Category: Market Action

Market Action

February 15, 2007

Hell. I have just realized that instead of copying February 14 as a template, I have instead over-written it. All that deathless prose, gone! 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 4.07% 4.08% 28,150 17.28 1 0.0000% 1,044.0
Fixed-Floater 4.81% 3.47% 89,478 8.17 7 +0.0339% 1,042.8
Floater 4.46% -24.20% 55,828 3.32 5 +0.0315% 1,051.3
Op. Retract 4.71% 2.28% 77,183 2.08 18 -0.0268% 1,031.0
Split-Share 5.09% 1.70% 273,487 2.64 14 -0.0213% 1,044.7
Interest Bearing 6.48% 3.47% 58,743 2.36 5 +0.2675% 1,037.4
Perpetual-Premium 5.06% 3.76% 227,505 5.06 51 +0.0312% 1,053.0
Perpetual-Discount 4.52% 4.56% 1,178,412 16.27 11 +0.0693% 1,058.8
Major Price Changes
Issue Index Change Notes
There were no index-included issues with significant price moves today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 84,315 Nesbitt crossed 75,000 at $25.00. Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.01 and a limitMaturity.
WFS.PR.A SplitShare 163,312 Scotia crossed 100,000 @ 10.70, then Desjardins bought 25,000 from RBC in two tranches at the same price. Desjardins then crossed 25,000 at $10.70. Nice to see some action in this issue … it’s a perennial favourite of mine. Now with a pre-tax bid-YTW of 3.70% based on a bid of $10.70 and a hardMaturity 2011-6-30 at $10.00. That’s an interest-equivalent of nearly 5.2% at the Ontario Equivalency … not bad for a Pfd-2 (DBRS) with a known maturity of less than five years!
GWO.PR.X OpRet 51,974 I’m not such a big fan of this one … pre-tax bid-YTW of 2.57% based on a bid of $27.55 and a call 2009-10-30 at $26.00. Given the issuer bid, it doesn’t seem likely to me that it will survive to its softMaturity 2013-9-29 to yield 3.20% (especially considering that one can buy GWL bonds maturiting in 2018 to yield about 4.75% – do the math, people!) … but it takes two to make a market!
CM.PR.J PerpetualDiscount 50,480 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.90 and a limitMaturity.
WN.PR.E PerpetualPremium (but not for long, I suspect!) 43,178 Credit Watch Negative! Nesbitt crossed 11,500 at $24.65, CIBC bought 14,500 from Nesbitt at the same price. Now with a pre-tax bid-YTW of 4.88% based on a bid of $24.61 and a limitMaturity. Weston bonds maturing in 2031 are now trading to yield about maybe 5.85% (interest) Make of that what you will.

