| 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 |
5.04% |
5.12% |
42,525 |
15.46 |
2 |
-1.2458% |
962.8 |
| Fixed-Floater |
5.64% |
5.10% |
138,090 |
15.52 |
6 |
-1.0258% |
917.9 |
| Floater |
4.82% |
0.26% |
77,555 |
11.16 |
3 |
-0.2396% |
1,043.5 |
| Op. Retract |
4.76% |
3.45% |
84,092 |
2.72 |
17 |
-0.1594% |
1,030.3 |
| Split-Share |
4.97% |
4.16% |
230,049 |
3.97 |
12 |
+0.1410% |
1,050.3 |
| Interest Bearing |
6.51% |
6.20% |
68,704 |
3.22 |
5 |
-0.1370% |
1,046.4 |
| Perpetual-Premium |
5.16% |
4.52% |
174,304 |
6.07 |
48 |
-0.0786% |
1,045.8 |
| Perpetual-Discount |
4.66% |
4.68% |
720,566 |
16.08 |
19 |
-0.1246% |
1,046.2 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.G |
FixFloat |
-2.3333% |
Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 20.51-49, 4×9. Nice spread, eh? The bid is the 52-week low, but it didn’t trade that far down. The Hs closed at 22.90-49, 10×19. |
| BCE.PR.R |
FixFloat |
-2.2022% |
Exchange/Reset Date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 21.76-37, 3×1. |
| BCE.PR.Z |
FixFloat |
-2.087% |
Exchange/Reset Date is 2007-12-1 (Exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.52-00, 5×75. The Ys closed at 22.04-23.68, 2×4, which is a VERY nice spread. |
| BCE.PR.H |
Ratchet |
-1.9272% |
See BCE.PR.G, above. |
| PWF.PR.J |
OpRet |
-1.0790% |
Now with a pre-tax bid-YTW of 4.27% based on a bid of 25.67 and a softMaturity 2013-7-30. Unfortunately, the pre-tax ask-YTW is 3.57%, based on the ask price of 26.31 and a call 2008-5-30 at 26.00. Mind you, given that the interest-equivalent in Ontario works out to 5.00%, it still looks worthwhile … a pleasant change from the usual state of affairs |
| WFS.PR.A |
SplitShare |
+1.5311% |
Hard to work out a rationale for this one! Maybe, since it’s a split-share, rated Pfd-2, paying $0.525 p.a., some people figure it should trade like the other such split shares? The trouble is with the maturity: 2011-6-30, basically three years less than the comparables … which means the capital loss and the end of dividends comes sooner. Now with a pre-tax bid-YTW of 3.84% based on a bid of 10.61 and a hardMaturity 2011-6-30 at 10.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| SLF.PR.A |
PerpetualPremium |
40,050 |
Now with a pre-tax bid-YTW of 4.58% based on a bid of 25.16 and a call 2014-4-30 at 25.00. |
| CM.PR.I |
PerpetualPremium |
33,320 |
Now with a pre-tax bid-YTW of 4.72% based on a bid of 25.05 and a limitMaturity. |
| SBN.PR.A |
SplitShare |
74,425 |
Recent new issue. Now with a pre-tax bid-YTW of 4.55% based on a bid of 10.47 and a hardMaturity 2014-12-1 at 10.00. |
| BNS.PR.M |
PerpetualDiscount |
28,150 |
Now with a pre-tax bid-YTW of 4.59% based on a bid of 24.75 and a limitMaturity. |
| CM.PR.H |
PerpetualPremium |
24,786 |
Now with a pre-tax bid-YTW of 4.57% based on a bid of 25.45 and a call 2014-4-29 at 25.00. |
There were twenty-two other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Saturday, May 19th, 2007 at 6:15 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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