August 4, 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 4.33% 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

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