Category: Market Action

Market Action

May 30, 2007

Scheduling problems related to month-end mean I’m going to have to delay production of the daily Market Action report until tomorrow … sorry!

HIMIPref™ has been updated, but that’s all I’m going to get done tonight. Anecdotal evidence only … but I saw some definite signs of Retail Panic today. Some PWF.PR.I traded at 25.49? Ridiculous.

Update, 2007-5-31:

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 5.41% 5.51% 37,700 14.92 2 -2.8671% 936.2
Fixed-Floater 5.75% 5.43% 153,772 15.00 6 -0.5095% 901.1
Floater 4.81% -0.03% 82,883 5.61 3 -0.0400% 1,046.3
Op. Retract 4.78% 3.68% 85,176 2.94 17 -0.1094% 1,027.0
Split-Share 5.00% 4.32% 216,581 3.82 13 -0.0038% 1,046.1
Interest Bearing 6.53% 6.34% 72,397 5.33 5 +0.3799% 1,046.8
Perpetual-Premium 5.25% 4.94% 193,433 8.20 48 -0.3872% 1,029.8
Perpetual-Discount 4.89% 4.92% 649,289 15.65 19 -1.0231% 998.6
Major Price Changes
Issue Index Change Notes
BCE.PR.S Ratchet -5.8952%  
GWO.PR.H PerpetualPremium (for now!) -3.1621%  
IAG.PR.A PerpetualDiscount -3.0216%  
GWO.PR.I PerpetualDiscount -2.5578%  
BAM.PR.N PerpetualDiscount -2.1684%  
CM.PR.J PerpetualDiscount -2.0627%  
WN.PR.D PerpetualPremium (for now!) -2.0276%  
GWO.PR.G PerpetualPremium -2.0270%  
WN.PR.C PerpetualPremium (for now!) -1.9496%  
RY.PR.F PerpetualDiscount -1.8803%  
PWF.PR.I PerpetualPremium -1.8667%  
WN.PR.E PerpetualDiscount -1.6667%  
CIU.PR.A PerpetualDiscount -1.6427%  
BAM.PR.M PerpetualDiscount -1.4768%  
BCE.PR.C FixFloat -1.2500%  
BCE.PR.A FixFloat -1.2148%  
MFC.PR.C PerpetualDiscount -1.1740%  
GWO.PR.E SplitShare -1.0062%  
BSD.PR.A Interest +1.2146%  
Volume Highlights
Issue Index Volume Notes
BBD.PR.D Scraps (would be FixFloat, but there are credit concerns) 756,568  
PWF.PR.K PerpetualPremium (for now!) 97,100  
BNS.PR.M PerpetualDiscount 76,755  
RY.PR.G PerpetualDiscount 63,520  
BNS.PR.L PerpetualDiscount 60,900  
CM.PR.P PerpetualPremium 57,650  

There were forty-seven other $25-equivalent index-included issues trading over 10,000 shares today.

Sorry this update was so late! But now I must begin working on May 31!

