November 5, 2007

Well … today was fairly busy, so there’s not much commentary! Just to keep my faithful readers entertained, however, I have uploaded the PerpetualPremium index … look at CU.PR.A and CU.PR.B! A fine company and a solid credit … but should these issues really be trading 60+bp through Power Financial? There will be a small prize awarded to anybody who can give me a satisfactory explanation of this phenomenon.

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 4.92% 4.91% 206,688 15.62 2 0.0000% 1,045.0
Fixed-Floater 4.86% 4.82% 87,410 15.81 8 +0.0991% 1,046.3
Floater 4.50% 4.52% 63,713 16.30 3 +0.3319% 1,044.9
Op. Retract 4.88% 3.62% 76,433 3.60 16 +0.1751% 1,028.8
Split-Share 5.18% 5.05% 87,676 4.19 15 -0.1341% 1,040.7
Interest Bearing 6.27% 6.43% 61,799 3.57 4 -0.0746% 1,055.9
Perpetual-Premium 5.81% 5.43% 80,650 5.41 11 +0.2095% 1,013,9
Perpetual-Discount 5.58% 5.58% 335,875 14.32 55 -0.0698% 911.8
Major Price Changes
Issue Index Change Notes
ELF.PR.G PerpetualDiscount -2.1053% Now with a pre-tax bid-YTW of 6.15% based on a bid of 19.53 and a limitMaturity.
NA.PR.L PerpetualDiscount -1.6471% Now with a pre-tax bid-YTW of 5.83% based on a bid of 20.90 and a limitMaturity.
LBS.PR.A SplitShare -1.3659% Asset coverage of just under 2.5:1 according to Brompton Group. Now with a pre-tax bid-YTW of 5.13% based on a bid of 10.11 and a hardMaturity 2013-11-29 at 10.00.
BNS.PR.J PerpetualDiscount -1.0761% Now with a pre-tax bid-YTW of 5.23% based on a bid of 24.82 and a limitMaturity.
BNA.PR.C SplitShare -1.0067% Asset coverage of just over 3.8:1 as of July 31, according to the company. Now with a pre-tax bid-YTW of 6.71% based on a bid of 20.65 and a hardMaturity 2019-1-10 at 25.00.
ASC.PR.A SplitShare -1.0000% Asset coverage of just under 2.3:1 as of November 2, according to AIC. Now with a pre-tax bid-YTW of 5.22% based on a bid of 23.10 and a limitMaturity.
CM.PR.A OpRet +1.2926% Now with a pre-tax bid-YTW of 1.14% based on a bid of 25.86 and a call 2007-12-5 at 25.75.
Volume Highlights
Issue Index Volume Notes
BMO.PR.J PerpetualDiscount 237,040 Now with a pre-tax bid-YTW of 5.40% based on a bid of 20.90 and a limitMaturity.
GWO.PR.G PerpetualDiscount 107,260 Scotia crossed 85,100 at 23.60. Now with a pre-tax bid-YTW of 5.60% based on a bid of 23.50 and a limitMaturity.
RY.PR.W PerpetualDiscount 104,800 Nesbitt crossed 100,000 at 22.51. Now with a pre-tax bid-YTW of 5.45% based on a bid of 22.50 and a limitMaturity.
PWF.PR.F PerpetualDiscount 86,120 Now with a pre-tax bid-YTW of 5.69% based on a bid of 23.20 and a limitMaturity.
GWO.PR.X OpRet 51,723 Scotia crossed 50,000 at 26.65. Now with a pre-tax bid-YTW of 3.57% based on a bid of 26.65 and a call 2009-10-30 at 26.00.

There were thirty-three other index-included $25.00-equivalent issues trading over 10,000 shares today.

One Response to “November 5, 2007”

  1. […] I pointed out yesterday just how laughably overpriced these things are, and what happens? Now with a pre-tax bid-YTW of 4.21% based on a bid of 26.16 and a call 2008-7-1 at 26.00. […]

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