| 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 |
4.11% |
4.13% |
25,821 |
17.17 |
1 |
-0.0398% |
1,043.6 |
| Fixed-Floater |
4.82% |
3.75% |
83,765 |
6.25 |
7 |
-0.1339% |
1,040.6 |
| Floater |
4.48% |
-19.51% |
55,890 |
3.36 |
5 |
-0.0621% |
1,047.6 |
| Op. Retract |
4.71% |
2.21% |
75,053 |
2.06 |
18 |
-0.0521% |
1,030.5 |
| Split-Share |
5.09% |
0.56% |
247,360 |
2.68 |
14 |
+0.0424% |
1,045.6 |
| Interest Bearing |
6.45% |
3.27% |
61,399 |
2.36 |
5 |
+0.2939% |
1,042.6 |
| Perpetual-Premium |
5.03% |
3.89% |
217,077 |
5.02 |
51 |
-0.0622% |
1,053.6 |
| Perpetual-Discount |
4.53% |
4.55% |
1,110,515 |
16.32 |
11 |
-0.0140% |
1,060.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| CM.PR.P |
PerpetualPremium |
-1.1735% |
Now with a pre-tax bid-YTW of 4.07% based on a bid of $26.95 and a call 2012-11-28 at $25.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| MFC.PR.C |
PerpetualDiscount |
80,725 |
Scotia crossed 50,000 at 24.90. This issue went ex-dividend today. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.85 and a limitMaturity. |
| GWO.PR.F |
PerpetualPremium |
53,285 |
TD crossed 47,800 at $28.10. This is the highest priced issue in the PerpetualPremium index and helps to justify a prejudice against premia by sporting a pre-tax bid-YTW of 1.84% based on a bid of $27.87 and a call 2008-10-30 at $26.00. Obviously, there are people who are prepared to slap their money down and bet on a call 2012-10-30 at $25, which will yield 3.84% (pre-tax) … but I’m not one of them! At an annual dividend of $1.475, there’s just too much chance GWO will refinance … but as I’ve said before, I’d be a lot happier if I knew exactly why CL.PR.B still exists! |
| CM.PR.J |
PerpetualDiscount |
100,455 |
Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity. |
| BAM.PR.K |
Floater |
40,333 |
Scotia crossed 40,000 at $24.95. |
| GWO.PR.X |
Retractible |
39,759 |
Desjardins crossed 13,000 at $27.55, Scotia crossed 25,000 at $27.57. This is one of the issues subject to the issuer bid, which may (MAY!) have been de-railed by Great-West’s Putnam Purchase. Now with a pre-tax bid-YTW of 2.59% based on a bid of $27.55 and a call 2009-10-30 at $26.00 … buyers are hoping for a softMaturity 2013-09-29 at $25.00, yielding 3.21%. The latter figure is the interest-equivalent for Ontario fat cats of a whopping 4.49%. I note that Great-West LIFE (which is GWL, the insurance company, not GWO, the parent, so this is not a precise comparison) has some 5.995% 12/31/12 Tier 1 paper outstanding, indicated at 49bp over Canadas, or about 4.53%, so I fail to see any great attraction in this (preferred) issue, which is one step further away from the actual cash coming in the door. |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Thursday, February 22nd, 2007 at 10:41 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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