| 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 |
4.90% |
4.93% |
42,317 |
15.68 |
2 |
+0.1737% |
971.7 |
| Fixed-Floater |
5.55% |
4.90% |
133,293 |
15.80 |
6 |
-1.1477% |
932.6 |
| Floater |
4.79% |
-2.06% |
76,993 |
11.18 |
3 |
-0.2650% |
1,048.6 |
| Op. Retract |
4.75% |
3.41% |
84,903 |
2.58 |
17 |
-0.1195% |
1,032.2 |
| Split-Share |
4.95% |
4.10% |
161,493 |
4.00 |
12 |
+0.1931% |
1,049.2 |
| Interest Bearing |
6.51% |
6.18% |
65,698 |
3.39 |
5 |
+0.1347% |
1,046.8 |
| Perpetual-Premium |
5.14% |
4.39% |
172,216 |
5.36 |
48 |
-0.0639% |
1,050.2 |
| Perpetual-Discount |
4.64% |
4.67% |
773,492 |
16.07 |
19 |
-0.1614% |
1,049.5 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.G |
FixFloat |
-2.4018% |
Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 21.13-99, 5×6; the Hs closed at 23.36-49, 27×19. |
| BCE.PR.I |
FixFloat |
-1.4831% |
Exchange/Reset date is 2011-8-1 (Exchanges with Series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 21.92-35, 10×15, on volume of 47,082 after Nesbitt crossed 40,000 at 22.25. |
| BCE.PR.C |
FixFloat |
-1.4561% |
Exchange/Reset date is 2008-03-01 (Exchanges with Series ‘AD’, not issued); until then, pays 5.54% of par. Closed at 23.01-28, 3×1. |
| RY.PR.F |
PerpetualDiscount |
-1.3442% |
On light volume of 3,280 shares. Now with a pre-tax bid-YTW of 4.66% based on a bid of 24.22 and a limitMaturity. |
| BCE.PR.Z |
FixFloat |
-1.1178% |
Exchange/Reset date is 2007-12-1 (Exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 23.00-49, 24×5, hitting a 52-week low of 23.00 along the way. BCE.PR.Y closed at 23.10-38, 3×1, also hitting a 52-week low of 23.11. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CU.PR.B |
PerpetualPremium |
182,075 |
Desjardins crossed 150,000 at 27.15 for delayed delivery (DD), then two more tranches at the same price, also DD. This issue went ex-dividend for $0.375 today. Now with a pre-tax bid-YTW of 3.58% based on a bid of 26.56 and a call 2008-7-1 at 26.00. |
| CM.PR.I |
PerpetualPremium |
95,880 |
Now with a pre-tax bid-YTW of 4.67% based on a bid of 25.16 and a call 2016-3-1 at 25.00. |
| BNS.PR.M |
PerpetualDiscount |
51,500 |
Now with a pre-tax bid-YTW of 4.58% based on a bid of 24.81 and a limitMaturity. |
| BCE.PR.I |
FixFloat |
47,082 |
Discussed above as a major price move. |
| BNS.PR.L |
PerpetualDiscount |
33,400 |
National Bank crossed 25,000 at 24.85. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.81 and a limitMaturity. |
There were twenty-five other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, May 15th, 2007 at 11:02 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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