There was the usual news today: A story about the bonds dip (I know him, he’s the guy at [Deleted on Legal Advice]), Treasuries dropped, credit spreads widened (even in America), Korea tightened, and there are fears Japan might tighten. Same old.
| 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 | 5.32% | 5.34% | 27,793 | 14.93 | 2 | +0.9492% | 1,019.2 |
| Fixed-Floater | 5.05% | 5.36% | 140,345 | 15.00 | 8 | -0.0912% | 998.7 |
| Floater | 4.66% | -0.18% | 77,866 | 8.43 | 4 | +0.1107% | 1,048.8 |
| Op. Retract | 4.83% | 4.01% | 86,057 | 3.02 | 16 | -0.0671% | 1,021.3 |
| Split-Share | 5.05% | 4.64% | 122,364 | 3.99 | 17 | +0.1152% | 1,045.9 |
| Interest Bearing | 6.19% | 6.27% | 68,186 | 4.44 | 3 | -0.0339% | 1,039.6 |
| Perpetual-Premium | 5.54% | 5.10% | 120,245 | 5.67 | 26 | +0.1568% | 1,021.6 |
| Perpetual-Discount | 5.11% | 5.14% | 373,572 | 14.87 | 38 | -0.1460% | 965.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ELF.PR.G | PerpetualDiscount | -2.8033% | Perhaps related to its removal from the S&P/TSX Index? None of the other removals were hit nearly as badly. Now with a pre-tax bid-YTW of 5.65% based on a bid of 21.15 and a limitMaturity. |
| PWF.PR.F | PerpetualPremium (for now!) | -1.0121% | Added to the index. Now with a pre-tax bid-YTW of 5.37% based on a bid of 24.45 and a limitMaturity. |
| IAG.PR.A | PerpetualDiscount | +1.2826% | Now with a pre-tax bid-YTW of 5.05% based on a bid of 22.90 and a limitMaturity. |
| BCE.PR.S | Ratchet | +1.4799% | |
| MIC.PR.A | PerpetualPremium (Recent add) | +1.1760% | Now with a pre-tax bid-YTW of 5.44% based on a bid of 25.75 and a call 2012-1-30 at 25.00. |
| NA.PR.K | PerpetualPremium | +1.4479% | Ex-Dividend today. Now with a pre-tax bid-YTW of 3.99% based on a bid of 26.25 and a call 2008-6-14 at 26.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| AL.PR.F | Scraps (would be Floater, but there are volume concerns) | 151,725 | Ex-Dividend today for $0.28125. Global crossed 75,600 at 24.97 for cash, then 75,600 at 24.68 for regular settlement. |
| HSB.PR.D | PerpetualPremium | 51,700 | Scotia crossed 50,000 at 25.20. Now with a pre-tax bid-YTW of 4.98% based on a bid of 25.12 and a call 2015-1-30 at 25.00. |
| CIU.PR.A | PerpetualDiscount | 25,700 | Added to the index. RBC crossed 25,000 at 23.10. Now with a pre-tax bid-YTW of 5.06% based on a bid of 23.01 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | 25,560 | Now with a pre-tax bid-YTW of 5.12% based on a bid of 22.02 and a limitMaturity. |
| CM.PR.D | PerpetualPremium | 18,261 | Now with a pre-tax bid-YTW of 5.01% based on a bid of 25.77 and a call 2012-5-30 at 25.00 |
There were fifteen other $25-equivalent index-included issues trading over 10,000 shares today.