| 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% |
27,146 |
16.60 |
2 |
0.1214% |
988.1 |
| Fixed-Floater |
4.98% |
4.27% |
258,200 |
13.97 |
6 |
-0.6151% |
994.6 |
| Floater |
4.57% |
-22.39% |
59,999 |
6.42 |
5 |
0.2253% |
1,012.4 |
| Op. Retract |
4.71% |
2.88% |
76,317 |
2.57 |
18 |
0.0821% |
1,003.9 |
| Split-Share |
5.01% |
3.53% |
55,913 |
2.75 |
10 |
-0.1889% |
1,003.0 |
| Interest Bearing |
6.84% |
5.19% |
60,185 |
2.12 |
7 |
0.0172% |
1,012.0 |
| Perpetual-Premium |
5.27% |
4.13% |
164,875 |
3.77 |
42 |
0.0849% |
1,013.6 |
| Perpetual-Discount |
4.72% |
4.73% |
341,736 |
13.09 |
13 |
-0.0179% |
1,019.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.A |
FixedFloater |
-3.89% |
Bid disappeared after about 1,100 shares traded at 25.19 at the close. Closing bid was $24.22 |
| FTN.PR.A |
SplitShare |
-1.34% |
15,180 shares traded, a relatively heavy day for this issue |
| AL.PR.F |
Floater |
+1.29% |
On average volume |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| SLF.PR.A |
PerpetualDiscount |
204,300 |
|
| PWF.PR.L |
PerpetualPremium |
121,822 |
|
| RY.PR.A |
PerpetualDiscount |
76,600 |
BMO bought 71,400 from Scotia at $24.40 |
| IGM.PR.A |
OperatingRetractible |
46,393 |
Scotia crossed 40,000 @ 28.00. This the highest priced issue in the OperatingRetractible index, with a coupon of $1.4375 and a pre-tax YTW of 3.08% @$28.00 |
| WN.PR.E |
PerpetualDiscount |
21,628 |
|
There were six other index-included issues with volumes of more than 10,000 shares.
The YTW on RY.PR.K (an operating retractible) moved back into positive territory today, pre-tax YTW of 3.48% based on a closing bid of $25.27
This entry was posted on Tuesday, August 22nd, 2006 at 8:51 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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