| 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 |
4.95% |
4.98% |
42,381 |
15.59 |
2 |
-0.3851% |
974.9 |
| Fixed-Floater |
5.58% |
5.00% |
135,867 |
15.65 |
6 |
-0.1057% |
927.4 |
| Floater |
4.81% |
-2.06% |
76,997 |
11.14 |
3 |
+0.1497% |
1,046.0 |
| Op. Retract |
4.75% |
3.39% |
84,051 |
2.33 |
17 |
-0.0795% |
1,032.0 |
| Split-Share |
4.98% |
4.22% |
231,241 |
3.97 |
12 |
+0.0367% |
1,048.8 |
| Interest Bearing |
6.50% |
6.11% |
68,204 |
3.22 |
5 |
+0.0596% |
1,047.9 |
| Perpetual-Premium |
5.15% |
4.66% |
173,916 |
6.15 |
48 |
-0.3263% |
1,046.6 |
| Perpetual-Discount |
4.64% |
4.68% |
737,370 |
16.06 |
19 |
-0.1475% |
1,047.5 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.I |
FixFloat |
-2.5676% |
Exchange/Reset Date is 2011-8-1 (Exchanges with Series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 21.25-46, 6×2, touching a 52-week low of 21.00. |
| ELF.PR.G |
PerpetualPremium |
-1.3546% |
Now with a pre-tax bid-YTW of 4.84%, based on a bid of 24.76 and a limitMaturity. |
| CM.PR.E |
PerpetualPremium |
-1.3158% |
Now with a pre-tax bid-YTW of 4.66% based on a bid of 26.25 and a call 2012-11-30 at 25.00. That’s a lot of interest rate protection, with a still-attractive yield! |
| GWO.PR.G |
PerpetualPremium |
-1.2246% |
Now with a pre-tax bid-YTW of 4.78% based on a bid of 25.81 and a call 2014-1-30 at 25.00 |
| BNA.PR.C |
SplitShare |
-1.2121% |
Recently downgraded by DBRS – but still investment grade! Now with a pre-tax bid-YTW of 4.72% based on a bid of 24.45 and a hardMaturity 2019-1-10 at 25.00 |
| RY.PR.B |
PerpetualPremium (for now!) |
-1.1581% |
Now with a pre-tax bid-YTW of 4.76% based on a bid of 24.75 and a limitMaturity. |
| TCA.PR.X |
PerpetualPremium |
-1.0056% |
Now with a pre-tax bid-YTW of 4.54% based on a bid of 53.16 and a call 2013-11-14 at 50.00 |
| BCE.PR.C |
FixFloat |
+1.2631% |
Exchange/Reset date is 2008-03-01 (Exchanges with series ‘AD’, not issued); until then, pays 5.54% of par. Closed at 23.25-64, 11×8 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| HSB.PR.D |
PerpetualPremium |
256,650 |
National Bank crossed 250,000 at 26.38. Now with a pre-tax bid-YTW of 4.32% based on a bid of 26.31 and a call 2015-1-30 at 25.00. |
| SBN.PR.A |
SplitShare |
415,750 |
New issue settled today. Now with a pre-tax bid-YTW of 4.63% based on a bid of 10.42 and a hardMaturity 2014-12-1 at 10.00. |
| TD.PR.O |
PerpetualPremium |
94,850 |
Now with a pre-tax bid-YTW of 4.35% based on a bid of 25.90 and a call 2014-11-30 at 25.00. |
| RY.PR.C |
PerpetualDiscount |
56,300 |
Now with a pre-tax bid-YTW of 4.66% based on a bid of 24.71 and a limitMaturity. |
| BMO.PR.J |
PerpetualDiscount |
53,500 |
Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.71 and a limitMaturity. |
There were sixteen other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Friday, May 18th, 2007 at 1:03 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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[…] A dead cat bounce after the downgrade. Now with a pre-tax bid-YTW of 4.51% based on a bid of 24.65 and a hardMaturity 2019-1-10 at 25.00 […]