August 22, 2006

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

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