| 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% | 76,329 | 3.82 | 1 | +0.1590% | 1,050.7 |
| Fixed-Floater | 4.98% | 3.92% | 96,841 | 13.92 | 5 | -0.1026% | 1,038.6 |
| Floater | 4.72% | -19.27% | 76,950 | 5.58 | 3 | +0.1188% | 1,053.6 |
| Op. Retract | 4.71% | 2.99% | 81,686 | 2.13 | 17 | -0.0575% | 1,034.5 |
| Split-Share | 4.99% | 3.24% | 167,810 | 3.31 | 14 | -0.1482% | 1,053.0 |
| Interest Bearing | 6.48% | 4.86% | 64,960 | 2.31 | 5 | +0.2968% | 1,044.2 |
| Perpetual-Premium | 5.02% | 3.83% | 226,236 | 5.24 | 53 | -0.0203% | 1,058.7 |
| Perpetual-Discount | 4.53% | 4.53% | 827,401 | 14.43 | 10 | +0.0924% | 1,067.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BSD.PR.A | InterestBearing | +1.0945% | A burst of afternoon buying from TD Securities and Scotia took the price up as high as 10.25, to close at 10.16-31. Pre-tax bid-YTW now 5.82% based on a hardMaturity 2015-3-31 at $10.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.A | OpRet | 513.626 | Global seems to have made a specialty out of dividend capture strategies – they crossed 254,700 for cash at 26.33, and the same number for regular at 25.99. The issue went ex-Dividend today for $0.33125 and now has a pre-tax bid-YTW of 3.68% based on a bid of $25.89 and a call 2007-11-30 at $25.75. |
| BNS.PR.L | PerpetualPremium | 139,700 | Virtually the same terms as the new issue, so it’s interesting to see this one closing at 25.14-17 on good volume. Note, however, that this issue has an initial dividend of $0.28125 and goes ex-dividend prior to settlement of the new issue. I wonder if they do this type of thing on purpose, as a snare for the unwary, who might think it marvellous that such a close comparable is trading at a premium? Now with a pre-tax bid-YTW of 4.53% based on a limitMaturity. |
| TD.PR.M | OpRet | 78,650 | Desjardins crossed 55,000 at $27.25, then 20,000 at the same price. Now with a pre-tax bid-YTW of 2.82% based on a bid of $27.11 and a call 2009-5-30 at $26.00. The chances of it surviving to its softMaturity 2013-10-30, to have yielded 3.40% are just what, exactly? |
| RY.PR.B | PerpetualPremium | 77,200 | RBC crossed 70,000 at 25.65. Now with a pre-tax bid-YTW of 4.42% based on a bid of 25.65 and a call 2015-9-23 at $25.00. |
| CM.PR.I | PerpetualPremium | 61,320 | National Bank crossed 20,000 at 25.35. Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.40 and a call 2016-3-1 at 4.45%. |
There were twenty-one other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.