September 19, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.44% 4.47% 44,205 16.52 1 0.6517% 1,005.7
Fixed-Floater 4.90% 3.83% 311,685 8.94 6 -0.1302% 1,013.7
Floater 4.65% -16.90% 97,467 8.12 4 -0.1495% 1,014.0
Op. Retract 4.69% 2.24% 83,257 2.39 18 0.0480% 1,013.6
Split-Share 4.99% 3.07% 56,534 2.69 10 -0.1046% 1,010.2
Interest Bearing 6.87% 4.71% 56,441 2.09 7 -0.0514% 1,021.2
Perpetual-Premium 5.14% 4.17% 179,918 4.20 48 0.0894% 1,024.4
Perpetual-Discount 4.61% 4.62% 322,419 16.21 6 0.0001% 1,033.6
Major Price Changes
Issue Index Change Notes
FTN.PR.A SplitShare -1.0476% On volume of 3,165 shares
Volume Highlights
Issue Index Volume Notes
BAM.PR.K Floater 56,700 Scotia crossed 50,000 @ 24.25
GWO.PR.I PerpetualDiscount 40,375 The cheapest perpetual around, paying $1.125 annually and quoted at 24.47-55. Why it should trade for less than RY.PR.A, quoted at 24.75-87, paying 1.1125, is quite beyond me.
TD.PR.O PerpetualPremium 38,230 An entirely reasonable issue, with a YTW of 4.47% based on a call in November 2014.
IGM.PR.A OpRet 23,120 The most expensive (relative to par) index-included issue tracked by HIMIPref™. YTW of 2.95% based on a call in 2009; 3.86% if it survives until 2013.
GWO.PR.H PerpetualPremium 22,240  

There were twelve other index-included issues trading over 10,000 shares today.

And, best of all, I was able to recover prices from the TSX with no hitches!

Leave a Reply

You must be logged in to post a comment.