| 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 |
4.14% |
4.08% |
35,174 |
10.59 |
2 |
0.2612% |
1,018.9 |
| Fixed-Floater |
4.82% |
3.98% |
131,337 |
15.27 |
7 |
+0.6388% |
1,027.6 |
| Floater |
4.51% |
-19.47% |
67,819 |
6.52 |
5 |
-0.0711% |
1,027.3 |
| Op. Retract |
4.66% |
0.73% |
80,953 |
2.28 |
18 |
-0.0132% |
1,026.5 |
| Split-Share |
5.01% |
3.51% |
172,327 |
3.51 |
9 |
0.1017% |
1,027.7 |
| Interest Bearing |
6.90% |
4.93% |
61,925 |
1.93 |
7 |
+0.2434% |
1,021.7 |
| Perpetual-Premium |
5.07% |
3.91% |
240,929 |
3.91 |
49 |
+0.0461% |
1,043.4 |
| Perpetual-Discount |
4.58% |
4.62% |
581,675 |
16.15 |
7 |
+0.1101% |
1,036.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BSD.PR.A |
InterestBearing |
+1.0194% |
Continues to recover from the November 7 plunge, closing at $9.91-99, 3×3 |
| BCE.PR.Z |
FixedFloater |
+2.9857% |
Recovers most of the ground lost yesterday, closing at $25.18-25, 5×10 on volume of 2,690 shares. The low for the day was $25.10. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| PWF.PR.F |
PerpetualPremium |
207,380 |
Nesbitt crossed 200,000 at 25.90 just before 10am, leading one to suspect that these were the same 200,000 shares as they crossed yesterday. |
| MFC.PR.C |
PerpetualDiscount |
75,800 |
Don’t let its index assignment fool you! These closed today at 25.05-09, 19×10, but aren’t as close to inclusion in PerpetualPremium as you might think. YTW is 4.54% based on a limitMaturity, 2036-11-09. “Huh?” you inquire? These things are full of dividend, having a record date of November 15, and therefore go ex-dividend tomorrow (Rememberance Day). |
| BAM.PR.K |
Floater |
50,000 |
On one trade, a cross by Scotia at $24.55. |
| SLF.PR.D |
PerpetualDiscount |
46,515 |
Up a bit today. Volume continues to be heavy after the clearance sale. |
| HSB.PR.D |
PerpetualPremium |
45,800 |
National crossed 37,100 at 26.65; they closed at $26.64-78, 3×9. YTW is 4.16% based on a call 2015-1-30, which seems pretty skimpy. |
There were nine other index-included issues trading over 10,000 shares today.
This entry was posted on Thursday, November 9th, 2006 at 10:27 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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