December 28, 2006

Data has been input to the HIMIPref™ database but commentary will not be ready until tomorrow. My apologies.

Update (finally!)

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 4.10% 4.10% 32,656 17.26 1 +0.0000% 1,036.2
Fixed-Floater 4.78% 3.71% 94,105 6.54 7 +0.0567% 1,037.8
Floater 4.49% -19.48% 60,693 6.63 5 -0.0156% 1,038.3
Op. Retract 4.65% 0.74% 84,850 2.17 17 +0.1165% 1,032.5
Split-Share 5.08% 2.06% 238,695 2.50 9 -0.1115% 1,042.7
Interest Bearing 6.94% 5.62% 80,252 1.60 7 +0.9179% 1,033.5
Perpetual-Premium 5.02% 3.56% 266,101 4.41 52 -0.0054% 1,054.0
Perpetual-Discount 4.53% 4.52% 810,985 11.74 6 -0.0986% 1,059.6
Major Price Changes
Issue Index Change Notes
DFN.PR.A SplitShare -1.3084%  
ELF.PR.G PerpetualPremium -1.0054%  
BSD.PR.A InterestBearing +1.0101%  
CM.PR.P PerpetualPremium +1.0101%  
MST.PR.A InterestBearing +1.4808%  
STW.PR.A InterestBearing +3.4619%  
Volume Highlights
Issue Index Volume Notes
TD.PR.N OpRet 115,700  
MIC.PR.A Scraps 90,000  
TD.PR.M OpRet 50,000  
GWO.PR.I PerpetualDiscount 15,665  
SLF.PR.D PerpetualDiscount 14,402  

There were two other index-included issues with over 10,000 shares traded today.

 Update: There was an error in the calculation of returns for ELF.PR.G – it went ex-dividend on 12/28 and the dividend was improperly recorded in HIMIPref™. This error has now been corrected.

One Response to “December 28, 2006”

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