Category: Market Action

Market Action

March 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 4.06% 3.88% 84,073 3.86 1 -0.4739% 1,050.7
Fixed-Floater 4.96% 3.38% 103,414 4.63 5 +0.2054% 1,044.4
Floater 4.73% -18.62% 76,561 5.58 3 -0.0391% 1,052.1
Op. Retract 4.71% 2.81% 76,341 2.16 17 -0.0263% 1,034.0
Split-Share 5.05% 2.40% 178,970 3.17 15 +0.1227% 1,049.8
Interest Bearing 6.49% 3.84% 66,043 2.33 5 +0.0397% 1,043.7
Perpetual-Premium 5.00% 3.83% 235,206 5.34 53 +0.0535% 1,058.5
Perpetual-Discount 4.52% 4.51% 920,443 12.58 10 +0.0486% 1,068.4
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) 245,200 Dundee crossed 137,300 for cash at 25.00 (Record Date is Monday 19, with a $0.3125 dividend payable … hmmm … given that $25.00 was the low price on the day, and the trade should be at a price greater than normal by the amount of the dividend if it is settling cum-dividend, the meaning of this trade is not clear to me. There’s a story there somewhere!) Desjardins crossed 100,000 at $25.10 (REGULAR settlement, EX-dividend). Now with a pre-tax bid-YTW of 4.97% based on a bid of $25.05 and a softMaturity 2016-6-29 at $25.00.
TOC.PR.B Scraps (Would be Floater, but there are volume concerns) 162,850 Global crossed 80,900 for cash at $26.19, then another 80,900 at $25.93. Ex-Dividend 3/15, Record date 3/19. Dividend amount 0.264658. Yawn.
SLF.PR.E PerpetualDiscount 106,750 Nesbitt crossed 100,000 at $24.95. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.94 and a limitMaturity.
IGM.PR.A OpRet 103,023 Now with a pre-tax bid-YTW of 2.13% based on a bid of $27.98 and a call 2009-7-30 at $26.00. Yield will be 3.60% if it lasts until the softMaturity 2013-06-29, but that’s not something I’m going to bet on!
BCE.PR.H Ratchet 100,200 Scotia crossed 50,000 at $25.20. Nesbitt did the same thing, three minutes later.
TD.PR.O PerpetualPremium 50,655 Now with a pre-tax bid-YTW of 4.08% based on a bid of $26.45 and a call 2014-11-30 at $25.00.
RY.PR.F PerpetualDiscount 33,919 Recent new issue. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.78 and a limitMaturity

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

Market Action

March 15, 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 4.03% 3.74% 77,840 3.87 1 +0.4762% 1,055.7
Fixed-Floater 4.97% 3.50% 106,156 4.61 5 +0.1106% 1,042.3
Floater 4.73% -18.25% 75,575 5.59 3 -0.3267% 1,052.5
Op. Retract 4.71% 2.69% 75,822 2.14 17 -0.0215% 1,034.2
Split-Share 5.06% 0.40% 182,962 3.11 15 +0.0113% 1,048.5
Interest Bearing 6.49% 4.12% 65,810 2.33 5 -0.1605% 1,043.3
Perpetual-Premium 5.01% 3.75% 238,381 5.13 53 +0.0509% 1,057.9
Perpetual-Discount 4.52% 4.52% 931,908 13.49 10 +0.0282% 1,067.9
Major Price Changes
Issue Index Change Notes
There were no index-included issues with notable price moves today.
Volume Highlights
Issue Index Volume Notes
FAL.PR.H Scraps (Would be PerpetualPremium, but there are rating concerns) 203,300 Desjardins crossed 200,000 at $26.00 at the end of a burst of nine trades that took the price from $25.80 to $26.00. Now with a pre-tax bid-YTW of 3.58% based on a bid of $25.73 and a call 2008-4-30 at $25.00.
CM.PR.D PerpetualPremium 153,530 Nesbitt crossed 150,000 at $27.04. Now with a pre-tax bid-YTW of 2.78% based on a bid of $27.03 and a call 2008-5-30 at $26.00. Too rich for my blood!
BAM.PR.K Floater 150,223 Scotia crossed 119,100 at $24.75
TD.PR.O PerpetualPremium 101,500 National Bank crossed 100,000 at 26.45. Now with a pre-tax bid-YTW of 4.09% based on a bid of $26.43 and a call 2014-11-30 at $25.00.
RY.PR.W PerpetualPremium 84,520 TD crossed 80,000 at $26.30. Now with a pre-tax bid-YTW of 4.14% based on a bid of $26.25 and a call 2014-3-26 at $25.00.
RY.PR.F PerpetualDiscount 63,075 Recent new issue. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.76 and a limitMaturity.

