Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.76 and a limitMaturity. |
| WN.PR.D | PerpetualPremium | 52,650 | RBC crossed 50,000 at $26.15. Now with a pre-tax bid-YTW of 4.58% based on a bid of $26.17 and a call 2014-10-31 at $25.00. There’s a lot more interest rate protection here than with the other high-volume issues today, but the credit’s not as good. Choose your risks! |
There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
Update, finally!
| 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 | 4.04% | 4.05% | 27,587 | 17.37 | 1 | -0.1600% | 1,037.8 |
| Fixed-Floater | 4.81% | 3.51% | 105,544 | 8.21 | 7 | +0.0566% | 1,041.0 |
| Floater | 4.43% | -30.91% | 58,710 | 6.55 | 5 | +0.6735% | 1,058.5 |
| Op. Retract | 4.72% | 2.28% | 75,304 | 2.10 | 18 | -0.0176% | 1,026.9 |
| Split-Share | 5.16% | 0.67% | 278,230 | 2.53 | 13 | -0.1583% | 1,042.7 |
| Interest Bearing | 6.70% | 4.73% | 71,564 | 3.89 | 6 | +0.1780% | 1,034.7 |
| Perpetual-Premium | 5.03% | 4.10% | 239,367 | 5.02 | 51 | +0.0398% | 1,051.8 |
| Perpetual-Discount | 4.55% | 4.58% | 1,133,846 | 16.25 | 10 | -0.0965% | 1,052.6 |