| 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 | 4.01% | 3.82% | 83,868 | 3.88 | 1 | 0.3185% | 1,050.7 |
| Fixed-Floater | 4.97% | 3.45% | 109,132 | 4.59 | 5 | +0.0160% | 1,041.6 |
| Floater | 4.70% | -17.30% | 74,613 | 11.03 | 3 | +0.0916% | 1,051.0 |
| Op. Retract | 4.70% | 2.59% | 76,216 | 2.14 | 17 | +0.0623% | 1,033.8 |
| Split-Share | 5.07% | 0.44% | 189,839 | 3.22 | 15 | -0.0188% | 1,044.1 |
| Interest Bearing | 6.47% | 3.25% | 67,295 | 2.33 | 5 | +0.1062% | 1,043.0 |
| Perpetual-Premium | 5.00% | 3.69% | 245,160 | 5.20 | 53 | -0.0206% | 1,057.1 |
| Perpetual-Discount | 4.53% | 4.53% | 788,287 | 12.16 | 9 | +0.1294% | 1,068.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| SXT.PR.A | SplitShare | +1.1067% | Makes at least some sense, since today is the first day of trading in post-redemption shares. I wonder if the sellers knew that? |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.E | PerpetualDiscount | 220,785 | RBC crossed 214,500 at 25.00. Did both sides pay a nickel a share? Nice work, if so! Now with a pre-tax bid-YTW of 4.49% based on a bid of $25.00 and a call 2016-4-30 at $25.00. |
| POW.PR.D | PerpetualPremium | 70,000 | Scotia crossed 65,000 at $26.45. Now with a pre-tax bid-YTW of 4.27% based on a bid of $26.43 and a call 2014-11-30 at $25.00. |
| LBS.PR.A | SplitShare | 152,322 | Scotia crossed 27,700 at $10.60 and 85,000 at 10.70. Now with a pre-tax bid-YTW of 4.31% based on a bid of $10.64 and a hardMaturity 2013-11-29 at $10.00 |
| SLF.PR.A | PerpetualPremium | 54,050 | Scotia crossed 50,000 at $25.74. Now with a pre-tax bid-YTW of 4.27% based on a bid of $25.71 and a call 2014-4-30 at $25.00. |
| BAM.PR.B | Floater | 47,165 | Desjardins crossed 40,000 at $25.05. |
There were fourteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.