| 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 |
4.16% |
4.19% |
35,352 |
17.07 |
1 |
+0.0403% |
1,024.8 |
| Fixed-Floater |
4.78% |
3.74% |
99,889 |
8.36 |
7 |
-0.0053% |
1,034.9 |
| Floater |
4.48% |
-21.70% |
62,865 |
0.34 |
5 |
+0.0480% |
1,042.0 |
| Op. Retract |
4.64% |
1.02% |
84,391 |
2.19 |
17 |
+0.0047% |
1,031.8 |
| Split-Share |
5.06% |
1.63% |
247,660 |
2.51 |
9 |
-0.0408% |
1,042.2 |
| Interest Bearing |
6.96% |
5.84% |
81,930 |
2.34 |
7 |
-0.0672% |
1,026.2 |
| Perpetual-Premium |
5.00% |
3.47% |
289,050 |
4.19 |
52 |
+0.0026% |
1,054.9 |
| Perpetual-Discount |
4.52% |
4.50% |
899,077 |
11.75 |
6 |
+0.0334% |
1,061.2 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| MFC.PR.B |
PerpetualPremium |
-1.0832% |
Now with a pre-tax bid-YTW of 4.31% based on a bid of 25.57 and a call 2014-4-18 at 25.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| GWO.PR.F |
PerpetualPremium |
401,887 |
The highest priced index-included perpetual, at 28.07b. Nesbitt crossed 100,000 at 28.10. Now with a pre-tax bid-YTW of 1.28% based on a bid of 28.06 and a call 2008-10-30 at 26.00. It might last a while and get called 2012-10-30 at 25.00, but with an annual dividend of 1.475 and a call schedule declining by 0.25 annually, I don’t like its chances. You can get better than 3.57% without the risk of an early, horrid call anyway. |
| TD.PR.M |
OpRet |
381,850 |
Royal processed an internal cross at 27.78. Now with a pre-tax bid-YTW of 2.18% based on a call 2009-5-30 at $26.00, but it would appear some people are confident it will last until a call at $25.00 2013-10-30, to yield 3.12% |
| CM.PR.D |
PerpetualPremium |
312,702 |
Another very-high-priced perpetual, at 27.51b. Nesbitt crossed 100,000 at 27.68. Now with a pre-tax bid-YTW of 1.91% based on a bid of 27.54 and a call 2008-5-31 at $26.00. It might last until 2012-5-30, to have yielded 3.86%. With an annual dividend of 1.4375, it might not! |
| PWF.PR.I |
PerpetualPremium |
304,010 |
Nesbitt crossed 200,000 at 27.50, then another 100,000 at the same price three hours later. Now with a pre-tax bid-YTW of 2.44% based on a bid of 27.43 and a call 2008-5-30 at $26.00. Pays 1.50, so is there really a competent and confident school of thought that thinks it will last until a call at 25.00 2012-5-30, yielding 4.19%? The relatively recent PWF.PR.L pays 1.275. |
| NA.PR.K |
PerpetualPremium |
202,815 |
The second-highest-priced index-included perpetual, at 27.90b. Nesbitt crossed 200,000 at 27.98. Now with a pre-tax bid-YTW of 1.03% based on a bid of 27.90 and a call 2008-6-14 at 26.00. It will yield 3.64% if it lasts until a 25.00 call 2012-6-14. Too chancy for me! Pays 1.4625. |
| PWF.PR.A |
Scraps |
200,000 |
Royal processed an internal cross of 200,000 at 25.45. A floating rate issue, currently out of the index due to insufficient volume. |
| CM.PR.B |
PerpetualPremium |
198,945 |
Called for redemption. |
| ACO.PR.A |
OpRet |
115,349 |
Royal processed an internal cross of 115,000 shares at 28.25. Now with a pre-tax bid-YTW of 1.57% based on a bid of 28.13 and a call 2008-12-31 at 26.00. It pays 1.4375 and has a very steeply declining call premium (0.50 p.a.), so it might make last longer. |
| GWO.PR.X |
OpRet |
108,897 |
Nesbitt crossed 100,000 at 27.50. Pre-tax bid-YTW now 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00. It might last longer – the call premium declines by 0.33 p.a. – but I’ll let other people bet on that one. |
| NSI.PR.D |
Scraps |
101,100 |
Royal processed an internal cross of 100,000 at 30.00. Not the biggest trader in the world, which is why it’s not in the OpRet index … at a bid of 29.62, it has a pre-tax bid-YTW of 3.62% based on a call 2015-11-14 at 25.00. This compares to 3.15% at the ask price of 30.61. |
There were nineteen other index-included issues with over 10,000 shares traded today.
This entry was posted on Wednesday, December 20th, 2006 at 10:59 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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