Category: Market Action

Market Action

January 3, 2007

Major Price Changes
Issue Index Change Notes
MST.PR.A InterestBearing -1.3645% Now with a pre-tax bid-YTW of 5.99% based on a bid of $10.12 and a hardMaturity 2009-09-30 at $10.00.
CM.PR.E PerpetualPremium -1.2668% Now with a pre-tax bid-YTW of 4.15% based on a bid of $26.50 and a call 2008-11-30 at $26.00.
FFN.PR.A SplitShare -1.2322% Now with a pre-tax bid-YTW of 3.72% based on a bid of $10.42 and a hardMaturity 2009-12-01 at $10.00
BMO.PR.I OpRet -1.1937% Still has a negative pre-tax bid-YTW! It now stands at -8.95% (annualized – the gross return is -0.73%) based on a bid of $25.66 and an immediate call at $26.00.
Volume Highlights
Issue Index Volume Notes
BAM.PR.K Floater 41,600 Scotia crossed 32,000 at 24.75 and was the seller for each of today’s six trades.
MFC.PR.A OpRet 38,410 Now with a pre-tax bid-YTW of 2.99% based on a bid of $27.10 and a call 2011-7-19 at $26.00. Will have yielded 3.06% if it lasts until its softMaturity 2015-12-18, so it hardly seems worthwhile. Even the latter figure, at an equivalency factor of 1.40, is equivalent to only 4.28% interest – you can do better with bonds.
TD.PR.O PerpetualPremium 37,600 Nesbitt processed an internal cross of 30,600 at $26.30. Now with a pre-tax bid-YTW of 4.16% based on a bid of $26.40 and a call 2014-11-30 at $25.00. Now that’s more like it!
BAM.PR.M PerpetualPremium 24,000 RBC crossed 10,700 at 25.10. Now with a pre-tax bid-YTW of 4.75% based on a bid of $25.06 and a call 2016-3-1 at $25.00.
CM.PR.I PerpetualPremium 18,542 Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.32 and a call 2016-3-1 at $25.00

There were nine other index-included issues with over 10,000 shares traded today.

I know, I know … the indices still haven’t been updated. I’ll get to it, all right? Slavedrivers…

Update 2007-01-04 :

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% 32,259 17.28 1 +0.0400% 1,036.7
Fixed-Floater 4.79% 3.72% 87,027 10.70 7 -0.3509% 1,036.2
Floater 4.59% -18.67% 67,520 8.28 4 0.0000% 1,037.6
Op. Retract 4.66% 1.42% 82,398 2.05 17 +0.0077% 1,032.6
Split-Share 5.12% 1.32% 199,563 2.27 10 +0.0757% 1,042.3
Interest Bearing 6.73% 5.77% 72,434 2.39 6 -0.1845% 1,031.0
Perpetual-Premium 5.00% 3.76% 271,477 4.61 55 -0.0667% 1,053.9
Perpetual-Discount 4.46% 4.50% 800,671 16.42 3 +0.2019% 1,060.7

Market Action

January 2, 2007

Not a good start to the new year!

There was a strange data problem with the TSX feed today … a missing line-break caused problems! The HIMIPref™ database has been updated, but there’s no time to do the daily report.

The redemptions of TA.PR.C and BAM.PR.S have been processed and reorgDataEntries processed. Now, there’s just time before I knock off to have a quick look at the interface to that !*%*#$ feed and see if I can set things up to capture a similar error in a more timely fashion next time …

Update : Mea culpa. It wasn’t the TSX’s fault – it was mine, revising the raw feed to remove the TA.PR.C redemption and not doing it right. Still … the programming has been revised so that the same problem will be caught much more efficiently and similar problems will be reported much better (to me, I mean). Just another day in the software-bulletproofing department.

