| 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% | 4.14% | 23,614 | 17.17 | 1 | +0.0000% | 1,047.4 |
| Fixed-Floater | 4.82% | 3.72% | 79,765 | 6.24 | 7 | +0.0304% | 1,040.1 |
| Floater | 4.47% | -21.08% | 55,292 | 0.09 | 5 | +0.2603% | 1,049.2 |
| Op. Retract | 4.72% | 2.36% | 74,704 | 2.05 | 18 | +0.0864% | 1,030.8 |
| Split-Share | 5.11% | 0.23% | 231,489 | 2.79 | 14 | +0.1761% | 1,043.4 |
| Interest Bearing | 6.49% | 4.48% | 63,839 | 2.35 | 5 | -0.0038% | 1,039.3 |
| Perpetual-Premium | 5.03% | 3.59% | 212,956 | 5.06 | 51 | +0.0224% | 1,055.2 |
| Perpetual-Discount | 4.53% | 4.54% | 1,048,109 | 13.79 | 11 | +0.1157% | 1,063.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.Z | FixedFloater | -1.0510% | Exchangeable with BCE.PR.Y next December 1. In the interim, they will pay about $0.35 more (~$1.00 vs. ~$0.65), so, at a close of $25.42-75 vs $25.02-39, they’re priced about right relative to their twin, anyway. Which is comforting, assuming you think a ratchet-rate is worth holding! |
| GWO.PR.E | OpRet | +1.0226% | Now with a pre-tax bid-YTW of 2.11% based on a bid of $26.75 and a call 2009-4-30 at $25.50. The pre-tax yield is 2.83% if they last until they’re callable at par, 2011-4-30. And 3.53% if they last until their softMaturity 2014-3-30 ! So place your bets … but remember the issuer bid. |
| CL.PR.B | PerpetualPremium | +1.0873% | Another issue reliant on the idea that GWO has better things to do with their money than call issued stock! Now with a pre-tax bid-YTW of -27.12% based on a bid of $26.63 and an immediate call at $26.00. It’s really a question of how long the game will last … to get a yield of 3.46%, you have to bet that there will be no call until 2009-1-30 at $25.50. There are a lot of people willing to make that bet, it seems! The issue was a stellar performer in February, with a total return of +2.5451% month/month bid/bid. |
| PIC.PR.A | SplitShare | +2.2422% | Recovering from yesterday’s swoon, but not by enough extra to overcome a horrible month … the issue is down 1.2987% month/month bid/bid at the closing quote of $15.96-08 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BCE.PR.H | Scraps (will switch to RatchetRate) | 370,200 | This issue used to be BC.PR.E. Nesbitt crossed 370,000 at $25.12. |
| NA.PR.K | PerpetualPremium | 203,800 | Desjardins crossed 98,700 at $27.18. Now with a pre-tax bid-YTW of 2.62% based on a bid of $27.05 and a call 2008-06-14 at $26.00. |
| BAM.PR.B | Floater | 150,700 | Desjardins crossed 30,000 at 24.90, then two tranches of 60,000 each at $24.91. |
| RY.PR.E | PerpetualDiscount | 70,755 | Recent new issue. Now with a pre-tax bid-YTW of 4.51%, based on a bid of $25.15 and either a call at $25.00 on 2016-3-25, or a limitMaturity – take your pick. |
| PWF.PR.L | PerpetualPremium | 57,880 | Now with a pre-tax bid-YTW of 4.24% based on a bid of $26.70 and a call 2015-11-30 at $25.00 |
There were twenty other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.