Category: Market Action

Market Action

March 1, 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 3.87% 3.87% 78,237 3.91 1 +0.0000% 1,047.4
Fixed-Floater 4.98% 3.64% 105,993 4.61 5 -0.0465% 1,039.6
Floater 4.72% -18.56% 76,399 0.09 3 -0.1043% 1,048.1
Op. Retract 4.71% 2.35% 76,706 2.12 17 -0.1150% 1,029.6
Split-Share 5.07% 1.12% 213,826 3.25 15 -0.0033% 1,043.3
Interest Bearing 6.50% 4.82% 63,313 2.34 5 -0.1451% 1,037.8
Perpetual-Premium 5.01% 3.58% 266,194 5.49 53 -0.0218% 1,055.0
Perpetual-Discount 4.54% 4.54% 844,780 14.21 9 0.0226% 1,063.9
Major Price Changes
Issue Index Change Notes
BAM.PR.I OpRet -1.2336% This doesn’t seem like a nice way for the market to greet Moodys’ upgrade of senior unsecured debt (from Baa3 to Baa2)! But, as far as I can make out from today’s trades, somebody at RBC really wanted to sell their 1,100 shares in a hurry, so it was done all at once, starting with 100 at 26.76 and continuing until 400 at 26.32. Now with a pre-tax bid-YTW of 4.61% based on a bid of $26.42 and a call 2009-7-30 at 25.75. It looks attractive at this price, provided you get filled!
FBS.PR.B SplitShare +1.1563% Now with a pre-tax bid-YTW of 1.41% based on a bid of $10.27 and a call 2008-1-14 at $10.00.
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 370,200 Nesbitt crossed 511,600 at $25.60. That’s a nice ticket to write, especially if they earned a nickel per share from each side!
BCE.PR.R FixedFloater 362,150 Nesbitt crossed 360,000 at $25.50.
ACO.PR.A OpRet 32,852 TD crossed 25,000 at $27.50 … and swept up a lot of offers on their way to that price! I can only assume they were working for somebody who had an urgent need to buy an issue with a yield to worst of 3.02% based on a bid of 27.16 and a call 2008-12-31 (at the ask of 27.64, the pre-tax YTW is 2.01%).
CM.PR.I PerpetualPremium 31,500 Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.47 and a call 2016-3-1 at $25.00.
WN.PR.D PerpetualPremium 21,600 RBC bought 15,000 from CIBC in two tranches at $25.80. Now with a pre-tax bid-YTW of 4.84% based on a bid of $25.83 and a call 2014-10-31 at $25.00. But remember … Credit Watch Negative!

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

The rebalancing of the HIMIPref™ indices was quite extensive. I’ll try to report on it tomorrow.

