| 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 | 5.07% | 5.15% | 42,037 | 15.40 | 2 | +0.0456% | 963.2 |
| Fixed-Floater | 5.63% | 5.11% | 140,602 | 15.47 | 6 | +0.2481% | 920.1 |
| Floater | 4.80% | -2.67% | 77,111 | 11.13 | 3 | +0.3221% | 1,046.8 |
| Op. Retract | 4.75% | 3.42% | 84,600 | 2.32 | 17 | +0.0529% | 1,030.9 |
| Split-Share | 4.97% | 4.17% | 227,988 | 3.97 | 12 | +0.1112% | 1,051.5 |
| Interest Bearing | 6.53% | 6.36% | 69,460 | 3.20 | 5 | -0.2342% | 1,044.0 |
| Perpetual-Premium | 5.17% | 4.67% | 175,724 | 6.63 | 48 | -0.1523% | 1,044.2 |
| Perpetual-Discount | 4.68% | 4.70% | 704,485 | 16.03 | 19 | -0.4296% | 1,041.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| TCA.PR.X | PerpetualPremium | -1.4240% | Dipped as low as 52.30 on (relatively!) heavy volume of 9,468 shares before closing at 52.61-95, 8×7. Now with a pre-tax bid-YTW of 4.75% based on a bid of 52.61 and a call 2013-11-14 at 50.00. |
| BSD.PR.A | Interest | -1.1823% | Now with a pre-tax bid-YTW of 6.18% (as interest) based on a bid of 10.03 and a hardMaturity 2015-3-31 at 10.00. |
| BNS.PR.L | PerpetualDiscount | -1.1290% | Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.52 and a limitMaturity. |
| PWF.PR.K | PerpetualPremium | -1.0933% | Now with a pre-tax bid-YTW of 4.82% based on a bid of 25.33 and a call 2014-11-30 at 25.00 |
| CM.PR.J | PerpetualDiscount | -1.0267% | Now with a pre-tax bid-YTW of 4.70% based on a bid of 24.10 and a limitMaturity. |
| RY.PR.E | PerpetualDiscount | -1.0204% | Now with a pre-tax bid-YTW of 4.65% based on a bid of 24.25 and a limitMaturity. |
| PWF.PR.J | OpRet | -1.0129% | Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.41 and a softMaturity 2013-7-30 at 25.00. |
| BNA.PR.C | SplitShare | +1.0246% | A dead cat bounce after the downgrade. Now with a pre-tax bid-YTW of 4.51% based on a bid of 24.65 and a hardMaturity 2019-1-10 at 25.00 |
| WN.PR.D | PerpetualDiscount (for now! Will move to ‘Scraps’ based on credit quality at month-end) | +1.0505% | Another dead count bounce. Downgraded today by DBRS, May 3 by S&P. Now with a pre-tax bid-YTW of 5.27% based on a bid of 25.01 and a limitMaturity |
| CM.PR.R | OpRet | +1.1214% | Now with a pre-tax bid-YTW of 3.59% based on a bid of 26.15 and a call 2008-5-30 at 25.75. Somebody’s decided it won’t be called … yield will be 4.25% if it lasts ’till its softMaturity 2013-4-29 at 25.00 |
| BCE.PR.G | FixFloat | -2.3333% | Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Recovered from yesterday’s immense spread to close at 20.90-44, 1×5. The Hs closed at 23.01-49, 19×19. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| WN.PR.B | OpRet (will be ‘scraps’ after month-end, based on credit quality) | 83,502 | Desjardins crossed 25,300 at 26.04, then another 49,700 at the same price. Downgraded today by DBRS. Now with a pre-tax bid-YTW of 3.52% based on a bid of 26.01 and a softMaturity 2009-6-30 at 25.00. |
| TD.PR.O | PerpetualPremium | 61,257 | Scotia crossed 50,000 at 26.00. Now with a pre-tax bid-YTW of 4.36% based on a bid of 25.90 and a call 2014-11-30 at 25.00. |
| BAM.PR.H | OpRet | 51,381 | Scotia crossed 50,000 at 27.09. Now with a pre-tax bid-YTW of 2.54% based on a bid of 27.06 and a call 2008-10-30 at 25.75. Buyers obviously anticipate a softMaturity 2012-3-30 at 25.00, yielding 4.08%! |
| CM.PR.I | PerpetualPremium | 51,380 | Now with a pre-tax bid-YTW of 4.73% based on a bid of 25.00 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | 39,500 | Now with a pre-tax bid-YTW of 4.60% based on a bid of 24.52 and a call 2016-3-26 at 24.52. |
There were twenty other $25-equivalent index-included issues trading over 10,000 shares today.