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.
[…] 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. […]