Category: Market Action

Market Action

March 30, 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 4.21% 4.03% 67,370 3.82 1 +0.0000% 1,052.5
Fixed-Floater 5.00% 3.90% 96,811 17.23 5 +0.0874% 1,037.5
Floater 4.72% -20.06% 74,500 0.32 3 +0.1313% 1,055.6
Op. Retract 4.72% 3.04% 85,479 2.16 17 -0.0828% 1,034.0
Split-Share 5.01% 3.14% 158,951 3.31 14 +0.0234% 1,052.8
Interest Bearing 6.51% 5.36% 64,757 2.32 5 +0.0934% 1,045.9
Perpetual-Premium 5.02% 3.56% 219,123 5.15 53 -0.0031% 1,059.8
Perpetual-Discount 4.53% 4.54% 762,721 15.37 10 -0.0157% 1,066.8
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.5109% May be extending term soon, which will be really good for the issue’s fundamentals as long as there is nothing horrible in the as-yet-unreleased details. Now with a pre-tax bid-YTW of 3.52% based on a bid of $10.43 and a hardMaturity 2009-12-1 at $10.00.
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 51,950 Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.90 and a call 2010-12-30 at $25.00
BCE.PR.Z FixedFloater 33,021  
RY.PR.F PerpetualDiscount 32,681 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.68 and a limitMaturity.
GWO.PR.I PerpetualDiscount 31,950 RBC crossed 25,000 at $25.00. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.87 and a limitMaturity.
CM.PR.J PerpetualDiscount 23,245 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.81 and a limitMaturity.

Kudos to TD, who crossed 50,000 CCS.PR.A, a Pfd-3 floater with the agonizing combination of fat coupon and current, long-standing, call. The volume-average is 324.5 shares per day. And, if truth be known, if it had sufficient credit quality & volume to index-included, it would be deemed a “PerpetualPremium” … the yield has a floor, which is now in operation [It pays 5.5%, NOT 90% of Canadian Prime.] and I refuse to call things floaters if they don’t actually float.

There were eleven other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

And that’s it for another month, quarter, and sixth full year of operation of MAPF.

Market Action

March 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 4.20% 4.02% 69,626 3.83 1 +0.1992% 1,052.5
Fixed-Floater 5.00% 3.91% 97,951 17.22 5 -0.2827% 1,036.6
Floater 4.72% -19.05% 77,179 0.51 3 -0.0524% 1,054.2
Op. Retract 4.71% 2.99% 85,619 2.16 17 -0.0569% 1,034.8
Split-Share 5.01% 3.13% 162,104 3.32 14 -0.1366% 1,052.6
Interest Bearing 6.52% 5.03% 64,879 2.32 5 +0.0890% 1,044.9
Perpetual-Premium 5.02% 3.55% 221,447 5.21 53 -0.0492% 1,059.8
Perpetual-Discount 4.53% 4.54% 774,284 15.38 10 +0.1090% 1,067.0
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.0000% On slightly below-average volume, but with a good-sized (for this issue!) bid at the close. Now with a pre-tax bid-YTW of 5.92% (as INTEREST) based on a bid of $10.00 and a hardMaturity 2015-3-31 at $10.00.
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 58,550  
MFC.PR.A OpRet 56,210 Now with a pre-tax bid-YTW of 3.31% based on a bid of $26.54 and a softMaturity 2015-12-18 at $25.00. Early calls don’t make a lot of difference to the yield on this thing (i.e., it’s expected to lose $1.54 over about 7.75 years ANYWAY, so a call premium that declines at $0.25 p.a. is not a huge change) but do make it hard to set duration … and place bets on interest-rate moves. 

Um … I didn’t mean “place bets”. I meant “act prudently in accordance with forecasts”.
BAM.PR.H OpRet 55,913 Desjardins crossed 50,000 at $27.03. Now with a pre-tax bid-YTW of 2.66% based on a bid of $26.91 and a call 2008-10-30 at $25.75. If it doesn’t make it to its softMaturity 2012-3-30 to yield 4.07%, there will be a very disappointed buyer!
SLF.PR.D PerpetualDiscount 29,338 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.81 and a limitMaturity.
BAM.PR.M PerpetualPremium 24,865 Now with a pre-tax bid-YTW of 4.75% based on a bid of $25.05 and either a call 2016-3-1 at $25.00, or a limitMaturity. Take your pick.

