| 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 | 4.19% | 4.22% | 33,096 | 17.02 | 1 | +0.0405% | 1,021.1 |
| Fixed-Floater | 4.79% | 3.79% | 98,800 | 8.38 | 7 | +0.0617% | 1,033.7 |
| Floater | 4.46% | -25.23% | 62,871 | 0.34 | 5 | +0.0550% | 1,045.5 |
| Op. Retract | 4.64% | 0.87% | 81,879 | 2.19 | 17 | +0.0137% | 1,032.3 |
| Split-Share | 5.05% | 2.11% | 247,111 | 2.52 | 9 | -0.1056% | 1,043.8 |
| Interest Bearing | 6.95% | 5.11% | 79,449 | 1.86 | 7 | +0.0229% | 1,027.8 |
| Perpetual-Premium | 5.00% | 3.56% | 293,584 | 4.24 | 52 | +0.1269% | 1,053.6 |
| Perpetual-Discount | 4.53% | 4.50% | 922,402 | 13.33 | 6 | +0.3778% | 1,060.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ELF.PR.G | PerpetualPremium | +1.0993% | Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.75 and a call 2015-11-16 at $25.00 |
| IAG.PR.A | PerpetualDiscount | +1.3944% | This one looks like it will be moving to “PerpetualPremium” pretty promptly! Now with a pre-tax bid-YTW of 4.34%, based on a bid of $25.45 and a call 2015-4-30 at $25.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| FBS.PR.B | SplitShare | 499,712 | Recent New issue. Now with a bid-YTW of 1.41% based on a bid of $10.36 and a call 2008-1-14 at $10.00 |
| CM.PR.I | PerpetualPremium | 358,090 | New issue closed Nov. 15, continues to trade heavily. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.51 and a call 2016-3-1 at $25.00 |
| CL.PR.B | PerpetualPremium | 302,635 | RBC crossed 150,000 at $26.15, then Nesbitt crossed the same number at the same price 13 minutes later. I last mentioned this November 29 and, well, at least the pre-tax bid-YTW’s not negative any more! It’s 1.20% based on a bid of $26.10 and a call 2007-1-30 at $26.00. |
| CM.PR.B | PerpetualPremium | 211,820 | Basically a money market instrument, since it is being called Jan. 31. |
| RY.PR.C | PerpetualPremium | 147,825 | National crossed 125,000, then 10,000, then 5,000, all at $25.55. Now with a pre-tax bid-YTW of 4.42% based on a bid of $25.53 and a call 2015-12-24 at $25.00 |
| BAM.PR.M | PerpetualDiscount | 108,300 | RBC crossed 100,000 at $25.10. Now with a pre-tax bid-YTW of 4.70% based on a bid of $25.10 and a call 2016-3-1 at $25.00 |
There were fourteen other index-included issues with over 10,000 shares traded today.
[…] Not usually much of a trader, but RBC crossed 150,000 at 26.15 for cash and Nesbitt crossed the same amount at 25.97 for delayed delivery … very similar to the trading on December 18! Hmmmm….. I pontificated November 29 that this was a prime candidate for redemption, but there’s been no news yet. The pre-tax bid-YTW is now 1.65% based on a bid of $26.09 and a call 2007-1-30 at 26.00. The next ex-date is 2007-3-1, so if the funny settlements are a dividend capture/avoidance game, it’s a deep one! […]