| 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 |
4.33% |
4.33% |
27,064 |
16.73 |
2 |
0.1808% |
996.9 |
| Fixed-Floater |
4.94% |
4.13% |
278,149 |
6.96 |
6 |
+0.2064% |
1,003.6 |
| Floater |
4.60% |
-15.74% |
59,351 |
6.50 |
5 |
0.2320% |
1,006.5 |
| Op. Retract |
4.72% |
3.04% |
77,385 |
2.71 |
18 |
0.0642% |
1,001.2 |
| Split-Share |
5.01% |
3.84% |
58,552 |
2.80 |
10 |
-0.087% |
1,002.1 |
| Interest Bearing |
6.85% |
5.15% |
62,987 |
1.94 |
7 |
0.0200% |
1,010.9 |
| Perpetual-Premium |
5.30% |
4.41% |
178,424 |
4.06 |
42 |
0.0801% |
1,007.4 |
| Perpetual-Discount |
4.76% |
4.80% |
367,687 |
15.14 |
13 |
0.0473% |
1,006.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| CM.PR.A |
OpRet |
+1.50% |
No shares traded! The bid is now 27.00-51, 5×12, up from 26.60-58 yesterday. The YTW at the bid is 1.50% |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| PWF.PR.L |
PerpetualPremium |
442,125 |
Heavy trading on its first day! See A sparkling debut for PWF.PR.L! |
| ACO.PR.A |
OpRet |
68,686 |
Global crossed 33,900 @28.60 for delayed delivery; and then 33,900 @28.25 for regular settlement. The ex-date was today, dividend of $0.359375. Clearly some kind of dividend-capture strategy at work here. |
| SLF.PR.B |
PerpetualDiscount |
31,236 |
National Bank crossed 10,000 @ $25.00 after selling 8,000 to BMO at $25.03 |
| RY.PR.K |
OpRet |
14,737 |
BMO crossed 13,500 @ $25.20 |
This entry was posted on Friday, August 4th, 2006 at 11:17 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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