Category: Market Action

Market Action

July 3, 2007

Well, I had a marvellous dinner with a very good friend, but it left no time to do much beyond the most vital system updating! I’ll catch up tomorrow, but in the meantime, feast your eyes on the average returns of the Ratchet Rate Index and the Fixed Floater Index. It will be a while before we see those kinds of numbers again!

Later:

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 5.34% 5.35% 27,574 14.93 2 +6.9262% 1,026.9
Fixed-Floater 5.02% 5.28% 134,587 15.14 8 +12.3231% 1,004.6
Floater 4.66% -0.09% 75,367 4.27 4 +0.0411% 1,049.5
Op. Retract 4.82% 3.86% 87,687 2.88 16 -0.0110% 1,021.2
Split-Share 5.06% 4.72% 132,266 4.11 17 -0.0996% 1,043.7
Interest Bearing 6.23% 6.42% 71,433 4.46 3 +0.2754% 1,034.3
Perpetual-Premium 5.51% 5.12% 123,415 4.52 26 +0.0243% 1,022.6
Perpetual-Discount 5.10% 5.14% 407,912 15.27 38 -0.0447% 965.4
Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare -1.1374%  
BCE.PR.H Ratchet +6.0246%  
BCE.PR.C FixFloat +7.2374%%  
BCE.PR.S Ratchet +7.8222%  
BCE.PR.Z FixFloat +8.7545%  
BCE.PR.A FixFloat +9.9500%  
BCE.PR.T FixFloat +15.3846%  
BCE.PR.R FixFloat +16.9747%  
BCE.PR.I FixFloat +19.7922%  
BCE.PR.G FixFloat +20.3937%  
Volume Highlights
Issue Index Volume Notes
WFS.PR.A SplitShare 286,953  
BCE.PR.I FixFloat 94,077  
BCE.PR.A FixFloat 49,149  
BCE.PR.R FixFloat 44,965  
SLF.PR.B PerpetualDiscount 41,007  

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

Market Action

June 29, 2007

Another quarter’s been put to bed! Today was a strong day for bonds and a good day for bond traders, who quit work early in the afternoon. I’ve never quite understood how they get away with that, but they do put in pretty long hours.

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 5.71% 5.78% 26,472 14.41 2 +0.0442% 960.3
Fixed-Floater 5.65% 5.98% 139,701 14.31 7 -0.4211% 894.4
Floater 4.83% 1.65% 86,666 5.64 3 +0.1898% 1,049.1
Op. Retract 4.83% 4.02% 84,365 3.14 17 +0.1554% 1,021.3
Split-Share 5.04% 4.60% 148,139 4.16 15 +0.1200% 1,044.7
Interest Bearing 6.77% 6.95% 82,512 6.13 4 +0.3422% 1,031.4
Perpetual-Premium 5.42% 5.12% 149,690 7.42 34 +0.1280% 1,022.4
Perpetual-Discount 5.07% 5.10% 483,253 15.33 29 +0.1450% 965.8
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixFloat -2.0277%  
ELF.PR.G PerpetualDiscount -1.5116% Now with a pre-tax bid-YTW of 5.40% based on a bid of 22.06 and a limitMaturity.
BCE.PR.Z FixFloat -1.5111%  
CFS.PR.A SplitShare +1.0204% Now with a pre-tax bid-YTW of 4.47% based on a bid of 9.90 and a hardMaturity 2012-01-31 at 10.00.
BNS.PR.M PerpetualDiscount +1.1312% Now with a pre-tax bid-YTW of 5.14% based on a bid of 22.35 and a limitMaturity.
IAG.PR.A PerpetualDiscount +1.3514% Now with a pre-tax bid-YTW of 5.13% based on a bid of 22.50 and a limitMaturity.
BSD.PR.A InterestBearing +1.5086% Now with a pre-tax bid-YTW of 7.08% based on a bid of 9.42 and a hardMaturity 2015-3-31 at 10.00.
BCE.PR.A FixFloat +1.8981%  
Volume Highlights
Issue Index Volume Notes
BNS.PR.K PerpetualPremium (until the rebalancing takes effect!) 58,770 Now with a pre-tax bid-YTW of 4.95% based on a bid of 24.20 and a limitMaturity.
RY.PR.A PerpetualDiscount 19,497 Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.35 and a limitMaturity.
POW.PR.D PerpetualDiscount 18,345 Now with a pre-tax bid-YTW of 5.22% based on a bid of 23.96 and a limitMaturity.
NA.PR.L PerpetualPremium (until the rebalancing takes effect!) 17,700 Now with a pre-tax bid-YTW of 5.06% based on a bid of 24.25 and a limitMaturity.
BCE.PR.C FixFloat 14,890  

