Category: Market Action

Market Action

January 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 4.07% 4.09% 24,015 17.27 1 -0.1609% 1,028.4
Fixed-Floater 4.75% 3.11% 76,886 10.73 7 +0.3083% 1,046.9
Floater 4.57% -25.47% 63,673 8.20 4 +0.1674% 1,044.8
Op. Retract 4.68% 2.10% 78,584 2.02 17 +0.0116% 1,031.5
Split-Share 5.05% 0.81% 410,266 2.85 11 -0.1176% 1,044.8
Interest Bearing 6.70% 5.64% 75,192 2.81 6 +0.1281% 1,036.6
Perpetual-Premium 5.02% 3.68% 237,619 5.43 55 -0.0062% 1,052.2
Perpetual-Discount 4.51% 4.53% 1,221,325 16.34 4 -0.0805% 1,054.5
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater +1.0417% What’s up with FixedFloaters and specifically this issue? The index has gained a total of 0.75% in the last three days. This particular issue is callable at $25.00 on 2007-12-1 and becomes exchangeable into a ratchet-rate preferred at that point … and if BCE feels like it, BCE can put such a crummy rate on the reset option that conversion is almost forced. So, who would put a closing bid of $26.19 on this stuff? Even more mysteriously, who would pay $28.00 for it? TD Securities bought 122 shares at $28.00 and CIBC bought 388 shares at the same price today. ???? That makes two poor retail suckers who have just overpaid big time.
Volume Highlights
Issue Index Volume Notes
BMO.PR.J PerpetualDiscount 371,320 Today’s new issue settlement brings lots of lovely commissions to the Street! Now with a pre-tax bid-YTW of 4.52% based on a limitMaturity.
FBS.PR.B SplitShare 265,850 Recent new issue continues to trade frantically. But why? Why why why? Now with a pre-tax bid-YTW of 1.93% based on a bid of $10.32 and a call 2008-1-14 at $10.00. Many are obviously betting that it will last until the hardMaturity 2011-12-15 … that will be a first, if it happens to a large extent.
BNS.PR.K PerpetualPremium 72,431 Scotia crossed 70,100 at $26.00. Now with a pre-tax bid-YTW of 4.18%, based on a bid of 25.97 and a call 2014-5-28 at $25.00.
CM.PR.I PerpetualPremium 54,742 Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.42 and a call 2016-3-1 at $25.00. Getting to be a tad expensive, I’d say.
BNA.PR.C SplitShare 53,075 Recent New Issue. Now with a pre-tax bid-YTW of 4.46% based on a bid of $24.81 and a hardMaturity 2019-1-10 at $25.00

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

Market Action

January 16, 2007

Sorry! No time to do the indices just now! I will update them tom… er, later today.

Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
FBS.PR.A SplitShare 678,160 Recent new issue. Now with a pre-tax bid-YTW of 1.82% based on a bid of $10.33 and a call 2008-1-14 at $10.00, so why bother? There would seem to be a lot of money being bet that it will make it to its hardMaturity 2011-12-15 at $10.00, which yields 4.12%. I’ll take the other side of that bet!
BNA.PR.C SplitShare 69,331 Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.77 and a hardMaturity 2019-01-10 at $25.00. Now, that’s more like it!
PWF.PR.L PerpetualPremium 52,500 Now with a pre-tax bid-YTW of 4.20% based on a bid of $26.65 and a call 2015-11-30 at $25.00.
GWO.PR.G PerpetualPremium 51,495 Now with a pre-tax bid-YTW of 4.09% based on a call 2010-01-30 at $26.00 … or 2011-1-30 at $25.75 … or 2012-1-30 at $25.50! Even if it lasts until the call 2014-1-30 at $25.00, the yield only increases to 4.11%! Pays $1.30, for those who are interested.
SLF.PR.B PerpetualPremium 47,555 Now with a pre-tax bid-YTW of 4.34% based on a call 2014-10-30 at $25.00.

