| 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 |
4.16% |
4.13% |
46,302 |
17.05 |
2 |
-0.2194% |
1,039.4 |
| Fixed-Floater |
5.00% |
4.01% |
90,778 |
17.11 |
6 |
-0.4378% |
1,022.5 |
| Floater |
4.58% |
-18.29% |
57,706 |
0.13 |
4 |
+0.0493% |
1,055.1 |
| Op. Retract |
4.72% |
3.06% |
85,131 |
2.12 |
17 |
+0.0688% |
1,035.0 |
| Split-Share |
5.01% |
3.71% |
159,692 |
3.19 |
12 |
+0.0231% |
1,049.6 |
| Interest Bearing |
6.53% |
5.19% |
63,809 |
2.29 |
5 |
-0.2553% |
1,043.9 |
| Perpetual-Premium |
5.04% |
3.93% |
188,093 |
5.09 |
53 |
+0.0536% |
1,059.3 |
| Perpetual-Discount |
4.53% |
4.55% |
906,951 |
16.32 |
11 |
+0.0367% |
1,066.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.R |
FixedFloater |
-1.0454% |
Quick, says someone, get out of BCE before a leveraged buy-out turns the credit to junk! This one pays 4.54%, with the rate being reset 2010-12-01, at which point it is also exchangeable into a ratchet-rate. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BCE.PR.A |
FixedFloater |
255,890 |
Desjardins crossed 140,000 at 24.50, then another 98,000 at the same price. Somebody took a real haircut to get out of BCE in size – yesterday it was bid at 25.01, and closed today at 24.83-04. I tell people: this kind of instrument is not money market! Not with perpetual credit risk, it isn’t. But nobody ever listens. |
| SLF.PR.B |
PerpetualPremium |
44,100 |
Nesbitt crossed 40,000 at 25.82. Now with a pre-tax bid-YTW of 4.35% based on a bid of $25.80 and a call 2014-10-30 at $25.00. |
| CM.PR.I |
PerpetualPremium |
24,011 |
Now with a pre-tax bid-YTW of 4.51% based on a bid of 25.35 and a call 2016-3-1 at $25.00 |
| SLF.PR.D |
PerpetualDiscount |
16,785 |
Now with a pre-tax bid-YTW of 4.51% based on a bid of 24.76 and a limitMaturity. |
| BNS.PR.M |
PerpetualDiscount |
16,650 |
Recent new issue. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.89 and a limitMaturity. |
There were eleven other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Thursday, April 12th, 2007 at 11:00 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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