Market Action

May 29, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 5.23% 5.29% 38,271 15.20 2 +0.3434% 963.8
Fixed-Floater 5.72% 5.40% 153,589 15.12 6 -0.1473% 905.7
Floater 4.80% -0.03% 80,956 5.62 3 +0.2412% 1,046.7
Op. Retract 4.77% 3.65% 85,023 2.94 17 +0.0498% 1,028.1
Split-Share 5.00% 4.36% 220,392 3.95 13 -0.1239% 1,046.1
Interest Bearing 6.55% 6.45% 70,572 5.33 5 +0.0006% 1,042.8
Perpetual-Premium 5.22% 4.83% 189,803 8.04 48 -0.3053% 1,033.8
Perpetual-Discount 4.87% 4.87% 649,224 15.73 19 -0.7814% 1,009.0
Major Price Changes
Issue Index Change Notes
RY.PR.A PerpetualDiscount -2.7473% New 52-week low of 23.10 today … and the closing bid was below this figure! Now with a pre-tax bid-YTW of 4.86% based on a bid of 23.01 and a limitMaturity.
BNS.PR.M PerpetualDiscount -2.0903% New 52-week low of 23.27 today. Now with a pre-tax bid-YTW of 4.87% based on a bid of 23.42 and a limitMaturity.
CM.PR.I PerpetualPremium (for now!) -1.8182% New 52-week low of 24.03 today. Now with a pre-tax bid-YTW of 4.88% based on a bid of 24.30 and a limitMaturity.
CM.PR.H PerpetualPremium (for now!) -1.7822% Now with a pre-tax bid-YTW of 4.88% based on a bid of 24.80 and a limitMaturity.
SLF.PR.B PerpetualPremium (for now!) -1.6000% Now with a pre-tax bid-YTW of 4.87% based on a bid of 24.60 and a limitMaturity.
BMO.PR.J PerpetualPremium (for now!) -1.5152% New 52-week low of 23.30 today. Now with a pre-tax bid-YTW of 4.83% based on a bid of 23.40 and a limitMaturity.
BNS.PR.L PerpetualDiscount -1.5000% New 52-week low of 23.65 today. Now with a pre-tax bid-YTW of 4.80% based on a bid of 23.64 and a limitMaturity.
CU.PR.B PerpetualPremium -1.4857% New 52-week low of 25.85 today. Now with a pre-tax bid-YTW of 5.25% based on a bid of 25.86 and a limitMaturity.
RY.PR.G PerpetualDiscount -1.4831% New 52-week low of 23.15 today. Now with a pre-tax bid-YTW of 4.89% based on a bid of 23.25 and a limitMaturity.
RY.PR.E PerpetualDiscount -1.4831% New 52-week low of 23.25 today. Now with a pre-tax bid-YTW of 4.86% based on a bid of 23.25 and a limitMaturity.
BAM.PR.M PerpetualDiscount -1.4553% Now with a pre-tax bid-YTW of 5.08% based on a bid of 23.70 and a limitMaturity.
WN.PR.A PerpetualPremium (for now!) -1.3708% New low of 24.64 today. Now with a pre-tax bid-YTW of 5.89% based on a bid of 24.64 and a limitMaturity. A recent downgrade.
RY.PR.D PerpetualDiscount -1.1083% New low of 22.55 today. Now with a pre-tax bid-YTW of 4.87% based on a bid of 23.20 and a limitMaturity.
PWF.PR.K PerpetualPremium (for now!) -1.0727% Now with a pre-tax bid-YTW of 5.01% based on a bid of 24.90 and a limitMaturity.
SLF.PR.C PerpetualDiscount -1.0372% New 52-week low of 22.90 today. Now with a pre-tax bid-YTW of 4.85% based on a bid of 22.90 and a limitMaturity.
GWO.PR.H PerpetualPremium +1.1182% Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.30 and a limitMaturity.
BCE.PR.S Ratchet +1.3167% Exchange/Reset date is 2011-11-1 (exchanges with BCE.PR.T, which pays 4.502% of par until then). Closed at 22.90-38, 2×5, on zero volume. The Ts closed at 21.55-05, 10×1, on zero volume.
IGM.PR.A OpRet +1.3650% Making up for yesterday’s losses. Now with a pre-tax bid-YTW of 3.34% based on a bid of 27.07 and a call 2009-7-30 at 26.00.
BCE.PR.R FixFloat +1.4735% Partial recovery from yesterday’s losses, but there was a new 52-week low of 20.05 anyway. Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 20.66-15, 1×1.
IAG.PR.A PerpetualDiscount +2.8112% Roaring back from yesterday’s losses, but set a new 52-week low of 24.00 anyway. Closed at 24.49-63, 20×5, so I bet the low seller feels silly. Now with a pre-tax bid-YTW of 4.68% based on a bid of 24.49 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
BBD.PR.D Scraps (would be FixFloat, but there are credit concerns) 187,480 Nesbitt crossed 15,000 at 18.95. Exchange/Reset date is 2007-8-1 – see the pairs analysis. The Ds closed at 18.90-95, 60×15; the Bs closed at 19.45-60.
TD.PR.O PerpetualPremium 120,940 Now with a pre-tax bid-YTW of 4.69% based on a bid of 25.39 and a call 2014-11-30 at 25.00.
SLF.PR.B PerpetualPremium (for now!) 84,265 Now with a pre-tax bid-YTW of 4.87% based on a bid of 24.60 and a limitMaturity.
CM.PR.H PerpetualPremium (for now!) 72,899 Now with a pre-tax bid-YTW of 4.88% based on a bid of 24.80 and a limitMaturity.
GWO.PR.H PerpetualPremium 68,898 Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.30 and a call 2014-10-30 at 25.00. There is some uncertainty as to what GWO will be doing in the capital markets in the near future.
BMO.PR.J PerpetualPremium (for now!) 38,050 Now with a pre-tax bid-YTW of 4.83% based on a bid of 23.40 and a limitMaturity.

There were thirty-four other $25-equivalent index-included issues trading over 10,000 shares today.

The prospectus for the Co-operators new issue is now on SEDAR and the issue has been added to the HIMIPref™ universe on a preIssue basis. It doesn’t look pretty!

