September 14, 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 4.47% 4.49% 41,817 16.49 1 0.0000% 999.2
Fixed-Floater 4.91% 3.94% 314,996 11.53 6 0.1484% 1,010.9
Floater 4.67% -12.70% 91,194 8.14 4 -0.2448% 1,008.9
Op. Retract 4.70% 2.52% 78,745 2.40 18 -0.0240% 1,012.0
Split-Share 4.99% 3.08% 55,308 2.70 10 -0.2135% 1,009.8
Interest Bearing 6.86% 4.76% 57,113 2.09 7 0.1203% 1,020.5
Perpetual-Premium 5.15% 4.19% 180,543 4.40 48 0.0496% 1,023.0
Perpetual-Discount 4.62% 4.63% 311,417 16.20 6 0.1087% 1,030.3
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.8868% Now quoted at an attractive YTW of 3.98% (as dividends!), based on a maturity 2009-12-01 and a bid price of $10.40.
BCE.PR.R FixedFloater +1.3732% It did this on a high volume of 100,800 shares. Can’t think why – they look rather expensive to me!
Volume Highlights
Issue Index Volume Notes
GWO.PR.X OpRet 402,470 These have a YTW of 2.82% at the closing bid of 27.35, based on a call in 2009 at $26.00. If they survive until their soft-maturity in 2013, the yield from today’s closing bid of $27.35 will be 3.28%. The dividend’s only $1.20 and GWO will save $0.25 annually by delaying, so there’s a good chance they’ll make it!
TOC.PR.B Floater 173,900  
BC.PR.E Scraps 133,900 A ratchet-rate issue, discussed here, currently ignomiously in “Scraps” due to low volume.
BCE.PR.R Fixed Floater 100,800 A powerful day, performance (bid/bid) +1.3732% on this volume. Can’t think who might have wanted it so badly! It pays only $1.135 until 2010-12-1, at which point the rate will be reset and holders might have to convert to the (currently non-existent) ratchet-rate.
BAM.PR.K Floater 93,550  

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

2 Responses to “September 14, 2006”

  1. Drew says:

    HIMI Pref gives FFN.PR.A a YTW of 3.17%. Why the discrepancy with what you report above?

  2. jiHymas says:

    Tax Effects. I should have specified. Mea culpa.

    FFN.PR.A has an AFTER-TAX YTW of 3.1789%, based on a recovery of 23.2% of capital losses and a dividend tax rate of 21.00%, as shown:

    2006-10-08 DIVIDEND 0.04 0.997930 0.04
    2006-11-08 DIVIDEND 0.04 0.995262 0.04
    2006-12-08 DIVIDEND 0.04 0.992687 0.04
    2007-01-08 DIVIDEND 0.04 0.990034 0.04
    2007-02-08 DIVIDEND 0.04 0.987387 0.04
    2007-03-08 DIVIDEND 0.04 0.985003 0.04
    2007-04-08 DIVIDEND 0.04 0.982369 0.04
    2007-04-30 INCOME TAX -0.03 0.980505 -0.03
    2007-05-08 DIVIDEND 0.04 0.979828 0.04
    2007-06-08 DIVIDEND 0.04 0.977209 0.04
    2007-07-08 DIVIDEND 0.04 0.974681 0.04
    2007-08-08 DIVIDEND 0.04 0.972075 0.04
    2007-09-08 DIVIDEND 0.04 0.969476 0.04
    2007-10-08 DIVIDEND 0.04 0.966968 0.04
    2007-11-08 DIVIDEND 0.04 0.964383 0.04
    2007-12-08 DIVIDEND 0.04 0.961888 0.04
    2008-01-08 DIVIDEND 0.04 0.959317 0.04
    2008-02-08 DIVIDEND 0.04 0.956753 0.04
    2008-03-08 DIVIDEND 0.04 0.954360 0.04
    2008-04-08 DIVIDEND 0.04 0.951809 0.04
    2008-04-30 INCOME TAX -0.11 0.950002 -0.10
    2008-05-08 DIVIDEND 0.04 0.949346 0.04
    2008-06-08 DIVIDEND 0.04 0.946808 0.04
    2008-07-08 DIVIDEND 0.04 0.944359 0.04
    2008-08-08 DIVIDEND 0.04 0.941834 0.04
    2008-09-08 DIVIDEND 0.04 0.939317 0.04
    2008-10-08 DIVIDEND 0.04 0.936887 0.04
    2008-11-08 DIVIDEND 0.04 0.934382 0.04
    2008-12-08 DIVIDEND 0.04 0.931965 0.04
    2009-01-08 DIVIDEND 0.04 0.929473 0.04
    2009-02-08 DIVIDEND 0.04 0.926989 0.04
    2009-03-08 DIVIDEND 0.04 0.924750 0.04
    2009-04-08 DIVIDEND 0.04 0.922278 0.04
    2009-04-30 INCOME TAX -0.11 0.920528 -0.10
    2009-05-08 DIVIDEND 0.04 0.919892 0.04
    2009-06-08 DIVIDEND 0.04 0.917433 0.04
    2009-07-08 DIVIDEND 0.04 0.915059 0.04
    2009-08-08 DIVIDEND 0.04 0.912613 0.04
    2009-09-08 DIVIDEND 0.04 0.910174 0.04
    2009-10-08 DIVIDEND 0.04 0.907819 0.04
    2009-11-08 DIVIDEND 0.04 0.905392 0.04
    2009-12-01 FINAL DIVIDEND 0.03 0.903596 0.03
    2009-12-01 MATURITY 10.00 0.903596 9.04
    2010-04-30 INCOME TAX -0.11 0.891968 -0.10
    2010-04-30 TAX ON MATURITY 0.09 0.891968 0.08

