The index rebalancing for April month-end has been completed, but updating the index values will have to wait until tomorrow. However, I do have the other two tables!
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| GWO.PR.G | PerpetualPremium | -1.1069% | Nothing particularly exciting happened in the trading – it looks like the bids just dried up. Now with a pre-tax bid-YTW of 4.67% based on a bid of 25.91 and a call 2014-1-30 at 25.00. |
| BCE.PR.Z | FixFloat | +1.0208% | Exchange/Reset date is 2007-12-1 (Exchange with BCE.PR.Y); until then, pay 5.319% of par. Closed at 23.75-95, 20×2; the Ys closed at 23.03-74, 2×2. |
| BCE.PR.G | FixedFloater | +1.7800% | Exchange/Reset date is 2011-5-1 (Exchange with BCE.PR.H); until then, pay 4.35% of par. Closed at 22.30-40, 2×11; the Hs closed at 23.41-03, 13×5. |
| BCE.PR.I | FixFloat | +2.2411% | Exchange/Reset date is 2011-8-1 (Exchange with series ‘AJ’, not issued); until then, pay 4.65% of par. Closed at 22.81-09, 1×1. |
| BCE.PR.R | FixFloat | +3.0137% | Exchange/Reset date is 2010-12-01 (Exchange with series ‘Q’, not issued); until then, pay 4.54% of par. Closed at 22.56-64, 2×3. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BCE.PR.C | FixedFloater | 256,250 | Nesbitt crossed 100,000 at 24.00, then another 150,000 at the same price. Exchange/Reset date is 2008-03-01 (exchange with series ‘AD’, not issued); until then pay 5.54% of par. |
| RY.PR.G | PerpetualDiscount | 87,900 | Recent new issue. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.51 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | 65,825 | Scotia crossed 40,000 at 24.86, then another 10,000 at the same price. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.85 and a limitMaturity. |
| TD.PR.N | OpRet | 50,800 | TD crossed 41,800 at 26.93. Now with a pre-tax bid-YTW of 2.89% based on a bid of 26.81 and a call 2009-5-30 at 26.00 … The buyer is obviously hoping they last longer, preferably until their softMaturity 2014-1-30 at $25.00, which will yield 3.41%. Well … hope is a fine thing! |
| TD.PR.M | OpRet | 50,600 | Scotia crossed 50,000 at 26.90. A somewhat more careful buyer for this one! Now with a pre-tax bid-YTW of 3.12% based on a bid of 26.74 and a call 2009-5-30 at 26.00 … the softMaturity at 25.00 on 2013-10-30 implies a yield of 3.52%. |
There were eighteen other $25-equivalent index-included issues trading over 10,000 shares today.
Update, 2007-05-03
| 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 | 4.60% | 4.61% | 42,886 | 16.26 | 2 | -0.3010% | 974.2 |
| Fixed-Floater | 5.36% | 4.45% | 128,173 | 16.56 | 6 | +1.3299% | 964.3 |
| Floater | 4.71% | -19.85% | 73,776 | 11.00 | 3 | -0.1016% | 1,066.1 |
| Op. Retract | 4.73% | 3.07% | 83,864 | 2.30 | 17 | +0.1552% | 1,034.0 |
| Split-Share | 4.96% | 4.19% | 180,610 | 3.89 | 12 | +0.1361% | 1,045.4 |
| Interest Bearing | 6.50% | 4.69% | 61,881 | 2.25 | 5 | -0.0078% | 1,048.6 |
| Perpetual-Premium | 5.13% | 4.50% | 171,637 | 4.90 | 48 | +0.0075% | 1,050.8 |
| Perpetual-Discount | 4.60% | 4.62% | 808,321 | 16.17 | 18 | -0.0085% | 1,055.6 |