June 18, 2007

A relatively quiet day. Canadian bonds were down a bit, US bonds up a bit (I’m speaking in terms of prices!). There might be some excitement tomorrow with the CPI Number.

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 5.61% 5.71% 30,321 14.35 2 -0.3058% 955.8
Fixed-Floater 5.60% 5.78% 135,619 14.58 7 -0.4424% 897.8
Floater 4.83% 2.78% 92,011 5.88 3 -0.3068% 1,048.0
Op. Retract 4.82% 3.92% 85,402 3.32 17 -0.1928% 1,020.8
Split-Share 5.04% 4.67% 169,579 4.00 15 -0.0355% 1,039.7
Interest Bearing 6.76% 7.05% 89,491 6.11 4 -0.5285% 1,025.9
Perpetual-Premium 5.42% 5.22% 150,409 8.58 34 -0.0015% 1,015.4
Perpetual-Discount 5.08% 5.13% 534,062 15.28 29 +0.0892% 960.1
Major Price Changes
Issue Index Change Notes
BCE.PR.A FixFloat -1.7865%  
BCE.PR.I FixFloat -1.4699%  
BSD.PR.A InterestBearing -1.1423% Now with a pre-tax bid-YTW of 6.87% (as interest) based on a bid of 9.52 and a hardMaturity 2015-3-31 at 10.00. How many people have worse credits than this in the RRSP yielding less? Stick your hands up!
FIG.PR.A InterestBearing -1.0204% Now with a pre-tax bid-YTW of 7.05% (as interest) based on a bid of 9.70 and a hardMaturity 2014-12-31 at 10.00. See above question!
ALB.PR.A SplitShare +1.0077% Now with a pre-tax bid-YTW of 4.26% based on a bid of 25.06 and a call 2008-3-29 at 25.00.
BAM.PR.M PerpetualDiscount +1.0565% Now with a pre-tax bid-YTW of 5.42% based on a bid of 22.00 and a limitMaturity.
CM.PR.H PerpetualDiscount +1.2335% Now with a pre-tax bid-YTW of 5.11% based on a bid of 23.80 and a limitMaturity.
BAM.PR.N PerpetualDiscount +1.5525% Now with a pre-tax bid-YTW of 5.36% based on a bid of 22.24 and a limitMaturity.
NA.PR.L PerpetualPremium (for now!) +1.6835% Now with a pre-tax bid-YTW of 5.07% based on a bid of 24.16 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 116,678 RBC crossed 50,000 at 22.25, then Nesbitt crossed 45,100 at the same price. Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.17 and a limitMaturity.
HSB.PR.D PerpetualPremium 93,150 National Bank bought a few shares in the afternoon, including a cross of 41,100 at 25.20. Now with a pre-tax bid-YTW of 4.88% based on a bid of 25.20 and a call 2015-1-30 at 25.00.
BNS.PR.L PerpetualDiscount 57,190 National Bank crossed 42,200 at 22.75. Now with a pre-tax bid-YTW of 5.01% based on a bid of 22.77 and a limitMaturity.
NA.PR.L PerpetualDiscount 34,000 National Bank crossed 25,200 at 24.25 and was on the buy side for numerous trades in the afternoon. Now with a pre-tax bid-YTW of 5.07% based on a bid of 24.16 and a limitMaturity.
SLF.PR.D PerpetualDiscount 31,820 Now with a pre-tax bid-YTW of 5.10% based on a bid of 21.90 and a limitMaturity.

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

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