| 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 |
4.42% |
4.42% |
42,977 |
16.62 |
2 |
-0.1605% |
991.7 |
| Fixed-Floater |
5.50% |
4.55% |
118,964 |
16.29 |
6 |
-0.3041% |
931.2 |
| Floater |
4.56% |
-19.12% |
57,071 |
0.13 |
4 |
+0.0884% |
1,062.4 |
| Op. Retract |
4.73% |
3.24% |
84,582 |
2.38 |
17 |
-0.0507% |
1,033.1 |
| Split-Share |
5.04% |
4.33% |
182,814 |
4.02 |
12 |
-0.0422% |
1,044.2 |
| Interest Bearing |
6.48% |
3.87% |
61,798 |
2.27 |
5 |
+0.1972% |
1,051.3 |
| Perpetual-Premium |
5.07% |
4.48% |
223,033 |
6.23 |
54 |
-0.1385% |
1,053.1 |
| Perpetual-Discount |
4.57% |
4.59% |
935,745 |
16.23 |
12 |
-0.3302% |
1,056.6 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.G |
FixedFloater |
-2.7335% |
Exchange/Reset date is 2011-05-1 (exchanges with BCE.PR.H); until then pays 4.35% of par. Another new low today, 21.01. Closed at 21.35-55, 10×2. The BCE.PR.H closed at 23.35-98, 50×3. Let’s see …BCE Pairs… say the “H” pay 6% (=100% of current prime), vs. the 4.35% on the “G”. Difference = 1.65% = $0.4125 p.a. Term to exchange is 4 years. I guess the market is betting that not only will the “H” pay 100% of prime until the exchange date, but that prime’s going to go up, too! |
| LBS.PR.A |
SplitShare |
-1.4178% |
Now with a pre-tax bid-YTW of 4.54% based on a bid of 10.43 and a hardMaturity 2013-11-29 at 10.00 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| RY.PR.G |
PerpetualDiscount |
519,113 |
New issue settled today. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.49 and a limitMaturity. |
| BNS.PR.M |
PerpetualDiscount |
169,125 |
Scotia crossed 101,600 at 24.87. Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.89 and a limitMaturity. |
| BCE.PR.C |
FixedFloater |
166,820 |
Exchange/Reset date is 2008-3-1 (Exchange with series ‘AD’, not issued). Until then, pay 5.54% of par. |
| PWF.PR.K |
PerpetualPremium |
52,770 |
Scotia crossed 50,000 @ 25.88. Now with a pre-tax bid-YTW of 4.44% based on a bid of 25.85 and a call 2014-11-30 at 25.00 |
| CM.PR.I |
PerpetualPremium |
49,125 |
Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.18 and a call 2016-3-1 at 25.00. |
There were eighteen other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Thursday, April 26th, 2007 at 10:08 pm 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.