| 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% |
94,665 |
3.89 |
1 |
+0.0398% |
1,047.4 |
| Fixed-Floater |
4.96% |
3.47% |
108,528 |
4.62 |
5 |
+0.0394% |
1,042.5 |
| Floater |
4.71% |
-16.38% |
73,769 |
11.02 |
3 |
+0.0787% |
1,048.4 |
| Op. Retract |
4.70% |
2.31% |
76,165 |
2.11 |
17 |
+0.1976% |
1,033.3 |
| Split-Share |
5.07% |
1.29% |
196,780 |
3.24 |
15 |
-0.0002% |
1,043.5 |
| Interest Bearing |
6.49% |
3.46% |
64,876 |
2.33 |
5 |
+0.0789% |
1,038.3 |
| Perpetual-Premium |
5.00% |
3.52% |
254,148 |
5.34 |
53 |
+0.0674% |
1,057.0 |
| Perpetual-Discount |
4.53% |
4.54% |
821,217 |
13.16 |
9 |
+0.0091% |
1,066.3 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BAM.PR.I |
OpRet |
+1.2898% |
On volume of 454 shares, so perhaps not the most significant move ever recorded! But even after today’s move, it has a pre-tax bid-YTW of 4.17% based on a bid of $26.70 and a call 2009-7-30 at 25.75, which ain’t bad! It’s certainly the best in the Operating Retractible index! |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BCE.PR.H |
RatchetRate |
703,000 |
Wow! Nesbitt crossed 350,000, then Scotia crossed 150,000, and Nesbitt closed the trading with a cross of 200,000 – all crosses done at 25.12. |
| BCE.PR.A |
FixedFloater |
417,780 |
Nesbitt crossed 417,300 at 25.30. Then another 80 as an odd-lot trade. |
| RY.PR.B |
PerpetualPremium |
203,050 |
Nesbitt crossed 200,000 at 25.65. Now with a pre-tax bid-YTW of 4.38% based on a bid of $25.65 and a call 2015-9-23 at $25.00 |
| BAM.PR.H |
OpRet |
163,586 |
Nesbitt crossed 162,600 at 27.40. Now with a pre-tax bid-YTW of 2.27% based on a bid of $27.39 and a call 2008-10-30 at 25.75. It pays $1.4375, which is a whole big pile of money for a retractible, so I’m a little dubious about its chances of making it to the softMaturity 2012-3-30 at $25.00. Compare these yields with the BAM.PR.I … SAME issuer SAME index … and see why sometimes I despair of this market. Sure, the H is more liquid than the I – about three times more liquid, according to the averageTradingValue. But is there absolutely nobody out there holding H and prepared to chip away at the differential piecewise? |
| YPG.PR.A |
Scraps |
157,010 |
Recent new issue. Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.75 and a softMaturity 2012-12-30. |
| SLF.PR.E |
PerpetualDiscount |
122,660 |
Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.91 and a limitMaturity. |
| PWF.PR.K |
PerpetualPremium |
113,912 |
RBC crossed 50,000 at 26.25, the TD crossed the same number at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $26.20 and a call 2014-11-30 at $25.00. |
| CM.PR.J |
PerpetualPremium |
111,330 |
Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.96 and a limitMaturity. |
| BCE.PR.S |
Scraps (would be Ratchet Rate, but there are liquidity concerns) |
100,000 |
Nesbitt crossed 100,000 at $25.20 |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Wednesday, March 7th, 2007 at 11:45 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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