| 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 |
5.35% |
5.42% |
36,715 |
14.98 |
2 |
+1.7006% |
952.1 |
| Fixed-Floater |
5.76% |
5.51% |
162,487 |
14.96 |
6 |
-0.2911% |
898.5 |
| Floater |
4.79% |
-2.81% |
88,032 |
11.14 |
3 |
+0.2836% |
1,049.2 |
| Op. Retract |
4.79% |
3.80% |
85,906 |
2.93 |
17 |
-0.2482% |
1,024.4 |
| Split-Share |
5.01% |
4.41% |
215,947 |
3.94 |
13 |
-0.2466% |
1,043.5 |
| Interest Bearing |
6.55% |
6.44% |
72,642 |
5.33 |
5 |
-0.2872% |
1,043.8 |
| Perpetual-Premium |
5.26% |
4.85% |
197,455 |
8.17 |
48 |
-0.1731% |
1,028.0 |
| Perpetual-Discount |
4.89% |
4.93% |
642,053 |
15.64 |
19 |
-0.0997% |
997.6 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| PWF.PR.K |
PerpetualPremium (pre-rebalancing) |
-1.6064% |
Now with a pre-tax bid-YTW of 5.10% based on a bid of 24.50 and a limitMaturity. |
| POW.PR.C |
PerpetualPremium |
-1.5757% |
Now with a pre-tax bid-YTW of 5.41% based on a bid of 25.61 and a call 2012-1-5 at 25.00 |
| LBS.PR.A |
SplitShare |
-1.5209% |
Now with a pre-tax bid-YTW of 4.75% based on a bid of 10.36 and a hardMaturity 2013-11-29 at 10.00. |
| BAM.PR.J |
OpRet |
-1.4599% |
Now with a pre-tax bid-YTW of 4.59% based on a bid of 27.00 and a softMaturity 2018-3-30 at 25.00. |
| IGM.PR.A |
OpRet |
-1.4105% |
Now with a pre-tax bid-YTW of 4.28% based on a bid of 26.56 and a call 2009-7-30 at 26.00. |
| BSD.PR.A |
InterestBearing |
-1.4000% |
Now with a pre-tax bid-YTW of 6.24% (as interest) based on a bid of 9.86 and hardMaturity 2015-3-31 at 10.00. |
| BAM.PR.M |
PerpetualDiscount |
-1.2848% |
Now with a pre-tax bid-YTW of 5.23% based on a bid of 23.05 and a limitMaturity. |
| ELF.PR.G |
PerpetualPremium (pre-rebalancing) |
-1.1546% |
Now with a pre-tax bid-YTW of 5.01% based on a bid of 23.97 and a limitMaturity. |
| WN.PR.E |
PerpetualDiscount (pre-rebalancing) |
-1.0865% |
Now with a pre-tax bid-YTW of 5.30% based on a bid of 22.76 and a limitMaturity. |
| RY.PR.B |
PerpetualPremium (pre-rebalancing) |
-1.0673% |
Now with a pre-tax bid-YTW of 4.90% based on a bid of 24.10 and a limitMaturity. |
| AL.PR.E |
Floater |
+1.0359% |
|
| WN.PR.C |
PerpetualPremium (pre-rebalancing) |
+1.5327% |
Now with a pre-tax bid-YTW of 5.39% based on a bid of 24.51 and a limitMaturity. |
| BCE.PR.S |
Ratchet |
+3.4803% |
|
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BCE.PR.C |
FixFloat |
412,955 |
|
| BCE.PR.A |
FixFloat |
333,000 |
Nesbitt crossed 325,500 at 22.90 for Cash. |
| BCE.PR.R |
FixFloat |
210,750 |
|
| CM.PR.I |
PerpetualPremium (pre-rebalancing) |
129,720 |
Now with a pre-tax bid-YTW of 4.89% based on a bid of 24.25 and a limitMaturity. |
| TD.PR.O |
PerpetualPremium |
80,600 |
Nesbitt crossed 70,000 at 25.40. Now with a pre-tax bid-YTW of 4.69% based on a bid of 25.40 and a call 2014-11-30 at 25.00. |
There were thirty-nine other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Thursday, May 31st, 2007 at 11:52 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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