| 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 |
5.43% |
5.50% |
34,678 |
14.83 |
2 |
0.0000% |
956.6 |
| Fixed-Floater |
5.63% |
5.62% |
138,823 |
14.84 |
7 |
-0.5030% |
892.5 |
| Floater |
4.78% |
-3.63% |
89,030 |
5.91 |
3 |
+0.0133% |
1,051.5 |
| Op. Retract |
4.80% |
3.81% |
84,404 |
3.19 |
17 |
-0.0332% |
1,022.1 |
| Split-Share |
5.03% |
4.60% |
182,692 |
4.03 |
15 |
-0.0915% |
1,040.3 |
| Interest Bearing |
6.63% |
6.74% |
88,032 |
6.13 |
4 |
-0.1892% |
1,039.0 |
| Perpetual-Premium |
5.38% |
5.07% |
138,853 |
7.46 |
34 |
-0.1712% |
1,021.5 |
| Perpetual-Discount |
4.99% |
5.02% |
562,211 |
15.46 |
29 |
-0.0819% |
977.2 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| MFC.PR.A |
OpRet |
-1.9724% |
New low of 24.82 today. Now with a pre-tax bid-YTW of 4.18% based on a bid of 24.85 and a softMaturity 2015-12-18 at 25.00. |
| BCE.PR.I |
FixFloat |
-1.9259% |
New low of 19.76 today, with a few odd-lots trading at 19.75. Exchange/Reset date is 2011-8-1 (exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. |
| BCE.PR.R |
FixFloat |
-1.7073% |
New low of 20.00 today. Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. |
| BNS.PR.K |
PerpetualPremium (for now!) |
-1.4141% |
New low of 24.36 today. Now with a pre-tax bid-YTW of 4.97% based on a bid of 24.40 and a limitMaturity. |
| BAM.PR.N |
PerpetualDiscount |
-1.3095% |
New low of 22.52 today, but volumes are still low. Tick … tick … tick …. Now with a pre-tax bid-YTW of 5.31% based on a bid of 22.61 and a limitMaturity. |
| BNS.PR.M |
PerpetualDiscount |
-1.0865% |
New low of 22.55 today. Now with a pre-tax bid-YTW of 5.02% based on a bid of 22.76 and a limitMaturity. |
| BNS.PR.L |
PerpetualDiscount |
-1.0865% |
New low of 22.89 today. Now with a pre-tax bid-YTW of 5.00% based on a bid of 22.76 and a limitMaturity. |
| ELF.PR.G |
PerpetualDiscount |
+1.1442% |
A rebound from three days of horror. Now with a pre-tax bid-YTW of 5.45% based on a bid of 22.10 and a limitMaturity. |
| SLF.PR.D |
PerpetualDiscount |
+1.3212% |
Now with a pre-tax bid-YTW of 5.01% based on a bid of 22.24 and a limitMaturity. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| IGM.PR.A |
OpRet |
202,199 |
Now with a pre-tax bid-YTW of 4.43% based on a bid of 26.50 and a call 2009-7-30 at 26.00. |
| SLF.PR.E |
PerpetualDiscount |
60,540 |
Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.35 and a limitMaturity. |
| CM.PR.C |
PerpetualPremium |
59,875 |
Nesbitt crossed 37,100 at 26.20. To be redeemed July 31. |
| TD.PR.O |
PerpetualPremium (for now!) |
56,736 |
RBC crossed 25,000 at 24.95. Now with a pre-tax bid-YTW of 4.91% based on a bid of 24.95 and a limitMaturity. |
| BNS.PR.K |
PerpetualPremium (for now!) |
41,920 |
Nesbitt sold 19,000 to RBC at 24.50. Now with a pre-tax bid-YTW of 4.97% based on a bid of 24.40 and a limitMaturity. |
There were thirty-six other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Wednesday, June 6th, 2007 at 11:59 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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