Hell. I have just realized that instead of copying February 14 as a template, I have instead over-written it. All that deathless prose, gone! Sorry.
| 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% | 28,150 | 17.28 | 1 | 0.0000% | 1,044.0 |
| Fixed-Floater | 4.81% | 3.47% | 89,478 | 8.17 | 7 | +0.0339% | 1,042.8 |
| Floater | 4.46% | -24.20% | 55,828 | 3.32 | 5 | +0.0315% | 1,051.3 |
| Op. Retract | 4.71% | 2.28% | 77,183 | 2.08 | 18 | -0.0268% | 1,031.0 |
| Split-Share | 5.09% | 1.70% | 273,487 | 2.64 | 14 | -0.0213% | 1,044.7 |
| Interest Bearing | 6.48% | 3.47% | 58,743 | 2.36 | 5 | +0.2675% | 1,037.4 |
| Perpetual-Premium | 5.06% | 3.76% | 227,505 | 5.06 | 51 | +0.0312% | 1,053.0 |
| Perpetual-Discount | 4.52% | 4.56% | 1,178,412 | 16.27 | 11 | +0.0693% | 1,058.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with significant price moves today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| GWO.PR.I | PerpetualDiscount | 84,315 | Nesbitt crossed 75,000 at $25.00. Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.01 and a limitMaturity. |
| WFS.PR.A | SplitShare | 163,312 | Scotia crossed 100,000 @ 10.70, then Desjardins bought 25,000 from RBC in two tranches at the same price. Desjardins then crossed 25,000 at $10.70. Nice to see some action in this issue … it’s a perennial favourite of mine. Now with a pre-tax bid-YTW of 3.70% based on a bid of $10.70 and a hardMaturity 2011-6-30 at $10.00. That’s an interest-equivalent of nearly 5.2% at the Ontario Equivalency … not bad for a Pfd-2 (DBRS) with a known maturity of less than five years! |
| GWO.PR.X | OpRet | 51,974 | I’m not such a big fan of this one … pre-tax bid-YTW of 2.57% based on a bid of $27.55 and a call 2009-10-30 at $26.00. Given the issuer bid, it doesn’t seem likely to me that it will survive to its softMaturity 2013-9-29 to yield 3.20% (especially considering that one can buy GWL bonds maturiting in 2018 to yield about 4.75% – do the math, people!) … but it takes two to make a market! |
| CM.PR.J | PerpetualDiscount | 50,480 | Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.90 and a limitMaturity. |
| WN.PR.E | PerpetualPremium (but not for long, I suspect!) | 43,178 | Credit Watch Negative! Nesbitt crossed 11,500 at $24.65, CIBC bought 14,500 from Nesbitt at the same price. Now with a pre-tax bid-YTW of 4.88% based on a bid of $24.61 and a limitMaturity. Weston bonds maturing in 2031 are now trading to yield about maybe 5.85% (interest) Make of that what you will. |
There were nineteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.