| 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 |
4.15% |
4.03% |
77,474 |
3.83 |
1 |
0.0000% |
1,049.0 |
| Fixed-Floater |
4.98% |
3.85% |
98,668 |
7.91 |
5 |
+0.0243% |
1,039.7 |
| Floater |
4.73% |
-18.34% |
76,144 |
0.51 |
3 |
-0.1702% |
1,052.4 |
| Op. Retract |
4.70% |
2.87% |
79,747 |
2.15 |
17 |
-0.0829% |
1,035.1 |
| Split-Share |
4.98% |
2.74% |
169,788 |
3.32 |
14 |
+0.0984% |
1,054.5 |
| Interest Bearing |
6.50% |
4.76% |
64,621 |
2.31 |
5 |
-0.0977% |
1,041.1 |
| Perpetual-Premium |
5.01% |
3.84% |
226,067 |
5.05 |
53 |
+0.0194% |
1,058.9 |
| Perpetual-Discount |
4.53% |
4.54% |
843,055 |
14.41 |
10 |
+0.0204% |
1,066.5 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BMO.PR.G |
OpRet |
-1.0265% |
Nesbitt crossed 42,700 at 25.20 and it closed at 25.07-20. Is this finally capitulation (by one player, anyway!) or is it just a noisy flash in the pan? Now with a pre-tax bid-YTW of 4.86% based on a softMaturity 2008-5-24 at $25.00. Note that yesterday, the bid-YTW was 2.83% based on the bid of $25.33. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| PWF.PR.I |
PerpetualPremium |
214,600 |
Desjardins had a buyer for this issue today and were on the buy-side for the last ten trades, which totalled 208,400 shares including a cross of 200,000 at 27.03. Looks like their buyer was motivated, because their trading took the price up from 26.74 to the cross level. Closed at 26.71-98; pre-tax bid-YTW is 4.13% based on a call 2008-5-30 at $26.00; pre-tax ask-YTW is 3.24%. |
| CM.PR.R |
OpRet |
203,800 |
Desjardins crossed 200,000 at 26.85. Now with a pre-tax bid-YTW of 2.38% based on a bid of $26.67 and a call 2008-5-30 at $25.75. The buyer appears to be desperately hoping for the softMaturity 2013-4-29 at $25.00, which will have given a yield of 3.96%, and who am I to say he shouldn’t? James Hymas, that’s who. |
| GWO.PR.X |
OpRet |
65,418 |
Desjardins crossed 58,000 at 27.65, in a blatant attempt to capture the coveted “Biggest trades is low-yielding securities” trophy for March. Now with a pre-tax bid-YTW of 2.14% based on a bid of $27.60 and a call 2009-10-30 at $26.00. This is an interesting issue, with the issuer bid and Putnam financing to be considered. |
| CM.PR.D |
PerpetualPremium |
63,200 |
TD crossed 60,000 at $26.99. Now with a pre-tax bid-YTW of 3.19% based on a bid of $26.93 and a call 2008-5-30 at $26.00 … which basically means it’s yielding not much more than a corporate bond. Maybe CIBC won’t call it! Maybe pigs will fly! You can never tell. |
| BMO.PR.G |
OpRet |
47,708 |
Discussed as a Big Mover. |
There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Friday, March 23rd, 2007 at 11:58 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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