| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.18% | 4.04% | 46,829 | 10.62 | 2 | 0.9604% | 1,025.2 |
| Fixed-Floater | 4.97% | 3.85% | 201,040 | 6.66 | 7 | 0.6456% | 1,024.6 |
| Floater | 4.53% | -18.28% | 77,160 | 6.51 | 5 | 0.0718% | 1,018.3 |
| Op. Retract | 4.69% | 2.09% | 88,814 | 2.42 | 17 | -0.0501% | 1,016.2 |
| Split-Share | 4.93% | 3.69% | 62,648 | 3.03 | 10 | -0.2360% | 1,015.5 |
| Interest Bearing | 6.87% | 4.56% | 54,878 | 2.04 | 7 | 0.1576% | 1,025.8 |
| Perpetual-Premium | 5.11% | 3.91% | 173,541 | 4.30 | 46 | 0.0939% | 1,031.8 |
| Perpetual-Discount | 4.59% | 4.61% | 608,834 | 16.19 | 7 | 0.0009% | 1,033.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| PIC.PR.A | SplitShares | -1.1077% | Goes ex on 10/12 … I suspect that nobody bothered to put in a cum-dividend bid on the last cum-dividend day |
| BCE.PR.S | Ratchet | +1.0060% | Closed at 25.10-15, 4×10. The potential tender is at $25.60 |
| BAM.PR.G | FixedFloater | +1.0454% | Scarcity Value? If the BCE transaction closes, these may be the only liquid issue that converts (and will by that time have converted) to Ratchets |
| BC.PR.B | FixedFloater | +1.8327% | Closed at 25.56-84, 5×5. The potential tender is at $25.95 |
| BCE.PR.Y | Scraps | +3.2787% | Closed at 25.20-50, 10×5. The potential tender is at $25.60 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BC.PR.E | Ratchet | 82,000 | Mr. “Anonymous” sold a lot of shares today! RBC bought 25,000 @ 25.31 and two tranches of 10,000 each at 25.32; Scotia bought 15,000 @ 25.31 in two lots, then another 15,000 @ 25.32 in another two lots. Closed at 25.36-54, 20×10. The potential tender is at $25.60 |
| POW.PR.A | PerpetualPremium | 34,133 | National crossed 32,100 @ 25.72. Currently callable at $25.50, declining by $0.25 every June. It pays $1.40 … therefore the company has a net cost per annum of $1.15 to keep it outstanding, so that’s what they’re doing and saving issuance costs. YTW is currently negative, but will have been 3.99% if the issue remains alive until a call at $25.00 in 2008. This is an expensive perpetual, but a cheap retractible! Somebody’s betting on low rates continuing for another two years! |
| GWO.PR.I | PerpetualDiscount | 19,335 | Comparable quality to SLF.PR.C and SLF.PR.D, but pays a little more! |
| SLF.PR.D | PerpetualDiscount | 15,800 | Holding its own, anyway! |
| MFC.PR.B | PerpetualPremium | 11,750 | |
There was only one other index-included issue trading over 10,000 shares today.
[…] Easy come, easy go – the issue was down 0.7168% on the day. It would seem there is some question in the marketplace as to whether the tender will come to pass. […]
[…] POW.PR.A hasn’t been mentioned much in this blog, but made the volume charts on October 11, 2006. At the close of business yesterday, October 18, it was quoted at $25.81-87, pays $1.40, and the next ex-date is (somewhere around) December 20. […]