October 30, 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 4.11% 3.99% 42,872 10.67 2 -0.0798% 1,021.0
Fixed-Floater 5.00% 2.83% 153,742 6.11 7 -0.0066% 1,026.2
Floater 4.52% -15.94% 75,151 6.51 5 0.1115% 1,022.2
Op. Retract 4.68% 2.30% 89,145 2.37 17 -0.0108% 1,020.5
Split-Share 4.95% 3.64% 159,085 3.64 11 0.0562% 1,022.3
Interest Bearing 6.88% 5.11% 56,689 1.98 7 -0.1196% 1,023.9
Perpetual-Premium 5.08% 3.97% 213,795 4.36 47 -0.0275% 1,037.9
Perpetual-Discount 4.61% 4.64% 604,467 16.14 7 -0.0636% 1,030.8
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.3699% Now with a pre-tax YTW of 6.04%, based on a bid of $10.08 and a maturity 2015-03-31
BCE.PR.R FixedFloater -1.2640% Looks like a trade of 400 shares at 3:36pm at $25.40 took out the bid and left the next bid at $25.20
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 399,590 See SLF.PR.D : Clearance Sale Winding Down?. It doesn’t look like it, at least as far as volume goes!
CM.PR.G PerpetualPremium 184,770 Nesbitt processed an internal cross of 130,000 shares @26.95, Scotia crossed 50,000 @ $26.96. YTW 4.11% based on a call 2010-5-31 @ $26.00. Pays $1.35 with a $0.25 annual decline in premium, so it could very well hang on until the $25.00 call 2014-5-31 to have yielded 4.22% … unless interest rates move!
CM.PR.A OpRet 170,660 BMO crossed 65,000 for cash at $26.81, then bought 100,000 for cash from Desjardins at the same price. Odd. They’re nowhere near their ex-Date. I commented on this issue on October 26
MFC.PR.B PerpetualPremium 50,195 BMO bought 14,600 from National @ $25.39, then another 10,700 at the same price.
LBS.PR.A SplitShare 116,200 Recent new issue

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

One Response to “October 30, 2006”

  1. […] Just a reversal of yesterday’s loss, really : a handful of shares traded just above $25.50. Closed at 25.48-56, 5×5. […]

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