| 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 | 4.25% | 4.24% | 40,467 | 16.86 | 2 | +0.9670% | 1,017.4 |
| Fixed-Floater | 5.44% | 4.47% | 107,857 | 16.44 | 6 | -1.7970% | 941.3 |
| Floater | 4.56% | -18.58% | 56,159 | 0.13 | 4 | +0.3363% | 1,061.8 |
| Op. Retract | 4.73% | 3.27% | 83,839 | 2.20 | 17 | -0.1183% | 1,033.4 |
| Split-Share | 5.03% | 3.99% | 142,867 | 3.23 | 12 | +0.0266% | 1,046.8 |
| Interest Bearing | 6.51% | 3.92% | 61,511 | 1.91 | 5 | +0.2016% | 1,047.3 |
| Perpetual-Premium | 5.05% | 4.22% | 222,634 | 5.87 | 54 | -0.1467% | 1,056.2 |
| Perpetual-Discount | 4.55% | 4.58% | 797,257 | 16.26 | 11 | -0.1873% | 1,061.2 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.R | FixedFloater | -3.762% | Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 22.00-50, 50×100 … 50×100? Seems to me that a few institutional investors have had time for their meetings. Traded as low as 21.50 today, a new 52-week low. |
| BCE.PR.G | FixedFloater | -2.5541% | Exchange/Reset date is 2011-05-01 (exchange to BCE.PR.H); until then, they pay 4.35% of par. The bid moved on zero volume and they closed at 22.51-00, 4×15. The BCE.PR.H closed at 24.25-50, 1×20. |
| BCE.PR.I | FixedFloater | -2.1324% | Exchange/Resdet date is 2011-08-01 (counterpart is unissued series ‘AJ’); until then pay 4.65% of par. Closed at 22.03-19, 4×15; new low of 22.00 today. |
| POW.PR.D | PerpetualPremium | -1.6387% | Now with a pre-tax bid-YTW of 4.54% based on a bid of 25.81 and a call 2014-11-30 at 25.00. |
| BCE.PR.Z | FixedFloater | -1.3842% | Exchange/Reset date is 2007-12-1 (to BCE.PR.Y); until then they pay 5.319% of par. Closed at 23.51-79, 5×1; the Ys closed at 23.87-19. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.D | PerpetualPremium | 245,550 | Desjardins crossed 240,000 at 26.70. Now with a pre-tax bid-YTW of 3.69% based on a bid of 26.50 and a call 2008-5-30 at $26.00. |
| BAM.PR.M | PerpetualPremium | 43,300 | Now with a pre-tax bid-YTW of 4.82% based on a bid of 24.80 and a limitMaturity. These fell 0.44% today … almost certainly due to the very similar new issue announced today. |
| RY.PR.W | PerpetualPremium | 38,660 | Now with a pre-tax bid-YTW of 4.18% based on a bid of 26.00 and a call 2014-3-26 at 25.00 |
| SLF.PR.D | PerpetualDiscount | 25,655 | Now with a pre-tax bid-YTW of 4.57% based on a bid of 24.50 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | 24,300 | Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.78 and a limitMaturity. |