Accrued Interest leads off with a very informative discussion of American Municipal Bond Insurance, something that is in the news lately, what with credit problems and Berkshire Hathaway’s entry to the field.
A very light day on the preferred share market, but performance was good.
| 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 | 5.22% | 5.21% | 70,565 | 15.11 | 2 | 0.0000% | 1,059.2 |
| Fixed-Floater | 4.94% | 5.28% | 79,446 | 15.17 | 9 | +0.2561% | 1,028.9 |
| Floater | 5.25% | 5.28% | 93,545 | 15.12 | 3 | +0.9531% | 837.7 |
| Op. Retract | 4.83% | 3.06% | 83,409 | 3.28 | 15 | -0.0521% | 1,039.1 |
| Split-Share | 5.31% | 5.55% | 105,678 | 4.31 | 15 | +0.0887% | 1,030.5 |
| Interest Bearing | 6.34% | 6.47% | 60,633 | 3.44 | 4 | +0.3862% | 1,062.5 |
| Perpetual-Premium | 5.76% | 4.47% | 69,685 | 5.12 | 12 | +0.1682% | 1,020.4 |
| Perpetual-Discount | 5.50% | 5.54% | 376,437 | 14.45 | 54 | +0.1305% | 929.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.J | OpRet | -2.1135% | Now with a pre-tax bid-YTW of 5.43% based on a bid of 25.01 and a softMaturity 2018-3-30 at 25.00. |
| BAM.PR.N | PerpetualDiscount | -1.5991% | Now with a pre-tax bid-YTW of 6.49% based on a bid of 18.46 and a limitMaturity. |
| GWO.PR.H | PerpetualDiscount | -1.5165% | Now with a pre-tax bid-YTW of 5.52% based on a bid of 22.08 and a limitMaturity. |
| MFC.PR.C | PerpetualDiscount | -1.3538% | Now with a pre-tax bid-YTW of 5.19% based on a bid of 21.86 and a limitMaturity. |
| NA.PR.K | PerpetualDiscount | -1.2068% | Now with a pre-tax bid-YTW of 6.04% based on a bid of 24.56 and a limitMaturity. |
| POW.PR.A | PerpetualDiscount | -1.1832% | Now with a pre-tax bid-YTW of 5.79% based on a bid of 24.22 and a limitMaturity. |
| BNA.PR.A | SplitShare | -1.1395% | Asset coverage of 3.7+:1 as of November 30 according to the company. Now with a pre-tax bid-YTW of 6.22% based on a bid of 25.16 and a hardMaturity 2010-9-30 at 25.00. Compare with BNA.PR.B (7.17% to 2016-3-25) and BNA.PR.C (7.67% to 2019-1-10). |
| CM.PR.D | PerpetualDiscount | -1.0183% | Now with a pre-tax bid-YTW of 5.80% based on a bid of 24.80 and a limitMaturity. |
| W.PR.H | PerpetualDiscount | +1.0615% | Now with a pre-tax bid-YTW of 6.01% based on a bid of 22.85 and a limitMaturity. |
| BAM.PR.H | OpRet | +1.0886% | Now with a pre-tax bid-YTW of 4.43% based on a bid of 26.00 and a call 2008-10-30 at 25.75. |
| SLF.PR.B | PerpetualDiscount | +1.1151% | Now with a pre-tax bid-YTW of 5.32% based on a bid of 22.67 and a limitMaturity. |
| LFE.PR.A | SplitShare | +1.1583% | Asset coverage of 2.7+:1 as of December 14, according to the company. Now with a pre-tax bid-YTW of 4.18% based on a bid of 10.48 and a hardMaturity 2012-12-1 at 10.00. |
| CM.PR.P | PerpetualDiscount | +1.3186% | Now with a pre-tax bid-YTW of 5.72% based on a bid of 23.82 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | +1.3783% | Now with a pre-tax bid-YTW of 5.64% based on a bid of 21.33 and a limitMaturity. |
| PWF.PR.G | PerpetualDiscount | +1.4665% | Now with a pre-tax bid-YTW of 5.51% based on a bid of 25.60 and a call 2011-8-16 at 25.00. |
| BNA.PR.B | SplitShare | +1.6355% | See BNA.PR.A, above. Now with a pre-tax bid-YTW of 7.17% based on a bid of 21.75 and a hardMaturity 2016-3-25 at 25.00. |
| BAM.PR.G | FixFloat | +1.7677% | |
| BAM.PR.M | PerpetualDiscount | +1.8468% | Now with a pre-tax bid-YTW of 6.39% based on a bid of 18.75 and a limitMaturity. |
| BNA.PR.C | SplitShare | +1.8717% | See BNA.PR.A, above. Now with a pre-tax bid-YTW of 7.67% based on a bid of 19.05 and a hardMaturity 2019-1-10 at 25.00. |
| CM.PR.J | PerpetualDiscount | +2.5813% | Now with a pre-tax bid-YTW of 5.67% based on a bid of 19.87 and a limitMaturity. |
| POW.PR.D | PerpetualDiscount | +2.6970% | Now with a pre-tax bid-YTW of 5.22% based on a bid of 23.99 and a limitMaturity. |
| TOC.PR.B | Floater | +2.9601% | |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.D | PerpetualDiscount | 177,540 | Now with a pre-tax bid-YTW of 5.38% based on a bid of 21.21 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | 64,304 | Nesbitt crossed 35,700 at 22.35, then another 25,000 at 22.36. Now with a pre-tax bid-YTW of 5.37% based on a bid of 22.25 and a limitMaturity. |
| POW.PR.D | PerpetualDiscount | 24,075 | Now with a pre-tax bid-YTW of 5.22% based on a bid of 23.99 and a limitMaturity. |
| BAM.PR.N | PerpetualDiscount | 18,990 | Now with a pre-tax bid-YTW of 6.49% based on a bid of 18.46 and a limitMaturity. |
| BNS.PR.N | PerpetualDiscount | 16,900 | Now with a pre-tax bid-YTW of 5.31% based on a bid of 24.70 and a limitMaturity. |
There were five other index-included $25.00-equivalent issues trading over 10,000 shares today.