| 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 | 4.80% | 4.82% | 44,115 | 15.86 | 2 | -0.5248% | 978.5 |
| Fixed-Floater | 5.45% | 4.74% | 134,397 | 16.06 | 6 | -0.3694% | 948.6 |
| Floater | 4.78% | -5.63% | 75,502 | 0.72 | 3 | 0.1997% | 1,051.9 |
| Op. Retract | 4.74% | 3.31% | 84,129 | 2.35 | 17 | -0.0270% | 1,033.1 |
| Split-Share | 4.97% | 4.36% | 163,814 | 4.01 | 12 | +0.0906% | 1,044.8 |
| Interest Bearing | 6.52% | 5.41% | 62,608 | 2.22 | 5 | +0.0646% | 1,045.7 |
| Perpetual-Premium | 5.13% | 4.36% | 170,085 | 5.23 | 48 | -0.0242% | 1,050.5 |
| Perpetual-Discount | 4.62% | 4.65% | 794,916 | 16.10 | 19 | -0.0077% | 1,052.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.I | FixFloat | -2.1538% | Exchange/Reset Date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 22.26-73, 1×8. |
| BCE.PR.S | Ratchet | -1.4862% | Exchange/Reset date is 2011-11-1 (Exchanges with BCE.PR.T, which pays 4.502% until then). Closed at 23.20-50, 1×2; Ts closed at 22.00-49, 5×1. |
| BCE.PR.A | FixFloat | -1.0634% | Exchange/Reset date is 2007-9-1 (Exchanges with series ‘AB’, not issued); until then pays 5.03% of par. Closed at 23.26-47, 3×5. |
| NA.PR.K | PerpetualPremium | -1.0586% | The bid just disappeared! Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.17 and (i) a call 2010-6-14 at 25.50, or (ii) a call 2011-6-14 at 25.25, or (iii) a call 2012-6-14 at 25.00. Each scenario gives the same yield, to two decimal places. |
| MFC.PR.A | OpRet | -1.0582% | Now with a pre-tax bid-YTW of 3.56% based on a bid of 26.18 and a softMaturity 2015-12-18 at 25.00. |
| MFC.PR.C | PerpetualDiscount | -1.0459% | Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.60 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TOC.PR.B | Scraps (Would be Floater, but there are volume concerns) | 113,910 | Desjardins crossed 100,000 at 25.40. This issue is currently on Credit Watch Negative by DBRS & Moodys. |
| WN.PR.D | PerpetualPremium | 94,425 | Scotia crossed 80,000 at 25.00. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.95 and a limitMaturity. This issue has been recently downgraded by S&P to P-3(High) and is the subject of a Credit Watch Negative by DBRS. |
| WN.PR.C | PerpetualPremium | 90,732 | Scotia crossed 82,100 at 25.00. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.95 and a limitMaturity. Credit-wise, in the same boat as WN.PR.D, above. |
| RY.PR.B | PerpetualPremium | 29,140 | Nesbitt crossed 14,300 at 25.50. Now with a pre-tax bid-YTW of 4.43% based on a bid of 25.47 and a call 2015-9-23 at 25.00. |
| BNS.PR.M | PerpetualDiscount | 25,175 | Scotia crossed 12,800 at 24.89. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.90 and a limitMaturity. |
There were eleven other $25-equivalent index-included issues trading over 10,000 shares today.