July 27, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.21% 4.22% 93,792 17.01 2 -0.3969% 994.1
Fixed-Floater 5.23% 3.92% 101,384 7.48 5 0.3426% 1,003.3
Floater 4.55% -13.57% 59,955 6.44 5 0.0163% 1,001.8
Op. Retract 4.74% 3.35% 79,575 2.94 18 0.0154% 995.5
Split-Share 5.18% 4.17% 48,195 3.02 14 -0.2103% 998.3
Interest Bearing 6.85% 5.05% 66,536 2.20 7 0.1540% 1,011.2
Perpetual 5.19% 4.50% 191,523 6.93 54 0.0509% 1,004.9
Major Price Changes
Issue Index Change Notes
DFN.PR.A SplitShares -1.66% 9,500 shares traded
BCE.PR.A FixedFloater +1.34% 2,900 shares trade. It went ex-dividend today … did someone forget?
MST.PR.A SplitShares 1.55% 6,088 shares traded. Gapped from 10.30-40 to 10.46-50
Volume Highlights
Issue Index Volume Notes
SLF.PR.C Perpetual 135,540 70,000 share internal cross by BMO @24.15; BMO bought 61,600 shares from Dundee at 24.15 in seven trades in last few minutes of session.
HSB.PR.D Perpetual 126,750 BMO internal cross of 125,000 shares @26.00
BNS.PR.K Perpetual 110,040 BMO crossed 100,000 shares @25.20
TD.PR.O Perpetual 105,900 BMO crossed 100,000 @25.20
PWF.PR.A Floater 103,625 BMO crossed 100,000 @25.30

There were 15 issues with volume in excess of 10,000 shares.

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