November 30, 2007

An extremely busy day to finish the month!

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 4.86% 4.84% 112,447 15.75 2 +0.0614% 1,049.6
Fixed-Floater 4.91% 4.93% 98,259 15.62 8 -0.1617% 1,035.4
Floater 4.84% 4.91% 59,518 15.59 3 +0.0592% 970.9
Op. Retract 4.88% 2.47% 80,591 3.81 16 -0.0406% 1,031.8
Split-Share 5.34% 6.23% 92,352 4.09 15 +0.1093% 1,018.5
Interest Bearing 6.24% 6.52% 69,058 3.75 4 -0.1081% 1,065.7
Perpetual-Premium 5.86% 5.34% 91,238 8.05 11 -0.0066% 1,008.1
Perpetual-Discount 5.61% 5.65% 348,050 14.20 55 +0.2244% 904.3
Major Price Changes
Issue Index Change Notes
BNA.PR.B SplitShare -4.3478% Asset coverage of 4.0:1 according to the company. Pre-tax bid-YTW now 6.90% based on a bid of 22.00 and a hardMaturity 2016-3-25 at 25.00.
BAM.PR.G FixFloat -1.5748%  
LBS.PR.A SplitShare -1.1765% Asset coverage of 2.4+:1 as of November 29, according to Brompton. Now with a pre-tax bid-YTW of 5.26% based on a bid of 10.08 and a hardMaturity 2013-11-29 at 10.08.
ELF.PR.G PerpetualDiscount -1.1696% Now with a pre-tax bid-YTW of 7.16% based on a bid of 16.90 and a limitMaturity.
BNA.PR.C SplitShare -1.0932% Asset coverage of 4.0:1 according to the company. Now with a pre-tax bid-YTW of 7.62% based on a bid of 19.00 and a hardMaturity 2019-1-10 at 25.00.
WFS.PR.A SplitShare +1.1213% Asset coverage of 1.9+:1 as of November 22, according to Mulvihill. Now with a pre-tax bid-YTW of 5.82% based on a bid of 9.92 and a hardMaturity 2011-6-30 at 10.00.
FIG.PR.A InterestBearing +1.1518% Asset coverage of 2.1+:1 as of November 28, according to Faircourt. Now with a pre-tax bid-YTW of 7.11% (mostly as interest) based on a bid of 9.66 and a hardMaturity 2014-12-31 at 10.00.
POW.PR.D PerpetualDiscount +1.1526% Now with a pre-tax bid-YTW of 5.78% based on a bid of 21.94 and a limitMaturity.
BNS.PR.M PerpetualDiscount +1.2013% Now with a pre-tax bid-YTW of 5.41% based on a bid of 21.06 and a limitMaturity.
CIU.PR.A PerpetualDiscount +1.2195% Now with a pre-tax bid-YTW of 5.58% based on a bid of 20.75 and a limitMaturity.
NA.PR.L PerpetualDiscount +1.4829% Now with a pre-tax bid-YTW of 5.97% based on a bid of 20.53 and a limitMaturity.
IAG.PR.A PerpetualPremium +1.7632% Now with a pre-tax bid-YTW of 5.70% based on a bid of 20.20 and a limitMaturity.
NA.PR.K PerpetualDiscount +1.9311% Now with a pre-tax bid-YTW of 6.07% based on a bid of 24.28 and a limitMaturity.
HSB.PR.D PerpetualDiscount +2.1530% Now with a pre-tax bid-YTW of 5.70% based on a bid of 22.30 and a limitMaturity
BSD.PR.A InterestBearing +2.2774% Asset coverage of just under 1.7:1 as of November 23, 2007, according to Brookfield Funds. Now with a pre-tax bid-YTW of 6.21% based on a bid of 9.88 and a hardMaturity 2015-3-31.
FFN.PR.A SplitShare +2.5961% Asset coverage of 2.3:1 as of November 15, according to the company. Now with a pre-tax bid-YTW of 5.77% based on a bid of 22.50 and a limitMaturity.
FTU.PR.A SplitShare +2.6667% Asset coverage of 1.8+:1 as of November 15, according to . Now with a pre-tax bid-YTW of 7.12% based on a bid of 9.24 and a hardMaturity 2012-12-1 at 10.00.
Volume Highlights
Issue Index Volume Notes
IQW.PR.C Scraps (would be OpRet, but there are credit concerns) 456,020 Now with a pre-tax bid-YTW of 209.05% (annualized!) based on a bid of 17.80 and a softMaturity 2008-2-29 at 25.00. But don’t count on it!
NTL.PR.F Scraps (would be Ratchet, but there are credit concerns) 376,393  
PWF.PR.E PerpetualDiscount 221,500 Scotia crossed 200,000 at 24.71. Now with a pre-tax bid-YTW of 5.57% based on a bid of 24.62 and a limitMaturity.
TD.PR.P PerpetualDiscount 142,760 Now with a pre-tax bid-YTW of 5.43% based on a bid of 24.42 and a limitMaturity.
RY.PR.W PerpetualDiscount 69,809 Now with a pre-tax bid-YTW of 5.46% based on a bid of 22.58 and a limitMaturity.
GWO.PR.H PerpetualDiscount 54,830 Now with a pre-tax bid-YTW of 5.69% based on a bid of 21.35 and a limitMaturity.
RY.PR.D PerpetualDiscount 54,830 Now with a pre-tax bid-YTW of 5.45% based on a bid of 20.80 and a limitMaturity.

There were seventy-four other index-included $25.00-equivalent issues trading over 10,000 shares today.

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