| 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 | 4.01% | 3.88% | 94,665 | 3.89 | 1 | +0.0398% | 1,047.4 |
| Fixed-Floater | 4.96% | 3.47% | 108,528 | 4.62 | 5 | +0.0394% | 1,042.5 |
| Floater | 4.71% | -16.38% | 73,769 | 11.02 | 3 | +0.0787% | 1,048.4 |
| Op. Retract | 4.70% | 2.31% | 76,165 | 2.11 | 17 | +0.1976% | 1,033.3 |
| Split-Share | 5.07% | 1.29% | 196,780 | 3.24 | 15 | -0.0002% | 1,043.5 |
| Interest Bearing | 6.49% | 3.46% | 64,876 | 2.33 | 5 | +0.0789% | 1,038.3 |
| Perpetual-Premium | 5.00% | 3.52% | 254,148 | 5.34 | 53 | +0.0674% | 1,057.0 |
| Perpetual-Discount | 4.53% | 4.54% | 821,217 | 13.16 | 9 | +0.0091% | 1,066.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.I | OpRet | +1.2898% | On volume of 454 shares, so perhaps not the most significant move ever recorded! But even after today’s move, it has a pre-tax bid-YTW of 4.17% based on a bid of $26.70 and a call 2009-7-30 at 25.75, which ain’t bad! It’s certainly the best in the Operating Retractible index! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BCE.PR.H | RatchetRate | 703,000 | Wow! Nesbitt crossed 350,000, then Scotia crossed 150,000, and Nesbitt closed the trading with a cross of 200,000 – all crosses done at 25.12. |
| BCE.PR.A | FixedFloater | 417,780 | Nesbitt crossed 417,300 at 25.30. Then another 80 as an odd-lot trade. |
| RY.PR.B | PerpetualPremium | 203,050 | Nesbitt crossed 200,000 at 25.65. Now with a pre-tax bid-YTW of 4.38% based on a bid of $25.65 and a call 2015-9-23 at $25.00 |
| BAM.PR.H | OpRet | 163,586 | Nesbitt crossed 162,600 at 27.40. Now with a pre-tax bid-YTW of 2.27% based on a bid of $27.39 and a call 2008-10-30 at 25.75. It pays $1.4375, which is a whole big pile of money for a retractible, so I’m a little dubious about its chances of making it to the softMaturity 2012-3-30 at $25.00. Compare these yields with the BAM.PR.I … SAME issuer SAME index … and see why sometimes I despair of this market. Sure, the H is more liquid than the I – about three times more liquid, according to the averageTradingValue. But is there absolutely nobody out there holding H and prepared to chip away at the differential piecewise? |
| YPG.PR.A | Scraps | 157,010 | Recent new issue. Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.75 and a softMaturity 2012-12-30. |
| SLF.PR.E | PerpetualDiscount | 122,660 | Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.91 and a limitMaturity. |
| PWF.PR.K | PerpetualPremium | 113,912 | RBC crossed 50,000 at 26.25, the TD crossed the same number at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $26.20 and a call 2014-11-30 at $25.00. |
| CM.PR.J | PerpetualPremium | 111,330 | Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.96 and a limitMaturity. |
| BCE.PR.S | Scraps (would be Ratchet Rate, but there are liquidity concerns) | 100,000 | Nesbitt crossed 100,000 at $25.20 |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.