| 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 | 4.21% | 4.18% | 31,888 | 10.47 | 2 | +0.0804% | 1,018.7 |
| Fixed-Floater | 4.81% | 3.90% | 114,214 | 8.93 | 7 | +0.0625% | 1,028.2 |
| Floater | 4.49% | -20.18% | 65,007 | 6.56 | 5 | -0.3206% | 1,031.3 |
| Op. Retract | 4.66% | 0.98% | 79,202 | 2.25 | 18 | -0.0224% | 1,027.8 |
| Split-Share | 4.99% | 3.29% | 151,621 | 3.32 | 9 | +0.3434% | 1,031.0 |
| Interest Bearing | 6.94% | 6.12% | 66,549 | 2.36 | 7 | +0.0317% | 1,016.1 |
| Perpetual-Premium | 5.08% | 3.99% | 218,219 | 4.20 | 49 | -0.0572% | 1,042.7 |
| Perpetual-Discount | 4.64% | 4.66% | 1,036,849 | 16.12 | 9 | -0.0757% | 1,035.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| CGI.PR.C | SplitShare | +1.0959% | Good return for this index today, led by this issue on volume of … 950 shares! Closed at 25.83-97, 3×5, pre-tax bid-YTW of 3.59% based on a softMaturity 2016-6-14. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| GWO.PR.I | PerpetualDiscount | 189,913 | Closed at 24.70-75 for a pre-tax YTW of 4.61%, 10bp more than the RY.PR.A. |
| MFC.PR.C | PerpetualDiscount | 168,700 | Closed at 24.80-94 for a pre-tax YTW of 4.53% |
| RY.PR.B | PerpetualPremium | 144,050 | Closed at 25.60-78 for a pre-tax bid-YTW of 4.39%, based on a call at par on 2015-9-23 |
| PWF.PR.L | PerpetualPremium | 128,360 | Closed at 26.36-54 for a pre-tax bid-YTW of 4.43%, based on a call at par on 2015-11-30. |
| CM.PR.I | PerpetualDiscount | 119,375 | A recent new issue, closed at 24.89-94 for a pre-tax bid-YTW of 4.74% |
| BAM.PR.M | PerpetualDiscount | 114,750 | An even more recent new issue, closed at 24.53-60 for a pre-tax bid-YTW of 4.86%. Remember that DBRS has this as Pfd-2(low), so it’s not as good quality as the issues listed above! |
| ACO.PR.A | OpRet | 104,011 | Finally! A non-perpetual issue that is seasoned: issued 2001-7-10. Pre-Tax YTW is 1.68%, based on a call 2008-12-31 at $26.00. Desjardins crossed 100,000 at 28.06. |
There were ten other index-included issues trading over 10,000 shares today.
[…] This issue again reminds us that there is more to life than recent-new-issue-perpetual-discounts (RNIPD). This time it was Scotia stepping up to the plate to cross 50,000 @ $28.15 (perhaps the commission will pay to settle with Berry!). At the closing bid of $28.20, it has a pre-tax YTW of merely 1.65%, based on a call 2008-12-31 at $26.00. Somebody’s obviously hoping they make it to the softMaturity 2011-11-30, when they will have yielded a more reasonable 3.10%, but you won’t often catch me making that bet! […]