| 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 |
4.80% |
4.82% |
44,115 |
15.86 |
2 |
-0.5248% |
978.5 |
| Fixed-Floater |
5.45% |
4.74% |
134,397 |
16.06 |
6 |
-0.3694% |
948.6 |
| Floater |
4.78% |
-5.63% |
75,502 |
0.72 |
3 |
0.1997% |
1,051.9 |
| Op. Retract |
4.74% |
3.31% |
84,129 |
2.35 |
17 |
-0.0270% |
1,033.1 |
| Split-Share |
4.97% |
4.36% |
163,814 |
4.01 |
12 |
+0.0906% |
1,044.8 |
| Interest Bearing |
6.52% |
5.41% |
62,608 |
2.22 |
5 |
+0.0646% |
1,045.7 |
| Perpetual-Premium |
5.13% |
4.36% |
170,085 |
5.23 |
48 |
-0.0242% |
1,050.5 |
| Perpetual-Discount |
4.62% |
4.65% |
794,916 |
16.10 |
19 |
-0.0077% |
1,052.3 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.I |
FixFloat |
-2.1538% |
Exchange/Reset Date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 22.26-73, 1×8. |
| BCE.PR.S |
Ratchet |
-1.4862% |
Exchange/Reset date is 2011-11-1 (Exchanges with BCE.PR.T, which pays 4.502% until then). Closed at 23.20-50, 1×2; Ts closed at 22.00-49, 5×1. |
| BCE.PR.A |
FixFloat |
-1.0634% |
Exchange/Reset date is 2007-9-1 (Exchanges with series ‘AB’, not issued); until then pays 5.03% of par. Closed at 23.26-47, 3×5. |
| NA.PR.K |
PerpetualPremium |
-1.0586% |
The bid just disappeared! Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.17 and (i) a call 2010-6-14 at 25.50, or (ii) a call 2011-6-14 at 25.25, or (iii) a call 2012-6-14 at 25.00. Each scenario gives the same yield, to two decimal places. |
| MFC.PR.A |
OpRet |
-1.0582% |
Now with a pre-tax bid-YTW of 3.56% based on a bid of 26.18 and a softMaturity 2015-12-18 at 25.00. |
| MFC.PR.C |
PerpetualDiscount |
-1.0459% |
Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.60 and a limitMaturity. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| TOC.PR.B |
Scraps (Would be Floater, but there are volume concerns) |
113,910 |
Desjardins crossed 100,000 at 25.40. This issue is currently on Credit Watch Negative by DBRS & Moodys. |
| WN.PR.D |
PerpetualPremium |
94,425 |
Scotia crossed 80,000 at 25.00. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.95 and a limitMaturity. This issue has been recently downgraded by S&P to P-3(High) and is the subject of a Credit Watch Negative by DBRS. |
| WN.PR.C |
PerpetualPremium |
90,732 |
Scotia crossed 82,100 at 25.00. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.95 and a limitMaturity. Credit-wise, in the same boat as WN.PR.D, above. |
| RY.PR.B |
PerpetualPremium |
29,140 |
Nesbitt crossed 14,300 at 25.50. Now with a pre-tax bid-YTW of 4.43% based on a bid of 25.47 and a call 2015-9-23 at 25.00. |
| BNS.PR.M |
PerpetualDiscount |
25,175 |
Scotia crossed 12,800 at 24.89. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.90 and a limitMaturity. |
There were eleven other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Friday, May 11th, 2007 at 11:41 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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