| 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.
This entry was posted on Monday, November 13th, 2006 at 10:51 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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