| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 |
| Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.08% |
4.08% |
30,988 |
17.28 |
1 |
-0.0799% |
1,035.8 |
| Fixed-Floater |
4.79% |
3.63% |
85,715 |
10.69 |
7 |
+0.1012% |
1,037.2 |
| Floater |
4.58% |
-21.16% |
66,971 |
8.25 |
4 |
0.1697% |
1,039.4 |
| Op. Retract |
4.66% |
1.41% |
82,149 |
2.05 |
17 |
+0.0670% |
1,033.3 |
| Split-Share |
5.11% |
1.10% |
194,528 |
2.27 |
10 |
+0.2282% |
1,044.7 |
| Interest Bearing |
6.70% |
5.35% |
73,379 |
2.39 |
6 |
+0.3886% |
1,035.0 |
| Perpetual-Premium |
4.99% |
3.54% |
265,397 |
4.36 |
55 |
+0.1153% |
1,055.1 |
| Perpetual-Discount |
4.48% |
4.50% |
793,720 |
16.41 |
3 |
-0.0890% |
1,060.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| MST.PR.A |
InterestBearing |
+1.3834% |
Still with an attactive pre-tax bid-YTW of 5.44%, based on a price of 10.26 and a hardMaturity 2009-09-30 at $10.00 |
| IAG.PR.A |
PerpetualPremium |
+1.3917% |
Now with a pre-tax bid-YTW of 4.34% based on a bid of $25.50 and a call 2015-04-30 at $25.00. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| TD.PR.M |
OpRet |
345,600 |
Global crossed 171,400 for cash at $28.28, then crossed 171,400 for regular settlement at $27.98 in with the same timestamp. This issue went ex-Dividend |
| PWF.PR.A |
Scraps |
56,600 |
RBC crossed 35,000 at 25.50, then Scotia bought 11,000 from Desjardins, then crossed 10,000 all at the same price. I only just moved this from “Floaters” to “Scraps” on volume considerations. This trading is clearly a conspiracy to make me look silly. |
| RY.PR.A |
PerpetualPremium |
25,600 |
Now with a pre-tax bid-YTW of 4.46%, based on a bid of 25.15 and a call 2015-6-23 at $25.00. The yield for the limitMaturity is the same, so take your pick. |
| SLF.PR.D |
PerpetualDiscount |
24,988 |
Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.82 and a limitMaturity |
| GWO.PR.I |
PerpetualDiscount |
18,180 |
Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.93 and a limitMaturity |
There were six other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Thursday, January 4th, 2007 at 11:11 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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