Very sorry … due to month-end scheduling difficulties, the report for June 28 will be delayed. I hope to have everything caught up by the end of the day.
Later…
| 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 | 5.71% | 5.78% | 27,182 | 14.42 | 2 | +0.1107% | 959.9 |
| Fixed-Floater | 5.63% | 5.94% | 138,991 | 14.37 | 7 | -0.0904% | 898.2 |
| Floater | 4.84% | 2.64% | 86,065 | 5.85 | 3 | -0.0262% | 1,047.1 |
| Op. Retract | 4.83% | 4.08% | 85,381 | 3.57 | 17 | +0.0047% | 1,019.8 |
| Split-Share | 5.04% | 4.63% | 151,439 | 4.05 | 15 | -0.0096% | 1,043.5 |
| Interest Bearing | 6.80% | 7.00% | 84,576 | 6.13 | 4 | -0.4232% | 1,027.9 |
| Perpetual-Premium | 5.43% | 5.14% | 149,443 | 7.81 | 34 | +0.1047% | 1,021.0 |
| Perpetual-Discount | 5.07% | 5.11% | 492,114 | 15.32 | 29 | -0.0920% | 964.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BSD.PR.A | InterestBearing | -2.8272% | Now with a pre-tax bid-YTW of 7.32% (as interest) based on a bid of 9.28 and a hardMaturity 2015-3-31 at 10.00. |
| BNS.PR.M | PerpetualDiscount | -2.4713% | Now with a pre-tax bid-YTW of 5.20% based on a bid of 22.10 and a limitMaturity. |
| BCE.PR.Z | FixFloat | -2.1739% | |
| BCE.PR.A | FixFloat | -1.2797% | |
| FIG.PR.A | InterestBearing | +1.0341% | Now with a pre-tax bid-YTW of 6.68% based on a bid of 9.77 and a hardMaturity 2014-12-31 at 10.00. |
| CU.PR.A | PerpetualPremium | +1.0576% | Now with a pre-tax bid-YTW of 5.17% based on a bid of 25.80 and a call 2012-3-31 at 25.00. |
| ELF.PR.G | PerpetualDiscount | +2.0225% | Now with a pre-tax bid-YTW of 5.33% based on a bid of 22.70 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.A | PerpetualDiscount | 116,820 | Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.25 and a limitMaturity. |
| RY.PR.E | PerpetualDiscount | 110,800 | Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.50 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | 105,360 | Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.21 and a limitMaturity. |
| BMO.PR.G | OpRet | 79,494 | Now with a pre-tax bid-YTW of 4.80% based on a bid of 25.11 and a softMaturity 2008-5-24 at 25.00. |
| BNS.PR.J | PerpetualPremium | 23,100 | Now with a pre-tax bid-YTW of 4.91% based on a bid of 25.40 and a call 2013-11-28 at 25.00. |
There were eleven other $25-equivalent index-included issues trading over 10,000 shares today.