July 3, 2007

Well, I had a marvellous dinner with a very good friend, but it left no time to do much beyond the most vital system updating! I’ll catch up tomorrow, but in the meantime, feast your eyes on the average returns of the Ratchet Rate Index and the Fixed Floater Index. It will be a while before we see those kinds of numbers again!

Later:

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 5.34% 5.35% 27,574 14.93 2 +6.9262% 1,026.9
Fixed-Floater 5.02% 5.28% 134,587 15.14 8 +12.3231% 1,004.6
Floater 4.66% -0.09% 75,367 4.27 4 +0.0411% 1,049.5
Op. Retract 4.82% 3.86% 87,687 2.88 16 -0.0110% 1,021.2
Split-Share 5.06% 4.72% 132,266 4.11 17 -0.0996% 1,043.7
Interest Bearing 6.23% 6.42% 71,433 4.46 3 +0.2754% 1,034.3
Perpetual-Premium 5.51% 5.12% 123,415 4.52 26 +0.0243% 1,022.6
Perpetual-Discount 5.10% 5.14% 407,912 15.27 38 -0.0447% 965.4
Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare -1.1374%  
BCE.PR.H Ratchet +6.0246%  
BCE.PR.C FixFloat +7.2374%%  
BCE.PR.S Ratchet +7.8222%  
BCE.PR.Z FixFloat +8.7545%  
BCE.PR.A FixFloat +9.9500%  
BCE.PR.T FixFloat +15.3846%  
BCE.PR.R FixFloat +16.9747%  
BCE.PR.I FixFloat +19.7922%  
BCE.PR.G FixFloat +20.3937%  
Volume Highlights
Issue Index Volume Notes
WFS.PR.A SplitShare 286,953  
BCE.PR.I FixFloat 94,077  
BCE.PR.A FixFloat 49,149  
BCE.PR.R FixFloat 44,965  
SLF.PR.B PerpetualDiscount 41,007  

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

One Response to “July 3, 2007”

  1. […] The BCE issues settled back a little after their enormous gains of yesterday – I suspect that they’ll be volatile for a little while longer, as greed wars with fear. I wrote yet another post on the BCE/Teachers Plan of Arrangement today and estimated that taking out the preferreds is costing the common shareholders $1.50 per share. […]

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