| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version |
| Index |
Current Yield (at bid) |
YTW |
Average Trading Value |
Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.38% |
4.36% |
27,056 |
16.57 |
2 |
-0.2016% |
986.2 |
| Fixed-Floater |
4.95% |
4.15% |
268,331 |
11.47 |
6 |
0.7703% |
1,002.2 |
| Floater |
4.59% |
-19.64% |
60,165 |
6.44 |
5 |
-0.2679% |
1,009.7 |
| Op. Retract |
4.71% |
2.85% |
75,881 |
2.57 |
18 |
0.0732% |
1,004.6 |
| Split-Share |
5.01% |
3.60% |
56,016 |
2.75 |
10 |
0.0061% |
1,003.1 |
| Interest Bearing |
6.83% |
5.09% |
59,939 |
2.12 |
7 |
0.1704% |
1,013.7 |
| Perpetual-Premium |
5.27% |
4.14% |
164,138 |
3.79 |
42 |
0.0063% |
1,013.7 |
| Perpetual-Discount |
4.72% |
4.73% |
338,076 |
12.35 |
13 |
0.0688% |
1,020.6 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.A |
FixedFloater |
+4.0875% |
Recovering from yesterday’s swoon. Scotia crossed 25,000 @25.25, an impressively repetetive trade. Closed at $25.21-29, so things are back to normal … for now! |
| CM.PR.D |
PerpetualPremium |
+1.1654% |
The pre-tax YTW is only 3.72 at the closing bid of $26.91 |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BC.PR.C |
FixedFloater |
166,809 |
|
| TD.PR.O |
PerpetualPremium |
136,800 |
|
| POW.PR.D |
PerpetualPremium |
62,780 |
Nesbitt crossed 50,000 @25.60 |
| TOC.PR.B |
Floater |
50,741 |
CIBC sold a whack @25.50: 24,400 to Nesbitt; 25,000 to Desjardins and 500 (sic) to Royal – must have been a retail bid that was in the way. |
| BMO.PR.I |
OpRet |
38,600 |
Scotia crossed 37,300 @ 25.50; YTW of this issue is a niggardly 2.61% at the closing bid of 25.42, based on a call as soon as the redemption price goes down to $25.25 at the end of November. It’s more likely, however, that BMO will keep the issue alive for another year, paying $1.1875 dividend but saving $0.25 on the redemption price. This scenario implies a pre-tax YTM of 3.97%, not bad at all … if you can rely on BMO not calling the issue! |
There were seven other index-included issues with volumes of more than 10,000 shares.
This entry was posted on Wednesday, August 23rd, 2006 at 10:37 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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