| 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 |
4.05% |
4.05% |
28,412 |
17.35 |
1 |
-0.0400% |
1,037.8 |
| Fixed-Floater |
4.79% |
3.54% |
101,377 |
4.56 |
7 |
+0.2711% |
1,045.4 |
| Floater |
4.45% |
-27.45% |
57,589 |
6.58 |
5 |
-0.2672% |
1,054.9 |
| Op. Retract |
4.72% |
2.38% |
73,951 |
2.12 |
18 |
-0.0237% |
1,027.7 |
| Split-Share |
5.10% |
1.00% |
314,869 |
2.65 |
14 |
+0.1238% |
1,042.0 |
| Interest Bearing |
6.69% |
2.11% |
71,648 |
3.87 |
6 |
+0.1858% |
1,036.9 |
| Perpetual-Premium |
5.03% |
3.88% |
234,236 |
5.03 |
51 |
-0.0521% |
1,051.7 |
| Perpetual-Discount |
4.54% |
4.57% |
1,092,248 |
16.25 |
10 |
+0.1051% |
1,053.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| TOC.PR.B |
Floater |
-1.6541% |
Still gyrating, as it has since January 26. This time on volume of 873 shares. I wonder what the TSX is saying to the market maker. |
| GWO.PR.F |
PerpetualPremium |
-1.5771% |
RBC sold 5,000 shares at 3:24pm, which took the bid from 27.55 to 27.46. Now with a pre-tax bid-YTW of 2.70% based on a bid of 27.46 and a call 2008-10-30 at $26.00 |
| ACO.PR.A |
OpRet |
-1.2821% |
Closed at 26.95-60, 100×5, but that fine bid was a late entry … some traded as low as 27.26 on the day. Now with a pre-tax bid-YTW of 3.35% based on a bid of $26.95 and a call 2008-12-31 at $26.00 |
| WFS.PR.A |
SplitShare |
-1.0348% |
Now with a pre-tax bid-YTW of 4.11% based on a bid of 10.52 and a hardMaturity 2011-6-30. |
| BCE.PR.Z |
FixedFloater |
+1.0236% |
As recently discussed, this becomes exchangeable with BCE.PR.Y in December |
| FIG.PR.A |
InterestBearing |
+1.1905% |
Mergers & liquidity are good for you! The trouble, of course, comes with the call schedule. Now with a pre-tax bid-YTW of -17.67% based on a bid of $10.20 and a call 2007-3-8 at $10.00 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| ACO.PR.A |
OpRet |
77,046 |
Down substantially on the day (bid/bid). Somebody wanted to SELL! |
| SLF.PR.E |
PerpetualDiscount |
57,415 |
Recent new issue. Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.65 and a limitMaturity. |
| PWF.PR.K |
PerpetualPremium |
55,900 |
RBC crossed 50,000 at 26.27. Now with a pre-tax bid-YTW of 4.26% based on a bid of $26.20 and a call 2014-11-30 at $25.00 |
| CM.PR.I |
PerpetualPremium |
52,007 |
Nesbitt crossed 10,000 at 25.38. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.40 and a call 2016-3-1 at $25.00. Both better yield and better interest rate protection than the new issue. Just like yesterday! |
| SLF.PR.D |
PerpetualDiscount |
26,412 |
Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.73 and a limitMaturity |
There were eighteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Wednesday, February 7th, 2007 at 12:23 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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