| 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 | 4.11% | 4.13% | 25,821 | 17.17 | 1 | -0.0398% | 1,043.6 |
| Fixed-Floater | 4.82% | 3.75% | 83,765 | 6.25 | 7 | -0.1339% | 1,040.6 |
| Floater | 4.48% | -19.51% | 55,890 | 3.36 | 5 | -0.0621% | 1,047.6 |
| Op. Retract | 4.71% | 2.21% | 75,053 | 2.06 | 18 | -0.0521% | 1,030.5 |
| Split-Share | 5.09% | 0.56% | 247,360 | 2.68 | 14 | +0.0424% | 1,045.6 |
| Interest Bearing | 6.45% | 3.27% | 61,399 | 2.36 | 5 | +0.2939% | 1,042.6 |
| Perpetual-Premium | 5.03% | 3.89% | 217,077 | 5.02 | 51 | -0.0622% | 1,053.6 |
| Perpetual-Discount | 4.53% | 4.55% | 1,110,515 | 16.32 | 11 | -0.0140% | 1,060.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| CM.PR.P | PerpetualPremium | -1.1735% | Now with a pre-tax bid-YTW of 4.07% based on a bid of $26.95 and a call 2012-11-28 at $25.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| MFC.PR.C | PerpetualDiscount | 80,725 | Scotia crossed 50,000 at 24.90. This issue went ex-dividend today. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.85 and a limitMaturity. |
| GWO.PR.F | PerpetualPremium | 53,285 | TD crossed 47,800 at $28.10. This is the highest priced issue in the PerpetualPremium index and helps to justify a prejudice against premia by sporting a pre-tax bid-YTW of 1.84% based on a bid of $27.87 and a call 2008-10-30 at $26.00. Obviously, there are people who are prepared to slap their money down and bet on a call 2012-10-30 at $25, which will yield 3.84% (pre-tax) … but I’m not one of them! At an annual dividend of $1.475, there’s just too much chance GWO will refinance … but as I’ve said before, I’d be a lot happier if I knew exactly why CL.PR.B still exists! |
| CM.PR.J | PerpetualDiscount | 100,455 | Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity. |
| BAM.PR.K | Floater | 40,333 | Scotia crossed 40,000 at $24.95. |
| GWO.PR.X | Retractible | 39,759 | Desjardins crossed 13,000 at $27.55, Scotia crossed 25,000 at $27.57. This is one of the issues subject to the issuer bid, which may (MAY!) have been de-railed by Great-West’s Putnam Purchase. Now with a pre-tax bid-YTW of 2.59% based on a bid of $27.55 and a call 2009-10-30 at $26.00 … buyers are hoping for a softMaturity 2013-09-29 at $25.00, yielding 3.21%. The latter figure is the interest-equivalent for Ontario fat cats of a whopping 4.49%. I note that Great-West LIFE (which is GWL, the insurance company, not GWO, the parent, so this is not a precise comparison) has some 5.995% 12/31/12 Tier 1 paper outstanding, indicated at 49bp over Canadas, or about 4.53%, so I fail to see any great attraction in this (preferred) issue, which is one step further away from the actual cash coming in the door. |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.