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

Update:

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% 4.09% 23,999 17.28 1 +0.1208% 1,030.0
Fixed-Floater 4.77% 3.35% 77,555 12.53 7 +0.2349% 1,043.7
Floater 4.56% -24.21% 62,783 8.21 4 +0.2170% 1,043.0
Op. Retract 4.68% 2.05% 79,258 2.02 17 +0.0597% 1,031.4
Split-Share 5.05% 0.51% 408,981 2.85 11 +0.0490% 1,046.0
Interest Bearing 6.70% 5.68% 75,169 2.64 6 +0.0930% 1,035.2
Perpetual-Premium 5.02% 3.65% 241,089 5.44 55 -0.0087% 1,052.3
Perpetual-Discount 4.51% 4.53% 767,953 16.33 3 +0.0539% 1,055.4

Market Action

January 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 4.08% 4.10% 24,988 17.26 1 +0.0403% 1,028.8
Fixed-Floater 4.78% 3.40% 79,069 12.51 7 +0.2188% 1,041.2
Floater 4.57% -22.20% 62,349 8.22 4 +0.0591% 1,040.8
Op. Retract 4.68% 2.07% 79,896 2.02 17 -0.0751% 1,030.8
Split-Share 5.05% 0.55% 402,952 2.85 11 -0.0468% 1,045.5
Interest Bearing 6.71% 5.64% 74,560 2.64 6 -0.1106% 1,034.3
Perpetual-Premium 5.02% 3.64% 242,646 5.26 55 +0.0184% 1,052.4
Perpetual-Discount 4.51% 4.54% 773,725 16.33 3 -0.0132% 1,054.8
Major Price Changes
Issue Index Change Notes
BAM.PR.J OpRet -1.5575% Huh. I like this issue – and it has a horrible day! Such is life. Now with a pre-tax bid-YTW of 4.14%, based on a bid of $27.81 and a call 2014-4-30 at $25.00. And 4.14% dividends is worth 5.80% interest, at the Ontario Equivalency Factor of 1.4. Try getting that from a seven-year (OK, maybe eleven if there’s no early call) bond!
LBS.PR.A SplitShare -1.2727% Another issue I like has a lousy day. Huh. It gave up yesterday’s gains. Now with a pre-tax bid-YTW of 3.84% based on a bid of $10.86 and a hardMaturity 2013-11-29 at $10.00.
Volume Highlights
Issue Index Volume Notes
BNA.PR.C SplitShare 203,480 Recent New Issue. CIBC crossed 95,000 at $24.70. Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.72 and a hardMaturity 2019-1-10.
BAM.PR.M PerpetualPremium 29,270 RBC crossed 25,000 at $25.05. Now with a pre-tax bid-YTW of 4.76% based on a bid of $25.07 and a limitMaturity
CM.PR.D PerpetualPremium 27,190 RBC crossed 15,000 at $26.85. Now with a pre-tax bid-YTW of 3.06% based on a bid of $26.81 and a call 2008-05-30 at $26.00. It may make it to its optionCertainty 2034-3-6 at $25.00, to yield 5.27%, but that seems highly unlikely given that it pays $1.4375, $0.30 more p.a. than perpetuals are paying now. But a pre-tax bid-YTW of only 3.06%? The interest-equivalent is comparable with bonds, with more risk (call-risk and interest-rate-risk) on the preferred issue.
CM.PR.H PerpetualPremium 23,690 Now with a pre-tax bid-YTW of 4.42%, based on a bid of $25.58 and a call 2014-4-29 at $25.00.
TD.PR.O PerpetualPremium 19,740 Is all this activity the result of Carrick’s article? Now with a pre-tax bid-YTW of 4.11% based on a bid of $26.22 and a call 2014-11-30 at $25.00

