Category: Market Action

Market Action

January 31, 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
TOC.PR.B Floater -2.1805% Just like yesterday, except this loss was on volume of 300 shares on two trades, both at $26.60. This volatility has been with us since the ridiculous volatility of January 26, but now that it’s closed at $26.02-60, 5×12, things may be back to normal. The closing quote on January 25 was 25.91-84.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 128,955 Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.76 and a limitMaturity
PWF.PR.J OpRet 104,450 Desjardins crossed 59,000 at 26.90, then another 38,000 at the same price. Now with a rather unattractive pre-tax bid-YTW of 2.35% based on a bid of $26.74 and a call 2008-5-30 at $26.00. I discussed this issue recently … I don’t really understand why anybody would pay such fancy prices in size …. but I suppose the buyer is firmly focussed on the 3.51% pre-tax bid-YTW resulting if the issue survives until its softMaturity 2013-7-30 at $25.00
PWF.PR.K PerpetualPremium 102,600 Scotia crossed two tranches of 50,000 shares, both at $26.05. I like this Power Financial issue much better! Pre-tax bid-YTW of 4.40% based on a bid of $25.95 and a call 2014-11-30 at $25.00.
MFC.PR.C PerpetualPremium 74,800 Nesbitt crossed 53,700 at $24.90. Yes, it’s in the PerpetualPremium index now, sure, but it will be in the PerpetualDiscount index after the indices are rebalanced. Now with a pre-tax bid-YTW of 4.56% based on a bid of $24.90 and a limitMaturity.
MFC.PR.B PerpetualPremium 62,570 National Bank crossed 10,000 at 25.32, then another 40,000 at the same price. Now with a pre-tax bid-YTW of 4.54% based on a call 2014-4-18 at $25.00

There were fourteen 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% 4.04% 29,090 17.38 1 0.00% 1,037.8
Fixed-Floater 4.83% 3.67% 81,160 8.38 7 -0.1845% 1,038.4
Floater 4.54% -22.04% 64,084 4.63 4 -0.6029% 1,049.1
Op. Retract 4.70% 2.23% 79,245 2.18 17 -0.0950% 1,027.3
Split-Share 5.06% -0.08% 341,679 2.81 11 +0.0876% 1,044.1
Interest Bearing 6.72% 6.11% 71,367 4.48 6 -0.1703% 1,033.1
Perpetual-Premium 5.02% 4.02% 261,859 5.75 56 +0.0305% 1,050.6
Perpetual-Discount 4.52% 4.53% 1,343,838 16.30 5 -0.0804% 1,052.9
Market Action

