| 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 |
4.07% |
4.09% |
24,015 |
17.27 |
1 |
-0.1609% |
1,028.4 |
| Fixed-Floater |
4.75% |
3.11% |
76,886 |
10.73 |
7 |
+0.3083% |
1,046.9 |
| Floater |
4.57% |
-25.47% |
63,673 |
8.20 |
4 |
+0.1674% |
1,044.8 |
| Op. Retract |
4.68% |
2.10% |
78,584 |
2.02 |
17 |
+0.0116% |
1,031.5 |
| Split-Share |
5.05% |
0.81% |
410,266 |
2.85 |
11 |
-0.1176% |
1,044.8 |
| Interest Bearing |
6.70% |
5.64% |
75,192 |
2.81 |
6 |
+0.1281% |
1,036.6 |
| Perpetual-Premium |
5.02% |
3.68% |
237,619 |
5.43 |
55 |
-0.0062% |
1,052.2 |
| Perpetual-Discount |
4.51% |
4.53% |
1,221,325 |
16.34 |
4 |
-0.0805% |
1,054.5 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.Z |
FixedFloater |
+1.0417% |
What’s up with FixedFloaters and specifically this issue? The index has gained a total of 0.75% in the last three days. This particular issue is callable at $25.00 on 2007-12-1 and becomes exchangeable into a ratchet-rate preferred at that point … and if BCE feels like it, BCE can put such a crummy rate on the reset option that conversion is almost forced. So, who would put a closing bid of $26.19 on this stuff? Even more mysteriously, who would pay $28.00 for it? TD Securities bought 122 shares at $28.00 and CIBC bought 388 shares at the same price today. ???? That makes two poor retail suckers who have just overpaid big time. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BMO.PR.J |
PerpetualDiscount |
371,320 |
Today’s new issue settlement brings lots of lovely commissions to the Street! Now with a pre-tax bid-YTW of 4.52% based on a limitMaturity. |
| FBS.PR.B |
SplitShare |
265,850 |
Recent new issue continues to trade frantically. But why? Why why why? Now with a pre-tax bid-YTW of 1.93% based on a bid of $10.32 and a call 2008-1-14 at $10.00. Many are obviously betting that it will last until the hardMaturity 2011-12-15 … that will be a first, if it happens to a large extent. |
| BNS.PR.K |
PerpetualPremium |
72,431 |
Scotia crossed 70,100 at $26.00. Now with a pre-tax bid-YTW of 4.18%, based on a bid of 25.97 and a call 2014-5-28 at $25.00. |
| CM.PR.I |
PerpetualPremium |
54,742 |
Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.42 and a call 2016-3-1 at $25.00. Getting to be a tad expensive, I’d say. |
| BNA.PR.C |
SplitShare |
53,075 |
Recent New Issue. Now with a pre-tax bid-YTW of 4.46% based on a bid of $24.81 and a hardMaturity 2019-1-10 at $25.00 |
There were ten other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Wednesday, January 17th, 2007 at 10:57 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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