October 19, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
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% 4.05% 47,522 10.65 2 0.0000% 1,019.9
Fixed-Floater 4.97% 3.87% 176,435 6.49 7 0.0956% 1,025.8
Floater 4.53% -15.61% 77,494 6.50 5 -0.0634% 1,017.9
Op. Retract 4.68% 2.01% 87,559 2.40 17 -0.0043% 1,018.2
Split-Share 4.94% 3.75% 161,691 3.29 11 -0.1359% 1,021.3
Interest Bearing 6.89% 5.06% 56,050 2.01 7 0.2452% 1,022.4
Perpetual-Premium 5.09% 3.79% 217,821 4.25 47 0.0385% 1,036.0
Perpetual-Discount 4.57% 4.60% 546,688 16.20 7 0.1504% 1,036.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
LBS.PR.A SplitShare 166,424 Recent new issue, tops the charts for the third straight day despite being a split share – even accounting for the lower price per share, dollar volume is still impressive.
DFN.PR.A SplitShare 54,300 An entirely reasonably priced issue, with a pre-tax yield of 3.89% based on a bid of $10.42, paying $0.525 until maturing 2009-12-1
ELF.PR.G PerpetualPremium 43,410 Another recent new issue. Still bid above par, closing at $25.12-20.
PIC.PR.A SplitShare 19,463 So what is this, splitShare Day? This has an entirely respectable pre-tax yield of 3.87%, based on a bid of $16.03 and a maturity at $15.00 on 2010-11-01.
WN.PR.E PerpetualDiscount 13,129 Attractively priced at 24.71-75, pre-tax bid yield of 4.84%.

There were four other index-included issues trading over 10,000 shares today.

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