| 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 |
4.15% |
4.12% |
47,353 |
17.07 |
2 |
-0.8161% |
1,041.7 |
| Fixed-Floater |
4.98% |
3.98% |
88,663 |
17.12 |
6 |
+0.0805% |
1,027.0 |
| Floater |
4.58% |
-17.80% |
58,087 |
0.13 |
4 |
-0.1275% |
1,054.5 |
| Op. Retract |
4.72% |
3.15% |
84,881 |
2.13 |
17 |
+0.0050% |
1,034.2 |
| Split-Share |
5.00% |
3.77% |
160,236 |
3.18 |
12 |
+0.0935% |
1,049.4 |
| Interest Bearing |
6.51% |
3.65% |
64,109 |
2.29 |
5 |
+0.3053% |
1,046.6 |
| Perpetual-Premium |
5.04% |
3.95% |
189,738 |
5.07 |
53 |
+0.0707% |
1,058.8 |
| Perpetual-Discount |
4.53% |
4.55% |
933,621 |
16.32 |
11 |
+0.0366% |
1,065.6 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.H |
RatchetRate |
-1.0396% |
I thought ratchets weren’t supposed to do this! These will be exchangeable into BCE.PR.G (fixed-reset) May 1, 2011. The BCE.PR.H are currently paying $0.09375 monthly = $1.125 annually = 4.5% = 75% of Canadian Prime. |
| W.PR.H |
PerpetualPremium |
+1.0960% |
On volume of 6,291 shares, an active day for this issue. It traded as high as 27.00, closing at 26.75-89, 1×1. Now with a pre-tax bid-YTW of 4.15% based on a call 2013-2-14 at $25.00 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| AL.PR.F |
Scraps (would be Floater, but there are volume concerns) |
164,229 |
Went ex-dividend today, and the indefatigable traders at Global were crossing 82,000 for cash at 25.87, and the same number for regular settlement at 25.58. |
| CM.PR.J |
PerpetualDiscount |
108,500 |
Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.77 and a limitMaturity |
| ACO.PR.A |
OpRet |
101,011 |
Scotia crossed 50,000 at 27.65, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 2.44% based on a bid of 27.51 and a call 2008-12-31 at $26.00. There is obviously at least one buyer hoping for the softMaturity 2011-11-30 at $25.00, which will yield 3.56%. There are many such optimists: see Retractible Preferreds and Bonds. |
| BNS.PR.M |
PerpetualDiscount |
71,800 |
Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.92 and a limitMaturity. |
| CM.PR.I |
PerpetualPremium |
28,860 |
Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.26 and a call 2016-03-01 at $25.00. |
There were seven other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Wednesday, April 11th, 2007 at 11:01 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
You can leave a response, or trackback from your own site.