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

Market Action

June 28, 2007

Very sorry … due to month-end scheduling difficulties, the report for June 28 will be delayed. I hope to have everything caught up by the end of the day.

Later…

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 5.71% 5.78% 27,182 14.42 2 +0.1107% 959.9
Fixed-Floater 5.63% 5.94% 138,991 14.37 7 -0.0904% 898.2
Floater 4.84% 2.64% 86,065 5.85 3 -0.0262% 1,047.1
Op. Retract 4.83% 4.08% 85,381 3.57 17 +0.0047% 1,019.8
Split-Share 5.04% 4.63% 151,439 4.05 15 -0.0096% 1,043.5
Interest Bearing 6.80% 7.00% 84,576 6.13 4 -0.4232% 1,027.9
Perpetual-Premium 5.43% 5.14% 149,443 7.81 34 +0.1047% 1,021.0
Perpetual-Discount 5.07% 5.11% 492,114 15.32 29 -0.0920% 964.4
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -2.8272% Now with a pre-tax bid-YTW of 7.32% (as interest) based on a bid of 9.28 and a hardMaturity 2015-3-31 at 10.00.
BNS.PR.M PerpetualDiscount -2.4713% Now with a pre-tax bid-YTW of 5.20% based on a bid of 22.10 and a limitMaturity.
BCE.PR.Z FixFloat -2.1739%  
BCE.PR.A FixFloat -1.2797%  
FIG.PR.A InterestBearing +1.0341% Now with a pre-tax bid-YTW of 6.68% based on a bid of 9.77 and a hardMaturity 2014-12-31 at 10.00.
CU.PR.A PerpetualPremium +1.0576% Now with a pre-tax bid-YTW of 5.17% based on a bid of 25.80 and a call 2012-3-31 at 25.00.
ELF.PR.G PerpetualDiscount +2.0225% Now with a pre-tax bid-YTW of 5.33% based on a bid of 22.70 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 116,820 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.25 and a limitMaturity.
RY.PR.E PerpetualDiscount 110,800 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.50 and a limitMaturity.
SLF.PR.D PerpetualDiscount 105,360 Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.21 and a limitMaturity.
BMO.PR.G OpRet 79,494 Now with a pre-tax bid-YTW of 4.80% based on a bid of 25.11 and a softMaturity 2008-5-24 at 25.00.
BNS.PR.J PerpetualPremium 23,100 Now with a pre-tax bid-YTW of 4.91% based on a bid of 25.40 and a call 2013-11-28 at 25.00.

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

Market Action

June 27, 2007

BCE issues were hammered again, presumably in a delayed reaction to the Telus affront. The FixedFloater index (comprised entirely of BCE issues) is above its early-June lows, but has now given up the monster gains that accompanied the initial approach.

CPD, the subject of a recent article, went ex-dividend on 6/26 for just a hair under $0.20 per share, so don’t faint when you look at the NAVs!