    Total Cash Flows 11.4323
    Total Present Value 10.4000
    Discounting Rate 3.1789 % (Annual rate compounded semi-annually)

    Normally when talking about the market I’ll be using PRE-TAX yields, which I was doing in this instance:

    2006-10-08 DIVIDEND 0.04 0.997412 0.04
    2006-11-08 DIVIDEND 0.04 0.994079 0.04
    2006-12-08 DIVIDEND 0.04 0.990865 0.04
    2007-01-08 DIVIDEND 0.04 0.987554 0.04
    2007-02-08 DIVIDEND 0.04 0.984254 0.04
    2007-03-08 DIVIDEND 0.04 0.981283 0.04
    2007-04-08 DIVIDEND 0.04 0.978004 0.04
    2007-05-08 DIVIDEND 0.04 0.974841 0.04
    2007-06-08 DIVIDEND 0.04 0.971584 0.04
    2007-07-08 DIVIDEND 0.04 0.968442 0.04
    2007-08-08 DIVIDEND 0.04 0.965206 0.04
    2007-09-08 DIVIDEND 0.04 0.961980 0.04
    2007-10-08 DIVIDEND 0.04 0.958870 0.04
    2007-11-08 DIVIDEND 0.04 0.955666 0.04
    2007-12-08 DIVIDEND 0.04 0.952575 0.04
    2008-01-08 DIVIDEND 0.04 0.949392 0.04
    2008-02-08 DIVIDEND 0.04 0.946220 0.04
    2008-03-08 DIVIDEND 0.04 0.943262 0.04
    2008-04-08 DIVIDEND 0.04 0.940110 0.04
    2008-05-08 DIVIDEND 0.04 0.937070 0.04
    2008-06-08 DIVIDEND 0.04 0.933938 0.04
    2008-07-08 DIVIDEND 0.04 0.930918 0.04
    2008-08-08 DIVIDEND 0.04 0.927808 0.04
    2008-09-08 DIVIDEND 0.04 0.924707 0.04
    2008-10-08 DIVIDEND 0.04 0.921717 0.04
    2008-11-08 DIVIDEND 0.04 0.918637 0.04
    2008-12-08 DIVIDEND 0.04 0.915666 0.04
    2009-01-08 DIVIDEND 0.04 0.912607 0.04
    2009-02-08 DIVIDEND 0.04 0.909557 0.04
    2009-03-08 DIVIDEND 0.04 0.906812 0.04
    2009-04-08 DIVIDEND 0.04 0.903782 0.04
    2009-05-08 DIVIDEND 0.04 0.900859 0.04
    2009-06-08 DIVIDEND 0.04 0.897849 0.04
    2009-07-08 DIVIDEND 0.04 0.894945 0.04
    2009-08-08 DIVIDEND 0.04 0.891955 0.04
    2009-09-08 DIVIDEND 0.04 0.888974 0.04
    2009-10-08 DIVIDEND 0.04 0.886099 0.04
    2009-11-08 DIVIDEND 0.04 0.883139 0.04
    2009-12-01 FINAL DIVIDEND 0.03 0.880948 0.03
    2009-12-01 MATURITY 10.00 0.880948 8.81

    Total Cash Flows 11.6956
    Total Present Value 10.4000
    Discounting Rate 3.9827 % (Annual rate compounded semi-annually)

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