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

Market Action

January 12, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.09% 4.10% 26,019 17.25 1 0.0000% 1,028.4
Fixed-Floater 4.78% 3.46% 80,266 12.49 7 -0.1285% 1,038.9
Floater 4.58% -22.12% 64,197 8.22 4 -0.1081% 1,040.1
Op. Retract 4.68% 2.04% 80,829 2.03 17 -0.0759% 1,031.5
Split-Share 5.05% 0.67% 402,269 2.86 11 +0.2502% 1,046.0
Interest Bearing 6.70% 5.53% 73,992 2.65 6 -0.1272% 1,035.4
Perpetual-Premium 5.02% 3.66% 247,098 5.14 55 -0.0320% 1,052.2
Perpetual-Discount 4.51% 4.53% 784,569 16.34 3 -0.0670% 1,054.9
Major Price Changes
Issue Index Change Notes
POW.PR.B PerpetualPremium +1.0113% Now with a pre-tax bid-YTW of 4.26% based on a bid of $25.97 and a call 2008-12-28 at $25.50
LBS.PR.A SplitShare +1.7576% Now with a pre-tax bid-YTW of 3.61% based on a bid of $11.00 and a hardMaturity 2013-11-29 at $10.00
Volume Highlights
Issue Index Volume Notes
PWF.PR.J OpRet 102,764 Now with a pre-tax bid-YTW of 1.98% based on a bid of $26.84 and a call 2008-5-30 at $26.00. The market appears convinced that it will make it to the softMaturity 2013-7-30 at $25.00 to yield 3.42% and who knows? Maybe it’s right. The issue pays $1.175 and the call premium declines by $0.25 annually.
BNA.PR.C SplitShare 97,100 Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.68 and a hardMaturity 2019-01-10 at $25.00. I confess to some surprise that this isn’t priced much higher.
ACO.PR.A OpRet 50,009 Now with a pre-tax bid-YTW of 2.04% based on a bid of $27.91 and a call 2008-12-31 at $26.00. It may make it to its softMaturity 2011-11-30 at $25.00, to yield 3.32% … it pays $1.4375, but the call premium declines by $0.50 p.a.
SLF.PR.D PerpetualDiscount 29,771 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.67 and a limitMaturity.
CM.PR.H PerpetualPremium 27,560 Now with a pre-tax bid-YTW of 4.36% based on a bid of $25.66 and a call 2014-4-29 at $25.00.

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

Market Action

January 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 4.09% 4.10% 26,170 17.25 1 -0.0403% 1,028.4
Fixed-Floater 4.78% 3.44% 82,080 10.14 7 -0.0436% 1,040.3
Floater 4.57% -22.41% 65,513 8.23 4 -0.0784% 1,041.3
Op. Retract 4.67% 2.02% 82,205 2.04 17 -0.0932% 1,032.3
Split-Share 5.06% 1.07% 403,351 2.86 11 -0.1108% 1,043.4
Interest Bearing 6.69% 5.49% 74,638 2.66 6 +0.1522% 1,036.7
Perpetual-Premium 5.02% 3.77% 252,058 4.91 55 -0.0934% 1,052.5
Perpetual-Discount 4.51% 4.51% 792,398 16.35 3 +0.0673% 1,055.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 313,859 Nesbitt crossed 100,000 at $24.90. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.87 and a limitMaturity
AL.PR.F Floater 172,800 Global crossed 86,000 at $25.77 for cash, then 86,000 at 25.48 for regular settlement. The issue went exDividend today for $0.28125.
BAM.PR.K Floater 100,700 Scotia crossed 100,000 at 24.70.
PWF.PR.J OpRet 80,932 Desjardins crossed 80,000 at 26.86. Now with a pre-tax bid-YTW of 2.23% based on a bid of $26.75 and a call 2008-5-30 at $26.00. Obviously, there are some willing to bet that it will last until its softMaturity 2013-7-30 at $25.0. Pays only 1.175, with a 0.25 annual decline in redemption premium, so they might be right. Maybe.
BNA.PR.C SplitShare 72,300 Recent new issue. Now with a pre-tax bid-YTW of 4.47%, based on a bid of $24.76 and a hardMaturity 2019-1-10 at $25.00. That’s basically even with the recent perpetual issues!

