Category: Market Action

Market Action

April 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 4.14% 4.10% 45,864 17.11 2 +0.0004% 1,050.0
Fixed-Floater 4.95% 3.96% 85,337 17.16 6 -0.4319% 1,033.9
Floater 4.58% -18.22% 61,752 0.26 4 -0.2152% 1,055.0
Op. Retract 4.73% 3.18% 85,831 2.15 17 -0.1758% 1,032.2
Split-Share 5.00% 3.69% 170,502 3.21 12 +0.0333% 1,050.4
Interest Bearing 6.53% 3.04% 63,163 2.29 5 +0.0481% 1,043.0
Perpetual-Premium 5.04% 3.85% 197,137 5.13 53 +0.0202% 1,059.0
Perpetual-Discount 4.53% 4.54% 825,567 16.34 10 +0.0121% 1,067.0
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixedFloater -1.7289% On high volume (for this issue) of 17,277 shares.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 261,200 National Bank crossed 50,000 at 24.95. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.95 and a limitMaturity.
TD.PR.M OpRet 122,100 Went ex-dividend today and Global crossed 60,800 for cash at 27.51 and 60,800 for regular settlement at 27.21. Now with a pre-tax bid-YTW of 3.04% based on a bid of 26.72 and a call 2009-5-30 at 26.00.
BCE.PR.A FixedFloater 100,400 RBC bought two tranches of 10,000 shares each from National Bank at 25.05; Nesbitt crossed 50,000 at 25.06.
RY.PR.W PerpetualPremium 71,340 RBC crossed 60,000 at 26.30. Now with a pre-tax bid-YTW of 4.21% based on a bid of $26.21 and a call 2014-3-26 at $25.00.
SLF.PR.C PerpetualDiscount 40,600 Nesbitt crossed 30,000 at 24.85. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.76 and a limitMaturity.

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

Market Action

April 3, 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% 4.04% 46,177 17.11 2 -0.1585% 1,050.0
Fixed-Floater 4.92% 3.92% 83,859 17.17 6 +0.1393% 1,038.3
Floater 4.57% -20.01% 60,320 0.13 4 +0.1974% 1,057.2
Op. Retract 4.72% 3.12% 85,510 2.15 17 -0.0459% 1,034.0
Split-Share 5.00% 3.74% 174,820 3.29 12 -0.1428% 1,050.0
Interest Bearing 6.54% 3.03% 64,071 2.30 5 +0.0125% 1,042.5
Perpetual-Premium 5.03% 3.84% 197,908 5.12 53 -0.0705% 1,058.8
Perpetual-Discount 4.53% 4.54% 827,894 16.34 10 -0.0158% 1,066.9
Major Price Changes
Issue Index Change Notes
CU.PR.B PerpetualPremium -1.0989% I suppose the new issue announcement has alerted some to the idea that the various high-coupon, high-premium CU issues may be less perpetual than has been assumed! Now with a pre-tax bid-YTW of 3.03% based on a bid of $27.00 and a call 2008-7-1 at $26.00.
Volume Highlights
Issue Index Volume Notes
NA.PR.K PerpetualPremium 129,000 Now with a pre-tax bid-YTW of 3.22% based on a bid of 26.93 and a call 2008-6-14 at $26.00
GWO.PR.I PerpetualDiscount 83,250 Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.00 and a limitMaturity.
WN.PR.B OpRet 26,144 Now with a pre-tax bid-YTW of 3.13% based on a bid of $26.10 and a softMaturity 2009-6-30 at $25.00
SLF.PR.C PerpetualDiscount 22,338 Now with a pre-tax bid-YTW of 4.50% based on a bid of 24.78 and a limitMaturity.
RY.PR.F PerpetualDiscount 18,860 Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.70 and a limitMaturity.

