| 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 |
4.12% |
4.14% |
35,385 |
17.16 |
1 |
+0.4014% |
1,032.7 |
| Fixed-Floater |
4.78% |
3.67% |
96,817 |
8.36 |
7 |
-0.0103% |
1,035.0 |
| Floater |
4.49% |
-19.21% |
63,418 |
0.23 |
5 |
+0.0255% |
1,039.7 |
| Op. Retract |
4.65% |
0.71% |
85,770 |
1.99 |
17 |
+0.0007% |
1,032.6 |
| Split-Share |
5.06% |
2.26% |
246,599 |
2.52 |
9 |
-0.1957% |
1,043.1 |
| Interest Bearing |
6.96% |
5.83% |
82,895 |
1.84 |
7 |
-0.1042% |
1,026.8 |
| Perpetual-Premium |
5.01% |
3.53% |
280,147 |
4.21 |
52 |
-0.0056% |
1,054.9 |
| Perpetual-Discount |
4.53% |
4.50% |
854,997 |
11.75 |
6 |
-0.0066% |
1,060.5 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BSD.PR.A |
InterestBearing |
-2.4704% |
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 |
| LBS.PR.A |
SplitShare |
-1.3587% |
This one merely gave up a lot of yesterday’s gains. Now with a pre-tax bid-YTW of 3.92% based on a bid of $10.89 and a hardMaturity 2013-11-29 at 10.00. |
| MST.PR.A |
InterestBearing |
+1.3659% |
Now with a pre-tax bid-YTW of 5.49% based on a bid of 10.39 and a hardMaturity 2009-9-30. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.A |
OpRet |
518,756 |
Now with a pre-tax bid-YTW of 2.79% based on a bid of 26.18 and a call 2007-11-30 at 25.75. It pays a whopping 1.325 p.a., so I’ll go out on a limb and suggest it won’t make it to the 2011-7-30 softMaturity, which would yield 4.07% |
| FBS.PR.B |
SplitShare |
114,900 |
Recent new issue. Now with a pre-tax bid-YTW of 1.61% based on a bid of 10.34 and a call 2008-1-14 at 10.00. Too much call-risk for my blood. |
| LBS.PR.A |
SplitShare |
56,150 |
Scotia crossed 46,300 at $11.00. Now with a pre-tax bid-YTW of 3.92% based on a bid of $10.89 – way down from yesterday! – and a hardMaturity 2013-11-29 at 10.00 |
| MFC.PR.A |
OpRet |
22,755 |
Scotia crossed 18,500 at 26.91. Now with a pre-tax bid-YTW of 3.10% based on a bid of 26.95 and a call 2011-7-19 at $26.00. Neatly, the yield until its softMaturity 2015-12-18 is 3.12%, so take your pick. |
| CM.PR.I |
PerpetualPremium |
22,479 |
Now with a pre-tax bid-YTW of 4.50% based on a bid of $25.30 and a call 2016-3-1 at 25.00 |
There were ten other index-included issues with over 10,000 shares traded today.
This entry was posted on Friday, December 22nd, 2006 at 11:55 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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