| 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 | 4.07% | 4.08% | 29,768 | 17.29 | 1 | +0.0400% | 1,036.2 |
| Fixed-Floater | 4.79% | 3.60% | 84,265 | 8.36 | 7 | -0.0211% | 1,037.0 |
| Floater | 4.58% | -22.40% | 65,782 | 8.23 | 4 | 0.1188% | 1,040.6 |
| Op. Retract | 4.67% | 1.65% | 81,811 | 2.05 | 17 | -0.0232% | 1,033.1 |
| Split-Share | 5.11% | 1.24% | 192,206 | 2.27 | 10 | +0.0240% | 1,045.0 |
| Interest Bearing | 6.70% | 5.46% | 74,078 | 2.39 | 6 | +0.1327% | 1,036.4 |
| Perpetual-Premium | 4.99% | 3.21% | 261,337 | 4.67 | 55 | +0.0012% | 1,055.2 |
| Perpetual-Discount | 4.48% | 4.50% | 790,937 | 16.41 | 3 | +0.0001% | 1,060.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| GWO.PR.F | PerpetualPremium | -1.3904% | Now with a pre-tax bid-YTW of 2.14% based on a bid of $27.66 and a call 2008-10-30 at $26.00. Given that it pays $1.475, I wouldn’t bet against the early call, but some would, hoping, I suppose, for a call 2012-10-30 at $25.00 to yield 3.89%. |
| CL.PR.B | PerpetualPremium | +1.3809% | Another high-paying issue (pays $1.5625 annually) with a pre-tax bid-YTW of -12.20 based on a call 2007-02-04 at $26.00. Given that we’re now a week into the first call period and there’s been no news, I suppose there are some that are hoping that the issue won’t be called … but I’m not one of them! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| GWO.PR.I | PerpetualDiscount | 36,820 | Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity |
| CM.PR.B | PerpetualPremium | 27,290 | This has been called for redemption. |
| BAM.PR.M | PerpetualPremium | 26,925 | Now with a pre-tax bid-YTW of 4.66% based on a bid of $25.24 and a call 2016-3-1 at $25.00. |
| PWF.PR.J | OpRet | 25,003 | Now with a pre-tax bid-YTW of 2.23% based on a bid of $27.03 and a call 2008-5-30 at $26.00. It would appear that many investors are hoping for the softMaturity 2013-7-30 at $25.00, yielding 3.47%. Given that it pays $1.175 p.a. and the call premium declines by $0.25 annually, they might be right – but I won’t bet on it! |
| SLF.PR.D | PerpetualDiscount | 20,337 | Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.85 and a limitMaturity. |
There were ten other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
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