| 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.
August 1, 2006
nice..
Should we continue to disregard the HIMIPref valuation of BC.PR.C?
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