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

Market Action

February 13, 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 4.07% 4.08% 30,505 17.29 1 -0.2790% 1,040.3
Fixed-Floater 4.81% 3.53% 91,487 8.17 7 -0.2171% 1,041.4
Floater 4.46% -25.92% 55,802 6.55 5 +0.0062% 1,052.2
Op. Retract 4.71% 2.44% 76,596 2.11 18 +0.0443% 1,029.7
Split-Share 5.09% 1.43% 281,421 2.65 14 -0.0596% 1,044.2
Interest Bearing 6.69% 4.32% 75,321 3.86 6 -0.0161% 1,036.0
Perpetual-Premium 5.04% 3.70% 228,848 5.10 51 -0.0565% 1,051.1
Perpetual-Discount 4.53% 4.57% 1,041,992 16.24 10 +0.1088% 1,057.1
Major Price Changes
Issue Index Change Notes
WN.PR.C PerpetualPremium -1.0903% On credit watch negative. This happened on volume of 12,400 shares, fairly high for this issue. Now with a pre-tax bid-YTW of 5.08% based on a bid of $25.40 and a call 2014-7-31 at $25.00
SXT.PR.A SplitShare -1.0728% Well – who knows? Maybe somebody noticed that the pre-tax bid-YTW on this issue is negative – and not by just a little bit, seeing as it’s callable 2007-3-15 at $25.00. Now with a pre-tax bid-YTW of -8.12% based on a bid of $25.82 and a call 2007-4-14 (allowing for the MATURITY_NOTICE_PERIOD) at $25.00. Who knows? This issue has been discussed before and what I said then still goes!
AL.PR.E FloatingRate +1.4981% This is a strange issue, defying logic. In the first place, it has a strange dividend calculation: Greater of a & b, where b is lesser of c and d; a is 72% of index, c is 100% of index, d is Flat Rate 7.5% (#6)”. So it pays 100% of Canadian Prime. Pretty good, except it’s currently callable, and has been callable since January 1, 1993. It’s not like they’re short of money – they spent $466-million repurchasing common shares in 2006, and had net debt issuance of $179-million. According to a DBRS comment dated October 3, 2006, “Following the Pechiney acquisition in 2003, when leverage (gross debt-to-capital) reached a peak level of 50.6%, Alcan has aggressively reduced debt and attained the Company’s stated leverage target of 35% as of June 30, 2006”. So why are these prefs still alive? And why is anybody willing to take a chance and pay $27.00 for them? Sometimes this world doesn’t make any sense to me.
Volume Highlights
Issue Index Volume Notes
WN.PR.B OpRet 247,886 Credit watch negative! RBC crossed 50,000 at $26.02, TD crossed 121,900 at $26.02, Desjardins crossed 25,000 at $26.02 and finally TD crossed 50,000 at $26.02. Now with a pre-tax bid-YTW of 3.67% based on a bid of $26.00 and a softMaturity 2009-06-30. Sure, the credit watch isn’t pleasant … but the interest-equivalent is 5.14% at an equivalency factor of 1.40. Loblaws bonds (maturing 2010) are trading at about 36bp over Canadas, call it 4.46%. Seems a little disconnected to me. But sometime soon I’ll be discussing the Weston issues in comparison with what happened to poor old Bombardier … the pref market can over-react like crazy!
SLF.PR.C PerpetualDiscount 111,075 Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.76 and a limitMaturity.
CM.PR.I PerpetualPremium 83,925 Canaccord crossed 50,000 at $25.45 and followed up with another 16,600 at the same price. Now with a pre-tax bid-YTW of 4.49% based on a bid of $25.49 and a call 2016-3-1 at 4.49%.
GWO.PR.H PerpetualPremium 71,500 Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.85 and a call 2014-10-30 at $25.00.
GWO.PR.X OpRet 66,728 Now with a pre-tax bid-YTW of 2.60% based on a bid of $27.52 and a call 2009-10-30 at $26.00. Even if it lasts until the softMaturity of 2013-9-29, the yield is only 3.22%. Putnam or no Putnam, GWO has paid $27.37 for these in the past year, so making it past the first call date seems a little iffy to me. If only I understood about CL.PR.B … then I’d be happier …

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

Market Action

February 12, 2007

Prices have been updated, but the reports will be delayed. Possibly later tonight, but more likely tomorrow.

Lots of trading in Weston issues today!They made up four of the top five traded issues, led only by the recent new issue, SLF.PR.E. The market is not liking the Credit Watch Negative on this issuer.

