February 15, 2007

Hell. I have just realized that instead of copying February 14 as a template, I have instead over-written it. All that deathless prose, gone! Sorry.

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% 4.08% 28,150 17.28 1 0.0000% 1,044.0
Fixed-Floater 4.81% 3.47% 89,478 8.17 7 +0.0339% 1,042.8
Floater 4.46% -24.20% 55,828 3.32 5 +0.0315% 1,051.3
Op. Retract 4.71% 2.28% 77,183 2.08 18 -0.0268% 1,031.0
Split-Share 5.09% 1.70% 273,487 2.64 14 -0.0213% 1,044.7
Interest Bearing 6.48% 3.47% 58,743 2.36 5 +0.2675% 1,037.4
Perpetual-Premium 5.06% 3.76% 227,505 5.06 51 +0.0312% 1,053.0
Perpetual-Discount 4.52% 4.56% 1,178,412 16.27 11 +0.0693% 1,058.8
Major Price Changes
Issue Index Change Notes
There were no index-included issues with significant price moves today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 84,315 Nesbitt crossed 75,000 at $25.00. Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.01 and a limitMaturity.
WFS.PR.A SplitShare 163,312 Scotia crossed 100,000 @ 10.70, then Desjardins bought 25,000 from RBC in two tranches at the same price. Desjardins then crossed 25,000 at $10.70. Nice to see some action in this issue … it’s a perennial favourite of mine. Now with a pre-tax bid-YTW of 3.70% based on a bid of $10.70 and a hardMaturity 2011-6-30 at $10.00. That’s an interest-equivalent of nearly 5.2% at the Ontario Equivalency … not bad for a Pfd-2 (DBRS) with a known maturity of less than five years!
GWO.PR.X OpRet 51,974 I’m not such a big fan of this one … pre-tax bid-YTW of 2.57% based on a bid of $27.55 and a call 2009-10-30 at $26.00. Given the issuer bid, it doesn’t seem likely to me that it will survive to its softMaturity 2013-9-29 to yield 3.20% (especially considering that one can buy GWL bonds maturiting in 2018 to yield about 4.75% – do the math, people!) … but it takes two to make a market!
CM.PR.J PerpetualDiscount 50,480 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.90 and a limitMaturity.
WN.PR.E PerpetualPremium (but not for long, I suspect!) 43,178 Credit Watch Negative! Nesbitt crossed 11,500 at $24.65, CIBC bought 14,500 from Nesbitt at the same price. Now with a pre-tax bid-YTW of 4.88% based on a bid of $24.61 and a limitMaturity. Weston bonds maturing in 2031 are now trading to yield about maybe 5.85% (interest) Make of that what you will.

There were nineteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

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