| 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 |
4.40% |
4.44% |
45,781 |
16.59 |
1 |
0.0805% |
1,011.4 |
| Fixed-Floater |
4.90% |
4.00% |
287,783 |
8.97 |
6 |
-0.0910% |
1,011.8 |
| Floater |
4.64% |
-18.70% |
96,595 |
8.10 |
4 |
-0.0396% |
1,016.5 |
| Op. Retract |
4.68% |
2.32% |
82,179 |
2.20 |
18 |
0.0435% |
1,014.4 |
| Split-Share |
4.98% |
3.07% |
58,538 |
2.68 |
10 |
0.0191% |
1,011.0 |
| Interest Bearing |
6.86% |
4.61% |
55,813 |
2.08 |
7 |
-0.0017% |
1,022.8 |
| Perpetual-Premium |
5.13% |
3.85% |
176,827 |
4.12 |
48 |
0.0660% |
1,026.9 |
| Perpetual-Discount |
4.59% |
4.60% |
331,945 |
16.23 |
6 |
0.0407% |
1,036.6 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| There were no index-included issues with absolute value of returns greater than 1% today. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| GWO.PR.I |
PerpetualDiscount |
261,340 |
RBC crossed 50,000 @ $24.68, then Scotia crossed 150,000 at the same price. |
| FTN.PR.A |
SplitShare |
134,240 |
Scotia crossed 60,000 @ $10.43, then 71,000 at the same price about 80 minutes later. These have a pre-tax YTW of 3.42% at the closing bid of $10.41, maturing in December 2008. |
| BC.PR.E |
Scraps |
131,600 |
Scotia crossed 50,000 @ 25.17, then 80,000 at the same price. This is a ratchet-rate preferred, paying $0.10 monthly, or $1.20 p.a., or 4.8% of face, or 80% of prime. It was discussed briefly in this post |
| GWO.PR.H |
PerpetualPremium |
107,075 |
Scotia crossed 99,900 @25.40. |
| POW.PR.B |
PerpetualPremium |
105,000 |
RBC crossed 100,000 @ 25.85. |
There were five other index-included issues trading over 10,000 shares today.
This entry was posted on Friday, September 22nd, 2006 at 9:09 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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