| 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 |
4.50% |
4.51% |
43,165 |
16.46 |
2 |
-1.3722% |
978.1 |
| Fixed-Floater |
5.49% |
4.50% |
121,041 |
16.50 |
6 |
+1.1272% |
941.7 |
| Floater |
4.56% |
-19.25% |
57,731 |
4.19 |
4 |
-0.0194% |
1,062.2 |
| Op. Retract |
4.73% |
3.22% |
84,115 |
2.38 |
17 |
-0.0108% |
1,033.0 |
| Split-Share |
5.03% |
4.29% |
179,611 |
4.02 |
12 |
+0.1756% |
1,046.1 |
| Interest Bearing |
6.49% |
4.42% |
61,507 |
2.26 |
5 |
-0.1175% |
1,050.1 |
| Perpetual-Premium |
5.07% |
4.50% |
222,579 |
6.25 |
54 |
-0.1567% |
1,051.4 |
| Perpetual-Discount |
4.57% |
4.59% |
924,984 |
16.22 |
12 |
-0.0112% |
1,056.4 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.S |
Ratchet |
-2.9757% |
Exchange/Reset date is 2011-05-1 (exchanges with BCE.PR.T, which pay 4.502% of par until then). A sale of 1,000 shares by Scotia took the price from 23.86 to 23.36; later, Nesbitt bought 10,000 from National Bank at 23.25. Closed at 23.15-25, 1×8, compared to their exchangers at 23.00-50, 15×1. The relative prices don’t make a lot of sense, unless you assume that the “S” will not pay 100% of Prime (a decline of prime to 4.5% works too) so this looks like a good pairs opportunity provided that, like Nesbitt, you can buy 1,000+ shares without moving the price fifty cents. |
| W.PR.H |
PerpetualPremium |
-1.3642% |
Now with a pre-tax bid-YTW of 4.74% based on a bid of 26.03 and a call 2013-2-14 at 25.00. |
| BNS.PR.K |
PerpetualPremium |
-1.0465% |
When you start seeing solid issues like W.PR.H & BNS.PR.K on this list without a good explanation, you know the market’s getting a little sloppy. Now with a pre-tax bid-YTW of 4.48% based on a bid of 25.53 and a call 2014-5-28 at 25.00 |
| SLF.PR.D |
PerpetualDiscount |
-1.0221% |
Blame it on Scotia’s wild-man clients, as their sale of 16,500 shares in four tranches (briefly interupted by a sale of 1,000 by Anonymous) took the price from 24.40 (Buyer = Scotia) to the final tranche of 14,300 at four minutes to the bell (Buyer = Scotia). Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.21 and a limitMaturity. |
| BCE.PR.A |
FixFloat |
+1.0305% |
Yep, that’s a plus sign by the number – and there’s more to come! Exchange/Reset date is 2007-09-01 (with series ‘AB’, not issued); until then, pay 5.03% of par. Closed at 23.25-36, 16×3. |
| BCE.PR.I |
FixFloat |
+1.1468% |
Exchange/Reset date is 2011-8-1 (Exchange with series ‘AJ’, not issued); until then pay 4.65% of par. Closed at 22.05-50, 6×1, on good volume of 10,256 shares. |
| LBS.PR.A |
SplitShare |
+1.1505% |
Almost, but not quite, undoing yesterday’s swoon, closing at 10.55-57, 60×1 (a good sized bid for this issue). Now with a pre-tax bid-YTW of 4.34% based on a bid of 10.55 and a hardMaturity 2013-11-29 at 10.00 |
| BCE.PR.G |
FixFloat |
+1.4052% |
Exchange/Reset date is 2011-5-1 (exchange with BCE.PR.H); until then pay 4.35% of par. Today’s return, by the way, is based on the closing bid … the closing price was down on the day, which just goes to show … something or other. I pay little attention to closing price … it’s far more volatile than the quotes. Usually. Anyway, the closing quote was 21.65-94, 8×4, while the BCE.PR.H were at 23.40-00. The Gs still look cheap relative to the Hs, but the Hs look expensive relative to the Ss, so it’s all very complicated. |
| BCE.PR.C |
FixFloat |
+2.3344% |
Exchange/Reset date is 2008-03-01 (exchange with series ‘AD’, not issued); Until then pay 5.54% of par. Closed at 23.60-82, 3×3. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.G |
PerpetualPremium |
411,025 |
Scotia crossed 28,100 at 26.50; RBC crossed 82,900 at 26.52. Now with a pre-tax bid-YTW of 4.52% based on a bid of 26.37 and a call 2014-5-31 at 25.00. |
| RY.PR.G |
PerpetualDiscount |
519,113 |
Recent new issue. Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.42 and a limitMaturity. |
| BMO.PR.J |
PerpetualPremium |
158,550 |
Now with a pre-tax bid-YTW of 4.58% based on a bid of 25.02 and a limitMaturity. |
| BAM.PR.K |
Floater |
151,300 |
RBC crossed 150,000 at 24.87. Pays 70% of Prime on par value. |
| TD.PR.O |
PerpetualPremium |
137,245 |
National Bank crossed 25,000 at 26.25, then another 85,700 at the same price. Now with a pre-tax bid-YTW of 4.12% based on a bid of 26.21 and a call 2014-11-30 at 25.00. |
There were twenty-one other $25-equivalent index-included issues trading over 10,000 shares today.
Boy, these daily summaries are taking a long time to write nowadays! I’m going to have to start charging you guys extra for this.
This entry was posted on Saturday, April 28th, 2007 at 12:03 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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The YTW of split shares and perpetual premium shares seems to have risen over the last month substantially more than that of perpetual discount shares. My impression is that the bond yield curve has not flattened like this. Am I correct and, if so, do you have a theory?