| 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 |
5.08% |
5.17% |
41,577 |
15.38 |
2 |
+0.3303% |
966.4 |
| Fixed-Floater |
5.63% |
5.16% |
144,821 |
15.43 |
6 |
-0.0262% |
919.9 |
| Floater |
4.80% |
-3.42% |
78,710 |
11.10 |
3 |
-0.0528% |
1,046.3 |
| Op. Retract |
4.76% |
3.51% |
84,065 |
2.32 |
17 |
-0.0705% |
1,030.2 |
| Split-Share |
4.97% |
4.22% |
227,615 |
3.96 |
12 |
-0.0610% |
1,050.8 |
| Interest Bearing |
6.53% |
6.37% |
70,069 |
5.34 |
5 |
+0.0200% |
1,044.2 |
| Perpetual-Premium |
5.18% |
4.74% |
176,761 |
6.82 |
48 |
-0.2212% |
1,041.8 |
| Perpetual-Discount |
4.70% |
4.73% |
687,077 |
15.98 |
19 |
-0.4467% |
1,037.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| POW.PR.D |
PerpetualPremium |
-1.7147% |
Closed at 25.22-44, 1×2. Now with a pre-tax bid-YTW of 4.97% based on a bid of 25.22 and a call 2014-11-30 at 25.00. |
| BCE.PR.G |
FixFloat |
-1.5789% |
Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Hit the 52-week low of 20.25, closed at 20.57-00, 5×10. The Hs closed at 23.21-49 on no volume. Nearly $3.00 spread on this BCE pair … somebody must be profitting! |
| SLF.PR.C |
PerpetualDiscount |
-1.4256% |
Now with a pre-tax bid-YTW of 4.72% based on a bid of 23.51 and a limitMaturity. That makes 5% on a Pfd-3 perp and 4.85% on a Pfd-3(high) perp look pretty skimpy … especially as this issue implicitly has the chance, anyway, of a permanent 6%+ capital gain. |
| BMO.PR.J |
PerpetualDiscount |
-1.3458% |
Now with a pre-tax bid-YTW of 4.66% based on a bid of 24.19 and a limitMaturity. |
| SLF.PR.D |
PerpetualDiscount |
-1.2134% |
Now with a pre-tax bid-YTW of 4.70% based on a bid of 23.61 and a limitMaturity. |
| BNS.PR.K |
PerpetualPremium |
-1.1737% |
Now with a pre-tax bid-YTW of 4.71% based on a bid of 25.26 and a call 2014-5-28 at 25.00. |
| TD.PR.O |
PerpetualPremium |
-1.0425% |
Now with a pre-tax bid-YTW of 4.53% based on a bid of 25.63 and a call 2014-11-30 at 25.00. |
| BCE.PR.Z |
FixFloat |
+1.5172% |
Exchange/Reset date is 2007-12-1 (exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.75-99, 20×8; the Ys closed at 22.80-33, 1×4. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| RY.PR.B |
PerpetualPremium (until month-end, anyway!) |
94,500 |
Scotia crossed 67,300 at 24.75. Now with a pre-tax bid-YTW of 4.78% based on a bid of 24.66 and a limitMaturity. |
| PIC.PR.A |
SplitShare |
65,528 |
Now with a pre-tax bid-YTW of 4.23% based on a bid of 15.79 and a hardMaturity 2010-11-1 at 15.00. |
| BCE.PR.C |
FixFloat |
38,450 |
Exchange/Reset date is 2008-3-1 (exchanges with series ‘AD’, not issued); until then, pays 5.54% of par. Closed at 23.38-59, 9×4. |
| CM.PR.H |
PerpetualPremium |
37,235 |
Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.35 and a call 2014-4-29 at 25.00. |
| SLF.PR.A |
PerpetualPremium (until month-end, anyway!) |
34,500 |
Now with a pre-tax bid-YTW of 4.76% based on a bid of 24.85 and a limitMaturity. |
There were thirty-two other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Wednesday, May 23rd, 2007 at 11:42 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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