April 4, 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 4.14% 4.10% 45,864 17.11 2 +0.0004% 1,050.0
Fixed-Floater 4.95% 3.96% 85,337 17.16 6 -0.4319% 1,033.9
Floater 4.58% -18.22% 61,752 0.26 4 -0.2152% 1,055.0
Op. Retract 4.73% 3.18% 85,831 2.15 17 -0.1758% 1,032.2
Split-Share 5.00% 3.69% 170,502 3.21 12 +0.0333% 1,050.4
Interest Bearing 6.53% 3.04% 63,163 2.29 5 +0.0481% 1,043.0
Perpetual-Premium 5.04% 3.85% 197,137 5.13 53 +0.0202% 1,059.0
Perpetual-Discount 4.53% 4.54% 825,567 16.34 10 +0.0121% 1,067.0
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixedFloater -1.7289% On high volume (for this issue) of 17,277 shares.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 261,200 National Bank crossed 50,000 at 24.95. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.95 and a limitMaturity.
TD.PR.M OpRet 122,100 Went ex-dividend today and Global crossed 60,800 for cash at 27.51 and 60,800 for regular settlement at 27.21. Now with a pre-tax bid-YTW of 3.04% based on a bid of 26.72 and a call 2009-5-30 at 26.00.
BCE.PR.A FixedFloater 100,400 RBC bought two tranches of 10,000 shares each from National Bank at 25.05; Nesbitt crossed 50,000 at 25.06.
RY.PR.W PerpetualPremium 71,340 RBC crossed 60,000 at 26.30. Now with a pre-tax bid-YTW of 4.21% based on a bid of $26.21 and a call 2014-3-26 at $25.00.
SLF.PR.C PerpetualDiscount 40,600 Nesbitt crossed 30,000 at 24.85. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.76 and a limitMaturity.

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

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