| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.30% | 4.23% | 41,261 | 10.48 | 2 | -0.0798% | 1,014.6 |
| Fixed-Floater | 5.00% | 4.01% | 221,623 | 12.37 | 7 | 0.0228% | 1,016.4 |
| Floater | 4.51% | -22.83% | 79,954 | 6.49 | 5 | 0.3622% | 1,022.9 |
| Op. Retract | 4.67% | 2.47% | 89,098 | 2.47 | 17 | -0.0837% | 1,016.8 |
| Split-Share | 4.93% | 2.89% | 60,359 | 3.03 | 10 | 0.3260% | 1,017.2 |
| Interest Bearing | 6.90% | 4.81% | 53,847 | 1.81 | 7 | -0.1221% | 1,021.3 |
| Perpetual-Premium | 5.12% | 3.76% | 175,175 | 4.21 | 47 | 0.0972% | 1,030.2 |
| Perpetual-Discount | 4.59% | 4.61% | 326,319 | 16.21 | 6 | -0.0266% | 1,037.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ACO.PR.A | OpRet | -1.5575% | Did this on volume of 1,922 shares and closed at $27.81-40. The day’s low was $28.00, which means that a good chunk of this poor performance was due to the bid only, not to actual trades. |
| PWF.PR.A | Floater | +1.7751% | No trading, but there’s a bid for 1500 shares at $25.80! At this price, the issue has a Current Yield of only 4.07%, the lowest of the five issues in the “Floater” index … and YTW is large and negative. |
| WFS.PR.A | SplitShare | +1.3258% | |
| GWO.PR.G | PerpetualPremium | +1.0274% | I think it’s a little pricey at the bid-side of $26.55, but what do I know? The YTW is 4.24% based on a call in 2014 |
| POW.PR.C | PerpetualPremium | +1.0208% | Only 100 shares are bid at the closing $26.72 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| NA.PR.L | PerpetualPremium | 67,410 | Nesbitt bought 57,800 from Scotia at $25.60 in three successive tranches. |
| IGM.PR.A | OpRet | 42,359 | |
| PWF.PR.L | PerpetualPremium | 35,100 | Scotia crossed 33,700 @ $26.15, which was the closing bid. |
| CM.PR.A | OpRet | 29,850 | Scotia crossed 25,100 at $26.75, which was the closing bid. These have a YTW of only 1.47% at this level, but will have yielded 3.65% if they survive until just before their retraction date. |
| FTS.PR.F | Scraps | 29,780 | Let’s hear it for the Little New Issue That Could (stay above par). |
There were fourteen other index-included issues trading over 10,000 shares today.
The large number of index-included issues that had absolute returns in excess of 1% today makes the market look a little sloppy. Could this have something to do with the continuation of The Great Oil Slaughter of 2006?
