March 20, 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 4.09% 3.92% 77,563 3.85 1 -0.3557% 1,051.1
Fixed-Floater 4.96% 3.47% 98,961 4.64 5 +0.0395% 1,044.4
Floater 4.72% -18.72% 78,534 0.32 3 +0.0394% 1,053.9
Op. Retract 4.71% 2.66% 75,429 2.12 17 -0.0210% 1,034.6
Split-Share 4.99% 2.04% 180,075 3.33 14 +0.1509% 1,053.1
Interest Bearing 6.50% 4.70% 66,284 2.32 5 -0.0077% 1,041.5
Perpetual-Premium 5.00% 3.82% 234,024 5.15 53 +0.0229% 1,058.9
Perpetual-Discount 4.52% 4.52% 891,025 11.62 10 +0.0164% 1,069.1
Major Price Changes
Issue Index Change Notes
GWO.PR.E OpRet -1.0409% Still on credit watch by DBRS as the market awaits information regarding their financing of the Putnam purchase. This issue has an issuer bid outstanding, although no shares were purchased under last year’s plan. Now with a pre-tax bid-YTW of 2.41% based on a bid of 26.62 and a call 2009-4-30 at $25.50 … if the company waits until the first possible par-value call, 2011-4-30, it will have yielded 3.00%; and if the issue lasts until its softMaturity 2014-3-30, it will have yielded 3.64%. Take your pick!
Volume Highlights
Issue Index Volume Notes
CM.PR.D PerpetualPremium 507,468 The last two trades of note were a Desjardins cross of 50,000 at 27.07 and a TD cross of 50,000 at 27.08. Now with a pre-tax bid-YTW of 2.90% based on a bid of $27.01 and a call 2008-5-30 at $26.00. Sounds pricy to me!
BNS.PR.K PerpetualPremium 263,800 The closing trade was RBC’s cross of 100,000 at $26.18. Now with a pre-tax bid-YTW of 4.12% based on a bid of $26.25 and a call 2014-5-28 at $25.00. Note that Scotiabank has announced a new issue.
CM.PR.H PerpetualPremium 203,250 RBC crossed 100,000 at $26.18, then National Bank crossed 90,000 at $26.15. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.15 and a call 2014-4-29 at $25.00.
PWF.PR.J OpRet 156,649 Desjardins crossed 150,000 at $27.00. Now with a pre-tax bid-YTW of 2.10% based on a bid of 26.90 and a call 2008-5-30 at $26.00. I discussed earlier the chances of it getting redeemed before its time. And I haven’t changed my mind since then!
SLF.PR.E PerpetualDiscount 115,418 Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.91 and a limitMaturity.
BAM.PR.B FloatingRate 102,050 Nesbitt crossed 100,000 at 24.90.

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

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