| 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 |
5.40% |
5.48% |
34,727 |
14.88 |
2 |
-0.6353% |
956.6 |
| Fixed-Floater |
5.60% |
5.56% |
139,254 |
14.91 |
7 |
+0.0681% |
897.0 |
| Floater |
4.78% |
-3.63% |
89,116 |
5.90 |
3 |
+0.4868% |
1,051.3 |
| Op. Retract |
4.80% |
3.85% |
83,681 |
3.33 |
17 |
-0.1059% |
1,022.4 |
| Split-Share |
5.03% |
4.54% |
185,482 |
4.04 |
15 |
+0.0397% |
1,041.2 |
| Interest Bearing |
6.62% |
6.64% |
87,317 |
6.12 |
4 |
-0.1790% |
1,041.0 |
| Perpetual-Premium |
5.38% |
5.05% |
135,966 |
7.56 |
34 |
-0.2729% |
1,023.2 |
| Perpetual-Discount |
4.98% |
5.02% |
567,277 |
15.47 |
29 |
-0.6702% |
978.00 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| ELF.PR.G |
PerpetualDiscount |
-3.1042% |
Leads the list (downwards) for the third straight day. It seems rather odd … I don’t see any news, rating agency pronouncements or common-stock price-movement that would explain it. New low of 21.51 today. Now with a pre-tax bid-YTW of 5.52% (!) based on a bid of 21.85 and a limitMaturity. |
| ELF.PR.F |
PerpetualPremium |
-2.3846% |
New low of 25.06 today. Now with a pre-tax bid-YTW of 5.18% based on a bid of 25.38 and a call 2013-11-16 at 25.00. |
| PWF.PR.L |
PerpetualPremium (for now!) |
-1.9920% |
New low of 24.65 today. Now with a pre-tax bid-YTW of 5.24% based on a bid of 24.60 and a limitMaturity. |
| SLF.PR.C |
PerpetualDiscount |
-1.8642% |
New low of 22.20 today. Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.11 and a limitMaturity. |
| SLF.PR.A |
PerpetualDiscount |
-1.6116% |
New low of 23.80 today. Now with a pre-tax bid-YTW of 4.98% based on a bid of 23.81 and a limitMaturity. |
| POW.PR.D |
PerpetualDiscount |
-1.5719% |
New low of 24.35 today. Now with a pre-tax bid-YTW of 5.19% based on a bid of 24.42 and a limitMaturity. |
| PWF.PR.K |
PerpetualDiscount |
-1.5044% |
New low of 23.31 today. Now with a pre-tax bid-YTW of 5.31% based on a bid of 23.57 and a limitMaturity. |
| SLF.PR.B |
PerpetualDiscount |
-1.4870% |
New low of 23.72 today. Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.85 and a limitMaturity. |
| BSD.PR.A |
InterestBearing |
-1.4184% |
Now with a pre-tax bid-YTW of 6.47% (as interest) based on a bid of 9.73 and a hardMaturity 2015-3-31 at 10.00. |
| BMO.PR.J |
PerpetualDiscount |
-1.2931% |
New low of 22.78 today. Now with a pre-tax bid-YTW of 4.94% based on a bid of 22.90 and a limitMaturity. |
| BNS.PR.M |
PerpetualDiscount |
-1.2446% |
New low of 22.91 today. Now with a pre-tax bid-YTW of 4.96% based on a bid of 23.01 and a limitMaturity. |
| RY.PR.W |
PerpetualPremium (for now!) |
-1.2420% |
New low of 24.50 today. Now with a pre-tax bid-YTW of 5.00% based on a bid of 24.65 and a limitMaturity. |
| RY.PR.C |
PerpetualDiscount |
-1.1050% |
New low of 23.26 today. Now with a pre-tax bid-YTW of 4.97% based on a bid of 23.27 and a limitMaturity. |
| MFC.PR.A |
OpRet |
-1.0925% |
New low of 25.03 today. Now with a pre-tax bid-YTW of 3.90 based on a bid of 25.35 and a softMaturity 2015-12-18 at 25.00. |
| SBN.PR.A |
SplitShare |
-1.0567% |
New low of 10.30 today. Now with a pre-tax bid-YTW of 4.86% based on a bid of 10.30 and a hardMaturity 2014-12-01 at 10.00. |
| BCE.PR.H |
Ratchet |
-1.0004% |
Did not trade today. Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.G, which pays 4.35% of par until then). Closed at 22.76-00, 9×10; the Gs closed at 19.71-22, 5×5. Let’s see. Prime’s 6%. Assume the Hs pay 6% for the next four years and the Gs pay 4.35%. Difference = 1.65%. On $25.00 for 4 years, total amount of difference in dividends is $1.65. I guess the market is betting on a massive increase in prime, eh? |
| BAM.PR.G |
FixFloat |
+1.0616%% |
Exchange/Reset date is 2011-10-31 (Exchanges with BAM.PR.E); until then, pays 4.35% of par. The Gs closed at 23.80-90, 2×5; the Es closed at 24.95-05, 4×12. |
| AL.PR.E |
Floater |
+1.5994% |
Still on credit watch – developing. |
| GWO.PR.I |
PerpetualDiscount |
+1.6173% |
Capital market plans still on hold. Now with a pre-tax bid-YTW of 4.98% based on a bid of 22.62 and a limitMaturity. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| RY.PR.G |
PerpetualDiscount |
619,500 |
RBC crossed 550,000 at 22.65, then another 62,000 at the same price. Now with a pre-tax bid-YTW of 5.02% based on a bid of 22.66 and a limitMaturity. |
| RY.PR.D |
PerpetualDiscount |
91,175 |
Nesbitt crossed 75,000 at 22.68. Now with a pre-tax bid-YTW of 4.99% based on a bid of 22.68 and a limitMaturity. |
| SLF.PR.E |
PerpetualDiscount |
70,930 |
Nesbitt crossed 50,000 at 22.30. Now with a pre-tax bid-YTW of 5.05% based on a bid of 22.31 and a limitMaturity. |
| DFN.PR.A |
SplitShare |
163,650 |
Re-opened shares start trading June 6. Now with a pre-tax bid-YTW of 4.71% based on a bid of 10.36 and a hardMaturity 2014-12-1 at 10.00. |
| IGM.PR.A |
OpRet |
62,316 |
Now with a pre-tax bid-YTW of 4.39% based on a bid of 26.52 and a call 2009-7-30 at 26.00. |
There were thirty-three other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Wednesday, June 6th, 2007 at 12:22 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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