Update 2007-01-04 :

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% 4.09% 31,372 17.27 1 +0.0000% 1,036.2
Fixed-Floater 4.78% 3.63% 88,427 8.39 7 +0.0843% 1,039.8
Floater 4.59% -18.56% 66,915 8.28 4 0.0899% 1,037.6
Op. Retract 4.66% 1.01% 82,278 2.05 17 -0.1087% 1,032.5
Split-Share 5.13% 1.47% 206,173 2.27 10 -0.1565% 1,041.5
Interest Bearing 6.72% 5.79% 72,617 2.40 6 +0.1486% 1,032.9
Perpetual-Premium 4.99% 3.56% 276,408 4.60 55 +0.0933% 1,054.6
Perpetual-Discount 4.49% 4.51% 812,110 16.40 3 +0.0811% 1,058.6

Another Update, 2007-01-04 :

Major Price Changes
Issue Index Change Notes
ELF.PR.G PerpetualPremium -1.1328%  
LBS.PR.A SplitShares -1.0092%  
W.PR.H PerpetualPremium +1.0558%  
Volume Highlights
Issue Index Volume Notes
NA.PR.L PerpetualPremium 36,000  
NA.PR.K PerpetualPremium 30,937  
CM.PR.I PerpetualPremium 18,940  

There were no other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

December 29, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.10% 4.10% 31,372 17.27 1 +0.0000% 1,036.2
Fixed-Floater 4.78% 3.65% 90,998 8.40 7 +0.1127% 1,038.9
Floater 4.50% -19.07% 59,079 6.61 5 -0.1571% 1,036.7
Op. Retract 4.64% 0.09% 82,567 1.97 17 +0.1159% 1,033.7
Split-Share 5.08% 2.14% 234,234 2.51 9 +0.0496% 1,043.2
Interest Bearing 6.96% 6.12% 79,631 3.38 7 -0.2055% 1,031.4
Perpetual-Premium 5.02% 3.61% 258,326 4.39 52 -0.0373% 1,053.6
Perpetual-Discount 4.54% 4.54% 790,495 13.31 6 -0.1794% 1,057.8
Major Price Changes
Issue Index Change Notes
TD.PR.N OpRet -1.0881% On volume of 26 – count ’em, twenty-six – shares, to close at 27.27-13, 17×11. Now with a pre-tax bid-YTW of 2.65% based on a call 2009-5-30 at $26.00.
ACO.PR.A OpRet +1.0172% I don’t get it. This now has a pre-tax bid-YTW of 0.35% based on a bid of 28.8 and a call 2008-12-31 at $26.00. Even if it makes it to the softMaturity 2011-11-30, it will only have yielded 2.56% (PRE-tax) from these nose-bleed levels … and this latter, generous figure is only 3.58% interest-equivalent with an Ontario Equivalency Factor of 1.40. Three point Five Eight Percent? I can do better than that in Canadas. Retail.
LBS.PR.A SplitShare +1.0195% Still with a pre-tax bid-YTW of 3.75%, based on a bid of 10.90 and a hardMaturity 2013-11-29 at $10.00. An interest-equivalent rate of 5.25% is something I find MUCH more interesting for seven-year money.
BMO.PR.I OpRet +1.1650% Against all odds, this issue has gained in price since I mentioned it in November, to close at 26.05-07 1×50, on frenzied volume of 100 shares. That makes the pre-tax bid-YTW -26.38% (yes, NEGATIVE 26.38%), based on a call 2007-1-28 at 25.25. I can only imagine that people figure that since the issue has survived redemption possibilities since 2005-11-25, it will make it until the softMaturity 2008-11-24 at $25.00 … and they may be right! The issue pays $1.1875 so, by waiting until 2007-11-25 anyway, the bank can save another $0.25 call premium for a net cost of $0.9375 … which is about where BMO could issue new retractible prefs right now, assuming they wanted to. But so what? What’s the point of this analysis and risk-taking? If the things survive a year beyond that, to the softMaturity 2008-11-24, they will have yielded 2.72%, so it’s the same story as ACO.PR.A mentioned above: interest equivalent (factor 1.4) of 3.81% for two-year money? My cat can do better than that with Canadas.
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 46,040 RBC bought 10,000 shares of this recent new issue from Scotia at 10.39. But why wouldn’t the purchaser just set fire to his money instead, and save the aggravation of waiting? The pre-tax bid-YTW is 1.35% based on a call 2008-1-14 at $10.00. They must be hoping for survival until the hardMaturity 2011-12-15, which results in a yield of 3.99%. Some might make it. There will always be some capital unit holders who hang on to their stock and don’t force redemption. But it’s not a bet I would make.
SLF.PR.C PerpetualDiscount 18,500 RBC crossed 10,600 at 24.78, so we know at least one trader showed up for work today. Now with a pre-tax bid-YTW of 4.50% based on a closing bid of $24.79 and a limitMaturity.
CM.PR.I PerpetualPremium 17,075 Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.38 and a call 2016-3-1 at 25.00.
RY.PR.A PerpetualPremium 16,900 Now with a pre-tax bid-YTW of 4.48% based on a bid of 25.10 and a call 2015-6-23 at 25.00

