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 |
4.22% |
4.18% |
34,341 |
16.90 |
2 |
+0.1415% |
1,020.8 |
Fixed-Floater |
4.81% |
3.89% |
107,367 |
6.69 |
7 |
+0.1592% |
1,029.8 |
Floater |
4.47% |
-22.97% |
64,012 |
6.58 |
5 |
+0.2759% |
1,037.2 |
Op. Retract |
4.65% |
0.26% |
81,492 |
2.24 |
18 |
+0.0992% |
1,029.6 |
Split-Share |
4.97% |
3.22% |
146,951 |
3.31 |
9 |
+0.0790% |
1,035.5 |
Interest Bearing |
6.90% |
5.87% |
67,940 |
3.87 |
7 |
+0.2321% |
1,020.9 |
Perpetual-Premium |
5.05% |
3.74% |
211,983 |
4.32 |
48 |
+0.1154% |
1,046.2 |
Perpetual-Discount |
4.60% |
4.63% |
1,072,456 |
16.17 |
9 |
+0.2252% |
1,043.1 |
Major Price Changes |
Issue |
Index |
Change |
Notes |
ACO.PR.A |
OpRet |
-1.8169% |
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. |
BSD.PR.A |
InterestBearing |
+1.0101% |
Whereas this one is building on Friday’s gains! Pre-tax YTW of 6.24%, based on a bid of $10.00 and a maturity 2015-3-31 at par. It goes ex-dividend tomorrow, Nov. 28, for those who are wondering how an issue with a 6.00% coupon priced at par can have a YTW of 6.24%. |
RY.PR.B |
PerpetualPremium |
+1.0526% |
Huh! The day after I called it a shade expensive, it skyrockets. But I mean, holy smokes, look at the pre-tax YTWs:
- RY.PR.A 4.47%
- RY.PR.B 4.23%
- RY.PR.C 4.55%
- RY.PR.W 4.21%
Someday, I’m sure, I’ll understand this market. But not just yet. |
BC.PR.C |
FixedFloater |
+1.0950% |
This one now recovering somewhat from yesterday’s drop. |
CM.PR.H |
PerpetualPremium |
+1.3774% |
Now has a pre-tax YTW of 4.41% based on a call 2014-4-29 at $25.00 and a bid of $25.76. Still, I call it a little expensive … not much, just a little, mainly because of optionDoubt. |
Volume Highlights |
Issue |
Index |
Volume |
Notes |
BAM.PR.M |
PerpetualDiscount |
283,500 |
Recent new issue |
CM.PR.I |
PerpetualDiscount |
212,142 |
Another recent new issue. |
GWO.PR.X |
OpRet |
52,393 |
Scotia crossed 50,000 at $27.53. Closed at $27.50-55 for a pre-tax bid-YTW of 2.83%, based on a call 2009-10-30 at $26.00. If it survives until its softMaturity 2013-9-29, it will have yielded 3.30% pre-tax … it’s basically bond-equivalent at the soft-maturity … with extra risk if they call it … why buy? |
SLF.PR.D |
PerpetualDiscount |
36,578 |
Continues the high-volume tradition that started with the clearance sale |
CM.PR.B |
PerpetualPremium |
34,245 |
This has been trading quite a bit since called for redemption. |
There were fourteen other index-included issues trading over 10,000 shares today.
This entry was posted on Monday, November 27th, 2006 at 11:19 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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[…] Still bouncing around. It will be most interesting to see what has happened with respect to the annual redemption feature. […]