| 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 |
4.18% |
4.08% |
75,403 |
3.82 |
1 |
-0.1984% |
1,048.6 |
| Fixed-Floater |
4.98% |
3.90% |
95.692 |
11.14 |
5 |
+0.0246% |
1,038.9 |
| Floater |
4.72% |
-19.45% |
77,169 |
0.14 |
3 |
+0.1322% |
1,055.0 |
| Op. Retract |
4.71% |
2.95% |
83,144 |
2.16 |
17 |
+0.0775% |
1,035.3 |
| Split-Share |
4.98% |
2.97% |
166,457 |
3.31 |
14 |
+0.2290% |
1,055.4 |
| Interest Bearing |
6.50% |
5.03% |
64,622 |
2.30 |
5 |
-0.2258% |
1,041.8 |
| Perpetual-Premium |
5.01% |
3.72% |
226,066 |
5.06 |
53 |
+0.0964% |
1,059.7 |
| Perpetual-Discount |
4.53% |
4.54% |
809,167 |
15.39 |
10 |
-0.0432% |
1,067.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| There were no major price changes in index-included issues today. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| GWO.PR.H |
PerpetualPremium |
262,753 |
TD crossed 100,000 at 26.00, then 50,000 at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $25.90 and a call 2014-10-30 at $25.00. |
| MFC.PR.A |
OpRet |
155,870 |
Scotia crossed 60,000 at 26.55, National Bank crossed 32,500 at 26.50 and Desjardins crossed 50,000 at 26.55. Now with a pre-tax bid-YTW of 3.33% based on a bid of 26.49 and a softMaturity 2015-12-18 at 25.00. Well … the interest-equivalent (at Ontario’s factor of 1.4x) is at least a small spread over bonds! |
| PWF.PR.K |
PerpetualPremium |
106,800 |
Desjardins crossed 100,000 at $26.35. Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.32 and a call 2014-11-30 at $25.00 |
| BMO.PR.G |
OpRet |
78,218 |
Now with a pre-tax bid-YTW of 3.73% based on a bid of 25.23 and a call 2007-9-24 at $25.00. I’ll bet not just a nickel, but a whole dime that it gets called ASAP and that BMO won’t wait for the softMaturity 2008-5-24. The interest-equivalent to the September call is 5.22% – money-market almost-equivalents could get a lot worse … provided, of course, that you can buy at the bid and not pay commission. At the ask of 25.28, the YTW is 3.32% … still not bad, but it takes a lot of the fun out of it. |
| BNS.PR.K |
PerpetualPremium |
56,575 |
RBC crossed 50,000 at 26.25. Now with a pre-tax bid-YTW of 4.14% based on a bid of $26.25 and a call 2014-5-28 at $25.00. |
There were seventeen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
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