June 12, 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 5.55% 5.63% 30,022 14.62 2 +0.2453% 952.4
Fixed-Floater 5.71% 5.80% 137,256 14.57 7 +0.2243% 880.4
Floater 4.80% 1.22% 94,593 11.17 3 -0.0532% 1,047.3
Op. Retract 4.81% 3.90% 86,802 3.42 17 +0.1685% 1,020.5
Split-Share 5.08% 4.89% 175,667 4.40 15 -0.2735% 1,030.9
Interest Bearing 6.66% 6.83% 89,405 6.11 4 -0.3383% 1,035.4
Perpetual-Premium 5.46% 5.28% 145,276 9.68 34 -0.4456% 1,007.3
Perpetual-Discount 5.17% 5.21% 543,321 15.13 29 -0.8766% 943.3
Major Price Changes
Issue Index Change Notes
ELF.PR.F PerpetualPremium (for now!) -2.5948% New low of 24.75 today – closed at 24.40-10, 1×8. Now with a pre-tax bid-YTW of 5.51% based on a bid of 24.40 and a limitMaturity.
RY.PR.C PerpetualDiscount -2.4702% New low of 22.30 today – closed at 22.11-30, 10×20. Now with a pre-tax bid-YTW of 5.25% based on a bid of 22.11 and a limitMaturity.
SLF.PR.A PerpetualDiscount -2.3266% Now with a pre-tax bid-YTW of 5.25% based on a bid of 22.67 and a limitMaturity.
SLF.PR.E PerpetualDiscount -2.2676% New low of 21.60 today – closed at 21.55-60, 10×12. Now with a pre-tax bid-YTW of 5.22% based on a bid of 21.55 and a limitMaturity.
NA.PR.K PerpetualPremium -2.2264% Unwinding some of yesterday’s ill-gotten gains. Now with a pre-tax bid-YTW of 5.15% based on a bid of 25.91 and a call 2012-6-14 at 25.00.
RY.PR.F PerpetualDiscount -2.2022% New low of 21.60 today. Now with a pre-tax bid-YTW of 5.22% based on a bid of 21.76 and a limitMaturity.
RY.PR.B PerpetualDiscount -1.9397% New low of 22.75 today. Closed at 22.75-89, 25×3. Now with a pre-tax bid-YTW of 5.21% based on a bid of 22.75 and a limitMaturity.
SLF.PR.B PerpetualDiscount -1.6309% New low of 22.85 today. Now with a pre-tax bid-YTW of 5.24% based on a bid of 22.92 and a limitMaturity.
FTU.PR.A SplitShare -1.5640% Now with a pre-tax bid-YTW of 5.16% based on a bid of 10.07 and a hardMaturity 2012-12-1 at $10.00.
BNS.PR.M PerpetualDiscount -1.5281% New low of 21.92 today – closed at 21.91-10, 10×14. Now with a pre-tax bid-YTW of 5.23% based on a bid of 21.91 and a limitMaturity.
RY.PR.A PerpetualDiscount -1.5206% Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.02 and a limitMaturity.
POW.PR.D PerpetualDiscount -1.4433% New low of 23.90 today – closed at 23.90-29, 9×2. Now with a pre-tax bid-YTW of 5.31% based on a bid of 23.90 and a limitMaturity.
BAM.PR.N PerpetualDiscount -1.3964% New low of 21.90 today – closed at 21.89-00, 10×10. Now with a pre-tax bid-YTW of 5.50% based on a bid of 21.89 and a limitMaturity.
W.PR.H PerpetualDiscount -1.3861% Now with a pre-tax bid-YTW of 5.52% based on a bid of 24.90 and a limitMaturity.
RY.PR.G PerpetualDiscount -1.3833% New low of 22.10 today – closed at 22.10-26, 9×26. Now with a pre-tax bid-YTW of 5.16% based on a bid of 22.10 and a limitMaturity.
NA.PR.L PerpetualDiscount -1.3485% New low of 23.23 today. Now with a pre-tax bid-YTW of 5.23% based on a bid of 23.41 and a limitMaturity.
BMO.PR.J PerpetualDiscount -1.3122% New low of 21.80 today – closed at 21.81-00, 2×13. Now with a pre-tax bid-YTW of 5.20% based on a bid of 21.81 and a limitMaturity.
PWF.PR.F PerpetualPremium (for now!) -1.2048% New low of 24.45 today. Now with a pre-tax bid-YTW of 5.40% based on a bid of 24.60 and a limitMaturity.
CM.PR.J PerpetualDiscount -1.1722% New low of 21.91 today – closed at 21.92-00, 6×51. Now with a pre-tax bid-YTW of 5.20% based on a bid of 21.92 and a limitMaturity.
SLF.PR.D PerpetualDiscount -1.1034% New low of 21.50 today – closed at 21.51-80, 7×5. Now with a pre-tax bid-YTW of 5.19% based on a bid of 21.51 and a limitMaturity.
BNS.PR.K PerpetualDiscount -1.0616% New low of 23.30 today. Now with a pre-tax bid-YTW of 5.22% based on a bid of 23.30 and a limitMaturity
RY.PR.W PerpetualPremium (for now!) -1.0200% New low of 23.50 today … closed at 24.26-41, 3×23. Now with a pre-tax bid-YTW of 5.09% based on a bid of 24.26 and a limitMaturity.
BCE.PR.I FixFloat +1.0256% Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 19.70-90, 6×2.
TCA.PR.Y PerpetualPremium +1.3592% National Bank bought most of the 5,515 shares traded today. Now with a pre-tax bid-YTW of 4.97% based on a bid of 52.20 and a call 2014-4-4 at 50.00
BCE.PR.R FixFloat +1.3613% Exchange/Reset date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. New low of 19.05 today. Closed at 19.36-85, 5×1.
Volume Highlights
Issue Index Volume Notes
BMO.PR.H PerpetualPremium 109,767 Desjardins crossed two lots of 50,000 each at 25.11. Now with a pre-tax bid-YTW of 5.22% based on a bid of 25.10 and a limitMaturity.
CM.PR.C PerpetualPremium 101,780 Will be redeemed for $26.00 on July 31. RBC bought 89,700 from Nesbitt, all but 1,400 at 26.20, in nine tranches in the last ten minutes of the day.
BAM.PR.K Floater 100,275 TD crossed 98,100 at 24.86.
NA.PR.K PerpetualPremium 31,712 See “Major Price Changes”, above.
BMO.PR.J PerpetualDiscount 25,900 See “Major Price Changes”, above.

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

3 Responses to “June 12, 2007”

  1. Drew says:

    It seems odd that the yield on perpetual premiums continues to be higher than the yield on perpetual discount issues, at least in this environment. Is it in fact odd?

  2. jiHymas says:

    It seems odd to me! Operating Retractibles continue to trade at considerably lower yields than perpetuals, indicating that the market greatly prefers shorter-term instruments; but there is no valuation at all being given to higher chances of a call.

  3. […] I have uploaded a graph comparing the yield curves as of the June 12 trough in the PerpetualDiscount index; the September 19 peak, and today. Note that the graph shown plots AFTER-TAX SPOT YIELDS: […]

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