April 13, 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 4.17% 4.14% 45,838 17.04 2 -0.2605% 1,036.7
Fixed-Floater 5.00% 4.01% 92,841 17.10 6 -0.0208% 1,022.3
Floater 4.57% -18.59% 56,979 0.13 4 +0.0592% 1,055.7
Op. Retract 4.72% 3.07% 84,123 2.12 17 -0.0130% 1,034.8
Split-Share 5.01% 3.68% 158,554 3.18 12 +0.0095% 1,049.7
Interest Bearing 6.52% 5.36% 63,646 2.29 5 +0.1509% 1,045.5
Perpetual-Premium 5.04% 3.95% 188,012 5.07 53 -0.0032% 1,059.3
Perpetual-Discount 4.53% 4.55% 890,245 16.31 11 -0.0473% 1,065.5
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixedFloater -1.4022%  Exchange/Reset date is 2011-08-01
BCE.PR.R FixedFloater +1.0971%  Exchange/Reset date is 2010-12-01
Volume Highlights
Issue Index Volume Notes
PWF.PR.I PerpetualPremium 209,690 Now with a pre-tax bid-YTW of 4.35% based on a bid of $26.34 and a call 2008-05-30 at $26.00
TD.PR.O PerpetualPremium 60,100 NationalBank crossed 50,000 @ 26.35. Now with a pre-tax bid-YTW of 4.05% based on a bid of 26.29 and a call 2014-11-30 at $25.00.
PIC.PR.A SplitShare 87,305 National Bank spent the day buying from Nesbitt. Now with a pre-tax bid-YTW of 3.93% based on a bid of $15.87 and a hardMaturity 2010-11-1 at $15.00.
BNS.PR.M PerpetualDiscount 52,600 Recent new issue. Scotia crossed 20,000 @ 24.90. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.90 and a limitMaturity.
BCE.PR.A FixedFloater 35,650 RBC crossed 30,000 @ 24.95. These are convertable into the not-currently-extant series ‘AB’ Ratchet Rates, 2007-9-1, at which point the current dividend of $1.3625 (5.03% of par) will be reset. Bet it’s lower!

There were seventeen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

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