There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

March 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 4.20% 4.06% 72,492 3.83 1 +0.1740% 1,050.4
Fixed-Floater 4.98% 3.90% 97,086 14.51 5 +0.0635% 1,039.5
Floater 4.72% -19.29% 76,130 0.32 3 -0.0262% 1,054.7
Op. Retract 4.71% 2.95% 85,049 2.16 17 +0.0158% 1,035.4
Split-Share 5.00% 3.01% 165,343 3.32 14 -0.1296% 1,054.0
Interest Bearing 6.53% 4.75% 64,821 2.31 5 +0.2126% 1,044.0
Perpetual-Premium 5.01% 3.63% 223,986 5.37 53 +0.0625% 1,060.4
Perpetual-Discount 4.54% 4.55% 797,066 15.38 10 -0.1122% 1,065.8
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.4481% On ZERO volume! Hard to calculate the YTW on this issue … should one use the extant maturity of 2009-12-1 for a pre-tax bid-YTW of 2.90% … or should one assume that the the upcoming meeting will extend maturity to 2014-12-1 with no other changes, which will increase YTW to 4.41%? It makes quite a difference! As does, incidentally, not making the proper allowance for monthly dividends using Kieth Betty’s on-line calculator, so watch it!
POW.PR.D PerpetualPremium +1.0840% On volume of 10,235, about average for this issue. Now with a pre-tax bid-YTW of 4.30% based on a bid of 26.11 and a call 2014-11-30 at 25.00
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 497,745 Nesbitt crossed 400,000 at 25.50, then RBC crossed 90,800 at 25.40.
BCE.PR.A FixedFloater 305,345 Nesbitt crossed 300,000 at 25.30.
MFC.PR.A OpRet 143,245 Desjardins crossed 30,000 at 26.55, Scotia crossed 25,000 at 26.55. Now with a pre-tax bid-YTW of 3.31% based on a bid of 26.54 and a softMaturity 2015-12-18. The price is such that early calls don’t (much) affect yields (relatively speaking!). Bond-equivalent of 4.63% at the Ontario Fat-Cat Factor of 1.4x. Better than bonds … but at least you know when a bond will mature!
SLF.PR.D PerpetualDiscount 91,355 Now with a pre-tax bid-YTW of 4.49% based on a bid of 24.81 and a limitMaturity.
TD.PR.M OpRet 51,420 Desjardins crossed 49,100 at 27.26. Now with a pre-tax bid-YTW of 2.58% based on a bid of 27.25 and a call 2009-5-30 at 26.00 … will be 3.31% if it makes it to the softMaturity 2013-10-30. Somebody’s willing to take that bet. I’ll pass.

There were twenty-two other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

March 27, 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 4.18% 4.08% 75,403 3.82 1 -0.1984% 1,048.6
Fixed-Floater 4.98% 3.90% 95.692 11.14 5 +0.0246% 1,038.9
Floater 4.72% -19.45% 77,169 0.14 3 +0.1322% 1,055.0
Op. Retract 4.71% 2.95% 83,144 2.16 17 +0.0775% 1,035.3
Split-Share 4.98% 2.97% 166,457 3.31 14 +0.2290% 1,055.4
Interest Bearing 6.50% 5.03% 64,622 2.30 5 -0.2258% 1,041.8
Perpetual-Premium 5.01% 3.72% 226,066 5.06 53 +0.0964% 1,059.7
Perpetual-Discount 4.53% 4.54% 809,167 15.39 10 -0.0432% 1,067.0
Major Price Changes
Issue Index Change Notes
There were no major price changes in index-included issues today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.H PerpetualPremium 262,753 TD crossed 100,000 at 26.00, then 50,000 at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $25.90 and a call 2014-10-30 at $25.00.
MFC.PR.A OpRet 155,870 Scotia crossed 60,000 at 26.55, National Bank crossed 32,500 at 26.50 and Desjardins crossed 50,000 at 26.55. Now with a pre-tax bid-YTW of 3.33% based on a bid of 26.49 and a softMaturity 2015-12-18 at 25.00. Well … the interest-equivalent (at Ontario’s factor of 1.4x) is at least a small spread over bonds!
PWF.PR.K PerpetualPremium 106,800 Desjardins crossed 100,000 at $26.35. Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.32 and a call 2014-11-30 at $25.00
BMO.PR.G OpRet 78,218 Now with a pre-tax bid-YTW of 3.73% based on a bid of 25.23 and a call 2007-9-24 at $25.00. I’ll bet not just a nickel, but a whole dime that it gets called ASAP and that BMO won’t wait for the softMaturity 2008-5-24. The interest-equivalent to the September call is 5.22% – money-market almost-equivalents could get a lot worse … provided, of course, that you can buy at the bid and not pay commission. At the ask of 25.28, the YTW is 3.32% … still not bad, but it takes a lot of the fun out of it.
BNS.PR.K PerpetualPremium 56,575 RBC crossed 50,000 at 26.25. Now with a pre-tax bid-YTW of 4.14% based on a bid of $26.25 and a call 2014-5-28 at $25.00.

