| 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 |
4.25% |
4.25% |
37,924 |
16.95 |
1 |
+0.0405% |
1,020.3 |
| Fixed-Floater |
4.80% |
3.77% |
101,668 |
8.38 |
7 |
+0.2541% |
1,031.1 |
| Floater |
4.47% |
-20.26% |
59,880 |
6.58 |
5 |
-0.0313% |
1,037.7 |
| Op. Retract |
4.63% |
-0.43% |
80,853 |
2.20 |
17 |
+0.0916% |
1,033.1 |
| Split-Share |
5.11% |
2.95% |
142,032 |
2.70 |
8 |
-0.0005% |
1,039.3 |
| Interest Bearing |
6.89% |
5.23% |
75,796 |
3.84 |
7 |
+0.1265% |
1,025.8 |
| Perpetual-Premium |
5.02% |
3.63% |
251,087 |
4.38 |
51 |
+0.0294% |
1,050.4 |
| Perpetual-Discount |
4.57% |
4.58% |
952,037 |
16.28 |
6 |
+0.4274% |
1,049.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| SLF.PR.C |
PerpetualDiscount |
+1.2371% |
Comes back from yesterday’s swoon to yield 4.53% based on a bid of $24.55 and a limitMaturity. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| POW.PR.D |
PerpetualPremium |
104,490 |
Now with a pre-tax bid-YTW of 4.36% based on a bid of $26.30 and a call 2014-11-30 at $25.00 |
| CM.PR.I |
PerpetualDiscount |
91,905 |
Recent new issue, pre-tax bid-YTW now 4.64% based on a bid of $25.26 and a call at $25.00 2016-3-1 |
| W.PR.J |
PerpetualPremium |
86,200 |
Nesbitt crossed 85,000 at $25.53. Now with a pre-tax bid-YTW of 4.85% based on a call 2008-8-14. An attractive issue, if you don’t mind the usually low volume (averageTradingValue ~ $52,000) and the exclusion from HIMIPref™ recommendations due to the short term of the YTW Scenario |
| SLF.PR.D |
PerpetualDiscount |
47,192 |
Has been very active! Just for fun, I’ve prepared graphs of volume-average and flatBidPrice since issue, with its twin, SLF.PR.C, as comparator. Price went up a good chunk today, to close at $24.55-65, for a pre-tax bid-YTW of 4.53% based on a limit maturity. |
| GWO.PR.I |
PerpetualDiscount |
24,450 |
Now with a pre-tax bid-YTW of 4.55% based on a bidof 24.70 and a limit maturity. |
There were five other index-included issues with over 10,000 shares traded today.
This entry was posted on Monday, December 11th, 2006 at 10:36 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
You can leave a response, or trackback from your own site.