| 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 |
4.11% |
4.03% |
43,821 |
10.66 |
2 |
0.0598% |
1,019.7 |
| Fixed-Floater |
4.96% |
3.16% |
162,573 |
6.49 |
7 |
-0.0165% |
1,026.6 |
| Floater |
4.53% |
-15.02% |
74,843 |
6.49 |
5 |
0.0716% |
1,019.9 |
| Op. Retract |
4.68% |
2.00% |
86,929 |
2.38 |
17 |
0.0422% |
1,019.2 |
| Split-Share |
4.94% |
3.77% |
159,387 |
3.27 |
11 |
0.0158% |
1,022.3 |
| Interest Bearing |
6.88% |
5.15% |
56,321 |
2.00 |
7 |
0.1364% |
1,024.1 |
| Perpetual-Premium |
5.09% |
3.94% |
211,798 |
4.26 |
47 |
-0.0254% |
1,036.4 |
| Perpetual-Discount |
4.60% |
4.63% |
538,163 |
16.16 |
7 |
-0.5466% |
1,031.6 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| SLF.PR.D |
PerpetualDiscount |
-2.6369% |
The underwriters are unloading (have unloaded?) their inventory! See SLF.PR.D : Inventory Blow-out Sale! |
| MST.PR.A |
InterestBearing |
+1.1527% |
Now has a pre-tax YTW of 4.66%, based on a bid price of $10.53 and a maturity at $10.00 on 2009-9-30. Only 4.66% on three-year paper rated Pfd-2(low) by DBRS? That’s getting close to what you can do in the regular bond market … commissions and spreads become very important! |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| SLF.PR.D |
PerpetualDiscount |
666,550 |
Huge day! See SLF.PR.D : Inventory Blow-out Sale! |
| CM.PR.A |
OperatingRetractible |
304,950 |
Scotia crossed 200,000 @ 26.78, then Desjardins crossed 100,000 at the same price. Pre-tax YTW of 2.01% based on a closing bid of $26.62 and a call 2007-11-30 … realized yield will have been 3.82% if it survives until its softMaturity 2011-7-30. |
| RY.PR.W |
PerpetualPremium |
258,170 |
Scotia crossed 230,000 @ $26.12, then 22,000 at the same price. YTW is 4.15% based on a call 2014-03-26. This was also a big trader yesterday. |
| SLF.PR.B |
PerpetualPremium |
132,550 |
Scotia bought a total of 49,800 in six tranches from National just before the close, mostly at $25.50. Presumably a lot of the activity here was related to the SLF.PR.D : Inventory Blow-out Sale! |
| SLF.PR.C |
PerpetualDiscount |
79,511 |
This issue is virtually identical to the SLF.PR.D, but the closing bid was $0.27 higher. Such is the pref market. |
There were fourteen other index-included issues trading over 10,000 shares today.
This entry was posted on Wednesday, October 25th, 2006 at 9:14 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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[…] Reverses yesterday’s gains to close with a much more reasonable bid-YTW of 5.14%. […]