| 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 | 4.14% | 4.04% | 46,177 | 17.11 | 2 | -0.1585% | 1,050.0 |
| Fixed-Floater | 4.92% | 3.92% | 83,859 | 17.17 | 6 | +0.1393% | 1,038.3 |
| Floater | 4.57% | -20.01% | 60,320 | 0.13 | 4 | +0.1974% | 1,057.2 |
| Op. Retract | 4.72% | 3.12% | 85,510 | 2.15 | 17 | -0.0459% | 1,034.0 |
| Split-Share | 5.00% | 3.74% | 174,820 | 3.29 | 12 | -0.1428% | 1,050.0 |
| Interest Bearing | 6.54% | 3.03% | 64,071 | 2.30 | 5 | +0.0125% | 1,042.5 |
| Perpetual-Premium | 5.03% | 3.84% | 197,908 | 5.12 | 53 | -0.0705% | 1,058.8 |
| Perpetual-Discount | 4.53% | 4.54% | 827,894 | 16.34 | 10 | -0.0158% | 1,066.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| CU.PR.B | PerpetualPremium | -1.0989% | I suppose the new issue announcement has alerted some to the idea that the various high-coupon, high-premium CU issues may be less perpetual than has been assumed! Now with a pre-tax bid-YTW of 3.03% based on a bid of $27.00 and a call 2008-7-1 at $26.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| NA.PR.K | PerpetualPremium | 129,000 | Now with a pre-tax bid-YTW of 3.22% based on a bid of 26.93 and a call 2008-6-14 at $26.00 |
| GWO.PR.I | PerpetualDiscount | 83,250 | Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.00 and a limitMaturity. |
| WN.PR.B | OpRet | 26,144 | Now with a pre-tax bid-YTW of 3.13% based on a bid of $26.10 and a softMaturity 2009-6-30 at $25.00 |
| SLF.PR.C | PerpetualDiscount | 22,338 | Now with a pre-tax bid-YTW of 4.50% based on a bid of 24.78 and a limitMaturity. |
| RY.PR.F | PerpetualDiscount | 18,860 | Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.70 and a limitMaturity. |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.