June 8, 2007

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 5.48% 5.55% 31,899 14.75 2 0.0000% 956.6
Fixed-Floater 5.71% 5.75% 138,792 14.65 7 -0.6250% 880.6
Floater 4.80% 1.22% 90,649 11.19 3 0.2815% 1,047.7
Op. Retract 4.81% 3.87% 85,775 3.18 17 -0.0365% 1,021.7
Split-Share 5.06% 4.79% 181,274 4.19 15 +0.2501% 1,034.3
Interest Bearing 6.64% 6.77% 89,527 6.12 4 -0.0994% 1,037.4
Perpetual-Premium 5.43% 5.22% 142,551 8.23 34 -0.2542% 1,013.3
Perpetual-Discount 5.09% 5.13% 557,808 15.28 29 -0.6872% 958.1
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixFloat -2.5941% Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 19.15-58, 13×5; the Hs closed at 22.75-00, 20×25. Let’s look at the math: The Gs pay $1.0875 p.a for (let’s call it) 4 years. That’s $4.35. Therefore, to be worth $3.00 more per share (and ignoring time-value of money), the Gs must pay a total of $7.35. That’s $1.8375 p.a., or 7.35% of par. Hmm … I guess the market figures that Canadian Prime’s going up … and staying up … right?
CIU.PR.A PerpetualDiscount -2.5424% Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.00 and a limitMaturity. New low of 22.75 today.
BCE.PR.R FixFloat -2.2727% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. New low of 19.32 today; closed at 19.35-72, 13×6.
MFC.PR.B PerpetualDiscount -2.1053% Now with a pre-tax bid-YTW of 5.01% based on a bid of 23.25 and a limitMaturity. Traded in a range of 22.81-75 today; the 22.81 was a new low.
BAM.PR.M PerpetualDiscount -1.8094% Now with a pre-tax bid-YTW of 5.44% based on a bid of 22.25 and a limitMaturity. New low of 22.25 today.
CM.PR.J PerpetualDiscount -1.7333% Now with a pre-tax bid-YTW of 5.15% based on a bid of 22.11 and a limitMaturity. New low of 22.02 today.
SLF.PR.B PerpetualDiscount -1.6842% Now with a pre-tax bid-YTW of 5.14% based on a bid of 23.35 and a limitMaturity. New low of 23.01 today.
CU.PR.A PerpetualPremium -1.6471% Now with a pre-tax bid-YTW of 5.79% based on a bid of 25.08 and a call 2012-3-31 at 25.00. New low of 25.26 today.
BCE.PR.I FixFloat -1.4646% Exchange/Reset date is 2011-8-1 (exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 19.51-69, 1×2; new low of 19.25 today.
RY.PR.E PerpetualDiscount -1.4197% Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.22 and a limitMaturity. New low of 22.07 today.
BNS.PR.K PerpetualPremium (for now!) -1.3779% Now with a pre-tax bid-YTW of 5.14% based on a bid of 23.62 and a limitMaturity. New low of 23.51 today.
BMO.PR.J PerpetualDiscount -1.3333% Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.20 and a limitMaturity. New low of 21.87 today.
BAM.PR.N PerpetualDiscount -1.3216% Now with a pre-tax bid-YTW of 5.37% based on a bid of 22.40 and a limitMaturity. New low of 22.25 today … tick … tick … tick … .
SLF.PR.A PerpetualDiscount -1.3108% Now with a pre-tax bid-YTW of 5.09% based on a bid of 23.34 and a limitMaturity. New low of 23.32 today.
CM.PR.I PerpetualDiscount -1.2346% Now with a pre-tax bid-YTW of 5.13% based on a bid of 23.20 and a limitMaturity. New low of 23.01 today.
BMO.PR.H PerpetualPremium -1.1719% Now with a pre-tax bid-YTW of 5.13% based on a bid of 25.30 and a call 2013-3-27 at 25.00. New low of 24.75 today.
NA.PR.L PerpetualPremium (for now!) -1.1475% Now with a pre-tax bid-YTW of 5.07% based on a bid of 24.12 and a limitMaturity. New low of 24.12 today.
RY.PR.A PerpetualDiscount -1.0989% Now with a pre-tax bid-YTW of 4.98% based on a bid of 22.50 and a limitMaturity. New low of 21.82 today.
IAG.PR.A PerpetualDiscount -1.0638% Now with a pre-tax bid-YTW of 4.95% based on a bid of 23.25 and a limitMaturity. New low of 22.75 today.
ALB.PR.A SplitShare +1.1755% Now with a pre-tax bid-YTW of 4.34% based on a bid of 24.96 and a hardMaturity 2011-2-28.
GWO.PR.E OpRet +1.3433% Now with a pre-tax bid-YTW of 3.92% based on a bid of 25.65 and a call 2011-4-30 at 25.00.
DFN.PR.A SplitShare +1.4706% Now with a pre-tax bid-YTW of 4.73% based on a bid of 10.35 and a hardMaturity 2014-12-1 at 10.00.
SBN.PR.A SplitShare +1.5702% Now with a pre-tax bid-YTW of 4.79% based on a bid of 10.35 and a hardMaturity 2014-12-1 at 10.00.

 

Volume Highlights
Issue Index Volume Notes
SLF.PR.A PerpetualDiscount 51,020 Now with a pre-tax bid-YTW of 5.09% based on a bid of 23.34 and a limitMaturity.
HSB.PR.D PerpetualPremium 43,400 Now with a pre-tax bid-YTW of 4.87% based on a bid of 25.50 and a call 2015-1-30 at 25.00.
CM.PR.I PerpetualDiscount 43,124 Now with a pre-tax bid-YTW of 5.13% based on a bid of 23.20 and a limitMaturity.
CIU.PR.A PerpetualDiscount 38,750 Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.00 and a limitMaturity.
CM.PR.G PerpetualDiscount 38,180 Now with a pre-tax bid-YTW of 5.37% based on a bid of 25.25 and a call 2014-5-31 at 25.00

There were thirty-nine other $25-equivalent index-included issues trading over 10,000 shares today.

This entry was posted on Friday, June 8th, 2007 at 11:31 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.

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