January 30, 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
TOC.PR.B Floater -2.3853% The trading range today was 27.00-25 (which is reasonable) on volume of 2,884. Closed at 26.60-25, 2×17. Today continues the gyrations that began January 26.
AL.PR.E Floater -1.2222%  
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 1,688,894 Wow! Scotia crossed 1,370,000 for cash at 26.20, then another 214,000 at the same price and terms. The issue is between dividends right now, so it’s difficult to tell what’s going on here. The close was 25.65-79, 10×1, so $26.20 is a pretty rich price (although if somebody really wanted to put $25-million to work in fixed-floaters in a hurry, then it’s more understandable). I wonder … I think doing it for cash bypasses the market, so it might be possible that it was done this way to avoid icebergs and other unpleasantness on the regular trading book. That probably breaks about 27 different trading regulations with which I have very little familiarity … so I’ll just toss the (insulting?) idea out and hope somebody explains!
BC.PR.B FixedFloater 948,500 Wow! Scotia crossed 947,700 for cash at $25.70. This issue is also well inside its dividend period. The close was 25.21-35, 5×8. Patterns and conspiracy theories, anyone?
SLF.PR.A PerpetualPremium 542,650 Wow! Nesbitt crossed 50,000 at $25.75; Scotia crossed 480,000 at $25.80 (everything regular this time!). Now with a pre-tax bid-YTW of 4.39% based on a bid of $25.70 and a call 2014-4-30 at $25.00. Perhaps this is related to Friday’s new issue settlement?
GWO.PR.H PerpetualPremium 374,444 Scotia crossed 370,100 at $25.70. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.70 and a call 2014-10-30 at $25.00. Same yield as the new Sunlifes, rated Pfd-1(low) by DBRS, same as the new Sunlifes, better interest-rate protection due to the $1.2125 annual dividend … what’s not to like?
MFC.PR.C PerpetualDiscount 308,075 Scotia crossed 300,000 at $25.00. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.94 and a limitMaturity.
PWF.PR.H PerpetualPremium 283,150 Now with a pre-tax bid-YTW of 4.72% based on a call 2011-1-9 at $25.25. An attractive issue, not usually quite so liquid.
BMO.PR.H PerpetualPremium 257,900 Scotia crossed 250,000 at $27.13. Now with a pre-tax bid-YTW of 4.03% based on a bid of $26.98 and a call 2013-3-27 at $25.00.
RY.PR.A PerpetualPremium 172,725 Scotia crossed 150,000 at $24.89. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.72 and a limitMaturity. This will almost certainly be moved into the PerpetualDiscount index at month-end.
SLF.PR.C PerpetualDiscount 125,950 Scotia crossed 112,000 at $24.85. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.78 and a limitMaturity.
BAM.PR.M PerpetualPremium 110,323 Now with a pre-tax bid-YTW of 4.80% based on a bid of $24.96 and a limitMaturity.
WFS.PR.A SplitShare 148,100 OK, so maybe this doesn’t belong in such exalted company due to the $10 par value on the shares … but it does seem a little hard for a seasoned split-share to trade more than $1-million worth and not get mentioned! Now with a pre-tax bid-YTW of 3.71% based on a bid of $10.68 and a hardMaturity.

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

A busy day for Scotia! Just like December 20 … or maybe December 6. It’s days like this that embarrass those who claim the pref market is totally illiquid. Just because the average is low doesn’t mean you can’t find liquidity if you look for it patiently!

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% 4.04% 30,285 17.39 1 -0.1999% 1,037.9
Fixed-Floater 4.82% 3.46% 82,196 8.37 7 +0.0852% 1,040.4
Floater 4.51% -28.23% 64,284 0.13 4 -0.8643% 1,055.5
Op. Retract 4.69% 2.26% 79,685 2.18 17 -0.0304% 1,028.3
Split-Share 5.07% 0.00% 352,103 2.81 11 -0.1662% 1,043.2
Interest Bearing 6.71% 5.98% 71,630 4.47 6 +0.0067% 1,034.9
Perpetual-Premium 5.02% 4.06% 264,226 5.77 56 +0.0543% 1,050.2
Perpetual-Discount 4.51% 4.53% 1,367,720 16.31 5 -0.0557% 1,053.8
Market Action

January 29, 2007

Technical difficulties (like mainly the fact that I have no brains at all and wiped out some files … 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
HSB.PR.D PerpetualPremium +1.4165% National Bank bought 9,600 in the last ten trades of the day from various sellers, taking the price from $26.25 to $26.70 in very short order. Now with a pre-tax bid-YTW of 4.20% based on a bid of $26.49 and a call 2015-1-30 at $25.00
Volume Highlights
Issue Index Volume Notes
POW.PR.C PerpetualPremium 212,700 RBC crossed 100,000 at $26.33 to close the day’s trading. Now with a pre-tax bid-YTW of 4.54% based on a call 2008-1-5 … an attractive issue, although the pseudoModifiedDuration-WorstBid is less than minWorstBid-PseudoModifiedDurationBuy, precluding investment by those of us who like capital gain. With an annual dividend of $1.45, this looks like a good candidate for the early call, but I’d feel much more confident in this statement if CL.PR.B was called!
BC.PR.C FixedFloater 163,969 Desjardins crossed 61,000 for cash.
SLF.PR.A PerpetualPremium 55,250 Nesbitt crossed 50,000 at $25.75. Now with a pre-tax bid-YTW of 4.36% based on a bid of $25.75 and a call 2014-4-30 at $25.00.
BNS.PR.L PerpetualPremium 37,140 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.00 and a limitMaturity.
RY.PR.E PerpetualDiscount 19,775 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.99 and a limitMaturity.

