| 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 |
4.24% |
4.26% |
37,639 |
16.94 |
1 |
+0.0000% |
1,019.9 |
| Fixed-Floater |
4.81% |
3.81% |
103,006 |
8.36 |
7 |
+0.0001% |
1,028.5 |
| Floater |
4.47% |
-20.59% |
60,917 |
6.58 |
5 |
+0.0235% |
1,038.1 |
| Op. Retract |
4.63% |
-0.47% |
81,806 |
2.20 |
17 |
+0.0372% |
1,032.2 |
| Split-Share |
5.11% |
2.91% |
144,894 |
2.71 |
8 |
-0.0020% |
1,039.3 |
| Interest Bearing |
6.90% |
5.52% |
76,292 |
3.85 |
7 |
-0.4193% |
1,024.5 |
| Perpetual-Premium |
5.02% |
3.62% |
254,404 |
4.57 |
51 |
-0.0704% |
1,050.1 |
| Perpetual-Discount |
4.59% |
4.60% |
968,678 |
16.25 |
6 |
-0.2374% |
1,045.3 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BSD.PR.A |
InterestBearing |
-1.6915% |
This has been volatile lately, probably due to speculation about the possible call. Now with a pre-tax bid-YTW of 6.62% (as interest!) based on a bid of 9.88 and a maturity 2015-3-31. |
| FCN.PR.A |
InterestBearing |
-1.3725% |
A blowback from yesterday. Now with a pre-tax bid-YTW of 6.44% (as interest!) based on a bid of 10.06 and a hardMaturity 2011-3-31 at 10.00. This issue’s call schedule does not include a declining premium feature, so negative pseudoConvexity is fierce. |
| SLF.PR.C |
PerpetualDiscount |
-1.0157% |
Virtually identical to SLF.PR.D, which it now brackets in price, being quoted at 24.25-59 compared to SLF.PR.D’s 24.38-46. Now with a pre-tax bid-YTW of 4.59% based on a limitMaturity. |
| LBS.PR.A |
SplitShare |
-1.0157% |
Now with a pre-tax bid-YTW of 4.17% – not bad for a split share or other retractible – based on a bid of 10.72 and a hard maturity 2013-11-29 at 10.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| RY.PR.A |
PerpetualDiscount |
129,654 |
Now with a pre-tax bid-YTW of 4.50%, based on a limit maturity. In other words, these are trading near-as-dammit to even yield with the Royal new issue, which is expected to settle Dec. 13. |
| SLF.PR.D |
PerpetualDiscount |
41,489 |
A regular guest on this list! Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.38 and a limit maturity. |
| SLF.PR.C |
PerpetualDiscount |
35,450 |
The price collapsed at the close, with 10+ trades in the last minute. Scotia sold on nine of them, selling 6,500 at prices beginning at 24.60 and ending at 24.25. Lesson 1: don’t put market orders in during the last minute unless you know for sure there’s some depth! |
| CM.PR.I |
PerpetualPremium |
33,115 |
Recent new issue, now with a pre-tax bid-YTW of 4.63% based on a bid of $25.27 and a call 2016-3-1 at 25.00 |
| BAM.PR.M |
PerpetualDiscount |
19,802 |
Recent new issue, now with a pre-tax bid-YTW of 4.78% based on a bid of $25.00 and a limit maturity. |
There were five other index-included issues with over 10,000 shares traded today.
No enormous blocks crossed by Scotia today! I guess their guy’s still counting his commission from the last two days.
This entry was posted on Friday, December 8th, 2006 at 11:12 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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[…] Comes back from yesterday’s swoon to yield 4.53% based on a bid of $24.55 and a limitMaturity. […]