Update, 2007-2-13

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 4.05% 4.05% 31,759 17.32 1 +0.3600% 1,043.2
Fixed-Floater 4.81% 3.50% 93,125 8.17 7 -0.2220% 1,041.1
Floater 4.46% -24.96% 54,834 6.59 5 -0.0310% 1,052.1
Op. Retract 4.72% 2.38% 75,211 2.09 18 +0.0421% 1,029.3
Split-Share 5.09% 0.86% 289,408 2.65 14 +0.1643% 1,044.8
Interest Bearing 6.69% 3.97% 74,629 3.97 6 -0.0605% 1,036.1
Perpetual-Premium 5.04% 3.70% 229,197 5.10 51 -0.0258% 1,051.7
Perpetual-Discount 4.54% 4.56% 1,061,258 15.29 10 -0.0801% 1,056.0
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 127,959 Recent new issue. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.82 and a limitMaturity.
WN.PR.D PerpetualPremium 111,350 Scotia crossed 50,000 at 25.70, then another 40,500 at the same price. Currently on Credit Watch Negative. Now has a pre-tax bid-YTW of 4.98% based on a bid of $25.56 and a call 2014-10-31 at $25.00.
WN.PR.E PerpetualPremium 110,559 TD crossed 47,600 at $24.75. Credit Watch Negative! Now with a pre-tax bid-YTW of 4.87% based on a bid of $24.67 and a limitMaturity.
WN.PR.A PerpetualPremium 102,740 Scotia crossed 96,300 at $25.76. Credit Watch Negative! Now with a pre-tax bid-YTW of 5.24% based on a bid of 25.76 and a call 2011-1-14 at $25.00
WN.PR.B OpRet 100,624 RBC crossed 50,000 @ 26.25, Nesbitt crossed the same amount at the same price. Now with a pre-tax bid-YTW of 3.65% based on a bid of $26.01 and a softMaturity 2009-06-30 at $25.00

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

Market Action

February 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 4.05% 4.06% 29,721 17.32 1 0.0000% 1,039.5
Fixed-Floater 4.80% 3.46% 94,800 6.37 7 +0.0117% 1,043.5
Floater 4.46% -25.74% 56,145 6.58 5 -0.2790% 1,052.4
Op. Retract 4.72% 2.34% 75,677 2.09 18 -0.0430% 1,028.8
Split-Share 5.09% 1.09% 296,448 2.65 14 0.0824% 1,043.1
Interest Bearing 6.69% 2.47% 74,207 3.87 6 +0.0103% 1,036.7
Perpetual-Premium 5.04% 3.65% 228,637 5.13 51 -0.0429% 1,052.0
Perpetual-Discount 4.53% 4.56% 1,071,358 15.30 10 +0.1167% 1,056.8
Major Price Changes
Issue Index Change Notes
WN.PR.B OpRet -1.5066% A reaction to the Credit-Watch Negative. Now with a pre-tax bid-YTW of 3.40% based on a bid of 26.15 and a softMaturity 2009-6-30.
WN.PR.C PerpetualPremium -1.4903% Credit watch negative! Now with a pre-tax bid-YTW of 4.82% based on a call 2014-7-31 at $25.00.
Volume Highlights
Issue Index Volume Notes
BCE.PR.H FixedFloater 800,500 Formerly BC.PR.E
SLF.PR.C PerpetualDiscount 191,855 Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.76 and a limitMaturity.
SLF.PR.E PerpetualDiscount 122,560 Recent new issue. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.82 and a limitMaturity.
WN.PR.E PerpetualPremium 91,821 Credit Watch Negative! Now with a pre-tax bid-YTW of 4.84% based on a bid of $24.78 and a limitMaturity.
WN.PR.B OpRet 79,620 With a major price move, too!

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

Market Action

February 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 4.05% 4.06% 30,942 17.33 1 -0.2792% 1,039.5
Fixed-Floater 4.80% 3.44% 97,063 8.21 7 -0.2349% 1,043.3
Floater 4.44% -27.51% 56,296 6.58 5 +0.0548% 1,055.4
Op. Retract 4.71% 2.36% 75,363 2.09 18 +0.0586% 1,029.3
Split-Share 5.10% 1.33% 300,265 2.65 14 -0.0784% 1,042.2
Interest Bearing 6.69% 3.14% 73,775 3.87 6 +0.1116% 1,036.6
Perpetual-Premium 5.03% 3.81% 229,533 5.06 51 +0.0076% 1,052.4
Perpetual-Discount 4.53% 4.56% 1,081,053 15.29 10 +0.0928% 1,055.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 291,795 Recent new issue.
WN.PR.E PerpetualPremium 142,005  Now with a pre-tax bid-YTW of 4.79% based on a bid of 25.01 and a limitMaturity. But it’s Pfd-2(low) by DBRS and Credit Watch Negative!
RY.PR.E PerpetualDiscount 26,865  Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.00 and a limitMaturity.
CM.PR.G PerpetualPremium 26,800  Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.87 and a call 2010-05-31 at $26.00.
CM.PR.H PerpetualPremium 25,635  Now with a pre-tax bid-YTW of 4.28% based on a bid of $25.88 and a call 2014-4-29 at $25.00

