December 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 4.17% 4.20% 32,732 17.06 1 +0.3235% 1,024.4
Fixed-Floater 4.78% 3.76% 101,817 8.37 7 +0.1236% 1,035.0
Floater 4.48% -22.00% 63,265 3.48 5 -0.3826% 1,041.5
Op. Retract 4.64% 0.78% 82,577 2.19 17 -0.0512% 1,031.8
Split-Share 5.06% 2.12% 248,989 2.52 9 -0.1149% 1,042.6
Interest Bearing 6.96% 5.80% 80,991 1.86 7 -0.0968% 1,026.8
Perpetual-Premium 4.99% 3.61% 291,270 4.18 52 +0.1171% 1,054.8
Perpetual-Discount 4.52% 4.49% 916,896 11.75 6 +0.0807% 1,060.8
Major Price Changes
Issue Index Change Notes
ENB.PR.D InterestBearing -1.1811% Called yesterday. I guess it was a surprise to some people!
PWF.PR.L PerpetualPremium +1.1240% Now with a pre-tax bid-YTW of 4.14% based on a bid of 26.99 and a call at $25.00, 2015-11-30.
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 288,977 Recent New Issue. Now with a pre-tax bid-YTW of 1.23% based on a bid of $10.38 and a call at $10.00 2008-1-14.
BC.PR.C FixedFloater 59,073 Nesbitt crossed 23,000 at $25.80.
CM.PR.I PerpetualPremium 55,140 New Issue November 15, continues to trade heavily. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.50 and a call 2016-3-1 at 4.52%
CM.PR.B PerpetualPremium 48,026 Basically a money market instrument, since it is being called Jan. 31.
RY.PR.D PerpetualPremium 45,045 Recent New Issue, now with a pre-tax bid-YTW of 4.41% based on a bid of $25.22 and a call 2016-3-25 at $25.00

There were seventeen other index-included issues with over 10,000 shares traded today.

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