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

Market Action

March 14, 2007

I now notice that with my customary elan, I have managed to over-write the post for March 13, instead of simply using it as a template. Sorry about that, guys!

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 4.03% 3.89% 77,362 3.87 1 +0.3584% 1,050.7
Fixed-Floater 4.97% 3.58% 107,474 4.60 5 +0.0316% 1,041.1
Floater 4.71% -19.80% 73,119 0.11 3 +0.2892% 1,055.9
Op. Retract 4.71% 2.71% 76,879 2.14 17 +0.0799% 1,034.4
Split-Share 5.06% 0.17% 186,066 3.11 15 +0.2650% 1,048.4
Interest Bearing 6.48% 4.09% 65,421 2.34 5 +0.0906% 1,044.9
Perpetual-Premium 5.01% 3.75% 240,916 5.33 53 +0.0392% 1,057.4
Perpetual-Discount 4.52% 4.52% 942,456 13.49 10 -0.0709% 1,067.6
Major Price Changes
Issue Index Change Notes
DIV.PR.A SplitShare +1.0317% No real story here … I suppose the market maker just realized that it’s being redeemed next week and put a decent bid on it.
Volume Highlights
Issue Index Volume Notes
RY.PR.F PerpetualDiscount 395,889 New issue settled today. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.75 and a limitMaturity.
TD.PR.M OpRet 75,400 TD crossed 25,000 at 27.20, then Scotia crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 2.59% based on a bid of $27.22 and a call 2009-5-30 at $26.00. The market, obviously, is hoping for the yield of 3.31% resulting if it survives to the softMaturity 2013-10-30 at $25.00. Well, stranger things have happened!
POW.PR.D PerpetualPremium 74,867 Scotia crossed 50,000 at 26.45. Now with a pre-tax bid-YTW of 4.31% based on a bid of $26.36 and a call 2014-11-30 at $25.00.
SLF.PR.A PerpetualPremium 56,910 Scotia crossed 50,000 at $25.75. Now with a pre-tax bid-YTW of 4.27% based on a bid of $25.72 and a call 2014-4-30 at $25.00.
CM.PR.D PerpetualPremium 52,450 Desjardins crossed 50,000 at 27.03. Now with a pre-tax bid-YTW of 2.77% based on a bid of $27.03 and a call 2008-5-30 at $26.00.

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

Market Action

March 12, 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 4.01% 3.82% 83,868 3.88 1 0.3185% 1,050.7
Fixed-Floater 4.97% 3.45% 109,132 4.59 5 +0.0160% 1,041.6
Floater 4.70% -17.30% 74,613 11.03 3 +0.0916% 1,051.0
Op. Retract 4.70% 2.59% 76,216 2.14 17 +0.0623% 1,033.8
Split-Share 5.07% 0.44% 189,839 3.22 15 -0.0188% 1,044.1
Interest Bearing 6.47% 3.25% 67,295 2.33 5 +0.1062% 1,043.0
Perpetual-Premium 5.00% 3.69% 245,160 5.20 53 -0.0206% 1,057.1
Perpetual-Discount 4.53% 4.53% 788,287 12.16 9 +0.1294% 1,068.0
Major Price Changes
Issue Index Change Notes
SXT.PR.A SplitShare +1.1067% Makes at least some sense, since today is the first day of trading in post-redemption shares. I wonder if the sellers knew that?
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 220,785 RBC crossed 214,500 at 25.00. Did both sides pay a nickel a share? Nice work, if so! Now with a pre-tax bid-YTW of 4.49% based on a bid of $25.00 and a call 2016-4-30 at $25.00.
POW.PR.D PerpetualPremium 70,000 Scotia crossed 65,000 at $26.45. Now with a pre-tax bid-YTW of 4.27% based on a bid of $26.43 and a call 2014-11-30 at $25.00.
LBS.PR.A SplitShare 152,322 Scotia crossed 27,700 at $10.60 and 85,000 at 10.70. Now with a pre-tax bid-YTW of 4.31% based on a bid of $10.64 and a hardMaturity 2013-11-29 at $10.00
SLF.PR.A PerpetualPremium 54,050 Scotia crossed 50,000 at $25.74. Now with a pre-tax bid-YTW of 4.27% based on a bid of $25.71 and a call 2014-4-30 at $25.00.
BAM.PR.B Floater 47,165 Desjardins crossed 40,000 at $25.05.

