| 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 | 4.58% | 4.59% | 43,333 | 16.28 | 2 | -0.3161% | 990.0 |
| Fixed-Floater | 5.33% | 4.48% | 135,556 | 16.51 | 6 | +0.1191% | 970.0 |
| Floater | 4.72% | -20.46% | 73,173 | 10.96 | 3 | +0.0395% | 1,064.3 |
| Op. Retract | 4.73% | 3.16% | 85,916 | 2.32 | 17 | +0.0848% | 1,034.0 |
| Split-Share | 4.96% | 4.16% | 175,793 | 3.89 | 12 | +0.0203% | 1,046.5 |
| Interest Bearing | 6.49% | 4.87% | 61,987 | 2.24 | 5 | +0.0788% | 1,049.2 |
| Perpetual-Premium | 5.13% | 4.53% | 170,664 | 5.25 | 48 | +0.0360% | 1,050.2 |
| Perpetual-Discount | 4.61% | 4.63% | 790,950 | 16.15 | 18 | -0.0460% | 1,053.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.I | FixFloat | -1.3072% | Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then pays 4.65% of par. Good volume today of 17,292 shares in a range of 22.90-00, so it seems a little unfair that it was down, closing at 22.65-00, 22×14. |
| WN.PR.E | PerpetualDiscount | -1.0309% | Downgraded yesterday by S&P. Now with a pre-tax bid-YTW of 4.99% based on a bid of 24.00 and a limitMaturity. Still the lowest-yielding Weston Perpetual – see the comparables. |
| WN.PR.D | PerpetualPremium | +1.0121% | Downgraded yesterday by S&P … what, me worry? Now with a pre-tax bid-YTW of 5.26% based on a bid of 24.95 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TOC.PR.B | Scraps (would be Floater, but there are volume concerns) | 530,500 | Presumably due to the rumours of a bid for Reuters. This young feller-me-lad pays 70% of Canadian Prime on par value, and closed today up a bit, at 25.30-54, 3×2. Callable any time at $25.00. |
| FBS.PR.B | SplitShare | 530,500 | What’s a mature split-share doing with this kind of volume? Better ask Nesbitt, they crossed 500,000 at 10.13. Callable every December 15 at $10, until maturity at $10.00 2011-12-15 … the pre-tax bid-YTW is 2.78% based on a bid of 10.20 and a call 2008-1-14 (heh … the inclusion in the programming of maturityNoticePeriod leads to imprecision on occasion. Oh, well, sue me …) at $10.00. The buyer is obviously hoping that the shares (or at least a significant fraction thereof) will survive until the hardMaturity 2011-12-15, to have yielded 4.45%. And, mind you, the big buyer only paid 10.13 for them (plus commission!), so it’s not as bad as it looks. |
| BNS.PR.L | PerpetualPremium | 118,645 | Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.92 and a limitMaturity. |
| CM.PR.H | PerpetualPremium | 112,840 | Now with a pre-tax bid-YTW of 4.37% based on a bid of 25.70 and a call 2014-4-29 at 25.00. |
| RY.PR.G | PerpetualDiscount | 110,700 | Recent new issue. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.51 and a limitMaturity. |
| SLF.PR.A | PerpetualPremium | 58,305 | Now with a pre-tax bid-YTW of 4.44% based on a bid of 25.61 and a call 2014-4-30 at 25.00. |
There were fifteen other $25-equivalent index-included issues trading over 10,000 shares today.