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

Update: Before all confidence in me is lost, I should note that the missing files are really just missing records in files, and require mere computer time to replace. If they were more difficult to replace, they’d have been much more impressively backed up!

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% 28,261 17.40 1 +0.1496% 1,039.9
Fixed-Floater 4.79% 3.63% 78,774 10.79 7 -0.2776% 1,040.4
Floater 4.48% -36.04% 63,643 4.11 4 -0.1991% 1,064.7
Op. Retract 4.69% 2.30% 80,167 2.22 17 -0.1309% 1,028.6
Split-Share 5.06% -0.24% 358,948 2.81 11 -0.0783% 1,044.9
Interest Bearing 6.71% 5.99% 71,628 4.48 6 -0.0520% 1,034.8
Perpetual-Premium 5.02% 4.06% 262,441 5.96 56 -0.0885% 1,049.7
Perpetual-Discount 4.51% 4.52% 1,391,156 16.32 5 -0.0479% 1,054.4
Market Action

January 26, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.00% 4.01% 29,417 17.40 1 +0.1999% 1,038.3
Fixed-Floater 4.77% 3.50% 76,322 8.39 7 -0.7113% 1,042.4
Floater 4.47% -37.25% 61,636 4.10 4 +1.7363% 1,066.8
Op. Retract 4.69% 2.29% 79,444 2.23 17 -0.1133% 1,029.9
Split-Share 5.05% -0.05% 366,656 2.82 11 +0.0170% 1,045.7
Interest Bearing 6.70% 5.96% 71,628 4.49 6 -0.0129% 1,035.4
Perpetual-Premium 5.02% 3.87% 264,083 5.76 56 -0.1128% 1,050.6
Perpetual-Discount 4.51% 4.52% 1,426,872 16.33 5 -0.0480% 1,054.9
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater -1.7464% Closed at $25.88-00, 2×17. Looks like the BCE.PR.Y / BCE.PR.Z mis-match is beginning to unravel … especially as BCE.PR.Y closed at 25.06-40, 3×20. Or, should I say, my recommendation is paying off? The pre-tax bid-YTW on BCE.PR.Z is now 2.04%, based on a bid of $25.88 and a call 2007-12-31 at $25.00, so at least it’s moved to the right side of zero.
BC.PR.C FixedFloater -1.3657% Giving up most of yesterday’s gains.
ELF.PR.F PerpetualPremium -1.039% On volume of 1,200 shares, below average even for this issue. Now with a pre-tax bid-YTW of 4.19% based on a call at … um … $26.00 on 2009-11-16; $25.75 on 2010-11-16; and $25.50 on 2011-11-16 all work out to pretty much the same thing.
TOC.PR.B Floater +6.1366% I hope the market maker for this issue has the pleasure of answering some very detailed questions about this from the TSX. It’s absolutely ridiculous. This happened on frenzied trading of eight transactions (seven of them between 3pm and 3:45pm) involving a crushing 3,554 shares. The price popped from $27.25 to $28.80 when National Bank bought 185 shares (100 from “Anonymous”, the odd lot from RBC) at 3:26pm; then at 3:45 pm TD Securities bought 1,500 shares in two tranches from RBC at $28.09. The issue closed at $27.50-$28.50, 1×1. Super. A nice tight market in size. My grandmother can do better than that.
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 604,572 Desjardins crossed 197,400 at $26.00; closed at 26.00-05, 6×49.
RY.PR.W PerpetualPremium 213,800 Scotia crossed 200,000 at $26.15. Now with a pre-tax bid-YTW of 4.20% based on a bid of $26.02 and a call at $25.00 on 2014-3-26. I thought they were expensive on the 24th and I think they’re expensive now.
RY.PR.A PerpetualPremium 210,998 Scotia crossed 207,600 at $24.90. Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.85 and a limitMaturity.
CM.PR.I PerpetualPremium 57,834 Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.31 and a call 2016-3-1 at $25.00.
PWF.PR.K PerpetualPremium 51,400 Scotia crossed 48,000 at $26.10. Now with a pre-tax bid-YTW of 4.30% based on a bid of $26.10 and a call 2014-11-30 at $25.00.