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

Market Action

January 10, 2007

I regret to say that indices will not be updated tonight, although the HIMIPref™ database is fully up-to-date.

What with putting the finishing touches to an article for the February issue of Canadian Moneysaver and … and and AND looking at some very interesting results for yet another measure of yield … I just ran out of time.

And I’m hungry.

Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
BNA.PR.C SplitShare 798,550 New issue settled today
CM.PR.I PerpetualPremium 224,124 TD posted the last trade, a cross of 68,300 at $25.40. Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.30 and a call 2016-3-1 at $25.00. Since the YTW exceeds the issue yield of the Royal, Scotia and BMO new issues, as well as having a certain amount of interest rate protection due to its higher coupon, some may conclude that this old issue is more attractive than the new ones. The volume indicates that, perhaps, many have done just that. I’m not one of them, but then, I’m a capital-gains fan. An equal number of shares were sold, of course, but the price was up today, at the issue gained 0.3172% (bid/bid).
SLF.PR.B PerpetualPremium 224,124 TD crossed 73,500 at 25.90. Now with a pre-tax bid-YTW of 4.33% based on a bid of $25.85 and a call at $25.00 2014-10-30. I say it’s expensive, but disagreement makes a market!
RY.PR.D PerpetualPremium 94,560 Nesbitt bought 21,500 from Scotia in the day’s last trade, at $25.05. It closed at 25.02-05 … basically, within transaction costs of the virtually identical new issue.
TD.PR.M OpRet 61,600 Scotia crossed 50,300 at 27.18 in the day’s last trade. Now with a pre-tax bid-YTW of 2.41% based on a bid of $27.21 and a call 2009-05-30 at $26.00. The premium declines $0.25 p.a. and the issue pays $1.175 … so who knows? It might make it to the softMaturity 2013-10-30 at $25.00, to yield 3.22%. Even the latter figure doesn’t beat bonds by much … bond-equivalent 4.51%, when seven-year bank paper yields about 4.35% … pre-tax! A lot of the stuff out there is high-coupon, no good for taxable clients.

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

Update

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% 27,045 17.24 1 +0.0806% 1,028.8
Fixed-Floater 4.77% 3.40% 82,533 10.12 7 -0.0110% 1,040.7
Floater 4.57% -22.39% 64,560 8.25 4 -0.0490% 1,042.1
Op. Retract 4.67% 1.86% 82,649 2.04 17 +0.0923% 1,033.3
Split-Share 5.05% +0.58% 403,757 2.86 11 -0.1249% 1,044.5
Interest Bearing 6.70% 5.47% 75,125 2.66 6 -0.0192% 1,035.2
Perpetual-Premium 5.01% 3.62% 256,821 5.04 55 -0.0590% 1,053.5
Perpetual-Discount 4.51% 4.53% 780,073 16.35 3 -0.1075% 1,054.9