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

Market Action

April 2, 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% 4.05% 47,109 10.57 2 -0.0794% 1,051.7
Fixed-Floater 4.93% 3.95% 85,569 17.17 6 -0.0586% 1,036.9
Floater 4.58% -18.57% 61,156 0.40 4 -0.0393% 1,055.1
Op. Retract 4.72% 3.08% 85,331 2.15 17 +0.0494% 1,034.5
Split-Share 4.99% 3.61% 179,325 3.21 12 -0.1228% 1,051.5
Interest Bearing 6.54% 3.18% 64,163 2.30 5 -0.3411% 1,042.4
Perpetual-Premium 5.02% 3.64% 200,132 5.13 53 -0.0299% 1,059.5
Perpetual-Discount 4.52% 4.54% 839,017 16.35 10 +0.0204% 1,067.1
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.8627% TD did a little selling late in the day that appears to have taken the bid out. Probably just noise. Now with a pre-tax bid-YTW of 6.08% (INTEREST!) based on a bid of $10.01 and a hardMaturity 2015-3-31.
TD.PR.N OpRet +1.0636% On volume of 100 shares. Now with a pre-tax bid-YTW of 2.38% based on a bid of $27.03 and a call 2009-5-30 at $26.00. If it makes it to its softMaturity 2014-01-30 at $25.00, it will have yielded 3.23%. If.
TD.PR.M OpRet +1.3073% Now with a pre-tax bid-YTW of 2.31% based on a bid of $27.12 and a call 2009-5-30 at $26.00. It will have yielded 3.22% if it makes it to its softMaturity 2013-10-30 at $25.00. Again … I’m not holding my breath.
TD.PR.O PerpetualPremium +1.3351% TD common stock went ex-Dividend today. Did everybody re-invest in prefs? Now with a pre-tax bid-YTW of 3.90% based on a bid of $26.50 and a call 2014-11-30 at $25.00
See “Update”, below, re shaded elements of this table
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 40,400 National Bank bought 37,100 from Nesbitt at $25.90. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.87 and a call 2010-12-30 at $25.00.
BMO.PR.G OpRet 37,523 Now with a pre-tax bid-YTW of 4.12% based on a bid of $25.20 and a call 2007-9-24 at $25.00.
SLF.PR.D PerpetualDiscount 29,238 RBC bought 10,000 from Scotia at $24.87. Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.85 and a limitMaturity.
RY.PR.F PerpetualDiscount 24,243 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.70 and a limitMaturity.
BAM.PR.M PerpetualPremium 21,177 Now with a pre-tax bid-YTW of 4.75% based on a bid of $25.05 and a call 2016-3-1 at $25.00.

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

Update : TD dividends were inaccurately recorded. The ex-date was 4/4 for this dividend, not 4/2; hence, performance is shown here including a dividend that did not, in fact, become receivable.

Market Action

March 30, 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 4.21% 4.03% 67,370 3.82 1 +0.0000% 1,052.5
Fixed-Floater 5.00% 3.90% 96,811 17.23 5 +0.0874% 1,037.5
Floater 4.72% -20.06% 74,500 0.32 3 +0.1313% 1,055.6
Op. Retract 4.72% 3.04% 85,479 2.16 17 -0.0828% 1,034.0
Split-Share 5.01% 3.14% 158,951 3.31 14 +0.0234% 1,052.8
Interest Bearing 6.51% 5.36% 64,757 2.32 5 +0.0934% 1,045.9
Perpetual-Premium 5.02% 3.56% 219,123 5.15 53 -0.0031% 1,059.8
Perpetual-Discount 4.53% 4.54% 762,721 15.37 10 -0.0157% 1,066.8
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.5109% May be extending term soon, which will be really good for the issue’s fundamentals as long as there is nothing horrible in the as-yet-unreleased details. Now with a pre-tax bid-YTW of 3.52% based on a bid of $10.43 and a hardMaturity 2009-12-1 at $10.00.
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 51,950 Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.90 and a call 2010-12-30 at $25.00
BCE.PR.Z FixedFloater 33,021  
RY.PR.F PerpetualDiscount 32,681 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.68 and a limitMaturity.
GWO.PR.I PerpetualDiscount 31,950 RBC crossed 25,000 at $25.00. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.87 and a limitMaturity.
CM.PR.J PerpetualDiscount 23,245 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.81 and a limitMaturity.

