| 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 | 4.42% | 4.42% | 42,977 | 16.62 | 2 | -0.1605% | 991.7 |
| Fixed-Floater | 5.50% | 4.55% | 118,964 | 16.29 | 6 | -0.3041% | 931.2 |
| Floater | 4.56% | -19.12% | 57,071 | 0.13 | 4 | +0.0884% | 1,062.4 |
| Op. Retract | 4.73% | 3.24% | 84,582 | 2.38 | 17 | -0.0507% | 1,033.1 |
| Split-Share | 5.04% | 4.33% | 182,814 | 4.02 | 12 | -0.0422% | 1,044.2 |
| Interest Bearing | 6.48% | 3.87% | 61,798 | 2.27 | 5 | +0.1972% | 1,051.3 |
| Perpetual-Premium | 5.07% | 4.48% | 223,033 | 6.23 | 54 | -0.1385% | 1,053.1 |
| Perpetual-Discount | 4.57% | 4.59% | 935,745 | 16.23 | 12 | -0.3302% | 1,056.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.G | FixedFloater | -2.7335% | Exchange/Reset date is 2011-05-1 (exchanges with BCE.PR.H); until then pays 4.35% of par. Another new low today, 21.01. Closed at 21.35-55, 10×2. The BCE.PR.H closed at 23.35-98, 50×3. Let’s see …BCE Pairs… say the “H” pay 6% (=100% of current prime), vs. the 4.35% on the “G”. Difference = 1.65% = $0.4125 p.a. Term to exchange is 4 years. I guess the market is betting that not only will the “H” pay 100% of prime until the exchange date, but that prime’s going to go up, too! |
| LBS.PR.A | SplitShare | -1.4178% | Now with a pre-tax bid-YTW of 4.54% based on a bid of 10.43 and a hardMaturity 2013-11-29 at 10.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.G | PerpetualDiscount | 519,113 | New issue settled today. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.49 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | 169,125 | Scotia crossed 101,600 at 24.87. Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.89 and a limitMaturity. |
| BCE.PR.C | FixedFloater | 166,820 | Exchange/Reset date is 2008-3-1 (Exchange with series ‘AD’, not issued). Until then, pay 5.54% of par. |
| PWF.PR.K | PerpetualPremium | 52,770 | Scotia crossed 50,000 @ 25.88. Now with a pre-tax bid-YTW of 4.44% based on a bid of 25.85 and a call 2014-11-30 at 25.00 |
| CM.PR.I | PerpetualPremium | 49,125 | Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.18 and a call 2016-3-1 at 25.00. |
There were eighteen other $25-equivalent index-included issues trading over 10,000 shares today.