| 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 | 4.05% | 4.07% | 24,908 | 17.30 | 1 | 0.0000% | 1,029.6 |
| Fixed-Floater | 4.75% | 3.06% | 74,733 | 6.58 | 7 | 0.0957% | 1,046.4 |
| Floater | 4.56% | -20.97% | 62,305 | 4.16 | 4 | +0.1081% | 1,045.0 |
| Op. Retract | 4.68% | 2.24% | 78,176 | 2.04 | 17 | -0.0106% | 1,031.3 |
| Split-Share | 5.05% | 0.26% | 387,796 | 2.84 | 11 | -0.0147% | 1,045.2 |
| Interest Bearing | 6.71% | 5.88% | 74,199 | 2.63 | 6 | -0.0617% | 1,034.8 |
| Perpetual-Premium | 5.02% | 3.71% | 230,448 | 5.35 | 55 | -0.0086% | 1,051.8 |
| Perpetual-Discount | 4.50% | 4.52% | 1,480,658 | 16.35 | 5 | +0.0806% | 1,056.1 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with major price changes (bid/bid) today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.E | PerpetualDiscount | 185,599 | Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.94 and a limitMaturity |
| MFC.PR.C | PerpetualPremium | 177,475 | RBC crossed 50,000 at 24.99; Scotia crossed 11,500 at the same price. Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.01 and optionCertainty 2037-1-22 at $25.00. |
| BMO.PR.J | PerpetualDiscount | 101,300 | Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.95 and a limitMaturity. |
| FBS.PR.B | SplitShare | 255,990 | Recent new issue. CIBC crossed 217,000 at $10.30. I don’t understand why anybody would buy it at such a price – the pre-tax bid-YTW is 2.16% based on a bid of $10.30 and a call 2008-1-14 at $10.00. Buyers must be looking at the yield of 4.20% based on a hardMaturity 2011-12-15 at $10.00, but I consider the chance of a large proportion of extant shares surviving that long to be fairly slim. |
| RY.PR.A | PerpetualPremium | 74,325 | Scotia crossed 17,300 at 25.00. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.99 and a limitMaturity. |
There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.