There were seventeen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

March 26, 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 4.14% 4.01% 76,329 3.82 1 +0.1590% 1,050.7
Fixed-Floater 4.98% 3.92% 96,841 13.92 5 -0.1026% 1,038.6
Floater 4.72% -19.27% 76,950 5.58 3 +0.1188% 1,053.6
Op. Retract 4.71% 2.99% 81,686 2.13 17 -0.0575% 1,034.5
Split-Share 4.99% 3.24% 167,810 3.31 14 -0.1482% 1,053.0
Interest Bearing 6.48% 4.86% 64,960 2.31 5 +0.2968% 1,044.2
Perpetual-Premium 5.02% 3.83% 226,236 5.24 53 -0.0203% 1,058.7
Perpetual-Discount 4.53% 4.53% 827,401 14.43 10 +0.0924% 1,067.5
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.0945% A burst of afternoon buying from TD Securities and Scotia took the price up as high as 10.25, to close at 10.16-31. Pre-tax bid-YTW now 5.82% based on a hardMaturity 2015-3-31 at $10.00.
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 513.626 Global seems to have made a specialty out of dividend capture strategies – they crossed 254,700 for cash at 26.33, and the same number for regular at 25.99. The issue went ex-Dividend today for $0.33125 and now has a pre-tax bid-YTW of 3.68% based on a bid of $25.89 and a call 2007-11-30 at $25.75.
BNS.PR.L PerpetualPremium 139,700 Virtually the same terms as the new issue, so it’s interesting to see this one closing at 25.14-17 on good volume. Note, however, that this issue has an initial dividend of $0.28125 and goes ex-dividend prior to settlement of the new issue. I wonder if they do this type of thing on purpose, as a snare for the unwary, who might think it marvellous that such a close comparable is trading at a premium? Now with a pre-tax bid-YTW of 4.53% based on a limitMaturity.
TD.PR.M OpRet 78,650 Desjardins crossed 55,000 at $27.25, then 20,000 at the same price. Now with a pre-tax bid-YTW of 2.82% based on a bid of $27.11 and a call 2009-5-30 at $26.00. The chances of it surviving to its softMaturity 2013-10-30, to have yielded 3.40% are just what, exactly?
RY.PR.B PerpetualPremium 77,200 RBC crossed 70,000 at 25.65. Now with a pre-tax bid-YTW of 4.42% based on a bid of 25.65 and a call 2015-9-23 at $25.00.
CM.PR.I PerpetualPremium 61,320 National Bank crossed 20,000 at 25.35. Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.40 and a call 2016-3-1 at 4.45%.

