| 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 |
4.20% |
4.02% |
69,626 |
3.83 |
1 |
+0.1992% |
1,052.5 |
| Fixed-Floater |
5.00% |
3.91% |
97,951 |
17.22 |
5 |
-0.2827% |
1,036.6 |
| Floater |
4.72% |
-19.05% |
77,179 |
0.51 |
3 |
-0.0524% |
1,054.2 |
| Op. Retract |
4.71% |
2.99% |
85,619 |
2.16 |
17 |
-0.0569% |
1,034.8 |
| Split-Share |
5.01% |
3.13% |
162,104 |
3.32 |
14 |
-0.1366% |
1,052.6 |
| Interest Bearing |
6.52% |
5.03% |
64,879 |
2.32 |
5 |
+0.0890% |
1,044.9 |
| Perpetual-Premium |
5.02% |
3.55% |
221,447 |
5.21 |
53 |
-0.0492% |
1,059.8 |
| Perpetual-Discount |
4.53% |
4.54% |
774,284 |
15.38 |
10 |
+0.1090% |
1,067.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BSD.PR.A |
InterestBearing |
+1.0000% |
On slightly below-average volume, but with a good-sized (for this issue!) bid at the close. Now with a pre-tax bid-YTW of 5.92% (as INTEREST) based on a bid of $10.00 and a hardMaturity 2015-3-31 at $10.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BCE.PR.C |
FixedFloater |
58,550 |
|
| MFC.PR.A |
OpRet |
56,210 |
Now with a pre-tax bid-YTW of 3.31% based on a bid of $26.54 and a softMaturity 2015-12-18 at $25.00. Early calls don’t make a lot of difference to the yield on this thing (i.e., it’s expected to lose $1.54 over about 7.75 years ANYWAY, so a call premium that declines at $0.25 p.a. is not a huge change) but do make it hard to set duration … and place bets on interest-rate moves.
Um … I didn’t mean “place bets”. I meant “act prudently in accordance with forecasts”. |
| BAM.PR.H |
OpRet |
55,913 |
Desjardins crossed 50,000 at $27.03. Now with a pre-tax bid-YTW of 2.66% based on a bid of $26.91 and a call 2008-10-30 at $25.75. If it doesn’t make it to its softMaturity 2012-3-30 to yield 4.07%, there will be a very disappointed buyer! |
| SLF.PR.D |
PerpetualDiscount |
29,338 |
Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.81 and a limitMaturity. |
| BAM.PR.M |
PerpetualPremium |
24,865 |
Now with a pre-tax bid-YTW of 4.75% based on a bid of $25.05 and either a call 2016-3-1 at $25.00, or a limitMaturity. Take your pick. |
There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Thursday, March 29th, 2007 at 9:31 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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