June 26, 2007

BCE issues were very disappointed to learn that Telus doesn’t want BCE and lost back much of their recent gains. Predict this, predict that, no information … what a life, eh? I’ll stick to analyzing cash-flows.

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 5.68% 5.80% 28,411 14.38 2 -0.1100% 958.9
Fixed-Floater 5.50% 5.74% 140,272 14.48 7 -1.7177% 915.4
Floater 4.83% 1.82% 88,177 5.84 3 +0.0269% 1,048.7
Op. Retract 4.83% 3.92% 86,021 3.05 17 -0.0033% 1,020.2
Split-Share 5.03% 4.60% 156,131 4.04 15 -0.0881% 1,042.8
Interest Bearing 6.76% 7.08% 86,386 6.33 4 +0.6535% 1,029.2
Perpetual-Premium 5.42% 5.18% 150,239 8.35 34 +0.0182% 1,018.6
Perpetual-Discount 5.07% 5.11% 501,898 15.30 29 -0.0697% 963.9
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixFloat -5.3555%  
BCE.PR.C FixFloat -2.3504%  
BCE.PR.A FixFloat -1.8065%  
CM.PR.J PerpetualDiscount -1.7301% Now with a pre-tax bid-YTW of 5.16% based on a bid of 21.80 and a limitMaturity.
LFE.PR.A SplitShare -1.4205% Now with a pre-tax bid-YTW of 4.49% based on a bid of 10.41 and a hardMaturity 2012-12-1 at 10.00
RY.PR.A PerpetualDiscount -1.4141% Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.31 and a limitMaturity.
BCE.PR.G FixFloat -1.2230%  
BSD.PR.A InterestBearing +1.0638% Now with a pre-tax bid-YTW of 6.93% (as interest) based on a bid of 9.50 and a hardMaturity 2010-5-1 at 10.00
FIG.PR.A InterestBearing +1.8908% Now with a pre-tax bid-YTW of 6.80% (as interest) based on a bid of 9.70 and a hardMaturity 2014-12-31 at 10.00
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 503,325 Haven’t seen one of these for a while! Global crossed 249,300 for cash at 26.06, then crossed 249,300 for regular settlement at 25.72. Went ex-dividend today for 0.33125. Now with a pre-tax bid-YTW of 4.66% based on a bid of 25.51 and a softMaturity 2011-7-30 at 25.00.
BPO.PR.F Scraps (would be OpRet, but there are credit concerns) 103,846 Desjardins crossed 100,000 at 25.75. //Now with a pre-tax bid-YTW of 5.52% based on a bid of 25.62 and a softMaturity 2013-3-30 at 25.00.
GWO.PR.G PerpetualPremium (for now!) 56,135 RBC crossed 50,000 at 24.70. Now with a pre-tax bid-YTW of 5.30% based on a bid of 24.60 and a limitMaturity.
BCE.PR.C FixFloat 31,705  
RY.PR.G PerpetualDiscount 25,500 Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.50 and a limitMaturity.
SLF.PR.E PerpetualDiscount 23,900 Now with a pre-tax bid-YTW of 5.07% based on a bid of 22.30 and a limitMaturity

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

One Response to “June 26, 2007”

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