October 10, 2006

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 4.23% 4.18% 44,182 10.56 2 -0.2983% 1,015.5
Fixed-Floater 4.99% 4.02% 205,195 10.13 7 0.0741% 1,018.0
Floater 4.53% -17.21% 77,308 6.53 5 0.0720% 1,017.6
Op. Retract 4.68% 2.11% 89,612 2.42 17 -0.0327% 1,016.8
Split-Share 4.92% 3.26% 62,615 3.03 10 -0.0004% 1,017.9
Interest Bearing 6.88% 4.63% 55,354 2.03 7 0.0679% 1,024.2
Perpetual-Premium 5.12% 3.73% 174,559 4.30 46 0.0575% 1,030.8
Perpetual-Discount 4.59% 4.61% 622,381 16.19 7 -0.3472% 1,033.0
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today (unless you count SLF.PR.D)
Volume Highlights
Issue Index Volume Notes
SLF.PR.A PerpetualPremium 90,750 Scotia crossed 40,000 @ $25.41, then another 42,000 at the same price. This issue looks rather expensive at the closing bid of 25.55 … pre-tax YTW of 4.45% based on a call in 2014. This is just a penny less than the SLF.PR.B, which pays $0.0125 more p.a. with a similar call schedule … and is more liquid.
GWO.PR.X OpRet 51,869 Scotia crossed 50,000 @ 27.40. Another issue considered rather expensive by HIMIPref™ given its closing bid of $27.40 – Pre-Tax YTW of 2.83% based on a 2009 call; the pre-tax-curve price is $26.54.
W.PR.J PerpetualPremium 51,830 Scotia crossed 28,000 @ 25.30, then bought 18,000 from Nesbitt at the same price. Currently callable at $25.50, declining by $0.25 every July … an attractive issue, I’d say, paying $1.40 for a pre-tax YTW of 4.93% based on a 2008 call.
BSD.PR.A InterestBearing 45,849 Pre-tax YTW of 5.94% INTEREST based on a 2015 maturity.
BNS.PR.K PerpetualPremium 40,350 Nesbit bought 31,400 in three quick trades at 25.93; 28,400 from Scotia, 3,000 from RBC.

There were fourteen other index-included issues trading over 10,000 shares today.

Leave a Reply

You must be logged in to post a comment.