| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 |
| Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.07% |
4.08% |
29,768 |
17.29 |
1 |
+0.0400% |
1,036.2 |
| Fixed-Floater |
4.79% |
3.60% |
84,265 |
8.36 |
7 |
-0.0211% |
1,037.0 |
| Floater |
4.58% |
-22.40% |
65,782 |
8.23 |
4 |
0.1188% |
1,040.6 |
| Op. Retract |
4.67% |
1.65% |
81,811 |
2.05 |
17 |
-0.0232% |
1,033.1 |
| Split-Share |
5.11% |
1.24% |
192,206 |
2.27 |
10 |
+0.0240% |
1,045.0 |
| Interest Bearing |
6.70% |
5.46% |
74,078 |
2.39 |
6 |
+0.1327% |
1,036.4 |
| Perpetual-Premium |
4.99% |
3.21% |
261,337 |
4.67 |
55 |
+0.0012% |
1,055.2 |
| Perpetual-Discount |
4.48% |
4.50% |
790,937 |
16.41 |
3 |
+0.0001% |
1,060.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| GWO.PR.F |
PerpetualPremium |
-1.3904% |
Now with a pre-tax bid-YTW of 2.14% based on a bid of $27.66 and a call 2008-10-30 at $26.00. Given that it pays $1.475, I wouldn’t bet against the early call, but some would, hoping, I suppose, for a call 2012-10-30 at $25.00 to yield 3.89%. |
| CL.PR.B |
PerpetualPremium |
+1.3809% |
Another high-paying issue (pays $1.5625 annually) with a pre-tax bid-YTW of -12.20 based on a call 2007-02-04 at $26.00. Given that we’re now a week into the first call period and there’s been no news, I suppose there are some that are hoping that the issue won’t be called … but I’m not one of them! |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| GWO.PR.I |
PerpetualDiscount |
36,820 |
Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity |
| CM.PR.B |
PerpetualPremium |
27,290 |
This has been called for redemption. |
| BAM.PR.M |
PerpetualPremium |
26,925 |
Now with a pre-tax bid-YTW of 4.66% based on a bid of $25.24 and a call 2016-3-1 at $25.00. |
| PWF.PR.J |
OpRet |
25,003 |
Now with a pre-tax bid-YTW of 2.23% based on a bid of $27.03 and a call 2008-5-30 at $26.00. It would appear that many investors are hoping for the softMaturity 2013-7-30 at $25.00, yielding 3.47%. Given that it pays $1.175 p.a. and the call premium declines by $0.25 annually, they might be right – but I won’t bet on it! |
| SLF.PR.D |
PerpetualDiscount |
20,337 |
Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.85 and a limitMaturity. |
There were ten other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Sunday, January 7th, 2007 at 2:41 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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