| 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 |
4.48% |
4.48% |
37,112 |
16.47 |
1 |
0.0000% |
992.2 |
| Fixed-Floater |
4.93% |
4.06% |
321,535 |
11.51 |
6 |
0.0881% |
1,006.6 |
| Floater |
4.62% |
-17.77% |
82,722 |
8.01 |
4 |
0.3515% |
1,012.6 |
| Op. Retract |
4.69% |
2.34% |
73,541 |
2.34 |
18 |
0.0586% |
1,011.3 |
| Split-Share |
4.97% |
3.68% |
53,448 |
2.74 |
10 |
0.0762% |
1,011.2 |
| Interest Bearing |
6.82% |
5.44% |
57,055 |
2.09 |
7 |
-0.2739% |
1,017.2 |
| Perpetual-Premium |
5.15% |
4.29% |
180,169 |
4.44 |
48 |
0.0009% |
1,021.5 |
| Perpetual-Discount |
4.61% |
4.63% |
311,176 |
16.18 |
6 |
-0.1201% |
1,029.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BAM.PR.S |
InterestBearing |
-1.4319% |
These still have a very high YTW at the closing bid price of 25.47, but not for long! They’re callable at par at the end of the year (see prefInfo or go to the horse’s mouth). All 3,600 shares of today’s trading took place in the range $25.80-95, so the bid probably doesn’t mean much anyway. |
| BC.PR.B |
FixedFloater |
+1.0081% |
Closed at $25.05-30. This is the counterpart to BC.PR.E … but that reset/ratchet/exchange happened last May, so it’s less exciting than the pair above. BC.PR.E closed at 25.07-15. Boring! What makes it even more boring is that this note is copied almost word-for-word from yesterday’s note! |
| AL.PR.E |
Floater |
+1.2153% |
Closed at $26.65-82 on volume of 900 shares. PrefInfo shows this as paying a floating rate defined as “Greater of a & b, where b is lesser of c and d; a is 72% of index, c is 100% of index, d is Flat Rate 7.5% (#6)” So it’s 100% of the index … not bad, but will they be called? Why should Alcan pay 100% of prime as a dividend? This is one of life’s mysteries. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BAM.PR.H |
OpRet |
115,064 |
Nesbitt crossed 40,000 @ 27.35, then 70,00 as an internal cross at the same price. This issue has a YTW of 3.13% at the closing bid of $27.34 |
| WN.PR.E |
PerpetualDiscount |
44,253 |
|
| BCE.PR.Z |
FixedFloater |
32,798 |
These closed at 25.45-59. These are exchangable with the BCE.PR.Y Ratchets in December 2007, which closed today at $24.50-79. Hmmm…. |
| PWF.PR.H |
PerpetualPremium |
31,000 |
Scotia crossed 30,000 @ 26.45 |
| ELF.PR.F |
PerpetualPremium |
30,000 |
Scotia crossed 30,000 @ 26.30, a very active day for this issue. |
There were ten other index-included issues trading over 10,000 shares today.
This entry was posted on Monday, September 11th, 2006 at 10:00 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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