Market Action

May 28, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 5.20% 5.30% 38,584 15.16 2 +0.1317% 960.5
Fixed-Floater 5.71% 5.34% 154,302 15.16 6 -0.2559% 907.1
Floater 4.81% 2.02% 81,079 11.18 3 +0.0536% 1,044.2
Op. Retract 4.77% 3.67% 84,217 2.72 17 -0.1737% 1,027.6
Split-Share 4.99% 4.34% 221,058 3.82 13 -0.0564% 1,047.4
Interest Bearing 6.54% 6.47% 70,403 5.33 5 +0.0794% 1,042.8
Perpetual-Premium 5.20% 4.62% 186,747 6.98 48 -0.2528% 1,037.0
Perpetual-Discount 4.79% 4.83% 658,128 15.80 19 -0.5011% 1,016.9
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixFloat -3.2779% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. After the heavy volume on May 25, the coup de grace was a bit of an anti-climax: a sale of 1,500 shares by Nesbitt just before the bell took the price from 20.58 to 20.36. Closed at 20.36-74, 3×1.
IAG.PR.A PerpetualDiscount -1.8330% A morning sale by Nesbitt of 2,400 shares seems to have taken out the bid (prices in four tranches started at 24.44 and finished at 24.05) that only bounced back a little. Closed at 24.10-49, 10×5. Now with a pre-tax bid-YTW of 4.83% based on a bid of 24.10 and a limitMaturity.
IGM.PR.A OpRet -1.2409% Now with a pre-tax bid-YTW of 4.00% based on a bid of 27.06 and a call 2009-7-30 at 26.00.
ACO.PR.A OpRet -1.0989% Traded as low as 26.77; closed at 27.00-30, 20×10. Now with a pre-tax bid-YTW of 3.01% based on a bid of 27.00 and a call 2008-12-31 at 26.00.
RY.PR.D PerpetualDiscount -1.0961% Traded as low as 23.25, a new 52-week low. Closed at 23.46-60, 3×5. Now with a pre-tax bid-YTW of 4.82% based on a bid of 23.46 and a limitMaturity.
POW.PR.B PerpetualPremium -1.0942% Traded as low as 25.16, a new 52-week low. Closed at 25.31-38, 43×3. Now with a pre-tax bid-YTW of 5.19% based on a bid of 25.31 and a call 2012-12-28 at 25.00.
ELF.PR.G PerpetualPremium (for now!) -1.0142% Now with a pre-tax bid-YTW of 4.92% based on a bid of 24.40 and a limitMaturity.
BCE.PR.I FixFloat +1.0779% Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par.
Volume Highlights
Issue Index Volume Notes
BAM.PR.K Floater 202,400 National Bank crossed 200,000 at 24.90.
GWO.PR.I PerpetualDiscount 147,315 Nesbitt crossed 83,300 at 23.90. Now with a pre-tax bid-YTW of 4.79% based on a bid of 23.80 and a limitMaturity. There’s still some uncertainty about GWO’s capital market plans, and the recent downdraft doesn’t help.
GWO.PR.H PerpetualPremium 76,510 Nesbitt crossed 11,100 at 25.32. Now with a pre-tax bid-YTW of 4.80% based on a bid of 25.32 and a limitMaturity.
CM.PR.J PerpetualDiscount 52,670 RBC crossed 11,500 at 23.60 to end the day; four other crosses totalling 17,500 all at 23.60 preceded this. Now with a pre-tax bid-YTW of 4.84% based on a bid of 23.44 and a limitMaturity.
BMO.PR.J PerpetualDiscount 36,990 Now with a pre-tax bid-YTW of 4.75% based on a bid of 23.76 and a limitMaturity.

There were twenty-three other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

