| 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 |
4.16% |
4.07% |
49,056 |
10.63 |
2 |
-0.0596% |
1,019.9 |
| Fixed-Floater |
4.97% |
3.88% |
186,066 |
6.49 |
7 |
-0.0333% |
1,024.8 |
| Floater |
4.53% |
-15.89% |
78,474 |
6.51 |
5 |
0.0637% |
1,018.4 |
| Op. Retract |
4.68% |
2.20% |
88,687 |
2.40 |
17 |
0.0442% |
1,017.8 |
| Split-Share |
4.94% |
3.68% |
155,218 |
3.29 |
11 |
0.6266% |
1,022.2 |
| Interest Bearing |
6.90% |
5.13% |
56,361 |
2.01 |
7 |
-0.0251% |
1,021.0 |
| Perpetual-Premium |
5.09% |
3.54% |
220,336 |
4.35 |
47 |
0.0344% |
1,034.5 |
| Perpetual-Discount |
4.58% |
4.61% |
568,307 |
16.19 |
7 |
0.1045% |
1,034.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| PIC.PR.A |
SplitShare |
+1.1136% |
Closed at 16.07-35 on volume of 9,711 shares … a few shares traded at the offering price. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| LBS.PR.A |
SplitShare |
1,671,290 |
Opening Day! |
| PWF.PR.I |
PerpetualPremium |
303,300 |
Nesbitt crossed 200,000 @ 27.00, then 100,000 at the same price. The Pre-tax YTW is 3.19% at this price, based on a May, 2008 call. Since it pays $1.50, the chance of a call is relatively high … but maybe it will hang on until May, 2012, after delivering 4.36%. |
| ELF.PR.G |
PerpetualPremium |
135,325 |
Opening Day! |
|
| BAM.PR.G |
FixedFloater |
107,650 |
This thing continues to trade heavily – see yesterday’s comments. |
| NA.PR.K |
PerpetualPremium |
102,092 |
Desjardins crossed 98,100 @ 27.10. At the closing bid of $27.17, these things have a pre-tax YTW of only 2.59% based on a call in June 2008. Somebody obviously thinks they’ll hang on until June 2012, having yielded 4.06% … but since it pays $1.4625, it’s not a bet I’d make, seeing as I don’t have to! |
There were thirty-one other index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, October 17th, 2006 at 9:44 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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