| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.13% | 4.14% | 105,226 | 17.17 | 2 | -0.2200% | 996.2 |
| Fixed-Floater | 5.21% | 4.16% | 95,800 | 13.49 | 5 | 0.0401% | 996.9 |
| Floater | 4.55% | -16.23% | 62,137 | 6.44 | 5 | 0.1185% | 1001.5 |
| Op. Retract | 4.74% | 3.46% | 81,046 | 3.08 | 18 | 0.2040% | 994.1 |
| Split-Share | 5.17% | 4.08% | 50,179 | 2.80 | 14 | 0.1054% | 999.9 |
| Interest Bearing | 6.86% | 5.29% | 66,397 | 2.22 | 7 | +0.0366% | 1,008.4 |
| Perpetual | 5.20% | 4.65% | 195,398 | 6.86 | 54 | 0.0815% | 1,001.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| Boring! Not a single index-included issue gained or lost more than 1%! | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TCA.PR.Y | Perpetual | 97,662 | |
| RY.PR.W | Perpetual | 31,800 | Scotia crossed 25,000 @ 25.60 … issue up 0.24% on day |
| MFC.PR.B | Perpetual | 15,050 | |
| BC.PR.C | FixedFloater | 10,752 | |
A fairly quiet day – the volume highlight was definitely the TCA.PR.Y, trading over $5-million worth, but there wasn’t really a lot of movement.
Scotia’s cross of 25,000 RY.PR.W is interesting … the closing YTW was 4.70%, compared with the 4.87% at which the RY.PR.B closed. Not a precise swap, certainly, since the RY.PR.B only traded 9,202 shares but could perhaps be related. The YTW of the RY.PR.W is based on a call in March, 2014, at $25.00. It pays a nickel more than the RY.PR.B and has a similar redemption schedule, simply shifted to be 18 months earlier.
As noted in the post BNA.PR.A, an error was fixed today, with the effect that it is now calculated to have a YTW of 5.05% at its price of 26.01-30 based on a call in October, 2006, at 25.75. Yesterday, it had been calculated to have a YTW of -13.1% at pretty much the same price.
The change in this issue has changed the average calculated YTW of the splitShare index markedly. What can I say? Sometimes these things really do have a grossly negative YTW!