| 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 | 4.18% | 4.16% | 43,923 | 17.01 | 2 | -0.9225% | 1,032.3 |
| Fixed-Floater | 5.15% | 4.18% | 95,927 | 16.9 | 6 | -2.4640% | 993.1 |
| Floater | 4.57% | -15.67% | 55,849 | 0.13 | 4 | -0.0097% | 1,055.7 |
| Op. Retract | 4.73% | 3.19% | 84,668 | 2.11 | 17 | -0.0196% | 1,033.6 |
| Split-Share | 5.02% | 3.83% | 153,377 | 3.38 | 12 | -0.0457% | 1,048.6 |
| Interest Bearing | 6.51% | 4.09% | 62,716 | 2.28 | 5 | +0.2018% | 1,046.6 |
| Perpetual-Premium | 5.04% | 4.01% | 186,513 | 5.43 | 53 | -0.0432% | 1,058.8 |
| Perpetual-Discount | 4.53% | 4.56% | 858,953 | 16.29 | 11 | -0.0254% | 1,064.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.I | FixedFloater | -6.5421% | Did I say there was some carnage yesterday? I’m going to have to get out the dictionary and refresh my understanding of the word. However, the drop in this issue was exaggerated by Nesbitt’s sales totallying 1,300 shares in the last six minutes of trading, which took the price down from 24.12 to 23.62. On the one hand, one can feel sympathy for the market-maker: they’re supposed to stabilize the market and sell liquidity, not catch falling knives. On the other hand, the closing quotation of 23.00-24.40, 10×10, seems like a rather large spread. Oh – yeah. The exchange/reset date on these is 2011-08-11; until then, they have an annual dividend of 4.65%. |
| BCE.PR.G | FixedFloater | -3.2020% | Exchange/Reset date is 2011-05-01. Can’t fault the market maker on this one, although the closing quote’s fairly wide at 23.58-20, 10×5. The last trade of the day was a sale of 600 shares by Dundee at $23.50, timestamped 2:14, marking a new 52-week low for this issue. It traded as high as 24.70 in the morning. |
| BCE.PR.A | FixedFloater | -1.8211% | Exchange/Reset date is 2007-09-01; until then these pay 5.03% of par. Heavy volume for this issue of 27,385 shares, with something of an odd close: Nesbitt bought 2,000 shares in six trades in the last 18 minutes, taking the price up from 24.00 prior to this sequence to the close of 24.69. The buyer should have waited! The closing quote was 24.26-40, 5×10. |
| BCE.PR.Z | FixedFloater | -1.6720% | Exchange/Reset date is 2007-12-1; until then they pay 5.319% of par. Afterwards … I bet it’s less! Volume of 2,272 shares was about average for this issue, maybe a little light. These traded in a range of 24.62-25.50 on the day, closing quote 24.70-83, 1×5 |
| BCE.PR.C | FixedFloater | -1.4800% | Exchange/Reset date is 2008-03-01; until then they pay 5.54% of par. Closed at 24.63-15, 3×4. |
| BCE.PR.H | RatchetRate | -1.2445% | Exchange/Reset date is 2011-05-11; they exchange with the BCE.PR.G above, which makes pairs trading an interesting speculation. Closed at 24.60-94, 1×10. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| ELF.PR.G | PerpetualPremium | 56,000 | Desjardins crossed 50,000 at 25.20. Now with a pre-tax bid-YTW of 4.71% based on a bid of 25.11 and a call 2015-11-16 at 25.00 |
| CM.PR.I | PerpetualPremium | 50,845 | Now with a pre-tax bid-YTW of 4.58% based on a bid of 25.23 and a call 2016-3-1 at 25.00. |
| BNS.PR.J | PerpetualPremium | 49,860 | RBC crossed 25,000 at 26.50, then another 15,000 at the same price. Now with a pre-tax bid-YTW of 4.28% based on a bid of 26.40 and a call 2013-11-28 at 25.00 |
| GWO.PR.I | PerpetualDiscount | 38,860 | TD crossed 28,700 at 24.95. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.91 and a limitMaturity. |
| BNS.PR.L | PerpetualDiscount | 36,897 | Now with a pre-tax bid-YTW of 4.52% based on a bid of 24.92 and a limitMaturity. |
There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.