| 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 |
5.07% |
5.15% |
42,037 |
15.40 |
2 |
+0.0456% |
963.2 |
| Fixed-Floater |
5.63% |
5.11% |
140,602 |
15.47 |
6 |
+0.2481% |
920.1 |
| Floater |
4.80% |
-2.67% |
77,111 |
11.13 |
3 |
+0.3221% |
1,046.8 |
| Op. Retract |
4.75% |
3.42% |
84,600 |
2.32 |
17 |
+0.0529% |
1,030.9 |
| Split-Share |
4.97% |
4.17% |
227,988 |
3.97 |
12 |
+0.1112% |
1,051.5 |
| Interest Bearing |
6.53% |
6.36% |
69,460 |
3.20 |
5 |
-0.2342% |
1,044.0 |
| Perpetual-Premium |
5.17% |
4.67% |
175,724 |
6.63 |
48 |
-0.1523% |
1,044.2 |
| Perpetual-Discount |
4.68% |
4.70% |
704,485 |
16.03 |
19 |
-0.4296% |
1,041.7 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| TCA.PR.X |
PerpetualPremium |
-1.4240% |
Dipped as low as 52.30 on (relatively!) heavy volume of 9,468 shares before closing at 52.61-95, 8×7. Now with a pre-tax bid-YTW of 4.75% based on a bid of 52.61 and a call 2013-11-14 at 50.00. |
| BSD.PR.A |
Interest |
-1.1823% |
Now with a pre-tax bid-YTW of 6.18% (as interest) based on a bid of 10.03 and a hardMaturity 2015-3-31 at 10.00. |
| BNS.PR.L |
PerpetualDiscount |
-1.1290% |
Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.52 and a limitMaturity. |
| PWF.PR.K |
PerpetualPremium |
-1.0933% |
Now with a pre-tax bid-YTW of 4.82% based on a bid of 25.33 and a call 2014-11-30 at 25.00 |
| CM.PR.J |
PerpetualDiscount |
-1.0267% |
Now with a pre-tax bid-YTW of 4.70% based on a bid of 24.10 and a limitMaturity. |
| RY.PR.E |
PerpetualDiscount |
-1.0204% |
Now with a pre-tax bid-YTW of 4.65% based on a bid of 24.25 and a limitMaturity. |
| PWF.PR.J |
OpRet |
-1.0129% |
Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.41 and a softMaturity 2013-7-30 at 25.00. |
| BNA.PR.C |
SplitShare |
+1.0246% |
A dead cat bounce after the downgrade. Now with a pre-tax bid-YTW of 4.51% based on a bid of 24.65 and a hardMaturity 2019-1-10 at 25.00 |
| WN.PR.D |
PerpetualDiscount (for now! Will move to ‘Scraps’ based on credit quality at month-end) |
+1.0505% |
Another dead count bounce. Downgraded today by DBRS, May 3 by S&P. Now with a pre-tax bid-YTW of 5.27% based on a bid of 25.01 and a limitMaturity |
| CM.PR.R |
OpRet |
+1.1214% |
Now with a pre-tax bid-YTW of 3.59% based on a bid of 26.15 and a call 2008-5-30 at 25.75. Somebody’s decided it won’t be called … yield will be 4.25% if it lasts ’till its softMaturity 2013-4-29 at 25.00 |
| BCE.PR.G |
FixFloat |
-2.3333% |
Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Recovered from yesterday’s immense spread to close at 20.90-44, 1×5. The Hs closed at 23.01-49, 19×19. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| WN.PR.B |
OpRet (will be ‘scraps’ after month-end, based on credit quality) |
83,502 |
Desjardins crossed 25,300 at 26.04, then another 49,700 at the same price. Downgraded today by DBRS. Now with a pre-tax bid-YTW of 3.52% based on a bid of 26.01 and a softMaturity 2009-6-30 at 25.00. |
| TD.PR.O |
PerpetualPremium |
61,257 |
Scotia crossed 50,000 at 26.00. Now with a pre-tax bid-YTW of 4.36% based on a bid of 25.90 and a call 2014-11-30 at 25.00. |
| BAM.PR.H |
OpRet |
51,381 |
Scotia crossed 50,000 at 27.09. Now with a pre-tax bid-YTW of 2.54% based on a bid of 27.06 and a call 2008-10-30 at 25.75. Buyers obviously anticipate a softMaturity 2012-3-30 at 25.00, yielding 4.08%! |
| CM.PR.I |
PerpetualPremium |
51,380 |
Now with a pre-tax bid-YTW of 4.73% based on a bid of 25.00 and a limitMaturity. |
| BMO.PR.J |
PerpetualDiscount |
39,500 |
Now with a pre-tax bid-YTW of 4.60% based on a bid of 24.52 and a call 2016-3-26 at 24.52. |
There were twenty other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Wednesday, May 23rd, 2007 at 12:04 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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