| 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 |
4.14% |
4.01% |
80,670 |
3.84 |
1 |
-0.1983% |
1,049.0 |
| Fixed-Floater |
4.98% |
3.85% |
100,115 |
7.84 |
5 |
-0.3063% |
1,039.4 |
| Floater |
4.72% |
-18.75% |
75,630 |
0.32 |
3 |
+0.0000% |
1,054.2 |
| Op. Retract |
4.70% |
2.78% |
79,019 |
2.14 |
17 |
+0.0907% |
1,035.9 |
| Split-Share |
4.99% |
2.83% |
173,289 |
3.32 |
14 |
+0.1537% |
1,053.5 |
| Interest Bearing |
6.50% |
4.91% |
65,174 |
2.31 |
5 |
+0.1303% |
1,042.1 |
| Perpetual-Premium |
5.01% |
3.81% |
230,216 |
5.22 |
53 |
-0.0304% |
1,058.7 |
| Perpetual-Discount |
4.53% |
4.54% |
865,516 |
14.41 |
10 |
-0.0954% |
1,066.3 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| There were no index-included issues with notable performances today. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| RY.PR.A |
PerpetualDiscount |
358,978 |
TD crossed 100,000 at 25.05, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.00 and a limitMaturity. |
| FAL.PR.H |
Scraps ( would be PerpetualPremium, but there are credit concerns) |
106,300 |
Scotia crossed 53,800 at $25.91; Desjardins crossed 50,000 at $25.95. Now with a pre-tax bid-YTW of 3.17% based on a bid of $25.86 and a call 2008-4-30. I can only assume that the market is assuming the call is a lead-pipe cinch and is trading the issue as a retractible – a hard conclusion to argue against, since it pays at a rate of 6.5% of par. But still… |
| MFC.PR.A |
OpRet |
86,380 |
Desjardins crossed 50,000 at 26.50. Now with a pre-tax bid-YTW of 3.37% based on a bid of $26.40 and a softMaturity 2015-12-18 at $25.00 |
| CM.PR.R |
OpRet |
83,020 |
Scotia crossed 14,000 at $26.75, then another 65,000 at $26.83. Now with a pre-tax bid-YTW of 2.67% based on a bid of $26.58 and a call 2008-5-30 at $25.75. This YTW is only the bond-equivalent of 3.74% at the Ontario Equivalency Factor of 1.4, so the market seems to be hoping it lasts until the softMaturity 2013-4-29 at $25.00, which results in a pre-tax bid-Yield of 4.03%. I have my doubts! |
| GWO.PR.X |
OpRet |
54,558 |
Now with a pre-tax bid-YTW of 2.07% based on a bid of $27.65 and a call 2009-10-30 at 26.00. Again, the market is hoping for the softMaturity, this one 2013-9-29 to yield 3.00% … but that’s still only bond-equivalent of 4.2%, which is less than corporate bonds of that tenor, so why? Note that this still has the Issuer Bid and Putnam financing to be considered. |
| RY.PR.F |
PerpetualDiscount |
49,230 |
Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.72 and a limitMaturity. |
There were fourteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
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