There’s no commentary today, I’m afraid! What with PrefLetter production, seeing whether the IIF had anything interesting to say, admitting that I cannot time the markets and so on, I’m just running out of time!
| 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 | 4.71% | 4.66% | 681,528 | 15.94 | 1 | 0.0000% | 1,043.7 |
| Fixed-Floater | 4.89% | 4.76% | 104,131 | 15.85 | 7 | -0.3002% | 1,038.5 |
| Floater | 4.51% | 4.20% | 75,432 | 10.73 | 3 | -0.0134% | 1,041.0 |
| Op. Retract | 4.86% | 3.99% | 76,085 | 3.20 | 15 | +0.0058% | 1,028.9 |
| Split-Share | 5.15% | 4.84% | 84,493 | 4.27 | 15 | -0.0135% | 1,045.0 |
| Interest Bearing | 6.29% | 6.37% | 56,439 | 3.63 | 4 | -0.0248% | 1,051.6 |
| Perpetual-Premium | 5.66% | 5.45% | 95,481 | 8.25 | 17 | -0.0404% | 1,014.5 |
| Perpetual-Discount | 5.40% | 5.44% | 321,718 | 14.77 | 47 | -0.0440% | 931.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BNS.PR.K | PerpetualDiscount | -1.6601% | Now with a pre-tax bid-YTW of 5.34% based on a bid of 22.51 and a limitMaturity. |
| PWF.PR.K | PerpetualDiscount | -1.6264% | Now with a pre-tax bid-YTW of 5.54% based on a bid of 22.38 and a limitMaturity. |
| FFN.PR.A | SplitShare | -1.1538% | Asset coverage of 2.5+:1 as of September 28 according to the company. Now with a pre-tax bid-YTW of 4.84% based on a bid of 10.48 and a hardMaturity 2014-12-01 at 10.28. |
| POW.PR.D | PerpetualDiscount | -1.1384% | Now with a pre-tax bid-YTW of 5.56% based on a bid of 22.58 and a limitMaturity. |
| BCE.PR.I | FixFloat | -1.0077% | |
| PWF.PR.H | PerpetualPremium | +1.1327% | Now with a pre-tax bid-YTW of 5.71% based on a bid of 25.00 and a call 2012-1-19 at 25.00. |
| RY.PR.E | PerpetualDiscount | +1.6471% | Now with a pre-tax bid-YTW of 5.27% based on a bid of 21.60 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BNS.PR.N | PerpetualDiscount | 584,870 | New issue settled today; it did better than I thought it would, closing at 24.81-82, 20×124. This may be due to the fact that it was the first of the recent bank 5.25% perps to be announced; together with the fact that BNS issues are relatively scarce, a fair amount of the new issue may have found its way into ‘real money’ accounts. Now with a pre-tax bid-YTW of 5.31% based on a bid of 24.81 and a limitMaturity. |
| BCE.PR.I | FixFloat | 71,169 | Scotia crossed 70,000 at 24.75. |
| PWF.PR.I | PerpetualPremium | 66,316 | Now with a pre-tax bid-YTW of 5.51% based on a bid of 25.46 and a call 2012-5-30 at 25.00. |
| PWF.PR.L | PerpetualDiscount | 38,650 | DS crossed 35,000 at 23.62. Now with a pre-tax bid-YTW of 5.40% based on a bid of 23.62 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | 33,900 | Nesbitt bought 11,500 from DS at 21.35. Now with a pre-tax bid-YTW of 5.29% based on a bid of 21.35 and a limitMaturity. |
There were nine other index-included $25.00-equivalent issues trading over 10,000 shares today.