October 31, 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 4.11% 4.03% 42,749 10.68 2 -0.1794% 1,019.2
Fixed-Floater 5.00% 2.75% 151,045 10.65 7 +0.0864% 1,027.1
Floater 4.52% -16.01% 74,789 6.52 5 0.0635% 1,022.9
Op. Retract 4.67% 1.94% 89,693 2.37 17 0.0859% 1,021.3
Split-Share 4.95% 3.47% 157,739 3.26 11 0.0075% 1,022.4
Interest Bearing 6.88% 5.16% 57,457 1.97 7 0.0257% 1,024.2
Perpetual-Premium 5.07% 3.88% 213,084 4.32 47 0.1516% 1,039.5
Perpetual-Discount 4.60% 4.63% 604,494 16.15 7 0.1804% 1,032.6
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixedFloater +1.1111% Just a reversal of yesterday’s loss, really : a handful of shares traded just above $25.50. Closed at 25.48-56, 5×5.
Volume Highlights
Issue Index Volume Notes
GWO.PR.X OpRet 307,528 National sold 150,000 @27.55 to Nesbitt, Scotia & Desjardins in the late afternoon. Pre-tax YTW 2.69% based on a bid of $27.55 and a call 2009-10-30 @ $26.00. It only pays $1.20, so it might possibly make it to 2013-9-29, having yielded 3.23%.
ACO.PR.A OpRet 276,511 Nesbitt processed an internal cross of 275,000 @ 27.89. Pre-tax YTW of 2.94%, based on a bid of $27.65 and a call 2008-12-31 @ $26.00. It pays $1.4375, so its chances of making it further along the redemption trail are … not good.
SLF.PR.D PerpetualDiscount 91,007 The clean-out sale continues, but at a slower pace!
SLF.PR.B PerpetualPremium 81,885 A bit, but not much, expensive I’d say, closing at $25.56-63 for a pre-tax YTW of 4.55% based on a call @ $25.00 on 2014-10-30.
PWF.PR.D OpRet 70,700 Nesbitt processed an internal cross at $27.18 in the only trade of the day. This issue has trade enough this month that it will be back in the index after rebalancing.

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

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