October 11, 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 4.18% 4.04% 46,829 10.62 2 0.9604% 1,025.2
Fixed-Floater 4.97% 3.85% 201,040 6.66 7 0.6456% 1,024.6
Floater 4.53% -18.28% 77,160 6.51 5 0.0718% 1,018.3
Op. Retract 4.69% 2.09% 88,814 2.42 17 -0.0501% 1,016.2
Split-Share 4.93% 3.69% 62,648 3.03 10 -0.2360% 1,015.5
Interest Bearing 6.87% 4.56% 54,878 2.04 7 0.1576% 1,025.8
Perpetual-Premium 5.11% 3.91% 173,541 4.30 46 0.0939% 1,031.8
Perpetual-Discount 4.59% 4.61% 608,834 16.19 7 0.0009% 1,033.0
Major Price Changes
Issue Index Change Notes
PIC.PR.A SplitShares -1.1077% Goes ex on 10/12 … I suspect that nobody bothered to put in a cum-dividend bid on the last cum-dividend day
BCE.PR.S Ratchet +1.0060% Closed at 25.10-15, 4×10. The potential tender is at $25.60
BAM.PR.G FixedFloater +1.0454% Scarcity Value? If the BCE transaction closes, these may be the only liquid issue that converts (and will by that time have converted) to Ratchets
BC.PR.B FixedFloater +1.8327% Closed at 25.56-84, 5×5. The potential tender is at $25.95
BCE.PR.Y Scraps +3.2787% Closed at 25.20-50, 10×5. The potential tender is at $25.60
Volume Highlights
Issue Index Volume Notes
BC.PR.E Ratchet 82,000 Mr. “Anonymous” sold a lot of shares today! RBC bought 25,000 @ 25.31 and two tranches of 10,000 each at 25.32; Scotia bought 15,000 @ 25.31 in two lots, then another 15,000 @ 25.32 in another two lots. Closed at 25.36-54, 20×10. The potential tender is at $25.60
POW.PR.A PerpetualPremium 34,133 National crossed 32,100 @ 25.72. Currently callable at $25.50, declining by $0.25 every June. It pays $1.40 … therefore the company has a net cost per annum of $1.15 to keep it outstanding, so that’s what they’re doing and saving issuance costs. YTW is currently negative, but will have been 3.99% if the issue remains alive until a call at $25.00 in 2008. This is an expensive perpetual, but a cheap retractible! Somebody’s betting on low rates continuing for another two years!
GWO.PR.I PerpetualDiscount 19,335 Comparable quality to SLF.PR.C and SLF.PR.D, but pays a little more!
SLF.PR.D PerpetualDiscount 15,800 Holding its own, anyway!
MFC.PR.B PerpetualPremium 11,750  

There was only one other index-included issue trading over 10,000 shares today.

2 Responses to “October 11, 2006”

  1. […] Easy come, easy go – the issue was down 0.7168% on the day. It would seem there is some question in the marketplace as to whether the tender will come to pass. […]

  2. […] POW.PR.A hasn’t been mentioned much in this blog, but made the volume charts on October 11, 2006. At the close of business yesterday, October 18, it was quoted at $25.81-87, pays $1.40, and the next ex-date is (somewhere around) December 20. […]

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