September 28, 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 4.33% 4.34% 50,761 16.79 1 0.6048% 1,018.7
Fixed-Floater 4.91% 3.90% 263,184 9.00 6 0.1844% 1,014.9
Floater 4.62% -18.77% 98,080 8.13 4 0.0100% 1,018.8
Op. Retract 4.68% 2.11% 85,380 2.11 18 0.0902% 1,017.4
Split-Share 4.98% 2.98% 60,740 2.67 10 -0.0723% 1,015.1
Interest Bearing 6.88% 4.45% 55,267 1.83 7 -0.0915% 1,024.4
Perpetual-Premium 5.15% 3.92% 175,684 4.33 48 0.0310%* 1,027.7*
Perpetual-Discount 4.58% 4.60% 331,283 16.24 6 0.0403% 1,039.9
* Corrected due to error on ELF.PR.F
Major Price Changes
Issue Index Change Notes
ELF.PR.F PerpetualPremium -1.3268% Volume of 4,750 shares. Perhaps this price move is a result of the new issue? This issue now has a pre-tax YTW of 4.82%, based on a bid price of 26.03 and a call in 2013. They still look expensive to me. Note added 2006-09-29 : Mea Culpa. They went ex-dividend on 9/28, not 9/29 as I had originally recorded. So: the 9/28 total return wasn’t as exciting as first thought … but that just makes them more expensive
ACO.PR.A OpRet +2.3542% Vaults 3 places in the rankings to become the highest priced Operating Retractible! At the bid of $28.26, it has a pre-tax YTW of 1.78% based on a call in December 2008, but will have achieved 3.11% if it survives ’til its ‘Soft Maturity’ in 2011.
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 550,790 Desjardins bought 275,000 from ‘Anonymous’ at $28.10, then crossed 275,000 at $28.13 a minute (or so) later.
FTS.PR.F Scraps 152,035 Sure, it’s only rated Pfd-3(high), but it’s its first day of trading, after all! Every issue should have one day in the sun!
BC.PR.C FixedFloater 64,427  
MFC.PR.C PerpetualDiscount 34,700  
FTN.PR.A SplitShare 29,900 Anonymous bought 10,000 from Nesbitt at $10.50. Closed at $10.42-49

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

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