That’s it! There were no other index-included issues with over 10,000 shares traded today. Happy New Year!

Data Changes

December 28, 2006

Data has been input to the HIMIPref™ database but commentary will not be ready until tomorrow. My apologies.

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 4.10% 4.10% 32,656 17.26 1 +0.0000% 1,036.2
Fixed-Floater 4.78% 3.71% 94,105 6.54 7 +0.0567% 1,037.8
Floater 4.49% -19.48% 60,693 6.63 5 -0.0156% 1,038.3
Op. Retract 4.65% 0.74% 84,850 2.17 17 +0.1165% 1,032.5
Split-Share 5.08% 2.06% 238,695 2.50 9 -0.1115% 1,042.7
Interest Bearing 6.94% 5.62% 80,252 1.60 7 +0.9179% 1,033.5
Perpetual-Premium 5.02% 3.56% 266,101 4.41 52 -0.0054% 1,054.0
Perpetual-Discount 4.53% 4.52% 810,985 11.74 6 -0.0986% 1,059.6
Major Price Changes
Issue Index Change Notes
DFN.PR.A SplitShare -1.3084%  
ELF.PR.G PerpetualPremium -1.0054%  
BSD.PR.A InterestBearing +1.0101%  
CM.PR.P PerpetualPremium +1.0101%  
MST.PR.A InterestBearing +1.4808%  
STW.PR.A InterestBearing +3.4619%  
Volume Highlights
Issue Index Volume Notes
TD.PR.N OpRet 115,700  
MIC.PR.A Scraps 90,000  
TD.PR.M OpRet 50,000  
GWO.PR.I PerpetualDiscount 15,665  
SLF.PR.D PerpetualDiscount 14,402  

There were two other index-included issues with over 10,000 shares traded today.

 Update: There was an error in the calculation of returns for ELF.PR.G – it went ex-dividend on 12/28 and the dividend was improperly recorded in HIMIPref™. This error has now been corrected.

