| 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 | 4.21% | 4.03% | 67,370 | 3.82 | 1 | +0.0000% | 1,052.5 |
| Fixed-Floater | 5.00% | 3.90% | 96,811 | 17.23 | 5 | +0.0874% | 1,037.5 |
| Floater | 4.72% | -20.06% | 74,500 | 0.32 | 3 | +0.1313% | 1,055.6 |
| Op. Retract | 4.72% | 3.04% | 85,479 | 2.16 | 17 | -0.0828% | 1,034.0 |
| Split-Share | 5.01% | 3.14% | 158,951 | 3.31 | 14 | +0.0234% | 1,052.8 |
| Interest Bearing | 6.51% | 5.36% | 64,757 | 2.32 | 5 | +0.0934% | 1,045.9 |
| Perpetual-Premium | 5.02% | 3.56% | 219,123 | 5.15 | 53 | -0.0031% | 1,059.8 |
| Perpetual-Discount | 4.53% | 4.54% | 762,721 | 15.37 | 10 | -0.0157% | 1,066.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| FFN.PR.A | SplitShare | -1.5109% | May be extending term soon, which will be really good for the issue’s fundamentals as long as there is nothing horrible in the as-yet-unreleased details. Now with a pre-tax bid-YTW of 3.52% based on a bid of $10.43 and a hardMaturity 2009-12-1 at $10.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| PWF.PR.F | PerpetualPremium | 51,950 | Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.90 and a call 2010-12-30 at $25.00 |
| BCE.PR.Z | FixedFloater | 33,021 | |
| RY.PR.F | PerpetualDiscount | 32,681 | Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.68 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | 31,950 | RBC crossed 25,000 at $25.00. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.87 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | 23,245 | Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.81 and a limitMaturity. |
Kudos to TD, who crossed 50,000 CCS.PR.A, a Pfd-3 floater with the agonizing combination of fat coupon and current, long-standing, call. The volume-average is 324.5 shares per day. And, if truth be known, if it had sufficient credit quality & volume to index-included, it would be deemed a “PerpetualPremium” … the yield has a floor, which is now in operation [It pays 5.5%, NOT 90% of Canadian Prime.] and I refuse to call things floaters if they don’t actually float.
There were eleven other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
And that’s it for another month, quarter, and sixth full year of operation of MAPF.
[…] Well, first off, let’s look at the index data: March 30: […]