| 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 |
4.02% |
3.89% |
87,318 |
3.88 |
1 |
0.0000% |
1,047.4 |
| Fixed-Floater |
4.97% |
3.48% |
108,894 |
4.60 |
5 |
+0.0951% |
1,041.4 |
| Floater |
4.71% |
-17.32% |
71,942 |
11.02 |
3 |
+0.0264% |
1,050.1 |
| Op. Retract |
4.70% |
2.65% |
77,098 |
2.15 |
17 |
-0.0983% |
1,033.1 |
| Split-Share |
5.07% |
1.31% |
191,061 |
3.23 |
15 |
-0.0182% |
1,044.3 |
| Interest Bearing |
6.47% |
3.96% |
67,036 |
2.33 |
5 |
+0.1659% |
1,041.9 |
| Perpetual-Premium |
5.00% |
3.56% |
247,963 |
5.39 |
53 |
+0.0117% |
1,057.3 |
| Perpetual-Discount |
4.53% |
4.53% |
792,348 |
13.15 |
9 |
-0.0040% |
1,066.7 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| TD.PR.M |
OpRet |
-1.5659% |
On volume of 700 shares – which was enough to knock the quote down to 27.03-59, 55×4. Now with a pre-tax bid-YTW of 2.90% based on the bid and a call 2009-5-30 at $26.00. If it survives until its softMaturity 2013-10-30 at $25.00, it will have yielded 3.42% |
| BAM.PR.I |
OpRet |
+1.3011% |
An issue with similar terms to the TD.PR.M – the main difference is the credit. It pays $1.375 p.a., as opposed $1.175 for TD.PR.M. It did not trade today, despite the efforts of the bidders to attract attention. Now with a pre-tax bid-YTW of 3.25% based on a bid of $27.25 and a call 2009-7-30 at $25.75 … it if makes it to its softMaturity 2013-12-30, the yield will have been 4.17% |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| PWF.PR.K |
PerpetualPremium |
142,950 |
RBC crossed 139,000 at 26.20. Now with a pre-tax bid-YTW of 4.34% based on a bid of $26.16 and a call 2014-11-30 at 4.34%. |
| BAM.PR.M |
PerpetualPremium |
116,200 |
Desjardins crossed 108,400 at $25.20. Now with a pre-tax bid-YTW of 4.77% based on a bid of $25.25 and a call 2016-03-01 at $25.00. |
| BCE.PR.S |
Scraps (would be “ratchet” with more volume) |
102,500 |
Nesbitt crossed 100,000 at $25.20. |
| WN.PR.E |
PerpetualDiscount |
62,359 |
Still on credit watch negative. Now with a pre-tax bid-YTW of 4.81% based on a bid of 25.08 and a limitMaturity |
| TD.PR.N |
OpRet |
50,000 |
Nesbitt crossed 50,000 at 27.40. Now with a pre-tax bid-YTW of 2.37% based on a bid of $27.28 and a call 2009-5-30 at $26.00. Big Deal. Even if it survives until its softMaturity 2014-1-30, its yield will have been only 3.21% … basically a corporate bond, in fact, after taking account of the Ontario Equivalency Factor of 1.40. |
There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Friday, March 9th, 2007 at 10:09 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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