Market Action

January 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 4.10% 4.11% 28,159 17.23 1 +0.0403% 1,028.0
Fixed-Floater 4.77% 3.54% 83,031 8.35 7 +0.2138% 1,040.8
Floater 4.57% -22.61% 65,413 4.60 4 -0.0488% 1,042.6
Op. Retract 4.67% 1.76% 81,891 2.04 17 -0.0433% 1,032.3
Split-Share 5.11% -0.33% 189,349 2.25 10 +0.0979% 1,045.8
Interest Bearing 6.70% 5.30% 74,556 2.66 6 -0.0742% 1,035.4
Perpetual-Premium 5.01% 3.61% 257,288 4.86 55 -0.0071% 1,054.2
Perpetual-Discount 4.50% 4.52% 790,212 16.36 3 -0.0534% 1,056.1
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet -1.7764% Now with a pre-tax bid-YTW of 1.48% based on a bid of $28.20 and a call 2008-12-31 at $26.00. Even after today’s loss and even assuming there is no early call, the softMaturity at $25.00 on 2011-11-30 is not very attractive, yielding 3.07%
IAG.PR.A PerpetualPremium -1.3018% Now with a pre-tax bid-YTW of 4.61% based on a bid of $25.02 and a limitMaturity
DIV.PR.A SplitShare +1.2128% The current bid of $25.87 seems very aggressive, given that the issue is currently callable at $25.20, resulting in a pre-tax bid-YTW of -22.71% based on the call being effective 2007-2-8. It could yield 4.63% if it lasts until its maturity at $25.00 2009-12-31, but that’s a bit of a gamble. It was due to this performance – sending the issue’s YTW from negative to even more negative – that the splitShare index mean-YTW went negative.
Volume Highlights
Issue Index Volume Notes
BC.PR.B FixedFloater 40,800 TD crossed 39,200 at 25.25.
CM.PR.D PerpetualPremium 32,445 Now with a pre-tax bid-YTW of 2.91% based on a bid of $26.85 and a call at $26.00 on 2008-05-30. There are clearly some among us who think that won’t happen!
PWF.PR.K PerpetualPremium 23,675 RBC crossed 20,000 at $26.30. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.26 and a call 2014-11-30 at 25.00.
CM.PR.G PerpetualPremium 20,815 Now with a pre-tax bid-YTW of 3.93% based on a bid of $26.98 and a call 2010-5-31 at $26.00
CM.PR.H PerpetualPremium 20,800 Now with a pre-tax bid-YTW of 4.69% based on a bid of 25.59 and a call 2014-04-29 at $25.00.

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

Market Action

January 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 4.11% 4.12% 29,321 17.22 1 -0.8397% 1,027.5
Fixed-Floater 4.78% 3.52% 83,608 8.36 7 +0.5784% 1,038.6
Floater 4.56% -22.62% 65,494 4.60 4 +0.2368% 1,043.1
Op. Retract 4.67% 1.90% 81,625 2.04 17 -0.0274% 1,032.8
Split-Share 5.11% 1.02% 191,300 2.26 10 -0.0159% 1,049.5
Interest Bearing 6.70% 5.56% 74,024 2.38 6 -0.0260% 1,036.1
Perpetual-Premium 5.01% 3.47% 261,681 4.76 55 -0.0875% 1,054.2
Perpetual-Discount 4.50% 4.52% 797,867 16.37 3 -0.3876% 1,056.6
Major Price Changes
Issue Index Change Notes
WFS.PR.A SplitShare -1.0082% Now with a pre-tax bid-YTW of 10.80 and a hardMaturity 2011-06-30 at $10.00
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualPremium 120,400 Scotia crossed 86,600 at 25.00 – possibly related to the Scotia and BMO new issues announced today.
CM.PR.I PerpetualPremium 112,816 Now with a pre-tax bid-YTW of 4.61% based on a bid of $25.16 and a call 2016-3-1 at $25.00.
GWO.PR.I PerpetualDiscount 77,600 Now with a pre-tax bid-YTW of 4.60% based on a bid of $24.90 and a limitMaturity.
TD.PR.O PerpetualPremium 70,900 Nesbitt crossed 40,000 at 26.30. Now with a pre-tax bid-YTW of 4.05% based on a bid of $26.30 and a call 2014-11-30 at $25.00.
MFC.PR.B PerpetualPremium 52,650 Nesbitt crossed 45,000 at $25.80. Now with a pre-tax bid-YTW of 4.26% based on a bid of $25.71 and a call 2014-4-18 at $25.00

