| 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 |
4.30% |
4.23% |
41,261 |
10.48 |
2 |
-0.0798% |
1,014.6 |
| Fixed-Floater |
5.00% |
4.01% |
221,623 |
12.37 |
7 |
0.0228% |
1,016.4 |
| Floater |
4.51% |
-22.83% |
79,954 |
6.49 |
5 |
0.3622% |
1,022.9 |
| Op. Retract |
4.67% |
2.47% |
89,098 |
2.47 |
17 |
-0.0837% |
1,016.8 |
| Split-Share |
4.93% |
2.89% |
60,359 |
3.03 |
10 |
0.3260% |
1,017.2 |
| Interest Bearing |
6.90% |
4.81% |
53,847 |
1.81 |
7 |
-0.1221% |
1,021.3 |
| Perpetual-Premium |
5.12% |
3.76% |
175,175 |
4.21 |
47 |
0.0972% |
1,030.2 |
| Perpetual-Discount |
4.59% |
4.61% |
326,319 |
16.21 |
6 |
-0.0266% |
1,037.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| ACO.PR.A |
OpRet |
-1.5575% |
Did this on volume of 1,922 shares and closed at $27.81-40. The day’s low was $28.00, which means that a good chunk of this poor performance was due to the bid only, not to actual trades. |
| PWF.PR.A |
Floater |
+1.7751% |
No trading, but there’s a bid for 1500 shares at $25.80! At this price, the issue has a Current Yield of only 4.07%, the lowest of the five issues in the “Floater” index … and YTW is large and negative. |
| WFS.PR.A |
SplitShare |
+1.3258% |
|
| GWO.PR.G |
PerpetualPremium |
+1.0274% |
I think it’s a little pricey at the bid-side of $26.55, but what do I know? The YTW is 4.24% based on a call in 2014 |
| POW.PR.C |
PerpetualPremium |
+1.0208% |
Only 100 shares are bid at the closing $26.72 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| NA.PR.L |
PerpetualPremium |
67,410 |
Nesbitt bought 57,800 from Scotia at $25.60 in three successive tranches. |
| IGM.PR.A |
OpRet |
42,359 |
|
| PWF.PR.L |
PerpetualPremium |
35,100 |
Scotia crossed 33,700 @ $26.15, which was the closing bid. |
| CM.PR.A |
OpRet |
29,850 |
Scotia crossed 25,100 at $26.75, which was the closing bid. These have a YTW of only 1.47% at this level, but will have yielded 3.65% if they survive until just before their retraction date. |
| FTS.PR.F |
Scraps |
29,780 |
Let’s hear it for the Little New Issue That Could (stay above par). |
There were fourteen other index-included issues trading over 10,000 shares today.
The large number of index-included issues that had absolute returns in excess of 1% today makes the market look a little sloppy. Could this have something to do with the continuation of The Great Oil Slaughter of 2006?
This entry was posted on Tuesday, October 3rd, 2006 at 10:10 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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