December 11, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.25% 4.25% 37,924 16.95 1 +0.0405% 1,020.3
Fixed-Floater 4.80% 3.77% 101,668 8.38 7 +0.2541% 1,031.1
Floater 4.47% -20.26% 59,880 6.58 5 -0.0313% 1,037.7
Op. Retract 4.63% -0.43% 80,853 2.20 17 +0.0916% 1,033.1
Split-Share 5.11% 2.95% 142,032 2.70 8 -0.0005% 1,039.3
Interest Bearing 6.89% 5.23% 75,796 3.84 7 +0.1265% 1,025.8
Perpetual-Premium 5.02% 3.63% 251,087 4.38 51 +0.0294% 1,050.4
Perpetual-Discount 4.57% 4.58% 952,037 16.28 6 +0.4274% 1,049.8
Major Price Changes
Issue Index Change Notes
SLF.PR.C PerpetualDiscount +1.2371% Comes back from yesterday’s swoon to yield 4.53% based on a bid of $24.55 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
POW.PR.D PerpetualPremium 104,490 Now with a pre-tax bid-YTW of 4.36% based on a bid of $26.30 and a call 2014-11-30 at $25.00
CM.PR.I PerpetualDiscount 91,905 Recent new issue, pre-tax bid-YTW now 4.64% based on a bid of $25.26 and a call at $25.00 2016-3-1
W.PR.J PerpetualPremium 86,200 Nesbitt crossed 85,000 at $25.53. Now with a pre-tax bid-YTW of 4.85% based on a call 2008-8-14. An attractive issue, if you don’t mind the usually low volume (averageTradingValue ~ $52,000) and the exclusion from HIMIPref™ recommendations due to the short term of the YTW Scenario
SLF.PR.D PerpetualDiscount 47,192 Has been very active! Just for fun, I’ve prepared graphs of volume-average and flatBidPrice since issue, with its twin, SLF.PR.C, as comparator. Price went up a good chunk today, to close at $24.55-65, for a pre-tax bid-YTW of 4.53% based on a limit maturity.
GWO.PR.I PerpetualDiscount 24,450 Now with a pre-tax bid-YTW of 4.55% based on a bidof 24.70 and a limit maturity.

There were five other index-included issues with over 10,000 shares traded today.

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