| 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 | 4.23% | 4.18% | 44,182 | 10.56 | 2 | -0.2983% | 1,015.5 |
| Fixed-Floater | 4.99% | 4.02% | 205,195 | 10.13 | 7 | 0.0741% | 1,018.0 |
| Floater | 4.53% | -17.21% | 77,308 | 6.53 | 5 | 0.0720% | 1,017.6 |
| Op. Retract | 4.68% | 2.11% | 89,612 | 2.42 | 17 | -0.0327% | 1,016.8 |
| Split-Share | 4.92% | 3.26% | 62,615 | 3.03 | 10 | -0.0004% | 1,017.9 |
| Interest Bearing | 6.88% | 4.63% | 55,354 | 2.03 | 7 | 0.0679% | 1,024.2 |
| Perpetual-Premium | 5.12% | 3.73% | 174,559 | 4.30 | 46 | 0.0575% | 1,030.8 |
| Perpetual-Discount | 4.59% | 4.61% | 622,381 | 16.19 | 7 | -0.3472% | 1,033.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with major price moves today (unless you count SLF.PR.D) | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.A | PerpetualPremium | 90,750 | Scotia crossed 40,000 @ $25.41, then another 42,000 at the same price. This issue looks rather expensive at the closing bid of 25.55 … pre-tax YTW of 4.45% based on a call in 2014. This is just a penny less than the SLF.PR.B, which pays $0.0125 more p.a. with a similar call schedule … and is more liquid. |
| GWO.PR.X | OpRet | 51,869 | Scotia crossed 50,000 @ 27.40. Another issue considered rather expensive by HIMIPref™ given its closing bid of $27.40 – Pre-Tax YTW of 2.83% based on a 2009 call; the pre-tax-curve price is $26.54. |
| W.PR.J | PerpetualPremium | 51,830 | Scotia crossed 28,000 @ 25.30, then bought 18,000 from Nesbitt at the same price. Currently callable at $25.50, declining by $0.25 every July … an attractive issue, I’d say, paying $1.40 for a pre-tax YTW of 4.93% based on a 2008 call. |
| BSD.PR.A | InterestBearing | 45,849 | Pre-tax YTW of 5.94% INTEREST based on a 2015 maturity. |
| BNS.PR.K | PerpetualPremium | 40,350 | Nesbit bought 31,400 in three quick trades at 25.93; 28,400 from Scotia, 3,000 from RBC. |
There were fourteen other index-included issues trading over 10,000 shares today.