Kudos to TD, who crossed 50,000 CCS.PR.A, a Pfd-3 floater with the agonizing combination of fat coupon and current, long-standing, call. The volume-average is 324.5 shares per day. And, if truth be known, if it had sufficient credit quality & volume to index-included, it would be deemed a “PerpetualPremium” … the yield has a floor, which is now in operation [It pays 5.5%, NOT 90% of Canadian Prime.] and I refuse to call things floaters if they don’t actually float.

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

And that’s it for another month, quarter, and sixth full year of operation of MAPF.

Market Action

March 29, 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 4.20% 4.02% 69,626 3.83 1 +0.1992% 1,052.5
Fixed-Floater 5.00% 3.91% 97,951 17.22 5 -0.2827% 1,036.6
Floater 4.72% -19.05% 77,179 0.51 3 -0.0524% 1,054.2
Op. Retract 4.71% 2.99% 85,619 2.16 17 -0.0569% 1,034.8
Split-Share 5.01% 3.13% 162,104 3.32 14 -0.1366% 1,052.6
Interest Bearing 6.52% 5.03% 64,879 2.32 5 +0.0890% 1,044.9
Perpetual-Premium 5.02% 3.55% 221,447 5.21 53 -0.0492% 1,059.8
Perpetual-Discount 4.53% 4.54% 774,284 15.38 10 +0.1090% 1,067.0
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.0000% On slightly below-average volume, but with a good-sized (for this issue!) bid at the close. Now with a pre-tax bid-YTW of 5.92% (as INTEREST) based on a bid of $10.00 and a hardMaturity 2015-3-31 at $10.00.
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 58,550  
MFC.PR.A OpRet 56,210 Now with a pre-tax bid-YTW of 3.31% based on a bid of $26.54 and a softMaturity 2015-12-18 at $25.00. Early calls don’t make a lot of difference to the yield on this thing (i.e., it’s expected to lose $1.54 over about 7.75 years ANYWAY, so a call premium that declines at $0.25 p.a. is not a huge change) but do make it hard to set duration … and place bets on interest-rate moves. 

Um … I didn’t mean “place bets”. I meant “act prudently in accordance with forecasts”.
BAM.PR.H OpRet 55,913 Desjardins crossed 50,000 at $27.03. Now with a pre-tax bid-YTW of 2.66% based on a bid of $26.91 and a call 2008-10-30 at $25.75. If it doesn’t make it to its softMaturity 2012-3-30 to yield 4.07%, there will be a very disappointed buyer!
SLF.PR.D PerpetualDiscount 29,338 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.81 and a limitMaturity.
BAM.PR.M PerpetualPremium 24,865 Now with a pre-tax bid-YTW of 4.75% based on a bid of $25.05 and either a call 2016-3-1 at $25.00, or a limitMaturity. Take your pick.

