| 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 |
4.14% |
4.04% |
46,177 |
17.11 |
2 |
-0.1585% |
1,050.0 |
| Fixed-Floater |
4.92% |
3.92% |
83,859 |
17.17 |
6 |
+0.1393% |
1,038.3 |
| Floater |
4.57% |
-20.01% |
60,320 |
0.13 |
4 |
+0.1974% |
1,057.2 |
| Op. Retract |
4.72% |
3.12% |
85,510 |
2.15 |
17 |
-0.0459% |
1,034.0 |
| Split-Share |
5.00% |
3.74% |
174,820 |
3.29 |
12 |
-0.1428% |
1,050.0 |
| Interest Bearing |
6.54% |
3.03% |
64,071 |
2.30 |
5 |
+0.0125% |
1,042.5 |
| Perpetual-Premium |
5.03% |
3.84% |
197,908 |
5.12 |
53 |
-0.0705% |
1,058.8 |
| Perpetual-Discount |
4.53% |
4.54% |
827,894 |
16.34 |
10 |
-0.0158% |
1,066.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| CU.PR.B |
PerpetualPremium |
-1.0989% |
I suppose the new issue announcement has alerted some to the idea that the various high-coupon, high-premium CU issues may be less perpetual than has been assumed! Now with a pre-tax bid-YTW of 3.03% based on a bid of $27.00 and a call 2008-7-1 at $26.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| NA.PR.K |
PerpetualPremium |
129,000 |
Now with a pre-tax bid-YTW of 3.22% based on a bid of 26.93 and a call 2008-6-14 at $26.00 |
| GWO.PR.I |
PerpetualDiscount |
83,250 |
Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.00 and a limitMaturity. |
| WN.PR.B |
OpRet |
26,144 |
Now with a pre-tax bid-YTW of 3.13% based on a bid of $26.10 and a softMaturity 2009-6-30 at $25.00 |
| SLF.PR.C |
PerpetualDiscount |
22,338 |
Now with a pre-tax bid-YTW of 4.50% based on a bid of 24.78 and a limitMaturity. |
| RY.PR.F |
PerpetualDiscount |
18,860 |
Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.70 and a limitMaturity. |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Wednesday, April 4th, 2007 at 12:13 am 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.