| 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 | 4.09% | 4.10% | 27,210 | 17.22 | 1 | +0.0398% | 1,044.9 |
| Fixed-Floater | 4.80% | 3.54% | 86,257 | 8.17 | 7 | -0.2344% | 1,044.0 |
| Floater | 4.48% | -20.31% | 55,682 | 3.35 | 5 | -0.0219% | 1,047.6 |
| Op. Retract | 4.70% | 2.15% | 74,116 | 2.06 | 18 | -0.0035% | 1,031.9 |
| Split-Share | 5.09% | 0.42% | 257,600 | 2.69 | 14 | +0.0871% | 1,045.8 |
| Interest Bearing | 6.47% | 3.29% | 59,424 | 2.35 | 5 | -0.0189% | 1,039.0 |
| Perpetual-Premium | 5.03% | 3.75% | 221,519 | 4.90 | 51 | +0.1008% | 1,054.6 |
| Perpetual-Discount | 4.53% | 4.55% | 1,142,956 | 15.49 | 11 | +0.0914% | 1,060.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BNA.PR.A | SplitShare | +1.4853% | Well … the issue did, after all, go ex-dividend today … but the price didn’t budge. So the pre-tax bid-YTW went from -4.59% yesterday to -21.46% today, based on a bid of $26.30 and a call 2007-3-22 at $25.75. But who knows? Maybe the issue will survive until its hardMaturity 2010-09-30 at $25.00 to have yielded 4.62% … but why BAM Split would allow an issue paying $1.56 to remain outstanding (OK, so they save $0.25 p.a. on that with the declining call premium. It’s still a lot!) when they’ve just proved they can issue with a $1.0875 pay-out is beyond me. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.A | PerpetualDiscount | 172,835 | Now with a pre-tax bid-YTW of 4.30% based on a bid of $25.60 and a call 2014-4-30 at $25.00 |
| CM.PR.I | PerpetualPremium | 165,024 | Nesbitt crossed 156,300 at 25.50. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.41 and a call 2016-3-1 at $25.00 |
| CM.PR.H | PerpetualPremium | 130,975 | Now with a pre-tax bid-YTW of 4.23% based on a bid of $25.99 and a call 2014-4-29 at $25.00 |
| WN.PR.B | OpRet | 80,065 | Desjardins crossed 79,300 at $25.95. Now with a pre-tax bid-YTW of 3.88% based on a bid of $25.90 and softMaturity 2009-6-30 at $25.00. |
| CM.PR.J | PerpetualDiscount | 71,905 | Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity |
There were twenty other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.