| 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 (broken link redirected 2024-2-1), 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.
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