| 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 | 4.54% | 4.54% | 43,015 | 16.36 | 2 | +1.9433% | 993.1 |
| Fixed-Floater | 5.34% | 4.46% | 132,904 | 16.55 | 6 | +0.4778% | 968.9 |
| Floater | 4.72% | -20.35% | 74,024 | 10.96 | 3 | -0.2077% | 1,063.9 |
| Op. Retract | 4.74% | 3.11% | 85,438 | 2.59 | 17 | -0.0860% | 1,033.1 |
| Split-Share | 4.96% | 4.17% | 177,638 | 3.89 | 12 | +0.0845% | 1,046.3 |
| Interest Bearing | 6.50% | 4.76% | 62,536 | 2.24 | 5 | -0.0196% | 1,048.4 |
| Perpetual-Premium | 5.13% | 4.53% | 170,598 | 5.23 | 48 | -0.1002% | 1,049.8 |
| Perpetual-Discount | 4.61% | 4.63% | 796,170 | 16.16 | 18 | -0.1202% | 1,054.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| WN.PR.D | PerpetualPremium (for now!) | -2.2556% | Downgraded today by S&P. Now with a pre-tax bid-YTW of 5.32% based on a bid of 24.70 and a limitMaturity. |
| WN.PR.C | PerpetualPremium (for now!) | -1.5804% | Downgraded today. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.91 and a limitMaturity. |
| WN.PR.E | PerpetualDiscount | -1.4628% | Downgraded today. Now with a pre-tax bid-YTW of 4.94% based on a bid of 24.25 and a limitMaturity. |
| WN.PR.A | PerpetualPremium | -1.3261% | Downgraded today. Now with a pre-tax bid-YTW of 5.71% based on a bid of 25.30 and a call 2011-1-14 at 25.00. |
| BCE.PR.H | Ratchet | +1.4951% | Exchange/Reset date is 2011-05-01 (Exchange with BCE.PR.G, which pays 4.35% of par until then). The only trading today was a buy of 1,000 shares by MacDougall, executed in four tranches at prices from 23.98-07. Closed at 23.76-28, 3×4. The Gs closed at 22.50-74, 7×3. |
| BCE.PR.R | FixFloat | +1.5071% | Exchange/Reset date is 2010-12-01 (Exchange with series ‘Q’, not issued); until then, pay 4.54% of par. Nesbitt crossed 200,000 at 22.95. Closed at 22.90-05, 10×2. |
| BCE.PR.S | Ratchet | +2.3965% | Exchange/Reset date is 2011-11-1 (Exchange with BCE.PR.T, which pay 4.502% of par until then). Closed at 23.50-75, 7×1. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BCE.PR.R | FixFloat | 206,800 | Discussed above. |
| SLF.PR.E | PerpetualDiscount | 131,800 | TD crossed 99,100 at 24.85, then another 25,000 at the same price. Now with a pre-tax bid-YTW of 4.57% based on a bid of 24.81 and a limitMaturity. |
| BAM.PR.E | Scraps (Would be Ratchet, but there are volume concerns) | 110,000 | One trade, crossed for cash by Desjardins. |
| BCE.PR.Z | FixFloat | 104,318 | Desjardins crossed 100,000 at 23.81. Exchange/Reset date is 2007-12-1 (Exchange with BCE.PR.Y); until then, pay 5.319% of par. The Zs closed at 23.80-90, 27×18; the Ys at 23.60-74, 7×2. |
| CM.PR.H | PerpetualPremium | 85,647 | RBC crossed 50,000 at 25.68; National Bank crossed 24,000 at the same price. Now with a pre-tax bid-YTW of 4.40% based on a bid of 25.66 and a call 2014-4-29 at 25.00. |
| BCE.PR.A | FixFloat | 79,710 | Desjardins crossed 74,800 at 23.85. Exchange/Reset date is 2007-9-1 (Exchange with Series ‘AB’, not issued); until then, pay 5.03% of par. Closed at 23.76-94, 5×4. |
There were sixteen other $25-equivalent index-included issues trading over 10,000 shares today.