| 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 |
4.12% |
4.04% |
44,080 |
10.66 |
2 |
0.0000% |
1,019.9 |
| Fixed-Floater |
4.97% |
3.95% |
169,309 |
8.89 |
7 |
-0.0387% |
1,025.4 |
| Floater |
4.53% |
-15.87% |
75,475 |
6.50 |
5 |
0.2737% |
1,020.8 |
| Op. Retract |
4.67% |
1.84% |
86,195 |
2.39 |
17 |
0.0329% |
1,019.0 |
| Split-Share |
4.93% |
3.73% |
160,544 |
3.28 |
11 |
0.0472% |
1,022.8 |
| Interest Bearing |
6.89% |
5.02% |
56,033 |
2.00 |
7 |
0.0450% |
1,022.7 |
| Perpetual-Premium |
5.08% |
3.94% |
212,471 |
4.30 |
47 |
0.0305% |
1,036.4 |
| Perpetual-Discount |
4.58% |
4.61% |
527,274 |
16.18 |
7 |
-0.0631% |
1,035.7 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| PWF.PR.A |
Floater |
+1.4657% |
Went ex-dividend today (see Company Website, but not only did nobody notice (it closed at 25.56-80 today, compared to 25.44-55 yesterday), but it closed at $26.00 (!) pumped up by an anonymous buy of 2,000 shares at 12:57pm that sailed through several offers … six of them, in fact, ranging from 25.70 to 26.00. Ouch. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| WN.PR.B |
OpRet |
100,368 |
Desjardins opened the day’s trading with a cross of 75,000 at $26.60, and closed it with a cross of 25,000 at the same price. Niggardly pre-tax YTW of 2.93% (mind you, reasonable for an operating retractible) based on a call 2009-6-30, one day ahead of retraction. |
| GWO.PR.H |
PerpetualPremium |
59,400 |
Scotia crossed 58,000 @ 25.50. Not a bad issue, pre-tax YTW 4.68% based on a bid of $25.41 and a call 2014-10-30 at $25.00 |
| NA.PR.L |
PerpetualPremium |
44,100 |
Scotia crossed 42,800 @ 25.70. What buyer were they acting for? I want to sell them a really good bridge I happen to have won in a lottery! This thing pays $1.2125 and has a pre-tax YTW of 4.42% based on a bid of $25.66 and a call at $25.00 on 2014-6-14. Rated Pfd-1(low) by DBRS. Given the coupon, downside protection on interest rate moves is minimal. |
| CM.PR.H |
PerpetualPremium |
43,250 |
Desjardins crossed 23,400 @ 25.65, then another 15,000 at the same price. Another mystery … this has a pre-tax YTW of 4.41%, based on a closing bid of $25.65 and a call at $25.00 2014-4-29. |
| RY.PR.B |
PerpetualPremium |
38,648 |
The volume – and the price drop, it returned -0.3497% on the day – may have been due to players making room for the new issue. Why not, provided you can trade cheaply? RY.PR.B has a pre-tax YTW of 4.54% based on a closing bid of $25.65 and a call 2015-9-23 at $25.00 … which still makes it better yielding than some of those with higher volume today! This goes ex-dividend tomorrow, Tuesday, October 24, A.D. 2006, so be careful! |
There were twenty-five other index-included issues trading over 10,000 shares today.
This entry was posted on Monday, October 23rd, 2006 at 10:20 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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