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 5.78% 5.78% 27,375 14.42 2 -0.0028% 958.9
Fixed-Floater 5.62% 5.91% 138,660 14.41 7 -1.7921% 899.0
Floater 4.84% 1.19% 87,293 11.21 3 -0.1335% 1,047.3
Op. Retract 4.84% 4.06% 86,360 3.33 17 -0.0451% 1,019.7
Split-Share 5.04% 4.60% 153,957 3.88 15 +0.0773% 1,043.6
Interest Bearing 6.77% 6.93% 85,715 6.14 4 +0.2953% 1,032.3
Perpetual-Premium 5.43% 5.16% 150,453 7.94 34 +0.1308% 1,020.0
Perpetual-Discount 5.06% 5.10% 497,685 15.32 29 +0.1485% 965.3
Major Price Changes
Issue Index Change Notes
BCE.PR.A FixFloat -4.1612%  
BCE.PR.I FixFloat -3.0884%  
BCE.PR.G FixFloat -2.4673%  
BCE.PR.R FixFloat -2.4390%  
PWF.PR.D OpRet -1.6573% Now with a pre-tax bid-YTW of 4.46% based on a bid of 26.11 and a softMaturity 2012-10-30 at 25.00.
POW.PR.D PerpetualDiscount +1.0879% Now with a pre-tax bid-YTW of 5.18% based on a bid of 24.16 and a limitMaturity.
POW.PR.C PerpetualPremium +1.2326% Now with a pre-tax bid-YTW of 5.30% based on a bid of 25.46 and a call 2012-1-5 at 25.00.
ELF.PR.G PerpetualDiscount +1.2745% Now with a pre-tax bid-YTW of 5.44% based on a bid of 22.25 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 54,458 Now with a pre-tax bid-YTW of 5.06% based on a bid of 23.20 and a limitMaturity.
RY.PR.B PerpetualDiscount 34,186 Now with a pre-tax bid-YTW of 4.99% based on a bid of 23.77 and a limitMaturity.
BNS.PR.M PerpetualDiscount 32,035 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.66 and a limitMaturity.
RY.PR.F PerpetualDiscount 30,345 Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.30 and a limitMaturity.
GWO.PR.I PerpetualDiscount 21,083 Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.20 and a limitMaturity.

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

Market Action

June 26, 2007

BCE issues were very disappointed to learn that Telus doesn’t want BCE and lost back much of their recent gains. Predict this, predict that, no information … what a life, eh? I’ll stick to analyzing cash-flows.

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 5.68% 5.80% 28,411 14.38 2 -0.1100% 958.9
Fixed-Floater 5.50% 5.74% 140,272 14.48 7 -1.7177% 915.4
Floater 4.83% 1.82% 88,177 5.84 3 +0.0269% 1,048.7
Op. Retract 4.83% 3.92% 86,021 3.05 17 -0.0033% 1,020.2
Split-Share 5.03% 4.60% 156,131 4.04 15 -0.0881% 1,042.8
Interest Bearing 6.76% 7.08% 86,386 6.33 4 +0.6535% 1,029.2
Perpetual-Premium 5.42% 5.18% 150,239 8.35 34 +0.0182% 1,018.6
Perpetual-Discount 5.07% 5.11% 501,898 15.30 29 -0.0697% 963.9
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixFloat -5.3555%  
BCE.PR.C FixFloat -2.3504%  
BCE.PR.A FixFloat -1.8065%  
CM.PR.J PerpetualDiscount -1.7301% Now with a pre-tax bid-YTW of 5.16% based on a bid of 21.80 and a limitMaturity.
LFE.PR.A SplitShare -1.4205% Now with a pre-tax bid-YTW of 4.49% based on a bid of 10.41 and a hardMaturity 2012-12-1 at 10.00
RY.PR.A PerpetualDiscount -1.4141% Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.31 and a limitMaturity.
BCE.PR.G FixFloat -1.2230%  
BSD.PR.A InterestBearing +1.0638% Now with a pre-tax bid-YTW of 6.93% (as interest) based on a bid of 9.50 and a hardMaturity 2010-5-1 at 10.00
FIG.PR.A InterestBearing +1.8908% Now with a pre-tax bid-YTW of 6.80% (as interest) based on a bid of 9.70 and a hardMaturity 2014-12-31 at 10.00
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 503,325 Haven’t seen one of these for a while! Global crossed 249,300 for cash at 26.06, then crossed 249,300 for regular settlement at 25.72. Went ex-dividend today for 0.33125. Now with a pre-tax bid-YTW of 4.66% based on a bid of 25.51 and a softMaturity 2011-7-30 at 25.00.
BPO.PR.F Scraps (would be OpRet, but there are credit concerns) 103,846 Desjardins crossed 100,000 at 25.75. //Now with a pre-tax bid-YTW of 5.52% based on a bid of 25.62 and a softMaturity 2013-3-30 at 25.00.
GWO.PR.G PerpetualPremium (for now!) 56,135 RBC crossed 50,000 at 24.70. Now with a pre-tax bid-YTW of 5.30% based on a bid of 24.60 and a limitMaturity.
BCE.PR.C FixFloat 31,705  
RY.PR.G PerpetualDiscount 25,500 Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.50 and a limitMaturity.
SLF.PR.E PerpetualDiscount 23,900 Now with a pre-tax bid-YTW of 5.07% based on a bid of 22.30 and a limitMaturity

