| 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 | 4.20% | 4.06% | 72,492 | 3.83 | 1 | +0.1740% | 1,050.4 |
| Fixed-Floater | 4.98% | 3.90% | 97,086 | 14.51 | 5 | +0.0635% | 1,039.5 |
| Floater | 4.72% | -19.29% | 76,130 | 0.32 | 3 | -0.0262% | 1,054.7 |
| Op. Retract | 4.71% | 2.95% | 85,049 | 2.16 | 17 | +0.0158% | 1,035.4 |
| Split-Share | 5.00% | 3.01% | 165,343 | 3.32 | 14 | -0.1296% | 1,054.0 |
| Interest Bearing | 6.53% | 4.75% | 64,821 | 2.31 | 5 | +0.2126% | 1,044.0 |
| Perpetual-Premium | 5.01% | 3.63% | 223,986 | 5.37 | 53 | +0.0625% | 1,060.4 |
| Perpetual-Discount | 4.54% | 4.55% | 797,066 | 15.38 | 10 | -0.1122% | 1,065.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| FFN.PR.A | SplitShare | -1.4481% | On ZERO volume! Hard to calculate the YTW on this issue … should one use the extant maturity of 2009-12-1 for a pre-tax bid-YTW of 2.90% … or should one assume that the the upcoming meeting will extend maturity to 2014-12-1 with no other changes, which will increase YTW to 4.41%? It makes quite a difference! As does, incidentally, not making the proper allowance for monthly dividends using Kieth Betty’s on-line calculator, so watch it! |
| POW.PR.D | PerpetualPremium | +1.0840% | On volume of 10,235, about average for this issue. Now with a pre-tax bid-YTW of 4.30% based on a bid of 26.11 and a call 2014-11-30 at 25.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BCE.PR.C | FixedFloater | 497,745 | Nesbitt crossed 400,000 at 25.50, then RBC crossed 90,800 at 25.40. |
| BCE.PR.A | FixedFloater | 305,345 | Nesbitt crossed 300,000 at 25.30. |
| MFC.PR.A | OpRet | 143,245 | Desjardins crossed 30,000 at 26.55, Scotia crossed 25,000 at 26.55. Now with a pre-tax bid-YTW of 3.31% based on a bid of 26.54 and a softMaturity 2015-12-18. The price is such that early calls don’t (much) affect yields (relatively speaking!). Bond-equivalent of 4.63% at the Ontario Fat-Cat Factor of 1.4x. Better than bonds … but at least you know when a bond will mature! |
| SLF.PR.D | PerpetualDiscount | 91,355 | Now with a pre-tax bid-YTW of 4.49% based on a bid of 24.81 and a limitMaturity. |
| TD.PR.M | OpRet | 51,420 | Desjardins crossed 49,100 at 27.26. Now with a pre-tax bid-YTW of 2.58% based on a bid of 27.25 and a call 2009-5-30 at 26.00 … will be 3.31% if it makes it to the softMaturity 2013-10-30. Somebody’s willing to take that bet. I’ll pass. |
There were twenty-two other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.