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

Market Action

March 9, 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 4.02% 3.89% 87,318 3.88 1 0.0000% 1,047.4
Fixed-Floater 4.97% 3.48% 108,894 4.60 5 +0.0951% 1,041.4
Floater 4.71% -17.32% 71,942 11.02 3 +0.0264% 1,050.1
Op. Retract 4.70% 2.65% 77,098 2.15 17 -0.0983% 1,033.1
Split-Share 5.07% 1.31% 191,061 3.23 15 -0.0182% 1,044.3
Interest Bearing 6.47% 3.96% 67,036 2.33 5 +0.1659% 1,041.9
Perpetual-Premium 5.00% 3.56% 247,963 5.39 53 +0.0117% 1,057.3
Perpetual-Discount 4.53% 4.53% 792,348 13.15 9 -0.0040% 1,066.7
Major Price Changes
Issue Index Change Notes
TD.PR.M OpRet -1.5659% On volume of 700 shares – which was enough to knock the quote down to 27.03-59, 55×4. Now with a pre-tax bid-YTW of 2.90% based on the bid and a call 2009-5-30 at $26.00. If it survives until its softMaturity 2013-10-30 at $25.00, it will have yielded 3.42%
BAM.PR.I OpRet +1.3011% An issue with similar terms to the TD.PR.M – the main difference is the credit. It pays $1.375 p.a., as opposed $1.175 for TD.PR.M. It did not trade today, despite the efforts of the bidders to attract attention. Now with a pre-tax bid-YTW of 3.25% based on a bid of $27.25 and a call 2009-7-30 at $25.75 … it if makes it to its softMaturity 2013-12-30, the yield will have been 4.17%
Volume Highlights
Issue Index Volume Notes
PWF.PR.K PerpetualPremium 142,950 RBC crossed 139,000 at 26.20. Now with a pre-tax bid-YTW of 4.34% based on a bid of $26.16 and a call 2014-11-30 at 4.34%.
BAM.PR.M PerpetualPremium 116,200 Desjardins crossed 108,400 at $25.20. Now with a pre-tax bid-YTW of 4.77% based on a bid of $25.25 and a call 2016-03-01 at $25.00.
BCE.PR.S Scraps (would be “ratchet” with more volume) 102,500 Nesbitt crossed 100,000 at $25.20.
WN.PR.E PerpetualDiscount 62,359 Still on credit watch negative. Now with a pre-tax bid-YTW of 4.81% based on a bid of 25.08 and a limitMaturity
TD.PR.N OpRet 50,000 Nesbitt crossed 50,000 at 27.40. Now with a pre-tax bid-YTW of 2.37% based on a bid of $27.28 and a call 2009-5-30 at $26.00. Big Deal. Even if it survives until its softMaturity 2014-1-30, its yield will have been only 3.21% … basically a corporate bond, in fact, after taking account of the Ontario Equivalency Factor of 1.40.

