There’s no commentary today, I’m afraid! What with PrefLetter production, seeing whether the IIF had anything interesting to say, admitting that I cannot time the markets and so on, I’m just running out of time!
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 |
| Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.71% |
4.66% |
681,528 |
15.94 |
1 |
0.0000% |
1,043.7 |
| Fixed-Floater |
4.89% |
4.76% |
104,131 |
15.85 |
7 |
-0.3002% |
1,038.5 |
| Floater |
4.51% |
4.20% |
75,432 |
10.73 |
3 |
-0.0134% |
1,041.0 |
| Op. Retract |
4.86% |
3.99% |
76,085 |
3.20 |
15 |
+0.0058% |
1,028.9 |
| Split-Share |
5.15% |
4.84% |
84,493 |
4.27 |
15 |
-0.0135% |
1,045.0 |
| Interest Bearing |
6.29% |
6.37% |
56,439 |
3.63 |
4 |
-0.0248% |
1,051.6 |
| Perpetual-Premium |
5.66% |
5.45% |
95,481 |
8.25 |
17 |
-0.0404% |
1,014.5 |
| Perpetual-Discount |
5.40% |
5.44% |
321,718 |
14.77 |
47 |
-0.0440% |
931.5 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BNS.PR.K |
PerpetualDiscount |
-1.6601% |
Now with a pre-tax bid-YTW of 5.34% based on a bid of 22.51 and a limitMaturity. |
| PWF.PR.K |
PerpetualDiscount |
-1.6264% |
Now with a pre-tax bid-YTW of 5.54% based on a bid of 22.38 and a limitMaturity. |
| FFN.PR.A |
SplitShare |
-1.1538% |
Asset coverage of 2.5+:1 as of September 28 according to the company. Now with a pre-tax bid-YTW of 4.84% based on a bid of 10.48 and a hardMaturity 2014-12-01 at 10.28. |
| POW.PR.D |
PerpetualDiscount |
-1.1384% |
Now with a pre-tax bid-YTW of 5.56% based on a bid of 22.58 and a limitMaturity. |
| BCE.PR.I |
FixFloat |
-1.0077% |
|
| PWF.PR.H |
PerpetualPremium |
+1.1327% |
Now with a pre-tax bid-YTW of 5.71% based on a bid of 25.00 and a call 2012-1-19 at 25.00. |
| RY.PR.E |
PerpetualDiscount |
+1.6471% |
Now with a pre-tax bid-YTW of 5.27% based on a bid of 21.60 and a limitMaturity. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BNS.PR.N |
PerpetualDiscount |
584,870 |
New issue settled today; it did better than I thought it would, closing at 24.81-82, 20×124. This may be due to the fact that it was the first of the recent bank 5.25% perps to be announced; together with the fact that BNS issues are relatively scarce, a fair amount of the new issue may have found its way into ‘real money’ accounts. Now with a pre-tax bid-YTW of 5.31% based on a bid of 24.81 and a limitMaturity. |
| BCE.PR.I |
FixFloat |
71,169 |
Scotia crossed 70,000 at 24.75. |
| PWF.PR.I |
PerpetualPremium |
66,316 |
Now with a pre-tax bid-YTW of 5.51% based on a bid of 25.46 and a call 2012-5-30 at 25.00. |
| PWF.PR.L |
PerpetualDiscount |
38,650 |
DS crossed 35,000 at 23.62. Now with a pre-tax bid-YTW of 5.40% based on a bid of 23.62 and a limitMaturity. |
| BNS.PR.M |
PerpetualDiscount |
33,900 |
Nesbitt bought 11,500 from DS at 21.35. Now with a pre-tax bid-YTW of 5.29% based on a bid of 21.35 and a limitMaturity. |
There were nine other index-included $25.00-equivalent issues trading over 10,000 shares today.
This entry was posted on Friday, October 12th, 2007 at 9:42 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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