| 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 |
4.19% |
4.22% |
33,096 |
17.02 |
1 |
+0.0405% |
1,021.1 |
| Fixed-Floater |
4.79% |
3.79% |
98,800 |
8.38 |
7 |
+0.0617% |
1,033.7 |
| Floater |
4.46% |
-25.23% |
62,871 |
0.34 |
5 |
+0.0550% |
1,045.5 |
| Op. Retract |
4.64% |
0.87% |
81,879 |
2.19 |
17 |
+0.0137% |
1,032.3 |
| Split-Share |
5.05% |
2.11% |
247,111 |
2.52 |
9 |
-0.1056% |
1,043.8 |
| Interest Bearing |
6.95% |
5.11% |
79,449 |
1.86 |
7 |
+0.0229% |
1,027.8 |
| Perpetual-Premium |
5.00% |
3.56% |
293,584 |
4.24 |
52 |
+0.1269% |
1,053.6 |
| Perpetual-Discount |
4.53% |
4.50% |
922,402 |
13.33 |
6 |
+0.3778% |
1,060.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| ELF.PR.G |
PerpetualPremium |
+1.0993% |
Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.75 and a call 2015-11-16 at $25.00 |
| IAG.PR.A |
PerpetualDiscount |
+1.3944% |
This one looks like it will be moving to “PerpetualPremium” pretty promptly! Now with a pre-tax bid-YTW of 4.34%, based on a bid of $25.45 and a call 2015-4-30 at $25.00 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| FBS.PR.B |
SplitShare |
499,712 |
Recent New issue. Now with a bid-YTW of 1.41% based on a bid of $10.36 and a call 2008-1-14 at $10.00 |
| CM.PR.I |
PerpetualPremium |
358,090 |
New issue closed Nov. 15, continues to trade heavily. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.51 and a call 2016-3-1 at $25.00 |
| CL.PR.B |
PerpetualPremium |
302,635 |
RBC crossed 150,000 at $26.15, then Nesbitt crossed the same number at the same price 13 minutes later. I last mentioned this November 29 and, well, at least the pre-tax bid-YTW’s not negative any more! It’s 1.20% based on a bid of $26.10 and a call 2007-1-30 at $26.00. |
| CM.PR.B |
PerpetualPremium |
211,820 |
Basically a money market instrument, since it is being called Jan. 31. |
| RY.PR.C |
PerpetualPremium |
147,825 |
National crossed 125,000, then 10,000, then 5,000, all at $25.55. Now with a pre-tax bid-YTW of 4.42% based on a bid of $25.53 and a call 2015-12-24 at $25.00 |
| BAM.PR.M |
PerpetualDiscount |
108,300 |
RBC crossed 100,000 at $25.10. Now with a pre-tax bid-YTW of 4.70% based on a bid of $25.10 and a call 2016-3-1 at $25.00 |
There were fourteen other index-included issues with over 10,000 shares traded today.
This entry was posted on Monday, December 18th, 2006 at 11:00 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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[…] Not usually much of a trader, but RBC crossed 150,000 at 26.15 for cash and Nesbitt crossed the same amount at 25.97 for delayed delivery … very similar to the trading on December 18! Hmmmm….. I pontificated November 29 that this was a prime candidate for redemption, but there’s been no news yet. The pre-tax bid-YTW is now 1.65% based on a bid of $26.09 and a call 2007-1-30 at 26.00. The next ex-date is 2007-3-1, so if the funny settlements are a dividend capture/avoidance game, it’s a deep one! […]