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

Market Action

February 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 4.04% 4.04% 28,646 17.37 1 0.4407% 1,042.4
Fixed-Floater 4.79% 3.27% 98,815 6.39 7 +0.0400% 1,045.8
Floater 4.45% -27.39% 57,131 6.58 5 -0.0078% 1,054.8
Op. Retract 4.72% 2.28% 74,956 2.09 18 +0.0963% 1,028.7
Split-Share 5.09% 1.12% 308,072 2.65 14 +0.0982% 1,043.1
Interest Bearing 6.70% 3.14% 72,699 3.87 6 -0.1340% 1,035.5
Perpetual-Premium 5.03% 3.88% 232,654 5.06 51 +0.0610% 1,052.3
Perpetual-Discount 4.54% 4.57% 1,083,267 15.29 10 +0.0688% 1,054.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 120,429 Recent new issue. Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.66 and a limitMaturity.
IGM.PR.A OpRet 106,677 Now with a pre-tax bid-YTW of 2.69% based on a bid of 27.92 and a call 2009-7-30 at $26.00. Yield will be 3.81% if it makes it to the softMaturity 2013-6-29 … but with a dividend of $1.4375, I’d be surprised if a perpetual lasted that long.
BAM.PR.M PerpetualDiscount 74,975 Now with a pre-tax bid-YTW of 4.81% based on a bid of $24.92 and a limitMaturity.
CM.PR.I PerpetualPremium 63,260 Canaccord crossed 33,400 at $25.58. Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.55 and a call 2016-3-1 at 4.45%
GWO.PR.I PerpetualDiscount 58,850 Scotia crossed 50,000 at $24.95. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.95 and a limitMaturity.

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

Market Action

February 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 4.05% 4.05% 28,412 17.35 1 -0.0400% 1,037.8
Fixed-Floater 4.79% 3.54% 101,377 4.56 7 +0.2711% 1,045.4
Floater 4.45% -27.45% 57,589 6.58 5 -0.2672% 1,054.9
Op. Retract 4.72% 2.38% 73,951 2.12 18 -0.0237% 1,027.7
Split-Share 5.10% 1.00% 314,869 2.65 14 +0.1238% 1,042.0
Interest Bearing 6.69% 2.11% 71,648 3.87 6 +0.1858% 1,036.9
Perpetual-Premium 5.03% 3.88% 234,236 5.03 51 -0.0521% 1,051.7
Perpetual-Discount 4.54% 4.57% 1,092,248 16.25 10 +0.1051% 1,053.9
Major Price Changes
Issue Index Change Notes
TOC.PR.B Floater -1.6541% Still gyrating, as it has since January 26. This time on volume of 873 shares. I wonder what the TSX is saying to the market maker.
GWO.PR.F PerpetualPremium -1.5771% RBC sold 5,000 shares at 3:24pm, which took the bid from 27.55 to 27.46. Now with a pre-tax bid-YTW of 2.70% based on a bid of 27.46 and a call 2008-10-30 at $26.00
ACO.PR.A OpRet -1.2821% Closed at 26.95-60, 100×5, but that fine bid was a late entry … some traded as low as 27.26 on the day. Now with a pre-tax bid-YTW of 3.35% based on a bid of $26.95 and a call 2008-12-31 at $26.00
WFS.PR.A SplitShare -1.0348% Now with a pre-tax bid-YTW of 4.11% based on a bid of 10.52 and a hardMaturity 2011-6-30.
BCE.PR.Z FixedFloater +1.0236% As recently discussed, this becomes exchangeable with BCE.PR.Y in December
FIG.PR.A InterestBearing +1.1905% Mergers & liquidity are good for you! The trouble, of course, comes with the call schedule. Now with a pre-tax bid-YTW of -17.67% based on a bid of $10.20 and a call 2007-3-8 at $10.00
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 77,046 Down substantially on the day (bid/bid). Somebody wanted to SELL!
SLF.PR.E PerpetualDiscount 57,415 Recent new issue. Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.65 and a limitMaturity.
PWF.PR.K PerpetualPremium 55,900 RBC crossed 50,000 at 26.27. Now with a pre-tax bid-YTW of 4.26% based on a bid of $26.20 and a call 2014-11-30 at $25.00
CM.PR.I PerpetualPremium 52,007 Nesbitt crossed 10,000 at 25.38. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.40 and a call 2016-3-1 at $25.00. Both better yield and better interest rate protection than the new issue. Just like yesterday!
SLF.PR.D PerpetualDiscount 26,412 Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.73 and a limitMaturity

