| 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 | 4.39% | 4.42% | 46,271 | 16.61 | 1 | 0.0805% | 1,012.2 |
| Fixed-Floater | 4.89% | 3.95% | 279,401 | 8.97 | 6 | 0.1909% | 1,013.7 |
| Floater | 4.63% | -18.44% | 99,074 | 8.11 | 4 | 0.0501% | 1,017.0 |
| Op. Retract | 4.68% | 2.37% | 82,645 | 2.37 | 18 | 0.0920% | 1,015.3 |
| Split-Share | 4.98% | 3.21% | 59,456 | 2.68 | 10 | 0.0750% | 1,011.7 |
| Interest Bearing | 6.86% | 4.71% | 55,751 | 2.06 | 7 | -0.1747% | 1,021.0 |
| Perpetual-Premium | 5.13% | 4.01% | 176,804 | 4.15 | 48 | 0.0477% | 1,027.4 |
| Perpetual-Discount | 4.58% | 4.60% | 331,842 | 16.24 | 6 | 0.2305% | 1,039.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| IAG.PR.A | PerpetualDiscount | +1.0101% | Closed at 25.00-10. Won’t be a “Discount” for much longer at this rate! |
| ACO.PR.A | OpRet | +1.2887% | Pre-Tax YTW 3.04% based on a call at $26.00 in December 2008. A reasonable chance of doing better, given its unusually steeply declining premium. I’ll have to write a proper comment about this issue … |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.E | PerpetualPremium | 66,870 | Pre-Tax YTW of only 4.18% at the closing bid of $26.89 |
| CM.PR.A | OpRet | 55,635 | Pre-Tax YTW only 1.02% at the closing bid of $27.21, based on a call at $25.75 in November 2007. |
| BC.PR.E | Scraps | 50,930 | The volume’s increasing on this little guy! He’ll be eligible for inclusion in the ratchet rate index soon! |
| CM.PR.H | PerpetualPremium | 26,630 | Not a bad issue at the closing quote of 25.46-57… Pre-Tax YTW of 4.66% based on a call in 2014 at par. |
| BAM.PR.B | Floater | 25,905 | |
There were sixteen other index-included issues trading over 10,000 shares today.