January 8, 2007

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 4.11% 4.12% 29,321 17.22 1 -0.8397% 1,027.5
Fixed-Floater 4.78% 3.52% 83,608 8.36 7 +0.5784% 1,038.6
Floater 4.56% -22.62% 65,494 4.60 4 +0.2368% 1,043.1
Op. Retract 4.67% 1.90% 81,625 2.04 17 -0.0274% 1,032.8
Split-Share 5.11% 1.02% 191,300 2.26 10 -0.0159% 1,049.5
Interest Bearing 6.70% 5.56% 74,024 2.38 6 -0.0260% 1,036.1
Perpetual-Premium 5.01% 3.47% 261,681 4.76 55 -0.0875% 1,054.2
Perpetual-Discount 4.50% 4.52% 797,867 16.37 3 -0.3876% 1,056.6
Major Price Changes
Issue Index Change Notes
WFS.PR.A SplitShare -1.0082% Now with a pre-tax bid-YTW of 10.80 and a hardMaturity 2011-06-30 at $10.00
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualPremium 120,400 Scotia crossed 86,600 at 25.00 – possibly related to the Scotia and BMO new issues announced today.
CM.PR.I PerpetualPremium 112,816 Now with a pre-tax bid-YTW of 4.61% based on a bid of $25.16 and a call 2016-3-1 at $25.00.
GWO.PR.I PerpetualDiscount 77,600 Now with a pre-tax bid-YTW of 4.60% based on a bid of $24.90 and a limitMaturity.
TD.PR.O PerpetualPremium 70,900 Nesbitt crossed 40,000 at 26.30. Now with a pre-tax bid-YTW of 4.05% based on a bid of $26.30 and a call 2014-11-30 at $25.00.
MFC.PR.B PerpetualPremium 52,650 Nesbitt crossed 45,000 at $25.80. Now with a pre-tax bid-YTW of 4.26% based on a bid of $25.71 and a call 2014-4-18 at $25.00

There were twenty other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

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