| 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 |
4.18% |
4.13% |
33,617 |
10.52 |
2 |
+0.0401% |
1,016.8 |
| Fixed-Floater |
4.81% |
3.91% |
126,843 |
13.00 |
7 |
+0.0121% |
1,029.6 |
| Floater |
4.50% |
-20.29% |
65,960 |
6.52 |
5 |
-0.1168% |
1,029.2 |
| Op. Retract |
4.67% |
1.19% |
79,687 |
2.27 |
18 |
+0.0255% |
1,026.7 |
| Split-Share |
5.01% |
3.50% |
162,372 |
3.33 |
9 |
+0.0022% |
1,027.5 |
| Interest Bearing |
6.94% |
5.70% |
63,121 |
2.37 |
7 |
-0.2222% |
1,015.3 |
| Perpetual-Premium |
5.07% |
3.90% |
227,615 |
4.23 |
49 |
0.0047% |
1,043.1 |
| Perpetual-Discount |
4.58% |
4.61% |
567,932 |
14.81 |
7 |
-0.0051% |
1,038.2 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BSD.PR.A |
InterestBearing |
-1.5228% |
Traded as low as $9.30 in the morning but found a bid in the afternoon to close at 9.70-78, 10×8. This has been very volatile following the Income Trick or Trust (the underlying security is Income Trusts) – last mention here was November 10th. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| MFC.PR.B |
PerpetualPremium |
40,875 |
YTW at the closing bid of 25.44 is only 4.33%, based on a call at $25.00 2014-4-18. Doesn’t seem like much, especially since the MFC.PR.C (which are, if anything, more liquid) are quoted at $25.00-bid to yield 4.47% to a call 2015-4-18. I think both issues are expensive, but what do I know? Since the annual coupon is less than $0.04 different, people seem to be willing to pay a whole lot of money for not very much interest-rate-rise-protection! |
| SLF.PR.D |
PerpetualDiscount |
39,286 |
This is getting boring. High volumes in this issue are persisting FOREVER! |
| CM.PR.B |
PerpetualPremium |
37,700 |
Another repeater! At least this won’t be around much longer. |
| MFC.PR.C |
PerpetualDiscount |
34,620 |
See discussion of MFC.PR.B, above |
| CM.PR.H |
PerpetualPremium |
34,325 |
Could be people clearing some shelf-space for the new issue that’s supposed to settle tomorrow. And will, I’m sure! The CM.PR.H closed at $25.45-bid for a pre-tax YTW of 4.58%, based on a call 2014-4-29 at $25.00. The new issue comes with a 4.7% coupon, so should have a pretty good day. |
There were ten other index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, November 14th, 2006 at 11:16 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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[…] These things have been bouncing around a lot lately, due to a combination of fear of the income-trusts that ultimately back the paper, and the upcoming retraction event. […]