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

Market Action

January 25, 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% 4.03% 27,427 17.38 1 +0.2405% 1,036.2
Fixed-Floater 4.74% 3.03% 73,250 8.20 7 +0.2887% 1,049.8
Floater 4.54% -23.4% 61,674 4.16 4 +0.1669% 1,048.6
Op. Retract 4.68% 2.20% 80,508 2.00 17 -0.0086% 1,031.1
Split-Share 5.05% 0.06% 377,084 2.83 11 -0.0259% 1,045.5
Interest Bearing 6.70% 5.94% 72,374 4.49 6 +0.0493% 1,035.5
Perpetual-Premium 5.01% 3.79% 266,212 5.54 56 -0.0649% 1,051.8
Perpetual-Discount 4.50% 4.52% 1,453,490 16.34 5 -0.1763% 1,055.4
Major Price Changes
Issue Index Change Notes
BC.PR.C FixedFloater +1.9335%  
Volume Highlights
Issue Index Volume Notes
BNS.PR.L PerpetualPremium 229,110 Recent new issue. Now with a pre-tax bid-YTW of 4.49% based on a bid of $25.05 and a call 2016-5-27 at $25.00.
RY.PR.E PerpetualDiscount 116,736 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.99 and a limitMaturity.
GWO.PR.X OpRet 79,013 RBC crossed 75,000 at $27.65. Now with a pre-tax bid-YTW of 2.42% based on a bid of $27.61 and a call 2009-10-30 at $26.00. I had my rant about this yesterday and even updated my evidence, so I’ll give it a rest for now.
GWO.PR.H PerpetualPremium 59,800 Now with a pre-tax bid-YTW of 4.44% based on a bid of $25.80 and a call 2014-10-30 at $25.00.
BMO.PR.J PerpetualDiscount 58,190 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.99 and a limitMaturity.

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

Market Action

January 24, 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% 4.05% 28,553 17.35 1 -0.2000% 1,033.8
Fixed-Floater 4.75% 3.10% 73,316 8.39 7 -0.0713% 1,045.8
Floater 4.55% -21.75% 60,753 4.17 4 0.2060% 1,046.8
Op. Retract 4.68% 2.22% 79,864 2.00 17 0.0268% 1,031.2
Split-Share 5.05% -0.17% 380,567 2.83 11 +0.0457% 1,045.8
Interest Bearing 6.71% 5.96% 73,335 4.49 6 -0.0522% 1,035.0
Perpetual-Premium 5.01% 3.75% 268,696 5.54 56 +0.0511% 1,052.5
Perpetual-Discount 4.50% 4.52% 1,460,388 16.36 5 +0.0966% 1,057.2
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
BNS.PR.L PerpetualPremium 387,831 New issued settled today. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.07 and a call 2016-5-27 at $25.00.
BMO.PR.J PerpetualDiscount 85,975 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.97 and a limitMaturity.
GWO.PR.X OpRet 67,482 Now with a pre-tax bid-YTW of 2.44% based on a bid of $27.60 and a call 2009-10-30 at $26.00. Buyers are obviously hoping for the softMaturity at $25.00, 2013-9-29, which yields 3.14% pre-tax (still no great shakes compared to normal bonds, bond-equivalent is only 4.40% at the Ontario Equivalency Factor of 1.4x), but why? Great-West has already demonstrated its willingness to pay market prices to retire this issue.
RY.PR.E PerpetualDiscount 66,162 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.00 and a limitMaturity.
RY.PR.W PerpetualPremium 59,085 Global crossed 26,800 for cash at $26.66, then crossed the same number for regular settlement at $26.35. Mr. Calculator says that’s a difference of $0.31, and RBC says it went exDividend 1/23, for $0.30625. I’m glad all that’s cleared up! Now with a pre-tax bid-YTW of 4.12% based on a bid of $26.14 and a call 2014-3-26 at $25.00. I say it’s appallingly expensive, that’s what I say.

