June 29, 2007

Another quarter’s been put to bed! Today was a strong day for bonds and a good day for bond traders, who quit work early in the afternoon. I’ve never quite understood how they get away with that, but they do put in pretty long hours.

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 5.71% 5.78% 26,472 14.41 2 +0.0442% 960.3
Fixed-Floater 5.65% 5.98% 139,701 14.31 7 -0.4211% 894.4
Floater 4.83% 1.65% 86,666 5.64 3 +0.1898% 1,049.1
Op. Retract 4.83% 4.02% 84,365 3.14 17 +0.1554% 1,021.3
Split-Share 5.04% 4.60% 148,139 4.16 15 +0.1200% 1,044.7
Interest Bearing 6.77% 6.95% 82,512 6.13 4 +0.3422% 1,031.4
Perpetual-Premium 5.42% 5.12% 149,690 7.42 34 +0.1280% 1,022.4
Perpetual-Discount 5.07% 5.10% 483,253 15.33 29 +0.1450% 965.8
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixFloat -2.0277%  
ELF.PR.G PerpetualDiscount -1.5116% Now with a pre-tax bid-YTW of 5.40% based on a bid of 22.06 and a limitMaturity.
BCE.PR.Z FixFloat -1.5111%  
CFS.PR.A SplitShare +1.0204% Now with a pre-tax bid-YTW of 4.47% based on a bid of 9.90 and a hardMaturity 2012-01-31 at 10.00.
BNS.PR.M PerpetualDiscount +1.1312% Now with a pre-tax bid-YTW of 5.14% based on a bid of 22.35 and a limitMaturity.
IAG.PR.A PerpetualDiscount +1.3514% Now with a pre-tax bid-YTW of 5.13% based on a bid of 22.50 and a limitMaturity.
BSD.PR.A InterestBearing +1.5086% Now with a pre-tax bid-YTW of 7.08% based on a bid of 9.42 and a hardMaturity 2015-3-31 at 10.00.
BCE.PR.A FixFloat +1.8981%  
Volume Highlights
Issue Index Volume Notes
BNS.PR.K PerpetualPremium (until the rebalancing takes effect!) 58,770 Now with a pre-tax bid-YTW of 4.95% based on a bid of 24.20 and a limitMaturity.
RY.PR.A PerpetualDiscount 19,497 Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.35 and a limitMaturity.
POW.PR.D PerpetualDiscount 18,345 Now with a pre-tax bid-YTW of 5.22% based on a bid of 23.96 and a limitMaturity.
NA.PR.L PerpetualPremium (until the rebalancing takes effect!) 17,700 Now with a pre-tax bid-YTW of 5.06% based on a bid of 24.25 and a limitMaturity.
BCE.PR.C FixFloat 14,890  

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

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