| 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 |
4.28% |
4.21% |
42,517 |
10.51 |
2 |
0.1002% |
1,015.7 |
| Fixed-Floater |
5.00% |
4.01% |
216,451 |
12.38 |
7 |
0.0794% |
1,017.2 |
| Floater |
4.52% |
-19.54% |
80,475 |
6.53 |
5 |
-0.2086% |
1,020.8 |
| Op. Retract |
4.67% |
2.49% |
90,995 |
2.43 |
17 |
0.0308% |
1,017.1 |
| Split-Share |
4.92% |
3.12% |
60,375 |
3.05 |
10 |
0.0379% |
1,017.6 |
| Interest Bearing |
6.89% |
4.74% |
53,759 |
2.05 |
7 |
0.1077% |
1,022.4 |
| Perpetual-Premium |
5.12% |
3.93% |
176,642 |
4.23 |
47 |
-0.0108% |
1,030.1 |
| Perpetual-Discount |
4.59% |
4.61% |
324,524 |
16.20 |
6 |
0.0069% |
1,038.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| PWF.PR.A |
Floater |
-1.5504% |
Giving up most of yesterday’s gains on good volume of 21,600 shares. Scotia crossed 20,000 @ 25.45 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| TD.PR.O |
PerpetualPremium |
131,245 |
Nesbitt had an internal cross @ 26.07 |
| IGM.PR.A |
OpRet |
131,114 |
|
| PWF.PR.L |
PerpetualPremium |
116,100 |
There were a number of blocks put through today: RBC crossed 43,900 @ 26.15, followed by National (10,000), Scotia (25,000) and National again (10,000) at the same price. Scotia then crossed 24,700 @ 26.25 just before the close. At a closing bid of 26.15, this issue still has a Pre-tax YTW of 4.62% based on a call in 2015. |
| GWO.PR.G |
PerpetualPremium |
102,960 |
RBC crossed 100,000 shares @ 26.55 |
| PWF.PR.G |
PerpetualPremium |
102,000 |
Scotia crossed 100,000 shares at $26.55 (a popular price for 100,000 share lots of issues ending in G today). For this issue, the Pre-Tax YTW at the closing bid of $26.51 is 4.56% based on a call in 2007 … if it survives to its call-at-par date in 2011, the yield will have been 4.77%. Doesn’t seem like there’s much upside to this issue, though. |
| ELF.PR.F |
PerpetualPremium |
100,000 |
Nesbitt crossed 100,000 @ $26.25. This issue has a YTW of 4.57% based on a call in 2013, but since it’s only rated Pfd-2(low) by DBRS, it seems expensive at the closing quote of 26.10-41, especially since the new issue comes with a coupon of 4.75%. |
There were twenty-one other index-included issues trading over 10,000 shares today.
This entry was posted on Wednesday, October 4th, 2006 at 9:42 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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