Market Action

December 27, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
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% 4.11% 33,993 17.25 1 +0.3449% 1,036.2
Fixed-Floater 4.79% 3.78% 96,608 6.56 7 +0.1201% 1,037.2
Floater 4.49% -19.67% 62,459 6.63 5 -0.1167% 1,038.5
Op. Retract 4.65% 1.41% 85,715 2.17 17 -0.1333% 1,031.3
Split-Share 5.07% 2.06% 242,391 2.51 9 0.0689% 1,043.8
Interest Bearing 6.99% 6.22% 81,563 1.83 7 -0.2637% 1,024.1
Perpetual-Premium 5.02% 3.71% 273,892 4.23 52 -0.0809% 1,054.1
Perpetual-Discount 4.53% 4.51% 828,112 11.73 6 +0.0202% 1,060.7
Major Price Changes
Issue Index Change Notes
CM.PR.R OpRet -1.6760% Now with a pre-tax bid-YTW of 2.70% based on a bid of 26.40 and a call at 25.75 on 2008-5-30. Yields 3.97% if it lasts until the softMaturity at par 2013-4-29, but given that it pays $1.238 (probably more than CIBC would have to pay on a new perpetual) I doubt it – especially since the call premium declines by only $0.15 annually.
WN.PR.C PerpetualPremium -1.4460% Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.90 and a call at 25.00 on 2014-7-31.
CM.PR.P PerpetualPremium -1.3653% Now with a pre-tax bid-YTW of 4.11% based on a bid of 26.73 and a call 2012-11-28 at 25.00.
STW.PR.A InterestBearing -1.1730% Now with a pre-tax bid-YTW of 6.08% (mainly as interest!) based on a bid 10.11 and a hardMaturity 2009-12-31 at $10.00. This interest-bearing split-share is an attractive issue for RRSP-buyers: a call premium (currently callable at 10.60; declines by $0.20 at the beginning of every calendar year) ensures that if you do get called due to capital unit retractions, at least you get paid for your trouble.
TCA.PR.X PerpetualPremium -1.0939% Feeling the effects of the credit review? Now has a pre-tax bid-YTW of 4.34% based on a bid of 53.55 and a call 2013-11-14 at 50.00. Now trading with an enormous spread: the quote is 53.55-54.61.
W.PR.J PerpetualPremium +1.0148% Now with a pre-tax bid-YTW of 0.58% based on a bid of 25.53 and a call 2007-1-26 at 25.50. Obviously, there are some who believe it will last longer, despite its rich $1.40 p.a. dividend.
BC.PR.C FixedFloater +1.3617% ex-Dividend today, but it doesn’t look as if anybody noticed!
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 77,368 Recent new issue, now with a pre-tax bid-YTW of 1.63% based on a bid of 10.34 and a call 2008-1-14 at $10.00. I’m avoiding it!
PWF.PR.K PerpetualPremium 31,190 Scotia crossed 30,000 at 26.55. Now with a pre-tax bid-YTW of 4.19% based on a bid of 26.50 and a call 2014-11-30 at 25.00
CM.PR.H PerpetualPremium 16,695 Now with a pre-tax bid-YTW of 4.34% based on a bid of $25.65 and a call 2014-4-29 at 25.00
PWF.PR.F PerpetualPremium 14,300 Now with a pre-tax bid-YTW of 4.40% based on a bid of 26.00 and a call 2010-12-30 at 25.00. I call it somewhat expensive, for all that it will earn a dividend early in the new year.
GWO.PR.I PerpetualDiscount 13,430 Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.95 and a limitMaturity

There were two other index-included issues with over 10,000 shares traded today.

Market Action

December 22, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.12% 4.14% 35,385 17.16 1 +0.4014% 1,032.7
Fixed-Floater 4.78% 3.67% 96,817 8.36 7 -0.0103% 1,035.0
Floater 4.49% -19.21% 63,418 0.23 5 +0.0255% 1,039.7
Op. Retract 4.65% 0.71% 85,770 1.99 17 +0.0007% 1,032.6
Split-Share 5.06% 2.26% 246,599 2.52 9 -0.1957% 1,043.1
Interest Bearing 6.96% 5.83% 82,895 1.84 7 -0.1042% 1,026.8
Perpetual-Premium 5.01% 3.53% 280,147 4.21 52 -0.0056% 1,054.9
Perpetual-Discount 4.53% 4.50% 854,997 11.75 6 -0.0066% 1,060.5
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -2.4704% Giving up yesterday’s gains and more! Closed at 9.87-17, with a single trade of 2,900 shares at $10.10 – Christmas break! Now with a pre-tax bid-YTW of 6.27% (mostly interest!) based on the 9.87 bid and a hardMaturity 2015-3-31 at 10.00
LBS.PR.A SplitShare -1.3587% This one merely gave up a lot of yesterday’s gains. Now with a pre-tax bid-YTW of 3.92% based on a bid of $10.89 and a hardMaturity 2013-11-29 at 10.00.
MST.PR.A InterestBearing +1.3659% Now with a pre-tax bid-YTW of 5.49% based on a bid of 10.39 and a hardMaturity 2009-9-30.
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 518,756 Now with a pre-tax bid-YTW of 2.79% based on a bid of 26.18 and a call 2007-11-30 at 25.75. It pays a whopping 1.325 p.a., so I’ll go out on a limb and suggest it won’t make it to the 2011-7-30 softMaturity, which would yield 4.07%
FBS.PR.B SplitShare 114,900 Recent new issue. Now with a pre-tax bid-YTW of 1.61% based on a bid of 10.34 and a call 2008-1-14 at 10.00. Too much call-risk for my blood.
LBS.PR.A SplitShare 56,150 Scotia crossed 46,300 at $11.00. Now with a pre-tax bid-YTW of 3.92% based on a bid of $10.89 – way down from yesterday! – and a hardMaturity 2013-11-29 at 10.00
MFC.PR.A OpRet 22,755 Scotia crossed 18,500 at 26.91. Now with a pre-tax bid-YTW of 3.10% based on a bid of 26.95 and a call 2011-7-19 at $26.00. Neatly, the yield until its softMaturity 2015-12-18 is 3.12%, so take your pick.
CM.PR.I PerpetualPremium 22,479 Now with a pre-tax bid-YTW of 4.50% based on a bid of $25.30 and a call 2016-3-1 at 25.00

