January 5, 2007

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 4.07% 4.08% 29,768 17.29 1 +0.0400% 1,036.2
Fixed-Floater 4.79% 3.60% 84,265 8.36 7 -0.0211% 1,037.0
Floater 4.58% -22.40% 65,782 8.23 4 0.1188% 1,040.6
Op. Retract 4.67% 1.65% 81,811 2.05 17 -0.0232% 1,033.1
Split-Share 5.11% 1.24% 192,206 2.27 10 +0.0240% 1,045.0
Interest Bearing 6.70% 5.46% 74,078 2.39 6 +0.1327% 1,036.4
Perpetual-Premium 4.99% 3.21% 261,337 4.67 55 +0.0012% 1,055.2
Perpetual-Discount 4.48% 4.50% 790,937 16.41 3 +0.0001% 1,060.8
Major Price Changes
Issue Index Change Notes
GWO.PR.F PerpetualPremium -1.3904% Now with a pre-tax bid-YTW of 2.14% based on a bid of $27.66 and a call 2008-10-30 at $26.00. Given that it pays $1.475, I wouldn’t bet against the early call, but some would, hoping, I suppose, for a call 2012-10-30 at $25.00 to yield 3.89%.
CL.PR.B PerpetualPremium +1.3809% Another high-paying issue (pays $1.5625 annually) with a pre-tax bid-YTW of -12.20 based on a call 2007-02-04 at $26.00. Given that we’re now a week into the first call period and there’s been no news, I suppose there are some that are hoping that the issue won’t be called … but I’m not one of them!
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 36,820 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity
CM.PR.B PerpetualPremium 27,290 This has been called for redemption.
BAM.PR.M PerpetualPremium 26,925 Now with a pre-tax bid-YTW of 4.66% based on a bid of $25.24 and a call 2016-3-1 at $25.00.
PWF.PR.J OpRet 25,003 Now with a pre-tax bid-YTW of 2.23% based on a bid of $27.03 and a call 2008-5-30 at $26.00. It would appear that many investors are hoping for the softMaturity 2013-7-30 at $25.00, yielding 3.47%. Given that it pays $1.175 p.a. and the call premium declines by $0.25 annually, they might be right – but I won’t bet on it!
SLF.PR.D PerpetualDiscount 20,337 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.85 and a limitMaturity.

There were ten other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

One Response to “January 5, 2007”

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