August 28, 2008

Nothing happened today.

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 N/A N/A N/A N/A 0 N/A N/A
Fixed-Floater 4.60% 4.38% 58,290 16.41 7 -0.0690% 1,113.9
Floater 4.04% 4.08% 43,153 17.19 3 +0.5729% 914.9
Op. Retract 4.97% 3.85% 111,108 2.55 17 -0.0146% 1,054.7
Split-Share 5.35% 5.85% 55,144 4.36 14 +0.2384% 1,042.9
Interest Bearing 6.25% 6.62% 45,613 5.26 2 0.0000% 1,129.2
Perpetual-Premium 6.16% 5.41% 64,674 2.25 1 +1.1415% 1,007.3
Perpetual-Discount 6.07% 6.12% 192,859 13.55 70 +0.0969% 878.0
Major Price Changes
Issue Index Change Notes
ELF.PR.F PerpetualDiscount -3.2080% Now with a pre-tax bid-YTW of 6.98% based on a bid of 19.31 and a limitMaturity.
CIU.PR.A PerpetualDiscount -1.5544% Now with a pre-tax bid-YTW of 6.09% based on a bid of 19.00 and a limitMaturity.
ELF.PR.G PerpetualDiscount -1.3098% Now with a pre-tax bid-YTW of 6.97% based on a bid of 17.33 and a limitMaturity.
IGM.PR.A OpRet -1.1342% Now with a pre-tax bid-YTW of 4.34% based on a bid of 26.15 and a call 2010-7-30 at 25.67.
TCA.PR.X PerpetualDiscount -1.0052% Now with a pre-tax bid-YTW of 5.94% based on a bid of 47.27 and a limitMaturity.
BAM.PR.N PerpetualDiscount +1.0766% Now with a pre-tax bid-YTW of 7.18% based on a bid of 16.90 and a limitMaturity.
CM.PR.G PerpetualDiscount +1.0821% Now with a pre-tax bid-YTW of 6.67% based on a bid of 20.55 and a limitMaturity.
CL.PR.B PerpetualDiscount +1.1415% Now with a pre-tax bid-YTW of 5.41% based on a bid of 25.36 and a call 2011-1-30 at 25.00.
MFC.PR.C PerpetualDiscount +1.1423% Now with a pre-tax bid-YTW of 5.79% based on a bid of 19.48 and a limitMaturity.
GWO.PR.F PerpetualDiscount +1.3124% Now with a pre-tax bid-YTW of 5.79% based on a bid of 25.01 and a call 2012-10-30 at 25.00.
BAM.PR.B Floater +1.3506%  
POW.PR.C PerpetualDiscount +1.3942% Now with a pre-tax bid-YTW of 6.13% based on a bid of 24.00 and a limitMaturity.
FBS.PR.B SplitShare +1.7672% Asset coverage of just under 1.5:1 as of August 21, according to TD Securities. Now with a pre-tax bid-YTW of 5.41% based on a bid of 9.79 and a hardMaturity 2011-12-15 at 10.00.
Volume Highlights
Issue Index Volume Notes
RY.PR.D PerpetualDiscount 180,900 TD crossed 16,300 at 18.60 and 100,000 at 18.70. Now with a pre-tax bid-YTW of 6.08% based on a bid of 18.66 and a limitMaturity.
RY.PR.C PerpetualDiscount 96,392 National bought 10,000 from Scotia at 19.00; so did “anonymous”. RBC crossed 30,000 at 19.15. Now with a pre-tax bid-YTW of 6.04% based on a bid of 19.19 and a limitMaturity.
PWF.PR.K PerpetualDiscount 65,600 RBC crossed 28,800 at 20.50, then another 20,000 at the same price. Now with a pre-tax bid-YTW of 6.12% based on a bid of 20.50 and a limitMaturity.
TD.PR.Q PerpetualDiscount 57,275 Anonymous – possibly a different one every time – bought three blocks of 10,000 each from TD at 24.75. Now with a pre-tax bid-YTW of 5.71% based on a bid of 24.76 and a limitMaturity.
RY.PR.B PerpetualDiscount 44,020 TD crossed 10,100 at 19.40. Now with a pre-tax bid-YTW of 6.11% based on a bid of 19.40 and a limitMaturity.

There were thirty-two other index-included $25-pv-equivalent issues trading over 10,000 shares today.

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