| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.40% | 4.36% | 29,445 | 16.60 | 2 | 0.0205% | 987.6 |
| Fixed-Floater | 5.00% | 4.23% | 297,397 | 13.90 | 6 | -0.7880% | 992.5 |
| Floater | 4.59% | -17.67% | 62,819 | 6.45 | 5 | -0.2588% | 1,008.1 |
| Op. Retract | 4.71% | 2.92% | 74,696 | 2.61 | 18 | -0.0591% | 1,005.8 |
| Split-Share | 5.00% | 3.34% | 54,793 | 2.74 | 10 | 0.0490% | 1,007.0 |
| Interest Bearing | 6.83% | 5.08% | 59,137 | 2.12 | 7 | 0.1998% | 1,015.7 |
| Perpetual-Premium | 5.25% | 4.06% | 156,781 | 3.80 | 42 | 0.1772% | 1,016.4 |
| Perpetual-Discount | 4.70% | 4.70% | 333,155 | 12.37 | 13 | 0.1058% | 1,025.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BC.PR.B | FixedFloater | -5.7338% | A sale of 650 shares by RBC (retail, surely!) took out the bid with a closing price of $24.50 and left the closing bid at $23.51. It’s probable that a bid will be back tomorrow … but on the other hand, this trade occurred at 2:40pm and nothing had materialized by way of a bid until the 4pm close |
| AL.PR.E | Floater | -1.3208% | Total volume 8,800 shares, a relatively active day for this issue. |
| FFN.PR.A | SplitShare | -1.2915% | Closing bid = closing price = $10.37, implying a YTW of 4.02% on this issue, above average for a split-share. |
| PWF.PR.J | OpRet | -1.0428% | Volume 4,175 shares, marginally above average for this issue |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.B | PerpetualDiscount | 127,277 | |
| SLF.PR.A | PerpetualDiscount | 60,880 | RBC bought 50,000 from TD just before the close @25.20 |
| BAM.PR.K | Floater | 51,750 | Scotia crossed 50,000 @ 24.30 |
| SLF.PR.C | PerpetualDiscount | 34,600 | Nesbitt bought 32,000 in five tranches – 1,000 from CIBC, the remainder from RBC |
| IAG.PR.A | PerpetualDiscount | 24,200 | Nesbitt executed an internal cross of 23,800 shares at $24.91 |
There were thirteen other index-included issues with volumes of more than 10,000 shares.
Another strong day, at least for the perpetuals! Strong enough, in fact, that two issues crossed over into negative YTW territory:
ENB.PR.A is now bid at $25.69 even though it is currently callable at $25.50, with the redemption price slated to tick down a quarter in December.
RY.PR.O is now bid at $25.70, although it is currently callable at $25.50; the redemption price will next tick down a quarter in August 2007.