| 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 |
4.28% |
4.29% |
40,513 |
16.81 |
2 |
-1.1694% |
1,007.6 |
| Fixed-Floater |
5.34% |
4.37% |
105,800 |
16.60 |
6 |
-0.2705% |
958.6 |
| Floater |
4.56% |
-18.22% |
56,292 |
0.13 |
4 |
+0.1090% |
1,058.2 |
| Op. Retract |
4.72% |
3.16% |
84,054 |
2.10 |
17 |
+0.0865% |
1,034.6 |
| Split-Share |
5.03% |
3.97% |
147,239 |
3.38 |
12 |
-0.0712% |
1,046.5 |
| Interest Bearing |
6.52% |
4.02% |
61,776 |
1.91 |
5 |
-0.0602% |
1,045.2 |
| Perpetual-Premium |
5.04% |
4.09% |
224,917 |
5.54 |
54 |
-0.0619% |
1,057.7 |
| Perpetual-Discount |
4.54% |
4.57% |
815,195 |
16.27 |
11 |
+0.0079% |
1,063.2 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.Y |
Scraps (would be ratchetRate, but there are volume concerns) |
-2.1829% |
Exchange/Reset date is 2007-12-1 (to BCE.PR.Z). Closed at 23.75-18, 21×9 on volume of 1,400 shares. |
| TOC.PR.B |
Scraps (would be Floater, but there are volume concerns) |
-2.1434% |
Contagion from the BCE issues? This was on volume of 200 shares. Closed at 25.11-75, 6×35. |
| BCE.PR.I |
FixedFloater |
-1.4880% |
Exchange/Resdet date is 2011-08-01 (counterpart is unissued series ‘AJ’); until then pay 4.65% of par. New low today of 22.50; closed at 22.51-87, 5×10 |
| BCE.PR.S |
Ratchet |
-1.3344% |
Exchange/Reset date is 2011-11-01 (to BCE.PR.T). Did this on volume of 700 shares; closed at 24.40-89, 3×1 |
| BCE.PR.R |
FixedFloater |
-1.0390% |
Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 22.86-15, 2×10. Traded as low as 22.85 today, a new 52-week low. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| PWF.PR.I |
PerpetualPremium |
129,350 |
Desjardins crossed 124,100 at 26.75. Now with a skimpy pre-tax bid-YTW of 3.86% based on a bid of 26.75 and a call 2008-05-30 at 26.00. The buyer seems to be hoping that they last longer! |
| WN.PR.D |
PerpetualPremium |
104,985 |
Scotia crossed 92,400 at 25.75. Now with a pre-tax bid-YTW of 4.81% based on a bid of 25.73 and a call 2014-10-31 at 25.00. Weston is still under Credit Watch Negative. |
| RY.PR.D |
PerpetualPremium |
81,758 |
RBC crossed 65,000 at 25.35. Now with a pre-tax bid-YTW of 4.54% based on either a call 2016-3-25 at 25.00, or a limitMaturity, take your pick. |
| CM.PR.I |
PerpetualPremium |
63,350 |
Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.23 and a call 2016-3-1 at 25.00 |
| WN.PR.E |
PerpetualDiscount |
58,337 |
Now with a pre-tax bid-YTW of 4.81% based on a bid of 24.86 and a limitMaturity. |
This entry was posted on Saturday, April 21st, 2007 at 12:02 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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Are the HIMIPref valuations of BCE.PR.C reliable?
Nothing to do with BCE is currently reliable! HIMIPref™ assumes a constant credit rating and BCE is currently a straight credit play.
If you believe it’s going to remain investment grade, buy. If you believe it’s going to junk, hold or sell.
I will look more carefully at the derivation of this particular valuation figure later today.
I should also note that if you wish to check the derivation yourself without waiting for me, you may right-click the valuation on the reportSummary to bring up the riskRewardAnalysisBox. If there are numbers reported there for BCE.PR.C that appear out of line with your expectations (based on other issues, most usefully the BCE ones) you can drill down further into the riskRewardAnalyticalValuesBox to obtain the components of the particular calculation that you’re concerned with.
Depending upon which value is of concern at that point, there may be further details of those calculations available. HIMIPref™ has been designed to allow drill-down on all calculated values.
[…] I was asked in the comments for April 20 whether the valuation shown by HIMIPref™ for BCE.PR.C was OK or not … it was showing a massive, massive positive number. […]