I now notice that with my customary elan, I have managed to over-write the post for March 13, instead of simply using it as a template. Sorry about that, guys!
| 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 |
4.03% |
3.89% |
77,362 |
3.87 |
1 |
+0.3584% |
1,050.7 |
| Fixed-Floater |
4.97% |
3.58% |
107,474 |
4.60 |
5 |
+0.0316% |
1,041.1 |
| Floater |
4.71% |
-19.80% |
73,119 |
0.11 |
3 |
+0.2892% |
1,055.9 |
| Op. Retract |
4.71% |
2.71% |
76,879 |
2.14 |
17 |
+0.0799% |
1,034.4 |
| Split-Share |
5.06% |
0.17% |
186,066 |
3.11 |
15 |
+0.2650% |
1,048.4 |
| Interest Bearing |
6.48% |
4.09% |
65,421 |
2.34 |
5 |
+0.0906% |
1,044.9 |
| Perpetual-Premium |
5.01% |
3.75% |
240,916 |
5.33 |
53 |
+0.0392% |
1,057.4 |
| Perpetual-Discount |
4.52% |
4.52% |
942,456 |
13.49 |
10 |
-0.0709% |
1,067.6 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| DIV.PR.A |
SplitShare |
+1.0317% |
No real story here … I suppose the market maker just realized that it’s being redeemed next week and put a decent bid on it. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| RY.PR.F |
PerpetualDiscount |
395,889 |
New issue settled today. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.75 and a limitMaturity. |
| TD.PR.M |
OpRet |
75,400 |
TD crossed 25,000 at 27.20, then Scotia crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 2.59% based on a bid of $27.22 and a call 2009-5-30 at $26.00. The market, obviously, is hoping for the yield of 3.31% resulting if it survives to the softMaturity 2013-10-30 at $25.00. Well, stranger things have happened! |
| POW.PR.D |
PerpetualPremium |
74,867 |
Scotia crossed 50,000 at 26.45. Now with a pre-tax bid-YTW of 4.31% based on a bid of $26.36 and a call 2014-11-30 at $25.00. |
| SLF.PR.A |
PerpetualPremium |
56,910 |
Scotia crossed 50,000 at $25.75. Now with a pre-tax bid-YTW of 4.27% based on a bid of $25.72 and a call 2014-4-30 at $25.00. |
| CM.PR.D |
PerpetualPremium |
52,450 |
Desjardins crossed 50,000 at 27.03. Now with a pre-tax bid-YTW of 2.77% based on a bid of $27.03 and a call 2008-5-30 at $26.00. |
There were sixteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Wednesday, March 14th, 2007 at 10:22 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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