January 15, 2007

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 4.08% 4.10% 24,988 17.26 1 +0.0403% 1,028.8
Fixed-Floater 4.78% 3.40% 79,069 12.51 7 +0.2188% 1,041.2
Floater 4.57% -22.20% 62,349 8.22 4 +0.0591% 1,040.8
Op. Retract 4.68% 2.07% 79,896 2.02 17 -0.0751% 1,030.8
Split-Share 5.05% 0.55% 402,952 2.85 11 -0.0468% 1,045.5
Interest Bearing 6.71% 5.64% 74,560 2.64 6 -0.1106% 1,034.3
Perpetual-Premium 5.02% 3.64% 242,646 5.26 55 +0.0184% 1,052.4
Perpetual-Discount 4.51% 4.54% 773,725 16.33 3 -0.0132% 1,054.8
Major Price Changes
Issue Index Change Notes
BAM.PR.J OpRet -1.5575% Huh. I like this issue – and it has a horrible day! Such is life. Now with a pre-tax bid-YTW of 4.14%, based on a bid of $27.81 and a call 2014-4-30 at $25.00. And 4.14% dividends is worth 5.80% interest, at the Ontario Equivalency Factor of 1.4. Try getting that from a seven-year (OK, maybe eleven if there’s no early call) bond!
LBS.PR.A SplitShare -1.2727% Another issue I like has a lousy day. Huh. It gave up yesterday’s gains. Now with a pre-tax bid-YTW of 3.84% based on a bid of $10.86 and a hardMaturity 2013-11-29 at $10.00.
Volume Highlights
Issue Index Volume Notes
BNA.PR.C SplitShare 203,480 Recent New Issue. CIBC crossed 95,000 at $24.70. Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.72 and a hardMaturity 2019-1-10.
BAM.PR.M PerpetualPremium 29,270 RBC crossed 25,000 at $25.05. Now with a pre-tax bid-YTW of 4.76% based on a bid of $25.07 and a limitMaturity
CM.PR.D PerpetualPremium 27,190 RBC crossed 15,000 at $26.85. Now with a pre-tax bid-YTW of 3.06% based on a bid of $26.81 and a call 2008-05-30 at $26.00. It may make it to its optionCertainty 2034-3-6 at $25.00, to yield 5.27%, but that seems highly unlikely given that it pays $1.4375, $0.30 more p.a. than perpetuals are paying now. But a pre-tax bid-YTW of only 3.06%? The interest-equivalent is comparable with bonds, with more risk (call-risk and interest-rate-risk) on the preferred issue.
CM.PR.H PerpetualPremium 23,690 Now with a pre-tax bid-YTW of 4.42%, based on a bid of $25.58 and a call 2014-4-29 at $25.00.
TD.PR.O PerpetualPremium 19,740 Is all this activity the result of Carrick’s article? Now with a pre-tax bid-YTW of 4.11% based on a bid of $26.22 and a call 2014-11-30 at $25.00

There were four other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

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