May 15, 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 4.90% 4.93% 42,317 15.68 2 +0.1737% 971.7
Fixed-Floater 5.55% 4.90% 133,293 15.80 6 -1.1477% 932.6
Floater 4.79% -2.06% 76,993 11.18 3 -0.2650% 1,048.6
Op. Retract 4.75% 3.41% 84,903 2.58 17 -0.1195% 1,032.2
Split-Share 4.95% 4.10% 161,493 4.00 12 +0.1931% 1,049.2
Interest Bearing 6.51% 6.18% 65,698 3.39 5 +0.1347% 1,046.8
Perpetual-Premium 5.14% 4.39% 172,216 5.36 48 -0.0639% 1,050.2
Perpetual-Discount 4.64% 4.67% 773,492 16.07 19 -0.1614% 1,049.5
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixFloat -2.4018% Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 21.13-99, 5×6; the Hs closed at 23.36-49, 27×19.
BCE.PR.I FixFloat -1.4831% Exchange/Reset date is 2011-8-1 (Exchanges with Series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 21.92-35, 10×15, on volume of 47,082 after Nesbitt crossed 40,000 at 22.25.
BCE.PR.C FixFloat -1.4561% Exchange/Reset date is 2008-03-01 (Exchanges with Series ‘AD’, not issued); until then, pays 5.54% of par. Closed at 23.01-28, 3×1.
RY.PR.F PerpetualDiscount -1.3442% On light volume of 3,280 shares. Now with a pre-tax bid-YTW of 4.66% based on a bid of 24.22 and a limitMaturity.
BCE.PR.Z FixFloat -1.1178% Exchange/Reset date is 2007-12-1 (Exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 23.00-49, 24×5, hitting a 52-week low of 23.00 along the way. BCE.PR.Y closed at 23.10-38, 3×1, also hitting a 52-week low of 23.11.
Volume Highlights
Issue Index Volume Notes
CU.PR.B PerpetualPremium 182,075 Desjardins crossed 150,000 at 27.15 for delayed delivery (DD), then two more tranches at the same price, also DD. This issue went ex-dividend for $0.375 today. Now with a pre-tax bid-YTW of 3.58% based on a bid of 26.56 and a call 2008-7-1 at 26.00.
CM.PR.I PerpetualPremium 95,880 Now with a pre-tax bid-YTW of 4.67% based on a bid of 25.16 and a call 2016-3-1 at 25.00.
BNS.PR.M PerpetualDiscount 51,500 Now with a pre-tax bid-YTW of 4.58% based on a bid of 24.81 and a limitMaturity.
BCE.PR.I FixFloat 47,082 Discussed above as a major price move.
BNS.PR.L PerpetualDiscount 33,400 National Bank crossed 25,000 at 24.85. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.81 and a limitMaturity.

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

Leave a Reply

You must be logged in to post a comment.