December 21, 2006

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.

One Response to “December 21, 2006”

  1. […] 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 […]

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