| 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 |
4.06% |
4.08% |
29,489 |
17.29 |
1 |
0.3584% |
1,047.8 |
| Fixed-Floater |
4.81% |
3.59% |
88,954 |
6.38 |
7 |
+0.0129% |
1,042.9 |
| Floater |
4.47% |
-23.24% |
55,666 |
3.33 |
5 |
-0.0622% |
1,050.6 |
| Op. Retract |
4.70% |
2.28% |
75,887 |
2.07 |
18 |
+0.0615% |
1,031.6 |
| Split-Share |
5.09% |
1.78% |
267,398 |
2.64 |
14 |
-0.0028% |
1,044.6 |
| Interest Bearing |
6.49% |
3.58% |
59,106 |
2.35 |
5 |
-0.1837% |
1,035.5 |
| Perpetual-Premium |
5.03% |
3.70% |
225,523 |
5.11 |
51 |
+0.0090% |
1,053.1 |
| Perpetual-Discount |
4.52% |
4.56% |
1,178,685 |
16.27 |
11 |
+0.0621% |
1,059.4 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| ACO.PR.A |
OpRet |
+1.4177% |
Traded as high as $28.40 today and closed at 27.90-06, 3×10. The buyers are obviously sanguine about the potential for a redemption at $26.00, 2008-12-31, which results in the YTW scenario yielding 1.45% pre-tax … they seem to be hoping for the softMaturity 2011-11-30, which will yield 3.09%. Of course, that’s still only the equivalent of a bond paying 4.33% for rich Ontario investors, but that doesn’t seem to matter much! |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BMO.PR.J |
PerpetualDiscount |
227,100 |
Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.05 and a limitMaturity. |
| CM.PR.H |
PerpetualPremium |
167,740 |
Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.05 and a call 2014-4-29 at $25.00. |
| CM.PR.J |
PerpetualDiscount |
166,075 |
Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity. |
| PWF.PR.I |
PerpetualPremium |
30,750 |
Desjardins bought 12,700 from National Bank in 7 tranches at $26.77 commencing 11:40am, and crossed 10,000 at the same price. It seems awfully brave – the pre-tax bid-YTW is 3.53% based on a bid of $26.80 and a call 2008-5-30 at $26.00. They would appear to be hoping for the call 2012-5-30 at $25.00, which will result in a much more attractive yield of 4.54%. I’d prefer to do that without quite so much risk, though! |
| BNS.PR.L |
PerpetualPremium |
28,115 |
Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of 25.07 and a limitMaturity. |
There were eight other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Friday, February 16th, 2007 at 10:28 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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