May 25, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 5.18% 5.28% 40,243 15.21 2 0.0000% 959.2
Fixed-Floater 5.69% 5.31% 154,863 15.26 6 -0.2682% 909.4
Floater 4.82% 2.83% 79,977 11.20 3 +0.2956% 1,043.6
Op. Retract 4.76% 3.53% 83,894 2.49 17 -0.0688% 1,029.4
Split-Share 4.98% 4.30% 223,731 3.96 12 -0.0498% 1,048.0
Interest Bearing 6.54% 6.46% 70,777 5.26 5 -0.0316% 1,042.0
Perpetual-Premium 5.19% 4.60% 185,917 6.65 48 0.0681% 1,039.6
Perpetual-Discount 4.77% 4.80% 665,859 15.85 19 -0.4684% 1,022.0
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixFloat -1.6355% On heavy volume (see below), but the big trade was a 21.39 and the close was 21.05-49, 15×5, so the volume can’t be blamed. Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par.
RY.PR.E PerpetualDiscount -1.6142% Now with a pre-tax bid-YTW of 4.75% based on a bid of 23.77 and a limitMaturity.
GWO.PR.E OpRet -1.5004% Now with a pre-tax bid-YTW of 3.41% based on a bid of 26.26 and a call 2009-4-30 at 25.50. There are interesting things happening at GWO … but they’re not public just yet.
SLF.PR.D PerpetualDiscount -1.0707% A sell of 2,600 shares by RBC in five tranches starting at 3:56pm at 23.28 and ending at 3:57pm at 23.10 took the price down a bit. Now with a pre-tax bid-YTW of 4.81% based on a bid of 23.10 and a limitMaturity.
GWO.PR.I PerpetualDiscount -1.0373% On heavy volume (see below), which doesn’t appear to have affected the price directly. See above for link to GWO’s suspended animation. Now with a pre-tax bid-YTW of 4.78% based on a bid of 23.85 and a limitMaturity.
SLF.PR.A PerpetualPremium (for now!) +1.0514% On heavy volume (see below) which appears to have propped up the price. Closed at 24.99-00, 100×20. The last trade was a Scotia cross of 300,000 at 24.99; the penultimate trade was for 500 shares at 24.71. Now with a pre-tax bid-YTW of 4.71% based on a bid of 24.99 and a call 2014-4-30 at 25.00.
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixFloat 2,010,064 Wow! Scotia crossed 2,000,000 at 23.35. Exchange/Reset date is 2008-3-1 (Exchanges with series ‘AD’, not issued); Until then pays 5.54% of par.
CM.PR.P PerpetualPremium 844,330 Scotia crossed 540,000 at 26.18, then 300,000 at 26.20. Now with a pre-tax bid-YTW of 4.72% based on a bid of 26.08 and a call 2012-11-28 at 25.00.
BCE.PR.R FixFloat 800,500 Scotia crossed 800,000 at 21.39. Exchange/Reset date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par.
TD.PR.O PerpetualPremium 679,488 Scotia crossed 266,300 at 25.65, then 400,000 at 25.70. Now with a pre-tax bid-YTW of 4.49% based on a bid of 25.70 and a call 2014-11-30 at 25.00.
NA.PR.K PerpetualPremium 586,715 Scotia crossed 360,000 at 26.23, then another 225,000 at the same price. Now with a pre-tax bid-YTW of 4.88% based on a bid of 26.15 and a call 2012-6-14 at 25.00.
BCE.PR.A FixFloat 558,287 Scotia crossed 550,000 at 23.16. Exchange/Reset date is 2007-9-1 (Exchanges with series ‘AB’, not issued); until then pays 5.03% of par.
CM.PR.E PerpetualPremium 541,392 Scotia crossed 540,000 at 26.10. Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.08 and a call 2012-11-30 at 25.00.
CM.PR.I PerpetualPremium (for now!) 473,001 Scotia crossed 453,600 at 24.95. Now with a pre-tax bid-YTW of 4.75% based on a bid of 24.95 and a limitMaturity.
CU.PR.A PerpetualPremium 461,653 Scotia crossed 270,000 at 25.88, then 190,000 at the same price. Now with a pre-tax bid-YTW of 5.03% based on a bid of 25.83 and a call 2012-3-31 at 25.00.
CM.PR.D PerpetualPremium 452,510 Scotia crossed 450,000 at 25.96. Now with a pre-tax bid-YTW of 5.06% based on a bid of 25.90 and a call 2012-5-30 at 25.00.
BCE.PR.Z FixFloat 450,718 Scotia crossed 450,000 at 22.57. Exchange/Reset Date is 2007-12-1 (Exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.58-89, 2×6; the Ys closed at 22.50-99, 6×4.
SLF.PR.A PerpetualPremium (for now!) 408,698 Scotia crossed 100,000 at 24.99, then 300,000 at the same price. Now with a pre-tax bid-YTW of 4.71% based on a bid of 24.99 and a call 2014-4-30 at 25.00.
ENB.PR.A PerpetualPremium 328,227 Scotia crossed 225,000 at 25.09, then 100,000 at the same price. Now with a pre-tax bid-YTW of 5.22% based on a bid of 25.02 and a call 2008-1-1 at 25.00.
HSB.PR.C PerpetualPremium 288,179 Scotia crossed 275,000 at 26.39. Now with a pre-tax bid-YTW of 4.37% based on a bid of 26.35 and a call 2014-7-30 at 25.00.
CU.PR.B PerpetualPremium 272,053 Scotia crossed 270,000 at 26.18. Now with a pre-tax bid-YTW of 4.96% based on a bid of 26.16 and a call 2011-7-1 at 25.25.
CM.PR.G PerpetualPremium 231,025 Scotia crossed 225,000 at 26.11. Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.01 and a call 2014-5-31 at 25.00.
NSI.PR.D Scraps (Would be OpRet, but there are volume concerns … but not today, there aren’t!) 225,300 Scotia crossed 225,000 at 29.35. Now with a pre-tax bid-YTW of 4.13% based on a bid of 28.35 and a call 2015-11-14 at 25.00.
TCA.PR.X PerpetualPremium 183,001 Scotia crossed 180,000 at 52.35. Now with a pre-tax bid-YTW of 4.92% based on a bid of 52.15 and a call 2013-11-14 at 50.00.
GWO.PR.I PerpetualDiscount 164,810 See elsewhere in this post for a link to the GWO uncertainty summary. Now with a pre-tax bid-YTW of 4.78% based on a bid of 23.85 and a limitMaturity.
ELF.PR.F PerpetualPremium 142,001 Scotia crossed 140,000 at 26.44. Now with a pre-tax bid-YTW of 4.63% based on a bid of 26.11 and a call 2013-11-16 at 25.00.
POW.PR.B PerpetualPremium 105,040 Scotia crossed 100,000 at 25.65. Now with a pre-tax bid-YTW of 4.84% based on a bid of 25.59 and a call 2010-12-28 at 25.00.
TCA.PR.Y PerpetualPremium 102,701 Scotia crossed 100,000 at 52.45. Now with a pre-tax bid-YTW of 4.86% based on a bid of 52.41 and a call 2014-4-4 at 50.00.
PWF.PR.F PerpetualPremium 101,550 Scotia crossed 100,000 at 25.50. Now with a pre-tax bid-YTW of 5.03% based on a bid of 25.29 and a call 2010-12-30 at 25.00. That’s not too shabby for a Pfd-1(low) with some interest rate protection, despite the GWO uncertainty.
HSB.PR.D PerpetualPremium 101,150 Scotia crossed 100,000 at 26.25. Now with a pre-tax bid-YTW of 4.39% based on a bid of 26.21 and a call 2015-1-30 at 25.00.

There were twenty-one other $25-equivalent index-included issues trading over 10,000 shares today.

Well, the Scotia guy will be enjoying a nice weekend! We’ll just have to hope he didn’t exceed the allowable bonus for his grade, or management will be tempted to destroy his career (it’s cheaper, you know).

