| 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 | 4.28% | 4.21% | 42,517 | 10.51 | 2 | 0.1002% | 1,015.7 |
| Fixed-Floater | 5.00% | 4.01% | 216,451 | 12.38 | 7 | 0.0794% | 1,017.2 |
| Floater | 4.52% | -19.54% | 80,475 | 6.53 | 5 | -0.2086% | 1,020.8 |
| Op. Retract | 4.67% | 2.49% | 90,995 | 2.43 | 17 | 0.0308% | 1,017.1 |
| Split-Share | 4.92% | 3.12% | 60,375 | 3.05 | 10 | 0.0379% | 1,017.6 |
| Interest Bearing | 6.89% | 4.74% | 53,759 | 2.05 | 7 | 0.1077% | 1,022.4 |
| Perpetual-Premium | 5.12% | 3.93% | 176,642 | 4.23 | 47 | -0.0108% | 1,030.1 |
| Perpetual-Discount | 4.59% | 4.61% | 324,524 | 16.20 | 6 | 0.0069% | 1,038.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | -1.5504% | Giving up most of yesterday’s gains on good volume of 21,600 shares. Scotia crossed 20,000 @ 25.45 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TD.PR.O | PerpetualPremium | 131,245 | Nesbitt had an internal cross @ 26.07 |
| IGM.PR.A | OpRet | 131,114 | |
| PWF.PR.L | PerpetualPremium | 116,100 | There were a number of blocks put through today: RBC crossed 43,900 @ 26.15, followed by National (10,000), Scotia (25,000) and National again (10,000) at the same price. Scotia then crossed 24,700 @ 26.25 just before the close. At a closing bid of 26.15, this issue still has a Pre-tax YTW of 4.62% based on a call in 2015. |
| GWO.PR.G | PerpetualPremium | 102,960 | RBC crossed 100,000 shares @ 26.55 |
| PWF.PR.G | PerpetualPremium | 102,000 | Scotia crossed 100,000 shares at $26.55 (a popular price for 100,000 share lots of issues ending in G today). For this issue, the Pre-Tax YTW at the closing bid of $26.51 is 4.56% based on a call in 2007 … if it survives to its call-at-par date in 2011, the yield will have been 4.77%. Doesn’t seem like there’s much upside to this issue, though. |
| ELF.PR.F | PerpetualPremium | 100,000 | Nesbitt crossed 100,000 @ $26.25. This issue has a YTW of 4.57% based on a call in 2013, but since it’s only rated Pfd-2(low) by DBRS, it seems expensive at the closing quote of 26.10-41, especially since the new issue comes with a coupon of 4.75%. |
There were twenty-one other index-included issues trading over 10,000 shares today.