August 30, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.41% 4.37% 29,755 16.59 2 0.0203% 987.8
Fixed-Floater 4.99% 4.22% 295,464 13.93 6 0.2351% 994.9
Floater 4.59% -18.06% 61,890 6.44 5 -0.0157% 1,007.9
Op. Retract 4.70% 2.47% 73,737 2.56 18 0.1755% 1,007.6
Split-Share 5.01% 3.46% 54,504 2.74 10 -0.0905% 1,006.1
Interest Bearing 6.82% 5.13% 59,583 1.88 7 0.0838% 1,016.6
Perpetual-Premium 5.25% 4.25% 155,939 4.09 42 0.1016% 1,017.4
Perpetual-Discount 4.70% 4.68% 342,629 12.39 13 0.0884% 1,026.7
Major Price Changes
Issue Index Change Notes
BC.PR.B FixedFloater +2.1268% A bid came back to offset yesterday’s swoon … partially! No shares were traded. The quote is now 24.01-85, 5×5.
GWO.PR.E OpRet +1.2542% On light volume of 991 shares, with only 100 shares bid at $26.65
Volume Highlights
Issue Index Volume Notes
RY.PR.B PerpetualDiscount 230,995 Increased volume of late may mean that new-issue buyers see an opportunity to exit … or that unsold inventory is being cleared out … or nothing at all. Take your pick. Since the first day of trading, July 20, the PerpetualDiscount index is up a shade over 2.5%
GWO.PR.H PerpetualDiscount 50,035  
BC.PR.C FixedFloater 42,419  
MFC.PR.B PerpetualDiscount 38,150 Nesbitt bought a total of 25,000 from various dealers at $25.00 shortly before the close.
PWF.PR.L PerpetualPremium 34,300 RBC crossed 27,000 @ 25.80

There were seven other ‘normally priced’ ($25 par value) issues trading over 10,000 shares today.

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