| 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.