August 11, 2006

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 4.34% 4.30% 26,084 16.69 2 -0.3580% 994.5
Fixed-Floater 4.94% 4.16% 260,451 12.10 6 -0.1120% 1,002.6
Floater 4.60% -15.49% 58,372 6.48 5 -0.0237% 1,005.5
Op. Retract 4.71% 3.11% 76,392 2.70 18 -0.0576% 1,003.2
Split-Share 5.01% 3.61% 56,630 2.78 10 0.0380% 1,003.4
Interest Bearing 6.86% 5.41% 61,694 2.16 7 0.0253% 1,008.7
Perpetual-Premium 5.29% 4.24% 174,239 4.24 42 0.0604% 1,009.4
Perpetual-Discount 4.73% 4.78% 358,602 15.15 13 0.0790% 1,013.1
Major Price Changes
Issue Index Change Notes
There were no major price changes of index-included issues today!
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 200,800 BMO crossed 200,000 @ 24.40
CM.PR.G PerpetualPremium 136,700 National Crossed 24,000 @ 26.50; BMO bought 99,700 from National @26.49
WN.PR.E PerpetualDiscount 129,842  
TOC.PR.B FloatingRate 60,161 BMO crossed 36,800 @ 25.45
GWO.PR.F PerpetualPremium 56,069 Scotia crossed 56,000 @ 27.18The YTW is 3.90% with a modified duration of 2.07 at the closing bid of 27.15

Another active day. There were nine other “normal” (determined by par value) issues included within the indices that traded more than 10,000 shares.

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