| 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 | 4.37% | 4.40% | 48,744 | 16.64 | 1 | 0.1608% | 1,013.8 |
| Fixed-Floater | 4.89% | 3.98% | 272,642 | 8.99 | 6 | 0.0594% | 1,014.3 |
| Floater | 4.63% | -18.46% | 97,450 | 8.12 | 4 | 0.0199% | 1,017.2 |
| Op. Retract | 4.69% | 2.44% | 84,419 | 2.44 | 18 | -0.0139% | 1,015.1 |
| Split-Share | 4.97% | 3.07% | 60,026 | 2.67 | 10 | 0.2222% | 1,014.0 |
| Interest Bearing | 6.85% | 4.50% | 55,555 | 2.07 | 7 | 0.2376% | 1,023.4 |
| Perpetual-Premium | 5.14% | 4.01% | 176,929 | 4.14 | 48 | -0.0327% | 1,027.1 |
| Perpetual-Discount | 4.58% | 4.60% | 331,043 | 16.23 | 6 | -0.0531% | 1,038.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with major price moves today | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.B | PerpetualPremium | 257,200 | Desjardins crossed 250,000 @ $26.10. With an annual dividend of $1.50, this is a good candidate to be called early next year … if it is, it will still achieve a pre-tax YTW of 3.71% (worth about 5.19% interest equivalent! Not bad for five-month bank paper!) |
| BC.PR.E | Scraps | 200,000 | Every single share was crossed by Scotia, in three tranches, at various times throughout the day, at $25.17. For an issue recently removed from the ratchet index due to volume concerns, this has sure been trading a lot lately! |
| CM.PR.A | OpRet | 182,600 | Global crossed 89,200 on a cash basis at $27.21, then ‘another’ 89,200 regular settlement at $26.87. Difference of $0.34, dividend is $0.33125, issue went ex-dividend today. Somebody’s got a capture strategy going! |
| FTN.PR.A | SplitShares | 115,540 | Pre-tax YTW of 3.24% based on the closing bid of $10.45 and a maturity at $10.00 2008-12-01 |
| IGM.PR.A | OpRet | 65,902 | Scotia crossed 48,900 @ 27.80 |
There were nineteen other index-included issues trading over 10,000 shares today.