February 21, 2007

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 4.10% 4.12% 26,137 17.19 1 -0.0796% 1,044.0
Fixed-Floater 4.81% 3.72% 85,328 8.17 7 -0.1903% 1,042.0
Floater 4.48% -20.50% 55,143 3.34 5 +0.0657% 1,048.3
Op. Retract 4.71% 2.40% 74,002 2.06 18 -0.0911% 1,031.0
Split-Share 5.09% 0.75% 253,022 2.69 14 -0.0561% 1,045.2
Interest Bearing 6.47% 3.53% 60,141 2.36 5 +0.0525% 1,039.5
Perpetual-Premium 5.03% 3.77% 219,626 5.02 51 -0.0350% 1,054.2
Perpetual-Discount 4.52% 4.55% 1,098,440 15.49 11 +0.0220% 1,061.1
Major Price Changes
Issue Index Change Notes
There were no index-included issues with extraordinary performance today.
Volume Highlights
Issue Index Volume Notes
CM.PR.J PerpetualDiscount 100,455 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.94 and a limitMaturity
WN.PR.B OpRet 43,790 Credit watch negative! Scotia crossed 23,300 at $26.05, then Desjardines crossed 20,000 at the same price. Now with a pre-tax bid-YTW of 3.71% based on a bid of $26.00 and softMaturity 2009-6-30 at $25.00. That’s an interest equivalent of 5.19% at standard equivalency … I note that the Weston bonds, 6.45%/11, are trading 44bp back of Canadas, call it maybe 4.50%.
BMO.PR.J PerpetualDiscount 24,155 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.13 and either a call 2016-3-26 at $25.00, or a limitMaturity, take your pick.
RY.PR.A PerpetualDiscount 23,135 Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.95 and a limitMaturity.
RY.PR.D PerpetualPremium 22,700 RBC bought 16,400 from various dealers in six tranches at $25.19-20 (and another 3,700 in three tranches later in the afternoon). Now with a pre-tax bid-YTW of 4.54% based on a bid of $25.12 and a limitMaturity.

There were twenty-three other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

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