| 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 | 4.14% | 4.01% | 80,670 | 3.84 | 1 | -0.1983% | 1,049.0 |
| Fixed-Floater | 4.98% | 3.85% | 100,115 | 7.84 | 5 | -0.3063% | 1,039.4 |
| Floater | 4.72% | -18.75% | 75,630 | 0.32 | 3 | +0.0000% | 1,054.2 |
| Op. Retract | 4.70% | 2.78% | 79,019 | 2.14 | 17 | +0.0907% | 1,035.9 |
| Split-Share | 4.99% | 2.83% | 173,289 | 3.32 | 14 | +0.1537% | 1,053.5 |
| Interest Bearing | 6.50% | 4.91% | 65,174 | 2.31 | 5 | +0.1303% | 1,042.1 |
| Perpetual-Premium | 5.01% | 3.81% | 230,216 | 5.22 | 53 | -0.0304% | 1,058.7 |
| Perpetual-Discount | 4.53% | 4.54% | 865,516 | 14.41 | 10 | -0.0954% | 1,066.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with notable performances today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.A | PerpetualDiscount | 358,978 | TD crossed 100,000 at 25.05, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.00 and a limitMaturity. |
| FAL.PR.H | Scraps ( would be PerpetualPremium, but there are credit concerns) | 106,300 | Scotia crossed 53,800 at $25.91; Desjardins crossed 50,000 at $25.95. Now with a pre-tax bid-YTW of 3.17% based on a bid of $25.86 and a call 2008-4-30. I can only assume that the market is assuming the call is a lead-pipe cinch and is trading the issue as a retractible – a hard conclusion to argue against, since it pays at a rate of 6.5% of par. But still… |
| MFC.PR.A | OpRet | 86,380 | Desjardins crossed 50,000 at 26.50. Now with a pre-tax bid-YTW of 3.37% based on a bid of $26.40 and a softMaturity 2015-12-18 at $25.00 |
| CM.PR.R | OpRet | 83,020 | Scotia crossed 14,000 at $26.75, then another 65,000 at $26.83. Now with a pre-tax bid-YTW of 2.67% based on a bid of $26.58 and a call 2008-5-30 at $25.75. This YTW is only the bond-equivalent of 3.74% at the Ontario Equivalency Factor of 1.4, so the market seems to be hoping it lasts until the softMaturity 2013-4-29 at $25.00, which results in a pre-tax bid-Yield of 4.03%. I have my doubts! |
| GWO.PR.X | OpRet | 54,558 | Now with a pre-tax bid-YTW of 2.07% based on a bid of $27.65 and a call 2009-10-30 at 26.00. Again, the market is hoping for the softMaturity, this one 2013-9-29 to yield 3.00% … but that’s still only bond-equivalent of 4.2%, which is less than corporate bonds of that tenor, so why? Note that this still has the Issuer Bid and Putnam financing to be considered. |
| RY.PR.F | PerpetualDiscount | 49,230 | Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.72 and a limitMaturity. |
There were fourteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.