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

Market Action

March 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 4.20% 4.06% 72,492 3.83 1 +0.1740% 1,050.4
Fixed-Floater 4.98% 3.90% 97,086 14.51 5 +0.0635% 1,039.5
Floater 4.72% -19.29% 76,130 0.32 3 -0.0262% 1,054.7
Op. Retract 4.71% 2.95% 85,049 2.16 17 +0.0158% 1,035.4
Split-Share 5.00% 3.01% 165,343 3.32 14 -0.1296% 1,054.0
Interest Bearing 6.53% 4.75% 64,821 2.31 5 +0.2126% 1,044.0
Perpetual-Premium 5.01% 3.63% 223,986 5.37 53 +0.0625% 1,060.4
Perpetual-Discount 4.54% 4.55% 797,066 15.38 10 -0.1122% 1,065.8
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.4481% On ZERO volume! Hard to calculate the YTW on this issue … should one use the extant maturity of 2009-12-1 for a pre-tax bid-YTW of 2.90% … or should one assume that the the upcoming meeting will extend maturity to 2014-12-1 with no other changes, which will increase YTW to 4.41%? It makes quite a difference! As does, incidentally, not making the proper allowance for monthly dividends using Kieth Betty’s on-line calculator, so watch it!
POW.PR.D PerpetualPremium +1.0840% On volume of 10,235, about average for this issue. Now with a pre-tax bid-YTW of 4.30% based on a bid of 26.11 and a call 2014-11-30 at 25.00
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 497,745 Nesbitt crossed 400,000 at 25.50, then RBC crossed 90,800 at 25.40.
BCE.PR.A FixedFloater 305,345 Nesbitt crossed 300,000 at 25.30.
MFC.PR.A OpRet 143,245 Desjardins crossed 30,000 at 26.55, Scotia crossed 25,000 at 26.55. Now with a pre-tax bid-YTW of 3.31% based on a bid of 26.54 and a softMaturity 2015-12-18. The price is such that early calls don’t (much) affect yields (relatively speaking!). Bond-equivalent of 4.63% at the Ontario Fat-Cat Factor of 1.4x. Better than bonds … but at least you know when a bond will mature!
SLF.PR.D PerpetualDiscount 91,355 Now with a pre-tax bid-YTW of 4.49% based on a bid of 24.81 and a limitMaturity.
TD.PR.M OpRet 51,420 Desjardins crossed 49,100 at 27.26. Now with a pre-tax bid-YTW of 2.58% based on a bid of 27.25 and a call 2009-5-30 at 26.00 … will be 3.31% if it makes it to the softMaturity 2013-10-30. Somebody’s willing to take that bet. I’ll pass.

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

Market Action

March 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 4.18% 4.08% 75,403 3.82 1 -0.1984% 1,048.6
Fixed-Floater 4.98% 3.90% 95.692 11.14 5 +0.0246% 1,038.9
Floater 4.72% -19.45% 77,169 0.14 3 +0.1322% 1,055.0
Op. Retract 4.71% 2.95% 83,144 2.16 17 +0.0775% 1,035.3
Split-Share 4.98% 2.97% 166,457 3.31 14 +0.2290% 1,055.4
Interest Bearing 6.50% 5.03% 64,622 2.30 5 -0.2258% 1,041.8
Perpetual-Premium 5.01% 3.72% 226,066 5.06 53 +0.0964% 1,059.7
Perpetual-Discount 4.53% 4.54% 809,167 15.39 10 -0.0432% 1,067.0
Major Price Changes
Issue Index Change Notes
There were no major price changes in index-included issues today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.H PerpetualPremium 262,753 TD crossed 100,000 at 26.00, then 50,000 at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $25.90 and a call 2014-10-30 at $25.00.
MFC.PR.A OpRet 155,870 Scotia crossed 60,000 at 26.55, National Bank crossed 32,500 at 26.50 and Desjardins crossed 50,000 at 26.55. Now with a pre-tax bid-YTW of 3.33% based on a bid of 26.49 and a softMaturity 2015-12-18 at 25.00. Well … the interest-equivalent (at Ontario’s factor of 1.4x) is at least a small spread over bonds!
PWF.PR.K PerpetualPremium 106,800 Desjardins crossed 100,000 at $26.35. Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.32 and a call 2014-11-30 at $25.00
BMO.PR.G OpRet 78,218 Now with a pre-tax bid-YTW of 3.73% based on a bid of 25.23 and a call 2007-9-24 at $25.00. I’ll bet not just a nickel, but a whole dime that it gets called ASAP and that BMO won’t wait for the softMaturity 2008-5-24. The interest-equivalent to the September call is 5.22% – money-market almost-equivalents could get a lot worse … provided, of course, that you can buy at the bid and not pay commission. At the ask of 25.28, the YTW is 3.32% … still not bad, but it takes a lot of the fun out of it.
BNS.PR.K PerpetualPremium 56,575 RBC crossed 50,000 at 26.25. Now with a pre-tax bid-YTW of 4.14% based on a bid of $26.25 and a call 2014-5-28 at $25.00.

