February 23, 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 4.11% 4.13% 25,807 17.16 1 +0.0797% 1,044.4
Fixed-Floater 4.82% 3.67% 82,206 8.11 7 -0.1619% 1,038.9
Floater 4.47% -21.65% 55,328 0.09 5 +0.2472% 1,050.2
Op. Retract 4.71% 2.20% 74,930 2.06 18 +0.1107% 1,031.6
Split-Share 5.09% 0.69% 243,722 2.79 14 -0.0904% 1,044.7
Interest Bearing 6.45% 4.20% 61,918 2.36 5 -0.0854% 1,041.7
Perpetual-Premium 5.03% 3.83% 215,324 4.99 51 +0.0169% 1,053.8
Perpetual-Discount 4.53% 4.55% 1,093,810 16.31 11 -0.0946% 1,059.9
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater +1.3303%  
Volume Highlights
Issue Index Volume Notes
CM.PR.G PerpetualPremium 55,655 Now with a pre-tax bid-YTW of 4.31% based on a bid of 26.80 and a call either 2011-5-31 at $25.75, or 2012-5-31 @ $25.50. Take your pick, it’s on the bubble and the yields are identical (well … to two decimal places, anyway).
CM.PR.D PerpetualPremium 51,800 Desjardins crossed 50,000 at $27.00. Now with a pre-tax bid-YTW of 3.15% based on a bid of $26.87 and a call 2008-5-30 at $26.00. This is the Commerce issue with the second-highest dividend (after CM.PR.C, which I consider a lock to be called in the summer)
BAM.PR.H OpRet 50,552 Scotia crossed 50,000 at $27.30. Who would buy at this level? The pre-tax bid-YTW is 2.54% based on a bid of $27.25 and a call 2008-10-30 at $25.75 … maybe, just maybe, it will make it to its soft maturity 2012-3-30 at $25.00, to have yielded 3.99%, but even then, the equivalency factor of 1.4 translates to a 5.60% interest-equivalent … OK, but is it really worth the risk? I’ve seen some dealer commentary to the effect that, sure, opRets are too expensive for individuals, but they’re fine for corporations that don’t pay tax on the dividends. Well, perhaps.
SLF.PR.E PerpetualDiscount 46,148 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.85 and a limitMaturity.
BMO.PR.J PerpetualDiscount 43,280 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.11 and either a call 2016-3-26 at $25.00, or a limitMaturity, take your pick.

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

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