March 22, 2007

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.

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