July 13, 2007

Bonds closed the week on a happy note, while Dura Automotive Systems reminded investors why junk got such a pejoritive name. New junk issues slowed this week as a few issues were pulled amid widening spreads.

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 5.28% 5.30% 27,711 15.00 2 +0.4202% 1,019.3
Fixed-Floater 5.03% 5.33% 138,861 13.66 8 +0.4455% 1,004.2
Floater 4.86% 0.26% 79,603 4.17 4 -0.0199% 1,048.5
Op. Retract 4.83% 4.07% 84,959 2.80 16 -0.1345% 1,021.0
Split-Share 5.05% 4.57% 119,174 3.99 17 -0.0042% 1,047.0
Interest Bearing 6.22% 6.34% 66,250 4.42 3 -0.2031% 1,036.1
Perpetual-Premium 5.54% 5.16% 118,589 5.28 26 -0.0193% 1,021.8
Perpetual-Discount 5.12% 5.15% 361,990 14.86 38 +0.0583% 964.2
Major Price Changes
Issue Index Change Notes
GWO.PR.E OpRet -1.8641% Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.27 and a call 2011-4-30 at 25.00. There is still some some uncertainty about GWO’s capital market plans, despite the recent successful bond issue.
CFS.PR.A SplitShare -1.400% Now with a pre-tax bid-YTW of 4.61% based on a bid of 9.86 and a hardMaturity 2012-1-31 at 10.00.
FFN.PR.A SplitShare +1.3553% Now with a pre-tax bid-YTW of 4.55% based on a bid of 10.47 and a hardMaturity 2014-12-1 at 10.00.
Volume Highlights
Issue Index Volume Notes
BMO.PR.J PerpetualDiscount 18,165 Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.40 and a limitMaturity.
TOC.PR.B Floater 17,300 National Bank crossed 17,300 at 25.20 in the day’s only trade. Still on credit review negative by DBRS.
POW.PR.B PerpetualDiscount 16,700 Now with a pre-tax bid-YTW of 5.46% based on a bid of 24.56 and a limitMaturity.
SLF.PR.C PerpetualDiscount 14,795 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.15 and a limitMaturity.
SLF.PR.D PerpetualDiscount 13,458 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.15 and a limitMaturity.

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

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