| 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 | 4.15% | 4.03% | 77,474 | 3.83 | 1 | 0.0000% | 1,049.0 |
| Fixed-Floater | 4.98% | 3.85% | 98,668 | 7.91 | 5 | +0.0243% | 1,039.7 |
| Floater | 4.73% | -18.34% | 76,144 | 0.51 | 3 | -0.1702% | 1,052.4 |
| Op. Retract | 4.70% | 2.87% | 79,747 | 2.15 | 17 | -0.0829% | 1,035.1 |
| Split-Share | 4.98% | 2.74% | 169,788 | 3.32 | 14 | +0.0984% | 1,054.5 |
| Interest Bearing | 6.50% | 4.76% | 64,621 | 2.31 | 5 | -0.0977% | 1,041.1 |
| Perpetual-Premium | 5.01% | 3.84% | 226,067 | 5.05 | 53 | +0.0194% | 1,058.9 |
| Perpetual-Discount | 4.53% | 4.54% | 843,055 | 14.41 | 10 | +0.0204% | 1,066.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BMO.PR.G | OpRet | -1.0265% | Nesbitt crossed 42,700 at 25.20 and it closed at 25.07-20. Is this finally capitulation (by one player, anyway!) or is it just a noisy flash in the pan? Now with a pre-tax bid-YTW of 4.86% based on a softMaturity 2008-5-24 at $25.00. Note that yesterday, the bid-YTW was 2.83% based on the bid of $25.33. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| PWF.PR.I | PerpetualPremium | 214,600 | Desjardins had a buyer for this issue today and were on the buy-side for the last ten trades, which totalled 208,400 shares including a cross of 200,000 at 27.03. Looks like their buyer was motivated, because their trading took the price up from 26.74 to the cross level. Closed at 26.71-98; pre-tax bid-YTW is 4.13% based on a call 2008-5-30 at $26.00; pre-tax ask-YTW is 3.24%. |
| CM.PR.R | OpRet | 203,800 | Desjardins crossed 200,000 at 26.85. Now with a pre-tax bid-YTW of 2.38% based on a bid of $26.67 and a call 2008-5-30 at $25.75. The buyer appears to be desperately hoping for the softMaturity 2013-4-29 at $25.00, which will have given a yield of 3.96%, and who am I to say he shouldn’t? James Hymas, that’s who. |
| GWO.PR.X | OpRet | 65,418 | Desjardins crossed 58,000 at 27.65, in a blatant attempt to capture the coveted “Biggest trades is low-yielding securities” trophy for March. Now with a pre-tax bid-YTW of 2.14% based on a bid of $27.60 and a call 2009-10-30 at $26.00. This is an interesting issue, with the issuer bid and Putnam financing to be considered. |
| CM.PR.D | PerpetualPremium | 63,200 | TD crossed 60,000 at $26.99. Now with a pre-tax bid-YTW of 3.19% based on a bid of $26.93 and a call 2008-5-30 at $26.00 … which basically means it’s yielding not much more than a corporate bond. Maybe CIBC won’t call it! Maybe pigs will fly! You can never tell. |
| BMO.PR.G | OpRet | 47,708 | Discussed as a Big Mover. |
There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.