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

Market Action

March 8, 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 4.01% 3.88% 90,918 3.89 1 0.0000% 1,047.4
Fixed-Floater 4.98% 3.60% 110,307 4.61 5 -0.2041% 1,040.4
Floater 4.71% -16.84% 73,207 11.03 3 +0.1310% 1,049.8
Op. Retract 4.69% 2.37% 77,791 2.11 17 +0.0822% 1,034.1
Split-Share 5.07% 1.13% 192,781 3.23 15 +0.0956% 1,044.5
Interest Bearing 6.48% 3.55% 65,505 2.33 5 +0.1826% 1,040.2
Perpetual-Premium 5.00% 3.67% 250,940 5.18 53 +0.0132% 1,057.2
Perpetual-Discount 4.53% 4.53% 810,417 13.16 9 +0.0358% 1,066.7
Major Price Changes
Issue Index Change Notes
There were no issues with notable performance today.
Volume Highlights
Issue Index Volume Notes
YPG.PR.A Scraps 181,300 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.71 and a softMaturity 2012-12-30.
SLF.PR.E PerpetualDiscount 116,800 RBC crossed 100,000 at 24.95. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.95 and a limitMaturity.
TD.PR.O PerpetualPremium 111,100 TD crossed 100,000 at $26.40. Now with a pre-tax bid-YTW of 4.13% based on a bid of $26.34 and a call 2014-11-30 at 25.00
DIV.PR.A SplitShare 79,800 Dundee crossed 75,200 at $25.40. This issue will be redeemed March 20 for a total of $25.51071.
BCE.PR.Z FixedFloater 72,169 Nesbitt crossed 70,000 at $25.50.

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

Market Action

March 7, 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 4.01% 3.88% 94,665 3.89 1 +0.0398% 1,047.4
Fixed-Floater 4.96% 3.47% 108,528 4.62 5 +0.0394% 1,042.5
Floater 4.71% -16.38% 73,769 11.02 3 +0.0787% 1,048.4
Op. Retract 4.70% 2.31% 76,165 2.11 17 +0.1976% 1,033.3
Split-Share 5.07% 1.29% 196,780 3.24 15 -0.0002% 1,043.5
Interest Bearing 6.49% 3.46% 64,876 2.33 5 +0.0789% 1,038.3
Perpetual-Premium 5.00% 3.52% 254,148 5.34 53 +0.0674% 1,057.0
Perpetual-Discount 4.53% 4.54% 821,217 13.16 9 +0.0091% 1,066.3
Major Price Changes
Issue Index Change Notes
BAM.PR.I OpRet +1.2898% On volume of 454 shares, so perhaps not the most significant move ever recorded! But even after today’s move, it has a pre-tax bid-YTW of 4.17% based on a bid of $26.70 and a call 2009-7-30 at 25.75, which ain’t bad! It’s certainly the best in the Operating Retractible index!
Volume Highlights
Issue Index Volume Notes
BCE.PR.H RatchetRate 703,000 Wow! Nesbitt crossed 350,000, then Scotia crossed 150,000, and Nesbitt closed the trading with a cross of 200,000 – all crosses done at 25.12.
BCE.PR.A FixedFloater 417,780 Nesbitt crossed 417,300 at 25.30. Then another 80 as an odd-lot trade.
RY.PR.B PerpetualPremium 203,050 Nesbitt crossed 200,000 at 25.65. Now with a pre-tax bid-YTW of 4.38% based on a bid of $25.65 and a call 2015-9-23 at $25.00
BAM.PR.H OpRet 163,586 Nesbitt crossed 162,600 at 27.40. Now with a pre-tax bid-YTW of 2.27% based on a bid of $27.39 and a call 2008-10-30 at 25.75. It pays $1.4375, which is a whole big pile of money for a retractible, so I’m a little dubious about its chances of making it to the softMaturity 2012-3-30 at $25.00. Compare these yields with the BAM.PR.I … SAME issuer SAME index … and see why sometimes I despair of this market. Sure, the H is more liquid than the I – about three times more liquid, according to the averageTradingValue. But is there absolutely nobody out there holding H and prepared to chip away at the differential piecewise?
YPG.PR.A Scraps 157,010 Recent new issue. Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.75 and a softMaturity 2012-12-30.
SLF.PR.E PerpetualDiscount 122,660 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.91 and a limitMaturity.
PWF.PR.K PerpetualPremium 113,912 RBC crossed 50,000 at 26.25, the TD crossed the same number at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $26.20 and a call 2014-11-30 at $25.00.
CM.PR.J PerpetualPremium 111,330 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.96 and a limitMaturity.
BCE.PR.S Scraps (would be Ratchet Rate, but there are liquidity concerns) 100,000 Nesbitt crossed 100,000 at $25.20

