September 22, 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 4.40% 4.44% 45,781 16.59 1 0.0805% 1,011.4
Fixed-Floater 4.90% 4.00% 287,783 8.97 6 -0.0910% 1,011.8
Floater 4.64% -18.70% 96,595 8.10 4 -0.0396% 1,016.5
Op. Retract 4.68% 2.32% 82,179 2.20 18 0.0435% 1,014.4
Split-Share 4.98% 3.07% 58,538 2.68 10 0.0191% 1,011.0
Interest Bearing 6.86% 4.61% 55,813 2.08 7 -0.0017% 1,022.8
Perpetual-Premium 5.13% 3.85% 176,827 4.12 48 0.0660% 1,026.9
Perpetual-Discount 4.59% 4.60% 331,945 16.23 6 0.0407% 1,036.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute value of returns greater than 1% today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 261,340 RBC crossed 50,000 @ $24.68, then Scotia crossed 150,000 at the same price.
FTN.PR.A SplitShare 134,240 Scotia crossed 60,000 @ $10.43, then 71,000 at the same price about 80 minutes later. These have a pre-tax YTW of 3.42% at the closing bid of $10.41, maturing in December 2008.
BC.PR.E Scraps 131,600 Scotia crossed 50,000 @ 25.17, then 80,000 at the same price. This is a ratchet-rate preferred, paying $0.10 monthly, or $1.20 p.a., or 4.8% of face, or 80% of prime. It was discussed briefly in this post
GWO.PR.H PerpetualPremium 107,075 Scotia crossed 99,900 @25.40.
POW.PR.B PerpetualPremium 105,000 RBC crossed 100,000 @ 25.85.

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

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