The index rebalancing for April month-end has not yet been completed, so I’ll have to update the index values at another time. However, I do have the other two tables!
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.Z | FixFloat | +1.0748% | Exchange/Reset date is 2007-12-1 (Exchange with BCE.PR.Y); until then, pay 5.319% of par. Closed at 23.51-89, 3×10; the Ys closed at 23.11-49, 2×2. |
| BCE.PR.H | Ratchet | +1.0753% | Exchange/Reset date is 2011-5-1 (Exchange with BCE.PR.G, which currently pays 4.35% of par). Closed at 23.50-75, 20×2; the Gs closed at 21.91-37, 5×1. |
| BCE.PR.C | FixFloat | +1.0975% | Exchange/Reset date is 2008-3-1 (Exchange with series ‘AD’, not issued); until then, pay 5.55% of par. Closed at 23.95-24, 1×2. |
| AL.PR.E | Floater | +1.6231% | |
| BCE.PR.A | FixFloat | +2.1496% | Exchange/Reset date is 2007-09-01 (Exchange with series ‘AB’, not issued); until then, pay 5.03% of par. Closed at 23.76-00, 5×59. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.G | PerpetualDiscount | 238,964 | Recent new issue. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.51 and a limitMaturity. |
| NA.PR.K | PerpetualPremium | 201,300 | Desjardins crossed two tranches of 100,000 shares at 26.80. Now with a pre-tax bid-YTW of 2.91% based on a bid of 26.72 and a call 2008-6-14 at 26.00 – pretty skimpy! You can buy Canada bonds of that term to yield more than that, interest equivalent … the buyers must be hoping the issue will last longer. |
| MFC.PR.B | PerpetualPremium | 112,844 | Scotia crossed 100,000 at 25.30. Now with a pre-tax bid-YTW of 4.57% based on a bid of 25.29 and a call 2014-4-18 at 25.00. |
| MFC.PR.C | PerpetualDiscount | 110,329 | Scotia crossed 100,000 at 24.69. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.65 and a limitMaturity. |
| WN.PR.D | PerpetualPremium | 108,020 | Scotia crossed 25,000 at 25.25, then 75,000 at the same price. Now with a pre-tax bid-YTW of 5.17% based on a bid of 25.21 and a call 2014-10-31 at 25.00. Remember that Weston is still on Credit Wath Negative. |
There were fifteen other $25-equivalent index-included issues trading over 10,000 shares today.
Update, 2007-05-03
| 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 | 4.56% | 4.57% | 42,607 | 16.34 | 2 | +0.5219% | 977.1 |
| Fixed-Floater | 5.43% | 4.50% | 124,066 | 16.51 | 6 | +0.9393% | 951.6 |
| Floater | 4.71% | -22.29% | 73,448 | 5.53 | 3 | +0.4919% | 1,067.2 |
| Op. Retract | 4.73% | 3.22% | 82,957 | 2.59 | 17 | -0.0152% | 1,032.4 |
| Split-Share | 4.97% | 4.29% | 182,937 | 3.89 | 12 | -0.0492% | 1,044.0 |
| Interest Bearing | 6.50% | 4.60% | 61,951 | 2.25 | 5 | +0.0830% | 1,048.7 |
| Perpetual-Premium | 5.13% | 4.50% | 172,210 | 5.06 | 48 | -0.0378% | 1,050.8 |
| Perpetual-Discount | 4.60% | 4.62% | 821,913 | 16.17 | 18 | +0.1478% | 1,055.7 |