There were ten other index-included issues with over 10,000 shares traded today.

Market Action

TCA.PR.X and TCA.PR.Y Credit Review : Developing Implications

Transcanada Pipelines did a deal!

TransCanada Corporation (TransCanada) today announced plans to significantly expand its continental natural gas pipeline and storage operations by acquiring ANR Pipeline Company and ANR Storage Company (collectively, ANR) and an additional 3.55 per cent interest in Great Lakes Gas Transmission Limited Partnership (Great Lakes) from El Paso Corporation. The total purchase price is US$3.4 billion, subject to certain closing adjustments, and includes US$457 million of assumed debt.

… 

TransCanada intends to fund the acquisition in a manner consistent with maintaining its strong financial position and TransCanada PipeLines Limited’s ‘A’ credit ratings recognizing the solid strategic fit and business fundamentals of the acquired assets. In addition to the assumption of existing debt, the acquisition will be financed with components of incremental debt as well as a significant amount of new equity. TransCanada expects the transaction to be accretive to earnings and cash flow in the first full year of ownership. Pending regulatory approvals, the acquisition is expected to close in the first quarter of 2007.

We will see what they have in mind! DBRS has reacted:

Dominion Bond Rating Service (DBRS) has today placed the following ratings of TransCanada PipeLines Limited (TCPL or the Company) Under Review with Developing Implications”: First Mortgage Bonds, Unsecured Debentures & Notes, Preferred Securities (COPrS) and Preferred Shares – cumulative. Concurrently, DBRS has confirmed TCPL’s Commercial Paper rating at R-1 (low) with a Stable trend.

 

