| 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 |
4.58% |
4.59% |
43,333 |
16.28 |
2 |
-0.3161% |
990.0 |
| Fixed-Floater |
5.33% |
4.48% |
135,556 |
16.51 |
6 |
+0.1191% |
970.0 |
| Floater |
4.72% |
-20.46% |
73,173 |
10.96 |
3 |
+0.0395% |
1,064.3 |
| Op. Retract |
4.73% |
3.16% |
85,916 |
2.32 |
17 |
+0.0848% |
1,034.0 |
| Split-Share |
4.96% |
4.16% |
175,793 |
3.89 |
12 |
+0.0203% |
1,046.5 |
| Interest Bearing |
6.49% |
4.87% |
61,987 |
2.24 |
5 |
+0.0788% |
1,049.2 |
| Perpetual-Premium |
5.13% |
4.53% |
170,664 |
5.25 |
48 |
+0.0360% |
1,050.2 |
| Perpetual-Discount |
4.61% |
4.63% |
790,950 |
16.15 |
18 |
-0.0460% |
1,053.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.I |
FixFloat |
-1.3072% |
Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then pays 4.65% of par. Good volume today of 17,292 shares in a range of 22.90-00, so it seems a little unfair that it was down, closing at 22.65-00, 22×14. |
| WN.PR.E |
PerpetualDiscount |
-1.0309% |
Downgraded yesterday by S&P. Now with a pre-tax bid-YTW of 4.99% based on a bid of 24.00 and a limitMaturity. Still the lowest-yielding Weston Perpetual – see the comparables. |
| WN.PR.D |
PerpetualPremium |
+1.0121% |
Downgraded yesterday by S&P … what, me worry? Now with a pre-tax bid-YTW of 5.26% based on a bid of 24.95 and a limitMaturity. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| TOC.PR.B |
Scraps (would be Floater, but there are volume concerns) |
530,500 |
Presumably due to the rumours of a bid for Reuters. This young feller-me-lad pays 70% of Canadian Prime on par value, and closed today up a bit, at 25.30-54, 3×2. Callable any time at $25.00. |
| FBS.PR.B |
SplitShare |
530,500 |
What’s a mature split-share doing with this kind of volume? Better ask Nesbitt, they crossed 500,000 at 10.13. Callable every December 15 at $10, until maturity at $10.00 2011-12-15 … the pre-tax bid-YTW is 2.78% based on a bid of 10.20 and a call 2008-1-14 (heh … the inclusion in the programming of maturityNoticePeriod leads to imprecision on occasion. Oh, well, sue me …) at $10.00. The buyer is obviously hoping that the shares (or at least a significant fraction thereof) will survive until the hardMaturity 2011-12-15, to have yielded 4.45%. And, mind you, the big buyer only paid 10.13 for them (plus commission!), so it’s not as bad as it looks. |
| BNS.PR.L |
PerpetualPremium |
118,645 |
Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.92 and a limitMaturity. |
| CM.PR.H |
PerpetualPremium |
112,840 |
Now with a pre-tax bid-YTW of 4.37% based on a bid of 25.70 and a call 2014-4-29 at 25.00. |
| RY.PR.G |
PerpetualDiscount |
110,700 |
Recent new issue. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.51 and a limitMaturity. |
| SLF.PR.A |
PerpetualPremium |
58,305 |
Now with a pre-tax bid-YTW of 4.44% based on a bid of 25.61 and a call 2014-4-30 at 25.00. |
There were fifteen other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Friday, May 4th, 2007 at 11:48 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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