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

Market Action

March 6, 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 4.01% 3.88% 87,652 3.89 1 -0.2384% 1,046.9
Fixed-Floater 4.97% 3.52% 109,049 4.62 5 +0.0399% 1,042.1
Floater 4.72% -16.37% 74,473 0.63 3 +0.0131% 1,047.6
Op. Retract 4.71% 2.37% 76,191 2.11 17 -0.0342% 1,031.2
Split-Share 5.07% 1.01% 201,948 3.24 15 -0.0020% 1,043.5
Interest Bearing 6.50% 4.33% 65,008 2.33 5 -0.3239% 1,037.5
Perpetual-Premium 5.01% 3.58% 256,382 5.18 53 +0.0815% 1,056.3
Perpetual-Discount 4.53% 4.53% 821,376 13.16 9 +0.2016% 1,066.2
Major Price Changes
Issue Index Change Notes
GWO.PR.E OpRet -1.0033% Strange trading near the close – possibly an error, although not in and of itself enough to explain the sharply lower closing bid. HSBC bought 105 shares at 26.96 from “Anonymous” and Jones Gable (the odd lot) at 3:54pm, then sold 155 shares at 26.65 to Anonymous and Jones Gable (again the odd-lot). Huh. I wonder if there’s a story there … but there was a block trade and a bunch of odd lots trading at 26.65 prior to this, with lots of time for anyone to put in a better bid, so it doesn’t seem that the error (if that’s what it was) affected the price. Now with a pre-tax bid-YTW of 2.33% based on a bid of 26.64 and a call 2009-04-30 at $26.00. The yield is 2.95% if it survives until 2011-4-30 @ $25.00! Woo-hoo! Interest equivalent of almost a bond! This issue is on Credit Watch Developing and GWO has an issuer bid in place.
ELF.PR.F PerpetualPremium +1.0534% On volume of 1,001 shares. Now with a pre-tax bid-YTW of 4.08% based on a bid of $26.86 and a call 2009-11-16 at $26.00. The issue pays $1.325 p.a. – good downside protection here!
GWO.PR.H PerpetualPremium +1.2086 On strong volume of 46,646 shares … RBC crossed 40,000 at $26.05. A nice up-move, just to make sure GWO still felt loved. Now with a pre-tax bid-YTW of 4.23% based on a bid of 25.96 and a call 2014-10-30 at $25.00.
Volume Highlights
Issue Index Volume Notes
YPG.PR.A Scraps 757,556 Today’s new issue.
CM.PR.J PerpetualPremium 181,075 Recent new issue. Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.93 and a limitMaturity.
BCE.PR.H RatchetRate 152,000 Nesbitt crossed 100,000 at 25.12, then Scotia crossed 50,000 at the same price.
BCE.PR.T Scraps (Would be FixedFloater, but there are volume concerns) 151,700 No volume concerns today, as Nesbitt crossed 150,000 at 25.80.
CM.PR.R OpRet 112,201 RBC crossed 61,000 at 26.75, then Scotia crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 2.46% based on a bid of 26.61 and a call 2008-5-30 at $25.75. The redemption premium only declines by $0.15 p.a. while paying $1.238 dividend on a retractible … so whether it makes it to the softMaturity 2013-4-29 at $25.00 to yield 3.96% is not as easy a question as it might appear. I wouldn’t bet on it!
NA.PR.K PerpetualPremium 104,601 Desjardins crossed 100,000 at $27.18. Now with a pre-tax bid-YTW of 2.51% (yech!) based on a bid of $27.10 and a call 2008-6-14 at $26.00. Holy smokes! Sure, there’s a lot of downside protection, given that it pays $1.4625. But 2.51%? With a bond-equivalency factor of 1.40 in Ontario, that comes to 3.51% interest-equivalent. My granny can do better with GICs.
BCE.PR.Y Scraps (Would be Ratchet but there are volume concerns) 100,300 Nesbitt crossed 100,000 at 25.30

