| 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 |
4.10% |
4.12% |
26,137 |
17.19 |
1 |
-0.0796% |
1,044.0 |
| Fixed-Floater |
4.81% |
3.72% |
85,328 |
8.17 |
7 |
-0.1903% |
1,042.0 |
| Floater |
4.48% |
-20.50% |
55,143 |
3.34 |
5 |
+0.0657% |
1,048.3 |
| Op. Retract |
4.71% |
2.40% |
74,002 |
2.06 |
18 |
-0.0911% |
1,031.0 |
| Split-Share |
5.09% |
0.75% |
253,022 |
2.69 |
14 |
-0.0561% |
1,045.2 |
| Interest Bearing |
6.47% |
3.53% |
60,141 |
2.36 |
5 |
+0.0525% |
1,039.5 |
| Perpetual-Premium |
5.03% |
3.77% |
219,626 |
5.02 |
51 |
-0.0350% |
1,054.2 |
| Perpetual-Discount |
4.52% |
4.55% |
1,098,440 |
15.49 |
11 |
+0.0220% |
1,061.1 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| There were no index-included issues with extraordinary performance today. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.J |
PerpetualDiscount |
100,455 |
Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.94 and a limitMaturity |
| WN.PR.B |
OpRet |
43,790 |
Credit watch negative! Scotia crossed 23,300 at $26.05, then Desjardines crossed 20,000 at the same price. Now with a pre-tax bid-YTW of 3.71% based on a bid of $26.00 and softMaturity 2009-6-30 at $25.00. That’s an interest equivalent of 5.19% at standard equivalency … I note that the Weston bonds, 6.45%/11, are trading 44bp back of Canadas, call it maybe 4.50%. |
| BMO.PR.J |
PerpetualDiscount |
24,155 |
Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.13 and either a call 2016-3-26 at $25.00, or a limitMaturity, take your pick. |
| RY.PR.A |
PerpetualDiscount |
23,135 |
Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.95 and a limitMaturity. |
| RY.PR.D |
PerpetualPremium |
22,700 |
RBC bought 16,400 from various dealers in six tranches at $25.19-20 (and another 3,700 in three tranches later in the afternoon). Now with a pre-tax bid-YTW of 4.54% based on a bid of $25.12 and a limitMaturity. |
There were twenty-three other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
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