| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 |
| Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.00% |
4.01% |
29,417 |
17.40 |
1 |
+0.1999% |
1,038.3 |
| Fixed-Floater |
4.77% |
3.50% |
76,322 |
8.39 |
7 |
-0.7113% |
1,042.4 |
| Floater |
4.47% |
-37.25% |
61,636 |
4.10 |
4 |
+1.7363% |
1,066.8 |
| Op. Retract |
4.69% |
2.29% |
79,444 |
2.23 |
17 |
-0.1133% |
1,029.9 |
| Split-Share |
5.05% |
-0.05% |
366,656 |
2.82 |
11 |
+0.0170% |
1,045.7 |
| Interest Bearing |
6.70% |
5.96% |
71,628 |
4.49 |
6 |
-0.0129% |
1,035.4 |
| Perpetual-Premium |
5.02% |
3.87% |
264,083 |
5.76 |
56 |
-0.1128% |
1,050.6 |
| Perpetual-Discount |
4.51% |
4.52% |
1,426,872 |
16.33 |
5 |
-0.0480% |
1,054.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.Z |
FixedFloater |
-1.7464% |
Closed at $25.88-00, 2×17. Looks like the BCE.PR.Y / BCE.PR.Z mis-match is beginning to unravel … especially as BCE.PR.Y closed at 25.06-40, 3×20. Or, should I say, my recommendation is paying off? The pre-tax bid-YTW on BCE.PR.Z is now 2.04%, based on a bid of $25.88 and a call 2007-12-31 at $25.00, so at least it’s moved to the right side of zero. |
| BC.PR.C |
FixedFloater |
-1.3657% |
Giving up most of yesterday’s gains. |
| ELF.PR.F |
PerpetualPremium |
-1.039% |
On volume of 1,200 shares, below average even for this issue. Now with a pre-tax bid-YTW of 4.19% based on a call at … um … $26.00 on 2009-11-16; $25.75 on 2010-11-16; and $25.50 on 2011-11-16 all work out to pretty much the same thing. |
| TOC.PR.B |
Floater |
+6.1366% |
I hope the market maker for this issue has the pleasure of answering some very detailed questions about this from the TSX. It’s absolutely ridiculous. This happened on frenzied trading of eight transactions (seven of them between 3pm and 3:45pm) involving a crushing 3,554 shares. The price popped from $27.25 to $28.80 when National Bank bought 185 shares (100 from “Anonymous”, the odd lot from RBC) at 3:26pm; then at 3:45 pm TD Securities bought 1,500 shares in two tranches from RBC at $28.09. The issue closed at $27.50-$28.50, 1×1. Super. A nice tight market in size. My grandmother can do better than that. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BC.PR.C |
FixedFloater |
604,572 |
Desjardins crossed 197,400 at $26.00; closed at 26.00-05, 6×49. |
| RY.PR.W |
PerpetualPremium |
213,800 |
Scotia crossed 200,000 at $26.15. Now with a pre-tax bid-YTW of 4.20% based on a bid of $26.02 and a call at $25.00 on 2014-3-26. I thought they were expensive on the 24th and I think they’re expensive now. |
| RY.PR.A |
PerpetualPremium |
210,998 |
Scotia crossed 207,600 at $24.90. Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.85 and a limitMaturity. |
| CM.PR.I |
PerpetualPremium |
57,834 |
Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.31 and a call 2016-3-1 at $25.00. |
| PWF.PR.K |
PerpetualPremium |
51,400 |
Scotia crossed 48,000 at $26.10. Now with a pre-tax bid-YTW of 4.30% based on a bid of $26.10 and a call 2014-11-30 at $25.00. |
There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Friday, January 26th, 2007 at 11:57 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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[…] The trading range today was 27.00-25 (which is reasonable) on volume of 2,884. Closed at 26.60-25, 2×17. Today continues the gyrations that began January 26. […]
[…] Just like yesterday, except this loss was on volume of 300 shares on two trades, both at $26.60. This volatility has been with us since the ridiculous volatility of January 26, but now that it’s closed at $26.02-60, 5×12, things may be back to normal. The closing quote on January 25 was 25.91-84. […]
[…] Still gyrating, as it has since January 26. This time on volume of 873 shares. I wonder what the TSX is saying to the market maker. […]