| 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 | 4.14% | 4.16% | 36,631 | 17.12 | 1 | +0.3626% | 1,028.6 |
| Fixed-Floater | 4.78% | 3.70% | 98,254 | 8.37 | 7 | +0.1069% | 1,036.0 |
| Floater | 4.49% | -19.12% | 62,973 | 0.34 | 5 | -0.2412% | 1,039.4 |
| Op. Retract | 4.64% | 0.83% | 85,845 | 1.99 | 17 | +0.0792% | 1,032.6 |
| Split-Share | 5.05% | 1.59% | 247,470 | 2.52 | 9 | +0.2801% | 1,045.2 |
| Interest Bearing | 6.95% | 6.06% | 83,034 | 2.34 | 7 | +0.1688% | 1,027.9 |
| Perpetual-Premium | 5.00% | 3.57% | 284,961 | 4.21 | 52 | +0.0139% | 1,055.0 |
| Perpetual-Discount | 4.53% | 4.50% | 879,559 | 11.75 | 6 | -0.0598% | 1,060.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| TOC.PR.B | Floater | -1.6026% | Nesbitt was on the sell side for every trade, starting in the morning at 25.77 and ending with a cross of 12,400 at 25.50. |
| FFN.PR.A | SplitShare | -1.1278% | Now with a pre-tax bid-YTW of 3.48% based on a price of $10.52 and a hardMaturity 2009-12-01 at 10.00 |
| BSD.PR.A | InterestBearing | +1.0989% | Now with a pre-tax bid-YTW of 5.88% (as interest!) based on a bid of $10.12 and a hardMaturity 2015-3-31 at 10.00 |
| LBS.PR.A | SplitShare | +2.0333% | Now with a pre-tax bid-YTW of 3.68%, based on a bid of $11.04 and a hardMaturity 2013-11-29 at 10.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CL.PR.B | PerpetualPremium | 300,000 | Not usually much of a trader, but RBC crossed 150,000 at 26.15 for cash and Nesbitt crossed the same amount at 25.97 for delayed delivery … very similar to the trading on December 18! Hmmmm….. I pontificated November 29 that this was a prime candidate for redemption, but there’s been no news yet. The pre-tax bid-YTW is now 1.65% based on a bid of $26.09 and a call 2007-1-30 at 26.00. The next ex-date is 2007-3-1, so if the funny settlements are a dividend capture/avoidance game, it’s a deep one! |
| GWO.PR.X | OpRet | 188,968 | Yesterday’s heavy trading continues. Now with a pre-tax bid-YTW of 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00 … but given that it’s a retractible paying 1.20, with the call premium declining at 0.33 p.a., it might make it to the softMaturity 2013-9-29, yielding 3.15%. |
| 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.J | OpRet | 81,463 | TDSecurities processed an internal cross of 75,000 shares at 27.03. Now with a pre-tax bid-YTW of 2.30% based on a bid of 26.98 and a call 2008-5-30 at 26.00. It might make it to the soft maturity 2013-7-30, yielding 3.48%. Might. |
| GWO.PR.I | PerpetualDiscount | 56,685 | National processed an internal cross of 20,000 at 24.92. Now with a pre-tax bid-YTW of 4.52% based on a bid of 24.92 and a limitMaturity. |
| CM.PR.I | PerpetualPremium | 46,391 | Now with a pre-tax bid-YTW of 4.57% based on a bid of 25.42 and a call 2016-3-1 at 25.00. |
There were twenty-three other index-included issues with over 10,000 shares traded today.
[…] Giving up yesterday’s gains and more! Closed at 9.87-17, with a single trade of 2,900 shares at $10.10 – Christmas break! Now with a pre-tax bid-YTW of 6.27% (mostly interest!) based on the 9.87 bid and a hardMaturity 2015-3-31 at 10.00 […]