Market Action

February 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 4.14% 4.14% 23,614 17.17 1 +0.0000% 1,047.4
Fixed-Floater 4.82% 3.72% 79,765 6.24 7 +0.0304% 1,040.1
Floater 4.47% -21.08% 55,292 0.09 5 +0.2603% 1,049.2
Op. Retract 4.72% 2.36% 74,704 2.05 18 +0.0864% 1,030.8
Split-Share 5.11% 0.23% 231,489 2.79 14 +0.1761% 1,043.4
Interest Bearing 6.49% 4.48% 63,839 2.35 5 -0.0038% 1,039.3
Perpetual-Premium 5.03% 3.59% 212,956 5.06 51 +0.0224% 1,055.2
Perpetual-Discount 4.53% 4.54% 1,048,109 13.79 11 +0.1157% 1,063.6
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater -1.0510% Exchangeable with BCE.PR.Y next December 1. In the interim, they will pay about $0.35 more (~$1.00 vs. ~$0.65), so, at a close of $25.42-75 vs $25.02-39, they’re priced about right relative to their twin, anyway. Which is comforting, assuming you think a ratchet-rate is worth holding!
GWO.PR.E OpRet +1.0226% Now with a pre-tax bid-YTW of 2.11% based on a bid of $26.75 and a call 2009-4-30 at $25.50. The pre-tax yield is 2.83% if they last until they’re callable at par, 2011-4-30. And 3.53% if they last until their softMaturity 2014-3-30 ! So place your bets … but remember the issuer bid.
CL.PR.B PerpetualPremium +1.0873% Another issue reliant on the idea that GWO has better things to do with their money than call issued stock! Now with a pre-tax bid-YTW of -27.12% based on a bid of $26.63 and an immediate call at $26.00. It’s really a question of how long the game will last … to get a yield of 3.46%, you have to bet that there will be no call until 2009-1-30 at $25.50. There are a lot of people willing to make that bet, it seems! The issue was a stellar performer in February, with a total return of +2.5451% month/month bid/bid.
PIC.PR.A SplitShare +2.2422% Recovering from yesterday’s swoon, but not by enough extra to overcome a horrible month … the issue is down 1.2987% month/month bid/bid at the closing quote of $15.96-08
Volume Highlights
Issue Index Volume Notes
BCE.PR.H Scraps (will switch to RatchetRate) 370,200 This issue used to be BC.PR.E. Nesbitt crossed 370,000 at $25.12.
NA.PR.K PerpetualPremium 203,800 Desjardins crossed 98,700 at $27.18. Now with a pre-tax bid-YTW of 2.62% based on a bid of $27.05 and a call 2008-06-14 at $26.00.
BAM.PR.B Floater 150,700 Desjardins crossed 30,000 at 24.90, then two tranches of 60,000 each at $24.91.
RY.PR.E PerpetualDiscount 70,755 Recent new issue. Now with a pre-tax bid-YTW of 4.51%, based on a bid of $25.15 and either a call at $25.00 on 2016-3-25, or a limitMaturity – take your pick.
PWF.PR.L PerpetualPremium 57,880 Now with a pre-tax bid-YTW of 4.24% based on a bid of $26.70 and a call 2015-11-30 at $25.00

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

Market Action

February 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 4.13% 4.13% 24,583 17.19 1 +0.0000% 1,047.4
Fixed-Floater 4.82% 3.63% 80,292 8.11 7 -0.1727% 1,039.8
Floater 4.48% -18.48% 53,918 3.36 5 -0.2812% 1,046.5
Op. Retract 4.72% 2.38% 74,446 2.05 18 -0.0727% 1,029.9
Split-Share 5.11% 0.47% 234,389 2.78 14 -0.2838% 1,041.5
Interest Bearing 6.49% 4.69% 63,531 2.35 5 -0.0195% 1,039.4
Perpetual-Premium 5.03% 3.84% 213,338 5.02 51 +0.0276% 1,055.0
Perpetual-Discount 4.52% 4.55% 1,062,839 15.44 11 +0.0731% 1,062.4
Major Price Changes
Issue Index Change Notes
PIC.PR.A SplitShare -2.4375% Those poor guys at Raymond James! As far as I can make out from the trades, all they wanted to do was sell a lousy 268 shares. Less than $5,000 worth. So the first 100 gets sold to TD at $15.96. That’s OK. That trade is stamped 3:33pm. But … the next 100 shares is timestamped 3:34pm! And sold to “Anonymous”! At $15.46! Sometimes huge trades like this can really move the market, you know? The issue closed at 15.61-00, 10×3.
ACO.PR.A OpRet -1.506% Gets hit again, to close at $26.80-00, on volume of 1,405 shares, which traded in a range of $26.69-01. Actually, at the bid level of $26.80, it starts to look reasonable, with a pre-tax bid-YTW of 3.78% based on a call at $26.00 2008-12-31.
Volume Highlights
Issue Index Volume Notes
GWO.PR.F PerpetualPremium 206,323 Just like yesterday, lots of action with Desjardins in the thick of things. They crossed 175,000 at $28.11, then another 25,000 at the same price. Now with a pre-tax bid-YTW of 1.44%, based on a bid of $28.05 and a call 2008-10-30 at $26.00.
SLF.PR.E PerpetualDiscount 76,285 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.84 and a limitMaturity.
BNS.PR.L PerpetualPremium 40,400 Recent new issue. Now with a pre-tax bid-YTW of 4.49% based on a bid of 25.15 and a call 2016-5-27 at 4.49%.
SLF.PR.D PerpetualDiscount 32,767 Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.80 and a limitMaturity.
RY.PR.E PerpetualDiscount 32,150 Recent new issue. Now with a pre-tax bid-YTW of 4.52%, based on a bid of $25.12 and either a call at $25.00 on 2016-3-25, or a limitMaturity – take your pick.

