October 23, 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 4.12% 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.

One Response to “October 23, 2006”

  1. […] After yesterday’s huge gain, not entirely unexpected. […]

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