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

Market Action

March 5, 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 4.00% 3.82% 81,158 3.90 1 +0.2389% 1,049.4
Fixed-Floater 4.97% 3.46% 110,378 4.61 5 +0.0241% 1,041.7
Floater 4.72% -16.25% 76,368 0.67 3 -0.0654% 1,047.5
Op. Retract 4.71% 2.40% 75,554 2.12 17 +0.0099% 1,031.6
Split-Share 5.07% 1.25% 204,335 3.24 15 -0.0273% 1,043.5
Interest Bearing 6.48% 1.67% 64,473 2.33 5 +0.3755% 1,040.8
Perpetual-Premium 5.01% 3.62% 259,811 5.40 53 -0.0284% 1,055.4
Perpetual-Discount 4.54% 4.54% 823,574 14.20 9 -0.0754% 1,064.1
Major Price Changes
Issue Index Change Notes
FIG.PR.A InterestBearing +1.0891% Traded as high as $10.37 before closing at $10.21-35, 5×10, on volume of 17,679 shares with a burst of activity (6,538 shares) in the last few minutes before the close. Now with a pre-tax bid-YTW of -13.62 based on a call 2007-04-04 at $10.00, which really sent the average YTW of the InterestBearing index for a loop.
Volume Highlights
Issue Index Volume Notes
PIC.PR.A SplitShare 210,473 Nice volume for a seasoned split share! Scotia crossed 70,000 at 16.00. Now with a pre-tax bid-YTW of 3.94% based on a bid of $16.01 and a hardMaturity 2010-11-01 at $15.00
PWF.PR.K PerpetualPremium 96,000 RBC crossed 37,200 at $26.25, then another 40,000 at the same price, then sold 15,000 to Desjardins at the $26.25 mark. Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.25 and a call 2014-11-30 at $25.00.
CM.PR.J PerpetualDiscount 52,307 Recent new issue on credit watch positive. Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.93 and a limitMaturity.
MFC.PR.C PerpetualDiscount 50,995 Now with a pre-tax bid-YTW of 4.47% based on a bid of $25.05 and a call 2015-4-18 at $25.00.
BNS.PR.K PerpetualPremium 45,820 RBC crossed 40,000 at $26.25. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.11 and a call 2014-5-28 at 25.00.

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

Index Construction / Reporting

March 2, 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 4.01% 3.88% 84,498 3.90 1 -0.0398% 1,046.9
Fixed-Floater 4.97% 3.53% 112,983 4.61 5 +0.1750% 1,041.4
Floater 4.72% -16.95% 76,631 0.48 3 0.0000% 1,048.1
Op. Retract 4.71% 2.43% 76,314 2.12 17 +0.1821% 1,031.5
Split-Share 5.07% 1.05% 208,754 3.25 15 +0.0439% 1,043.8
Interest Bearing 6.50% 4.11% 63,264 2.33 5 -0.0853% 1,036.9
Perpetual-Premium 5.01% 3.55% 262,920 5.11 53 +0.0725% 1,055.7
Perpetual-Discount 4.54% 4.53% 835,301 14.21 9 +0.0940% 1,064.9
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet +1.2887% TD crossed 33,000 at 27.95 and were on the buy side for all other board-lot trades today, four tranches executed immediately prior to the cross at prices from 27.60 to 27.95. At those prices yesterday’s cross at 27.50 was a bargain! At the closing quotation of 27.51-98, the pre-tax YTW quote is 2.29%-1.32%. Too rich for my blood, but quite normal for this issue. However, the graph of Modified-Duration-to-Worst shows the situation to be unsustainable … we will see within two years just whether Atco, with its stellar operating results really wants to pay $1.4375 p.a. for a retractible … even with the redemption cost declining by $0.50 annually.  

The MDTW graph is quite instructive, by the way (one point was killed for being off the curve, but the YTW scenario has been very stable over the past year). See those little jumps interupting a downward line? That’s the dividends being paid.

Hmm … maybe there’s an article in there somewhere …
Volume Highlights
Issue Index Volume Notes
BCE.PR.G FixFloat 506,800 Nesbitt crossed 500,000 at 25.50.
BCE.PR.R FixedFloater 305,600 Nesbitt crossed 50,000 at 25.50, then another 253,500 at the same price. This was also an active trader yesterday.
BCE.PR.H Ratchet 240,000 Nesbitt crossed 240,000 at $25.12
BCE.PR.Z FixFloat 204,435  
BCE.PR.T Scraps (would be FixFloat, but there are volume concerns) 117,450 No volume concerns today! Nesbitt crossed 115,000 at 25.80.
BCE.PR.C FixFloat 102,400 Nesbitt crossed 100,000 at 25.60

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

Poor old BCE.PR.A! The only member of the FixFloat Index not to be traded in size today!