Market Action

December 21, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
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% 4.16% 36,631 17.12 1 +0.3626% 1,028.6
Fixed-Floater 4.78% 3.70% 98,254 8.37 7 +0.1069% 1,036.0
Floater 4.49% -19.12% 62,973 0.34 5 -0.2412% 1,039.4
Op. Retract 4.64% 0.83% 85,845 1.99 17 +0.0792% 1,032.6
Split-Share 5.05% 1.59% 247,470 2.52 9 +0.2801% 1,045.2
Interest Bearing 6.95% 6.06% 83,034 2.34 7 +0.1688% 1,027.9
Perpetual-Premium 5.00% 3.57% 284,961 4.21 52 +0.0139% 1,055.0
Perpetual-Discount 4.53% 4.50% 879,559 11.75 6 -0.0598% 1,060.6
Major Price Changes
Issue Index Change Notes
TOC.PR.B Floater -1.6026% Nesbitt was on the sell side for every trade, starting in the morning at 25.77 and ending with a cross of 12,400 at 25.50.
FFN.PR.A SplitShare -1.1278% Now with a pre-tax bid-YTW of 3.48% based on a price of $10.52 and a hardMaturity 2009-12-01 at 10.00
BSD.PR.A InterestBearing +1.0989% Now with a pre-tax bid-YTW of 5.88% (as interest!) based on a bid of $10.12 and a hardMaturity 2015-3-31 at 10.00
LBS.PR.A SplitShare +2.0333% Now with a pre-tax bid-YTW of 3.68%, based on a bid of $11.04 and a hardMaturity 2013-11-29 at 10.00
Volume Highlights
Issue Index Volume Notes
CL.PR.B PerpetualPremium 300,000 Not usually much of a trader, but RBC crossed 150,000 at 26.15 for cash and Nesbitt crossed the same amount at 25.97 for delayed delivery … very similar to the trading on December 18! Hmmmm….. I pontificated November 29 that this was a prime candidate for redemption, but there’s been no news yet. The pre-tax bid-YTW is now 1.65% based on a bid of $26.09 and a call 2007-1-30 at 26.00. The next ex-date is 2007-3-1, so if the funny settlements are a dividend capture/avoidance game, it’s a deep one!
GWO.PR.X OpRet 188,968 Yesterday’s heavy trading continues. Now with a pre-tax bid-YTW of 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00 … but given that it’s a retractible paying 1.20, with the call premium declining at 0.33 p.a., it might make it to the softMaturity 2013-9-29, yielding 3.15%.
CM.PR.D PerpetualPremium 312,702 Another very-high-priced perpetual, at 27.51b. Nesbitt crossed 100,000 at 27.68. Now with a pre-tax bid-YTW of 1.91% based on a bid of 27.54 and a call 2008-5-31 at $26.00. It might last until 2012-5-30, to have yielded 3.86%. With an annual dividend of 1.4375, it might not!
PWF.PR.J OpRet 81,463 TDSecurities processed an internal cross of 75,000 shares at 27.03. Now with a pre-tax bid-YTW of 2.30% based on a bid of 26.98 and a call 2008-5-30 at 26.00. It might make it to the soft maturity 2013-7-30, yielding 3.48%. Might.
GWO.PR.I PerpetualDiscount 56,685 National processed an internal cross of 20,000 at 24.92. Now with a pre-tax bid-YTW of 4.52% based on a bid of 24.92 and a limitMaturity.
CM.PR.I PerpetualPremium 46,391 Now with a pre-tax bid-YTW of 4.57% based on a bid of 25.42 and a call 2016-3-1 at 25.00.

There were twenty-three other index-included issues with over 10,000 shares traded today.