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

Market Action

February 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 4.04% 4.05% 28,531 17.36 1 +0.0401% 1,038.2
Fixed-Floater 4.81% 3.51% 103,723 8.23 7 +0.1475% 1,042.6
Floater 4.43% -30.31% 57,894 6.55 5 -0.0776% 1,057.7
Op. Retract 4.72% 2.32% 74,475 2.10 18 +0.1024% 1,027.9
Split-Share 5.17% 0.86% 272,353 2.52 13 -0.1860% 1,040.8
Interest Bearing 6.70% 4.30% 71,118 3.88 6 +0.0265% 1,035.0
Perpetual-Premium 5.03% 4.05% 236,263 5.04 51 +0.0356% 1,052.2
Perpetual-Discount 4.55% 4.58% 1,113,363 16.24 10 +0.0202% 1,052.8
Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare -1.2127% It’s always the way, eh? This is an issue I like. And on the first day of trading after an issue I don’t like gets called (DIV.PR.A), it’s the issue I like that craps out. Such is life in the preferred market. LBS.PR.A now has a pre-tax bid-YTW of 4.32% based on a bid of $10.59 and a hardMaturity 2013-11-29 at $10.00.
Volume Highlights
Issue Index Volume Notes
SLF.PR.C PerpetualDiscount 59,130 Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.75 and a limitMaturity.
CM.PR.H PerpetualPremium 51,137 RBC crossed 27,000 at $26.00. Now with a pre-tax bid-YTW of 4.26% based on a bid of $25.90 and a call 2014-4-29 at $25.00.
SLF.PR.E PerpetualDiscount 43,790 Recent new issue. Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.66 and a limitMaturity.
POW.PR.D PerpetualPremium 33,890 Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.31 and a call 2014-11-30 at $25.00
CM.PR.I PerpetualPremium 26,470 Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.40 and a call 2016-3-1 at $25.00. Both better yield and better interest rate protection than the new issue.

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

Market Action

February 2, 2007

Technical difficulties (like mainly the fact that I have no brains at all and wiped out a few records in files that now have to be rebuilt … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!

