| 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 |
4.37% |
4.35% |
27,491 |
16.59 |
2 |
-0.6225% |
987.0 |
| Fixed-Floater |
4.95% |
4.23% |
260,148 |
16.56 |
6 |
-0.0794% |
1,000.7 |
| Floater |
4.58% |
-20.16% |
58,479 |
6.43 |
5 |
0.1990% |
1,010.1 |
| Op. Retract |
4.71% |
2.56% |
75,564 |
2.62 |
18 |
0.1002% |
1,003.1 |
| Split-Share |
5.00% |
3.45% |
55,827 |
2.75 |
10 |
0.0657% |
1,004.9 |
| Interest Bearing |
6.84% |
5.29% |
60,479 |
2.13 |
7 |
0.0094% |
1,011.8 |
| Perpetual-Premium |
5.27% |
4.19% |
165,201 |
3.92 |
42 |
-0.0314% |
1,012.7 |
| Perpetual-Discount |
4.72% |
4.72% |
342,788 |
13.08 |
13 |
-0.0014% |
1,020.1 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| There were no major price changes in index-listed issues on the day |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BMO.PR.I |
OpRet |
37,300 |
Scotia bought 35,000 in three tranches, 2×10,000 from CIBC and 15,000 from Desjardins, all at $25.50. The YTW at 25.45 is 2.23% |
| BNS.PR.K |
PerpetualPremium |
32,460 |
BMO bought 27,600 from HSBC in two tranches at 25.50. |
| TOC.PR.B |
Floater |
24,277 |
Anonymous bought 23,700 in two tranches (and therefore not necessarily the same anonymous!) from CIBC at 25.50 |
| PWF.PR.L |
PerpetualPremium |
15,108 |
|
| GWO.PR.I |
PerpetualDiscount |
14,610 |
|
There were six other index-included issues with volumes of more than 10,000 shares.
The YTW on RY.PR.K (an operating retractible) went negative today, based on its closing bid of 25.40.
This entry was posted on Monday, August 21st, 2006 at 10:03 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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