| 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 |
4.23% |
4.22% |
41,772 |
16.92 |
2 |
-0.3265% |
1,019.5 |
| Fixed-Floater |
5.33% |
4.35% |
104,168 |
16.63 |
6 |
-1.3177% |
961.2 |
| Floater |
4.57% |
-16.72% |
56,123 |
0.13 |
4 |
+0.0993% |
1,057.1 |
| Op. Retract |
4.73% |
3.20% |
84,517 |
2.16 |
17 |
+0.0425% |
1,033.8 |
| Split-Share |
5.02% |
3.98% |
147,534 |
3.38 |
12 |
-0.1060% |
1,047.3 |
| Interest Bearing |
6.51% |
5.23% |
62,026 |
2.27 |
5 |
+0.0040% |
1,045.9 |
| Perpetual-Premium |
5.03% |
4.03% |
225,592 |
5.58 |
54 |
-0.0264% |
1,058.4 |
| Perpetual-Discount |
4.54% |
4.57% |
829,295 |
16.27 |
11 |
-0.0144% |
1,063.1 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.R |
FixedFloater |
-4.1494% |
Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 23.10-34, 6×1. Traded as low as 23.10 today, a new 52-week low. Each one of those three prices is exactly $1.00 below yesterday’s number, amusing if you don’t own it. |
| BCE.PR.T |
Scraps (would be FixedFloater, but there are volume concerns) |
-2.4230% |
Exchange/Reset date is 2011-11-01 (to BCE.PR.S); until then, pays 4.502% p.a. Closed at 23.76-00, 8×4. New 52-week low of 24.00 |
| BCE.PR.Z |
FixedFloater |
-2.2774% |
Exchange/Reset date is 2007-12-1 (to BCE.PR.Y); until then they pay 5.319% of par. Afterwards … I bet it’s less! Closed at 23.60-17, 20×1. New 52-week low of 23.51. |
| BCE.PR.C |
FixedFloater |
-1.7034% |
Exchange/Reset date is 2008-03-01 (to series AD, not issued); until then they pay 5.54% of par. Closed at 23.66-02, 12×4. Traded as low as 23.50 today, a new 52-week low. |
| CGI.PR.C |
SplitShare |
-1.5625% |
It did this on zero volume. Now with a pre-tax bid-YTW of 3.86% based on a bid of 25.20 and a softMaturity 2016-6-14 at 25.00. |
| BCE.PR.Y |
Scraps (would be ratchetRate, but there are volume concerns) |
-1.3810% |
Exchange/Reset date is 2007-12-1 (to BCE.PR.Z). Closed at 24.28-98, 10×10, on zero volume. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BMO.PR.I |
OpRet |
103,825 |
RBC crossed 47,700 at 25.20, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.20 and a call 2007-12-25 (er … give or take a few days!) at 25.00 |
| TD.PR.N |
OpRet |
67,500 |
TD crossed 32,800 at 26.99, then another 17,200 at the same price. Now with a pre-tax bid-YTW of 2.82% based on a bid of 26.82 and a call 2009-5-30 at 26.00. |
| CM.PR.I |
PerpetualPremium |
57,789 |
Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.22 and a call 2016-3-1 at 25.00 |
| GWO.PR.I |
PerpetualDiscount |
49,000 |
RBC crossed 40,000 at 24.85. Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.85 and a limitMaturity |
| POW.PR.D |
PerpetualPremium |
26.23 |
Now with a pre-tax bid-YTW of 4.27% based on a bid of 26.23 and a call 2014-11-30 at 25.00. |
There were fourteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Thursday, April 19th, 2007 at 10:41 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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I noticed that some of the perpetual premium shares have been hit quite hard over the last month or so, in particular BNS.PR.J and CM.PR.P, what appear to be two very similar issues. Any idea why?
The two issues you mention are both down about 1.25% total return on the month-to-date.
I don’t have a good answer for you … it seems to be just part of the normal volatility that results in excess returns for those who are willing to take advantage!