| 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% | 4.18% | 44,771 | 10.59 | 2 | 0.4022% | 1,018.5 |
| Fixed-Floater | 5.00% | 4.02% | 204,814 | 12.39 | 7 | 0.0230% | 1,017.2 |
| Floater | 4.53% | -17.05% | 78,069 | 6.52 | 5 | -0.3142% | 1,016.9 |
| Op. Retract | 4.68% | 1.85% | 90,004 | 2.43 | 17 | -0.0387% | 1,017.1 |
| Split-Share | 4.92% | 3.24% | 61,733 | 3.05 | 10 | -0.0290% | 1,017.9 |
| Interest Bearing | 6.88% | 4.84% | 54,519 | 1.81 | 7 | 0.1497% | 1,023.5 |
| Perpetual-Premium | 5.13% | 3.79% | 175,054 | 4.20 | 47 | -0.0108% | 1,030.3 |
| Perpetual-Discount | 4.59% | 4.62% | 326,785 | 16.19 | 6 | -0.1143% | 1,036.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| AL.PR.E | Floater | -1.3534% | On volume of 3,685 shares, closing at 26.24-42, 3×5. I don’t understand why Alcan isn’t redeeming these shares … there are only 5.7-million out there, providing financing at 6% AFTER TAX. Alcan is, after all buying back its common. From the look of their website, though, it looks like they can barely remember the preferreds exist! |
| PWF.PR.L | PerpetualPremium | +1.1846% | On volume of 4,000 shares, closing at 25.95-09, 90×32 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TD.PR.M | OpRet | 397,125 | Something of a joke … Global crossed 198,200 on a cash basis at 27.79, then crossed the same number for regular settlement at 27.49. They went ex-dividend yesterday, paying $0.29375. This issue is notable for being expensive even for an Operating Retractible: the pre-tax YTW is 2.16%, based on a bid of 27.50 and a call in 2009. |
| SLF.PR.B | PerpetualPremium | 123,745 | Nesbitt processed an internal cross of 90,000 shares @ 25.60 just before the close. |
| POW.PR.C | PerpetualPremium | 101,000 | RBC crossed 100,000 @ 26.60 |
| CM.PR.A | OpRet | 85,060 | Nesbitt processed an internal cross of 35,000 @ 26.65, Scotia crossed 45,500 @ 26.75. |
| MFC.PR.C | PerpetualDiscount | 84,755 | Nesbitt processed an internal cross of 80,000 @ 24.70. |
There were seven other index-included issues trading over 10,000 shares today.
Update, 2006-10-13 : There is an error on the issue performance reporting – the PWF.PR.L value was calculated on the basis that the ex-date for the first dividend was 10/6 – in fact, it was 10/5, as noted here.