There were twenty-one other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

March 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 4.15% 4.03% 77,474 3.83 1 0.0000% 1,049.0
Fixed-Floater 4.98% 3.85% 98,668 7.91 5 +0.0243% 1,039.7
Floater 4.73% -18.34% 76,144 0.51 3 -0.1702% 1,052.4
Op. Retract 4.70% 2.87% 79,747 2.15 17 -0.0829% 1,035.1
Split-Share 4.98% 2.74% 169,788 3.32 14 +0.0984% 1,054.5
Interest Bearing 6.50% 4.76% 64,621 2.31 5 -0.0977% 1,041.1
Perpetual-Premium 5.01% 3.84% 226,067 5.05 53 +0.0194% 1,058.9
Perpetual-Discount 4.53% 4.54% 843,055 14.41 10 +0.0204% 1,066.5
Major Price Changes
Issue Index Change Notes
BMO.PR.G OpRet -1.0265% Nesbitt crossed 42,700 at 25.20 and it closed at 25.07-20. Is this finally capitulation (by one player, anyway!) or is it just a noisy flash in the pan? Now with a pre-tax bid-YTW of 4.86% based on a softMaturity 2008-5-24 at $25.00. Note that yesterday, the bid-YTW was 2.83% based on the bid of $25.33.
Volume Highlights
Issue Index Volume Notes
PWF.PR.I PerpetualPremium 214,600 Desjardins had a buyer for this issue today and were on the buy-side for the last ten trades, which totalled 208,400 shares including a cross of 200,000 at 27.03. Looks like their buyer was motivated, because their trading took the price up from 26.74 to the cross level. Closed at 26.71-98; pre-tax bid-YTW is 4.13% based on a call 2008-5-30 at $26.00; pre-tax ask-YTW is 3.24%.
CM.PR.R OpRet 203,800 Desjardins crossed 200,000 at 26.85. Now with a pre-tax bid-YTW of 2.38% based on a bid of $26.67 and a call 2008-5-30 at $25.75. The buyer appears to be desperately hoping for the softMaturity 2013-4-29 at $25.00, which will have given a yield of 3.96%, and who am I to say he shouldn’t? James Hymas, that’s who.
GWO.PR.X OpRet 65,418 Desjardins crossed 58,000 at 27.65, in a blatant attempt to capture the coveted “Biggest trades is low-yielding securities” trophy for March. Now with a pre-tax bid-YTW of 2.14% based on a bid of $27.60 and a call 2009-10-30 at $26.00. This is an interesting issue, with the issuer bid and Putnam financing to be considered.
CM.PR.D PerpetualPremium 63,200 TD crossed 60,000 at $26.99. Now with a pre-tax bid-YTW of 3.19% based on a bid of $26.93 and a call 2008-5-30 at $26.00 … which basically means it’s yielding not much more than a corporate bond. Maybe CIBC won’t call it! Maybe pigs will fly! You can never tell.
BMO.PR.G OpRet 47,708 Discussed as a Big Mover.

There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

March 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 4.14% 4.01% 80,670 3.84 1 -0.1983% 1,049.0
Fixed-Floater 4.98% 3.85% 100,115 7.84 5 -0.3063% 1,039.4
Floater 4.72% -18.75% 75,630 0.32 3 +0.0000% 1,054.2
Op. Retract 4.70% 2.78% 79,019 2.14 17 +0.0907% 1,035.9
Split-Share 4.99% 2.83% 173,289 3.32 14 +0.1537% 1,053.5
Interest Bearing 6.50% 4.91% 65,174 2.31 5 +0.1303% 1,042.1
Perpetual-Premium 5.01% 3.81% 230,216 5.22 53 -0.0304% 1,058.7
Perpetual-Discount 4.53% 4.54% 865,516 14.41 10 -0.0954% 1,066.3
Major Price Changes
Issue Index Change Notes
There were no index-included issues with notable performances today.
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 358,978 TD crossed 100,000 at 25.05, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.00 and a limitMaturity.
FAL.PR.H Scraps ( would be PerpetualPremium, but there are credit concerns) 106,300 Scotia crossed 53,800 at $25.91; Desjardins crossed 50,000 at $25.95. Now with a pre-tax bid-YTW of 3.17% based on a bid of $25.86 and a call 2008-4-30. I can only assume that the market is assuming the call is a lead-pipe cinch and is trading the issue as a retractible – a hard conclusion to argue against, since it pays at a rate of 6.5% of par. But still…
MFC.PR.A OpRet 86,380 Desjardins crossed 50,000 at 26.50. Now with a pre-tax bid-YTW of 3.37% based on a bid of $26.40 and a softMaturity 2015-12-18 at $25.00
CM.PR.R OpRet 83,020 Scotia crossed 14,000 at $26.75, then another 65,000 at $26.83. Now with a pre-tax bid-YTW of 2.67% based on a bid of $26.58 and a call 2008-5-30 at $25.75. This YTW is only the bond-equivalent of 3.74% at the Ontario Equivalency Factor of 1.4, so the market seems to be hoping it lasts until the softMaturity 2013-4-29 at $25.00, which results in a pre-tax bid-Yield of 4.03%. I have my doubts!
GWO.PR.X OpRet 54,558 Now with a pre-tax bid-YTW of 2.07% based on a bid of $27.65 and a call 2009-10-30 at 26.00. Again, the market is hoping for the softMaturity, this one 2013-9-29 to yield 3.00% … but that’s still only bond-equivalent of 4.2%, which is less than corporate bonds of that tenor, so why? Note that this still has the Issuer Bid and Putnam financing to be considered.
RY.PR.F PerpetualDiscount 49,230 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.72 and a limitMaturity.

