| 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 | 4.18% | 4.13% | 33,617 | 10.52 | 2 | +0.0401% | 1,016.8 |
| Fixed-Floater | 4.81% | 3.91% | 126,843 | 13.00 | 7 | +0.0121% | 1,029.6 |
| Floater | 4.50% | -20.29% | 65,960 | 6.52 | 5 | -0.1168% | 1,029.2 |
| Op. Retract | 4.67% | 1.19% | 79,687 | 2.27 | 18 | +0.0255% | 1,026.7 |
| Split-Share | 5.01% | 3.50% | 162,372 | 3.33 | 9 | +0.0022% | 1,027.5 |
| Interest Bearing | 6.94% | 5.70% | 63,121 | 2.37 | 7 | -0.2222% | 1,015.3 |
| Perpetual-Premium | 5.07% | 3.90% | 227,615 | 4.23 | 49 | 0.0047% | 1,043.1 |
| Perpetual-Discount | 4.58% | 4.61% | 567,932 | 14.81 | 7 | -0.0051% | 1,038.2 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BSD.PR.A | InterestBearing | -1.5228% | Traded as low as $9.30 in the morning but found a bid in the afternoon to close at 9.70-78, 10×8. This has been very volatile following the Income Trick or Trust (the underlying security is Income Trusts) – last mention here was November 10th. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| MFC.PR.B | PerpetualPremium | 40,875 | YTW at the closing bid of 25.44 is only 4.33%, based on a call at $25.00 2014-4-18. Doesn’t seem like much, especially since the MFC.PR.C (which are, if anything, more liquid) are quoted at $25.00-bid to yield 4.47% to a call 2015-4-18. I think both issues are expensive, but what do I know? Since the annual coupon is less than $0.04 different, people seem to be willing to pay a whole lot of money for not very much interest-rate-rise-protection! |
| SLF.PR.D | PerpetualDiscount | 39,286 | This is getting boring. High volumes in this issue are persisting FOREVER! |
| CM.PR.B | PerpetualPremium | 37,700 | Another repeater! At least this won’t be around much longer. |
| MFC.PR.C | PerpetualDiscount | 34,620 | See discussion of MFC.PR.B, above |
| CM.PR.H | PerpetualPremium | 34,325 | Could be people clearing some shelf-space for the new issue that’s supposed to settle tomorrow. And will, I’m sure! The CM.PR.H closed at $25.45-bid for a pre-tax YTW of 4.58%, based on a call 2014-4-29 at $25.00. The new issue comes with a 4.7% coupon, so should have a pretty good day. |
There were ten other index-included issues trading over 10,000 shares today.
[…] These things have been bouncing around a lot lately, due to a combination of fear of the income-trusts that ultimately back the paper, and the upcoming retraction event. […]