May 17, 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 4.95% 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.

One Response to “May 17, 2007”

  1. […] 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 […]

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