There were fourteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

March 21, 2007

First day of spring and in celebration I went out with an industry buddy for a very good dinner.

I then returned to the grindstone to find that I had some kind of strange internet connectivity problem … I’ve worked around it (different ISP, different geographical location) and HIMIPref™ has been updated with today’s closing quotes & volumes and a few dividend records … but I’ve run out of time!

I will review the day on the 22nd.

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 4.09% 3.94% 74,695 3.84 1 0.0000% 1,051.1
Fixed-Floater 4.96% 3.64% 99,900 4.64 5 -0.1729% 1,042.6
Floater 4.72% -18.92% 76,868 0.32 3 +0.0262% 1,054.2
Op. Retract 4.70% 2.75% 76,919 2.11 17 +0.0333% 1,035.0
Split-Share 5.00% 3.50% 177,651 3.36 14 -0.1166% 1,051.9
Interest Bearing 6.51% 4.99% 65,453 2.31 5 -0.0706% 1,040.7
Perpetual-Premium 5.01% 3.74% 233,255 5.22 53 +0.0078% 1,059.0
Perpetual-Discount 4.52% 4.53% 879,379 14.48 10 -0.1637% 1,067.3
Major Price Changes
Issue Index Change Notes
BNA.PR.A SplitShare -1.9011% On relatively heavy volume of 12,238 shares (volume-average is 1,538) to close at 25.80-25, pre-tax bid-YTW of 4.55% based on a call 2007-10-31 at $25.50
FFN.PR.A SplitShare +1.0368% Now with a pre-tax bid-YTW of 2.55% based on a bid of $10.72 and a hardMaturity 2009-12-1 at $10.00. It would seem the market is expecting the upcoming meeting to extend term.
Volume Highlights
Issue Index Volume Notes
FAL.PR.H Scraps (Would be perpetualPremium, but there are yield concerns) 402,000 Now with a pre-tax bid-YTW of 3.02% based on a bid of $25.90 and a call 2008-4-30 at $25.00
RY.PR.A PerpetualDiscount 206,500 With a pre-tax bid-YTW of 4.48% based on a bid of $25.00 and a limitMaturity.
RY.PR.F PerpetualDiscount 120,775 Pre-tax bid-YTW of 4.51% based on a bid of $24.75 and a limitMaturity.
NTL.PR.F Scraps (Would be ratchet rate, but there are extreme credit concerns) 107,295  
BAM.PR.M PerpetualPremium 105,300 With a pre-tax bid-YTW of 4.72% based on a bid of $25.08 and a call 2016-3-1 at $25.00
PWF.PR.K PerpetualPremium 104,920 Pre-tax bid-YTW of 4.31% based on a bid of $26.25 and a call 2014-11-30 at $25.00.

