| 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 | 4.15% | 4.12% | 47,353 | 17.07 | 2 | -0.8161% | 1,041.7 |
| Fixed-Floater | 4.98% | 3.98% | 88,663 | 17.12 | 6 | +0.0805% | 1,027.0 |
| Floater | 4.58% | -17.80% | 58,087 | 0.13 | 4 | -0.1275% | 1,054.5 |
| Op. Retract | 4.72% | 3.15% | 84,881 | 2.13 | 17 | +0.0050% | 1,034.2 |
| Split-Share | 5.00% | 3.77% | 160,236 | 3.18 | 12 | +0.0935% | 1,049.4 |
| Interest Bearing | 6.51% | 3.65% | 64,109 | 2.29 | 5 | +0.3053% | 1,046.6 |
| Perpetual-Premium | 5.04% | 3.95% | 189,738 | 5.07 | 53 | +0.0707% | 1,058.8 |
| Perpetual-Discount | 4.53% | 4.55% | 933,621 | 16.32 | 11 | +0.0366% | 1,065.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.H | RatchetRate | -1.0396% | I thought ratchets weren’t supposed to do this! These will be exchangeable into BCE.PR.G (fixed-reset) May 1, 2011. The BCE.PR.H are currently paying $0.09375 monthly = $1.125 annually = 4.5% = 75% of Canadian Prime. |
| W.PR.H | PerpetualPremium | +1.0960% | On volume of 6,291 shares, an active day for this issue. It traded as high as 27.00, closing at 26.75-89, 1×1. Now with a pre-tax bid-YTW of 4.15% based on a call 2013-2-14 at $25.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| AL.PR.F | Scraps (would be Floater, but there are volume concerns) | 164,229 | Went ex-dividend today, and the indefatigable traders at Global were crossing 82,000 for cash at 25.87, and the same number for regular settlement at 25.58. |
| CM.PR.J | PerpetualDiscount | 108,500 | Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.77 and a limitMaturity |
| ACO.PR.A | OpRet | 101,011 | Scotia crossed 50,000 at 27.65, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 2.44% based on a bid of 27.51 and a call 2008-12-31 at $26.00. There is obviously at least one buyer hoping for the softMaturity 2011-11-30 at $25.00, which will yield 3.56%. There are many such optimists: see Retractible Preferreds and Bonds. |
| BNS.PR.M | PerpetualDiscount | 71,800 | Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.92 and a limitMaturity. |
| CM.PR.I | PerpetualPremium | 28,860 | Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.26 and a call 2016-03-01 at $25.00. |
There were seven other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.