| 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 |
4.09% |
4.10% |
26,019 |
17.25 |
1 |
0.0000% |
1,028.4 |
| Fixed-Floater |
4.78% |
3.46% |
80,266 |
12.49 |
7 |
-0.1285% |
1,038.9 |
| Floater |
4.58% |
-22.12% |
64,197 |
8.22 |
4 |
-0.1081% |
1,040.1 |
| Op. Retract |
4.68% |
2.04% |
80,829 |
2.03 |
17 |
-0.0759% |
1,031.5 |
| Split-Share |
5.05% |
0.67% |
402,269 |
2.86 |
11 |
+0.2502% |
1,046.0 |
| Interest Bearing |
6.70% |
5.53% |
73,992 |
2.65 |
6 |
-0.1272% |
1,035.4 |
| Perpetual-Premium |
5.02% |
3.66% |
247,098 |
5.14 |
55 |
-0.0320% |
1,052.2 |
| Perpetual-Discount |
4.51% |
4.53% |
784,569 |
16.34 |
3 |
-0.0670% |
1,054.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| POW.PR.B |
PerpetualPremium |
+1.0113% |
Now with a pre-tax bid-YTW of 4.26% based on a bid of $25.97 and a call 2008-12-28 at $25.50 |
| LBS.PR.A |
SplitShare |
+1.7576% |
Now with a pre-tax bid-YTW of 3.61% based on a bid of $11.00 and a hardMaturity 2013-11-29 at $10.00 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| PWF.PR.J |
OpRet |
102,764 |
Now with a pre-tax bid-YTW of 1.98% based on a bid of $26.84 and a call 2008-5-30 at $26.00. The market appears convinced that it will make it to the softMaturity 2013-7-30 at $25.00 to yield 3.42% and who knows? Maybe it’s right. The issue pays $1.175 and the call premium declines by $0.25 annually. |
| BNA.PR.C |
SplitShare |
97,100 |
Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.68 and a hardMaturity 2019-01-10 at $25.00. I confess to some surprise that this isn’t priced much higher. |
| ACO.PR.A |
OpRet |
50,009 |
Now with a pre-tax bid-YTW of 2.04% based on a bid of $27.91 and a call 2008-12-31 at $26.00. It may make it to its softMaturity 2011-11-30 at $25.00, to yield 3.32% … it pays $1.4375, but the call premium declines by $0.50 p.a. |
| SLF.PR.D |
PerpetualDiscount |
29,771 |
Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.67 and a limitMaturity. |
| CM.PR.H |
PerpetualPremium |
27,560 |
Now with a pre-tax bid-YTW of 4.36% based on a bid of $25.66 and a call 2014-4-29 at $25.00. |
There were six other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Saturday, January 13th, 2007 at 4:30 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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