| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version |
| Index |
Current Yield (at bid) |
YTW |
Average Trading Value |
Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.45% |
4.47% |
39,009 |
16.54 |
1 |
+0.6160% |
997.1 |
| Fixed-Floater |
4.95% |
4.18% |
334,528 |
11.47 |
6 |
0.1863% |
1,001.8 |
| Floater |
4.64% |
-14.27% |
82,732 |
8.03 |
4 |
-0.2086% |
1,007.8 |
| Op. Retract |
4.69% |
2.19% |
72,272 |
2.19 |
18 |
0.0086% |
1,010.5 |
| Split-Share |
4.98% |
3.51% |
53,135 |
2.71 |
10 |
0.2507% |
1,008.7 |
| Interest Bearing |
6.80% |
4.95% |
57,200 |
1.86 |
7 |
0.0308% |
1,019.9 |
| Perpetual-Premium |
5.15% |
4.22% |
182,443 |
4.68 |
48 |
0.1050% |
1,020.3 |
| Perpetual-Discount |
4.61% |
4.63% |
298,584 |
16.19 |
6 |
0.1157% |
1,030.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| FTN.PR.A |
SplitShare |
+1.3579% |
Volume of 1000 shares in a single trade at $10.50. Currently quoted at 10.45-53, 15×10 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| TD.PR.O |
PerpetualPremium |
488,340 |
A big day as the market closed! RBC crossed 200,000 @ 25.80 at 3:30, Scotia bought 30,000 from RBC @ 25.80 at 3:36, Scotia bought another 50,000 @ 25.80 from RBC at 3:44, Nesbitt crossed 151,000 @ 25.80 at 3:55 and finally Nesbitt crossed another 49,000 @ 25.80 at 3:55. The issue has a YTW of 4.48% at the closing bid of 25.79. |
| GWO.PR.I |
PerpetualDiscount |
128,990 |
Nesbitt crossed 100,000 @ 24.30. These are the lowest priced index-included perpetuals. |
| PWF.PR.A |
Scraps |
122,800 |
This is a floater paying 70% of Canadian Prime, currently callable at $25.00. It’s not included in the indices due to volume considerations – today was a major exception! Desjardins bought 110,100 from Nesbit at 25.35 in four tranches, then crossed 10,000 at the same price. |
| GWO.PR.H |
PerpetualPremium |
113,420 |
Nesbitt crossed 100,000 @ 25.25, which turned out to be the closing bid. |
| NA.PR.K |
PerpetualPremium |
101,650 |
Nesbitt crossed 100,000 @ 26.85, which turned out to be the closing bid. This is kind of an interesting issue … coupon is $1.4625 and redemption options start 2008-5-15 @ $26.00, declining by $0.25 annually. The YTW scenario is for redemption as soon as allowed, with a yield of 3.93% … but given the declining redemption premium, the market appears to be betting that this will be put off until NA can redeem at $25.00, which results in a yield of 4.49%. It won’t really take an enormous move in rates to clarify the matter … place yer bets, gents, place yer bets! |
There were eleven other index-included issues trading over 10,000 shares today.
This entry was posted on Thursday, September 7th, 2006 at 10:17 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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