| 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 |
4.54% |
4.54% |
43,015 |
16.36 |
2 |
+1.9433% |
993.1 |
| Fixed-Floater |
5.34% |
4.46% |
132,904 |
16.55 |
6 |
+0.4778% |
968.9 |
| Floater |
4.72% |
-20.35% |
74,024 |
10.96 |
3 |
-0.2077% |
1,063.9 |
| Op. Retract |
4.74% |
3.11% |
85,438 |
2.59 |
17 |
-0.0860% |
1,033.1 |
| Split-Share |
4.96% |
4.17% |
177,638 |
3.89 |
12 |
+0.0845% |
1,046.3 |
| Interest Bearing |
6.50% |
4.76% |
62,536 |
2.24 |
5 |
-0.0196% |
1,048.4 |
| Perpetual-Premium |
5.13% |
4.53% |
170,598 |
5.23 |
48 |
-0.1002% |
1,049.8 |
| Perpetual-Discount |
4.61% |
4.63% |
796,170 |
16.16 |
18 |
-0.1202% |
1,054.3 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| WN.PR.D |
PerpetualPremium (for now!) |
-2.2556% |
Downgraded today by S&P. Now with a pre-tax bid-YTW of 5.32% based on a bid of 24.70 and a limitMaturity. |
| WN.PR.C |
PerpetualPremium (for now!) |
-1.5804% |
Downgraded today. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.91 and a limitMaturity. |
| WN.PR.E |
PerpetualDiscount |
-1.4628% |
Downgraded today. Now with a pre-tax bid-YTW of 4.94% based on a bid of 24.25 and a limitMaturity. |
| WN.PR.A |
PerpetualPremium |
-1.3261% |
Downgraded today. Now with a pre-tax bid-YTW of 5.71% based on a bid of 25.30 and a call 2011-1-14 at 25.00. |
| BCE.PR.H |
Ratchet |
+1.4951% |
Exchange/Reset date is 2011-05-01 (Exchange with BCE.PR.G, which pays 4.35% of par until then). The only trading today was a buy of 1,000 shares by MacDougall, executed in four tranches at prices from 23.98-07. Closed at 23.76-28, 3×4. The Gs closed at 22.50-74, 7×3. |
| BCE.PR.R |
FixFloat |
+1.5071% |
Exchange/Reset date is 2010-12-01 (Exchange with series ‘Q’, not issued); until then, pay 4.54% of par. Nesbitt crossed 200,000 at 22.95. Closed at 22.90-05, 10×2. |
| BCE.PR.S |
Ratchet |
+2.3965% |
Exchange/Reset date is 2011-11-1 (Exchange with BCE.PR.T, which pay 4.502% of par until then). Closed at 23.50-75, 7×1. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BCE.PR.R |
FixFloat |
206,800 |
Discussed above. |
| SLF.PR.E |
PerpetualDiscount |
131,800 |
TD crossed 99,100 at 24.85, then another 25,000 at the same price. Now with a pre-tax bid-YTW of 4.57% based on a bid of 24.81 and a limitMaturity. |
| BAM.PR.E |
Scraps (Would be Ratchet, but there are volume concerns) |
110,000 |
One trade, crossed for cash by Desjardins. |
| BCE.PR.Z |
FixFloat |
104,318 |
Desjardins crossed 100,000 at 23.81. Exchange/Reset date is 2007-12-1 (Exchange with BCE.PR.Y); until then, pay 5.319% of par. The Zs closed at 23.80-90, 27×18; the Ys at 23.60-74, 7×2. |
| CM.PR.H |
PerpetualPremium |
85,647 |
RBC crossed 50,000 at 25.68; National Bank crossed 24,000 at the same price. Now with a pre-tax bid-YTW of 4.40% based on a bid of 25.66 and a call 2014-4-29 at 25.00. |
| BCE.PR.A |
FixFloat |
79,710 |
Desjardins crossed 74,800 at 23.85. Exchange/Reset date is 2007-9-1 (Exchange with Series ‘AB’, not issued); until then, pay 5.03% of par. Closed at 23.76-94, 5×4. |
There were sixteen other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Thursday, May 3rd, 2007 at 11:17 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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