Sorry folks! I didn’t get the indices rebalanced today, so you’ll have to make do with the price-change (hint: yuck!) and volume (hint: zzzzzz…) tables.
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| POW.PR.D | PerpetualDiscount | -2.9280% | Now with a pre-tax bid-YTW of 6.42% based on a bid of 19.56 and a limitMaturity. |
| CM.PR.E | PerpetualDiscount | -2.8998% | Now with a pre-tax bid-YTW of 6.33% based on a bid of 22.10 and a limitMaturity. |
| BMO.PR.F | PerpetualDiscount | -2.8889% | Now with a pre-tax bid-YTW of 6.14% based on a bid of 21.85 and a limitMaturity. |
| PWF.PR.H | PerpetualDiscount | -2.8733% | Now with a pre-tax bid-YTW of 6.10% based on a bid of 24.00 and a limitMaturity. |
| BCE.PR.G | FixFloat | -2.8571% | |
| CM.PR.J | PerpetualDiscount | -2.7968% | Now with a pre-tax bid-YTW of 6.62% based on a bid of 17.03 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | -2.5276% | Now with a pre-tax bid-YTW of 6.50% based on a bid of 18.51 and a limitMaturity. |
| BAM.PR.N | PerpetualDiscount | -2.1687% | Now with a pre-tax bid-YTW of 7.38% based on a bid of 16.24 and a limitMaturity. |
| BCE.PR.I | FixFloat | -2.1231% | |
| BCE.PR.Z | FixFloat | -1.6957% | |
| CM.PR.G | PerpetualDiscount | -1.6721% | Now with a pre-tax bid-YTW of 6.39% based on a bid of 21.17 and a limitMaturity. |
| RY.PR.F | PerpetualDiscount | -1.5831% | Now with a pre-tax bid-YTW of 6.06% based on a bid of 18.65 and a limitMaturity. |
| RY.PR.D | PerpetualDiscount | -1.5699% | Now with a pre-tax bid-YTW of 6.07% based on a bid of 18.81 and a limitMaturity. |
| GWO.PR.H | PerpetualDiscount | -1.5688% | Now with a pre-tax bid-YTW of 6.28% based on a bid of 19.45 and a limitMaturity. |
| CM.PR.I | PerpetualDiscount | -1.5111% | Now with a pre-tax bid-YTW of 6.45% based on a bid of 18.25 and a limitMaturity. |
| SLF.PR.B | PerpetualDiscount | -1.4925% | Now with a pre-tax bid-YTW of 6.11% based on a bid of 19.80 and a limitMaturity. |
| BCE.PR.A | FixFloat | -1.4187% | |
| PWF.PR.K | PerpetualDiscount | -1.3827% | Now with a pre-tax bid-YTW of 6.32% based on a bid of 19.97 and a limitMaturity. |
| RY.PR.G | PerpetualDiscount | -1.3158% | Now with a pre-tax bid-YTW of 6.09% based on a bid of 18.75 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | -1.2987% | Now with a pre-tax bid-YTW of 6.01% based on a bid of 19.00 and a limitMaturity. |
| MFC.PR.C | PerpetualDiscount | -1.2716% | Now with a pre-tax bid-YTW of 5.85% based on a bid of 19.41 and a limitMaturity. |
| RY.PR.E | PerpetualDiscount | -1.2055% | Now with a pre-tax bid-YTW of 6.06% based on a bid of 18.85 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | -1.1970% | Now with a pre-tax bid-YTW of 6.04% based on a bid of 19.81 and a limitMaturity. |
| SBN.PR.A | SplitShare | -1.1928% | Asset coverage of 2.2+:1 as of June 19, according to Mulvihill. Now with a pre-tax bid-YTW of 5.42% based on a bid of 9.94 and a hardMaturity 2014-12-1 at 10.00. |
| SLF.PR.C | PerpetualDiscount | -1.1690% | Now with a pre-tax bid-YTW of 6.03% based on a bid of 18.60 and a limitMaturity. Look, I’ve got nothing against Sun Life Financial, OK? But when it starts trading THROUGH Royal Bank, something’s wrong. |
| POW.PR.A | PerpetualDiscount | -1.1251% | Now with a pre-tax bid-YTW of 6.14% based on a bid of 22.85 and a limitMaturity. |
| WFS.PR.A | SplitShare | -1.0977% | Asset coverage of just under 1.7:1 as of June 19, according to Mulvihill. Now with a pre-tax bid-YTW of 9.18% based on a bid of 9.01 and a hardMaturity 2011-6-30 at 10.00. 9.18% for well protected three-year money?. |
| CU.PR.B | PerpetualPremium | +1.7735% | Now with a pre-tax bid-YTW of 5.90% based on a bid of 25.25 and a call 2012-7-1 at 25.00. |
| RY.PR.G | PerpetualDiscount | -1.3158% | Now with a pre-tax bid-YTW of 6.09% based on a bid of 18.75 and a limitMaturity. |
| BNA.PR.C | SplitShare | +8.0332% | Asset coverage of just under 3.6:1 as of May 30 according to the company. Now with a pre-tax bid-YTW of 7.49% based on a bid of 19.50 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (6.02% to 2010-9-30) and BNA.PR.B (8.56% to 2016-3-25). |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.B | PerpetualDiscount | 121,800 | TD crossed 82,900 at 19.70, then another 33,000 at the same price. Now with a pre-tax bid-YTW of 6.04% based on a bid of 19.75 and a limitMaturity. |
| BMO.PR.I | OpRet | 98,675 | Now with a pre-tax bid-YTW of -0.11% based on a bid of 25.22 and a call 2008-8-1 at 25.00. |
| GWO.PR.H | PerpetualDiscount | 60,428 | CIBC crossed 50,000 at 19.75. Now with a pre-tax bid-YTW of 6.28% based on a bid of 19.45 and a limitMaturity. |
| TD.PR.O | PerpetualDiscount | 47,930 | TD crossed 25,000 at 21.25. Now with a pre-tax bid-YTW of 5.83% based on a bid of 21.19 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | 45,029 | RBC bought 10,000 from Scotia at 18.55. Now with a pre-tax bid-YTW of 6.04% based on a bid of 18.55 and a limitMaturity. |
There were thirteen other index-included $25-pv-equivalent issues trading over 10,000 shares today.
Update, 2008-07-03:
| 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 | 4.26% | 3.86% | 47,071 | 0.08 | 1 | 0.0000% | 1,118.4 |
| Fixed-Floater | 4.99% | 4.79% | 66,486 | 15.90 | 6 | -1.2218% | 1,016.6 |
| Floater | 4.07% | 4.08% | 53,894 | 17.28 | 3 | +0.0681% | 904.4 |
| Op. Retract | 4.92% | 2.85% | 187,130 | 2.65 | 17 | -0.0114% | 1,052.8 |
| Split-Share | 5.32% | 5.91% | 67,210 | 4.16 | 14 | +0.1682% | 1,038.2 |
| Interest Bearing | 6.12% | 4.11% | 46,253 | 2.01 | 3 | +0.2375% | 1,125.4 |
| Perpetual-Premium | 5.95% | 5.87% | 63,838 | 8.45 | 4 | -0.2964% | 1,008.4 |
| Perpetual-Discount | 6.04% | 6.09% | 252,963 | 13.58 | 67 | -0.6100% | 871.9 |