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

If you want to read about all the excitement on the stock markets today, go read an equities blog!

Update : An equities blog like this one, for instance. Now, that’s funny! JH

Market Action

February 26, 2006

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 4.13% 4.12% 25,591 17.21 1 +0.2787% 1,047.4
Fixed-Floater 4.81% 3.59% 80,834 8.13 7 +0.2559% 1,041.6
Floater 4.47% -21.17% 54,320 3.35 5 -0.0701% 1,049.5
Op. Retract 4.71% 2.18% 74,758 2.05 18 -0.0896% 1,030.7
Split-Share 5.10% 0.66% 239,561 2.79 14 -0.0166% 1,044.5
Interest Bearing 6.49% 4.64% 63,070 2.96 5 -0.2005% 1,039.6
Perpetual-Premium 5.03% 3.83% 214,065 5.01 51 +0.0867% 1,054.7
Perpetual-Discount 4.53% 4.55% 1,073,660 14.67 11 +0.1609% 1,061.6
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet -2.4731% The bids just faded away and it closed at 27.21-50, 1×9, on volumen of 2,129 shares. Still with a pre-tax bid-YTW of 2.90% based on a bid of $27.21 and a call 2008-12-31 at $26.00, but buyers are hoping for the softMaturity 2011-11-30 at $25.00, yielding 3.72%.
Volume Highlights
Issue Index Volume Notes
GWO.PR.F PerpetualPremium 140,399 Desjardins crossed 90,000 at 28.11, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 1.65% based on a bid of 27.96 and a call 2008-10-30 at $26.00. Somebody has decided that particular call is not too likely!
RY.PR.A PerpetualDiscount 34,538 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.87 and a limitMaturity.
CM.PR.I PerpetualPremium 33,531 Now with a pre-tax bid-YTW of 4.50% based on a bid of 25.50 and a call 2016-3-1 at $25.00.
SLF.PR.D PerpetualDiscount 29,419 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.73 and a limitMaturity.
CM.PR.J PerpetualDiscount 28,425 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.94 and a limitMaturity.

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

Market Action

February 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 4.11% 4.13% 25,807 17.16 1 +0.0797% 1,044.4
Fixed-Floater 4.82% 3.67% 82,206 8.11 7 -0.1619% 1,038.9
Floater 4.47% -21.65% 55,328 0.09 5 +0.2472% 1,050.2
Op. Retract 4.71% 2.20% 74,930 2.06 18 +0.1107% 1,031.6
Split-Share 5.09% 0.69% 243,722 2.79 14 -0.0904% 1,044.7
Interest Bearing 6.45% 4.20% 61,918 2.36 5 -0.0854% 1,041.7
Perpetual-Premium 5.03% 3.83% 215,324 4.99 51 +0.0169% 1,053.8
Perpetual-Discount 4.53% 4.55% 1,093,810 16.31 11 -0.0946% 1,059.9
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater +1.3303%  
Volume Highlights
Issue Index Volume Notes
CM.PR.G PerpetualPremium 55,655 Now with a pre-tax bid-YTW of 4.31% based on a bid of 26.80 and a call either 2011-5-31 at $25.75, or 2012-5-31 @ $25.50. Take your pick, it’s on the bubble and the yields are identical (well … to two decimal places, anyway).
CM.PR.D PerpetualPremium 51,800 Desjardins crossed 50,000 at $27.00. Now with a pre-tax bid-YTW of 3.15% based on a bid of $26.87 and a call 2008-5-30 at $26.00. This is the Commerce issue with the second-highest dividend (after CM.PR.C, which I consider a lock to be called in the summer)
BAM.PR.H OpRet 50,552 Scotia crossed 50,000 at $27.30. Who would buy at this level? The pre-tax bid-YTW is 2.54% based on a bid of $27.25 and a call 2008-10-30 at $25.75 … maybe, just maybe, it will make it to its soft maturity 2012-3-30 at $25.00, to have yielded 3.99%, but even then, the equivalency factor of 1.4 translates to a 5.60% interest-equivalent … OK, but is it really worth the risk? I’ve seen some dealer commentary to the effect that, sure, opRets are too expensive for individuals, but they’re fine for corporations that don’t pay tax on the dividends. Well, perhaps.
SLF.PR.E PerpetualDiscount 46,148 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.85 and a limitMaturity.
BMO.PR.J PerpetualDiscount 43,280 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.11 and either a call 2016-3-26 at $25.00, or a limitMaturity, take your pick.

