| 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 | 5.04% | 5.12% | 42,525 | 15.46 | 2 | -1.2458% | 962.8 |
| Fixed-Floater | 5.64% | 5.10% | 138,090 | 15.52 | 6 | -1.0258% | 917.9 |
| Floater | 4.82% | 0.26% | 77,555 | 11.16 | 3 | -0.2396% | 1,043.5 |
| Op. Retract | 4.76% | 3.45% | 84,092 | 2.72 | 17 | -0.1594% | 1,030.3 |
| Split-Share | 4.97% | 4.16% | 230,049 | 3.97 | 12 | +0.1410% | 1,050.3 |
| Interest Bearing | 6.51% | 6.20% | 68,704 | 3.22 | 5 | -0.1370% | 1,046.4 |
| Perpetual-Premium | 5.16% | 4.52% | 174,304 | 6.07 | 48 | -0.0786% | 1,045.8 |
| Perpetual-Discount | 4.66% | 4.68% | 720,566 | 16.08 | 19 | -0.1246% | 1,046.2 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.G | FixFloat | -2.3333% | Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 20.51-49, 4×9. Nice spread, eh? The bid is the 52-week low, but it didn’t trade that far down. The Hs closed at 22.90-49, 10×19. |
| BCE.PR.R | FixFloat | -2.2022% | Exchange/Reset Date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 21.76-37, 3×1. |
| BCE.PR.Z | FixFloat | -2.087% | Exchange/Reset Date is 2007-12-1 (Exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.52-00, 5×75. The Ys closed at 22.04-23.68, 2×4, which is a VERY nice spread. |
| BCE.PR.H | Ratchet | -1.9272% | See BCE.PR.G, above. |
| PWF.PR.J | OpRet | -1.0790% | Now with a pre-tax bid-YTW of 4.27% based on a bid of 25.67 and a softMaturity 2013-7-30. Unfortunately, the pre-tax ask-YTW is 3.57%, based on the ask price of 26.31 and a call 2008-5-30 at 26.00. Mind you, given that the interest-equivalent in Ontario works out to 5.00%, it still looks worthwhile … a pleasant change from the usual state of affairs |
| WFS.PR.A | SplitShare | +1.5311% | Hard to work out a rationale for this one! Maybe, since it’s a split-share, rated Pfd-2, paying $0.525 p.a., some people figure it should trade like the other such split shares? The trouble is with the maturity: 2011-6-30, basically three years less than the comparables … which means the capital loss and the end of dividends comes sooner. Now with a pre-tax bid-YTW of 3.84% based on a bid of 10.61 and a hardMaturity 2011-6-30 at 10.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.A | PerpetualPremium | 40,050 | Now with a pre-tax bid-YTW of 4.58% based on a bid of 25.16 and a call 2014-4-30 at 25.00. |
| CM.PR.I | PerpetualPremium | 33,320 | Now with a pre-tax bid-YTW of 4.72% based on a bid of 25.05 and a limitMaturity. |
| SBN.PR.A | SplitShare | 74,425 | Recent new issue. Now with a pre-tax bid-YTW of 4.55% based on a bid of 10.47 and a hardMaturity 2014-12-1 at 10.00. |
| BNS.PR.M | PerpetualDiscount | 28,150 | Now with a pre-tax bid-YTW of 4.59% based on a bid of 24.75 and a limitMaturity. |
| CM.PR.H | PerpetualPremium | 24,786 | Now with a pre-tax bid-YTW of 4.57% based on a bid of 25.45 and a call 2014-4-29 at 25.00. |
There were twenty-two other $25-equivalent index-included issues trading over 10,000 shares today.