| 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 |
4.21% |
4.16% |
32,268 |
10.46 |
2 |
+0.1807% |
1,017.9 |
| Fixed-Floater |
4.82% |
3.87% |
116,924 |
8.43 |
7 |
0.1646% |
1,027.5 |
| Floater |
4.48% |
-23.30% |
65,196 |
6.54 |
5 |
+0.1500% |
1,034.6 |
| Op. Retract |
4.66% |
0.97% |
80,119 |
2.26 |
18 |
-0.0466% |
1,028.0 |
| Split-Share |
5.01% |
3.41% |
153,586 |
3.31 |
9 |
-0.0820% |
1,027.4 |
| Interest Bearing |
6.94% |
5.96% |
65,965 |
2.36 |
7 |
-0.3524% |
1,015.7 |
| Perpetual-Premium |
5.07% |
4.03% |
218,236 |
4.19 |
49 |
+0.0068% |
1,043.3 |
| Perpetual-Discount |
4.63% |
4.65% |
1,028,052 |
16.13 |
9 |
-0.2680% |
1,036.1 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BAM.PR.M |
PerpetualDiscount |
395,480 |
New issue |
| SLF.PR.A |
PerpetualPremium |
334,880 |
Closed at $25.41-59, with a YTW of 4.44% based on the bid price and a call at $25.00 2014-04-30. It pays $1.1875 – so “call protection” of 30 bp 7.5 years hence is being valued at 18bp p.a., compared to the SLF.PR.D. Whether there are ANY scenarios in which the SLF.PR.A have a better total return is left as an exercise for the reader. |
| CM.PR.I |
PerpetualDiscount |
69,560 |
Another recent new issue, closing with a bid-YTW of 4.74%. An attractive issue at $24.88-90. |
| WN.PR.E |
PerpetualDiscount |
29,978 |
It’s trying hard to be PerpetualPremium, at 24.96-99, but it’s full of dividend – the next ex-date is on or about 2006-12-13. Bid YTW is 4.81, based on perpetuity. |
| SLF.PR.D |
PerpetualDiscount |
18,675 |
Still trading heavily. |
There were fifteen other index-included issues trading over 10,000 shares today.
This entry was posted on Monday, November 20th, 2006 at 11:02 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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[…] Another day of big trading, but this time it closed at $24.09-20, for a bid-YTW of 4.60%. At last its price is congruent with the virtually identical SLF.PR.D! Remember, you read it here first. […]