| 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 |
4.25% |
4.24% |
40,467 |
16.86 |
2 |
+0.9670% |
1,017.4 |
| Fixed-Floater |
5.44% |
4.47% |
107,857 |
16.44 |
6 |
-1.7970% |
941.3 |
| Floater |
4.56% |
-18.58% |
56,159 |
0.13 |
4 |
+0.3363% |
1,061.8 |
| Op. Retract |
4.73% |
3.27% |
83,839 |
2.20 |
17 |
-0.1183% |
1,033.4 |
| Split-Share |
5.03% |
3.99% |
142,867 |
3.23 |
12 |
+0.0266% |
1,046.8 |
| Interest Bearing |
6.51% |
3.92% |
61,511 |
1.91 |
5 |
+0.2016% |
1,047.3 |
| Perpetual-Premium |
5.05% |
4.22% |
222,634 |
5.87 |
54 |
-0.1467% |
1,056.2 |
| Perpetual-Discount |
4.55% |
4.58% |
797,257 |
16.26 |
11 |
-0.1873% |
1,061.2 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.R |
FixedFloater |
-3.762% |
Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 22.00-50, 50×100 … 50×100? Seems to me that a few institutional investors have had time for their meetings. Traded as low as 21.50 today, a new 52-week low. |
| BCE.PR.G |
FixedFloater |
-2.5541% |
Exchange/Reset date is 2011-05-01 (exchange to BCE.PR.H); until then, they pay 4.35% of par. The bid moved on zero volume and they closed at 22.51-00, 4×15. The BCE.PR.H closed at 24.25-50, 1×20. |
| BCE.PR.I |
FixedFloater |
-2.1324% |
Exchange/Resdet date is 2011-08-01 (counterpart is unissued series ‘AJ’); until then pay 4.65% of par. Closed at 22.03-19, 4×15; new low of 22.00 today. |
| POW.PR.D |
PerpetualPremium |
-1.6387% |
Now with a pre-tax bid-YTW of 4.54% based on a bid of 25.81 and a call 2014-11-30 at 25.00. |
| BCE.PR.Z |
FixedFloater |
-1.3842% |
Exchange/Reset date is 2007-12-1 (to BCE.PR.Y); until then they pay 5.319% of par. Closed at 23.51-79, 5×1; the Ys closed at 23.87-19. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.D |
PerpetualPremium |
245,550 |
Desjardins crossed 240,000 at 26.70. Now with a pre-tax bid-YTW of 3.69% based on a bid of 26.50 and a call 2008-5-30 at $26.00. |
| BAM.PR.M |
PerpetualPremium |
43,300 |
Now with a pre-tax bid-YTW of 4.82% based on a bid of 24.80 and a limitMaturity. These fell 0.44% today … almost certainly due to the very similar new issue announced today. |
| RY.PR.W |
PerpetualPremium |
38,660 |
Now with a pre-tax bid-YTW of 4.18% based on a bid of 26.00 and a call 2014-3-26 at 25.00 |
| SLF.PR.D |
PerpetualDiscount |
25,655 |
Now with a pre-tax bid-YTW of 4.57% based on a bid of 24.50 and a limitMaturity. |
| CM.PR.J |
PerpetualDiscount |
24,300 |
Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.78 and a limitMaturity. |
This entry was posted on Tuesday, April 24th, 2007 at 12:45 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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