Market Action

May 24, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 5.15% 5.25% 41,844 15.27 2 -0.7393% 959.2
Fixed-Floater 5.68% 5.24% 146,301 15.30 6 -0.8747% 911.8
Floater 4.83% 3.66% 79,890 11.22 3 -0.5500% 1,040.5
Op. Retract 4.76% 3.51% 83,968 2.26 17 -0.0049% 1,030.1
Split-Share 4.98% 4.30% 227,632 3.96 12 -0.2164% 1,048.5
Interest Bearing 6.54% 6.45% 70,211 5.34 5 -0.1775% 1,042.3
Perpetual-Premium 5.20% 4.70% 179,334 7.25 48 -0.2866% 1,038.9
Perpetual-Discount 4.75% 4.78% 677,068 15.89 19 -0.9836% 1,026.8
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixFloat -2.3278% Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Traded at 20.30 today, a new low; closed at 20.56-99, 5×4.
RY.PR.A PerpetualDiscount -2.1109% On heavy volume of 37,368 shares; traded at 23.60 today, a new 52-week low. Closed at 23.65-74, 11×5. Now with a pre-tax bid-YTW of 4.72% based on a bid of 23.65 and a limitMaturity.
CFS.PR.A SplitShare -2.0751% Traded at 9.90 today, a new 52-week low, on light volume of 1,500 shares. Closed at 9.91-40, 10×7. Now with a pre-tax bid-YTW of 4.59% based on a bid of 9.91 and a hardMaturity 2012-1-31 at 10.00.
SLF.PR.E PerpetualDiscount -2.0340% Traded at 23.50 today, a new 52-week low, on relatively low volume of 10,229 shares. Now with a pre-tax bid-YTW of 4.75% based on a bid of 23.60 and a limitMaturity.
AL.PR.E Floater -1.9685% Traded at 24.50 today, a new 52-week low.
RY.PR.F PerpetualDiscount -1.7887% Traded at 23.00 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.79% based on a bid of 23.61 and a limitMaturity.
BCE.PR.R FixFloat -1.6092% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Traded at 20.10 today, a new 52-week low. Closed at 21.40-89, 3×3. Yes, the handles are correct .. the low is more than a dollar less than the closing bid. Efficient market, huh?
BMO.PR.J PerpetualDiscount -1.5709% Traded at 24.00 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.74%, based on a bid of 23.81 and a limitMaturity.
MFC.PR.A OpRet -1.4543% Now with a pre-tax bid-YTW of 3.67% based on a bid of 25.75 and a softMaturity 2015-12-18 at 25.00
BAM.PR.M PerpetualDiscount -1.3480% Traded at 24.15 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.98% based on a bid of 24.15 and a limitMaturity.
SLF.PR.B PerpetualPremium (until month-end, anyway!) -1.2346% Now with a pre-tax bid-YTW of 4.82% based on a bid of 24.80 and a limitMaturity.
CM.PR.J PerpetualDiscount -1.1711% Traded at 23.66 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.80% based on a bid of 23.63 and a limitMaturity
SLF.PR.D PerpetualDiscount -1.1012% Traded at 23.33 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.75% based on a bid of 23.35 and a limitMaturity
BCE.PR.Z FixFloat -1.0549% Exchange/Reset date is 2007-12-1 (exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.51-64, 5×1; the Ys closed at 22.16-78, 3×4
RY.PR.G PerpetualDiscount -1.0395% Traded at 23.80 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.77% based on a bid of 23.80 and a limitMaturity
RY.PR.D PerpetualDiscount -1.0395% Traded at 23.80 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.74% based on a bid of 23.80 and a limitMaturity.
DFN.PR.A SplitShare -1.0368% See discussion in “volume” table.
Volume Highlights
Issue Index Volume Notes
GWO.PR.G PerpetualPremium 109,600 Now with a pre-tax bid-YTW of 4.76% based on a bid of 25.86 and a call 2014-1-30 at 25.00.
GWO.PR.H PerpetualPremium 97,255 Now with a pre-tax bid-YTW of 4.74% based on a bid of 25.39 and a call 2014-10-30 at 25.00
WN.PR.C PerpetualPremium (for now! Will be “scraps” after month-end, due to the downgrade.) 90,683 RBC crossed 50,000 at 24.95. Now with a pre-tax bid-YTW of 5.31% based on a bid of 24.84 and a limitMaturity.
CM.PR.H PerpetualPremium 68,500 Scotia crossed 50,000 at 25.40. Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.35 and a call 2014-4-29 at 25.00.
DFN.PR.A SplitShare 145,700 Desjardins crossed 50,000 at 10.50. Issue will be reopened shortly. Now with a pre-tax bid-YTW of 4.54% based on a bid of 10.50 and a hardMaturity 2014-12-1 at 10.00.

There were forty other $25-equivalent index-included issues trading over 10,000 shares today.

Whoosh! I don’t know what the Bank of Canada is going to do next week, but it would seem that the preferred shareholders are making their bets! The Long Term Government Bond Index is down 1.83% on the month, roughly comparable to Long Term Corporates; Universe Bond, -1.11%; Short Term Bond -0.50%;  the HIMI PerpetualDiscount index is down 2.59%; PerpetualPremium down 1.17% (Hockey Sticks!); OpRet is down 0.24%. As usual, none of it makes any sense at all.

