Category: Market Action

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.

Market Action

May 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 4.90% 4.93% 42,317 15.68 2 +0.1737% 971.7
Fixed-Floater 5.55% 4.90% 133,293 15.80 6 -1.1477% 932.6
Floater 4.79% -2.06% 76,993 11.18 3 -0.2650% 1,048.6
Op. Retract 4.75% 3.41% 84,903 2.58 17 -0.1195% 1,032.2
Split-Share 4.95% 4.10% 161,493 4.00 12 +0.1931% 1,049.2
Interest Bearing 6.51% 6.18% 65,698 3.39 5 +0.1347% 1,046.8
Perpetual-Premium 5.14% 4.39% 172,216 5.36 48 -0.0639% 1,050.2
Perpetual-Discount 4.64% 4.67% 773,492 16.07 19 -0.1614% 1,049.5
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixFloat -2.4018% Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 21.13-99, 5×6; the Hs closed at 23.36-49, 27×19.
BCE.PR.I FixFloat -1.4831% Exchange/Reset date is 2011-8-1 (Exchanges with Series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 21.92-35, 10×15, on volume of 47,082 after Nesbitt crossed 40,000 at 22.25.
BCE.PR.C FixFloat -1.4561% Exchange/Reset date is 2008-03-01 (Exchanges with Series ‘AD’, not issued); until then, pays 5.54% of par. Closed at 23.01-28, 3×1.
RY.PR.F PerpetualDiscount -1.3442% On light volume of 3,280 shares. Now with a pre-tax bid-YTW of 4.66% based on a bid of 24.22 and a limitMaturity.
BCE.PR.Z FixFloat -1.1178% Exchange/Reset date is 2007-12-1 (Exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 23.00-49, 24×5, hitting a 52-week low of 23.00 along the way. BCE.PR.Y closed at 23.10-38, 3×1, also hitting a 52-week low of 23.11.
Volume Highlights
Issue Index Volume Notes
CU.PR.B PerpetualPremium 182,075 Desjardins crossed 150,000 at 27.15 for delayed delivery (DD), then two more tranches at the same price, also DD. This issue went ex-dividend for $0.375 today. Now with a pre-tax bid-YTW of 3.58% based on a bid of 26.56 and a call 2008-7-1 at 26.00.
CM.PR.I PerpetualPremium 95,880 Now with a pre-tax bid-YTW of 4.67% based on a bid of 25.16 and a call 2016-3-1 at 25.00.
BNS.PR.M PerpetualDiscount 51,500 Now with a pre-tax bid-YTW of 4.58% based on a bid of 24.81 and a limitMaturity.
BCE.PR.I FixFloat 47,082 Discussed above as a major price move.
BNS.PR.L PerpetualDiscount 33,400 National Bank crossed 25,000 at 24.85. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.81 and a limitMaturity.

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

Market Action

May 14, 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 4.87% 4.91% 43,549 15.73 2 -0.8727% 970.0
Fixed-Floater 5.48% 4.80% 132,810 15.95 6 -0.5383% 943.5
Floater 4.78% -5.12% 76,052 5.61 3 -0.0524% 1,051.4
Op. Retract 4.74% 3.29% 84,232 2.34 17 0.0336% 1,033.5
Split-Share 4.96% 4.18% 162,671 4.00 12 +0.2287% 1,047.2
Interest Bearing 6.52% 6.07% 65,772 3.38 5 -0.0305% 1,045.4
Perpetual-Premium 5.13% 4.36% 171,176 5.58 48 +0.0393% 1,050.9
Perpetual-Discount 4.63% 4.66% 783,166 16.09 19 -0.1021% 1,051.2
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixFloat -2.6966% Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Sailed right through a small bid on small volume. Closed at 21.65-44, 20×10. The Hs closed at 23.36-49, 30×19.
BCE.PR.S Ratchet -1.7672% Exchange/Reset date is 2011-11-1 (Exchanges with BCE.PR.T, which pays 4.502% until then). Tiny volume of 600 shares, which was never-the-less enough to take out the bid. Closed at 22.79-25, 1×3; Ts closed at 21.90-40, 1×7.
Volume Highlights
Issue Index Volume Notes
PWF.PR.K PerpetualPremium 105,725 Now with a pre-tax bid-YTW of 4.49% based on a bid of 25.82 and a call 2014-11-30 at 25.00.
RY.PR.G PerpetualDiscount 103,460 Scotia bought 15,800 from Anonymous at 24.50, then another 58,900 from RBC at the same price. Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.46 and a limitMaturity.
BNS.PR.L PerpetualDiscount 74,900 Scotia crossed 74,900 at 24.87. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.82 and a limitMaturity.
RY.PR.W PerpetualPremium 62,070 Now with a pre-tax bid-YTW of 4.29% based on a bid of 25.90 and a call 2014-3-26 at 25.00.
CU.PR.B PerpetualPremium 52,934 TD crossed 49,600 at 27.19. Now with a pre-tax bid-YTW of 2.87% based on a bid of 27.14 and a call 2008-7-1 at 26.00. Somebody’s betting it won’t be called that soon! But I still say they’re expensive.

