| 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 | 4.22% | 4.18% | 32,386 | 10.46 | 2 | +0.0400% | 1,019.1 |
| Fixed-Floater | 4.81% | 3.91% | 112,265 | 8.93 | 7 | -0.0056% | 1,028.1 |
| Floater | 4.49% | -20.62% | 65,074 | 6.55 | 5 | +0.0337% | 1,031.6 |
| Op. Retract | 4.66% | 1.13% | 80,999 | 2.25 | 18 | -0.0633% | 1,027.1 |
| Split-Share | 4.98% | 3.24% | 150,699 | 3.32 | 9 | +0.2367% | 1,033.4 |
| Interest Bearing | 6.93% | 5.99% | 67,042 | 3.88 | 7 | +0.0764% | 1,016.8 |
| Perpetual-Premium | 5.07% | 3.94% | 216,443 | 4.22 | 49 | +0.0532% | 1,043.3 |
| Perpetual-Discount | 4.63% | 4.65% | 1,044,020 | 16.13 | 9 | +0.0950% | 1,036.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| FFN.PR.A | SplitShare | +1.6949% | Assisting in some good performance for the SplitShare index for the month to date! Closed at $10.80-89, 16×15, for a bid-side pre-tax YTW of a completely rotten 2.58% based on a maturity 2009-12-1 at $10.00. I don’t get it, frankly. 2.58% as dividends pre-tax is the equivalent of 3.61% interest pre-tax, at the Ontario-Plutocrat-Equivalency-Factor (OPEF) of 1.4 (you thought I was going to link to the glossary, didn’t you? Ha! OPEF is not a real acronym). Anyway, 3.61% interest-equivalent to 2009? You can do better with Canadas! There’s no monkey-business going on with retractions, either, I wouldn’t think – the only possible retraction is at a 4% discount to NAV (if you retract capital units and the company has to buy prefs in the marketplace – they can’t redeem. I wouldn’t think this is a factor, but who knows? |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.D | PerpetualDiscount | 216,237 | Still trading heavily, despite all my expectations! Closed at 24.10-20, for a bid-YTW of 4.60%. |
| SLF.PR.C | PerpetualDiscount | 120,210 | Another day of big trading, but this time it closed at $24.09-20, for a bid-YTW of 4.60%. At last its price is congruent with the virtually identical SLF.PR.D! Remember, you read it here first. |
| BAM.PR.M | PerpetualDiscount | 87,850 | Recent new issue, closed at 24.54-60 for a pre-tax bid-YTW of 4.86%. Not much price movement after the first whack! An attractive issue at these levels. |
| CM.PR.I | PerpetualDiscount | 73,426 | Yet another recent new issue, closing at $24.90-92 for a pre-tax bid-YTW of 4.74%. |
| ACO.PR.A | OpRet | 67,841 | This issue again reminds us that there is more to life than recent-new-issue-perpetual-discounts (RNIPD). This time it was Scotia stepping up to the plate to cross 50,000 @ $28.15 (perhaps the commission will pay to settle with Berry!). At the closing bid of $28.20, it has a pre-tax YTW of merely 1.65%, based on a call 2008-12-31 at $26.00. Somebody’s obviously hoping they make it to the softMaturity 2011-11-30, when they will have yielded a more reasonable 3.10%, but you won’t often catch me making that bet! |
There were seventeen other index-included issues trading over 10,000 shares today.
Update More on David Berry.