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

Market Action

June 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 5.66% 5.78% 29,564 14.40 2 +0.3098% 959.9
Fixed-Floater 5.40% 5.61% 139,067 14.65 7 +0.2492% 931.4
Floater 4.83% 2.31% 89,320 5.85 3 +0.0941% 1,048.5
Op. Retract 4.83% 3.97% 85,920 3.12 17 +0.0440% 1,020.2
Split-Share 5.02% 4.57% 158,983 3.98 15 +0.0636% 1,043.7
Interest Bearing 6.80% 7.15% 85,677 6.12 4 -0.2294% 1,022.6
Perpetual-Premium 5.41% 5.18% 149,877 8.33 34 +0.0403% 1,018.5
Perpetual-Discount 5.06% 5.11% 509,165 15.30 29 -0.1440% 964.6
Major Price Changes
Issue Index Change Notes
SLF.PR.A PerpetualDiscount -1.5481% Now with a pre-tax bid-YTW of 5.06% based on a bid of 23.53 and a limitMaturity.
BAM.PR.N PerpetualDiscount -1.0835% Now with a pre-tax bid-YTW of 5.45% based on a bid of 21.91 and a limitMaturity.
W.PR.H PerpetualPremium +1.2749% Now with a pre-tax bid-YTW of 5.40% based on a bid of 25.42 and a limitMaturity (which seems odd, I know, but almost the entire premium is about to be paid as a dividend).
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 68,200 Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.25 and a limitMaturity.
TD.PR.O PerpetualPremium (for now!) 55,100 Now with a pre-tax bid-YTW of 5.07% based on a bid of 24.25 and a limitMaturity.
BMO.PR.J PerpetualDiscount 54,916 Now with a pre-tax bid-YTW of 5.12% based on a bid of 22.19 and a limitMaturity.
MFC.PR.B PerpetualDiscount 54,687 There was an anonymous seller of 18,800 to RBC and 11,200 to Nesbitt, in four tranches, all at 23.50. Now with a pre-tax bid-YTW of 4.97% based on a bid of 23.50 and a limitMaturity.
ALB.PR.A SplitShare 34,763 Now with a pre-tax bid-YTW of 4.11% based on a bid of 25.10 and a call at 25.00 2008-3-29.

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

Market Action

June 22, 2007

Lots of chatter about BCE / Telus today, but no real news. I haven’t yet seen the suggestion that Telus might buy BCE only to get swallowed itself … but why not?

