| 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 | 4.06% | 4.08% | 29,489 | 17.29 | 1 | 0.3584% | 1,047.8 |
| Fixed-Floater | 4.81% | 3.59% | 88,954 | 6.38 | 7 | +0.0129% | 1,042.9 |
| Floater | 4.47% | -23.24% | 55,666 | 3.33 | 5 | -0.0622% | 1,050.6 |
| Op. Retract | 4.70% | 2.28% | 75,887 | 2.07 | 18 | +0.0615% | 1,031.6 |
| Split-Share | 5.09% | 1.78% | 267,398 | 2.64 | 14 | -0.0028% | 1,044.6 |
| Interest Bearing | 6.49% | 3.58% | 59,106 | 2.35 | 5 | -0.1837% | 1,035.5 |
| Perpetual-Premium | 5.03% | 3.70% | 225,523 | 5.11 | 51 | +0.0090% | 1,053.1 |
| Perpetual-Discount | 4.52% | 4.56% | 1,178,685 | 16.27 | 11 | +0.0621% | 1,059.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ACO.PR.A | OpRet | +1.4177% | Traded as high as $28.40 today and closed at 27.90-06, 3×10. The buyers are obviously sanguine about the potential for a redemption at $26.00, 2008-12-31, which results in the YTW scenario yielding 1.45% pre-tax … they seem to be hoping for the softMaturity 2011-11-30, which will yield 3.09%. Of course, that’s still only the equivalent of a bond paying 4.33% for rich Ontario investors, but that doesn’t seem to matter much! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BMO.PR.J | PerpetualDiscount | 227,100 | Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.05 and a limitMaturity. |
| CM.PR.H | PerpetualPremium | 167,740 | Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.05 and a call 2014-4-29 at $25.00. |
| CM.PR.J | PerpetualDiscount | 166,075 | Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity. |
| PWF.PR.I | PerpetualPremium | 30,750 | Desjardins bought 12,700 from National Bank in 7 tranches at $26.77 commencing 11:40am, and crossed 10,000 at the same price. It seems awfully brave – the pre-tax bid-YTW is 3.53% based on a bid of $26.80 and a call 2008-5-30 at $26.00. They would appear to be hoping for the call 2012-5-30 at $25.00, which will result in a much more attractive yield of 4.54%. I’d prefer to do that without quite so much risk, though! |
| BNS.PR.L | PerpetualPremium | 28,115 | Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of 25.07 and a limitMaturity. |
There were eight other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.