Market Action

May 23, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 5.08% 5.17% 41,577 15.38 2 +0.3303% 966.4
Fixed-Floater 5.63% 5.16% 144,821 15.43 6 -0.0262% 919.9
Floater 4.80% -3.42% 78,710 11.10 3 -0.0528% 1,046.3
Op. Retract 4.76% 3.51% 84,065 2.32 17 -0.0705% 1,030.2
Split-Share 4.97% 4.22% 227,615 3.96 12 -0.0610% 1,050.8
Interest Bearing 6.53% 6.37% 70,069 5.34 5 +0.0200% 1,044.2
Perpetual-Premium 5.18% 4.74% 176,761 6.82 48 -0.2212% 1,041.8
Perpetual-Discount 4.70% 4.73% 687,077 15.98 19 -0.4467% 1,037.0
Major Price Changes
Issue Index Change Notes
POW.PR.D PerpetualPremium -1.7147% Closed at 25.22-44, 1×2. Now with a pre-tax bid-YTW of 4.97% based on a bid of 25.22 and a call 2014-11-30 at 25.00.
BCE.PR.G FixFloat -1.5789% Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Hit the 52-week low of 20.25, closed at 20.57-00, 5×10. The Hs closed at 23.21-49 on no volume. Nearly $3.00 spread on this BCE pair … somebody must be profitting!
SLF.PR.C PerpetualDiscount -1.4256% Now with a pre-tax bid-YTW of 4.72% based on a bid of 23.51 and a limitMaturity. That makes 5% on a Pfd-3 perp and 4.85% on a Pfd-3(high) perp look pretty skimpy … especially as this issue implicitly has the chance, anyway, of a permanent 6%+ capital gain.
BMO.PR.J PerpetualDiscount -1.3458% Now with a pre-tax bid-YTW of 4.66% based on a bid of 24.19 and a limitMaturity.
SLF.PR.D PerpetualDiscount -1.2134% Now with a pre-tax bid-YTW of 4.70% based on a bid of 23.61 and a limitMaturity.
BNS.PR.K PerpetualPremium -1.1737% Now with a pre-tax bid-YTW of 4.71% based on a bid of 25.26 and a call 2014-5-28 at 25.00.
TD.PR.O PerpetualPremium -1.0425% Now with a pre-tax bid-YTW of 4.53% based on a bid of 25.63 and a call 2014-11-30 at 25.00.
BCE.PR.Z FixFloat +1.5172% Exchange/Reset date is 2007-12-1 (exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.75-99, 20×8; the Ys closed at 22.80-33, 1×4.
Volume Highlights
Issue Index Volume Notes
RY.PR.B PerpetualPremium (until month-end, anyway!) 94,500 Scotia crossed 67,300 at 24.75. Now with a pre-tax bid-YTW of 4.78% based on a bid of 24.66 and a limitMaturity.
PIC.PR.A SplitShare 65,528 Now with a pre-tax bid-YTW of 4.23% based on a bid of 15.79 and a hardMaturity 2010-11-1 at 15.00.
BCE.PR.C FixFloat 38,450 Exchange/Reset date is 2008-3-1 (exchanges with series ‘AD’, not issued); until then, pays 5.54% of par. Closed at 23.38-59, 9×4.
CM.PR.H PerpetualPremium 37,235 Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.35 and a call 2014-4-29 at 25.00.
SLF.PR.A PerpetualPremium (until month-end, anyway!) 34,500 Now with a pre-tax bid-YTW of 4.76% based on a bid of 24.85 and a limitMaturity.

There were thirty-two other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

May 22, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 5.07% 5.15% 42,037 15.40 2 +0.0456% 963.2
Fixed-Floater 5.63% 5.11% 140,602 15.47 6 +0.2481% 920.1
Floater 4.80% -2.67% 77,111 11.13 3 +0.3221% 1,046.8
Op. Retract 4.75% 3.42% 84,600 2.32 17 +0.0529% 1,030.9
Split-Share 4.97% 4.17% 227,988 3.97 12 +0.1112% 1,051.5
Interest Bearing 6.53% 6.36% 69,460 3.20 5 -0.2342% 1,044.0
Perpetual-Premium 5.17% 4.67% 175,724 6.63 48 -0.1523% 1,044.2
Perpetual-Discount 4.68% 4.70% 704,485 16.03 19 -0.4296% 1,041.7
Major Price Changes
Issue Index Change Notes
TCA.PR.X PerpetualPremium -1.4240% Dipped as low as 52.30 on (relatively!) heavy volume of 9,468 shares before closing at 52.61-95, 8×7. Now with a pre-tax bid-YTW of 4.75% based on a bid of 52.61 and a call 2013-11-14 at 50.00.
BSD.PR.A Interest -1.1823% Now with a pre-tax bid-YTW of 6.18% (as interest) based on a bid of 10.03 and a hardMaturity 2015-3-31 at 10.00.
BNS.PR.L PerpetualDiscount -1.1290% Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.52 and a limitMaturity.
PWF.PR.K PerpetualPremium -1.0933% Now with a pre-tax bid-YTW of 4.82% based on a bid of 25.33 and a call 2014-11-30 at 25.00
CM.PR.J PerpetualDiscount -1.0267% Now with a pre-tax bid-YTW of 4.70% based on a bid of 24.10 and a limitMaturity.
RY.PR.E PerpetualDiscount -1.0204% Now with a pre-tax bid-YTW of 4.65% based on a bid of 24.25 and a limitMaturity.
PWF.PR.J OpRet -1.0129% Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.41 and a softMaturity 2013-7-30 at 25.00.
BNA.PR.C SplitShare +1.0246% A dead cat bounce after the downgrade. Now with a pre-tax bid-YTW of 4.51% based on a bid of 24.65 and a hardMaturity 2019-1-10 at 25.00
WN.PR.D PerpetualDiscount (for now! Will move to ‘Scraps’ based on credit quality at month-end) +1.0505% Another dead count bounce. Downgraded today by DBRS, May 3 by S&P. Now with a pre-tax bid-YTW of 5.27% based on a bid of 25.01 and a limitMaturity
CM.PR.R OpRet +1.1214% Now with a pre-tax bid-YTW of 3.59% based on a bid of 26.15 and a call 2008-5-30 at 25.75. Somebody’s decided it won’t be called … yield will be 4.25% if it lasts ’till its softMaturity 2013-4-29 at 25.00
BCE.PR.G FixFloat -2.3333% Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Recovered from yesterday’s immense spread to close at 20.90-44, 1×5. The Hs closed at 23.01-49, 19×19.
Volume Highlights
Issue Index Volume Notes
WN.PR.B OpRet (will be ‘scraps’ after month-end, based on credit quality) 83,502 Desjardins crossed 25,300 at 26.04, then another 49,700 at the same price. Downgraded today by DBRS. Now with a pre-tax bid-YTW of 3.52% based on a bid of 26.01 and a softMaturity 2009-6-30 at 25.00.
TD.PR.O PerpetualPremium 61,257 Scotia crossed 50,000 at 26.00. Now with a pre-tax bid-YTW of 4.36% based on a bid of 25.90 and a call 2014-11-30 at 25.00.
BAM.PR.H OpRet 51,381 Scotia crossed 50,000 at 27.09. Now with a pre-tax bid-YTW of 2.54% based on a bid of 27.06 and a call 2008-10-30 at 25.75. Buyers obviously anticipate a softMaturity 2012-3-30 at 25.00, yielding 4.08%!
CM.PR.I PerpetualPremium 51,380 Now with a pre-tax bid-YTW of 4.73% based on a bid of 25.00 and a limitMaturity.
BMO.PR.J PerpetualDiscount 39,500 Now with a pre-tax bid-YTW of 4.60% based on a bid of 24.52 and a call 2016-3-26 at 24.52.

