Category: Market Action

Market Action

April 20, 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 4.28% 4.29% 40,513 16.81 2 -1.1694% 1,007.6
Fixed-Floater 5.34% 4.37% 105,800 16.60 6 -0.2705% 958.6
Floater 4.56% -18.22% 56,292 0.13 4 +0.1090% 1,058.2
Op. Retract 4.72% 3.16% 84,054 2.10 17 +0.0865% 1,034.6
Split-Share 5.03% 3.97% 147,239 3.38 12 -0.0712% 1,046.5
Interest Bearing 6.52% 4.02% 61,776 1.91 5 -0.0602% 1,045.2
Perpetual-Premium 5.04% 4.09% 224,917 5.54 54 -0.0619% 1,057.7
Perpetual-Discount 4.54% 4.57% 815,195 16.27 11 +0.0079% 1,063.2
Major Price Changes
Issue Index Change Notes
BCE.PR.Y Scraps (would be ratchetRate, but there are volume concerns) -2.1829% Exchange/Reset date is 2007-12-1 (to BCE.PR.Z). Closed at 23.75-18, 21×9 on volume of 1,400 shares.
TOC.PR.B Scraps (would be Floater, but there are volume concerns) -2.1434% Contagion from the BCE issues? This was on volume of 200 shares. Closed at 25.11-75, 6×35.
BCE.PR.I FixedFloater -1.4880% Exchange/Resdet date is 2011-08-01 (counterpart is unissued series ‘AJ’); until then pay 4.65% of par. New low today of 22.50; closed at 22.51-87, 5×10
BCE.PR.S Ratchet -1.3344% Exchange/Reset date is 2011-11-01 (to BCE.PR.T). Did this on volume of 700 shares; closed at 24.40-89, 3×1
BCE.PR.R FixedFloater -1.0390% Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 22.86-15, 2×10. Traded as low as 22.85 today, a new 52-week low.
Volume Highlights
Issue Index Volume Notes
PWF.PR.I PerpetualPremium 129,350 Desjardins crossed 124,100 at 26.75. Now with a skimpy pre-tax bid-YTW of 3.86% based on a bid of 26.75 and a call 2008-05-30 at 26.00. The buyer seems to be hoping that they last longer!
WN.PR.D PerpetualPremium 104,985 Scotia crossed 92,400 at 25.75. Now with a pre-tax bid-YTW of 4.81% based on a bid of 25.73 and a call 2014-10-31 at 25.00. Weston is still under Credit Watch Negative.
RY.PR.D PerpetualPremium 81,758 RBC crossed 65,000 at 25.35. Now with a pre-tax bid-YTW of 4.54% based on either a call 2016-3-25 at 25.00, or a limitMaturity, take your pick.
CM.PR.I PerpetualPremium 63,350 Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.23 and a call 2016-3-1 at 25.00
WN.PR.E PerpetualDiscount 58,337 Now with a pre-tax bid-YTW of 4.81% based on a bid of 24.86 and a limitMaturity.

