| 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% |
42,522 |
15.67 |
2 |
+0.7196% |
978.7 |
| Fixed-Floater |
5.57% |
4.96% |
134,514 |
15.71 |
6 |
-0.4594% |
928.5 |
| Floater |
4.81% |
1.21% |
77,230 |
11.19 |
3 |
-0.3983% |
1,044.4 |
| Op. Retract |
4.74% |
3.32% |
84,919 |
2.34 |
17 |
+0.0565% |
1,032.8 |
| Split-Share |
4.95% |
4.12% |
161,772 |
3.99 |
12 |
-0.0713% |
1,048.4 |
| Interest Bearing |
6.51% |
6.19% |
66,587 |
3.38 |
5 |
+0.0394% |
1,047.2 |
| Perpetual-Premium |
5.14% |
4.56% |
172,676 |
5.17 |
48 |
-0.0234% |
1,050.0 |
| Perpetual-Discount |
4.64% |
4.67% |
752,759 |
16.08 |
19 |
-0.0444% |
1,049.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.A |
FixFloat |
-1.2100% |
Exchange/Reset Date is 2007-9-1 (Exchanges with Series ‘AB’, not issued); until then, pays 5.03% of par. Closed at 22.86-04, 6×19, touching a 52-week low of 22.86. |
| CM.PR.R |
OpRet |
+1.1605% |
Now with a pre-tax bid-YTW of 3.53%, based on a bid of 26.15 and a call 2008-5-30 at 25.75. That’s a bond-equivalent of 4.94%, not bad! |
| BCE.PR.S |
Ratchet |
+1.4867% |
Exchange/Reset date is 2011-11-01 (Exchanges with BCE.PR.T, which pays 4.502% until then). Closed at 23.21-39, 3×10; the Ts closed at 22.00-23.75, 1×18, trading 1,250 shares in a range of 21.80-50. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| WN.PR.B |
OpRet |
139,520 |
Scotia crossed 138,400 at 26.00. Now with a pre-tax bid-YTW of 3.51% based on a bid of 26.00 and a softMaturity 2009-6-30 at 25.00. |
| TD.PR.O |
PerpetualPremium |
111,507 |
Nesbitt crossed 100,000 at 26.03. Now with a pre-tax bid-YTW of 4.27% based on a bid of 26.02 and a call 2014-11-30 at 25.00. |
| BAM.PR.H |
OpRet |
111,417 |
Scotia crossed 100,000 at 27.09. Now with a pre-tax bid-YTW of 2.48% based on a bid of 27.07 and a call 2008-10-30 at 25.75. There are those, it would appear, who believe it will last until its softMaturity at 25.00, 2012-3-30, to yield 4.05%! |
| CM.PR.I |
PerpetualPremium |
34,415 |
Now with a pre-tax bid-YTW of 4.68% based on a bid of 25.15 and a call 2016-3-1 at 25.00. |
| NA.PR.L |
PerpetualPremium |
30,607 |
National Bank crossed 12,700 at 25.75. Now with a pre-tax bid-YTW of 4.41% based on a bid of 25.70 and a call 2014-6-14 at 25.00. |
There were twenty-two other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Thursday, May 17th, 2007 at 12:37 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
You can leave a response, or trackback from your own site.