June 27, 2007

BCE issues were hammered again, presumably in a delayed reaction to the Telus affront. The FixedFloater index (comprised entirely of BCE issues) is above its early-June lows, but has now given up the monster gains that accompanied the initial approach.

CPD, the subject of a recent article, went ex-dividend on 6/26 for just a hair under $0.20 per share, so don’t faint when you look at the NAVs!

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 5.78% 5.78% 27,375 14.42 2 -0.0028% 958.9
Fixed-Floater 5.62% 5.91% 138,660 14.41 7 -1.7921% 899.0
Floater 4.84% 1.19% 87,293 11.21 3 -0.1335% 1,047.3
Op. Retract 4.84% 4.06% 86,360 3.33 17 -0.0451% 1,019.7
Split-Share 5.04% 4.60% 153,957 3.88 15 +0.0773% 1,043.6
Interest Bearing 6.77% 6.93% 85,715 6.14 4 +0.2953% 1,032.3
Perpetual-Premium 5.43% 5.16% 150,453 7.94 34 +0.1308% 1,020.0
Perpetual-Discount 5.06% 5.10% 497,685 15.32 29 +0.1485% 965.3
Major Price Changes
Issue Index Change Notes
BCE.PR.A FixFloat -4.1612%  
BCE.PR.I FixFloat -3.0884%  
BCE.PR.G FixFloat -2.4673%  
BCE.PR.R FixFloat -2.4390%  
PWF.PR.D OpRet -1.6573% Now with a pre-tax bid-YTW of 4.46% based on a bid of 26.11 and a softMaturity 2012-10-30 at 25.00.
POW.PR.D PerpetualDiscount +1.0879% Now with a pre-tax bid-YTW of 5.18% based on a bid of 24.16 and a limitMaturity.
POW.PR.C PerpetualPremium +1.2326% Now with a pre-tax bid-YTW of 5.30% based on a bid of 25.46 and a call 2012-1-5 at 25.00.
ELF.PR.G PerpetualDiscount +1.2745% Now with a pre-tax bid-YTW of 5.44% based on a bid of 22.25 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 54,458 Now with a pre-tax bid-YTW of 5.06% based on a bid of 23.20 and a limitMaturity.
RY.PR.B PerpetualDiscount 34,186 Now with a pre-tax bid-YTW of 4.99% based on a bid of 23.77 and a limitMaturity.
BNS.PR.M PerpetualDiscount 32,035 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.66 and a limitMaturity.
RY.PR.F PerpetualDiscount 30,345 Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.30 and a limitMaturity.
GWO.PR.I PerpetualDiscount 21,083 Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.20 and a limitMaturity.

There were twenty-six other $25-equivalent index-included issues trading over 10,000 shares today.

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