Market Action

December 20, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.16% 4.19% 35,352 17.07 1 +0.0403% 1,024.8
Fixed-Floater 4.78% 3.74% 99,889 8.36 7 -0.0053% 1,034.9
Floater 4.48% -21.70% 62,865 0.34 5 +0.0480% 1,042.0
Op. Retract 4.64% 1.02% 84,391 2.19 17 +0.0047% 1,031.8
Split-Share 5.06% 1.63% 247,660 2.51 9 -0.0408% 1,042.2
Interest Bearing 6.96% 5.84% 81,930 2.34 7 -0.0672% 1,026.2
Perpetual-Premium 5.00% 3.47% 289,050 4.19 52 +0.0026% 1,054.9
Perpetual-Discount 4.52% 4.50% 899,077 11.75 6 +0.0334% 1,061.2
Major Price Changes
Issue Index Change Notes
MFC.PR.B PerpetualPremium -1.0832% Now with a pre-tax bid-YTW of 4.31% based on a bid of 25.57 and a call 2014-4-18 at 25.00.
Volume Highlights
Issue Index Volume Notes
GWO.PR.F PerpetualPremium 401,887 The highest priced index-included perpetual, at 28.07b. Nesbitt crossed 100,000 at 28.10. Now with a pre-tax bid-YTW of 1.28% based on a bid of 28.06 and a call 2008-10-30 at 26.00. It might last a while and get called 2012-10-30 at 25.00, but with an annual dividend of 1.475 and a call schedule declining by 0.25 annually, I don’t like its chances. You can get better than 3.57% without the risk of an early, horrid call anyway.
TD.PR.M OpRet 381,850 Royal processed an internal cross at 27.78. Now with a pre-tax bid-YTW of 2.18% based on a call 2009-5-30 at $26.00, but it would appear some people are confident it will last until a call at $25.00 2013-10-30, to yield 3.12%
CM.PR.D PerpetualPremium 312,702 Another very-high-priced perpetual, at 27.51b. Nesbitt crossed 100,000 at 27.68. Now with a pre-tax bid-YTW of 1.91% based on a bid of 27.54 and a call 2008-5-31 at $26.00. It might last until 2012-5-30, to have yielded 3.86%. With an annual dividend of 1.4375, it might not!
PWF.PR.I PerpetualPremium 304,010 Nesbitt crossed 200,000 at 27.50, then another 100,000 at the same price three hours later. Now with a pre-tax bid-YTW of 2.44% based on a bid of 27.43 and a call 2008-5-30 at $26.00. Pays 1.50, so is there really a competent and confident school of thought that thinks it will last until a call at 25.00 2012-5-30, yielding 4.19%? The relatively recent PWF.PR.L pays 1.275.
NA.PR.K PerpetualPremium 202,815 The second-highest-priced index-included perpetual, at 27.90b. Nesbitt crossed 200,000 at 27.98. Now with a pre-tax bid-YTW of 1.03% based on a bid of 27.90 and a call 2008-6-14 at 26.00. It will yield 3.64% if it lasts until a 25.00 call 2012-6-14. Too chancy for me! Pays 1.4625.
PWF.PR.A Scraps 200,000 Royal processed an internal cross of 200,000 at 25.45. A floating rate issue, currently out of the index due to insufficient volume.
CM.PR.B PerpetualPremium 198,945 Called for redemption.
ACO.PR.A OpRet 115,349 Royal processed an internal cross of 115,000 shares at 28.25. Now with a pre-tax bid-YTW of 1.57% based on a bid of 28.13 and a call 2008-12-31 at 26.00. It pays 1.4375 and has a very steeply declining call premium (0.50 p.a.), so it might make last longer.
GWO.PR.X OpRet 108,897 Nesbitt crossed 100,000 at 27.50. Pre-tax bid-YTW now 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00. It might last longer – the call premium declines by 0.33 p.a. – but I’ll let other people bet on that one.
NSI.PR.D Scraps 101,100 Royal processed an internal cross of 100,000 at 30.00. Not the biggest trader in the world, which is why it’s not in the OpRet index … at a bid of 29.62, it has a pre-tax bid-YTW of 3.62% based on a call 2015-11-14 at 25.00. This compares to 3.15% at the ask price of 30.61.

There were nineteen other index-included issues with over 10,000 shares traded today.

Market Action

December 19, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.17% 4.20% 32,732 17.06 1 +0.3235% 1,024.4
Fixed-Floater 4.78% 3.76% 101,817 8.37 7 +0.1236% 1,035.0
Floater 4.48% -22.00% 63,265 3.48 5 -0.3826% 1,041.5
Op. Retract 4.64% 0.78% 82,577 2.19 17 -0.0512% 1,031.8
Split-Share 5.06% 2.12% 248,989 2.52 9 -0.1149% 1,042.6
Interest Bearing 6.96% 5.80% 80,991 1.86 7 -0.0968% 1,026.8
Perpetual-Premium 4.99% 3.61% 291,270 4.18 52 +0.1171% 1,054.8
Perpetual-Discount 4.52% 4.49% 916,896 11.75 6 +0.0807% 1,060.8
Major Price Changes
Issue Index Change Notes
ENB.PR.D InterestBearing -1.1811% Called yesterday. I guess it was a surprise to some people!
PWF.PR.L PerpetualPremium +1.1240% Now with a pre-tax bid-YTW of 4.14% based on a bid of 26.99 and a call at $25.00, 2015-11-30.
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 288,977 Recent New Issue. Now with a pre-tax bid-YTW of 1.23% based on a bid of $10.38 and a call at $10.00 2008-1-14.
BC.PR.C FixedFloater 59,073 Nesbitt crossed 23,000 at $25.80.
CM.PR.I PerpetualPremium 55,140 New Issue November 15, continues to trade heavily. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.50 and a call 2016-3-1 at 4.52%
CM.PR.B PerpetualPremium 48,026 Basically a money market instrument, since it is being called Jan. 31.
RY.PR.D PerpetualPremium 45,045 Recent New Issue, now with a pre-tax bid-YTW of 4.41% based on a bid of $25.22 and a call 2016-3-25 at $25.00

There were seventeen other index-included issues with over 10,000 shares traded today.