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

Market Action

January 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 4.02% 4.04% 26,599 17.36 1 +0.6036% 1,035.8
Fixed-Floater 4.75% 2.98% 74,615 10.15 7 +0.1118% 1,047.6
Floater 4.56% -20.79% 62,140 8.22 4 -0.0292% 1,044.7
Op. Retract 4.68% 2.24% 79,726 2.01 17 -0.0402% 1,030.9
Split-Share 5.05% 0.82% 382,155 2.83 11 +0.0109% 1,045.3
Interest Bearing 6.70% 5.81% 74,426 2.63 6 +0.0693% 1,035.5
Perpetual-Premium 5.02% 3.78% 230,211 5.40 55 +0.0156% 1,051.9
Perpetual-Discount 4.50% 4.53% 1,476,495 16.35 5 +0.0081% 1,056.2
Major Price Changes
Issue Index Change Notes
CM.PR.H PerpetualPremium +1.0160% Now with a pre-tax bid-YTW of 4.26%, based on a bid of $25.85 and a call 2014-4-29 at $25.00.
Volume Highlights
Issue Index Volume Notes
RY.PR.E PerpetualDiscount 122,710 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.97 and a limitMaturity
NA.PR.K PerpetualPremium 106,900 Desjardins crossed 99,900 at $27.50 … who was the buyer? The pre-tax bid-YTW on this issue is now 1.61% based on a bid of $27.35 and a call 2008-06-14 at $26.00. It will have yielded 3.86% if it makes it to the 2012-6-14 call at $25.00 … but is the risk all that necessary? Look at the other issues, just on this high-volume summary! The issue pays $1.4625 p.a., with a declining call premium of $0.25 p.a.
BMO.PR.J PerpetualDiscount 81,640 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.96 and a limitMaturity.
CM.PR.I PerpetualPremium 64,372 Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.35 and a call 2016-3-1 at $25.00.
GWO.PR.H PerpetualPremium 53,040 TD crossed 50,000 at $25.92. Now with a pre-tax bid-YTW of 4.38% based on a bid of $25.90 and call 2014-10-30 at $25.00

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

Market Action

January 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 4.05% 4.07% 24,908 17.30 1 0.0000% 1,029.6
Fixed-Floater 4.75% 3.06% 74,733 6.58 7 0.0957% 1,046.4
Floater 4.56% -20.97% 62,305 4.16 4 +0.1081% 1,045.0
Op. Retract 4.68% 2.24% 78,176 2.04 17 -0.0106% 1,031.3
Split-Share 5.05% 0.26% 387,796 2.84 11 -0.0147% 1,045.2
Interest Bearing 6.71% 5.88% 74,199 2.63 6 -0.0617% 1,034.8
Perpetual-Premium 5.02% 3.71% 230,448 5.35 55 -0.0086% 1,051.8
Perpetual-Discount 4.50% 4.52% 1,480,658 16.35 5 +0.0806% 1,056.1
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes (bid/bid) today.
Volume Highlights
Issue Index Volume Notes
RY.PR.E PerpetualDiscount 185,599 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.94 and a limitMaturity
MFC.PR.C PerpetualPremium 177,475 RBC crossed 50,000 at 24.99; Scotia crossed 11,500 at the same price. Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.01 and optionCertainty 2037-1-22 at $25.00.
BMO.PR.J PerpetualDiscount 101,300 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.95 and a limitMaturity.
FBS.PR.B SplitShare 255,990 Recent new issue. CIBC crossed 217,000 at $10.30. I don’t understand why anybody would buy it at such a price – the pre-tax bid-YTW is 2.16% based on a bid of $10.30 and a call 2008-1-14 at $10.00. Buyers must be looking at the yield of 4.20% based on a hardMaturity 2011-12-15 at $10.00, but I consider the chance of a large proportion of extant shares surviving that long to be fairly slim.
RY.PR.A PerpetualPremium 74,325 Scotia crossed 17,300 at 25.00. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.99 and a limitMaturity.