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

Market Action

February 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 4.11% 4.13% 25,821 17.17 1 -0.0398% 1,043.6
Fixed-Floater 4.82% 3.75% 83,765 6.25 7 -0.1339% 1,040.6
Floater 4.48% -19.51% 55,890 3.36 5 -0.0621% 1,047.6
Op. Retract 4.71% 2.21% 75,053 2.06 18 -0.0521% 1,030.5
Split-Share 5.09% 0.56% 247,360 2.68 14 +0.0424% 1,045.6
Interest Bearing 6.45% 3.27% 61,399 2.36 5 +0.2939% 1,042.6
Perpetual-Premium 5.03% 3.89% 217,077 5.02 51 -0.0622% 1,053.6
Perpetual-Discount 4.53% 4.55% 1,110,515 16.32 11 -0.0140% 1,060.9
Major Price Changes
Issue Index Change Notes
CM.PR.P PerpetualPremium -1.1735% Now with a pre-tax bid-YTW of 4.07% based on a bid of $26.95 and a call 2012-11-28 at $25.00.
Volume Highlights
Issue Index Volume Notes
MFC.PR.C PerpetualDiscount 80,725 Scotia crossed 50,000 at 24.90. This issue went ex-dividend today. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.85 and a limitMaturity.
GWO.PR.F PerpetualPremium 53,285 TD crossed 47,800 at $28.10. This is the highest priced issue in the PerpetualPremium index and helps to justify a prejudice against premia by sporting a pre-tax bid-YTW of 1.84% based on a bid of $27.87 and a call 2008-10-30 at $26.00. Obviously, there are people who are prepared to slap their money down and bet on a call 2012-10-30 at $25, which will yield 3.84% (pre-tax) … but I’m not one of them! At an annual dividend of $1.475, there’s just too much chance GWO will refinance … but as I’ve said before, I’d be a lot happier if I knew exactly why CL.PR.B still exists!
CM.PR.J PerpetualDiscount 100,455 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity.
BAM.PR.K Floater 40,333 Scotia crossed 40,000 at $24.95.
GWO.PR.X Retractible 39,759 Desjardins crossed 13,000 at $27.55, Scotia crossed 25,000 at $27.57. This is one of the issues subject to the issuer bid, which may (MAY!) have been de-railed by Great-West’s Putnam Purchase. Now with a pre-tax bid-YTW of 2.59% based on a bid of $27.55 and a call 2009-10-30 at $26.00 … buyers are hoping for a softMaturity 2013-09-29 at $25.00, yielding 3.21%. The latter figure is the interest-equivalent for Ontario fat cats of a whopping 4.49%. I note that Great-West LIFE (which is GWL, the insurance company, not GWO, the parent, so this is not a precise comparison) has some 5.995% 12/31/12 Tier 1 paper outstanding, indicated at 49bp over Canadas, or about 4.53%, so I fail to see any great attraction in this (preferred) issue, which is one step further away from the actual cash coming in the door.