There were twenty other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

May 18, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 5.04% 5.12% 42,525 15.46 2 -1.2458% 962.8
Fixed-Floater 5.64% 5.10% 138,090 15.52 6 -1.0258% 917.9
Floater 4.82% 0.26% 77,555 11.16 3 -0.2396% 1,043.5
Op. Retract 4.76% 3.45% 84,092 2.72 17 -0.1594% 1,030.3
Split-Share 4.97% 4.16% 230,049 3.97 12 +0.1410% 1,050.3
Interest Bearing 6.51% 6.20% 68,704 3.22 5 -0.1370% 1,046.4
Perpetual-Premium 5.16% 4.52% 174,304 6.07 48 -0.0786% 1,045.8
Perpetual-Discount 4.66% 4.68% 720,566 16.08 19 -0.1246% 1,046.2
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixFloat -2.3333% Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 20.51-49, 4×9. Nice spread, eh? The bid is the 52-week low, but it didn’t trade that far down. The Hs closed at 22.90-49, 10×19.
BCE.PR.R FixFloat -2.2022% Exchange/Reset Date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 21.76-37, 3×1.
BCE.PR.Z FixFloat -2.087% Exchange/Reset Date is 2007-12-1 (Exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.52-00, 5×75. The Ys closed at 22.04-23.68, 2×4, which is a VERY nice spread.
BCE.PR.H Ratchet -1.9272% See BCE.PR.G, above.
PWF.PR.J OpRet -1.0790% Now with a pre-tax bid-YTW of 4.27% based on a bid of 25.67 and a softMaturity 2013-7-30. Unfortunately, the pre-tax ask-YTW is 3.57%, based on the ask price of 26.31 and a call 2008-5-30 at 26.00. Mind you, given that the interest-equivalent in Ontario works out to 5.00%, it still looks worthwhile … a pleasant change from the usual state of affairs
WFS.PR.A SplitShare +1.5311% Hard to work out a rationale for this one! Maybe, since it’s a split-share, rated Pfd-2, paying $0.525 p.a., some people figure it should trade like the other such split shares? The trouble is with the maturity: 2011-6-30, basically three years less than the comparables … which means the capital loss and the end of dividends comes sooner. Now with a pre-tax bid-YTW of 3.84% based on a bid of 10.61 and a hardMaturity 2011-6-30 at 10.00.
Volume Highlights
Issue Index Volume Notes
SLF.PR.A PerpetualPremium 40,050 Now with a pre-tax bid-YTW of 4.58% based on a bid of 25.16 and a call 2014-4-30 at 25.00.
CM.PR.I PerpetualPremium 33,320 Now with a pre-tax bid-YTW of 4.72% based on a bid of 25.05 and a limitMaturity.
SBN.PR.A SplitShare 74,425 Recent new issue. Now with a pre-tax bid-YTW of 4.55% based on a bid of 10.47 and a hardMaturity 2014-12-1 at 10.00.
BNS.PR.M PerpetualDiscount 28,150 Now with a pre-tax bid-YTW of 4.59% based on a bid of 24.75 and a limitMaturity.
CM.PR.H PerpetualPremium 24,786 Now with a pre-tax bid-YTW of 4.57% based on a bid of 25.45 and a call 2014-4-29 at 25.00.