Market Action

April 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 4.23% 4.22% 41,772 16.92 2 -0.3265% 1,019.5
Fixed-Floater 5.33% 4.35% 104,168 16.63 6 -1.3177% 961.2
Floater 4.57% -16.72% 56,123 0.13 4 +0.0993% 1,057.1
Op. Retract 4.73% 3.20% 84,517 2.16 17 +0.0425% 1,033.8
Split-Share 5.02% 3.98% 147,534 3.38 12 -0.1060% 1,047.3
Interest Bearing 6.51% 5.23% 62,026 2.27 5 +0.0040% 1,045.9
Perpetual-Premium 5.03% 4.03% 225,592 5.58 54 -0.0264% 1,058.4
Perpetual-Discount 4.54% 4.57% 829,295 16.27 11 -0.0144% 1,063.1
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixedFloater -4.1494% Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 23.10-34, 6×1. Traded as low as 23.10 today, a new 52-week low. Each one of those three prices is exactly $1.00 below yesterday’s number, amusing if you don’t own it.
BCE.PR.T Scraps (would be FixedFloater, but there are volume concerns) -2.4230% Exchange/Reset date is 2011-11-01 (to BCE.PR.S); until then, pays 4.502% p.a. Closed at 23.76-00, 8×4. New 52-week low of 24.00
BCE.PR.Z FixedFloater -2.2774% Exchange/Reset date is 2007-12-1 (to BCE.PR.Y); until then they pay 5.319% of par. Afterwards … I bet it’s less! Closed at 23.60-17, 20×1. New 52-week low of 23.51.
BCE.PR.C FixedFloater -1.7034% Exchange/Reset date is 2008-03-01 (to series AD, not issued); until then they pay 5.54% of par. Closed at 23.66-02, 12×4. Traded as low as 23.50 today, a new 52-week low.
CGI.PR.C SplitShare -1.5625% It did this on zero volume. Now with a pre-tax bid-YTW of 3.86% based on a bid of 25.20 and a softMaturity 2016-6-14 at 25.00.
BCE.PR.Y Scraps (would be ratchetRate, but there are volume concerns) -1.3810% Exchange/Reset date is 2007-12-1 (to BCE.PR.Z). Closed at 24.28-98, 10×10, on zero volume.
Volume Highlights
Issue Index Volume Notes
BMO.PR.I OpRet 103,825 RBC crossed 47,700 at 25.20, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.20 and a call 2007-12-25 (er … give or take a few days!) at 25.00
TD.PR.N OpRet 67,500 TD crossed 32,800 at 26.99, then another 17,200 at the same price. Now with a pre-tax bid-YTW of 2.82% based on a bid of 26.82 and a call 2009-5-30 at 26.00.
CM.PR.I PerpetualPremium 57,789 Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.22 and a call 2016-3-1 at 25.00
GWO.PR.I PerpetualDiscount 49,000 RBC crossed 40,000 at 24.85. Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.85 and a limitMaturity
POW.PR.D PerpetualPremium 26.23 Now with a pre-tax bid-YTW of 4.27% based on a bid of 26.23 and a call 2014-11-30 at 25.00.

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

Market Action

April 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 4.22% 4.21% 42,189 16.95 2 -0.9105% 1,022.9
Fixed-Floater 5.25% 4.29% 101,369 16.75 6 -1.9197% 974.0
Floater 4.57% -15.95% 55,877 0.13 4 +0.0296% 1,056.0
Op. Retract 4.73% 3.23% 84,458 2.10 17 -0.0308% 1,033.3
Split-Share 5.02% 3.86% 150,742 3.38 12 -0.0201% 1,048.4
Interest Bearing 6.52% 5.25% 62,518 2.28 5 -0.0784% 1,045.8
Perpetual-Premium 5.03% 4.04% 227,197 5.53 54 +0.0083% 1,058.6
Perpetual-Discount 4.54% 4.56% 843,879 16.28 11 -0.1240% 1,063.2
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixedFloater -3.0534% Exchange/Reset date is 2011-05-01. Closed at 22.86-23.88, 2×5 … nice spread, eh? New low today, 22.81.
BCE.PR.H RatchetRate -2.3984% Exchange/Reset date is 2011-05-11; they exchange with the BCE.PR.G above, which makes pairs trading an interesting speculation. Closed at 24.01-49, 10×10 … it did this on zero volume.
BCE.PR.C FixedFloater -2.2736% Exchange/Reset date is 2008-03-01; until then they pay 5.54% of par. Closed at 24.07-34, 2×8. Traded as low as 23.54 today, a new 52-week low.
BCE.PR.R FixedFloater -2.2709% Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 24.10-34, 4×2. Traded as low as 24.10 today, a new 52-week low.
BCE.PR.Z FixedFloater -2.2267% Exchange/Reset date is 2007-12-1; until then they pay 5.319% of par. Afterwards … I bet it’s less! What a resilient issue this is! It didn’t set a new low today (so the low is still 23.72), closing at 24.15-34, 8×2.
BCE.PR.I FixedFloater -1.0435% Exchange/Reset date is 2011-08-01; until then they pay 4.65% of par. New low today, 22.76. Closed at 22.76-25, 7×9.
Volume Highlights
Issue Index Volume Notes
BPO.PR.I Scraps (would be OpRet, but there are credit concerns) 150,945 Now with a pre-tax bid-YTW of 4.13% based on a bid of 26.00 and a call 2010-12-31 at 25.00
RY.PR.D PerpetualPremium 63,300 Now with a pre-tax bid-YTW of 4.54% based on a bid of 25.35 and a call 2016-3-25 at 25.00 … or a limitMaturity, take your pick.
CIU.PR.A PerpetualPremium 61,950 New issue settled today … and yes, I know I haven’t written it up yet! Later, OK? Now with a pre-tax bid-YTW of 4.61% based on a bid of 25.00 and a limitMaturity.
PWF.PR.F PerpetualPremium 42,500 Now with a pre-tax bid-YTW of 4.32% based on a bid of 25.77 and a call 2010-12-30 at 25.00.
BNS.PR.M PerpetualDiscount 40,027 Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.87 and a limitMaturity.

