| 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 | 5.36% | 5.43% | 35,195 | 14.96 | 2 | +0.2894% | 954.9 |
| Fixed-Floater | 5.59% | 5.50% | 141,295 | 15.01 | 7 | +0.0191% | 898.7 |
| Floater | 4.78% | -3.64% | 85,719 | 5.9 | 3 | +0.1602% | 1,050.9 |
| Op. Retract | 4.80% | 3.85% | 82,948 | 2.97 | 17 | -0.1688% | 1,022.7 |
| Split-Share | 5.03% | 4.55% | 187,553 | 4.05 | 15 | -0.2839% | 1,040.6 |
| Interest Bearing | 6.60% | 6.54% | 85,139 | 6.14 | 4 | +0.1248% | 1,045.1 |
| Perpetual-Premium | 5.36% | 4.79% | 132,692 | 5.88 | 34 | -0.0909% | 1,027.1 |
| Perpetual-Discount | 4.90% | 4.94% | 564,256 | 15.62 | 29 | -0.4319% | 993.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ELF.PR.G | PerpetualDiscount | -3.0872% | Now with a pre-tax bid-YTW of 5.18% based on a bid of 23.23 and a limitMaturity. |
| LFE.PR.A | SplitShares | -2.0992% | A recent addition to the SplitShare index, following its April addition to the HIMIPref™ universe. Now with a pre-tax bid-YTW of 4.73% based on a bid of 10.26 and a hardMaturity 2012-12-1. |
| GWO.PR.E | OpRet | -1.9985% | Now with a pre-tax bid-YTW of 4.07% based on a bid of 25.50 and a call 2011-4-30 at 25.00. There is some uncertainty regarding GWO’s capital market plans. |
| MFC.PR.A | OpRet | -1.7301% | Now with a pre-tax bid-YTW of 3.78% based on a bid of 25.56 and a softMaturity 2015-12-18 at 25.00. |
| SLF.PR.C | PerpetualDiscount | -1.2719% | Now with a pre-tax bid-YTW of 4.94% based on a bid of 22.51 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | -1.1038% | Now with a pre-tax bid-YTW of 4.97% based on a bid of 22.40 and a limitMaturity. |
| BCE.PR.G | FixFloat | -1.0732% | Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 20.28-92, 5×7 (new low of 20.25 hit today); the Hs closed at 22.75-94, 20×5. |
| CM.PR.J | PerpetualDiscount | -1.0066% | Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.62 and a limitMaturity. |
| BAM.PR.G | FixFloat | +1.4894% | Exchange/Reset date is 2011-10-31 (exchanges with BAM.PR.E); until then, pays 4.35% of par. Closed at 23.85-00, 5×5; the Es closed at 24.85-00, 13×12. The Es are currently paying $0.09125 monthly = $1.095 p.a = 4.38% of par. |
| PWF.PR.H | PerpetualPremium | +1.5288% | Now with a pre-tax bid-YTW of 5.02% based on a bid of 25.90 and a call 2012-1-9 at 25.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TD.PR.O | PerpetualPremium | 70,000 | Now with a pre-tax bid-YTW of 4.79% based on a bid of 25.24 and a call 2014-11-30 at 25.00. |
| MFC.PR.B | PerpetualDiscount | 62,290 | Now with a pre-tax bid-YTW of 4.71% based on a bid of 24.70 and a limitMaturity. |
| RY.PR.G | PerpetualDiscount | 57,236 | Now with a pre-tax bid-YTW of 4.92% based on a bid of 23.10 and a limitMaturity. |
| CM.PR.I | PerpetualDiscount | 56,035 | Now with a pre-tax bid-YTW of 4.90% based on a bid of 24.20 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | 48,100 | Now with a pre-tax bid-YTW of 4.89% based on a bid of 23.35 and a limitMaturity. |
There were twenty-four other $25-equivalent index-included issues trading over 10,000 shares today.
RE: 5.25% LFE.PR.A bid @10.26 indicates yield of over 5% according to Globeinvestor and TDW yield calculators vs. your table. I hope this is an error because I hold this one but don’t want it @4.73%!
RE: CM.PR.J whacked down to 22.51 close yield 5%! This assumes a GOC 10 year @ 4.8%. Starting to smell like buying op…or not?
I’ve created a post discussing LFE.PR.A.
CM.PR.J … well, 5% from a bank guaranteed perpetual hasn’t been seen for a while, anyway! After application of a 1.4x Dividend Gross Up Factor, that’s 7% interest-equivalent, which is basically long-Canadas + 262bp, according to the Bank of Canada. There are certainly many who will consider it a buying opportunity.
[…] Also led the charts (downward) on June 1! New low today of 22.55. Now with a pre-tax bid-YTW of 5.34% based on a bid of 22.55 and a limitMaturity. […]