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

Market Action

May 11, 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 4.80% 4.82% 44,115 15.86 2 -0.5248% 978.5
Fixed-Floater 5.45% 4.74% 134,397 16.06 6 -0.3694% 948.6
Floater 4.78% -5.63% 75,502 0.72 3 0.1997% 1,051.9
Op. Retract 4.74% 3.31% 84,129 2.35 17 -0.0270% 1,033.1
Split-Share 4.97% 4.36% 163,814 4.01 12 +0.0906% 1,044.8
Interest Bearing 6.52% 5.41% 62,608 2.22 5 +0.0646% 1,045.7
Perpetual-Premium 5.13% 4.36% 170,085 5.23 48 -0.0242% 1,050.5
Perpetual-Discount 4.62% 4.65% 794,916 16.10 19 -0.0077% 1,052.3
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixFloat -2.1538% Exchange/Reset Date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 22.26-73, 1×8.
BCE.PR.S Ratchet -1.4862% Exchange/Reset date is 2011-11-1 (Exchanges with BCE.PR.T, which pays 4.502% until then). Closed at 23.20-50, 1×2; Ts closed at 22.00-49, 5×1.
BCE.PR.A FixFloat -1.0634% Exchange/Reset date is 2007-9-1 (Exchanges with series ‘AB’, not issued); until then pays 5.03% of par. Closed at 23.26-47, 3×5.
NA.PR.K PerpetualPremium -1.0586% The bid just disappeared! Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.17 and (i) a call 2010-6-14 at 25.50, or (ii) a call 2011-6-14 at 25.25, or (iii) a call 2012-6-14 at 25.00. Each scenario gives the same yield, to two decimal places.
MFC.PR.A OpRet -1.0582% Now with a pre-tax bid-YTW of 3.56% based on a bid of 26.18 and a softMaturity 2015-12-18 at 25.00.
MFC.PR.C PerpetualDiscount -1.0459% Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.60 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
TOC.PR.B Scraps (Would be Floater, but there are volume concerns) 113,910 Desjardins crossed 100,000 at 25.40. This issue is currently on Credit Watch Negative by DBRS & Moodys.
WN.PR.D PerpetualPremium 94,425 Scotia crossed 80,000 at 25.00. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.95 and a limitMaturity. This issue has been recently downgraded by S&P to P-3(High) and is the subject of a Credit Watch Negative by DBRS.
WN.PR.C PerpetualPremium 90,732 Scotia crossed 82,100 at 25.00. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.95 and a limitMaturity. Credit-wise, in the same boat as WN.PR.D, above.
RY.PR.B PerpetualPremium 29,140 Nesbitt crossed 14,300 at 25.50. Now with a pre-tax bid-YTW of 4.43% based on a bid of 25.47 and a call 2015-9-23 at 25.00.
BNS.PR.M PerpetualDiscount 25,175 Scotia crossed 12,800 at 24.89. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.90 and a limitMaturity.

