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% |
4.16% |
36,631 |
17.12 |
1 |
+0.3626% |
1,028.6 |
Fixed-Floater |
4.78% |
3.70% |
98,254 |
8.37 |
7 |
+0.1069% |
1,036.0 |
Floater |
4.49% |
-19.12% |
62,973 |
0.34 |
5 |
-0.2412% |
1,039.4 |
Op. Retract |
4.64% |
0.83% |
85,845 |
1.99 |
17 |
+0.0792% |
1,032.6 |
Split-Share |
5.05% |
1.59% |
247,470 |
2.52 |
9 |
+0.2801% |
1,045.2 |
Interest Bearing |
6.95% |
6.06% |
83,034 |
2.34 |
7 |
+0.1688% |
1,027.9 |
Perpetual-Premium |
5.00% |
3.57% |
284,961 |
4.21 |
52 |
+0.0139% |
1,055.0 |
Perpetual-Discount |
4.53% |
4.50% |
879,559 |
11.75 |
6 |
-0.0598% |
1,060.6 |
Major Price Changes |
Issue |
Index |
Change |
Notes |
TOC.PR.B |
Floater |
-1.6026% |
Nesbitt was on the sell side for every trade, starting in the morning at 25.77 and ending with a cross of 12,400 at 25.50. |
FFN.PR.A |
SplitShare |
-1.1278% |
Now with a pre-tax bid-YTW of 3.48% based on a price of $10.52 and a hardMaturity 2009-12-01 at 10.00 |
BSD.PR.A |
InterestBearing |
+1.0989% |
Now with a pre-tax bid-YTW of 5.88% (as interest!) based on a bid of $10.12 and a hardMaturity 2015-3-31 at 10.00 |
LBS.PR.A |
SplitShare |
+2.0333% |
Now with a pre-tax bid-YTW of 3.68%, based on a bid of $11.04 and a hardMaturity 2013-11-29 at 10.00 |
Volume Highlights |
Issue |
Index |
Volume |
Notes |
CL.PR.B |
PerpetualPremium |
300,000 |
Not usually much of a trader, but RBC crossed 150,000 at 26.15 for cash and Nesbitt crossed the same amount at 25.97 for delayed delivery … very similar to the trading on December 18! Hmmmm….. I pontificated November 29 that this was a prime candidate for redemption, but there’s been no news yet. The pre-tax bid-YTW is now 1.65% based on a bid of $26.09 and a call 2007-1-30 at 26.00. The next ex-date is 2007-3-1, so if the funny settlements are a dividend capture/avoidance game, it’s a deep one! |
GWO.PR.X |
OpRet |
188,968 |
Yesterday’s heavy trading continues. Now with a pre-tax bid-YTW of 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00 … but given that it’s a retractible paying 1.20, with the call premium declining at 0.33 p.a., it might make it to the softMaturity 2013-9-29, yielding 3.15%. |
CM.PR.D |
PerpetualPremium |
312,702 |
Another very-high-priced perpetual, at 27.51b. Nesbitt crossed 100,000 at 27.68. Now with a pre-tax bid-YTW of 1.91% based on a bid of 27.54 and a call 2008-5-31 at $26.00. It might last until 2012-5-30, to have yielded 3.86%. With an annual dividend of 1.4375, it might not! |
PWF.PR.J |
OpRet |
81,463 |
TDSecurities processed an internal cross of 75,000 shares at 27.03. Now with a pre-tax bid-YTW of 2.30% based on a bid of 26.98 and a call 2008-5-30 at 26.00. It might make it to the soft maturity 2013-7-30, yielding 3.48%. Might. |
GWO.PR.I |
PerpetualDiscount |
56,685 |
National processed an internal cross of 20,000 at 24.92. Now with a pre-tax bid-YTW of 4.52% based on a bid of 24.92 and a limitMaturity. |
CM.PR.I |
PerpetualPremium |
46,391 |
Now with a pre-tax bid-YTW of 4.57% based on a bid of 25.42 and a call 2016-3-1 at 25.00. |
There were twenty-three other index-included issues with over 10,000 shares traded today.
This entry was posted on Thursday, December 21st, 2006 at 11:32 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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[…] Giving up yesterday’s gains and more! Closed at 9.87-17, with a single trade of 2,900 shares at $10.10 – Christmas break! Now with a pre-tax bid-YTW of 6.27% (mostly interest!) based on the 9.87 bid and a hardMaturity 2015-3-31 at 10.00 […]