| 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 | 4.09% | 4.10% | 26,019 | 17.25 | 1 | 0.0000% | 1,028.4 |
| Fixed-Floater | 4.78% | 3.46% | 80,266 | 12.49 | 7 | -0.1285% | 1,038.9 |
| Floater | 4.58% | -22.12% | 64,197 | 8.22 | 4 | -0.1081% | 1,040.1 |
| Op. Retract | 4.68% | 2.04% | 80,829 | 2.03 | 17 | -0.0759% | 1,031.5 |
| Split-Share | 5.05% | 0.67% | 402,269 | 2.86 | 11 | +0.2502% | 1,046.0 |
| Interest Bearing | 6.70% | 5.53% | 73,992 | 2.65 | 6 | -0.1272% | 1,035.4 |
| Perpetual-Premium | 5.02% | 3.66% | 247,098 | 5.14 | 55 | -0.0320% | 1,052.2 |
| Perpetual-Discount | 4.51% | 4.53% | 784,569 | 16.34 | 3 | -0.0670% | 1,054.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| POW.PR.B | PerpetualPremium | +1.0113% | Now with a pre-tax bid-YTW of 4.26% based on a bid of $25.97 and a call 2008-12-28 at $25.50 |
| LBS.PR.A | SplitShare | +1.7576% | Now with a pre-tax bid-YTW of 3.61% based on a bid of $11.00 and a hardMaturity 2013-11-29 at $10.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| PWF.PR.J | OpRet | 102,764 | Now with a pre-tax bid-YTW of 1.98% based on a bid of $26.84 and a call 2008-5-30 at $26.00. The market appears convinced that it will make it to the softMaturity 2013-7-30 at $25.00 to yield 3.42% and who knows? Maybe it’s right. The issue pays $1.175 and the call premium declines by $0.25 annually. |
| BNA.PR.C | SplitShare | 97,100 | Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.68 and a hardMaturity 2019-01-10 at $25.00. I confess to some surprise that this isn’t priced much higher. |
| ACO.PR.A | OpRet | 50,009 | Now with a pre-tax bid-YTW of 2.04% based on a bid of $27.91 and a call 2008-12-31 at $26.00. It may make it to its softMaturity 2011-11-30 at $25.00, to yield 3.32% … it pays $1.4375, but the call premium declines by $0.50 p.a. |
| SLF.PR.D | PerpetualDiscount | 29,771 | Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.67 and a limitMaturity. |
| CM.PR.H | PerpetualPremium | 27,560 | Now with a pre-tax bid-YTW of 4.36% based on a bid of $25.66 and a call 2014-4-29 at $25.00. |
There were six other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.