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

Market Action

April 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 4.18% 4.16% 43,923 17.01 2 -0.9225% 1,032.3
Fixed-Floater 5.15% 4.18% 95,927 16.9 6 -2.4640% 993.1
Floater 4.57% -15.67% 55,849 0.13 4 -0.0097% 1,055.7
Op. Retract 4.73% 3.19% 84,668 2.11 17 -0.0196% 1,033.6
Split-Share 5.02% 3.83% 153,377 3.38 12 -0.0457% 1,048.6
Interest Bearing 6.51% 4.09% 62,716 2.28 5 +0.2018% 1,046.6
Perpetual-Premium 5.04% 4.01% 186,513 5.43 53 -0.0432% 1,058.8
Perpetual-Discount 4.53% 4.56% 858,953 16.29 11 -0.0254% 1,064.6
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixedFloater -6.5421% Did I say there was some carnage yesterday? I’m going to have to get out the dictionary and refresh my understanding of the word. However, the drop in this issue was exaggerated by Nesbitt’s sales totallying 1,300 shares in the last six minutes of trading, which took the price down from 24.12 to 23.62. On the one hand, one can feel sympathy for the market-maker: they’re supposed to stabilize the market and sell liquidity, not catch falling knives. On the other hand, the closing quotation of 23.00-24.40, 10×10, seems like a rather large spread. Oh – yeah. The exchange/reset date on these is 2011-08-11; until then, they have an annual dividend of 4.65%.
BCE.PR.G FixedFloater -3.2020% Exchange/Reset date is 2011-05-01. Can’t fault the market maker on this one, although the closing quote’s fairly wide at 23.58-20, 10×5. The last trade of the day was a sale of 600 shares by Dundee at $23.50, timestamped 2:14, marking a new 52-week low for this issue. It traded as high as 24.70 in the morning.
BCE.PR.A FixedFloater -1.8211% Exchange/Reset date is 2007-09-01; until then these pay 5.03% of par. Heavy volume for this issue of 27,385 shares, with something of an odd close: Nesbitt bought 2,000 shares in six trades in the last 18 minutes, taking the price up from 24.00 prior to this sequence to the close of 24.69. The buyer should have waited! The closing quote was 24.26-40, 5×10.
BCE.PR.Z FixedFloater -1.6720% Exchange/Reset date is 2007-12-1; until then they pay 5.319% of par. Afterwards … I bet it’s less! Volume of 2,272 shares was about average for this issue, maybe a little light. These traded in a range of 24.62-25.50 on the day, closing quote 24.70-83, 1×5
BCE.PR.C FixedFloater -1.4800% Exchange/Reset date is 2008-03-01; until then they pay 5.54% of par. Closed at 24.63-15, 3×4.
BCE.PR.H RatchetRate -1.2445% Exchange/Reset date is 2011-05-11; they exchange with the BCE.PR.G above, which makes pairs trading an interesting speculation. Closed at 24.60-94, 1×10.
Volume Highlights
Issue Index Volume Notes
ELF.PR.G PerpetualPremium 56,000 Desjardins crossed 50,000 at 25.20. Now with a pre-tax bid-YTW of 4.71% based on a bid of 25.11 and a call 2015-11-16 at 25.00
CM.PR.I PerpetualPremium 50,845 Now with a pre-tax bid-YTW of 4.58% based on a bid of 25.23 and a call 2016-3-1 at 25.00.
BNS.PR.J PerpetualPremium 49,860 RBC crossed 25,000 at 26.50, then another 15,000 at the same price. Now with a pre-tax bid-YTW of 4.28% based on a bid of 26.40 and a call 2013-11-28 at 25.00
GWO.PR.I PerpetualDiscount 38,860 TD crossed 28,700 at 24.95. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.91 and a limitMaturity.
BNS.PR.L PerpetualDiscount 36,897 Now with a pre-tax bid-YTW of 4.52% based on a bid of 24.92 and a limitMaturity.

