| 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 |
4.21% |
4.18% |
31,888 |
10.47 |
2 |
+0.0804% |
1,018.7 |
| Fixed-Floater |
4.81% |
3.90% |
114,214 |
8.93 |
7 |
+0.0625% |
1,028.2 |
| Floater |
4.49% |
-20.18% |
65,007 |
6.56 |
5 |
-0.3206% |
1,031.3 |
| Op. Retract |
4.66% |
0.98% |
79,202 |
2.25 |
18 |
-0.0224% |
1,027.8 |
| Split-Share |
4.99% |
3.29% |
151,621 |
3.32 |
9 |
+0.3434% |
1,031.0 |
| Interest Bearing |
6.94% |
6.12% |
66,549 |
2.36 |
7 |
+0.0317% |
1,016.1 |
| Perpetual-Premium |
5.08% |
3.99% |
218,219 |
4.20 |
49 |
-0.0572% |
1,042.7 |
| Perpetual-Discount |
4.64% |
4.66% |
1,036,849 |
16.12 |
9 |
-0.0757% |
1,035.3 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| CGI.PR.C |
SplitShare |
+1.0959% |
Good return for this index today, led by this issue on volume of … 950 shares! Closed at 25.83-97, 3×5, pre-tax bid-YTW of 3.59% based on a softMaturity 2016-6-14. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| GWO.PR.I |
PerpetualDiscount |
189,913 |
Closed at 24.70-75 for a pre-tax YTW of 4.61%, 10bp more than the RY.PR.A. |
| MFC.PR.C |
PerpetualDiscount |
168,700 |
Closed at 24.80-94 for a pre-tax YTW of 4.53% |
| RY.PR.B |
PerpetualPremium |
144,050 |
Closed at 25.60-78 for a pre-tax bid-YTW of 4.39%, based on a call at par on 2015-9-23 |
| PWF.PR.L |
PerpetualPremium |
128,360 |
Closed at 26.36-54 for a pre-tax bid-YTW of 4.43%, based on a call at par on 2015-11-30. |
| CM.PR.I |
PerpetualDiscount |
119,375 |
A recent new issue, closed at 24.89-94 for a pre-tax bid-YTW of 4.74% |
| BAM.PR.M |
PerpetualDiscount |
114,750 |
An even more recent new issue, closed at 24.53-60 for a pre-tax bid-YTW of 4.86%. Remember that DBRS has this as Pfd-2(low), so it’s not as good quality as the issues listed above! |
| ACO.PR.A |
OpRet |
104,011 |
Finally! A non-perpetual issue that is seasoned: issued 2001-7-10. Pre-Tax YTW is 1.68%, based on a call 2008-12-31 at $26.00. Desjardins crossed 100,000 at 28.06. |
There were ten other index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, November 21st, 2006 at 10:51 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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[…] 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! […]