| 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 | 4.12% | 4.14% | 35,385 | 17.16 | 1 | +0.4014% | 1,032.7 |
| Fixed-Floater | 4.78% | 3.67% | 96,817 | 8.36 | 7 | -0.0103% | 1,035.0 |
| Floater | 4.49% | -19.21% | 63,418 | 0.23 | 5 | +0.0255% | 1,039.7 |
| Op. Retract | 4.65% | 0.71% | 85,770 | 1.99 | 17 | +0.0007% | 1,032.6 |
| Split-Share | 5.06% | 2.26% | 246,599 | 2.52 | 9 | -0.1957% | 1,043.1 |
| Interest Bearing | 6.96% | 5.83% | 82,895 | 1.84 | 7 | -0.1042% | 1,026.8 |
| Perpetual-Premium | 5.01% | 3.53% | 280,147 | 4.21 | 52 | -0.0056% | 1,054.9 |
| Perpetual-Discount | 4.53% | 4.50% | 854,997 | 11.75 | 6 | -0.0066% | 1,060.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BSD.PR.A | InterestBearing | -2.4704% | Giving up yesterday’s gains and more! Closed at 9.87-17, with a single trade of 2,900 shares at $10.10 – Christmas break! Now with a pre-tax bid-YTW of 6.27% (mostly interest!) based on the 9.87 bid and a hardMaturity 2015-3-31 at 10.00 |
| LBS.PR.A | SplitShare | -1.3587% | This one merely gave up a lot of yesterday’s gains. Now with a pre-tax bid-YTW of 3.92% based on a bid of $10.89 and a hardMaturity 2013-11-29 at 10.00. |
| MST.PR.A | InterestBearing | +1.3659% | Now with a pre-tax bid-YTW of 5.49% based on a bid of 10.39 and a hardMaturity 2009-9-30. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.A | OpRet | 518,756 | Now with a pre-tax bid-YTW of 2.79% based on a bid of 26.18 and a call 2007-11-30 at 25.75. It pays a whopping 1.325 p.a., so I’ll go out on a limb and suggest it won’t make it to the 2011-7-30 softMaturity, which would yield 4.07% |
| FBS.PR.B | SplitShare | 114,900 | Recent new issue. Now with a pre-tax bid-YTW of 1.61% based on a bid of 10.34 and a call 2008-1-14 at 10.00. Too much call-risk for my blood. |
| LBS.PR.A | SplitShare | 56,150 | Scotia crossed 46,300 at $11.00. Now with a pre-tax bid-YTW of 3.92% based on a bid of $10.89 – way down from yesterday! – and a hardMaturity 2013-11-29 at 10.00 |
| MFC.PR.A | OpRet | 22,755 | Scotia crossed 18,500 at 26.91. Now with a pre-tax bid-YTW of 3.10% based on a bid of 26.95 and a call 2011-7-19 at $26.00. Neatly, the yield until its softMaturity 2015-12-18 is 3.12%, so take your pick. |
| CM.PR.I | PerpetualPremium | 22,479 | Now with a pre-tax bid-YTW of 4.50% based on a bid of $25.30 and a call 2016-3-1 at 25.00 |
There were ten other index-included issues with over 10,000 shares traded today.