March 21, 2007

First day of spring and in celebration I went out with an industry buddy for a very good dinner.

I then returned to the grindstone to find that I had some kind of strange internet connectivity problem … I’ve worked around it (different ISP, different geographical location) and HIMIPref™ has been updated with today’s closing quotes & volumes and a few dividend records … but I’ve run out of time!

I will review the day on the 22nd.

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 4.09% 3.94% 74,695 3.84 1 0.0000% 1,051.1
Fixed-Floater 4.96% 3.64% 99,900 4.64 5 -0.1729% 1,042.6
Floater 4.72% -18.92% 76,868 0.32 3 +0.0262% 1,054.2
Op. Retract 4.70% 2.75% 76,919 2.11 17 +0.0333% 1,035.0
Split-Share 5.00% 3.50% 177,651 3.36 14 -0.1166% 1,051.9
Interest Bearing 6.51% 4.99% 65,453 2.31 5 -0.0706% 1,040.7
Perpetual-Premium 5.01% 3.74% 233,255 5.22 53 +0.0078% 1,059.0
Perpetual-Discount 4.52% 4.53% 879,379 14.48 10 -0.1637% 1,067.3
Major Price Changes
Issue Index Change Notes
BNA.PR.A SplitShare -1.9011% On relatively heavy volume of 12,238 shares (volume-average is 1,538) to close at 25.80-25, pre-tax bid-YTW of 4.55% based on a call 2007-10-31 at $25.50
FFN.PR.A SplitShare +1.0368% Now with a pre-tax bid-YTW of 2.55% based on a bid of $10.72 and a hardMaturity 2009-12-1 at $10.00. It would seem the market is expecting the upcoming meeting to extend term.
Volume Highlights
Issue Index Volume Notes
FAL.PR.H Scraps (Would be perpetualPremium, but there are yield concerns) 402,000 Now with a pre-tax bid-YTW of 3.02% based on a bid of $25.90 and a call 2008-4-30 at $25.00
RY.PR.A PerpetualDiscount 206,500 With a pre-tax bid-YTW of 4.48% based on a bid of $25.00 and a limitMaturity.
RY.PR.F PerpetualDiscount 120,775 Pre-tax bid-YTW of 4.51% based on a bid of $24.75 and a limitMaturity.
NTL.PR.F Scraps (Would be ratchet rate, but there are extreme credit concerns) 107,295  
BAM.PR.M PerpetualPremium 105,300 With a pre-tax bid-YTW of 4.72% based on a bid of $25.08 and a call 2016-3-1 at $25.00
PWF.PR.K PerpetualPremium 104,920 Pre-tax bid-YTW of 4.31% based on a bid of $26.25 and a call 2014-11-30 at $25.00.

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

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