| 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 |
4.01% |
3.88% |
87,652 |
3.89 |
1 |
-0.2384% |
1,046.9 |
| Fixed-Floater |
4.97% |
3.52% |
109,049 |
4.62 |
5 |
+0.0399% |
1,042.1 |
| Floater |
4.72% |
-16.37% |
74,473 |
0.63 |
3 |
+0.0131% |
1,047.6 |
| Op. Retract |
4.71% |
2.37% |
76,191 |
2.11 |
17 |
-0.0342% |
1,031.2 |
| Split-Share |
5.07% |
1.01% |
201,948 |
3.24 |
15 |
-0.0020% |
1,043.5 |
| Interest Bearing |
6.50% |
4.33% |
65,008 |
2.33 |
5 |
-0.3239% |
1,037.5 |
| Perpetual-Premium |
5.01% |
3.58% |
256,382 |
5.18 |
53 |
+0.0815% |
1,056.3 |
| Perpetual-Discount |
4.53% |
4.53% |
821,376 |
13.16 |
9 |
+0.2016% |
1,066.2 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| GWO.PR.E |
OpRet |
-1.0033% |
Strange trading near the close – possibly an error, although not in and of itself enough to explain the sharply lower closing bid. HSBC bought 105 shares at 26.96 from “Anonymous” and Jones Gable (the odd lot) at 3:54pm, then sold 155 shares at 26.65 to Anonymous and Jones Gable (again the odd-lot). Huh. I wonder if there’s a story there … but there was a block trade and a bunch of odd lots trading at 26.65 prior to this, with lots of time for anyone to put in a better bid, so it doesn’t seem that the error (if that’s what it was) affected the price. Now with a pre-tax bid-YTW of 2.33% based on a bid of 26.64 and a call 2009-04-30 at $26.00. The yield is 2.95% if it survives until 2011-4-30 @ $25.00! Woo-hoo! Interest equivalent of almost a bond! This issue is on Credit Watch Developing and GWO has an issuer bid in place. |
| ELF.PR.F |
PerpetualPremium |
+1.0534% |
On volume of 1,001 shares. Now with a pre-tax bid-YTW of 4.08% based on a bid of $26.86 and a call 2009-11-16 at $26.00. The issue pays $1.325 p.a. – good downside protection here! |
| GWO.PR.H |
PerpetualPremium |
+1.2086 |
On strong volume of 46,646 shares … RBC crossed 40,000 at $26.05. A nice up-move, just to make sure GWO still felt loved. Now with a pre-tax bid-YTW of 4.23% based on a bid of 25.96 and a call 2014-10-30 at $25.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| YPG.PR.A |
Scraps |
757,556 |
Today’s new issue. |
| CM.PR.J |
PerpetualPremium |
181,075 |
Recent new issue. Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.93 and a limitMaturity. |
| BCE.PR.H |
RatchetRate |
152,000 |
Nesbitt crossed 100,000 at 25.12, then Scotia crossed 50,000 at the same price. |
| BCE.PR.T |
Scraps (Would be FixedFloater, but there are volume concerns) |
151,700 |
No volume concerns today, as Nesbitt crossed 150,000 at 25.80. |
| CM.PR.R |
OpRet |
112,201 |
RBC crossed 61,000 at 26.75, then Scotia crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 2.46% based on a bid of 26.61 and a call 2008-5-30 at $25.75. The redemption premium only declines by $0.15 p.a. while paying $1.238 dividend on a retractible … so whether it makes it to the softMaturity 2013-4-29 at $25.00 to yield 3.96% is not as easy a question as it might appear. I wouldn’t bet on it! |
| NA.PR.K |
PerpetualPremium |
104,601 |
Desjardins crossed 100,000 at $27.18. Now with a pre-tax bid-YTW of 2.51% (yech!) based on a bid of $27.10 and a call 2008-6-14 at $26.00. Holy smokes! Sure, there’s a lot of downside protection, given that it pays $1.4625. But 2.51%? With a bond-equivalency factor of 1.40 in Ontario, that comes to 3.51% interest-equivalent. My granny can do better with GICs. |
| BCE.PR.Y |
Scraps (Would be Ratchet but there are volume concerns) |
100,300 |
Nesbitt crossed 100,000 at 25.30 |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Tuesday, March 6th, 2007 at 11:03 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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