| 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 |
4.24% |
4.18% |
44,771 |
10.59 |
2 |
0.4022% |
1,018.5 |
| Fixed-Floater |
5.00% |
4.02% |
204,814 |
12.39 |
7 |
0.0230% |
1,017.2 |
| Floater |
4.53% |
-17.05% |
78,069 |
6.52 |
5 |
-0.3142% |
1,016.9 |
| Op. Retract |
4.68% |
1.85% |
90,004 |
2.43 |
17 |
-0.0387% |
1,017.1 |
| Split-Share |
4.92% |
3.24% |
61,733 |
3.05 |
10 |
-0.0290% |
1,017.9 |
| Interest Bearing |
6.88% |
4.84% |
54,519 |
1.81 |
7 |
0.1497% |
1,023.5 |
| Perpetual-Premium |
5.13% |
3.79% |
175,054 |
4.20 |
47 |
-0.0108% |
1,030.3 |
| Perpetual-Discount |
4.59% |
4.62% |
326,785 |
16.19 |
6 |
-0.1143% |
1,036.6 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| AL.PR.E |
Floater |
-1.3534% |
On volume of 3,685 shares, closing at 26.24-42, 3×5. I don’t understand why Alcan isn’t redeeming these shares … there are only 5.7-million out there, providing financing at 6% AFTER TAX. Alcan is, after all buying back its common. From the look of their website, though, it looks like they can barely remember the preferreds exist! |
| PWF.PR.L |
PerpetualPremium |
+1.1846% |
On volume of 4,000 shares, closing at 25.95-09, 90×32 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| TD.PR.M |
OpRet |
397,125 |
Something of a joke … Global crossed 198,200 on a cash basis at 27.79, then crossed the same number for regular settlement at 27.49. They went ex-dividend yesterday, paying $0.29375. This issue is notable for being expensive even for an Operating Retractible: the pre-tax YTW is 2.16%, based on a bid of 27.50 and a call in 2009. |
| SLF.PR.B |
PerpetualPremium |
123,745 |
Nesbitt processed an internal cross of 90,000 shares @ 25.60 just before the close. |
| POW.PR.C |
PerpetualPremium |
101,000 |
RBC crossed 100,000 @ 26.60 |
| CM.PR.A |
OpRet |
85,060 |
Nesbitt processed an internal cross of 35,000 @ 26.65, Scotia crossed 45,500 @ 26.75. |
| MFC.PR.C |
PerpetualDiscount |
84,755 |
Nesbitt processed an internal cross of 80,000 @ 24.70. |
There were seven other index-included issues trading over 10,000 shares today.
Update, 2006-10-13 : There is an error on the issue performance reporting – the PWF.PR.L value was calculated on the basis that the ex-date for the first dividend was 10/6 – in fact, it was 10/5, as noted here.
This entry was posted on Friday, October 6th, 2006 at 10:09 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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