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

Market Action

May 10, 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 4.74% 4.80% 43,199 16.02 2 0.0000% 983.7
Fixed-Floater 5.43% 4.69% 136,206 16.14 6 -0.3453% 952.1
Floater 4.79% -3.66% 77,599 5.62 3 -0.1723% 1,049.8
Op. Retract 4.74% 3.26% 84,254 2.35 17 -0.0109% 1,033.4
Split-Share 4.97% 4.37% 167,000 4.01 12 -0.2354% 1,043.8
Interest Bearing 6.52% 6.07% 62,837 3.39 5 -0.1457% 1,045.1
Perpetual-Premium 5.13% 4.35% 170,483 5.16 48 +0.0188% 1,050.8
Perpetual-Discount 4.62% 4.65% 815,775 16.11 19 -0.1083% 1,052.4
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixFloat -1.1106% Exchange/Reset Date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 22.26-74, 7×2.
BCE.PR.G FixFloat -1.0667% Exchange/Reset date is 2011-05-01 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 22.26-60, 2×8; Hs closed at 23.26-49, 8×49.
WFS.PR.A SplitShare -1.0427% Now with a pre-tax bid-YTW of 4.26% based on a bid of 10.44 and a hardMaturity 2011-6-30 at $10.00. Asset coverage is about 2.3:1, based on April 30 NAV.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 55,438 Recent new issue. Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.45 and a limitMaturity.
BAM.PR.K Floater 54,850 TD bought a total of 50,000 from RBC in three tranches, each at 24.90.
CM.PR.I PerpetualPremium 43,165 Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.17 and a call 2016-3-1 at 25.00
BNS.PR.M PerpetualDiscount 24,620 Recent new issue. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.87 and a limitMaturity.
SLF.PR.A PerpetualPremium 18,080 Now with a pre-tax bid-YTW of 4.46% based on a bid of 25.60 and a call 2014-4-30 at 25.00.

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

Market Action

May 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 4.71% 4.76% 44,233 16.08 2 -0.1915% 983.7
Fixed-Floater 5.41% 4.64% 136,343 16.23 6 -0.0197% 955.4
Floater 4.78% -5.14% 77,128 0.72 3 -0.1416% 1,051.7
Op. Retract 4.74% 3.24% 84,671 2.36 17 +0.0515% 1,033.5
Split-Share 4.96% 4.25% 169,759 4.01 12 +0.0111% 1,046.3
Interest Bearing 6.51% 6.02% 63,426 3.40 5 -0.1526% 1,046.6
Perpetual-Premium 5.13% 4.33% 171,967 5.17 48 +0.0328% 1,050.6
Perpetual-Discount 4.62% 4.65% 835,451 16.12 19 -0.0274% 1,053.5
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater -1.0089% More apparent fallout from the proposed acquisition.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualPremium 128,120 Now with a pre-tax bid-YTW of 4.64% based on a bid of 25.20 and a call 2016-3-1.
BMO.PR.J PerpetualDiscount 77,570 Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.66 and a limitMaturity.
TD.PR.O PerpetualPremium 64,885 Now with a pre-tax bid-YTW of 4.29% based on a bid of 25.97 and a call 2014-11-30 at 25.00
CM.PR.H PerpetualPremium 55,555 Now with a pre-tax bid-YTW of 4.42% based on a bid of 25.65 and a call 2014-4-29 at 25.00
NA.PR.L PerpetualPremium 29,198 Now with a pre-tax bid-YTW of 4.37% based on a bid of 25.74 and a call 2014-6-14 at 25.00.

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

Market Action

May 8, 2007

Up to my old tricks! Instead of using the May 7 report as a template for the May 8 report, I over-wrote it … so the May 7 report is gone forever. Sorry!

