| 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 |
4.27% |
4.21% |
45,418 |
10.52 |
2 |
-0.1200% |
1,014.4 |
| Fixed-Floater |
5.00% |
4.02% |
210,670 |
12.38 |
7 |
-0.0225% |
1,017.0 |
| Floater |
4.52% |
-19.55% |
79,029 |
6.51 |
5 |
-0.0632% |
1,020.1 |
| Op. Retract |
4.68% |
2.23% |
89,732 |
2.43 |
17 |
0.0406% |
1,017.5 |
| Split-Share |
4.92% |
3.26% |
61,275 |
3.05 |
10 |
0.0613% |
1,018.2 |
| Interest Bearing |
6.89% |
4.85% |
55,121 |
1.80 |
7 |
-0.0419% |
1,022.0 |
| Perpetual-Premium |
5.13% |
3.85% |
177,267 |
4.22 |
47 |
0.0265% |
1,030.4 |
| Perpetual-Discount |
4.59% |
4.61% |
325,597 |
16.20 |
6 |
-0.0197% |
1,037.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| There were no index-included issues with major price changes today. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| RY.PR.A |
PerpetualDiscount |
107,185 |
|
| MFC.PR.B |
PerpetualPremium |
97,625 |
|
| NA.PR.L |
PerpetualPremium |
64,700 |
Nesbitt processed an internal cross of 60,000 @ 25.63. This issue has a pre-tax YTW of 4.58% at the closing bid of $25.64, based on a call in 2014. Given that it’s only Pfd-2(high) by DBRS, it looks a little expensive there. |
| RY.PR.B |
PerpetualPremium |
56,465 |
Nesbitt had an internal cross of 50,000 @25.51. At the closing bid of 25.50, this has a pre-tax YTW of 4.59% based on a call in 2015. Given that Royal Bank is a better credit than the issue above, why is it trading at the same yield? |
| FTN.PR.A |
SplitShares |
44,800 |
Credit Suisse bought 36,000 from Nesbitt @ $10.50 |
There were ten other index-included issues trading over 10,000 shares today.
This entry was posted on Thursday, October 5th, 2006 at 9:13 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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