| 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 | 4.23% | 4.13% | 32,051 | 16.87 | 2 | -0.1961% | 1,019.3 |
| Fixed-Floater | 4.81% | 3.88% | 107,918 | 8.98 | 7 | -0.0933% | 1,028.2 |
| Floater | 4.48% | -21.11% | 63,591 | 6.58 | 5 | +0.1580% | 1,034.3 |
| Op. Retract | 4.66% | 0.98% | 80,778 | 2.25 | 18 | +0.0209% | 1,028.6 |
| Split-Share | 4.97% | 3.14% | 148,136 | 3.32 | 9 | +0.0298% | 1,034.7 |
| Interest Bearing | 6.92% | 5.87% | 66,915 | 3.87 | 7 | +0.1651% | 1,018.6 |
| Perpetual-Premium | 5.06% | 3.81% | 211,330 | 4.13 | 49 | +0.0852% | 1,045.0 |
| Perpetual-Discount | 4.61% | 4.63% | 1,059,606 | 15.09 | 9 | +0.3749% | 1,040.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| CM.PR.R | OpRet | -1.8048% | Ha! Yesterday I said “This issue simply looks expensive”, and look what happens! I swing a pretty big stick around here, eh? Either that or I’m simply spouting the obvious. The pre-tax bid-YTW is now 2.68%, based on a price of $26.66 and a call at $25.75 2008-05-30. |
| BC.PR.C | FixedFloater | -1.2360% | Despite this drop, it remains the issue in the FixedFloater index with the lowest bid-YTW, based on a price of $25.57 and a call 2011-8-31 at $25.00. |
| RY.PR.A | PerpetualDiscount | +1.0200% | Impressive performance with impressive volume of 90,550 shares! Pre-tax bid-YTW now relatively low in the PerpetualDiscount index (only MFC.PR.C is lower) at 4.50% based on a price of $24.76 and a limitMaturity. |
| BSD.PR.A | InterestBearing | +1.0204% | On no trading! This one has been bouncing around a lot lately. |
| ACO.PR.A | OpRet | +2.0321% | It seems like only yesterday I was calling this thing expensive, but it was Wednesday. Shows how big a stick I swing around here. Still, with the pre-tax YTW now 0.65% based on a bid of $28.62 and a call 2008-12-31 at $26.00 (the buyers appear to be hoping it makes it to the day-before-retraction, so it will have earned a princely 2.64%), I’m sure the oblivious ingrates will get their come-uppance soon. In the medium term? Eventually? Please? |
| PAY.PR.A | Scraps | +2.28% | I wrote about this one recently: the credit looks OK but I kept my mouth shut about valuation. Today’s massive gain was only a reversal of interim movement, because it closed with the same bid as the post mentioned: $25.57, for a pre-tax bid YTW of 4.06% based on a maturity 2008-7-31 at par. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BAM.PR.M | PerpetualDiscount | 338,043 | Recent new issue, and a nice move on the day, closing at 24.75-88 for a pre-tax bid-YTW of 4.82% |
| SLF.PR.D | PerpetualDiscount | 187,657 | Is everybody else as tired of the constant references to the clearance sale as I am? The blow-out sale was October 25; in the month since then it has returned 2.18%, with the help of an intervening dividend. The only index-included issues to have done better between October 25 & November 24 are: GWO.PR.H (PerpetualPremium), BAM.PR.B (huh? – Floater), POW.PR.D (PerpetualPremium), HSB.PR.D (PerpetualPremium), HPF.PR.B (Not in the indices, but I posted about it lately … it’s doing well just to spite me), LBS.PR.A (SplitShare) and … wait for it … the grand champion, ACO.PR.A, discussed above (OpRet). Still and all, SLF.PR.D’s performance has been quite good. Pre-tax bid-YTW is now 4.57%, based on a bid of $24.27 and a limitMaturity. |
| RY.PR.A | PerpetualDiscount | 90,550 | Pre-tax bid-YTW of 4.50% based on a bid of $24.76 and a limit maturity. |
| RY.PR.B | PerpetualPremium | 59,350 | Pre-tax Bid YTW of 4.37% based on a call at par 2015-9-23 and a bid of $25.65. Is the call protection really worth 13bp of yield? Nesbitt processed an internal cross of 55,000 shares at $25.61. I think it’s a shade expensive here, but what do I know? |
| CM.PR.I | PerpetualDiscount | 53,481 | Recent new issue, now has a pre-tax bid-YTW of 4.73% based on a bid of $24.96. |
There were twelve other index-included issues trading over 10,000 shares today.
[…] Losing some of Friday’s move, but still with a pre-tax YTW of only 1.57% based on a bid of $28.10 and a call 2008-12-31 at $26.00. […]
[…] Losing some of Friday’s move, but still with a pre-tax YTW of only 1.57% based on a bid of $28.10 and a call 2008-12-31 at $26.00. […]