Month-end scheduling is still a problem! I’m not going to be reporting much today, but those desperate for reading material can look at my commentary on the Blinder Op-Ed, Changes in the HIMIPref™ Indices, MAPF Performance, an updated commentary on the new issues or a note on After-tax Yield Equivalency, all of which are new since last time.
And I did the tables for September 28, too!
| 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 | 4.58% | 4.50% | 941,599 | 16.19 | 1 | 0.0000% | 1,065.0 |
| Fixed-Floater | 4.93% | 4.81% | 103,243 | 15.77 | 7 | -0.4829% | 1,028.3 |
| Floater | 4.48% | 2.83% | 80,906 | 10.77 | 3 | +0.2349% | 1,047.3 |
| Op. Retract | 4.85% | 4.25% | 76,257 | 3.35 | 15 | -0.0472% | 1,026.8 |
| Split-Share | 5.14% | 4.94% | 86,937 | 4.07 | 15 | -0.0647% | 1,044.9 |
| Interest Bearing | 6.35% | 6.49% | 55,984 | 3.64 | 3 | +0.0517% | 1,042.1 |
| Perpetual-Premium | 5.62% | 5.39% | 95,453 | 7.76 | 17 | -0.2465% | 1,017.3 |
| Perpetual-Discount | 5.31% | 5.34% | 211,209 | 14.93 | 45 | -0.2421% | 948.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.G | FixFloat | -3.9024% | |
| CIU.PR.A | PerpetualDiscount | -2.0882% | Now with a pre-tax bid-YTW of 5.52% based on a bid of 21.10 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | -1.9740% | Now with a pre-tax bid-YTW of 5.21% based on a bid of 21.85 and a limitMaturity. |
| BNA.PR.C | SplitShare | -1.4665% | Now with a pre-tax bid-YTW of 6.16% based on a bid of 21.50 and a hardMaturity 2019-1-10 at 25.00. |
| GWO.PR.I | PerpetualDiscount | -1.4021% | Now with a pre-tax bid-YTW of 5.19% based on a bid of 21.80 and a limitMaturity. |
| SLF.PR.E | PerpetualDiscount | -1.3926% | Now with a pre-tax bid-YTW of 5.16% based on a bid of 21.95 and a limitMaturity. |
| RY.PR.A | PerpetualDiscount | -1.3495% | Now with a pre-tax bid-YTW of 5.13% based on a bid of 21.93 and a limitMaturity. |
| PIC.PR.A | SplitShare | -1.2063% | Now with a pre-tax bid-YTW of 4.80% based on a bid of 15.56 and a hardMaturity 2010-11-1 at 15.00. |
| MFC.PR.B | PerpetualDiscount | -1.1760% | Now with a pre-tax bid-YTW of 5.16% based on a bid of 22.69 and a limitMaturity. |
| NA.PR.K | PerpetualPremium | -1.1462% | Now with a pre-tax bid-YTW of 5.94% based on a bid of 25.01 and a limitMaturity. |
| CM.PR.G | PerpetualPremium | +1.2000% | Now with a pre-tax bid-YTW of 5.15% based on a bid of 25.30 and a call 2014-5-31 at 25.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BMO.PR.J | PerpetualDiscount | 42,400 | Now with a pre-tax bid-YTW of 5.21% based on a bid of 21.85 and a limitMaturity. |
| MFC.PR.B | PerpetualDiscount | 32,465 | Nesbitt crossed 20,000 at 22.65. Now with a pre-tax bid-YTW of 5.16% based on a bid of 22.69 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | 30,395 | Now with a pre-tax bid-YTW of 5.18% based on a bid of 21.66 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | 27,478 | Nesbitt crossed 20,000 at 22.10. Now with a pre-tax bid-YTW of 5.19% based on a bid of 21.80 and a limitMaturity. |
| BNS.PR.L | PerpetualDiscount | 19,050 | Now with a pre-tax bid-YTW of 5.18% based on a bid of 21.67 and a limitMaturity. |
There were nine other index-included $25.00-equivalent issues trading over 10,000 shares today.