| 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 |
4.09% |
4.10% |
27,210 |
17.22 |
1 |
+0.0398% |
1,044.9 |
| Fixed-Floater |
4.80% |
3.54% |
86,257 |
8.17 |
7 |
-0.2344% |
1,044.0 |
| Floater |
4.48% |
-20.31% |
55,682 |
3.35 |
5 |
-0.0219% |
1,047.6 |
| Op. Retract |
4.70% |
2.15% |
74,116 |
2.06 |
18 |
-0.0035% |
1,031.9 |
| Split-Share |
5.09% |
0.42% |
257,600 |
2.69 |
14 |
+0.0871% |
1,045.8 |
| Interest Bearing |
6.47% |
3.29% |
59,424 |
2.35 |
5 |
-0.0189% |
1,039.0 |
| Perpetual-Premium |
5.03% |
3.75% |
221,519 |
4.90 |
51 |
+0.1008% |
1,054.6 |
| Perpetual-Discount |
4.53% |
4.55% |
1,142,956 |
15.49 |
11 |
+0.0914% |
1,060.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BNA.PR.A |
SplitShare |
+1.4853% |
Well … the issue did, after all, go ex-dividend today … but the price didn’t budge. So the pre-tax bid-YTW went from -4.59% yesterday to -21.46% today, based on a bid of $26.30 and a call 2007-3-22 at $25.75. But who knows? Maybe the issue will survive until its hardMaturity 2010-09-30 at $25.00 to have yielded 4.62% … but why BAM Split would allow an issue paying $1.56 to remain outstanding (OK, so they save $0.25 p.a. on that with the declining call premium. It’s still a lot!) when they’ve just proved they can issue with a $1.0875 pay-out is beyond me. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| SLF.PR.A |
PerpetualDiscount |
172,835 |
Now with a pre-tax bid-YTW of 4.30% based on a bid of $25.60 and a call 2014-4-30 at $25.00 |
| CM.PR.I |
PerpetualPremium |
165,024 |
Nesbitt crossed 156,300 at 25.50. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.41 and a call 2016-3-1 at $25.00 |
| CM.PR.H |
PerpetualPremium |
130,975 |
Now with a pre-tax bid-YTW of 4.23% based on a bid of $25.99 and a call 2014-4-29 at $25.00 |
| WN.PR.B |
OpRet |
80,065 |
Desjardins crossed 79,300 at $25.95. Now with a pre-tax bid-YTW of 3.88% based on a bid of $25.90 and softMaturity 2009-6-30 at $25.00. |
| CM.PR.J |
PerpetualDiscount |
71,905 |
Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity |
There were twenty other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Tuesday, February 20th, 2007 at 10:52 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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