| 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 |
3.87% |
3.87% |
78,237 |
3.91 |
1 |
+0.0000% |
1,047.4 |
| Fixed-Floater |
4.98% |
3.64% |
105,993 |
4.61 |
5 |
-0.0465% |
1,039.6 |
| Floater |
4.72% |
-18.56% |
76,399 |
0.09 |
3 |
-0.1043% |
1,048.1 |
| Op. Retract |
4.71% |
2.35% |
76,706 |
2.12 |
17 |
-0.1150% |
1,029.6 |
| Split-Share |
5.07% |
1.12% |
213,826 |
3.25 |
15 |
-0.0033% |
1,043.3 |
| Interest Bearing |
6.50% |
4.82% |
63,313 |
2.34 |
5 |
-0.1451% |
1,037.8 |
| Perpetual-Premium |
5.01% |
3.58% |
266,194 |
5.49 |
53 |
-0.0218% |
1,055.0 |
| Perpetual-Discount |
4.54% |
4.54% |
844,780 |
14.21 |
9 |
0.0226% |
1,063.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BAM.PR.I |
OpRet |
-1.2336% |
This doesn’t seem like a nice way for the market to greet Moodys’ upgrade of senior unsecured debt (from Baa3 to Baa2)! But, as far as I can make out from today’s trades, somebody at RBC really wanted to sell their 1,100 shares in a hurry, so it was done all at once, starting with 100 at 26.76 and continuing until 400 at 26.32. Now with a pre-tax bid-YTW of 4.61% based on a bid of $26.42 and a call 2009-7-30 at 25.75. It looks attractive at this price, provided you get filled! |
| FBS.PR.B |
SplitShare |
+1.1563% |
Now with a pre-tax bid-YTW of 1.41% based on a bid of $10.27 and a call 2008-1-14 at $10.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BCE.PR.C |
FixedFloater |
370,200 |
Nesbitt crossed 511,600 at $25.60. That’s a nice ticket to write, especially if they earned a nickel per share from each side! |
| BCE.PR.R |
FixedFloater |
362,150 |
Nesbitt crossed 360,000 at $25.50. |
| ACO.PR.A |
OpRet |
32,852 |
TD crossed 25,000 at $27.50 … and swept up a lot of offers on their way to that price! I can only assume they were working for somebody who had an urgent need to buy an issue with a yield to worst of 3.02% based on a bid of 27.16 and a call 2008-12-31 (at the ask of 27.64, the pre-tax YTW is 2.01%). |
| CM.PR.I |
PerpetualPremium |
31,500 |
Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.47 and a call 2016-3-1 at $25.00. |
| WN.PR.D |
PerpetualPremium |
21,600 |
RBC bought 15,000 from CIBC in two tranches at $25.80. Now with a pre-tax bid-YTW of 4.84% based on a bid of $25.83 and a call 2014-10-31 at $25.00. But remember … Credit Watch Negative! |
There were six other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
The rebalancing of the HIMIPref™ indices was quite extensive. I’ll try to report on it tomorrow.
This entry was posted on Thursday, March 1st, 2007 at 11:11 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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[…] TD crossed 33,000 at 27.95 and were on the buy side for all other board-lot trades today, four tranches executed immediately prior to the cross at prices from 27.60 to 27.95. At those prices yesterday’s cross at 27.50 was a bargain! At the closing quotation of 27.51-98, the pre-tax YTW quote is 2.29%-1.32%. Too rich for my blood, but quite normal for this issue. However, the graph of Modified-Duration-to-Worst shows the situation to be unsustainable … we will see within two years just whether Atco, with its stellar operating results really wants to pay $1.4375 p.a. for a retractible … even with the redemption cost declining by $0.50 annually. […]