There were twenty-two other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

May 17, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.95% 4.98% 42,381 15.59 2 -0.3851% 974.9
Fixed-Floater 5.58% 5.00% 135,867 15.65 6 -0.1057% 927.4
Floater 4.81% -2.06% 76,997 11.14 3 +0.1497% 1,046.0
Op. Retract 4.75% 3.39% 84,051 2.33 17 -0.0795% 1,032.0
Split-Share 4.98% 4.22% 231,241 3.97 12 +0.0367% 1,048.8
Interest Bearing 6.50% 6.11% 68,204 3.22 5 +0.0596% 1,047.9
Perpetual-Premium 5.15% 4.66% 173,916 6.15 48 -0.3263% 1,046.6
Perpetual-Discount 4.64% 4.68% 737,370 16.06 19 -0.1475% 1,047.5
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixFloat -2.5676% Exchange/Reset Date is 2011-8-1 (Exchanges with Series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 21.25-46, 6×2, touching a 52-week low of 21.00.
ELF.PR.G PerpetualPremium -1.3546% Now with a pre-tax bid-YTW of 4.84%, based on a bid of 24.76 and a limitMaturity.
CM.PR.E PerpetualPremium -1.3158% Now with a pre-tax bid-YTW of 4.66% based on a bid of 26.25 and a call 2012-11-30 at 25.00. That’s a lot of interest rate protection, with a still-attractive yield!
GWO.PR.G PerpetualPremium -1.2246% Now with a pre-tax bid-YTW of 4.78% based on a bid of 25.81 and a call 2014-1-30 at 25.00
BNA.PR.C SplitShare -1.2121% Recently downgraded by DBRS – but still investment grade! Now with a pre-tax bid-YTW of 4.72% based on a bid of 24.45 and a hardMaturity 2019-1-10 at 25.00
RY.PR.B PerpetualPremium (for now!) -1.1581% Now with a pre-tax bid-YTW of 4.76% based on a bid of 24.75 and a limitMaturity.
TCA.PR.X PerpetualPremium -1.0056% Now with a pre-tax bid-YTW of 4.54% based on a bid of 53.16 and a call 2013-11-14 at 50.00
BCE.PR.C FixFloat +1.2631% Exchange/Reset date is 2008-03-01 (Exchanges with series ‘AD’, not issued); until then, pays 5.54% of par. Closed at 23.25-64, 11×8
Volume Highlights
Issue Index Volume Notes
HSB.PR.D PerpetualPremium 256,650 National Bank crossed 250,000 at 26.38. Now with a pre-tax bid-YTW of 4.32% based on a bid of 26.31 and a call 2015-1-30 at 25.00.
SBN.PR.A SplitShare 415,750 New issue settled today. Now with a pre-tax bid-YTW of 4.63% based on a bid of 10.42 and a hardMaturity 2014-12-1 at 10.00.
TD.PR.O PerpetualPremium 94,850 Now with a pre-tax bid-YTW of 4.35% based on a bid of 25.90 and a call 2014-11-30 at 25.00.
RY.PR.C PerpetualDiscount 56,300 Now with a pre-tax bid-YTW of 4.66% based on a bid of 24.71 and a limitMaturity.
BMO.PR.J PerpetualDiscount 53,500 Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.71 and a limitMaturity.

There were sixteen other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

May 16, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.90% 4.93% 42,522 15.67 2 +0.7196% 978.7
Fixed-Floater 5.57% 4.96% 134,514 15.71 6 -0.4594% 928.5
Floater 4.81% 1.21% 77,230 11.19 3 -0.3983% 1,044.4
Op. Retract 4.74% 3.32% 84,919 2.34 17 +0.0565% 1,032.8
Split-Share 4.95% 4.12% 161,772 3.99 12 -0.0713% 1,048.4
Interest Bearing 6.51% 6.19% 66,587 3.38 5 +0.0394% 1,047.2
Perpetual-Premium 5.14% 4.56% 172,676 5.17 48 -0.0234% 1,050.0
Perpetual-Discount 4.64% 4.67% 752,759 16.08 19 -0.0444% 1,049.0
Major Price Changes
Issue Index Change Notes
BCE.PR.A FixFloat -1.2100% Exchange/Reset Date is 2007-9-1 (Exchanges with Series ‘AB’, not issued); until then, pays 5.03% of par. Closed at 22.86-04, 6×19, touching a 52-week low of 22.86.
CM.PR.R OpRet +1.1605% Now with a pre-tax bid-YTW of 3.53%, based on a bid of 26.15 and a call 2008-5-30 at 25.75. That’s a bond-equivalent of 4.94%, not bad!
BCE.PR.S Ratchet +1.4867% Exchange/Reset date is 2011-11-01 (Exchanges with BCE.PR.T, which pays 4.502% until then). Closed at 23.21-39, 3×10; the Ts closed at 22.00-23.75, 1×18, trading 1,250 shares in a range of 21.80-50.
Volume Highlights
Issue Index Volume Notes
WN.PR.B OpRet 139,520 Scotia crossed 138,400 at 26.00. Now with a pre-tax bid-YTW of 3.51% based on a bid of 26.00 and a softMaturity 2009-6-30 at 25.00.
TD.PR.O PerpetualPremium 111,507 Nesbitt crossed 100,000 at 26.03. Now with a pre-tax bid-YTW of 4.27% based on a bid of 26.02 and a call 2014-11-30 at 25.00.
BAM.PR.H OpRet 111,417 Scotia crossed 100,000 at 27.09. Now with a pre-tax bid-YTW of 2.48% based on a bid of 27.07 and a call 2008-10-30 at 25.75. There are those, it would appear, who believe it will last until its softMaturity at 25.00, 2012-3-30, to yield 4.05%!
CM.PR.I PerpetualPremium 34,415 Now with a pre-tax bid-YTW of 4.68% based on a bid of 25.15 and a call 2016-3-1 at 25.00.
NA.PR.L PerpetualPremium 30,607 National Bank crossed 12,700 at 25.75. Now with a pre-tax bid-YTW of 4.41% based on a bid of 25.70 and a call 2014-6-14 at 25.00.

There were twenty-two other $25-equivalent index-included issues trading over 10,000 shares today.