| 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 | 4.16% | 4.13% | 46,302 | 17.05 | 2 | -0.2194% | 1,039.4 |
| Fixed-Floater | 5.00% | 4.01% | 90,778 | 17.11 | 6 | -0.4378% | 1,022.5 |
| Floater | 4.58% | -18.29% | 57,706 | 0.13 | 4 | +0.0493% | 1,055.1 |
| Op. Retract | 4.72% | 3.06% | 85,131 | 2.12 | 17 | +0.0688% | 1,035.0 |
| Split-Share | 5.01% | 3.71% | 159,692 | 3.19 | 12 | +0.0231% | 1,049.6 |
| Interest Bearing | 6.53% | 5.19% | 63,809 | 2.29 | 5 | -0.2553% | 1,043.9 |
| Perpetual-Premium | 5.04% | 3.93% | 188,093 | 5.09 | 53 | +0.0536% | 1,059.3 |
| Perpetual-Discount | 4.53% | 4.55% | 906,951 | 16.32 | 11 | +0.0367% | 1,066.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.R | FixedFloater | -1.0454% | Quick, says someone, get out of BCE before a leveraged buy-out turns the credit to junk! This one pays 4.54%, with the rate being reset 2010-12-01, at which point it is also exchangeable into a ratchet-rate. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BCE.PR.A | FixedFloater | 255,890 | Desjardins crossed 140,000 at 24.50, then another 98,000 at the same price. Somebody took a real haircut to get out of BCE in size – yesterday it was bid at 25.01, and closed today at 24.83-04. I tell people: this kind of instrument is not money market! Not with perpetual credit risk, it isn’t. But nobody ever listens. |
| SLF.PR.B | PerpetualPremium | 44,100 | Nesbitt crossed 40,000 at 25.82. Now with a pre-tax bid-YTW of 4.35% based on a bid of $25.80 and a call 2014-10-30 at $25.00. |
| CM.PR.I | PerpetualPremium | 24,011 | Now with a pre-tax bid-YTW of 4.51% based on a bid of 25.35 and a call 2016-3-1 at $25.00 |
| SLF.PR.D | PerpetualDiscount | 16,785 | Now with a pre-tax bid-YTW of 4.51% based on a bid of 24.76 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | 16,650 | Recent new issue. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.89 and a limitMaturity. |
There were eleven other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.