| 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 | 4.22% | 4.21% | 42,189 | 16.95 | 2 | -0.9105% | 1,022.9 |
| Fixed-Floater | 5.25% | 4.29% | 101,369 | 16.75 | 6 | -1.9197% | 974.0 |
| Floater | 4.57% | -15.95% | 55,877 | 0.13 | 4 | +0.0296% | 1,056.0 |
| Op. Retract | 4.73% | 3.23% | 84,458 | 2.10 | 17 | -0.0308% | 1,033.3 |
| Split-Share | 5.02% | 3.86% | 150,742 | 3.38 | 12 | -0.0201% | 1,048.4 |
| Interest Bearing | 6.52% | 5.25% | 62,518 | 2.28 | 5 | -0.0784% | 1,045.8 |
| Perpetual-Premium | 5.03% | 4.04% | 227,197 | 5.53 | 54 | +0.0083% | 1,058.6 |
| Perpetual-Discount | 4.54% | 4.56% | 843,879 | 16.28 | 11 | -0.1240% | 1,063.2 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.G | FixedFloater | -3.0534% | Exchange/Reset date is 2011-05-01. Closed at 22.86-23.88, 2×5 … nice spread, eh? New low today, 22.81. |
| BCE.PR.H | RatchetRate | -2.3984% | Exchange/Reset date is 2011-05-11; they exchange with the BCE.PR.G above, which makes pairs trading an interesting speculation. Closed at 24.01-49, 10×10 … it did this on zero volume. |
| BCE.PR.C | FixedFloater | -2.2736% | Exchange/Reset date is 2008-03-01; until then they pay 5.54% of par. Closed at 24.07-34, 2×8. Traded as low as 23.54 today, a new 52-week low. |
| BCE.PR.R | FixedFloater | -2.2709% | Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 24.10-34, 4×2. Traded as low as 24.10 today, a new 52-week low. |
| BCE.PR.Z | FixedFloater | -2.2267% | Exchange/Reset date is 2007-12-1; until then they pay 5.319% of par. Afterwards … I bet it’s less! What a resilient issue this is! It didn’t set a new low today (so the low is still 23.72), closing at 24.15-34, 8×2. |
| BCE.PR.I | FixedFloater | -1.0435% | Exchange/Reset date is 2011-08-01; until then they pay 4.65% of par. New low today, 22.76. Closed at 22.76-25, 7×9. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BPO.PR.I | Scraps (would be OpRet, but there are credit concerns) | 150,945 | Now with a pre-tax bid-YTW of 4.13% based on a bid of 26.00 and a call 2010-12-31 at 25.00 |
| RY.PR.D | PerpetualPremium | 63,300 | Now with a pre-tax bid-YTW of 4.54% based on a bid of 25.35 and a call 2016-3-25 at 25.00 … or a limitMaturity, take your pick. |
| CIU.PR.A | PerpetualPremium | 61,950 | New issue settled today … and yes, I know I haven’t written it up yet! Later, OK? Now with a pre-tax bid-YTW of 4.61% based on a bid of 25.00 and a limitMaturity. |
| PWF.PR.F | PerpetualPremium | 42,500 | Now with a pre-tax bid-YTW of 4.32% based on a bid of 25.77 and a call 2010-12-30 at 25.00. |
| BNS.PR.M | PerpetualDiscount | 40,027 | Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.87 and a limitMaturity. |
There were seventeen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
[…] Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 23.10-34, 6×1. Traded as low as 23.10 today, a new 52-week low. Each one of those three prices is exactly $1.00 below yesterday’s number, amusing if you don’t own it. […]