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

Market Action

April 16, 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% 4.11% 43,992 17.08 2 +0.5045% 1,041.9
Fixed-Floater 5.02% 4.02% 93,975 17.06 6 -0.4046% 1,018.1
Floater 4.57% -15.74% 56,073 0.13 4 +0.0100% 1,055.8
Op. Retract 4.73% 3.17% 84,022 2.11 17 -0.0949% 1,033.8
Split-Share 5.02% 3.79% 156,666 3.17 12 -0.0604% 1,049.1
Interest Bearing 6.52% 5.60% 63,254 2.28 5 -0.0944% 1,044.5
Perpetual-Premium 5.04% 3.97% 186,958 5.31 53 -0.0256% 1,059.0
Perpetual-Discount 4.53% 4.56% 873,569 16.30 11 -0.0656% 1,064.8
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixedFloater -1.5758% Exchange/Reset date is 2011-05-01. The carnage in BCE issues continues! This issue traded as low as 24.17, a 52-week low, before closing at 24.36-84, 10×10.
CM.PR.P PerpetualPremium -1.0158% Odd! I haven’t noticed the CIBC walking into any sharp objects lately. Now with a very attractive pre-tax bid-YTW of 4.43% based on a bid of 26.31 and a call 2012-11-28 at $25.00.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 80,935 Desjardins crossed 50,000 at 24.99. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.92 and a limitMaturity.
CU.PR.B PerpetualPremium 56,400 Nesbitt crossed 40,000 at 27.20, then Scotia crossed 10,000 at the same price. Perhaps the sellers were making room for the pending new issue – but then, what were the buyers doing? Now with a pre-tax bid-YTW of 3.06% based on a bid of 27.02 and a call 2008-07-01 at $26.00 … it won’t yield much more than bonds, unless CU decides to waive the call.
W.PR.H PerpetualPremium 51,200 Scotia crossed 50,000 at 26.65. Now with a pre-tax bid-YTW of 4.25% based on a bid of 26.63 and a call 2013-2-14 at $25.00.
PWF.PR.I PerpetualPremium 41,200 Nesbitt crossed 40,000 at 26.65. Now with a pre-tax bid-YTW of 3.81% based on a bid of $26.50 and a call 2008-05-30 at $26.00.
CM.PR.I PerpetualPremium 32,650 Now with a pre-tax bid-YTW of 4.56% based on a bid of 25.27 and a call 2016-03-01 at $25.00

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

Market Action

April 13, 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 4.17% 4.14% 45,838 17.04 2 -0.2605% 1,036.7
Fixed-Floater 5.00% 4.01% 92,841 17.10 6 -0.0208% 1,022.3
Floater 4.57% -18.59% 56,979 0.13 4 +0.0592% 1,055.7
Op. Retract 4.72% 3.07% 84,123 2.12 17 -0.0130% 1,034.8
Split-Share 5.01% 3.68% 158,554 3.18 12 +0.0095% 1,049.7
Interest Bearing 6.52% 5.36% 63,646 2.29 5 +0.1509% 1,045.5
Perpetual-Premium 5.04% 3.95% 188,012 5.07 53 -0.0032% 1,059.3
Perpetual-Discount 4.53% 4.55% 890,245 16.31 11 -0.0473% 1,065.5
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixedFloater -1.4022%  Exchange/Reset date is 2011-08-01
BCE.PR.R FixedFloater +1.0971%  Exchange/Reset date is 2010-12-01
Volume Highlights
Issue Index Volume Notes
PWF.PR.I PerpetualPremium 209,690 Now with a pre-tax bid-YTW of 4.35% based on a bid of $26.34 and a call 2008-05-30 at $26.00
TD.PR.O PerpetualPremium 60,100 NationalBank crossed 50,000 @ 26.35. Now with a pre-tax bid-YTW of 4.05% based on a bid of 26.29 and a call 2014-11-30 at $25.00.
PIC.PR.A SplitShare 87,305 National Bank spent the day buying from Nesbitt. Now with a pre-tax bid-YTW of 3.93% based on a bid of $15.87 and a hardMaturity 2010-11-1 at $15.00.
BNS.PR.M PerpetualDiscount 52,600 Recent new issue. Scotia crossed 20,000 @ 24.90. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.90 and a limitMaturity.
BCE.PR.A FixedFloater 35,650 RBC crossed 30,000 @ 24.95. These are convertable into the not-currently-extant series ‘AB’ Ratchet Rates, 2007-9-1, at which point the current dividend of $1.3625 (5.03% of par) will be reset. Bet it’s lower!

