| 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% |
39,089 |
16.52 |
1 |
0.9024% |
1,001.2 |
| Fixed-Floater |
4.92% |
3.95% |
317,347 |
11.49 |
6 |
0.1072% |
1,007.7 |
| Floater |
4.63% |
-15.40% |
85,825 |
8.04 |
4 |
-0.2357% |
1,010.2 |
| Op. Retract |
4.68% |
2.40% |
74,431 |
2.40 |
18 |
0.0231% |
1,011.5 |
| Split-Share |
4.97% |
3.75% |
53,053 |
2.73 |
10 |
-0.1466% |
1,009.7 |
| Interest Bearing |
6.82% |
5.54% |
57,182 |
2.09 |
7 |
-0.0066% |
1,017.2 |
| Perpetual-Premium |
5.14% |
4.27% |
179,804 |
4.28 |
48 |
0.0583% |
1,022.1 |
| Perpetual-Discount |
4.62% |
4.64% |
313,266 |
16.16 |
6 |
-0.1147% |
1,028.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| AL.PR.E |
Floater |
-1.0822% |
Giving up most of yesterday’s gains on volume of 560 shares. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.A |
OpRet |
202,370 |
Nesbitt crossed 200,000 @ $27.23. This issue has a YTW of only 1.11% at the closing bid of 27.17, based on a call at the first opportunity, commencing 2007-10-31 at a price of 25.75. The annual dividend of $1.325 is very rich for a highly rated operating retractible – CGI.PR.C trades at a fat premium paying only $0.975 – but even if the issue survives until just before its retraction date it will only have yielded 3.52% |
| BAM.PR.B |
Floater |
126,910 |
Nesbitt executed an internal cross of 87,300 shares at 24.31 |
| TD.PR.O |
PerpetualPremium |
109,200 |
|
| PWF.PR.A |
Scraps |
42,300 |
Desjardins crossed 20,000 @ 25.35, then bought 21,300 from Nesbitt at the same price. This issue is in the “Scraps” index due to its normally low volume, so today is a red-letter day! |
| GWO.PR.I |
PerpetualDiscount |
37,150 |
|
There were sixteen other index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, September 12th, 2006 at 9:54 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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