February 7, 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 4.04% 4.04% 28,646 17.37 1 0.4407% 1,042.4
Fixed-Floater 4.79% 3.27% 98,815 6.39 7 +0.0400% 1,045.8
Floater 4.45% -27.39% 57,131 6.58 5 -0.0078% 1,054.8
Op. Retract 4.72% 2.28% 74,956 2.09 18 +0.0963% 1,028.7
Split-Share 5.09% 1.12% 308,072 2.65 14 +0.0982% 1,043.1
Interest Bearing 6.70% 3.14% 72,699 3.87 6 -0.1340% 1,035.5
Perpetual-Premium 5.03% 3.88% 232,654 5.06 51 +0.0610% 1,052.3
Perpetual-Discount 4.54% 4.57% 1,083,267 15.29 10 +0.0688% 1,054.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 120,429 Recent new issue. Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.66 and a limitMaturity.
IGM.PR.A OpRet 106,677 Now with a pre-tax bid-YTW of 2.69% based on a bid of 27.92 and a call 2009-7-30 at $26.00. Yield will be 3.81% if it makes it to the softMaturity 2013-6-29 … but with a dividend of $1.4375, I’d be surprised if a perpetual lasted that long.
BAM.PR.M PerpetualDiscount 74,975 Now with a pre-tax bid-YTW of 4.81% based on a bid of $24.92 and a limitMaturity.
CM.PR.I PerpetualPremium 63,260 Canaccord crossed 33,400 at $25.58. Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.55 and a call 2016-3-1 at 4.45%
GWO.PR.I PerpetualDiscount 58,850 Scotia crossed 50,000 at $24.95. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.95 and a limitMaturity.

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

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