| 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 |
4.37% |
4.40% |
48,744 |
16.64 |
1 |
0.1608% |
1,013.8 |
| Fixed-Floater |
4.89% |
3.98% |
272,642 |
8.99 |
6 |
0.0594% |
1,014.3 |
| Floater |
4.63% |
-18.46% |
97,450 |
8.12 |
4 |
0.0199% |
1,017.2 |
| Op. Retract |
4.69% |
2.44% |
84,419 |
2.44 |
18 |
-0.0139% |
1,015.1 |
| Split-Share |
4.97% |
3.07% |
60,026 |
2.67 |
10 |
0.2222% |
1,014.0 |
| Interest Bearing |
6.85% |
4.50% |
55,555 |
2.07 |
7 |
0.2376% |
1,023.4 |
| Perpetual-Premium |
5.14% |
4.01% |
176,929 |
4.14 |
48 |
-0.0327% |
1,027.1 |
| Perpetual-Discount |
4.58% |
4.60% |
331,043 |
16.23 |
6 |
-0.0531% |
1,038.5 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| There were no index-included issues with major price moves today |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.B |
PerpetualPremium |
257,200 |
Desjardins crossed 250,000 @ $26.10. With an annual dividend of $1.50, this is a good candidate to be called early next year … if it is, it will still achieve a pre-tax YTW of 3.71% (worth about 5.19% interest equivalent! Not bad for five-month bank paper!) |
| BC.PR.E |
Scraps |
200,000 |
Every single share was crossed by Scotia, in three tranches, at various times throughout the day, at $25.17. For an issue recently removed from the ratchet index due to volume concerns, this has sure been trading a lot lately! |
| CM.PR.A |
OpRet |
182,600 |
Global crossed 89,200 on a cash basis at $27.21, then ‘another’ 89,200 regular settlement at $26.87. Difference of $0.34, dividend is $0.33125, issue went ex-dividend today. Somebody’s got a capture strategy going! |
| FTN.PR.A |
SplitShares |
115,540 |
Pre-tax YTW of 3.24% based on the closing bid of $10.45 and a maturity at $10.00 2008-12-01 |
| IGM.PR.A |
OpRet |
65,902 |
Scotia crossed 48,900 @ 27.80 |
There were nineteen other index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, September 26th, 2006 at 10:53 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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