January 25, 2007

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 4.01% 4.03% 27,427 17.38 1 +0.2405% 1,036.2
Fixed-Floater 4.74% 3.03% 73,250 8.20 7 +0.2887% 1,049.8
Floater 4.54% -23.4% 61,674 4.16 4 +0.1669% 1,048.6
Op. Retract 4.68% 2.20% 80,508 2.00 17 -0.0086% 1,031.1
Split-Share 5.05% 0.06% 377,084 2.83 11 -0.0259% 1,045.5
Interest Bearing 6.70% 5.94% 72,374 4.49 6 +0.0493% 1,035.5
Perpetual-Premium 5.01% 3.79% 266,212 5.54 56 -0.0649% 1,051.8
Perpetual-Discount 4.50% 4.52% 1,453,490 16.34 5 -0.1763% 1,055.4
Major Price Changes
Issue Index Change Notes
BC.PR.C FixedFloater +1.9335%  
Volume Highlights
Issue Index Volume Notes
BNS.PR.L PerpetualPremium 229,110 Recent new issue. Now with a pre-tax bid-YTW of 4.49% based on a bid of $25.05 and a call 2016-5-27 at $25.00.
RY.PR.E PerpetualDiscount 116,736 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.99 and a limitMaturity.
GWO.PR.X OpRet 79,013 RBC crossed 75,000 at $27.65. Now with a pre-tax bid-YTW of 2.42% based on a bid of $27.61 and a call 2009-10-30 at $26.00. I had my rant about this yesterday and even updated my evidence, so I’ll give it a rest for now.
GWO.PR.H PerpetualPremium 59,800 Now with a pre-tax bid-YTW of 4.44% based on a bid of $25.80 and a call 2014-10-30 at $25.00.
BMO.PR.J PerpetualDiscount 58,190 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.99 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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