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

Market Action

February 21, 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 4.10% 4.12% 26,137 17.19 1 -0.0796% 1,044.0
Fixed-Floater 4.81% 3.72% 85,328 8.17 7 -0.1903% 1,042.0
Floater 4.48% -20.50% 55,143 3.34 5 +0.0657% 1,048.3
Op. Retract 4.71% 2.40% 74,002 2.06 18 -0.0911% 1,031.0
Split-Share 5.09% 0.75% 253,022 2.69 14 -0.0561% 1,045.2
Interest Bearing 6.47% 3.53% 60,141 2.36 5 +0.0525% 1,039.5
Perpetual-Premium 5.03% 3.77% 219,626 5.02 51 -0.0350% 1,054.2
Perpetual-Discount 4.52% 4.55% 1,098,440 15.49 11 +0.0220% 1,061.1
Major Price Changes
Issue Index Change Notes
There were no index-included issues with extraordinary performance today.
Volume Highlights
Issue Index Volume Notes
CM.PR.J PerpetualDiscount 100,455 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.94 and a limitMaturity
WN.PR.B OpRet 43,790 Credit watch negative! Scotia crossed 23,300 at $26.05, then Desjardines crossed 20,000 at the same price. Now with a pre-tax bid-YTW of 3.71% based on a bid of $26.00 and softMaturity 2009-6-30 at $25.00. That’s an interest equivalent of 5.19% at standard equivalency … I note that the Weston bonds, 6.45%/11, are trading 44bp back of Canadas, call it maybe 4.50%.
BMO.PR.J PerpetualDiscount 24,155 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.13 and either a call 2016-3-26 at $25.00, or a limitMaturity, take your pick.
RY.PR.A PerpetualDiscount 23,135 Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.95 and a limitMaturity.
RY.PR.D PerpetualPremium 22,700 RBC bought 16,400 from various dealers in six tranches at $25.19-20 (and another 3,700 in three tranches later in the afternoon). Now with a pre-tax bid-YTW of 4.54% based on a bid of $25.12 and a limitMaturity.

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

Market Action

February 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% 4.10% 27,210 17.22 1 +0.0398% 1,044.9
Fixed-Floater 4.80% 3.54% 86,257 8.17 7 -0.2344% 1,044.0
Floater 4.48% -20.31% 55,682 3.35 5 -0.0219% 1,047.6
Op. Retract 4.70% 2.15% 74,116 2.06 18 -0.0035% 1,031.9
Split-Share 5.09% 0.42% 257,600 2.69 14 +0.0871% 1,045.8
Interest Bearing 6.47% 3.29% 59,424 2.35 5 -0.0189% 1,039.0
Perpetual-Premium 5.03% 3.75% 221,519 4.90 51 +0.1008% 1,054.6
Perpetual-Discount 4.53% 4.55% 1,142,956 15.49 11 +0.0914% 1,060.9
Major Price Changes
Issue Index Change Notes
BNA.PR.A SplitShare +1.4853% Well … the issue did, after all, go ex-dividend today … but the price didn’t budge. So the pre-tax bid-YTW went from -4.59% yesterday to -21.46% today, based on a bid of $26.30 and a call 2007-3-22 at $25.75. But who knows? Maybe the issue will survive until its hardMaturity 2010-09-30 at $25.00 to have yielded 4.62% … but why BAM Split would allow an issue paying $1.56 to remain outstanding (OK, so they save $0.25 p.a. on that with the declining call premium. It’s still a lot!) when they’ve just proved they can issue with a $1.0875 pay-out is beyond me.
Volume Highlights
Issue Index Volume Notes
SLF.PR.A PerpetualDiscount 172,835 Now with a pre-tax bid-YTW of 4.30% based on a bid of $25.60 and a call 2014-4-30 at $25.00
CM.PR.I PerpetualPremium 165,024 Nesbitt crossed 156,300 at 25.50. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.41 and a call 2016-3-1 at $25.00
CM.PR.H PerpetualPremium 130,975 Now with a pre-tax bid-YTW of 4.23% based on a bid of $25.99 and a call 2014-4-29 at $25.00
WN.PR.B OpRet 80,065 Desjardins crossed 79,300 at $25.95. Now with a pre-tax bid-YTW of 3.88% based on a bid of $25.90 and softMaturity 2009-6-30 at $25.00.
CM.PR.J PerpetualDiscount 71,905 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity

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

Market Action

February 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 4.08% 4.10% 28,327 17.23 1 -0.3175% 1,044.4
Fixed-Floater 4.79% 3.36% 86,996 6.36 7 +0.3377% 1,046.5
Floater 4.48% -21.55% 55,437 6.59 5 -0.2655% 1,047.8
Op. Retract 4.70% 2.37% 75,401 2.07 18 +0.0357% 1,032.0
Split-Share 5.09% 1.28% 260,867 2.63 14 +0.0197% 1,044.9
Interest Bearing 6.47% 3.95% 59,409 2.36 5 +0.3539% 1,039.2
Perpetual-Premium 5.03% 3.90% 222,165 4.91 51 +0.0438% 1,053.6
Perpetual-Discount 4.53% 4.55% 1,159,789 16.30 11 +0.0479% 1,059.9
Major Price Changes
Issue Index Change Notes
SXT.PR.A SplitShare +1.1623% I don’t get it. How about a word from the sponsor? “The special annual retraction date occurs on March 15th of each year. … The Company may redeem Preferred Shares on any annual retraction date at a price per share equal to $25.00 to the extent that Capital Shares are retracted under a special annual retraction.” I’ve brought this up before, but no one pays attention. Now with a pre-tax bid-YTW of -16.14% (NEGATIVE 16.14%) based on a bid of $26.11 and a call 2007-4-14 at $25.00. It will be most interesting to learn the percentage retraction this time ’round.
BSD.PR.A InterestBearing +1.6000% This one makes more sense. Now with a pre-tax bid-YTW of 5.97% (as interest) based on a bid of $10.16 and a hardMaturity 2015-3-31 at $10.00
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 56,437 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.65 and a limitMaturity.
AL.PR.E Floater 51,125 TD crossed 44,300 at $26.50.
CM.PR.J PerpetualDiscount 50,430 Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.90 and a limitMaturity.
BNS.PR.L PerpetualPremium 36,100 Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.10 and either a call 2016-5-27 at $25.00, or a limitMaturity. Take your pick.
SLF.PR.E PerpetualDiscount 23,900 Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.76 and a limitMaturity.

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

Market Action

February 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% 4.08% 29,489 17.29 1 0.3584% 1,047.8
Fixed-Floater 4.81% 3.59% 88,954 6.38 7 +0.0129% 1,042.9
Floater 4.47% -23.24% 55,666 3.33 5 -0.0622% 1,050.6
Op. Retract 4.70% 2.28% 75,887 2.07 18 +0.0615% 1,031.6
Split-Share 5.09% 1.78% 267,398 2.64 14 -0.0028% 1,044.6
Interest Bearing 6.49% 3.58% 59,106 2.35 5 -0.1837% 1,035.5
Perpetual-Premium 5.03% 3.70% 225,523 5.11 51 +0.0090% 1,053.1
Perpetual-Discount 4.52% 4.56% 1,178,685 16.27 11 +0.0621% 1,059.4
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet +1.4177% Traded as high as $28.40 today and closed at 27.90-06, 3×10. The buyers are obviously sanguine about the potential for a redemption at $26.00, 2008-12-31, which results in the YTW scenario yielding 1.45% pre-tax … they seem to be hoping for the softMaturity 2011-11-30, which will yield 3.09%. Of course, that’s still only the equivalent of a bond paying 4.33% for rich Ontario investors, but that doesn’t seem to matter much!
Volume Highlights
Issue Index Volume Notes
BMO.PR.J PerpetualDiscount 227,100 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.05 and a limitMaturity.
CM.PR.H PerpetualPremium 167,740 Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.05 and a call 2014-4-29 at $25.00.
CM.PR.J PerpetualDiscount 166,075 Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity.
PWF.PR.I PerpetualPremium 30,750 Desjardins bought 12,700 from National Bank in 7 tranches at $26.77 commencing 11:40am, and crossed 10,000 at the same price. It seems awfully brave – the pre-tax bid-YTW is 3.53% based on a bid of $26.80 and a call 2008-5-30 at $26.00. They would appear to be hoping for the call 2012-5-30 at $25.00, which will result in a much more attractive yield of 4.54%. I’d prefer to do that without quite so much risk, though!
BNS.PR.L PerpetualPremium 28,115 Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of 25.07 and a limitMaturity.

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