| 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 | 4.18% | 4.08% | 75,403 | 3.82 | 1 | -0.1984% | 1,048.6 |
| Fixed-Floater | 4.98% | 3.90% | 95.692 | 11.14 | 5 | +0.0246% | 1,038.9 |
| Floater | 4.72% | -19.45% | 77,169 | 0.14 | 3 | +0.1322% | 1,055.0 |
| Op. Retract | 4.71% | 2.95% | 83,144 | 2.16 | 17 | +0.0775% | 1,035.3 |
| Split-Share | 4.98% | 2.97% | 166,457 | 3.31 | 14 | +0.2290% | 1,055.4 |
| Interest Bearing | 6.50% | 5.03% | 64,622 | 2.30 | 5 | -0.2258% | 1,041.8 |
| Perpetual-Premium | 5.01% | 3.72% | 226,066 | 5.06 | 53 | +0.0964% | 1,059.7 |
| Perpetual-Discount | 4.53% | 4.54% | 809,167 | 15.39 | 10 | -0.0432% | 1,067.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no major price changes in index-included issues today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| GWO.PR.H | PerpetualPremium | 262,753 | TD crossed 100,000 at 26.00, then 50,000 at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $25.90 and a call 2014-10-30 at $25.00. |
| MFC.PR.A | OpRet | 155,870 | Scotia crossed 60,000 at 26.55, National Bank crossed 32,500 at 26.50 and Desjardins crossed 50,000 at 26.55. Now with a pre-tax bid-YTW of 3.33% based on a bid of 26.49 and a softMaturity 2015-12-18 at 25.00. Well … the interest-equivalent (at Ontario’s factor of 1.4x) is at least a small spread over bonds! |
| PWF.PR.K | PerpetualPremium | 106,800 | Desjardins crossed 100,000 at $26.35. Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.32 and a call 2014-11-30 at $25.00 |
| BMO.PR.G | OpRet | 78,218 | Now with a pre-tax bid-YTW of 3.73% based on a bid of 25.23 and a call 2007-9-24 at $25.00. I’ll bet not just a nickel, but a whole dime that it gets called ASAP and that BMO won’t wait for the softMaturity 2008-5-24. The interest-equivalent to the September call is 5.22% – money-market almost-equivalents could get a lot worse … provided, of course, that you can buy at the bid and not pay commission. At the ask of 25.28, the YTW is 3.32% … still not bad, but it takes a lot of the fun out of it. |
| BNS.PR.K | PerpetualPremium | 56,575 | RBC crossed 50,000 at 26.25. Now with a pre-tax bid-YTW of 4.14% based on a bid of $26.25 and a call 2014-5-28 at $25.00. |
There were seventeen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.