| 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 | 4.07% | 4.09% | 24,015 | 17.27 | 1 | -0.1609% | 1,028.4 |
| Fixed-Floater | 4.75% | 3.11% | 76,886 | 10.73 | 7 | +0.3083% | 1,046.9 |
| Floater | 4.57% | -25.47% | 63,673 | 8.20 | 4 | +0.1674% | 1,044.8 |
| Op. Retract | 4.68% | 2.10% | 78,584 | 2.02 | 17 | +0.0116% | 1,031.5 |
| Split-Share | 5.05% | 0.81% | 410,266 | 2.85 | 11 | -0.1176% | 1,044.8 |
| Interest Bearing | 6.70% | 5.64% | 75,192 | 2.81 | 6 | +0.1281% | 1,036.6 |
| Perpetual-Premium | 5.02% | 3.68% | 237,619 | 5.43 | 55 | -0.0062% | 1,052.2 |
| Perpetual-Discount | 4.51% | 4.53% | 1,221,325 | 16.34 | 4 | -0.0805% | 1,054.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.Z | FixedFloater | +1.0417% | What’s up with FixedFloaters and specifically this issue? The index has gained a total of 0.75% in the last three days. This particular issue is callable at $25.00 on 2007-12-1 and becomes exchangeable into a ratchet-rate preferred at that point … and if BCE feels like it, BCE can put such a crummy rate on the reset option that conversion is almost forced. So, who would put a closing bid of $26.19 on this stuff? Even more mysteriously, who would pay $28.00 for it? TD Securities bought 122 shares at $28.00 and CIBC bought 388 shares at the same price today. ???? That makes two poor retail suckers who have just overpaid big time. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BMO.PR.J | PerpetualDiscount | 371,320 | Today’s new issue settlement brings lots of lovely commissions to the Street! Now with a pre-tax bid-YTW of 4.52% based on a limitMaturity. |
| FBS.PR.B | SplitShare | 265,850 | Recent new issue continues to trade frantically. But why? Why why why? Now with a pre-tax bid-YTW of 1.93% based on a bid of $10.32 and a call 2008-1-14 at $10.00. Many are obviously betting that it will last until the hardMaturity 2011-12-15 … that will be a first, if it happens to a large extent. |
| BNS.PR.K | PerpetualPremium | 72,431 | Scotia crossed 70,100 at $26.00. Now with a pre-tax bid-YTW of 4.18%, based on a bid of 25.97 and a call 2014-5-28 at $25.00. |
| CM.PR.I | PerpetualPremium | 54,742 | Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.42 and a call 2016-3-1 at $25.00. Getting to be a tad expensive, I’d say. |
| BNA.PR.C | SplitShare | 53,075 | Recent New Issue. Now with a pre-tax bid-YTW of 4.46% based on a bid of $24.81 and a hardMaturity 2019-1-10 at $25.00 |
There were ten other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
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