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

Market Action

March 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 4.14% 4.01% 76,329 3.82 1 +0.1590% 1,050.7
Fixed-Floater 4.98% 3.92% 96,841 13.92 5 -0.1026% 1,038.6
Floater 4.72% -19.27% 76,950 5.58 3 +0.1188% 1,053.6
Op. Retract 4.71% 2.99% 81,686 2.13 17 -0.0575% 1,034.5
Split-Share 4.99% 3.24% 167,810 3.31 14 -0.1482% 1,053.0
Interest Bearing 6.48% 4.86% 64,960 2.31 5 +0.2968% 1,044.2
Perpetual-Premium 5.02% 3.83% 226,236 5.24 53 -0.0203% 1,058.7
Perpetual-Discount 4.53% 4.53% 827,401 14.43 10 +0.0924% 1,067.5
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.0945% A burst of afternoon buying from TD Securities and Scotia took the price up as high as 10.25, to close at 10.16-31. Pre-tax bid-YTW now 5.82% based on a hardMaturity 2015-3-31 at $10.00.
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 513.626 Global seems to have made a specialty out of dividend capture strategies – they crossed 254,700 for cash at 26.33, and the same number for regular at 25.99. The issue went ex-Dividend today for $0.33125 and now has a pre-tax bid-YTW of 3.68% based on a bid of $25.89 and a call 2007-11-30 at $25.75.
BNS.PR.L PerpetualPremium 139,700 Virtually the same terms as the new issue, so it’s interesting to see this one closing at 25.14-17 on good volume. Note, however, that this issue has an initial dividend of $0.28125 and goes ex-dividend prior to settlement of the new issue. I wonder if they do this type of thing on purpose, as a snare for the unwary, who might think it marvellous that such a close comparable is trading at a premium? Now with a pre-tax bid-YTW of 4.53% based on a limitMaturity.
TD.PR.M OpRet 78,650 Desjardins crossed 55,000 at $27.25, then 20,000 at the same price. Now with a pre-tax bid-YTW of 2.82% based on a bid of $27.11 and a call 2009-5-30 at $26.00. The chances of it surviving to its softMaturity 2013-10-30, to have yielded 3.40% are just what, exactly?
RY.PR.B PerpetualPremium 77,200 RBC crossed 70,000 at 25.65. Now with a pre-tax bid-YTW of 4.42% based on a bid of 25.65 and a call 2015-9-23 at $25.00.
CM.PR.I PerpetualPremium 61,320 National Bank crossed 20,000 at 25.35. Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.40 and a call 2016-3-1 at 4.45%.

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

Market Action

March 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 4.15% 4.03% 77,474 3.83 1 0.0000% 1,049.0
Fixed-Floater 4.98% 3.85% 98,668 7.91 5 +0.0243% 1,039.7
Floater 4.73% -18.34% 76,144 0.51 3 -0.1702% 1,052.4
Op. Retract 4.70% 2.87% 79,747 2.15 17 -0.0829% 1,035.1
Split-Share 4.98% 2.74% 169,788 3.32 14 +0.0984% 1,054.5
Interest Bearing 6.50% 4.76% 64,621 2.31 5 -0.0977% 1,041.1
Perpetual-Premium 5.01% 3.84% 226,067 5.05 53 +0.0194% 1,058.9
Perpetual-Discount 4.53% 4.54% 843,055 14.41 10 +0.0204% 1,066.5
Major Price Changes
Issue Index Change Notes
BMO.PR.G OpRet -1.0265% Nesbitt crossed 42,700 at 25.20 and it closed at 25.07-20. Is this finally capitulation (by one player, anyway!) or is it just a noisy flash in the pan? Now with a pre-tax bid-YTW of 4.86% based on a softMaturity 2008-5-24 at $25.00. Note that yesterday, the bid-YTW was 2.83% based on the bid of $25.33.
Volume Highlights
Issue Index Volume Notes
PWF.PR.I PerpetualPremium 214,600 Desjardins had a buyer for this issue today and were on the buy-side for the last ten trades, which totalled 208,400 shares including a cross of 200,000 at 27.03. Looks like their buyer was motivated, because their trading took the price up from 26.74 to the cross level. Closed at 26.71-98; pre-tax bid-YTW is 4.13% based on a call 2008-5-30 at $26.00; pre-tax ask-YTW is 3.24%.
CM.PR.R OpRet 203,800 Desjardins crossed 200,000 at 26.85. Now with a pre-tax bid-YTW of 2.38% based on a bid of $26.67 and a call 2008-5-30 at $25.75. The buyer appears to be desperately hoping for the softMaturity 2013-4-29 at $25.00, which will have given a yield of 3.96%, and who am I to say he shouldn’t? James Hymas, that’s who.
GWO.PR.X OpRet 65,418 Desjardins crossed 58,000 at 27.65, in a blatant attempt to capture the coveted “Biggest trades is low-yielding securities” trophy for March. Now with a pre-tax bid-YTW of 2.14% based on a bid of $27.60 and a call 2009-10-30 at $26.00. This is an interesting issue, with the issuer bid and Putnam financing to be considered.
CM.PR.D PerpetualPremium 63,200 TD crossed 60,000 at $26.99. Now with a pre-tax bid-YTW of 3.19% based on a bid of $26.93 and a call 2008-5-30 at $26.00 … which basically means it’s yielding not much more than a corporate bond. Maybe CIBC won’t call it! Maybe pigs will fly! You can never tell.
BMO.PR.G OpRet 47,708 Discussed as a Big Mover.

