Category: Market Action

Market Action

January 22, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.05% 4.07% 24,908 17.30 1 0.0000% 1,029.6
Fixed-Floater 4.75% 3.06% 74,733 6.58 7 0.0957% 1,046.4
Floater 4.56% -20.97% 62,305 4.16 4 +0.1081% 1,045.0
Op. Retract 4.68% 2.24% 78,176 2.04 17 -0.0106% 1,031.3
Split-Share 5.05% 0.26% 387,796 2.84 11 -0.0147% 1,045.2
Interest Bearing 6.71% 5.88% 74,199 2.63 6 -0.0617% 1,034.8
Perpetual-Premium 5.02% 3.71% 230,448 5.35 55 -0.0086% 1,051.8
Perpetual-Discount 4.50% 4.52% 1,480,658 16.35 5 +0.0806% 1,056.1
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes (bid/bid) today.
Volume Highlights
Issue Index Volume Notes
RY.PR.E PerpetualDiscount 185,599 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.94 and a limitMaturity
MFC.PR.C PerpetualPremium 177,475 RBC crossed 50,000 at 24.99; Scotia crossed 11,500 at the same price. Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.01 and optionCertainty 2037-1-22 at $25.00.
BMO.PR.J PerpetualDiscount 101,300 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.95 and a limitMaturity.
FBS.PR.B SplitShare 255,990 Recent new issue. CIBC crossed 217,000 at $10.30. I don’t understand why anybody would buy it at such a price – the pre-tax bid-YTW is 2.16% based on a bid of $10.30 and a call 2008-1-14 at $10.00. Buyers must be looking at the yield of 4.20% based on a hardMaturity 2011-12-15 at $10.00, but I consider the chance of a large proportion of extant shares surviving that long to be fairly slim.
RY.PR.A PerpetualPremium 74,325 Scotia crossed 17,300 at 25.00. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.99 and a limitMaturity.

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

Market Action

January 19, 2007

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

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

Market Action

January 18, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.06% 4.08% 25,937 17.30 1 +0.2015% 1,030.4
Fixed-Floater 4.75% 2.98% 75,444 10.72 7 +0.1230% 1,048.2
Floater 4.56% -23.86% 64,020 8.22 4 +0.1556% 1,043.1
Op. Retract 4.67% 2.19% 78,460 2.02 17 +0.0402% 1,031.9
Split-Share 5.06% 1.12% 402,233 2.85 11 -0.0443% 1,044.3
Interest Bearing 6.70% 5.58% 74,501 2.64 6 +0.0033% 1,036.6
Perpetual-Premium 5.02% 3.70% 234,728 5.14 55 +0.0085% 1,052.3
Perpetual-Discount 4.51% 4.53% 1,218,255 16.35 4 +0.0807% 1,055.4
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
BNS.PR.K PerpetualPremium 202,800 TD crossed 100,000 at 26.00, then another 100,000 at the same price 90 minutes later. Now with a pre-tax bid-YTW of 4.20% based on a bid of 25.95 and a call 2014-05-28 at $25.00
BMO.PR.J PerpetualDiscount 131,233 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.94 and a limitMaturity.
GWO.PR.X OpRet 108,160 Nesbitt crossed 85,000 at $27.51; Desjardins crossed 18,500 at 27.56. Now with a pre-tax bid-YTW of 2.48% based on a bid of $27.56 and a call 2009-10-30 at $26.00.
GWO.PR.H PerpetualPremium 58,860 RBC crossed 50,000 at 26.00. Now with a pre-tax bid-YTW of 4.41% based on a bid of $25.82 and a call 2014-10-31 at $25.00.
RY.PR.D PerpetualPremium 34,440 RBC bought a 19,800 from Scotia in three successive trades at 25.01. Now with a pre-tax bid-YTW of 4.54% based on a limitMaturity.

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

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

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.