August 31, 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% 29,275 16.58 2 0.0406% 988.2
Fixed-Floater 4.97% 4.14% 314,554 13.94 6 0.2749% 997.6
Floater 4.59% -18.25% 60,762 6.44 5 0.0718% 1,008.6
Op. Retract 4.71% 2.39% 73,364 2.55 18 -0.0871% 1,006.7
Split-Share 5.01% 3.42% 54,290 2.73 10 -0.0563% 1,005.5
Interest Bearing 6.82% 5.03% 58,842 1.88 7 0.0612% 1,017.2
Perpetual-Premium 5.25% 4.27% 153,992 3.85 42 0.0663% 1,018.1
Perpetual-Discount 4.69% 4.67% 339,913 11.66 13 0.2667% 1,029.5
Major Price Changes
Issue Index Change Notes
GWO.PR.E OpRet -1.6886%  
BAM.PR.G FixedFloater (but not in index) +2.5437% A busy day for this issue, with 12,600 shares trading. Some traded as high as $26.80! I can’t imagine what all the fuss is about: these are “Fixed-Floater-to-Become-Ratchet-Rate” prefs, which will have their coupon adjusted (down, I bet!) on 2006-11-01; the alternative is to convert to ratchets. I don’t see any news releases, particularly not any that would indicate they’re going to increase the dividend! I think somebody just got suckered, that’s what I think. Holders can exchange into BAM.PR.E if they like, on 2006-11-01
BAM.PR.E Ratchet (but not in index) +1.0342% The bid’s way up on zero volume! Holders can exchange into BAM.PR.G on 2006-11-01, if they like. It’s all very mysterious.
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 329,826  
WN.PR.E PerpetualDiscount 23,110  
SLF.PR.B PerpetualDiscount 20,680  
GWO.PR.I PerpetualDiscount 14,620  
BNS.PR.J PerpetualPremium 14,054 Nesbitt crossed 10,000 @ $27.00. The issue has a YTW of 4.10% at the closing bid price of $26.95

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

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