| 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% | 4.05% | 28,412 | 17.35 | 1 | -0.0400% | 1,037.8 |
| Fixed-Floater | 4.79% | 3.54% | 101,377 | 4.56 | 7 | +0.2711% | 1,045.4 |
| Floater | 4.45% | -27.45% | 57,589 | 6.58 | 5 | -0.2672% | 1,054.9 |
| Op. Retract | 4.72% | 2.38% | 73,951 | 2.12 | 18 | -0.0237% | 1,027.7 |
| Split-Share | 5.10% | 1.00% | 314,869 | 2.65 | 14 | +0.1238% | 1,042.0 |
| Interest Bearing | 6.69% | 2.11% | 71,648 | 3.87 | 6 | +0.1858% | 1,036.9 |
| Perpetual-Premium | 5.03% | 3.88% | 234,236 | 5.03 | 51 | -0.0521% | 1,051.7 |
| Perpetual-Discount | 4.54% | 4.57% | 1,092,248 | 16.25 | 10 | +0.1051% | 1,053.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| TOC.PR.B | Floater | -1.6541% | Still gyrating, as it has since January 26. This time on volume of 873 shares. I wonder what the TSX is saying to the market maker. |
| GWO.PR.F | PerpetualPremium | -1.5771% | RBC sold 5,000 shares at 3:24pm, which took the bid from 27.55 to 27.46. Now with a pre-tax bid-YTW of 2.70% based on a bid of 27.46 and a call 2008-10-30 at $26.00 |
| ACO.PR.A | OpRet | -1.2821% | Closed at 26.95-60, 100×5, but that fine bid was a late entry … some traded as low as 27.26 on the day. Now with a pre-tax bid-YTW of 3.35% based on a bid of $26.95 and a call 2008-12-31 at $26.00 |
| WFS.PR.A | SplitShare | -1.0348% | Now with a pre-tax bid-YTW of 4.11% based on a bid of 10.52 and a hardMaturity 2011-6-30. |
| BCE.PR.Z | FixedFloater | +1.0236% | As recently discussed, this becomes exchangeable with BCE.PR.Y in December |
| FIG.PR.A | InterestBearing | +1.1905% | Mergers & liquidity are good for you! The trouble, of course, comes with the call schedule. Now with a pre-tax bid-YTW of -17.67% based on a bid of $10.20 and a call 2007-3-8 at $10.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| ACO.PR.A | OpRet | 77,046 | Down substantially on the day (bid/bid). Somebody wanted to SELL! |
| SLF.PR.E | PerpetualDiscount | 57,415 | Recent new issue. Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.65 and a limitMaturity. |
| PWF.PR.K | PerpetualPremium | 55,900 | RBC crossed 50,000 at 26.27. Now with a pre-tax bid-YTW of 4.26% based on a bid of $26.20 and a call 2014-11-30 at $25.00 |
| CM.PR.I | PerpetualPremium | 52,007 | Nesbitt crossed 10,000 at 25.38. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.40 and a call 2016-3-1 at $25.00. Both better yield and better interest rate protection than the new issue. Just like yesterday! |
| SLF.PR.D | PerpetualDiscount | 26,412 | Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.73 and a limitMaturity |
There were eighteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.