Major Price Changes
Issue Index Change Notes
DIV.PR.A SplitShare -1.1538% Still with a pre-tax bid-YTW of -11.19%, (yes, that’s NEGATIVE DOUBLE FIGURES) based on a bid of $25.70 and an immediate call at $25.20. This possibility was discussed briefly on January 9 when the yield-to-worst on the SplitShare index went negative.
CM.PR.R OpRet -1.0943% Now with a pre-tax bid-YTW of 3.48% based on a bid of $26.21 and a call 2008-5-30 at $25.75. There wasn’t much volume for this move – only 2,300 shares – but perhaps somebody wanted to switch into the new issue.
AL.PR.E Floater +1.1278% This also did well yesterday, but with volume of only 1,600 shares one can’t read too much into it.
TOC.PR.B Floater +2.2291% Closed at $26.60-99 10×9 on volume of 1,223 shares. Retail’s gone wild!
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 450,415 New issue settled today. Now with a pre-tax bid-YTW of 4.57% based on a bid of $24.68 and a limitMaturity.
SLF.PR.D PerpetualDiscount 72,139 Presumably driven by the trading in SLF.PR.E. Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.70 and a limitMaturity.
CM.PR.I PerpetualPremium 67,176 Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.34 and a call 2016-3-1 at $25.00.
GWO.PR.I PerpetualDiscount 58,460 Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.76 and a limitMaturity.
WN.PR.D PerpetualPremium 52,650 RBC crossed 50,000 at $26.15. Now with a pre-tax bid-YTW of 4.58% based on a bid of $26.17 and a call 2014-10-31 at $25.00. There’s a lot more interest rate protection here than with the other high-volume issues today, but the credit’s not as good. Choose your risks!

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

Update, finally!

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 4.04% 4.05% 27,587 17.37 1 -0.1600% 1,037.8
Fixed-Floater 4.81% 3.51% 105,544 8.21 7 +0.0566% 1,041.0
Floater 4.43% -30.91% 58,710 6.55 5 +0.6735% 1,058.5
Op. Retract 4.72% 2.28% 75,304 2.10 18 -0.0176% 1,026.9
Split-Share 5.16% 0.67% 278,230 2.53 13 -0.1583% 1,042.7
Interest Bearing 6.70% 4.73% 71,564 3.89 6 +0.1780% 1,034.7
Perpetual-Premium 5.03% 4.10% 239,367 5.02 51 +0.0398% 1,051.8
Perpetual-Discount 4.55% 4.58% 1,133,846 16.25 10 -0.0965% 1,052.6
Market Action

February 1, 2007

Technical difficulties (like mainly the fact that I have no brains at all and wiped out a few records in files that now have to be rebuilt … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!

Major Price Changes
Issue Index Change Notes
BCE.PR.C FixedFloater +1.1041%  
HSB.PR.C PerpetualPremium +1.1236% Now with a pre-tax bid-YTW of 3.87% based on a bid of $27.00 and a call 2010-7-30 at $26.00
AL.PR.E Floater +1.3717%  
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualPremium 203,400 Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.39 and a call 2016-3-1 at $25.00
RY.PR.E PerpetualDiscount 172,524 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.96 and a limitMaturity
BMO.PR.J PerpetualDiscount 59,550 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.96 and a limitMaturity.
SLF.PR.B PerpetualPremium 29,090 Now with a pre-tax bid-YTW of 4.43% based on a bid of $25.75 and a call 2014-10-30 at $25.00.
GWO.PR.I PerpetualDiscount 28,975 Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.77 and a limitMaturity.

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

Update, finally!

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% 4.03% 27,943 17.39 1 +0.1603% 1,039.5
Fixed-Floater 4.82% 3.58% 108,216 6.36 7 +0.1919% 1,040.4
Floater 4.46% -24.77% 59,009 6.60 5 +0.2230% 1,051.4
Op. Retract 4.72% 2.49% 75,761 2.10 18 -0.0205% 1,027.1
Split-Share 5.15% -0.40% 284,727 2.53 13 +0.0263% 1,044.4
Interest Bearing 6.65% 6.08% 67,549 4.71 7 -0.0275% 1,032.8
Perpetual-Premium 5.04% 4.07% 242,162 4.99 51 +0.0838% 1,051.4
Perpetual-Discount 4.55% 4.58% 973,833 16.24 9 +0.0627% 1,053.6