| 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 | 4.08% | 4.10% | 28,327 | 17.23 | 1 | -0.3175% | 1,044.4 |
| Fixed-Floater | 4.79% | 3.36% | 86,996 | 6.36 | 7 | +0.3377% | 1,046.5 |
| Floater | 4.48% | -21.55% | 55,437 | 6.59 | 5 | -0.2655% | 1,047.8 |
| Op. Retract | 4.70% | 2.37% | 75,401 | 2.07 | 18 | +0.0357% | 1,032.0 |
| Split-Share | 5.09% | 1.28% | 260,867 | 2.63 | 14 | +0.0197% | 1,044.9 |
| Interest Bearing | 6.47% | 3.95% | 59,409 | 2.36 | 5 | +0.3539% | 1,039.2 |
| Perpetual-Premium | 5.03% | 3.90% | 222,165 | 4.91 | 51 | +0.0438% | 1,053.6 |
| Perpetual-Discount | 4.53% | 4.55% | 1,159,789 | 16.30 | 11 | +0.0479% | 1,059.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| SXT.PR.A | SplitShare | +1.1623% | I don’t get it. How about a word from the sponsor? “The special annual retraction date occurs on March 15th of each year. … The Company may redeem Preferred Shares on any annual retraction date at a price per share equal to $25.00 to the extent that Capital Shares are retracted under a special annual retraction.” I’ve brought this up before, but no one pays attention. Now with a pre-tax bid-YTW of -16.14% (NEGATIVE 16.14%) based on a bid of $26.11 and a call 2007-4-14 at $25.00. It will be most interesting to learn the percentage retraction this time ’round. |
| BSD.PR.A | InterestBearing | +1.6000% | This one makes more sense. Now with a pre-tax bid-YTW of 5.97% (as interest) based on a bid of $10.16 and a hardMaturity 2015-3-31 at $10.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.D | PerpetualDiscount | 56,437 | Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.65 and a limitMaturity. |
| AL.PR.E | Floater | 51,125 | TD crossed 44,300 at $26.50. |
| CM.PR.J | PerpetualDiscount | 50,430 | Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.90 and a limitMaturity. |
| BNS.PR.L | PerpetualPremium | 36,100 | Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.10 and either a call 2016-5-27 at $25.00, or a limitMaturity. Take your pick. |
| SLF.PR.E | PerpetualDiscount | 23,900 | Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.76 and a limitMaturity. |
There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.