| 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 | 4.02% | 3.89% | 87,318 | 3.88 | 1 | 0.0000% | 1,047.4 |
| Fixed-Floater | 4.97% | 3.48% | 108,894 | 4.60 | 5 | +0.0951% | 1,041.4 |
| Floater | 4.71% | -17.32% | 71,942 | 11.02 | 3 | +0.0264% | 1,050.1 |
| Op. Retract | 4.70% | 2.65% | 77,098 | 2.15 | 17 | -0.0983% | 1,033.1 |
| Split-Share | 5.07% | 1.31% | 191,061 | 3.23 | 15 | -0.0182% | 1,044.3 |
| Interest Bearing | 6.47% | 3.96% | 67,036 | 2.33 | 5 | +0.1659% | 1,041.9 |
| Perpetual-Premium | 5.00% | 3.56% | 247,963 | 5.39 | 53 | +0.0117% | 1,057.3 |
| Perpetual-Discount | 4.53% | 4.53% | 792,348 | 13.15 | 9 | -0.0040% | 1,066.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| TD.PR.M | OpRet | -1.5659% | On volume of 700 shares – which was enough to knock the quote down to 27.03-59, 55×4. Now with a pre-tax bid-YTW of 2.90% based on the bid and a call 2009-5-30 at $26.00. If it survives until its softMaturity 2013-10-30 at $25.00, it will have yielded 3.42% |
| BAM.PR.I | OpRet | +1.3011% | An issue with similar terms to the TD.PR.M – the main difference is the credit. It pays $1.375 p.a., as opposed $1.175 for TD.PR.M. It did not trade today, despite the efforts of the bidders to attract attention. Now with a pre-tax bid-YTW of 3.25% based on a bid of $27.25 and a call 2009-7-30 at $25.75 … it if makes it to its softMaturity 2013-12-30, the yield will have been 4.17% |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| PWF.PR.K | PerpetualPremium | 142,950 | RBC crossed 139,000 at 26.20. Now with a pre-tax bid-YTW of 4.34% based on a bid of $26.16 and a call 2014-11-30 at 4.34%. |
| BAM.PR.M | PerpetualPremium | 116,200 | Desjardins crossed 108,400 at $25.20. Now with a pre-tax bid-YTW of 4.77% based on a bid of $25.25 and a call 2016-03-01 at $25.00. |
| BCE.PR.S | Scraps (would be “ratchet” with more volume) | 102,500 | Nesbitt crossed 100,000 at $25.20. |
| WN.PR.E | PerpetualDiscount | 62,359 | Still on credit watch negative. Now with a pre-tax bid-YTW of 4.81% based on a bid of 25.08 and a limitMaturity |
| TD.PR.N | OpRet | 50,000 | Nesbitt crossed 50,000 at 27.40. Now with a pre-tax bid-YTW of 2.37% based on a bid of $27.28 and a call 2009-5-30 at $26.00. Big Deal. Even if it survives until its softMaturity 2014-1-30, its yield will have been only 3.21% … basically a corporate bond, in fact, after taking account of the Ontario Equivalency Factor of 1.40. |
There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.