July 24, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.14% 4.16% 103,936 17.13 2 +0.0802% 997.0
Fixed-Floater 5.20% 4.17% 95,964 13.49 5 0.0869% 997.8
Floater 4.54% -15.38% 61,155 6.43 5 0.2491% 1,004.0
Op. Retract 4.75% 3.48% 80,782 2.99 18 -0.0679% 993.4
Split-Share 5.17% 4.23% 49,600 3.10 14 -0.0009% 999.9
Interest Bearing 6.87% 5.30% 66,930 2.21 7 -0.0233% 1,008.2
Perpetual 5.20% 4.61% 195,623 7.02 54 0.0520% 1,002.4
Major Price Changes
Issue Index Change Notes
TDS.PR.B SplitShare -1.05% 2,990 shares traded, which was enough to blow through the bid. Some traded at 28.01, a penny above the 52-week low, but it closed at 28.25-49. Not much size on the bid, though!
Volume Highlights
Issue Index Volume Notes
WN.PR.E Perpetual 304,550 Huge volume for a pref! But 300,000 of this was an internal cross [both sides of the trade were controlled by the same asset manager] by BMO @24.00.
RY.PR.W Perpetual 258,700 Second day of good volume. 175,000 was an internal cross by BMO @25.40; 38,100 was a CSH Cross by Global (cash trade, not three-day-settlement) @25.88; and 38,100 (presumably the same 38,100) was a cross by Global @25.57. Closed at 25.31-56. Man, did the purchaser of that CSH transaction get screwed! Perhaps it was a buy-in notice?
SLF.PR.C Perpetual 179,650 175,000 internal cross by BMO @24.02
TD.PR.M OpRet 175,500 175,000 internal cross by BMO @27.30
TD.PR.O Perpetual 112,700 100,000 internal cross by BMO @25.25

A busy day for BMO, if no-one else! If they were able to charge a nickel a share on the crosses, then they went home with a warm, fuzzy feeling. Somebody’s rejigging his pref portfolio!

RY.PR.A closed at 24.18-25, while RY.PR.B ended at 24.45-50, so perhaps things are beginning to normalize a little … at least so far as that particular pair is concerned!

 There were 20 issues with volume in excess of 10,000 shares.

 Update, 2006-07-27: Just realized! The ex-date for the RY.PR.W was July 24, so the purchaser of the CSH Рsettled RY.PR.W got the dividend of $0.30625.

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