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 4.66% 4.68% 45,424 16.12 2 +0.1068% 985.6
Fixed-Floater 5.41% 4.61% 137,569 16.28 6 -1.5764% 955.6
Floater 4.77% -8.72% 73,508 6.22 3 +0.0405% 1,053.1
Op. Retract 4.74% 3.23% 84,913 2.54 17 +0.0093% 1,033.0
Split-Share 4.96% 4.22% 171,492 3.88 12 -0.1230% 1,046.2
Interest Bearing 6.50% 5.88% 63,129 2.24 5 +0.0395% 1,048.2
Perpetual-Premium 5.13% 4.31% 170,070 5.15 48 +0.0446% 1,050.2
Perpetual-Discount 4.61% 4.64% 766,146 16.14 18 +0.0523% 1,053.8
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixFloat -3.2609% Exchange/Reset date is 2007-12-1 (exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 23.26-56, 2×1; the Ys closed at 23.10-67, 3×2.
BCE.PR.R FixFloat -2.1730% Exchange/Reset date is 2010-12-1 (Exchanges with Series ‘Q’, not issued); until then pays 4.54% of par. Closed at 22.51-00, 5×3.
BCE.PR.C FixFloat -1.9665% Exchange/Reset date is 2008-3-1 (exchanges with Series ‘AD’, not issued); until then pays 5.54% of par. Closed at 23.43-73, 1×5.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 189,850 Recent new issue. Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.48 and a limitMaturity.
BNS.PR.L PerpetualDiscount 115,154 Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.84 and a limitMaturity.
AL.PR.E Floater 103,100 Presumably due to uncertainty regarding the Credit-Watch: Developing.
POW.PR.D PerpetualPremium 58,420 Scotia crossed 56,000 at 25.80. Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.72 and a call 2014-11-30 at 25.00.
CM.PR.H PerpetualPremium 57,895 Now with a pre-tax bid-YTW of 4.41% based on a bid of 25.65 and a call 2014-4-29 at 25.00.

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

Market Action

May 4, 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 4.58% 4.59% 43,333 16.28 2 -0.3161% 990.0
Fixed-Floater 5.33% 4.48% 135,556 16.51 6 +0.1191% 970.0
Floater 4.72% -20.46% 73,173 10.96 3 +0.0395% 1,064.3
Op. Retract 4.73% 3.16% 85,916 2.32 17 +0.0848% 1,034.0
Split-Share 4.96% 4.16% 175,793 3.89 12 +0.0203% 1,046.5
Interest Bearing 6.49% 4.87% 61,987 2.24 5 +0.0788% 1,049.2
Perpetual-Premium 5.13% 4.53% 170,664 5.25 48 +0.0360% 1,050.2
Perpetual-Discount 4.61% 4.63% 790,950 16.15 18 -0.0460% 1,053.8
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixFloat -1.3072% Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then pays 4.65% of par. Good volume today of 17,292 shares in a range of 22.90-00, so it seems a little unfair that it was down, closing at 22.65-00, 22×14.
WN.PR.E PerpetualDiscount -1.0309% Downgraded yesterday by S&P. Now with a pre-tax bid-YTW of 4.99% based on a bid of 24.00 and a limitMaturity. Still the lowest-yielding Weston Perpetual – see the comparables.
WN.PR.D PerpetualPremium +1.0121% Downgraded yesterday by S&P … what, me worry? Now with a pre-tax bid-YTW of 5.26% based on a bid of 24.95 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
TOC.PR.B Scraps (would be Floater, but there are volume concerns) 530,500 Presumably due to the rumours of a bid for Reuters. This young feller-me-lad pays 70% of Canadian Prime on par value, and closed today up a bit, at 25.30-54, 3×2. Callable any time at $25.00.
FBS.PR.B SplitShare 530,500 What’s a mature split-share doing with this kind of volume? Better ask Nesbitt, they crossed 500,000 at 10.13. Callable every December 15 at $10, until maturity at $10.00 2011-12-15 … the pre-tax bid-YTW is 2.78% based on a bid of 10.20 and a call 2008-1-14 (heh … the inclusion in the programming of maturityNoticePeriod leads to imprecision on occasion. Oh, well, sue me …) at $10.00. The buyer is obviously hoping that the shares (or at least a significant fraction thereof) will survive until the hardMaturity 2011-12-15, to have yielded 4.45%. And, mind you, the big buyer only paid 10.13 for them (plus commission!), so it’s not as bad as it looks.
BNS.PR.L PerpetualPremium 118,645 Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.92 and a limitMaturity.
CM.PR.H PerpetualPremium 112,840 Now with a pre-tax bid-YTW of 4.37% based on a bid of 25.70 and a call 2014-4-29 at 25.00.
RY.PR.G PerpetualDiscount 110,700 Recent new issue. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.51 and a limitMaturity.
SLF.PR.A PerpetualPremium 58,305 Now with a pre-tax bid-YTW of 4.44% based on a bid of 25.61 and a call 2014-4-30 at 25.00.

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