| 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 |
5.36% |
5.43% |
35,195 |
14.96 |
2 |
+0.2894% |
954.9 |
| Fixed-Floater |
5.59% |
5.50% |
141,295 |
15.01 |
7 |
+0.0191% |
898.7 |
| Floater |
4.78% |
-3.64% |
85,719 |
5.9 |
3 |
+0.1602% |
1,050.9 |
| Op. Retract |
4.80% |
3.85% |
82,948 |
2.97 |
17 |
-0.1688% |
1,022.7 |
| Split-Share |
5.03% |
4.55% |
187,553 |
4.05 |
15 |
-0.2839% |
1,040.6 |
| Interest Bearing |
6.60% |
6.54% |
85,139 |
6.14 |
4 |
+0.1248% |
1,045.1 |
| Perpetual-Premium |
5.36% |
4.79% |
132,692 |
5.88 |
34 |
-0.0909% |
1,027.1 |
| Perpetual-Discount |
4.90% |
4.94% |
564,256 |
15.62 |
29 |
-0.4319% |
993.3 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| ELF.PR.G |
PerpetualDiscount |
-3.0872% |
Now with a pre-tax bid-YTW of 5.18% based on a bid of 23.23 and a limitMaturity. |
| LFE.PR.A |
SplitShares |
-2.0992% |
A recent addition to the SplitShare index, following its April addition to the HIMIPref™ universe. Now with a pre-tax bid-YTW of 4.73% based on a bid of 10.26 and a hardMaturity 2012-12-1. |
| GWO.PR.E |
OpRet |
-1.9985% |
Now with a pre-tax bid-YTW of 4.07% based on a bid of 25.50 and a call 2011-4-30 at 25.00. There is some uncertainty regarding GWO’s capital market plans. |
| MFC.PR.A |
OpRet |
-1.7301% |
Now with a pre-tax bid-YTW of 3.78% based on a bid of 25.56 and a softMaturity 2015-12-18 at 25.00. |
| SLF.PR.C |
PerpetualDiscount |
-1.2719% |
Now with a pre-tax bid-YTW of 4.94% based on a bid of 22.51 and a limitMaturity. |
| SLF.PR.D |
PerpetualDiscount |
-1.1038% |
Now with a pre-tax bid-YTW of 4.97% based on a bid of 22.40 and a limitMaturity. |
| BCE.PR.G |
FixFloat |
-1.0732% |
Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 20.28-92, 5×7 (new low of 20.25 hit today); the Hs closed at 22.75-94, 20×5. |
| CM.PR.J |
PerpetualDiscount |
-1.0066% |
Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.62 and a limitMaturity. |
| BAM.PR.G |
FixFloat |
+1.4894% |
Exchange/Reset date is 2011-10-31 (exchanges with BAM.PR.E); until then, pays 4.35% of par. Closed at 23.85-00, 5×5; the Es closed at 24.85-00, 13×12. The Es are currently paying $0.09125 monthly = $1.095 p.a = 4.38% of par. |
| PWF.PR.H |
PerpetualPremium |
+1.5288% |
Now with a pre-tax bid-YTW of 5.02% based on a bid of 25.90 and a call 2012-1-9 at 25.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| TD.PR.O |
PerpetualPremium |
70,000 |
Now with a pre-tax bid-YTW of 4.79% based on a bid of 25.24 and a call 2014-11-30 at 25.00. |
| MFC.PR.B |
PerpetualDiscount |
62,290 |
Now with a pre-tax bid-YTW of 4.71% based on a bid of 24.70 and a limitMaturity. |
| RY.PR.G |
PerpetualDiscount |
57,236 |
Now with a pre-tax bid-YTW of 4.92% based on a bid of 23.10 and a limitMaturity. |
| CM.PR.I |
PerpetualDiscount |
56,035 |
Now with a pre-tax bid-YTW of 4.90% based on a bid of 24.20 and a limitMaturity. |
| BNS.PR.M |
PerpetualDiscount |
48,100 |
Now with a pre-tax bid-YTW of 4.89% based on a bid of 23.35 and a limitMaturity. |
There were twenty-four other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Saturday, June 2nd, 2007 at 2:30 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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RE: 5.25% LFE.PR.A bid @10.26 indicates yield of over 5% according to Globeinvestor and TDW yield calculators vs. your table. I hope this is an error because I hold this one but don’t want it @4.73%!
RE: CM.PR.J whacked down to 22.51 close yield 5%! This assumes a GOC 10 year @ 4.8%. Starting to smell like buying op…or not?
I’ve created a post discussing LFE.PR.A.
CM.PR.J … well, 5% from a bank guaranteed perpetual hasn’t been seen for a while, anyway! After application of a 1.4x Dividend Gross Up Factor, that’s 7% interest-equivalent, which is basically long-Canadas + 262bp, according to the Bank of Canada. There are certainly many who will consider it a buying opportunity.
[…] Also led the charts (downward) on June 1! New low today of 22.55. Now with a pre-tax bid-YTW of 5.34% based on a bid of 22.55 and a limitMaturity. […]