| 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.
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