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 5.67% 5.77% 30,212 14.39 2 +0.8089% 957.0
Fixed-Floater 5.42% 5.60% 141,074 14.67 7 +0.0203% 929.1
Floater 4.83% 2.55% 91,012 5.65 3 -0.0938% 1,047.5
Op. Retract 4.83% 4.00% 87,190 3.11 17 -0.2414% 1,019.8
Split-Share 5.03% 4.59% 161,626 4.16 15 +0.1330% 1,043.0
Interest Bearing 6.13% 7.09% 86,467 6.13 4 -0.0249% 1,024.9
Perpetual-Premium 5.42% 5.18% 149,810 7.95 34 +0.1058% 1,018.0
Perpetual-Discount 5.05% 5.10% 515,700 15.33 29 -0.1317% 966.0
Major Price Changes
Issue Index Change Notes
GWO.PR.E OpRet -1.5238% Now with a pre-tax bid-YTW of 3.74% based on a bid of 25.85 and a call 2011-4-30 at 25.00.
POW.PR.D PerpetualDiscount -1.4026% Now with a pre-tax bid-YTW of 5.23% based on a bid of 23.90 and a limitMaturity.
BCE.PR.G FixFloat -1.3583%  
PWF.PR.D OpRet -1.1295% Now with a pre-tax bid-YTW of 4.30% based on a bid of 26.26 and a call 2008-11-30 at 25.00.
BAM.PR.M PerpetualDiscount -1.0811% Now with a pre-tax bid-YTW of 5.43% based on a bid of 21.96 and a limitMaturity.
ELF.PR.G PerpetualDiscount +1.0069% Now with a pre-tax bid-YTW of 5.48% based on a bid of 22.07 and a limitMaturity.
PWF.PR.I PerpetualPremium +1.2398% Now with a pre-tax bid-YTW of 5.19% based on a bid of 26.13 and a limitMaturity.
BCE.PR.Z FixFloat +1.2603%  
BCE.PR.S Ratchet +1.6750%  
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 127,970 Nesbitt crossed 100,000 at 23.35. Now with a pre-tax bid-YTW of 5.12% based on a bid of 23.30 and a limitMaturity.
BNS.PR.M PerpetualDiscount 56,563 Nesbitt crossed 50,000 at 22.65. Now with a pre-tax bid-YTW of 5.07% based on a bid of 22.61 and a limitMaturity.
GWO.PR.H PerpetualDiscount 54,000 Nesbitt crossed 49,500 at 23.76. Now with a pre-tax bid-YTW of 5.12% based on a bid of 23.75 and a limitMaturity.
GWO.PR.G PerpetualPremium (for now!) 47,241 Scotia crossed 36,200 at 24.80. Now with a pre-tax bid-YTW of 5.28% based on a bid of 24.70 and a limitMaturity.
BCE.PR.I FixFloat 28,612  

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

Market Action

June 21, 2007

Well, Co-operators announced that the redemption procedure for CCS.PR.A isn’t quite exactly what was previously announced, and the BCE fixed-floaters had a monster day – presumably related to the Telus news, but who can tell?

