The PerpetualDiscount winning streak ended today – the index was down less than a beep, but it was down! Volume continues fairly light.

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 |
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Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |

Ratchet | N/A | N/A | N/A | N/A | 0 | N/A | N/A |

Fixed-Floater | 4.68% | 4.39% | 66,304 | 16.33 | 6 | +0.0289% | 1,085.8 |

Floater | 4.16% | 4.18% | 58,107 | 17.03 | 3 | +0.8953% | 887.9 |

Op. Retract | 4.99% | 4.59% | 131,811 | 3.41 | 17 | -0.0994% | 1,040.7 |

Split-Share | 5.38% | 6.16% | 61,773 | 4.49 | 14 | -0.1275% | 1,028.2 |

Interest Bearing | 6.14% | 6.02% | 41,127 | 3.67 | 3 | -0.1669% | 1,120.7 |

Perpetual-Premium | 6.15% | 6.17% | 70,163 | 10.65 | 4 | -0.0544% | 981.4 |

Perpetual-Discount | 6.32% | 6.38% | 226,376 | 13.38 | 67 | -0.0063% | 840.0 |

Major Price Changes |
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Issue | Index | Change | Notes |

POW.PR.B | PerpetualDiscount | -2.0843% | Now with a pre-tax bid-YTW of 6.39% based on a bid of 21.14 and a limitMaturity. |

BAM.PR.I | OpRet | -1.9786% | Now with a pre-tax bid-YTW of 6.73% based on a bid of 23.78 and a softMaturity 2013-12-30 at 25.00. Compare with BAM.PR.H (6.49% to 2012-3-30), BAM.PR.J (7.00% to 2018-3-30) and BAM.PR.O (6.60% TO 2013-6-30) … and consider the rather odd report in the comments to July 25! |

CM.PR.D | PerpetualDiscount | -1.9608% | Now with a pre-tax bid-YTW of 7.07% based on a bid of 20.50 and a limitMaturity. |

MFC.PR.B | PerpetualDiscount | -1.9500% | Now with a pre-tax bid-YTW of 6.02% based on a bid of 19.61 and a limitMaturity. |

PWF.PR.E | PerpetualDiscount | -1.5561% | Now with a pre-tax bid-YTW of 6.44% based on a bid of 21.51 and a limitMaturity. |

GWO.PR.F | PerpetualDiscount | -1.4028% | Now with a pre-tax bid-YTW of 6.06% based on a bid of 24.60 and a limitMaturity. |

BNA.PR.C | SplitShare | -1.3476% | Asset coverage of 3.2+:1 as of June 30, according to the company. Now with a pre-tax bid-YTW of 8.92% based on a bid of 17.57 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (6.11% to 2010-9-30) and BNA.PR.B (8.55% to 2016-3-25). |

ENB.PR.A | PerpetualDiscount | -1.0846% | Now with a pre-tax bid-YTW of 6.13% based on a bid of 22.80 and a limitMaturity. |

BAM.PR.K | Floater | +1.0101% | |

PWF.PR.G | PerpetualDiscount | +1.1804% | Now with a pre-tax bid-YTW of 6.17% based on a bid of 24.00 and a limitMaturity. |

BAM.PR.B | Floater | +1.6757% | |

IAG.PR.A | PerpetualDiscount | +2.1148% | Now with a pre-tax bid-YTW of 6.90% based on a bid of 16.90 and a limitMaturity. |

BNS.PR.J | PerpetualDiscount | +2.5105% | Now with a pre-tax bid-YTW of 5.97% based on a bid of 22.05 and a limitMaturity. |

Volume Highlights |
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Issue | Index | Volume | Notes |

ALB.PR.A | SplitShare | 131,314 | CIBC crossed 128,600 at 24.26. Asset coverage of 1.6+:1 as of July 24, according to Scotia Managed Companies. Now with a pre-tax bid-YTW of 5.81% based on a bid of 24.26 and a hardMaturity 2011-2-28 at 25.00. |

TD.PR.M | OpRet | 130,100 | Nesbitt crossed 130,000 at 26.05. Now with a pre-tax bid-YTW of 3.85% based on a bid of 26.02 and a softMaturity 2013-10-30 at 25.00. |

TD.PR.O | PerpetualDiscount | 39,011 | National crossed 30,000 at 20.84. Now with a pre-tax bid-YTW of 5.86% based on a bid of 20.81 and a limitMaturity. |

RY.PR.F | PerpetualDiscount | 35,489 | Now with a pre-tax bid-YTW of 6.33% based on a bid of 17.61 and a limitMaturity. |

TD.PR.Q | PerpetualDiscount | 29,360 | CIBC crossed 25,000 at 23.95. Now with a pre-tax bid-YTW of 5.87% based on a bid of 23.97 and a limitMaturity. |

There were fourteen other index-included $25-pv-equivalent issues trading over 10,000 shares today.

Welllllll…..

If you like the volume in the bank prefs (I won’t say which, but it is across the board) you can all send me candy. I just can’t resist the over 6% yield any more.

I prefer chocolate nougat.

So, given that PerpetualDiscounts first yielded 6%+ on June 17 (it seems so long ago!), that puts your ability to resist temptation at six weeks!

I would have sent you candy, but you didn’t lift any of my offers. Cheapskate.

[…] are up every day month-to-date, totalling 1.38%. They have had only one down-day (July 28) since the trough on July 16 and are now up 6.62% since trough-date. Average dividend yield is now […]