Still behind, but moving fast! Index values will be updated in the extremely near future!
Index values updated 2006-11-07
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| 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% | 4.07% | 37,124 | 10.57 | 2 | +0.1007% | 1,014.6 |
| Fixed-Floater | 4.82% | 3.89% | 135,608 | 10.71 | 7 | +0.1258% | 1,026.0 |
| Floater | 4.51% | -20.51% | 69,748 | 6.51 | 5 | +0.0961% | 1,028.2 |
| Op. Retract | 4.68% | 1.22% | 82,395 | 2.28 | 18 | 0.0848% | 1,024.1 |
| Split-Share | 5.02% | 3.64% | 179,979 | 3.35 | 9 | 0.1733% | 1,024.1 |
| Interest Bearing | 6.93% | 5.54% | 58,957 | 2.41 | 7 | -0.0916% | 1,016.3 |
| Perpetual-Premium | 5.08% | 3.94% | 247,776 | 3.94 | 49 | +0.0081% | 1,041.6 |
| Perpetual-Discount | 4.59% | 4.62% | 596,718 | 16.15 | 7 | -0.1036% | 1,035.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| STW.PR.A | InterestBearing | -1.5748% | Still bouncing around, as it has for the last two days. |
| ACO.PR.A | PerpetualPremium | +1.2545% | This went ex-dividend today, but nobody noticed! At the bid of $27.84, it has a YTW of 1.98% based on a call 2008-12-31 … yield will have been 3.24% if it survives until 2011-11-30. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.C | PerpetualPremium | 210,425 | Recent New Issue |
| HSB.PR.D | PerpetualPremium | 60,200 | Scotia crossed 60,000 @ 26.65. The Pre-Tax YTW is 4.14% based on a call 2015-1-30. |
| PWF.PR.L | PerpetualPremium | 59,635 | Scotia crossed 50,000 @ 26.59. The Pre-Tax YTW is 4.32% based on a call 2015-11-30 … which makes you wonder who bought the HSB.PR.D! |
| CM.PR.B | PerpetualPremium | 57,630 | Perhaps this is people cashing out of the called issue to buy the new one? |
| RY.PR.B | PerpetualPremium | 33,115 | YTW of 4.42% based on a call 2015-9-23. OK, so maybe buyers of HSB.PR.D are full up of PWF.PR.L and buy another name. But why are buyers going after the RY.PR.B when the RY.PR.C yields 13bp more? Can a slightly lower chance of a call (and calls are good, remember!) really be worth that much? |
There were eight other index-included issues trading over 10,000 shares today.
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