December 13, 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 4.22% 4.24% 36,183 16.98 1 -0.0405% 1,019.9
Fixed-Floater 4.81% 3.89% 100,950 10.63 7 -0.1006% 1,028.9
Floater 4.49% -18.73% 63,688 3.47 5 +0.2245% 1,037.2
Op. Retract 4.64% +0.63% 81,563 2.20 17 -0.0691% 1,032.0
Split-Share 5.14% 2.48% 139,550 2.71 8 -0.0321% 1,038.4
Interest Bearing 6.95% 5.00% 76,607 2.33 7 +0.1522% 1,025.5
Perpetual-Premium 5.01% 3.49% 294,576 4.31 52 +0.0504% 1,051.7
Perpetual-Discount 4.56% 4.56% 941,546 13.14 6 +0.0274% 1,053.0
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
BCE.PR.T Scraps 425,300 Scotia crossed 425,000 at $25.40 in Cash trade. About time someone traded this recent conversion in size!
RY.PR.D PerpetualPremium 249,115 New Issue. Pre-tax bid-YTW of 4.47% based on a bid of $25.10 and a call at $25.00 on 2016-3-25
WN.PR.C PerpetualPremium 160,500 Global crossed 80,000 for cash at 27.08, then 80,000 regular settlement at 26.75. Went ex-dividend today for $0.325. Pre-tax bid-YTW now 4.20% based on a bid of 26.60 and a call 2014-7-31 at $25.00 (but 2013-7-31 at 25.25 gives the same yield … and 2012-7-31 at 25.50 outputs 4.21%, so take your pick).
CM.PR.I PerpetualPremium 102,755 Recent new issue. Pre-tax bid-YTW of 4.61% based on a bid of 25.31 and a call on 2016-3-1 at 25.00
GWO.PR.F PerpetualPremium 101,070 Scotia crossed 68,400 at 27.91, then another 31,600 at the same price. Now with a pre-tax bid-YTW of 1.53% based on a bid of 27.93 and a call 2008-10-30 at $26.00. Pays $1.475, so an early call seems likely even given the declining premium, but somebody obviously disagrees and is betting on 2012-10-30 at $25.00 to yield 3.64% … which is still no great shakes, according to me!

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

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