| 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 |
4.14% |
4.11% |
43,992 |
17.08 |
2 |
+0.5045% |
1,041.9 |
| Fixed-Floater |
5.02% |
4.02% |
93,975 |
17.06 |
6 |
-0.4046% |
1,018.1 |
| Floater |
4.57% |
-15.74% |
56,073 |
0.13 |
4 |
+0.0100% |
1,055.8 |
| Op. Retract |
4.73% |
3.17% |
84,022 |
2.11 |
17 |
-0.0949% |
1,033.8 |
| Split-Share |
5.02% |
3.79% |
156,666 |
3.17 |
12 |
-0.0604% |
1,049.1 |
| Interest Bearing |
6.52% |
5.60% |
63,254 |
2.28 |
5 |
-0.0944% |
1,044.5 |
| Perpetual-Premium |
5.04% |
3.97% |
186,958 |
5.31 |
53 |
-0.0256% |
1,059.0 |
| Perpetual-Discount |
4.53% |
4.56% |
873,569 |
16.30 |
11 |
-0.0656% |
1,064.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.G |
FixedFloater |
-1.5758% |
Exchange/Reset date is 2011-05-01. The carnage in BCE issues continues! This issue traded as low as 24.17, a 52-week low, before closing at 24.36-84, 10×10. |
| CM.PR.P |
PerpetualPremium |
-1.0158% |
Odd! I haven’t noticed the CIBC walking into any sharp objects lately. Now with a very attractive pre-tax bid-YTW of 4.43% based on a bid of 26.31 and a call 2012-11-28 at $25.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| SLF.PR.E |
PerpetualDiscount |
80,935 |
Desjardins crossed 50,000 at 24.99. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.92 and a limitMaturity. |
| CU.PR.B |
PerpetualPremium |
56,400 |
Nesbitt crossed 40,000 at 27.20, then Scotia crossed 10,000 at the same price. Perhaps the sellers were making room for the pending new issue – but then, what were the buyers doing? Now with a pre-tax bid-YTW of 3.06% based on a bid of 27.02 and a call 2008-07-01 at $26.00 … it won’t yield much more than bonds, unless CU decides to waive the call. |
| W.PR.H |
PerpetualPremium |
51,200 |
Scotia crossed 50,000 at 26.65. Now with a pre-tax bid-YTW of 4.25% based on a bid of 26.63 and a call 2013-2-14 at $25.00. |
| PWF.PR.I |
PerpetualPremium |
41,200 |
Nesbitt crossed 40,000 at 26.65. Now with a pre-tax bid-YTW of 3.81% based on a bid of $26.50 and a call 2008-05-30 at $26.00. |
| CM.PR.I |
PerpetualPremium |
32,650 |
Now with a pre-tax bid-YTW of 4.56% based on a bid of 25.27 and a call 2016-03-01 at $25.00 |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Monday, April 16th, 2007 at 11:30 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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[…] Did I say there was some carnage yesterday? I’m going to have to get out the dictionary and refresh my understanding of the word. However, the drop in this issue was exaggerated by Nesbitt’s sales totallying 1,300 shares in the last six minutes of trading, which took the price down from 24.12 to 23.62. On the one hand, one can feel sympathy for the market-maker: they’re supposed to stabilize the market and sell liquidity, not catch falling knives. On the other hand, the closing quotation of 23.00-24.40, 10×10, seems like a rather large spread. Oh – yeah. The exchange/reset date on these is 2011-08-11; until then, they have an annual dividend of 4.65%. […]