March 7, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.01% 3.88% 94,665 3.89 1 +0.0398% 1,047.4
Fixed-Floater 4.96% 3.47% 108,528 4.62 5 +0.0394% 1,042.5
Floater 4.71% -16.38% 73,769 11.02 3 +0.0787% 1,048.4
Op. Retract 4.70% 2.31% 76,165 2.11 17 +0.1976% 1,033.3
Split-Share 5.07% 1.29% 196,780 3.24 15 -0.0002% 1,043.5
Interest Bearing 6.49% 3.46% 64,876 2.33 5 +0.0789% 1,038.3
Perpetual-Premium 5.00% 3.52% 254,148 5.34 53 +0.0674% 1,057.0
Perpetual-Discount 4.53% 4.54% 821,217 13.16 9 +0.0091% 1,066.3
Major Price Changes
Issue Index Change Notes
BAM.PR.I OpRet +1.2898% On volume of 454 shares, so perhaps not the most significant move ever recorded! But even after today’s move, it has a pre-tax bid-YTW of 4.17% based on a bid of $26.70 and a call 2009-7-30 at 25.75, which ain’t bad! It’s certainly the best in the Operating Retractible index!
Volume Highlights
Issue Index Volume Notes
BCE.PR.H RatchetRate 703,000 Wow! Nesbitt crossed 350,000, then Scotia crossed 150,000, and Nesbitt closed the trading with a cross of 200,000 – all crosses done at 25.12.
BCE.PR.A FixedFloater 417,780 Nesbitt crossed 417,300 at 25.30. Then another 80 as an odd-lot trade.
RY.PR.B PerpetualPremium 203,050 Nesbitt crossed 200,000 at 25.65. Now with a pre-tax bid-YTW of 4.38% based on a bid of $25.65 and a call 2015-9-23 at $25.00
BAM.PR.H OpRet 163,586 Nesbitt crossed 162,600 at 27.40. Now with a pre-tax bid-YTW of 2.27% based on a bid of $27.39 and a call 2008-10-30 at 25.75. It pays $1.4375, which is a whole big pile of money for a retractible, so I’m a little dubious about its chances of making it to the softMaturity 2012-3-30 at $25.00. Compare these yields with the BAM.PR.I … SAME issuer SAME index … and see why sometimes I despair of this market. Sure, the H is more liquid than the I – about three times more liquid, according to the averageTradingValue. But is there absolutely nobody out there holding H and prepared to chip away at the differential piecewise?
YPG.PR.A Scraps 157,010 Recent new issue. Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.75 and a softMaturity 2012-12-30.
SLF.PR.E PerpetualDiscount 122,660 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.91 and a limitMaturity.
PWF.PR.K PerpetualPremium 113,912 RBC crossed 50,000 at 26.25, the TD crossed the same number at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $26.20 and a call 2014-11-30 at $25.00.
CM.PR.J PerpetualPremium 111,330 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.96 and a limitMaturity.
BCE.PR.S Scraps (would be Ratchet Rate, but there are liquidity concerns) 100,000 Nesbitt crossed 100,000 at $25.20

There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

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