| 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 |
4.50% |
4.51% |
43,165 |
16.46 |
2 |
-1.3722% |
978.1 |
| Fixed-Floater |
5.49% |
4.50% |
121,041 |
16.50 |
6 |
+1.1272% |
941.7 |
| Floater |
4.56% |
-19.25% |
57,731 |
4.19 |
4 |
-0.0194% |
1,062.2 |
| Op. Retract |
4.73% |
3.22% |
84,115 |
2.38 |
17 |
-0.0108% |
1,033.0 |
| Split-Share |
5.03% |
4.29% |
179,611 |
4.02 |
12 |
+0.1756% |
1,046.1 |
| Interest Bearing |
6.49% |
4.42% |
61,507 |
2.26 |
5 |
-0.1175% |
1,050.1 |
| Perpetual-Premium |
5.07% |
4.50% |
222,579 |
6.25 |
54 |
-0.1567% |
1,051.4 |
| Perpetual-Discount |
4.57% |
4.59% |
924,984 |
16.22 |
12 |
-0.0112% |
1,056.4 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.S |
Ratchet |
-2.9757% |
Exchange/Reset date is 2011-05-1 (exchanges with BCE.PR.T, which pay 4.502% of par until then). A sale of 1,000 shares by Scotia took the price from 23.86 to 23.36; later, Nesbitt bought 10,000 from National Bank at 23.25. Closed at 23.15-25, 1×8, compared to their exchangers at 23.00-50, 15×1. The relative prices don’t make a lot of sense, unless you assume that the “S” will not pay 100% of Prime (a decline of prime to 4.5% works too) so this looks like a good pairs opportunity provided that, like Nesbitt, you can buy 1,000+ shares without moving the price fifty cents. |
| W.PR.H |
PerpetualPremium |
-1.3642% |
Now with a pre-tax bid-YTW of 4.74% based on a bid of 26.03 and a call 2013-2-14 at 25.00. |
| BNS.PR.K |
PerpetualPremium |
-1.0465% |
When you start seeing solid issues like W.PR.H & BNS.PR.K on this list without a good explanation, you know the market’s getting a little sloppy. Now with a pre-tax bid-YTW of 4.48% based on a bid of 25.53 and a call 2014-5-28 at 25.00 |
| SLF.PR.D |
PerpetualDiscount |
-1.0221% |
Blame it on Scotia’s wild-man clients, as their sale of 16,500 shares in four tranches (briefly interupted by a sale of 1,000 by Anonymous) took the price from 24.40 (Buyer = Scotia) to the final tranche of 14,300 at four minutes to the bell (Buyer = Scotia). Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.21 and a limitMaturity. |
| BCE.PR.A |
FixFloat |
+1.0305% |
Yep, that’s a plus sign by the number – and there’s more to come! Exchange/Reset date is 2007-09-01 (with series ‘AB’, not issued); until then, pay 5.03% of par. Closed at 23.25-36, 16×3. |
| BCE.PR.I |
FixFloat |
+1.1468% |
Exchange/Reset date is 2011-8-1 (Exchange with series ‘AJ’, not issued); until then pay 4.65% of par. Closed at 22.05-50, 6×1, on good volume of 10,256 shares. |
| LBS.PR.A |
SplitShare |
+1.1505% |
Almost, but not quite, undoing yesterday’s swoon, closing at 10.55-57, 60×1 (a good sized bid for this issue). Now with a pre-tax bid-YTW of 4.34% based on a bid of 10.55 and a hardMaturity 2013-11-29 at 10.00 |
| BCE.PR.G |
FixFloat |
+1.4052% |
Exchange/Reset date is 2011-5-1 (exchange with BCE.PR.H); until then pay 4.35% of par. Today’s return, by the way, is based on the closing bid … the closing price was down on the day, which just goes to show … something or other. I pay little attention to closing price … it’s far more volatile than the quotes. Usually. Anyway, the closing quote was 21.65-94, 8×4, while the BCE.PR.H were at 23.40-00. The Gs still look cheap relative to the Hs, but the Hs look expensive relative to the Ss, so it’s all very complicated. |
| BCE.PR.C |
FixFloat |
+2.3344% |
Exchange/Reset date is 2008-03-01 (exchange with series ‘AD’, not issued); Until then pay 5.54% of par. Closed at 23.60-82, 3×3. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.G |
PerpetualPremium |
411,025 |
Scotia crossed 28,100 at 26.50; RBC crossed 82,900 at 26.52. Now with a pre-tax bid-YTW of 4.52% based on a bid of 26.37 and a call 2014-5-31 at 25.00. |
| RY.PR.G |
PerpetualDiscount |
519,113 |
Recent new issue. Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.42 and a limitMaturity. |
| BMO.PR.J |
PerpetualPremium |
158,550 |
Now with a pre-tax bid-YTW of 4.58% based on a bid of 25.02 and a limitMaturity. |
| BAM.PR.K |
Floater |
151,300 |
RBC crossed 150,000 at 24.87. Pays 70% of Prime on par value. |
| TD.PR.O |
PerpetualPremium |
137,245 |
National Bank crossed 25,000 at 26.25, then another 85,700 at the same price. Now with a pre-tax bid-YTW of 4.12% based on a bid of 26.21 and a call 2014-11-30 at 25.00. |
There were twenty-one other $25-equivalent index-included issues trading over 10,000 shares today.
Boy, these daily summaries are taking a long time to write nowadays! I’m going to have to start charging you guys extra for this.