| 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 | 5.08% | 5.17% | 41,577 | 15.38 | 2 | +0.3303% | 966.4 |
| Fixed-Floater | 5.63% | 5.16% | 144,821 | 15.43 | 6 | -0.0262% | 919.9 |
| Floater | 4.80% | -3.42% | 78,710 | 11.10 | 3 | -0.0528% | 1,046.3 |
| Op. Retract | 4.76% | 3.51% | 84,065 | 2.32 | 17 | -0.0705% | 1,030.2 |
| Split-Share | 4.97% | 4.22% | 227,615 | 3.96 | 12 | -0.0610% | 1,050.8 |
| Interest Bearing | 6.53% | 6.37% | 70,069 | 5.34 | 5 | +0.0200% | 1,044.2 |
| Perpetual-Premium | 5.18% | 4.74% | 176,761 | 6.82 | 48 | -0.2212% | 1,041.8 |
| Perpetual-Discount | 4.70% | 4.73% | 687,077 | 15.98 | 19 | -0.4467% | 1,037.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| POW.PR.D | PerpetualPremium | -1.7147% | Closed at 25.22-44, 1×2. Now with a pre-tax bid-YTW of 4.97% based on a bid of 25.22 and a call 2014-11-30 at 25.00. |
| BCE.PR.G | FixFloat | -1.5789% | Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Hit the 52-week low of 20.25, closed at 20.57-00, 5×10. The Hs closed at 23.21-49 on no volume. Nearly $3.00 spread on this BCE pair … somebody must be profitting! |
| SLF.PR.C | PerpetualDiscount | -1.4256% | Now with a pre-tax bid-YTW of 4.72% based on a bid of 23.51 and a limitMaturity. That makes 5% on a Pfd-3 perp and 4.85% on a Pfd-3(high) perp look pretty skimpy … especially as this issue implicitly has the chance, anyway, of a permanent 6%+ capital gain. |
| BMO.PR.J | PerpetualDiscount | -1.3458% | Now with a pre-tax bid-YTW of 4.66% based on a bid of 24.19 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | -1.2134% | Now with a pre-tax bid-YTW of 4.70% based on a bid of 23.61 and a limitMaturity. |
| BNS.PR.K | PerpetualPremium | -1.1737% | Now with a pre-tax bid-YTW of 4.71% based on a bid of 25.26 and a call 2014-5-28 at 25.00. |
| TD.PR.O | PerpetualPremium | -1.0425% | Now with a pre-tax bid-YTW of 4.53% based on a bid of 25.63 and a call 2014-11-30 at 25.00. |
| BCE.PR.Z | FixFloat | +1.5172% | Exchange/Reset date is 2007-12-1 (exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.75-99, 20×8; the Ys closed at 22.80-33, 1×4. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.B | PerpetualPremium (until month-end, anyway!) | 94,500 | Scotia crossed 67,300 at 24.75. Now with a pre-tax bid-YTW of 4.78% based on a bid of 24.66 and a limitMaturity. |
| PIC.PR.A | SplitShare | 65,528 | Now with a pre-tax bid-YTW of 4.23% based on a bid of 15.79 and a hardMaturity 2010-11-1 at 15.00. |
| BCE.PR.C | FixFloat | 38,450 | Exchange/Reset date is 2008-3-1 (exchanges with series ‘AD’, not issued); until then, pays 5.54% of par. Closed at 23.38-59, 9×4. |
| CM.PR.H | PerpetualPremium | 37,235 | Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.35 and a call 2014-4-29 at 25.00. |
| SLF.PR.A | PerpetualPremium (until month-end, anyway!) | 34,500 | Now with a pre-tax bid-YTW of 4.76% based on a bid of 24.85 and a limitMaturity. |
There were thirty-two other $25-equivalent index-included issues trading over 10,000 shares today.