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

Market Action

April 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 4.16% 4.13% 46,302 17.05 2 -0.2194% 1,039.4
Fixed-Floater 5.00% 4.01% 90,778 17.11 6 -0.4378% 1,022.5
Floater 4.58% -18.29% 57,706 0.13 4 +0.0493% 1,055.1
Op. Retract 4.72% 3.06% 85,131 2.12 17 +0.0688% 1,035.0
Split-Share 5.01% 3.71% 159,692 3.19 12 +0.0231% 1,049.6
Interest Bearing 6.53% 5.19% 63,809 2.29 5 -0.2553% 1,043.9
Perpetual-Premium 5.04% 3.93% 188,093 5.09 53 +0.0536% 1,059.3
Perpetual-Discount 4.53% 4.55% 906,951 16.32 11 +0.0367% 1,066.0
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixedFloater -1.0454% Quick, says someone, get out of BCE before a leveraged buy-out turns the credit to junk! This one pays 4.54%, with the rate being reset 2010-12-01, at which point it is also exchangeable into a ratchet-rate.
Volume Highlights
Issue Index Volume Notes
BCE.PR.A FixedFloater 255,890 Desjardins crossed 140,000 at 24.50, then another 98,000 at the same price. Somebody took a real haircut to get out of BCE in size – yesterday it was bid at 25.01, and closed today at 24.83-04. I tell people: this kind of instrument is not money market! Not with perpetual credit risk, it isn’t. But nobody ever listens.
SLF.PR.B PerpetualPremium 44,100 Nesbitt crossed 40,000 at 25.82. Now with a pre-tax bid-YTW of 4.35% based on a bid of $25.80 and a call 2014-10-30 at $25.00.
CM.PR.I PerpetualPremium 24,011 Now with a pre-tax bid-YTW of 4.51% based on a bid of 25.35 and a call 2016-3-1 at $25.00
SLF.PR.D PerpetualDiscount 16,785 Now with a pre-tax bid-YTW of 4.51% based on a bid of 24.76 and a limitMaturity.
BNS.PR.M PerpetualDiscount 16,650 Recent new issue. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.89 and a limitMaturity.

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

Market Action

April 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 4.15% 4.12% 47,353 17.07 2 -0.8161% 1,041.7
Fixed-Floater 4.98% 3.98% 88,663 17.12 6 +0.0805% 1,027.0
Floater 4.58% -17.80% 58,087 0.13 4 -0.1275% 1,054.5
Op. Retract 4.72% 3.15% 84,881 2.13 17 +0.0050% 1,034.2
Split-Share 5.00% 3.77% 160,236 3.18 12 +0.0935% 1,049.4
Interest Bearing 6.51% 3.65% 64,109 2.29 5 +0.3053% 1,046.6
Perpetual-Premium 5.04% 3.95% 189,738 5.07 53 +0.0707% 1,058.8
Perpetual-Discount 4.53% 4.55% 933,621 16.32 11 +0.0366% 1,065.6
Major Price Changes
Issue Index Change Notes
BCE.PR.H RatchetRate -1.0396% I thought ratchets weren’t supposed to do this! These will be exchangeable into BCE.PR.G (fixed-reset) May 1, 2011. The BCE.PR.H are currently paying $0.09375 monthly = $1.125 annually = 4.5% = 75% of Canadian Prime.
W.PR.H PerpetualPremium +1.0960% On volume of 6,291 shares, an active day for this issue. It traded as high as 27.00, closing at 26.75-89, 1×1. Now with a pre-tax bid-YTW of 4.15% based on a call 2013-2-14 at $25.00
Volume Highlights
Issue Index Volume Notes
AL.PR.F Scraps (would be Floater, but there are volume concerns) 164,229 Went ex-dividend today, and the indefatigable traders at Global were crossing 82,000 for cash at 25.87, and the same number for regular settlement at 25.58.
CM.PR.J PerpetualDiscount 108,500 Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.77 and a limitMaturity
ACO.PR.A OpRet 101,011 Scotia crossed 50,000 at 27.65, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 2.44% based on a bid of 27.51 and a call 2008-12-31 at $26.00. There is obviously at least one buyer hoping for the softMaturity 2011-11-30 at $25.00, which will yield 3.56%. There are many such optimists: see Retractible Preferreds and Bonds.
BNS.PR.M PerpetualDiscount 71,800 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.92 and a limitMaturity.
CM.PR.I PerpetualPremium 28,860 Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.26 and a call 2016-03-01 at $25.00.

