July 25, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.16% 4.17% 100,269 17.09 2 +0.0802% 997.8
Fixed-Floater 5.19% 4.16% 100,032 13.50 5 0.2057% 999.8
Floater 4.54% -15.19% 61,553 6.45 5 0.0407% 1,004.4
Op. Retract 4.74% 3.35% 80,532 2.98 18 0.1594% 995.0
Split-Share 5.17% 4.18% 48,741 3.03 14 -0.0569% 999.4
Interest Bearing 6.85% 5.02% 66,919 2.21 7 0.2830% 1,011.1
Perpetual 5.19% 4.57% 194,134 7.01 54 0.1012% 1,003.4
Major Price Changes
Issue Index Change Notes
BNA.PR.B SplitShare -1.00% 1,600 shares traded
WN.PR.B OpRet +1.50% 2,741 shares traded … YTW is now only 3.29%
HSB.PR.D Perpetual +1.17% 5,600 shares traded – RBC bought all day. A retail broker getting excited, maybe?
Volume Highlights
Issue Index Volume Notes
MFC.PR.C Perpetual 263,565 Gained 0.25% on day
BC.PR.C Fixed Floater 167,749 Gained 0.32% on day
CM.PR.C Perpetual 114,690 BMO bought 10,000 from Scotia @26.91, then crossed 68,550 @27.00 on delayed delivery. The YTW at the closing bid of 26.91 is only 2.50% pretax.

There were 20 issues with volume in excess of 10,000 shares.

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