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 5.70% 5.81% 30,988 14.35 2 -0.3314% 949.3
Fixed-Floater 5.42% 5.59% 139,892 14.70 7 +2.7158% 928.9
Floater 4.83% 2.39% 92,354 5.67 3 -0.0536% 1,048.5
Op. Retract 4.82% 3.74% 87,100 2.96 17 -0.1309% 1,022.2
Split-Share 5.03% 4.61% 164,573 3.99 15 -0.0259% 1,041.6
Interest Bearing 6.79% 7.09% 87,945 6.13 4 +0.0870% 1,025.2
Perpetual-Premium 5.42% 5.20% 150,800 8.35 34 -0.0760% 1,017.0
Perpetual-Discount 5.05% 5.09% 520,724 15.34 29 +0.3783% 967.2
Major Price Changes
Issue Index Change Notes
BAM.PR.J OpRet -1.2121% New low of 26.11 today. Now with a pre-tax bid-YTW of 4.90% based on a bid of 26.08 and a softMaturity 2018-3-30 at 25.00.
POW.PR.D PerpetualDiscount +1.0000% Now with a pre-tax bid-YTW of 5.15% based on a bid of 24.24 and a limitMaturity.
RY.PR.A PerpetualDiscount +1.2999% Now with a pre-tax bid-YTW of 4.97% based on a bid of 22.60 and a limitMaturity.
BCE.PR.C FixFloat +1.7391%  Exchange/Reset date is 2008-3-1 (exchanges with series ‘AD’, not issued); until then, pays 5.54% of par. Closed at 23.40-54, 5×5.
BCE.PR.A FixFloat +2.2897%  Exchange/Reset date is 2007-9-1 (exchanges with series ‘AB’, not issued); until then, pays 5.45% of par. Closed at 23.23-39, 6×4.
BCE.PR.G FixFloat +4.1463%  Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.H); until then, pays 4.35% of par. The Gs closed at 21.35-22.99 (nice spread!), 2×3; the Hs closed at 22.82-50, 5×8.
BCE.PR.I FixFloat +5.1733%  Exchange/Reset date is 2011-8-1 (exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 21.55-85, 18×1.
BCE.PR.R FixFloat +6.2038%  Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 21.57-07, 9×1.
Volume Highlights
Issue Index Volume Notes
RY.PR.C PerpetualDiscount 110,775 Nesbitt crossed 100,000 at 23.00. Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.96 and a limitMaturity.
BCE.PR.C FixFloat 53,475  Exchange/Reset date is 2008-3-1 (exchanges with series ‘AD’, not issued); until then, pays 5.54% of par.  Closed at 23.40-54, 5×5.
BMO.PR.J PerpetualDiscount 45,558 Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.30 and a limitMaturity.
MFC.PR.C PerpetualDiscount 37,150 Now with a pre-tax bid-YTW of 4.93% based on a bid of 22.90 and a limitMaturity.
BCE.PR.R FixFloat 36,830   Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 21.57-07, 9×1.

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

Market Action

June 20, 2007

Today’s BCE news is that they’re talking to Telus (rated A(low) by DBRS, BBB+ by S&P). We shall see.

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 5.57% 5.77% 29,846 14.41 2 -0.3525% 952.4
Fixed-Floater 5.56% 5.74% 135,683 14.53 7 +0.5257% 904.3
Floater 4.83% 2.06% 92,812 5.67 3 +0.2984% 1,049.0
Op. Retract 4.81% 3.72% 87,440 2.83 17 +0.1635% 1,023.6
Split-Share 5.03% 4.59% 167,459 4.00 15 -0.1252% 1,041.9
Interest Bearing 6.79% 7.11% 89,313 6.13 4 +0.0974% 1,024.3
Perpetual-Premium 5.42% 5.19% 150,643 7.58 34 +0.0451% 1,017.7
Perpetual-Discount 5.06% 5.11% 527,523 15.31 29 +0.0964% 963.6
Major Price Changes
Issue Index Change Notes
CL.PR.B PerpetualPremium -1.1154% Now with a pre-tax bid-YTW of 5.37% based on a bid of 25.71 and a call 2011-1-30 at 25.00. Still not called, despite their recent financing. Astonishing; I can only suppose they’re waiting to complete the rest of their capital markets programme.
BCE.PR.A FixFloat -1.0889%  
PWF.PR.K PerpetualDiscount -1.0200% Now with a pre-tax bid-YTW of 5.17% based on a bid of 24.26 and a limitMaturity.
BCE.PR.Z FixFloat +1.0545%  
PWF.PR.D OpRet +1.1043% Now with a pre-tax bid-YTW of 1.80% based on a bid of 26.55 and a call 2007-11-30 at $26.00.
BCE.PR.I FixFloat +1.1852%  
BCE.PR.R FixFloat +1.4486%  
BCE.PR.G FixFloat +1.6865%  
Volume Highlights
Issue Index Volume Notes
CCS.PR.C Scraps (Would be PerpetualDiscount, but there are credit concerns). 401,000 THUMP! Somebody bit the bullet on this ill-fated underwriting, down 4.0870% on the day as Scotia crossed 400,000 at 22.00. Now with a pre-tax bid-YTW of 5.71% based on a bid of 22.06 and a limitMaturity.
RY.PR.E PerpetualDiscount 125,850 Now with a pre-tax bid-YTW of 5.05% based on a bid of 22.50 and a limitMaturity.
POW.PR.B PerpetualPremium (for now!) 56,418 Now with a pre-tax bid-YTW of 5.40% based on a bid of 24.74 and a limitMaturity.
GWO.PR.H PerpetualDiscount 32,898 Now with a pre-tax bid-YTW of 5.13% based on a bid of 23.71 and a limitMaturity.
BMO.PR.J PerpetualDiscount 27,650 Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.31 and a limitMaturity.
SLF.PR.B PerpetualDiscount 25,720 Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.89 and a limitMaturity.

