| 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 | 4.17% | 4.13% | 33,771 | 10.53 | 2 | -0.1799% | 1,016.4 |
| Fixed-Floater | 4.81% | 3.96% | 126,440 | 9.44 | 7 | +0.1189% | 1,029.4 |
| Floater | 4.50% | -22.32% | 66,317 | 6.50 | 5 | +0.1836% | 1,030.4 |
| Op. Retract | 4.67% | 0.97% | 80,017 | 2.27 | 18 | +0.0018% | 1,026.4 |
| Split-Share | 5.01% | 3.53% | 166,356 | 3.33 | 9 | -0.0309% | 1,027.5 |
| Interest Bearing | 6.93% | 5.43% | 63,296 | 2.38 | 7 | -0.0357% | 1,017.6 |
| Perpetual-Premium | 5.07% | 3.92% | 229,963 | 4.23 | 49 | -0.0175% | 1,043.0 |
| Perpetual-Discount | 4.58% | 4.61% | 572,040 | 16.18 | 7 | +0.0697% | 1,038.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.H | OpRet | +1.5062% | Traded in a narrow range today, between 27.56 and 27.62, closing at $27.63-79, 2×11. Pre-tax bid-YTW is now a skimpy 2.13%, based on a call at 25.75 2008-10-30. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CU.PR.V | Scraps | 100,000 | Nesbitt crossed 100,000 @ 25.40 in the day’s only trade. The same 100,000 that they crossed on November 8, perhaps? |
| CU.PR.T | Scraps | 91,100 | Nesbitt crossed 90,000 @ 25.60 and it closed at $25.02-74. Drive a truck through that spread! This issue was also discussed on November 8. |
| SLF.PR.D | PerpetualDiscount | 33,045 | Down 0.2058% on the day (i.e.: a nickel). I’m getting awfully tired of referring to the Clearance Sale. |
| CM.PR.B | PerpetualPremium | 13,500 | Will be redeemed in January. |
| SLF.PR.B | PerpetualPremium | 12,388 | Closed at 25.70-77, 20×12. Now has a pre-tax YTW of 4.49% based on a call 2014-10-30 at $25.00. It’s interesting to compare this with the SLF.PR.A, which have a pre-tax YTW of only 4.36% based on a call 2014-04-30. You sure get a lot of yield by extending term half-a-year, eh? The term of the YTW isn’t the be-all and end-all of the analysis, of course, but according to me (OK, well, according to HIMIPref™) curvePrice of the B is 25.79; of the A $25.41. Closing quotes are 25.70-77 (pretty close) and 25.80-92 (yech!) respectively. |
There was only one other index-included issues trading over 10,000 shares today.