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.