| 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.
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