| 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 | 3.87% | 3.87% | 78,237 | 3.91 | 1 | +0.0000% | 1,047.4 |
| Fixed-Floater | 4.98% | 3.64% | 105,993 | 4.61 | 5 | -0.0465% | 1,039.6 |
| Floater | 4.72% | -18.56% | 76,399 | 0.09 | 3 | -0.1043% | 1,048.1 |
| Op. Retract | 4.71% | 2.35% | 76,706 | 2.12 | 17 | -0.1150% | 1,029.6 |
| Split-Share | 5.07% | 1.12% | 213,826 | 3.25 | 15 | -0.0033% | 1,043.3 |
| Interest Bearing | 6.50% | 4.82% | 63,313 | 2.34 | 5 | -0.1451% | 1,037.8 |
| Perpetual-Premium | 5.01% | 3.58% | 266,194 | 5.49 | 53 | -0.0218% | 1,055.0 |
| Perpetual-Discount | 4.54% | 4.54% | 844,780 | 14.21 | 9 | 0.0226% | 1,063.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.I | OpRet | -1.2336% | This doesn’t seem like a nice way for the market to greet Moodys’ upgrade of senior unsecured debt (from Baa3 to Baa2)! But, as far as I can make out from today’s trades, somebody at RBC really wanted to sell their 1,100 shares in a hurry, so it was done all at once, starting with 100 at 26.76 and continuing until 400 at 26.32. Now with a pre-tax bid-YTW of 4.61% based on a bid of $26.42 and a call 2009-7-30 at 25.75. It looks attractive at this price, provided you get filled! |
| FBS.PR.B | SplitShare | +1.1563% | Now with a pre-tax bid-YTW of 1.41% based on a bid of $10.27 and a call 2008-1-14 at $10.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BCE.PR.C | FixedFloater | 370,200 | Nesbitt crossed 511,600 at $25.60. That’s a nice ticket to write, especially if they earned a nickel per share from each side! |
| BCE.PR.R | FixedFloater | 362,150 | Nesbitt crossed 360,000 at $25.50. |
| ACO.PR.A | OpRet | 32,852 | TD crossed 25,000 at $27.50 … and swept up a lot of offers on their way to that price! I can only assume they were working for somebody who had an urgent need to buy an issue with a yield to worst of 3.02% based on a bid of 27.16 and a call 2008-12-31 (at the ask of 27.64, the pre-tax YTW is 2.01%). |
| CM.PR.I | PerpetualPremium | 31,500 | Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.47 and a call 2016-3-1 at $25.00. |
| WN.PR.D | PerpetualPremium | 21,600 | RBC bought 15,000 from CIBC in two tranches at $25.80. Now with a pre-tax bid-YTW of 4.84% based on a bid of $25.83 and a call 2014-10-31 at $25.00. But remember … Credit Watch Negative! |
There were six other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
The rebalancing of the HIMIPref™ indices was quite extensive. I’ll try to report on it tomorrow.
[…] TD crossed 33,000 at 27.95 and were on the buy side for all other board-lot trades today, four tranches executed immediately prior to the cross at prices from 27.60 to 27.95. At those prices yesterday’s cross at 27.50 was a bargain! At the closing quotation of 27.51-98, the pre-tax YTW quote is 2.29%-1.32%. Too rich for my blood, but quite normal for this issue. However, the graph of Modified-Duration-to-Worst shows the situation to be unsustainable … we will see within two years just whether Atco, with its stellar operating results really wants to pay $1.4375 p.a. for a retractible … even with the redemption cost declining by $0.50 annually. […]