Category: Market Action

Market Action

February 5, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.04% 4.05% 28,531 17.36 1 +0.0401% 1,038.2
Fixed-Floater 4.81% 3.51% 103,723 8.23 7 +0.1475% 1,042.6
Floater 4.43% -30.31% 57,894 6.55 5 -0.0776% 1,057.7
Op. Retract 4.72% 2.32% 74,475 2.10 18 +0.1024% 1,027.9
Split-Share 5.17% 0.86% 272,353 2.52 13 -0.1860% 1,040.8
Interest Bearing 6.70% 4.30% 71,118 3.88 6 +0.0265% 1,035.0
Perpetual-Premium 5.03% 4.05% 236,263 5.04 51 +0.0356% 1,052.2
Perpetual-Discount 4.55% 4.58% 1,113,363 16.24 10 +0.0202% 1,052.8
Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare -1.2127% It’s always the way, eh? This is an issue I like. And on the first day of trading after an issue I don’t like gets called (DIV.PR.A), it’s the issue I like that craps out. Such is life in the preferred market. LBS.PR.A now has a pre-tax bid-YTW of 4.32% based on a bid of $10.59 and a hardMaturity 2013-11-29 at $10.00.
Volume Highlights
Issue Index Volume Notes
SLF.PR.C PerpetualDiscount 59,130 Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.75 and a limitMaturity.
CM.PR.H PerpetualPremium 51,137 RBC crossed 27,000 at $26.00. Now with a pre-tax bid-YTW of 4.26% based on a bid of $25.90 and a call 2014-4-29 at $25.00.
SLF.PR.E PerpetualDiscount 43,790 Recent new issue. Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.66 and a limitMaturity.
POW.PR.D PerpetualPremium 33,890 Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.31 and a call 2014-11-30 at $25.00
CM.PR.I PerpetualPremium 26,470 Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.40 and a call 2016-3-1 at $25.00. Both better yield and better interest rate protection than the new issue.

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

Market Action

February 2, 2007

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

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

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

Update, finally!

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.04% 4.05% 27,587 17.37 1 -0.1600% 1,037.8
Fixed-Floater 4.81% 3.51% 105,544 8.21 7 +0.0566% 1,041.0
Floater 4.43% -30.91% 58,710 6.55 5 +0.6735% 1,058.5
Op. Retract 4.72% 2.28% 75,304 2.10 18 -0.0176% 1,026.9
Split-Share 5.16% 0.67% 278,230 2.53 13 -0.1583% 1,042.7
Interest Bearing 6.70% 4.73% 71,564 3.89 6 +0.1780% 1,034.7
Perpetual-Premium 5.03% 4.10% 239,367 5.02 51 +0.0398% 1,051.8
Perpetual-Discount 4.55% 4.58% 1,133,846 16.25 10 -0.0965% 1,052.6
Market Action

February 1, 2007

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

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

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

Update, finally!

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.03% 4.03% 27,943 17.39 1 +0.1603% 1,039.5
Fixed-Floater 4.82% 3.58% 108,216 6.36 7 +0.1919% 1,040.4
Floater 4.46% -24.77% 59,009 6.60 5 +0.2230% 1,051.4
Op. Retract 4.72% 2.49% 75,761 2.10 18 -0.0205% 1,027.1
Split-Share 5.15% -0.40% 284,727 2.53 13 +0.0263% 1,044.4
Interest Bearing 6.65% 6.08% 67,549 4.71 7 -0.0275% 1,032.8
Perpetual-Premium 5.04% 4.07% 242,162 4.99 51 +0.0838% 1,051.4
Perpetual-Discount 4.55% 4.58% 973,833 16.24 9 +0.0627% 1,053.6
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.