| 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 | 4.11% | 4.03% | 43,821 | 10.66 | 2 | 0.0598% | 1,019.7 |
| Fixed-Floater | 4.96% | 3.16% | 162,573 | 6.49 | 7 | -0.0165% | 1,026.6 |
| Floater | 4.53% | -15.02% | 74,843 | 6.49 | 5 | 0.0716% | 1,019.9 |
| Op. Retract | 4.68% | 2.00% | 86,929 | 2.38 | 17 | 0.0422% | 1,019.2 |
| Split-Share | 4.94% | 3.77% | 159,387 | 3.27 | 11 | 0.0158% | 1,022.3 |
| Interest Bearing | 6.88% | 5.15% | 56,321 | 2.00 | 7 | 0.1364% | 1,024.1 |
| Perpetual-Premium | 5.09% | 3.94% | 211,798 | 4.26 | 47 | -0.0254% | 1,036.4 |
| Perpetual-Discount | 4.60% | 4.63% | 538,163 | 16.16 | 7 | -0.5466% | 1,031.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| SLF.PR.D | PerpetualDiscount | -2.6369% | The underwriters are unloading (have unloaded?) their inventory! See SLF.PR.D : Inventory Blow-out Sale! |
| MST.PR.A | InterestBearing | +1.1527% | Now has a pre-tax YTW of 4.66%, based on a bid price of $10.53 and a maturity at $10.00 on 2009-9-30. Only 4.66% on three-year paper rated Pfd-2(low) by DBRS? That’s getting close to what you can do in the regular bond market … commissions and spreads become very important! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.D | PerpetualDiscount | 666,550 | Huge day! See SLF.PR.D : Inventory Blow-out Sale! |
| CM.PR.A | OperatingRetractible | 304,950 | Scotia crossed 200,000 @ 26.78, then Desjardins crossed 100,000 at the same price. Pre-tax YTW of 2.01% based on a closing bid of $26.62 and a call 2007-11-30 … realized yield will have been 3.82% if it survives until its softMaturity 2011-7-30. |
| RY.PR.W | PerpetualPremium | 258,170 | Scotia crossed 230,000 @ $26.12, then 22,000 at the same price. YTW is 4.15% based on a call 2014-03-26. This was also a big trader yesterday. |
| SLF.PR.B | PerpetualPremium | 132,550 | Scotia bought a total of 49,800 in six tranches from National just before the close, mostly at $25.50. Presumably a lot of the activity here was related to the SLF.PR.D : Inventory Blow-out Sale! |
| SLF.PR.C | PerpetualDiscount | 79,511 | This issue is virtually identical to the SLF.PR.D, but the closing bid was $0.27 higher. Such is the pref market. |
There were fourteen other index-included issues trading over 10,000 shares today.
[…] Reverses yesterday’s gains to close with a much more reasonable bid-YTW of 5.14%. […]