| 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 | 4.01% | 3.88% | 84,498 | 3.90 | 1 | -0.0398% | 1,046.9 |
| Fixed-Floater | 4.97% | 3.53% | 112,983 | 4.61 | 5 | +0.1750% | 1,041.4 |
| Floater | 4.72% | -16.95% | 76,631 | 0.48 | 3 | 0.0000% | 1,048.1 |
| Op. Retract | 4.71% | 2.43% | 76,314 | 2.12 | 17 | +0.1821% | 1,031.5 |
| Split-Share | 5.07% | 1.05% | 208,754 | 3.25 | 15 | +0.0439% | 1,043.8 |
| Interest Bearing | 6.50% | 4.11% | 63,264 | 2.33 | 5 | -0.0853% | 1,036.9 |
| Perpetual-Premium | 5.01% | 3.55% | 262,920 | 5.11 | 53 | +0.0725% | 1,055.7 |
| Perpetual-Discount | 4.54% | 4.53% | 835,301 | 14.21 | 9 | +0.0940% | 1,064.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ACO.PR.A | OpRet | +1.2887% | TD crossed 33,000 at 27.95 and were on the buy side for all other board-lot trades today, four tranches executed immediately prior to the cross at prices from 27.60 to 27.95. At those prices yesterday’s cross at 27.50 was a bargain! At the closing quotation of 27.51-98, the pre-tax YTW quote is 2.29%-1.32%. Too rich for my blood, but quite normal for this issue. However, the graph of Modified-Duration-to-Worst shows the situation to be unsustainable … we will see within two years just whether Atco, with its stellar operating results really wants to pay $1.4375 p.a. for a retractible … even with the redemption cost declining by $0.50 annually.
The MDTW graph is quite instructive, by the way (one point was killed for being off the curve, but the YTW scenario has been very stable over the past year). See those little jumps interupting a downward line? That’s the dividends being paid. Hmm … maybe there’s an article in there somewhere … |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BCE.PR.G | FixFloat | 506,800 | Nesbitt crossed 500,000 at 25.50. |
| BCE.PR.R | FixedFloater | 305,600 | Nesbitt crossed 50,000 at 25.50, then another 253,500 at the same price. This was also an active trader yesterday. |
| BCE.PR.H | Ratchet | 240,000 | Nesbitt crossed 240,000 at $25.12 |
| BCE.PR.Z | FixFloat | 204,435 | |
| BCE.PR.T | Scraps (would be FixFloat, but there are volume concerns) | 117,450 | No volume concerns today! Nesbitt crossed 115,000 at 25.80. |
| BCE.PR.C | FixFloat | 102,400 | Nesbitt crossed 100,000 at 25.60 |
There were sixteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
Poor old BCE.PR.A! The only member of the FixFloat Index not to be traded in size today!