There were twenty-six other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

March 20, 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 4.09% 3.92% 77,563 3.85 1 -0.3557% 1,051.1
Fixed-Floater 4.96% 3.47% 98,961 4.64 5 +0.0395% 1,044.4
Floater 4.72% -18.72% 78,534 0.32 3 +0.0394% 1,053.9
Op. Retract 4.71% 2.66% 75,429 2.12 17 -0.0210% 1,034.6
Split-Share 4.99% 2.04% 180,075 3.33 14 +0.1509% 1,053.1
Interest Bearing 6.50% 4.70% 66,284 2.32 5 -0.0077% 1,041.5
Perpetual-Premium 5.00% 3.82% 234,024 5.15 53 +0.0229% 1,058.9
Perpetual-Discount 4.52% 4.52% 891,025 11.62 10 +0.0164% 1,069.1
Major Price Changes
Issue Index Change Notes
GWO.PR.E OpRet -1.0409% Still on credit watch by DBRS as the market awaits information regarding their financing of the Putnam purchase. This issue has an issuer bid outstanding, although no shares were purchased under last year’s plan. Now with a pre-tax bid-YTW of 2.41% based on a bid of 26.62 and a call 2009-4-30 at $25.50 … if the company waits until the first possible par-value call, 2011-4-30, it will have yielded 3.00%; and if the issue lasts until its softMaturity 2014-3-30, it will have yielded 3.64%. Take your pick!
Volume Highlights
Issue Index Volume Notes
CM.PR.D PerpetualPremium 507,468 The last two trades of note were a Desjardins cross of 50,000 at 27.07 and a TD cross of 50,000 at 27.08. Now with a pre-tax bid-YTW of 2.90% based on a bid of $27.01 and a call 2008-5-30 at $26.00. Sounds pricy to me!
BNS.PR.K PerpetualPremium 263,800 The closing trade was RBC’s cross of 100,000 at $26.18. Now with a pre-tax bid-YTW of 4.12% based on a bid of $26.25 and a call 2014-5-28 at $25.00. Note that Scotiabank has announced a new issue.
CM.PR.H PerpetualPremium 203,250 RBC crossed 100,000 at $26.18, then National Bank crossed 90,000 at $26.15. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.15 and a call 2014-4-29 at $25.00.
PWF.PR.J OpRet 156,649 Desjardins crossed 150,000 at $27.00. Now with a pre-tax bid-YTW of 2.10% based on a bid of 26.90 and a call 2008-5-30 at $26.00. I discussed earlier the chances of it getting redeemed before its time. And I haven’t changed my mind since then!
SLF.PR.E PerpetualDiscount 115,418 Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.91 and a limitMaturity.
BAM.PR.B FloatingRate 102,050 Nesbitt crossed 100,000 at 24.90.

There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

March 19, 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 4.06% 3.81% 80,757 3.85 1 +0.3968% 1,054.9
Fixed-Floater 4.96% 3.49% 101,384 4.63 5 -0.0392% 1,044.0
Floater 4.72% -18.68% 75,096 0.32 3 +0.1318% 1,053.5
Op. Retract 4.70% 2.72% 75,282 2.13 17 +0.0886% 1,034.9
Split-Share 5.04% 1.51% 175,057 3.11 15 +0.1651% 1,051.5
Interest Bearing 6.50% 4.41% 66,126 2.32 5 -0.2035% 1,041.6
Perpetual-Premium 5.00% 3.81% 235,750 5.15 53 +0.0183% 1,058.7
Perpetual-Discount 4.52% 4.52% 900,035 12.58 10 +0.0485% 1,068.9
Major Price Changes
Issue Index Change Notes
There were no index-included issues with notable price moves today.
Volume Highlights
Issue Index Volume Notes
DC.PR.A Scraps (Would be OpRet, but there are credit-rating concerns) 192,948 Another day of heavy trading. Now with a pre-tax bid-YTW of 4.96% based on a bid of $25.09 and a softMaturity 2016-6-29 at $25.00.
YPG.PR.A Scraps (Would be OpRet, but there are credit-rating concerns) 148,770 National Bank crossed 135,000 at $24.60. Now with a pre-tax bid-YTW of 4.62% based on a bid of $24.60 and a softMaturity 2012-12-30 at $25.00.
BMO.PR.J PerpetualPremium 118,240 Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.19 and either a call 2016-3-26 at $25.00, or a limitMaturity, take your pick.
BAM.PR.M PerpetualPremium 108,150 Now with a pre-tax bid-YTW of 4.71% based on a bid of $25.08 and a call 2016-3-1 at $25.00.
RY.PR.B PerpetualPremium 103,795 RBC crossed 100,000 at $25.70. Now with a pre-tax bid-YTW of 4.43% based on a bid of $25.60 and a call 2015-9-23 at $25.00.
RY.PR.D PerpetualPremium 97,000 RBC crossed 40,000 at $25.25, then Nesbitt crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.20 and a limitMaturity.
HSB.PR.D PerpetualPremium 28,060 Now with a pre-tax bid-YTW of 4.21% based on a bid of $26.30 and a call 2015-1-30 at $25.00

There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.