I now notice that with my customary elan, I have managed to over-write the post for March 13, instead of simply using it as a template. Sorry about that, guys!
| 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 | 4.03% | 3.89% | 77,362 | 3.87 | 1 | +0.3584% | 1,050.7 |
| Fixed-Floater | 4.97% | 3.58% | 107,474 | 4.60 | 5 | +0.0316% | 1,041.1 |
| Floater | 4.71% | -19.80% | 73,119 | 0.11 | 3 | +0.2892% | 1,055.9 |
| Op. Retract | 4.71% | 2.71% | 76,879 | 2.14 | 17 | +0.0799% | 1,034.4 |
| Split-Share | 5.06% | 0.17% | 186,066 | 3.11 | 15 | +0.2650% | 1,048.4 |
| Interest Bearing | 6.48% | 4.09% | 65,421 | 2.34 | 5 | +0.0906% | 1,044.9 |
| Perpetual-Premium | 5.01% | 3.75% | 240,916 | 5.33 | 53 | +0.0392% | 1,057.4 |
| Perpetual-Discount | 4.52% | 4.52% | 942,456 | 13.49 | 10 | -0.0709% | 1,067.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| DIV.PR.A | SplitShare | +1.0317% | No real story here … I suppose the market maker just realized that it’s being redeemed next week and put a decent bid on it. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.F | PerpetualDiscount | 395,889 | New issue settled today. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.75 and a limitMaturity. |
| TD.PR.M | OpRet | 75,400 | TD crossed 25,000 at 27.20, then Scotia crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 2.59% based on a bid of $27.22 and a call 2009-5-30 at $26.00. The market, obviously, is hoping for the yield of 3.31% resulting if it survives to the softMaturity 2013-10-30 at $25.00. Well, stranger things have happened! |
| POW.PR.D | PerpetualPremium | 74,867 | Scotia crossed 50,000 at 26.45. Now with a pre-tax bid-YTW of 4.31% based on a bid of $26.36 and a call 2014-11-30 at $25.00. |
| SLF.PR.A | PerpetualPremium | 56,910 | Scotia crossed 50,000 at $25.75. Now with a pre-tax bid-YTW of 4.27% based on a bid of $25.72 and a call 2014-4-30 at $25.00. |
| CM.PR.D | PerpetualPremium | 52,450 | Desjardins crossed 50,000 at 27.03. Now with a pre-tax bid-YTW of 2.77% based on a bid of $27.03 and a call 2008-5-30 at $26.00. |
There were sixteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.