October 4, 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 4.28% 4.21% 42,517 10.51 2 0.1002% 1,015.7
Fixed-Floater 5.00% 4.01% 216,451 12.38 7 0.0794% 1,017.2
Floater 4.52% -19.54% 80,475 6.53 5 -0.2086% 1,020.8
Op. Retract 4.67% 2.49% 90,995 2.43 17 0.0308% 1,017.1
Split-Share 4.92% 3.12% 60,375 3.05 10 0.0379% 1,017.6
Interest Bearing 6.89% 4.74% 53,759 2.05 7 0.1077% 1,022.4
Perpetual-Premium 5.12% 3.93% 176,642 4.23 47 -0.0108% 1,030.1
Perpetual-Discount 4.59% 4.61% 324,524 16.20 6 0.0069% 1,038.0
Major Price Changes
Issue Index Change Notes
PWF.PR.A Floater -1.5504% Giving up most of yesterday’s gains on good volume of 21,600 shares. Scotia crossed 20,000 @ 25.45
Volume Highlights
Issue Index Volume Notes
TD.PR.O PerpetualPremium 131,245 Nesbitt had an internal cross @ 26.07
IGM.PR.A OpRet 131,114  
PWF.PR.L PerpetualPremium 116,100 There were a number of blocks put through today: RBC crossed 43,900 @ 26.15, followed by National (10,000), Scotia (25,000) and National again (10,000) at the same price. Scotia then crossed 24,700 @ 26.25 just before the close. At a closing bid of 26.15, this issue still has a Pre-tax YTW of 4.62% based on a call in 2015.
GWO.PR.G PerpetualPremium 102,960 RBC crossed 100,000 shares @ 26.55
PWF.PR.G PerpetualPremium 102,000 Scotia crossed 100,000 shares at $26.55 (a popular price for 100,000 share lots of issues ending in G today). For this issue, the Pre-Tax YTW at the closing bid of $26.51 is 4.56% based on a call in 2007 … if it survives to its call-at-par date in 2011, the yield will have been 4.77%. Doesn’t seem like there’s much upside to this issue, though.
ELF.PR.F PerpetualPremium 100,000 Nesbitt crossed 100,000 @ $26.25. This issue has a YTW of 4.57% based on a call in 2013, but since it’s only rated Pfd-2(low) by DBRS, it seems expensive at the closing quote of 26.10-41, especially since the new issue comes with a coupon of 4.75%.

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

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