January 12, 2007

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.

Leave a Reply

You must be logged in to post a comment.