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

Market Action

March 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 4.14% 4.01% 80,670 3.84 1 -0.1983% 1,049.0
Fixed-Floater 4.98% 3.85% 100,115 7.84 5 -0.3063% 1,039.4
Floater 4.72% -18.75% 75,630 0.32 3 +0.0000% 1,054.2
Op. Retract 4.70% 2.78% 79,019 2.14 17 +0.0907% 1,035.9
Split-Share 4.99% 2.83% 173,289 3.32 14 +0.1537% 1,053.5
Interest Bearing 6.50% 4.91% 65,174 2.31 5 +0.1303% 1,042.1
Perpetual-Premium 5.01% 3.81% 230,216 5.22 53 -0.0304% 1,058.7
Perpetual-Discount 4.53% 4.54% 865,516 14.41 10 -0.0954% 1,066.3
Major Price Changes
Issue Index Change Notes
There were no index-included issues with notable performances today.
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 358,978 TD crossed 100,000 at 25.05, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.00 and a limitMaturity.
FAL.PR.H Scraps ( would be PerpetualPremium, but there are credit concerns) 106,300 Scotia crossed 53,800 at $25.91; Desjardins crossed 50,000 at $25.95. Now with a pre-tax bid-YTW of 3.17% based on a bid of $25.86 and a call 2008-4-30. I can only assume that the market is assuming the call is a lead-pipe cinch and is trading the issue as a retractible – a hard conclusion to argue against, since it pays at a rate of 6.5% of par. But still…
MFC.PR.A OpRet 86,380 Desjardins crossed 50,000 at 26.50. Now with a pre-tax bid-YTW of 3.37% based on a bid of $26.40 and a softMaturity 2015-12-18 at $25.00
CM.PR.R OpRet 83,020 Scotia crossed 14,000 at $26.75, then another 65,000 at $26.83. Now with a pre-tax bid-YTW of 2.67% based on a bid of $26.58 and a call 2008-5-30 at $25.75. This YTW is only the bond-equivalent of 3.74% at the Ontario Equivalency Factor of 1.4, so the market seems to be hoping it lasts until the softMaturity 2013-4-29 at $25.00, which results in a pre-tax bid-Yield of 4.03%. I have my doubts!
GWO.PR.X OpRet 54,558 Now with a pre-tax bid-YTW of 2.07% based on a bid of $27.65 and a call 2009-10-30 at 26.00. Again, the market is hoping for the softMaturity, this one 2013-9-29 to yield 3.00% … but that’s still only bond-equivalent of 4.2%, which is less than corporate bonds of that tenor, so why? Note that this still has the Issuer Bid and Putnam financing to be considered.
RY.PR.F PerpetualDiscount 49,230 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.72 and a limitMaturity.

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