September 8, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.48% 4.50% 38,660 16.49 1 -0.4898% 992.2
Fixed-Floater 4.93% 4.00% 330,454 11.48 6 0.3874% 1,005.7
Floater 4.63% -14.91% 82,516 8.03 4 0.1199% 1,009.0
Op. Retract 4.69% 2.24% 72,889 2.24 18 0.0229% 1,010.7
Split-Share 4.97% 3.49% 52,876 2.71 10 0.1676% 1,010.4
Interest Bearing 6.80% 4.79% 57,175 2.09 7 0.0146% 1,020.0
Perpetual-Premium 5.15% 4.16% 182,472 4.40 48 0.1142% 1,021.5
Perpetual-Discount 4.61% 4.62% 309,777 16.20 6 0.1154% 1,031.2
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater +1.1458% Can’t say I understand the enthusiasm for this issue … sure the coupon is good, at 5.319% … but its reset date is Dec. 1, 2007, and who knows what will happen then? It’s quoted today at 25.60-94. The YTW is 3.37% based on a call at $25 at reset-time. At reset time, these become exchangeable into BCE.PR.Y ratchet-rates, which are currently quoted at 24.41-69. The latter shares are currently paying $0.08125 monthly, or $0.975, which means that the carry on a long-Y/short-Z position is -$0.3548 annually¬†(likely to improve for as long as the Ys trade below their ratchet-upwards price)¬†… and a 1-for-1 conversion, one way or the other is guaranteed in 15 months … you have to consider frictional costs and all that jazz, but this is tempting!
BC.PR.B FixedFloater +1.0183% Closed at 24.80-90. This is the counterpart to BC.PR.E … but that reset/ratchet/exchange happened last May, so it’s less exciting than the pair above. BC.PR.E closed at 25.05-15. Boring!
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 135,575 Nesbitt crossed 120,100 @ 24.30
PWF.PR.A Scraps 133,065 I wouldn’t normally report this (“Scraps”!) but it was on the board yesterday, so why not? Desjardins crossed 60,000 at 25.35, then bought 39,800 from Nesbitt at 25.35, then crossed 30,000 at 25.35. Seems to me like Desjardins has a motivated buyer!
RY.PR.B PerpetualPremium 132,458 RBC crossed 100,000 timestamped after the close at 25.20. Nesbitt crossed 10,000 @ 25.20.
PWF.PR.G PerpetualPremium 125,400 Scotia crossed 125,000 @ 26.55 and they closed at 26.55-63. This is another one of those risky issues … the coupon’s $1.475 and it’s callable starting at $26 in July of next year, declining by $0.25 p.a. If it’s called next July, the yield will have been the YTW of 4.03% … but if PWF keeps the issue alive, netting their high coupon against their declining call premium for a net financing cost of $1.225, it could be called in 2011 with a realized yield of 4.66%. Place yer bets! I don’t like this kind of thing … there’s no upside!
WN.PR.E PerpetualDiscount 108,919  

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

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