Up to my old tricks! Instead of using the May 7 report as a template for the May 8 report, I over-wrote it … so the May 7 report is gone forever. 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 |
4.66% |
4.68% |
45,424 |
16.12 |
2 |
+0.1068% |
985.6 |
| Fixed-Floater |
5.41% |
4.61% |
137,569 |
16.28 |
6 |
-1.5764% |
955.6 |
| Floater |
4.77% |
-8.72% |
73,508 |
6.22 |
3 |
+0.0405% |
1,053.1 |
| Op. Retract |
4.74% |
3.23% |
84,913 |
2.54 |
17 |
+0.0093% |
1,033.0 |
| Split-Share |
4.96% |
4.22% |
171,492 |
3.88 |
12 |
-0.1230% |
1,046.2 |
| Interest Bearing |
6.50% |
5.88% |
63,129 |
2.24 |
5 |
+0.0395% |
1,048.2 |
| Perpetual-Premium |
5.13% |
4.31% |
170,070 |
5.15 |
48 |
+0.0446% |
1,050.2 |
| Perpetual-Discount |
4.61% |
4.64% |
766,146 |
16.14 |
18 |
+0.0523% |
1,053.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.Z |
FixFloat |
-3.2609% |
Exchange/Reset date is 2007-12-1 (exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 23.26-56, 2×1; the Ys closed at 23.10-67, 3×2. |
| BCE.PR.R |
FixFloat |
-2.1730% |
Exchange/Reset date is 2010-12-1 (Exchanges with Series ‘Q’, not issued); until then pays 4.54% of par. Closed at 22.51-00, 5×3. |
| BCE.PR.C |
FixFloat |
-1.9665% |
Exchange/Reset date is 2008-3-1 (exchanges with Series ‘AD’, not issued); until then pays 5.54% of par. Closed at 23.43-73, 1×5. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| RY.PR.G |
PerpetualDiscount |
189,850 |
Recent new issue. Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.48 and a limitMaturity. |
| BNS.PR.L |
PerpetualDiscount |
115,154 |
Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.84 and a limitMaturity. |
| AL.PR.E |
Floater |
103,100 |
Presumably due to uncertainty regarding the Credit-Watch: Developing. |
| POW.PR.D |
PerpetualPremium |
58,420 |
Scotia crossed 56,000 at 25.80. Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.72 and a call 2014-11-30 at 25.00. |
| CM.PR.H |
PerpetualPremium |
57,895 |
Now with a pre-tax bid-YTW of 4.41% based on a bid of 25.65 and a call 2014-4-29 at 25.00. |
There were seventeen other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, May 8th, 2007 at 10:33 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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An article today in the Globe & Mail says that the bond yield curve has recently turned negative, which I suppose is consistent with what we are seeing in the preferred share market, and might explain HIMIPref’s attraction to split shares at the moment. Is there a web site that shows the Canadian yield curve?
I’m not sure which article in the Globe and Mail you mean, but yes, the Canada yield curve is inverted.
The Bank of Canada has very good data: see their selected bond yields:
The Globe and Mail has good pricing information.