| 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 |
4.39% |
4.42% |
46,271 |
16.61 |
1 |
0.0805% |
1,012.2 |
| Fixed-Floater |
4.89% |
3.95% |
279,401 |
8.97 |
6 |
0.1909% |
1,013.7 |
| Floater |
4.63% |
-18.44% |
99,074 |
8.11 |
4 |
0.0501% |
1,017.0 |
| Op. Retract |
4.68% |
2.37% |
82,645 |
2.37 |
18 |
0.0920% |
1,015.3 |
| Split-Share |
4.98% |
3.21% |
59,456 |
2.68 |
10 |
0.0750% |
1,011.7 |
| Interest Bearing |
6.86% |
4.71% |
55,751 |
2.06 |
7 |
-0.1747% |
1,021.0 |
| Perpetual-Premium |
5.13% |
4.01% |
176,804 |
4.15 |
48 |
0.0477% |
1,027.4 |
| Perpetual-Discount |
4.58% |
4.60% |
331,842 |
16.24 |
6 |
0.2305% |
1,039.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| IAG.PR.A |
PerpetualDiscount |
+1.0101% |
Closed at 25.00-10. Won’t be a “Discount” for much longer at this rate! |
| ACO.PR.A |
OpRet |
+1.2887% |
Pre-Tax YTW 3.04% based on a call at $26.00 in December 2008. A reasonable chance of doing better, given its unusually steeply declining premium. I’ll have to write a proper comment about this issue … |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.E |
PerpetualPremium |
66,870 |
Pre-Tax YTW of only 4.18% at the closing bid of $26.89 |
| CM.PR.A |
OpRet |
55,635 |
Pre-Tax YTW only 1.02% at the closing bid of $27.21, based on a call at $25.75 in November 2007. |
| BC.PR.E |
Scraps |
50,930 |
The volume’s increasing on this little guy! He’ll be eligible for inclusion in the ratchet rate index soon! |
| CM.PR.H |
PerpetualPremium |
26,630 |
Not a bad issue at the closing quote of 25.46-57… Pre-Tax YTW of 4.66% based on a call in 2014 at par. |
| BAM.PR.B |
Floater |
25,905 |
|
There were sixteen other index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, September 26th, 2006 at 12:14 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
You can leave a response, or trackback from your own site.