| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 |
| Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
5.66% |
5.78% |
29,564 |
14.40 |
2 |
+0.3098% |
959.9 |
| Fixed-Floater |
5.40% |
5.61% |
139,067 |
14.65 |
7 |
+0.2492% |
931.4 |
| Floater |
4.83% |
2.31% |
89,320 |
5.85 |
3 |
+0.0941% |
1,048.5 |
| Op. Retract |
4.83% |
3.97% |
85,920 |
3.12 |
17 |
+0.0440% |
1,020.2 |
| Split-Share |
5.02% |
4.57% |
158,983 |
3.98 |
15 |
+0.0636% |
1,043.7 |
| Interest Bearing |
6.80% |
7.15% |
85,677 |
6.12 |
4 |
-0.2294% |
1,022.6 |
| Perpetual-Premium |
5.41% |
5.18% |
149,877 |
8.33 |
34 |
+0.0403% |
1,018.5 |
| Perpetual-Discount |
5.06% |
5.11% |
509,165 |
15.30 |
29 |
-0.1440% |
964.6 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| SLF.PR.A |
PerpetualDiscount |
-1.5481% |
Now with a pre-tax bid-YTW of 5.06% based on a bid of 23.53 and a limitMaturity. |
| BAM.PR.N |
PerpetualDiscount |
-1.0835% |
Now with a pre-tax bid-YTW of 5.45% based on a bid of 21.91 and a limitMaturity. |
| W.PR.H |
PerpetualPremium |
+1.2749% |
Now with a pre-tax bid-YTW of 5.40% based on a bid of 25.42 and a limitMaturity (which seems odd, I know, but almost the entire premium is about to be paid as a dividend). |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| SLF.PR.E |
PerpetualDiscount |
68,200 |
Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.25 and a limitMaturity. |
| TD.PR.O |
PerpetualPremium (for now!) |
55,100 |
Now with a pre-tax bid-YTW of 5.07% based on a bid of 24.25 and a limitMaturity. |
| BMO.PR.J |
PerpetualDiscount |
54,916 |
Now with a pre-tax bid-YTW of 5.12% based on a bid of 22.19 and a limitMaturity. |
| MFC.PR.B |
PerpetualDiscount |
54,687 |
There was an anonymous seller of 18,800 to RBC and 11,200 to Nesbitt, in four tranches, all at 23.50. Now with a pre-tax bid-YTW of 4.97% based on a bid of 23.50 and a limitMaturity. |
| ALB.PR.A |
SplitShare |
34,763 |
Now with a pre-tax bid-YTW of 4.11% based on a bid of 25.10 and a call at 25.00 2008-3-29. |
There were thirteen other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, June 26th, 2007 at 12:09 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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