November 15, 2006

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% 32,302 10.53 2 +0.1607% 1,018.5
Fixed-Floater 4.82% 3.92% 124,432 14.71 7 -0.2968% 1,026.5
Floater 4.49% -21.99% 66,172 6.52 5 +0.1663% 1,030.9
Op. Retract 4.66% 1.19% 81,252 2.27 18 +0.0646% 1,027.3
Split-Share 5.00% 3.49% 162,026 3.33 9 +0.0469% 1,028.0
Interest Bearing 6.94% 5.58% 63,579 2.37 7 +0.0142% 1,015.5
Perpetual-Premium 5.07% 4.01% 225,367 4.18 49 0.0112% 1,043.2
Perpetual-Discount 4.59% 4.62% 820,841 14.96 8 +0.0406% 1,038.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute returns greater than 1% on the day.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 288,892 Today was the first day of trading.
IAG.PR.A PerpetualDiscount 202,150 Scotia crossed 100,000 at 25.00, so that was half of it! Yield-to-Worst of 4.65% based on never being called – bid price at the close was 24.96. It pays $1.15 and is priced a little higher than the new CM.PR.I, which pay a little bit more and are a better credit. So go figure.
IGM.PR.A OpRet 143,327 Pre-tax YTW at the closing bid of $28.24 is 2.50%, based on a call 2009-7-30 at $26.00.
CM.PR.B PerpetualPremium 60,120 Has been called for redemption.
SLF.PR.B PerpetualPremium 45,220 Pre-tax YTW of 4.38%, based on a closing bid of $25.90 and a call 2014-10-30 at $25.00.

There were seventeen other index-included issues trading over 10,000 shares today.

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