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

Market Action

January 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 4.07% 4.08% 29,768 17.29 1 +0.0400% 1,036.2
Fixed-Floater 4.79% 3.60% 84,265 8.36 7 -0.0211% 1,037.0
Floater 4.58% -22.40% 65,782 8.23 4 0.1188% 1,040.6
Op. Retract 4.67% 1.65% 81,811 2.05 17 -0.0232% 1,033.1
Split-Share 5.11% 1.24% 192,206 2.27 10 +0.0240% 1,045.0
Interest Bearing 6.70% 5.46% 74,078 2.39 6 +0.1327% 1,036.4
Perpetual-Premium 4.99% 3.21% 261,337 4.67 55 +0.0012% 1,055.2
Perpetual-Discount 4.48% 4.50% 790,937 16.41 3 +0.0001% 1,060.8
Major Price Changes
Issue Index Change Notes
GWO.PR.F PerpetualPremium -1.3904% Now with a pre-tax bid-YTW of 2.14% based on a bid of $27.66 and a call 2008-10-30 at $26.00. Given that it pays $1.475, I wouldn’t bet against the early call, but some would, hoping, I suppose, for a call 2012-10-30 at $25.00 to yield 3.89%.
CL.PR.B PerpetualPremium +1.3809% Another high-paying issue (pays $1.5625 annually) with a pre-tax bid-YTW of -12.20 based on a call 2007-02-04 at $26.00. Given that we’re now a week into the first call period and there’s been no news, I suppose there are some that are hoping that the issue won’t be called … but I’m not one of them!
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 36,820 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity
CM.PR.B PerpetualPremium 27,290 This has been called for redemption.
BAM.PR.M PerpetualPremium 26,925 Now with a pre-tax bid-YTW of 4.66% based on a bid of $25.24 and a call 2016-3-1 at $25.00.
PWF.PR.J OpRet 25,003 Now with a pre-tax bid-YTW of 2.23% based on a bid of $27.03 and a call 2008-5-30 at $26.00. It would appear that many investors are hoping for the softMaturity 2013-7-30 at $25.00, yielding 3.47%. Given that it pays $1.175 p.a. and the call premium declines by $0.25 annually, they might be right – but I won’t bet on it!
SLF.PR.D PerpetualDiscount 20,337 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.85 and a limitMaturity.

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

Market Action

January 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 4.08% 4.08% 30,988 17.28 1 -0.0799% 1,035.8
Fixed-Floater 4.79% 3.63% 85,715 10.69 7 +0.1012% 1,037.2
Floater 4.58% -21.16% 66,971 8.25 4 0.1697% 1,039.4
Op. Retract 4.66% 1.41% 82,149 2.05 17 +0.0670% 1,033.3
Split-Share 5.11% 1.10% 194,528 2.27 10 +0.2282% 1,044.7
Interest Bearing 6.70% 5.35% 73,379 2.39 6 +0.3886% 1,035.0
Perpetual-Premium 4.99% 3.54% 265,397 4.36 55 +0.1153% 1,055.1
Perpetual-Discount 4.48% 4.50% 793,720 16.41 3 -0.0890% 1,060.8
Major Price Changes
Issue Index Change Notes
MST.PR.A InterestBearing +1.3834% Still with an attactive pre-tax bid-YTW of 5.44%, based on a price of 10.26 and a hardMaturity 2009-09-30 at $10.00
IAG.PR.A PerpetualPremium +1.3917% Now with a pre-tax bid-YTW of 4.34% based on a bid of $25.50 and a call 2015-04-30 at $25.00.
Volume Highlights
Issue Index Volume Notes
TD.PR.M OpRet 345,600 Global crossed 171,400 for cash at $28.28, then crossed 171,400 for regular settlement at $27.98 in with the same timestamp. This issue went ex-Dividend
PWF.PR.A Scraps 56,600 RBC crossed 35,000 at 25.50, then Scotia bought 11,000 from Desjardins, then crossed 10,000 all at the same price. I only just moved this from “Floaters” to “Scraps” on volume considerations. This trading is clearly a conspiracy to make me look silly.
RY.PR.A PerpetualPremium 25,600 Now with a pre-tax bid-YTW of 4.46%, based on a bid of 25.15 and a call 2015-6-23 at $25.00. The yield for the limitMaturity is the same, so take your pick.
SLF.PR.D PerpetualDiscount 24,988 Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.82 and a limitMaturity
GWO.PR.I PerpetualDiscount 18,180 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.93 and a limitMaturity

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