| 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 | 4.27% | 4.21% | 45,418 | 10.52 | 2 | -0.1200% | 1,014.4 |
| Fixed-Floater | 5.00% | 4.02% | 210,670 | 12.38 | 7 | -0.0225% | 1,017.0 |
| Floater | 4.52% | -19.55% | 79,029 | 6.51 | 5 | -0.0632% | 1,020.1 |
| Op. Retract | 4.68% | 2.23% | 89,732 | 2.43 | 17 | 0.0406% | 1,017.5 |
| Split-Share | 4.92% | 3.26% | 61,275 | 3.05 | 10 | 0.0613% | 1,018.2 |
| Interest Bearing | 6.89% | 4.85% | 55,121 | 1.80 | 7 | -0.0419% | 1,022.0 |
| Perpetual-Premium | 5.13% | 3.85% | 177,267 | 4.22 | 47 | 0.0265% | 1,030.4 |
| Perpetual-Discount | 4.59% | 4.61% | 325,597 | 16.20 | 6 | -0.0197% | 1,037.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with major price changes today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.A | PerpetualDiscount | 107,185 | |
| MFC.PR.B | PerpetualPremium | 97,625 | |
| NA.PR.L | PerpetualPremium | 64,700 | Nesbitt processed an internal cross of 60,000 @ 25.63. This issue has a pre-tax YTW of 4.58% at the closing bid of $25.64, based on a call in 2014. Given that it’s only Pfd-2(high) by DBRS, it looks a little expensive there. |
| RY.PR.B | PerpetualPremium | 56,465 | Nesbitt had an internal cross of 50,000 @25.51. At the closing bid of 25.50, this has a pre-tax YTW of 4.59% based on a call in 2015. Given that Royal Bank is a better credit than the issue above, why is it trading at the same yield? |
| FTN.PR.A | SplitShares | 44,800 | Credit Suisse bought 36,000 from Nesbitt @ $10.50 |
There were ten other index-included issues trading over 10,000 shares today.