May 29, 2007

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 5.23% 5.29% 38,271 15.20 2 +0.3434% 963.8
Fixed-Floater 5.72% 5.40% 153,589 15.12 6 -0.1473% 905.7
Floater 4.80% -0.03% 80,956 5.62 3 +0.2412% 1,046.7
Op. Retract 4.77% 3.65% 85,023 2.94 17 +0.0498% 1,028.1
Split-Share 5.00% 4.36% 220,392 3.95 13 -0.1239% 1,046.1
Interest Bearing 6.55% 6.45% 70,572 5.33 5 +0.0006% 1,042.8
Perpetual-Premium 5.22% 4.83% 189,803 8.04 48 -0.3053% 1,033.8
Perpetual-Discount 4.87% 4.87% 649,224 15.73 19 -0.7814% 1,009.0
Major Price Changes
Issue Index Change Notes
RY.PR.A PerpetualDiscount -2.7473% New 52-week low of 23.10 today … and the closing bid was below this figure! Now with a pre-tax bid-YTW of 4.86% based on a bid of 23.01 and a limitMaturity.
BNS.PR.M PerpetualDiscount -2.0903% New 52-week low of 23.27 today. Now with a pre-tax bid-YTW of 4.87% based on a bid of 23.42 and a limitMaturity.
CM.PR.I PerpetualPremium (for now!) -1.8182% New 52-week low of 24.03 today. Now with a pre-tax bid-YTW of 4.88% based on a bid of 24.30 and a limitMaturity.
CM.PR.H PerpetualPremium (for now!) -1.7822% Now with a pre-tax bid-YTW of 4.88% based on a bid of 24.80 and a limitMaturity.
SLF.PR.B PerpetualPremium (for now!) -1.6000% Now with a pre-tax bid-YTW of 4.87% based on a bid of 24.60 and a limitMaturity.
BMO.PR.J PerpetualPremium (for now!) -1.5152% New 52-week low of 23.30 today. Now with a pre-tax bid-YTW of 4.83% based on a bid of 23.40 and a limitMaturity.
BNS.PR.L PerpetualDiscount -1.5000% New 52-week low of 23.65 today. Now with a pre-tax bid-YTW of 4.80% based on a bid of 23.64 and a limitMaturity.
CU.PR.B PerpetualPremium -1.4857% New 52-week low of 25.85 today. Now with a pre-tax bid-YTW of 5.25% based on a bid of 25.86 and a limitMaturity.
RY.PR.G PerpetualDiscount -1.4831% New 52-week low of 23.15 today. Now with a pre-tax bid-YTW of 4.89% based on a bid of 23.25 and a limitMaturity.
RY.PR.E PerpetualDiscount -1.4831% New 52-week low of 23.25 today. Now with a pre-tax bid-YTW of 4.86% based on a bid of 23.25 and a limitMaturity.
BAM.PR.M PerpetualDiscount -1.4553% Now with a pre-tax bid-YTW of 5.08% based on a bid of 23.70 and a limitMaturity.
WN.PR.A PerpetualPremium (for now!) -1.3708% New low of 24.64 today. Now with a pre-tax bid-YTW of 5.89% based on a bid of 24.64 and a limitMaturity. A recent downgrade.
RY.PR.D PerpetualDiscount -1.1083% New low of 22.55 today. Now with a pre-tax bid-YTW of 4.87% based on a bid of 23.20 and a limitMaturity.
PWF.PR.K PerpetualPremium (for now!) -1.0727% Now with a pre-tax bid-YTW of 5.01% based on a bid of 24.90 and a limitMaturity.
SLF.PR.C PerpetualDiscount -1.0372% New 52-week low of 22.90 today. Now with a pre-tax bid-YTW of 4.85% based on a bid of 22.90 and a limitMaturity.
GWO.PR.H PerpetualPremium +1.1182% Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.30 and a limitMaturity.
BCE.PR.S Ratchet +1.3167% Exchange/Reset date is 2011-11-1 (exchanges with BCE.PR.T, which pays 4.502% of par until then). Closed at 22.90-38, 2×5, on zero volume. The Ts closed at 21.55-05, 10×1, on zero volume.
IGM.PR.A OpRet +1.3650% Making up for yesterday’s losses. Now with a pre-tax bid-YTW of 3.34% based on a bid of 27.07 and a call 2009-7-30 at 26.00.
BCE.PR.R FixFloat +1.4735% Partial recovery from yesterday’s losses, but there was a new 52-week low of 20.05 anyway. Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 20.66-15, 1×1.
IAG.PR.A PerpetualDiscount +2.8112% Roaring back from yesterday’s losses, but set a new 52-week low of 24.00 anyway. Closed at 24.49-63, 20×5, so I bet the low seller feels silly. Now with a pre-tax bid-YTW of 4.68% based on a bid of 24.49 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
BBD.PR.D Scraps (would be FixFloat, but there are credit concerns) 187,480 Nesbitt crossed 15,000 at 18.95. Exchange/Reset date is 2007-8-1 – see the pairs analysis. The Ds closed at 18.90-95, 60×15; the Bs closed at 19.45-60.
TD.PR.O PerpetualPremium 120,940 Now with a pre-tax bid-YTW of 4.69% based on a bid of 25.39 and a call 2014-11-30 at 25.00.
SLF.PR.B PerpetualPremium (for now!) 84,265 Now with a pre-tax bid-YTW of 4.87% based on a bid of 24.60 and a limitMaturity.
CM.PR.H PerpetualPremium (for now!) 72,899 Now with a pre-tax bid-YTW of 4.88% based on a bid of 24.80 and a limitMaturity.
GWO.PR.H PerpetualPremium 68,898 Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.30 and a call 2014-10-30 at 25.00. There is some uncertainty as to what GWO will be doing in the capital markets in the near future.
BMO.PR.J PerpetualPremium (for now!) 38,050 Now with a pre-tax bid-YTW of 4.83% based on a bid of 23.40 and a limitMaturity.

There were thirty-four other $25-equivalent index-included issues trading over 10,000 shares today.

The prospectus for the Co-operators new issue is now on SEDAR and the issue has been added to the HIMIPref™ universe on a preIssue basis. It doesn’t look pretty!

This entry was posted on Wednesday, May 30th, 2007 at 12:34 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

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