| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.38% | 4.36% | 27,056 | 16.57 | 2 | -0.2016% | 986.2 |
| Fixed-Floater | 4.95% | 4.15% | 268,331 | 11.47 | 6 | 0.7703% | 1,002.2 |
| Floater | 4.59% | -19.64% | 60,165 | 6.44 | 5 | -0.2679% | 1,009.7 |
| Op. Retract | 4.71% | 2.85% | 75,881 | 2.57 | 18 | 0.0732% | 1,004.6 |
| Split-Share | 5.01% | 3.60% | 56,016 | 2.75 | 10 | 0.0061% | 1,003.1 |
| Interest Bearing | 6.83% | 5.09% | 59,939 | 2.12 | 7 | 0.1704% | 1,013.7 |
| Perpetual-Premium | 5.27% | 4.14% | 164,138 | 3.79 | 42 | 0.0063% | 1,013.7 |
| Perpetual-Discount | 4.72% | 4.73% | 338,076 | 12.35 | 13 | 0.0688% | 1,020.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.A | FixedFloater | +4.0875% | Recovering from yesterday’s swoon. Scotia crossed 25,000 @25.25, an impressively repetetive trade. Closed at $25.21-29, so things are back to normal … for now! |
| CM.PR.D | PerpetualPremium | +1.1654% | The pre-tax YTW is only 3.72 at the closing bid of $26.91 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BC.PR.C | FixedFloater | 166,809 | |
| TD.PR.O | PerpetualPremium | 136,800 | |
| POW.PR.D | PerpetualPremium | 62,780 | Nesbitt crossed 50,000 @25.60 |
| TOC.PR.B | Floater | 50,741 | CIBC sold a whack @25.50: 24,400 to Nesbitt; 25,000 to Desjardins and 500 (sic) to Royal – must have been a retail bid that was in the way. |
| BMO.PR.I | OpRet | 38,600 | Scotia crossed 37,300 @ 25.50; YTW of this issue is a niggardly 2.61% at the closing bid of 25.42, based on a call as soon as the redemption price goes down to $25.25 at the end of November. It’s more likely, however, that BMO will keep the issue alive for another year, paying $1.1875 dividend but saving $0.25 on the redemption price. This scenario implies a pre-tax YTM of 3.97%, not bad at all … if you can rely on BMO not calling the issue! |
There were seven other index-included issues with volumes of more than 10,000 shares.