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

Market Action

April 10, 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 4.13% 4.08% 47,493 17.13 2 +0.0000% 1,050.2
Fixed-Floater 4.98% 3.98% 88,531 17.11 6 -0.4102% 1,026.2
Floater 4.57% -19.13% 58,497 0.13 4 +0.1183% 1,055.9
Op. Retract 4.72% 3.09% 84,569 2.13 17 +0.0822% 1,034.2
Split-Share 5.01% 3.82% 162,068 3.26 12 -0.0663% 1,048.4
Interest Bearing 6.53% 5.60% 64,134 2.29 5 +0.1210% 1,043.4
Perpetual-Premium 5.04% 3.95% 191,024 5.20 53 +0.0257% 1,058.0
Perpetual-Discount 4.53% 4.55% 946,431 16.32 11 -0.1058% 1,065.2
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixedFloater -1.1160%  
Volume Highlights
Issue Index Volume Notes
BNS.PR.M PerpetualDiscount 72,600 Recent new issue. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.87 and a limitMaturity.
BCE.PR.A FixedFloater 44,700 Becomes exchangeble to Series “AB” Ratchet Rate Preferred 2007-09-01. The dividend rate paid on the BCE.PR.A will be reset at that time … I bet it will be less than the current $1.3625!
SLF.PR.D PerpetualDiscount 24,585 Now with a pre-tax bid-YTW of 4.52% based on a bid of 24.70 and a limitMaturity.
GWO.PR.H PerpetualPremium 22,185 Now with a pre-tax bid-YTW of 4.44% based on a bid of 25.73 and a call 2014-10-30 at $25.00.
CM.PR.J PerpetualDiscount 19,970 Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.76 and a limitMaturity.

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

Market Action

April 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 4.13% 4.09% 46,156 17.12 2 +0.0199% 1,050.2
Fixed-Floater 4.96% 3.97% 85,926 17.14 6 +0.1675% 1,030.4
Floater 4.58% -18.14% 59,641 0.09 4 +0.0100% 1,054.6
Op. Retract 4.73% 3.18% 84,566 2.19 17 +0.0338% 1,033.3
Split-Share 5.00% 3.80% 164,934 3.27 12 -0.0935% 1,049.1
Interest Bearing 6.54% 4.38% 62,821 2.28 5 +0.0640% 1,042.2
Perpetual-Premium 5.04% 3.95% 192,316 5.38 53 -0.0716% 1,057.7
Perpetual-Discount 4.53% 4.54% 962,934 16.33 11 -0.0400% 1,066.4
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.M PerpetualDiscount 58,290 Recent new issue. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.87 and a limitMaturity.
CM.PR.D PerpetualPremium 43,349 TD crossed 35,000 at 26.67. Now with a pre-tax bid-YTW of 3.26% based on a bid of 26.59 and a call 2008-5-30 at $26.00.
WN.PR.E PerpetualDiscount 20,093 Now with a pre-tax bid-YTW of 4.80% based on a bid of 24.86 and a limitMaturity. Not bad, if the credit stays good!
SLF.PR.E PerpetualDiscount 17,020 Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.91 and a limitMaturity.
RY.PR.F PerpetualDiscount 15,500 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.80 and a limitMaturity.

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