| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.14% | 4.16% | 103,936 | 17.13 | 2 | +0.0802% | 997.0 |
| Fixed-Floater | 5.20% | 4.17% | 95,964 | 13.49 | 5 | 0.0869% | 997.8 |
| Floater | 4.54% | -15.38% | 61,155 | 6.43 | 5 | 0.2491% | 1,004.0 |
| Op. Retract | 4.75% | 3.48% | 80,782 | 2.99 | 18 | -0.0679% | 993.4 |
| Split-Share | 5.17% | 4.23% | 49,600 | 3.10 | 14 | -0.0009% | 999.9 |
| Interest Bearing | 6.87% | 5.30% | 66,930 | 2.21 | 7 | -0.0233% | 1,008.2 |
| Perpetual | 5.20% | 4.61% | 195,623 | 7.02 | 54 | 0.0520% | 1,002.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| TDS.PR.B | SplitShare | -1.05% | 2,990 shares traded, which was enough to blow through the bid. Some traded at 28.01, a penny above the 52-week low, but it closed at 28.25-49. Not much size on the bid, though! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| WN.PR.E | Perpetual | 304,550 | Huge volume for a pref! But 300,000 of this was an internal cross [both sides of the trade were controlled by the same asset manager] by BMO @24.00. |
| RY.PR.W | Perpetual | 258,700 | Second day of good volume. 175,000 was an internal cross by BMO @25.40; 38,100 was a CSH Cross by Global (cash trade, not three-day-settlement) @25.88; and 38,100 (presumably the same 38,100) was a cross by Global @25.57. Closed at 25.31-56. Man, did the purchaser of that CSH transaction get screwed! Perhaps it was a buy-in notice? |
| SLF.PR.C | Perpetual | 179,650 | 175,000 internal cross by BMO @24.02 |
| TD.PR.M | OpRet | 175,500 | 175,000 internal cross by BMO @27.30 |
| TD.PR.O | Perpetual | 112,700 | 100,000 internal cross by BMO @25.25 |
A busy day for BMO, if no-one else! If they were able to charge a nickel a share on the crosses, then they went home with a warm, fuzzy feeling. Somebody’s rejigging his pref portfolio!
RY.PR.A closed at 24.18-25, while RY.PR.B ended at 24.45-50, so perhaps things are beginning to normalize a little … at least so far as that particular pair is concerned!
There were 20 issues with volume in excess of 10,000 shares.
Update, 2006-07-27: Just realized! The ex-date for the RY.PR.W was July 24, so the purchaser of the CSH – settled RY.PR.W got the dividend of $0.30625.