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

Market Action

June 19, 2007

Sorry! The daily report for June 19 will be somewhat delayed.

Later…

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 5.63% 5.73% 29,465 14.58 2 0.0000% 955.8
Fixed-Floater 5.59% 5.79% 135,188 14.56 7 +0.2044% 899.6
Floater 4.84% 4.38% 92,465 5.93 3 -0.1995% 1,045.9
Op. Retract 4.82% 3.87% 87,236 3.21 17 +0.1100% 1,021.9
Split-Share 5.03% 4.57% 169,002 4.00 15 +0.3429% 1,043.2
Interest Bearing 6.80% 7.13% 88,900 6.34 4 -0.2526% 1,023.3
Perpetual-Premium 5.41% 5.16% 151,048 8.25 34 +0.1902% 1,017.3
Perpetual-Discount 5.07% 5.11% 534,824 15.30 29 +0.2672% 962,7
Major Price Changes
Issue Index Change Notes
ELF.PR.G PerpetualDiscount -1.3004% Now with a pre-tax bid-YTW of 5.49% based on a bid of 22.01 and a limitMaturity.
BAM.PR.J OpRet -1.1236% Now with a pre-tax bid-YTW of 4.74% based on a bid of 26.40.
CM.PR.P PerpetualPremium +1.1834% Now with a pre-tax bid-YTW of 5.15% based on a bid of 25.65.
SLF.PR.A PerpetualDiscount +1.3362% Now with a pre-tax bid-YTW of 5.06% based on a bid of 23.51 and a limitMaturity.
RY.PR.B PerpetualDiscount +1.4617% Now with a pre-tax bid-YTW of 5.02% based on a bid of 23.60 and a limitMaturity
FTU.PR.A SplitShare +1.4706% Now with a pre-tax bid-YTW of 4.59% based on a bid of 10.35
PWF.PR.K PerpetualPremium (for now!) +1.7012% Now with a pre-tax bid-YTW of 5.11% based on a bid of 24.51 and a limitMaturity.
BCE.PR.A FixFloat +1.8634%  
SLF.PR.B PerpetualDiscount +1.9313% Now with a pre-tax bid-YTW of 5.06% based on a bid of 23.75 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
MFC.PR.B PerpetualDiscount 262,347 Now with a pre-tax bid-YTW of 4.98% based on a bid of 23.45 and a limitMaturity.
MFC.PR.C PerpetualDiscount 246,922 Now with a pre-tax bid-YTW of 4.98% based on a bid of 22.70 and a limitMaturity.
SLF.PR.D PerpetualDiscount 221,455 Now with a pre-tax bid-YTW of 5.08% based on a bid of 21.96 and a limitMaturity.
SLF.PR.C PerpetualDiscount 219,700 Now with a pre-tax bid-YTW of 5.09% based on a bid of 21.91 and a limitMaturity.
CM.PR.J PerpetualDiscount 114,645 Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.33 and a limitMaturity.
CM.PR.I PerpetualDiscount 112,344 Now with a pre-tax bid-YTW of 5.11% based on a bid of 23.30 and a limitMaturity.

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