August 1, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.57% 4.53% 26,925 16.76 2 -0.1002% 993.9
Fixed-Floater 4.94% 4.21% 305,581 6.85 6 0.00% 1,002.5
Floater 4.60% -14.72% 59,050 6.45 5 0.0085% 1,003.5
Op. Retract 4.72% 2.95% 78,843 2.66 18 0.3122% 999.1
Split-Share 5.01% 3.70% 59,815 2.74 10 0.0457% 1,002.3
Interest Bearing 6.86% 5.15% 65,327 2.19 7 0.1094% 1,010.9
Perpetual-Premium 5.30% 4.33% 123,416 3.98 41 0.0887% 1,006.9
Perpetual-Discount 4.77% 4.80% 392,028 15.84 13 0.1289% 1,006.8
Major Price Changes
Issue Index Change Notes
None!
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 176,467  
BMO.PR.I OpRet 75,517 Anonymous internal cross, 74,500 @ 25.79
BC.PR.C FixedFloater 58,669 See the Change in Terms
BNS.PR.K PerpetualPremium 55,350 RBC crossed 50,000 @ 25.20
TD.PR.M OpRet 49,250 Anonymous internal cross @ 27.55

There were seven other index-included issues with volume in excess of 10,000 shares.

Note that there were changes in index construction today.

3 Responses to “August 1, 2006”

  1. August 1, 2006

    nice..

  2. Drew says:

    Should we continue to disregard the HIMIPref valuation of BC.PR.C?

  3. jiHymas says:

    Yes: the valuation of BC.PR.C (discussed in HIMIPref Data Update Delay, 2006-08-02) is a quirk of the programming that I am attempting to hunt down and should be disregarded for the month of August

Leave a Reply

You must be logged in to post a comment.