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

Market Action

January 19, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.06% 4.08% 24,910 17.30 1 -0.0804% 1,029.6
Fixed-Floater 4.76% 3.18% 75,254 10.73 7 -0.2642% 1,045.4
Floater 4.56% -23.76% 63,524 8.23 4 +0.0688% 1,043.8
Op. Retract 4.68% 2.09% 78,173 2.01 17 -0.0479% 1,031.4
Split-Share 5.05% 0.37% 393,412 2.84 11 +0.1033% 1,045.4
Interest Bearing 6.70% 5.50% 74,192 2.63 6 -0.1111% 1,035.4
Perpetual-Premium 5.02% 3.65% 230,544 5.37 55 -0.0461% 1,051.8
Perpetual-Discount 4.50% 4.53% 1,482,997 16.36 5 -0.0077% 1,055.3
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
RY.PR.E PerpetualDiscount 313,249 New issue settled today. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.90 and a limitMaturity
PIC.PR.A SplitShare 77,623 It’s not often a seasoned splitShare makes it to the volume list! Desjardins bought 15,000 from RBC at $16.15, then crossed 60,000 at the same price. Now with a pre-tax bid-YTW of 3.63% based on a bid of $16.10 and a hardMaturity 2010-11-01 at $15.00. That’s an interest-equivalent for high-bracket Ontarians of 5.08% … not bad for a less than three year term!
BMO.PR.J PerpetualDiscount 29,375 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.93 and a limitMaturity.
PWF.PR.K PerpetualPremium 20,500 RBC bought a total of 14,600 from Scotia in four tranches [2,000 at $26.15, the rest at $26.10] and 1,300 in two other trades at $26.05. Now with a pre-tax bid-YTW of 4.32% based on a bid of $26.05 and a call 2014-11-30 at $25.00.
LBS.PR.A SplitShare 48,720 Now with a pre-tax bid-YTW of 3.93%, based on a bid of $10.81 and a hardMaturity 2013-11-29 at $10.00. Interest equivalent for rich people in Ontario of 5.50% … not bad for investment-grade 7-year paper!

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

Market Action

January 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 4.06% 4.08% 25,937 17.30 1 +0.2015% 1,030.4
Fixed-Floater 4.75% 2.98% 75,444 10.72 7 +0.1230% 1,048.2
Floater 4.56% -23.86% 64,020 8.22 4 +0.1556% 1,043.1
Op. Retract 4.67% 2.19% 78,460 2.02 17 +0.0402% 1,031.9
Split-Share 5.06% 1.12% 402,233 2.85 11 -0.0443% 1,044.3
Interest Bearing 6.70% 5.58% 74,501 2.64 6 +0.0033% 1,036.6
Perpetual-Premium 5.02% 3.70% 234,728 5.14 55 +0.0085% 1,052.3
Perpetual-Discount 4.51% 4.53% 1,218,255 16.35 4 +0.0807% 1,055.4
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
BNS.PR.K PerpetualPremium 202,800 TD crossed 100,000 at 26.00, then another 100,000 at the same price 90 minutes later. Now with a pre-tax bid-YTW of 4.20% based on a bid of 25.95 and a call 2014-05-28 at $25.00
BMO.PR.J PerpetualDiscount 131,233 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.94 and a limitMaturity.
GWO.PR.X OpRet 108,160 Nesbitt crossed 85,000 at $27.51; Desjardins crossed 18,500 at 27.56. Now with a pre-tax bid-YTW of 2.48% based on a bid of $27.56 and a call 2009-10-30 at $26.00.
GWO.PR.H PerpetualPremium 58,860 RBC crossed 50,000 at 26.00. Now with a pre-tax bid-YTW of 4.41% based on a bid of $25.82 and a call 2014-10-31 at $25.00.
RY.PR.D PerpetualPremium 34,440 RBC bought a 19,800 from Scotia in three successive trades at 25.01. Now with a pre-tax bid-YTW of 4.54% based on a limitMaturity.

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

Updated 2007-1-24 … Correction of some trading information