| 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 | 4.24% | 4.26% | 37,639 | 16.94 | 1 | +0.0000% | 1,019.9 |
| Fixed-Floater | 4.81% | 3.81% | 103,006 | 8.36 | 7 | +0.0001% | 1,028.5 |
| Floater | 4.47% | -20.59% | 60,917 | 6.58 | 5 | +0.0235% | 1,038.1 |
| Op. Retract | 4.63% | -0.47% | 81,806 | 2.20 | 17 | +0.0372% | 1,032.2 |
| Split-Share | 5.11% | 2.91% | 144,894 | 2.71 | 8 | -0.0020% | 1,039.3 |
| Interest Bearing | 6.90% | 5.52% | 76,292 | 3.85 | 7 | -0.4193% | 1,024.5 |
| Perpetual-Premium | 5.02% | 3.62% | 254,404 | 4.57 | 51 | -0.0704% | 1,050.1 |
| Perpetual-Discount | 4.59% | 4.60% | 968,678 | 16.25 | 6 | -0.2374% | 1,045.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BSD.PR.A | InterestBearing | -1.6915% | This has been volatile lately, probably due to speculation about the possible call. Now with a pre-tax bid-YTW of 6.62% (as interest!) based on a bid of 9.88 and a maturity 2015-3-31. |
| FCN.PR.A | InterestBearing | -1.3725% | A blowback from yesterday. Now with a pre-tax bid-YTW of 6.44% (as interest!) based on a bid of 10.06 and a hardMaturity 2011-3-31 at 10.00. This issue’s call schedule does not include a declining premium feature, so negative pseudoConvexity is fierce. |
| SLF.PR.C | PerpetualDiscount | -1.0157% | Virtually identical to SLF.PR.D, which it now brackets in price, being quoted at 24.25-59 compared to SLF.PR.D’s 24.38-46. Now with a pre-tax bid-YTW of 4.59% based on a limitMaturity. |
| LBS.PR.A | SplitShare | -1.0157% | Now with a pre-tax bid-YTW of 4.17% – not bad for a split share or other retractible – based on a bid of 10.72 and a hard maturity 2013-11-29 at 10.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.A | PerpetualDiscount | 129,654 | Now with a pre-tax bid-YTW of 4.50%, based on a limit maturity. In other words, these are trading near-as-dammit to even yield with the Royal new issue, which is expected to settle Dec. 13. |
| SLF.PR.D | PerpetualDiscount | 41,489 | A regular guest on this list! Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.38 and a limit maturity. |
| SLF.PR.C | PerpetualDiscount | 35,450 | The price collapsed at the close, with 10+ trades in the last minute. Scotia sold on nine of them, selling 6,500 at prices beginning at 24.60 and ending at 24.25. Lesson 1: don’t put market orders in during the last minute unless you know for sure there’s some depth! |
| CM.PR.I | PerpetualPremium | 33,115 | Recent new issue, now with a pre-tax bid-YTW of 4.63% based on a bid of $25.27 and a call 2016-3-1 at 25.00 |
| BAM.PR.M | PerpetualDiscount | 19,802 | Recent new issue, now with a pre-tax bid-YTW of 4.78% based on a bid of $25.00 and a limit maturity. |
There were five other index-included issues with over 10,000 shares traded today.
No enormous blocks crossed by Scotia today! I guess their guy’s still counting his commission from the last two days.
[…] Comes back from yesterday’s swoon to yield 4.53% based on a bid of $24.55 and a limitMaturity. […]