| 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 |
4.14% |
4.01% |
76,329 |
3.82 |
1 |
+0.1590% |
1,050.7 |
| Fixed-Floater |
4.98% |
3.92% |
96,841 |
13.92 |
5 |
-0.1026% |
1,038.6 |
| Floater |
4.72% |
-19.27% |
76,950 |
5.58 |
3 |
+0.1188% |
1,053.6 |
| Op. Retract |
4.71% |
2.99% |
81,686 |
2.13 |
17 |
-0.0575% |
1,034.5 |
| Split-Share |
4.99% |
3.24% |
167,810 |
3.31 |
14 |
-0.1482% |
1,053.0 |
| Interest Bearing |
6.48% |
4.86% |
64,960 |
2.31 |
5 |
+0.2968% |
1,044.2 |
| Perpetual-Premium |
5.02% |
3.83% |
226,236 |
5.24 |
53 |
-0.0203% |
1,058.7 |
| Perpetual-Discount |
4.53% |
4.53% |
827,401 |
14.43 |
10 |
+0.0924% |
1,067.5 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BSD.PR.A |
InterestBearing |
+1.0945% |
A burst of afternoon buying from TD Securities and Scotia took the price up as high as 10.25, to close at 10.16-31. Pre-tax bid-YTW now 5.82% based on a hardMaturity 2015-3-31 at $10.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.A |
OpRet |
513.626 |
Global seems to have made a specialty out of dividend capture strategies – they crossed 254,700 for cash at 26.33, and the same number for regular at 25.99. The issue went ex-Dividend today for $0.33125 and now has a pre-tax bid-YTW of 3.68% based on a bid of $25.89 and a call 2007-11-30 at $25.75. |
| BNS.PR.L |
PerpetualPremium |
139,700 |
Virtually the same terms as the new issue, so it’s interesting to see this one closing at 25.14-17 on good volume. Note, however, that this issue has an initial dividend of $0.28125 and goes ex-dividend prior to settlement of the new issue. I wonder if they do this type of thing on purpose, as a snare for the unwary, who might think it marvellous that such a close comparable is trading at a premium? Now with a pre-tax bid-YTW of 4.53% based on a limitMaturity. |
| TD.PR.M |
OpRet |
78,650 |
Desjardins crossed 55,000 at $27.25, then 20,000 at the same price. Now with a pre-tax bid-YTW of 2.82% based on a bid of $27.11 and a call 2009-5-30 at $26.00. The chances of it surviving to its softMaturity 2013-10-30, to have yielded 3.40% are just what, exactly? |
| RY.PR.B |
PerpetualPremium |
77,200 |
RBC crossed 70,000 at 25.65. Now with a pre-tax bid-YTW of 4.42% based on a bid of 25.65 and a call 2015-9-23 at $25.00. |
| CM.PR.I |
PerpetualPremium |
61,320 |
National Bank crossed 20,000 at 25.35. Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.40 and a call 2016-3-1 at 4.45%. |
There were twenty-one other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Monday, March 26th, 2007 at 9:15 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
You can leave a response, or trackback from your own site.