| 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 |
4.22% |
4.21% |
42,189 |
16.95 |
2 |
-0.9105% |
1,022.9 |
| Fixed-Floater |
5.25% |
4.29% |
101,369 |
16.75 |
6 |
-1.9197% |
974.0 |
| Floater |
4.57% |
-15.95% |
55,877 |
0.13 |
4 |
+0.0296% |
1,056.0 |
| Op. Retract |
4.73% |
3.23% |
84,458 |
2.10 |
17 |
-0.0308% |
1,033.3 |
| Split-Share |
5.02% |
3.86% |
150,742 |
3.38 |
12 |
-0.0201% |
1,048.4 |
| Interest Bearing |
6.52% |
5.25% |
62,518 |
2.28 |
5 |
-0.0784% |
1,045.8 |
| Perpetual-Premium |
5.03% |
4.04% |
227,197 |
5.53 |
54 |
+0.0083% |
1,058.6 |
| Perpetual-Discount |
4.54% |
4.56% |
843,879 |
16.28 |
11 |
-0.1240% |
1,063.2 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.G |
FixedFloater |
-3.0534% |
Exchange/Reset date is 2011-05-01. Closed at 22.86-23.88, 2×5 … nice spread, eh? New low today, 22.81. |
| BCE.PR.H |
RatchetRate |
-2.3984% |
Exchange/Reset date is 2011-05-11; they exchange with the BCE.PR.G above, which makes pairs trading an interesting speculation. Closed at 24.01-49, 10×10 … it did this on zero volume. |
| BCE.PR.C |
FixedFloater |
-2.2736% |
Exchange/Reset date is 2008-03-01; until then they pay 5.54% of par. Closed at 24.07-34, 2×8. Traded as low as 23.54 today, a new 52-week low. |
| BCE.PR.R |
FixedFloater |
-2.2709% |
Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 24.10-34, 4×2. Traded as low as 24.10 today, a new 52-week low. |
| BCE.PR.Z |
FixedFloater |
-2.2267% |
Exchange/Reset date is 2007-12-1; until then they pay 5.319% of par. Afterwards … I bet it’s less! What a resilient issue this is! It didn’t set a new low today (so the low is still 23.72), closing at 24.15-34, 8×2. |
| BCE.PR.I |
FixedFloater |
-1.0435% |
Exchange/Reset date is 2011-08-01; until then they pay 4.65% of par. New low today, 22.76. Closed at 22.76-25, 7×9. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BPO.PR.I |
Scraps (would be OpRet, but there are credit concerns) |
150,945 |
Now with a pre-tax bid-YTW of 4.13% based on a bid of 26.00 and a call 2010-12-31 at 25.00 |
| RY.PR.D |
PerpetualPremium |
63,300 |
Now with a pre-tax bid-YTW of 4.54% based on a bid of 25.35 and a call 2016-3-25 at 25.00 … or a limitMaturity, take your pick. |
| CIU.PR.A |
PerpetualPremium |
61,950 |
New issue settled today … and yes, I know I haven’t written it up yet! Later, OK? Now with a pre-tax bid-YTW of 4.61% based on a bid of 25.00 and a limitMaturity. |
| PWF.PR.F |
PerpetualPremium |
42,500 |
Now with a pre-tax bid-YTW of 4.32% based on a bid of 25.77 and a call 2010-12-30 at 25.00. |
| BNS.PR.M |
PerpetualDiscount |
40,027 |
Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.87 and a limitMaturity. |
There were seventeen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Thursday, April 19th, 2007 at 3:36 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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[…] Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 23.10-34, 6×1. Traded as low as 23.10 today, a new 52-week low. Each one of those three prices is exactly $1.00 below yesterday’s number, amusing if you don’t own it. […]