| 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 | 4.45% | 4.47% | 39,009 | 16.54 | 1 | +0.6160% | 997.1 |
| Fixed-Floater | 4.95% | 4.18% | 334,528 | 11.47 | 6 | 0.1863% | 1,001.8 |
| Floater | 4.64% | -14.27% | 82,732 | 8.03 | 4 | -0.2086% | 1,007.8 |
| Op. Retract | 4.69% | 2.19% | 72,272 | 2.19 | 18 | 0.0086% | 1,010.5 |
| Split-Share | 4.98% | 3.51% | 53,135 | 2.71 | 10 | 0.2507% | 1,008.7 |
| Interest Bearing | 6.80% | 4.95% | 57,200 | 1.86 | 7 | 0.0308% | 1,019.9 |
| Perpetual-Premium | 5.15% | 4.22% | 182,443 | 4.68 | 48 | 0.1050% | 1,020.3 |
| Perpetual-Discount | 4.61% | 4.63% | 298,584 | 16.19 | 6 | 0.1157% | 1,030.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| FTN.PR.A | SplitShare | +1.3579% | Volume of 1000 shares in a single trade at $10.50. Currently quoted at 10.45-53, 15×10 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TD.PR.O | PerpetualPremium | 488,340 | A big day as the market closed! RBC crossed 200,000 @ 25.80 at 3:30, Scotia bought 30,000 from RBC @ 25.80 at 3:36, Scotia bought another 50,000 @ 25.80 from RBC at 3:44, Nesbitt crossed 151,000 @ 25.80 at 3:55 and finally Nesbitt crossed another 49,000 @ 25.80 at 3:55. The issue has a YTW of 4.48% at the closing bid of 25.79. |
| GWO.PR.I | PerpetualDiscount | 128,990 | Nesbitt crossed 100,000 @ 24.30. These are the lowest priced index-included perpetuals. |
| PWF.PR.A | Scraps | 122,800 | This is a floater paying 70% of Canadian Prime, currently callable at $25.00. It’s not included in the indices due to volume considerations – today was a major exception! Desjardins bought 110,100 from Nesbit at 25.35 in four tranches, then crossed 10,000 at the same price. |
| GWO.PR.H | PerpetualPremium | 113,420 | Nesbitt crossed 100,000 @ 25.25, which turned out to be the closing bid. |
| NA.PR.K | PerpetualPremium | 101,650 | Nesbitt crossed 100,000 @ 26.85, which turned out to be the closing bid. This is kind of an interesting issue … coupon is $1.4625 and redemption options start 2008-5-15 @ $26.00, declining by $0.25 annually. The YTW scenario is for redemption as soon as allowed, with a yield of 3.93% … but given the declining redemption premium, the market appears to be betting that this will be put off until NA can redeem at $25.00, which results in a yield of 4.49%. It won’t really take an enormous move in rates to clarify the matter … place yer bets, gents, place yer bets! |
There were eleven other index-included issues trading over 10,000 shares today.