Category: Market Action

Market Action

March 22, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.14% 4.01% 80,670 3.84 1 -0.1983% 1,049.0
Fixed-Floater 4.98% 3.85% 100,115 7.84 5 -0.3063% 1,039.4
Floater 4.72% -18.75% 75,630 0.32 3 +0.0000% 1,054.2
Op. Retract 4.70% 2.78% 79,019 2.14 17 +0.0907% 1,035.9
Split-Share 4.99% 2.83% 173,289 3.32 14 +0.1537% 1,053.5
Interest Bearing 6.50% 4.91% 65,174 2.31 5 +0.1303% 1,042.1
Perpetual-Premium 5.01% 3.81% 230,216 5.22 53 -0.0304% 1,058.7
Perpetual-Discount 4.53% 4.54% 865,516 14.41 10 -0.0954% 1,066.3
Major Price Changes
Issue Index Change Notes
There were no index-included issues with notable performances today.
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 358,978 TD crossed 100,000 at 25.05, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.00 and a limitMaturity.
FAL.PR.H Scraps ( would be PerpetualPremium, but there are credit concerns) 106,300 Scotia crossed 53,800 at $25.91; Desjardins crossed 50,000 at $25.95. Now with a pre-tax bid-YTW of 3.17% based on a bid of $25.86 and a call 2008-4-30. I can only assume that the market is assuming the call is a lead-pipe cinch and is trading the issue as a retractible – a hard conclusion to argue against, since it pays at a rate of 6.5% of par. But still…
MFC.PR.A OpRet 86,380 Desjardins crossed 50,000 at 26.50. Now with a pre-tax bid-YTW of 3.37% based on a bid of $26.40 and a softMaturity 2015-12-18 at $25.00
CM.PR.R OpRet 83,020 Scotia crossed 14,000 at $26.75, then another 65,000 at $26.83. Now with a pre-tax bid-YTW of 2.67% based on a bid of $26.58 and a call 2008-5-30 at $25.75. This YTW is only the bond-equivalent of 3.74% at the Ontario Equivalency Factor of 1.4, so the market seems to be hoping it lasts until the softMaturity 2013-4-29 at $25.00, which results in a pre-tax bid-Yield of 4.03%. I have my doubts!
GWO.PR.X OpRet 54,558 Now with a pre-tax bid-YTW of 2.07% based on a bid of $27.65 and a call 2009-10-30 at 26.00. Again, the market is hoping for the softMaturity, this one 2013-9-29 to yield 3.00% … but that’s still only bond-equivalent of 4.2%, which is less than corporate bonds of that tenor, so why? Note that this still has the Issuer Bid and Putnam financing to be considered.
RY.PR.F PerpetualDiscount 49,230 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.72 and a limitMaturity.

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

Market Action

March 21, 2007

First day of spring and in celebration I went out with an industry buddy for a very good dinner.

I then returned to the grindstone to find that I had some kind of strange internet connectivity problem … I’ve worked around it (different ISP, different geographical location) and HIMIPref™ has been updated with today’s closing quotes & volumes and a few dividend records … but I’ve run out of time!

I will review the day on the 22nd.

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% 3.94% 74,695 3.84 1 0.0000% 1,051.1
Fixed-Floater 4.96% 3.64% 99,900 4.64 5 -0.1729% 1,042.6
Floater 4.72% -18.92% 76,868 0.32 3 +0.0262% 1,054.2
Op. Retract 4.70% 2.75% 76,919 2.11 17 +0.0333% 1,035.0
Split-Share 5.00% 3.50% 177,651 3.36 14 -0.1166% 1,051.9
Interest Bearing 6.51% 4.99% 65,453 2.31 5 -0.0706% 1,040.7
Perpetual-Premium 5.01% 3.74% 233,255 5.22 53 +0.0078% 1,059.0
Perpetual-Discount 4.52% 4.53% 879,379 14.48 10 -0.1637% 1,067.3
Major Price Changes
Issue Index Change Notes
BNA.PR.A SplitShare -1.9011% On relatively heavy volume of 12,238 shares (volume-average is 1,538) to close at 25.80-25, pre-tax bid-YTW of 4.55% based on a call 2007-10-31 at $25.50
FFN.PR.A SplitShare +1.0368% Now with a pre-tax bid-YTW of 2.55% based on a bid of $10.72 and a hardMaturity 2009-12-1 at $10.00. It would seem the market is expecting the upcoming meeting to extend term.
Volume Highlights
Issue Index Volume Notes
FAL.PR.H Scraps (Would be perpetualPremium, but there are yield concerns) 402,000 Now with a pre-tax bid-YTW of 3.02% based on a bid of $25.90 and a call 2008-4-30 at $25.00
RY.PR.A PerpetualDiscount 206,500 With a pre-tax bid-YTW of 4.48% based on a bid of $25.00 and a limitMaturity.
RY.PR.F PerpetualDiscount 120,775 Pre-tax bid-YTW of 4.51% based on a bid of $24.75 and a limitMaturity.
NTL.PR.F Scraps (Would be ratchet rate, but there are extreme credit concerns) 107,295  
BAM.PR.M PerpetualPremium 105,300 With a pre-tax bid-YTW of 4.72% based on a bid of $25.08 and a call 2016-3-1 at $25.00
PWF.PR.K PerpetualPremium 104,920 Pre-tax bid-YTW of 4.31% based on a bid of $26.25 and a call 2014-11-30 at $25.00.

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

Market Action

March 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 4.09% 3.92% 77,563 3.85 1 -0.3557% 1,051.1
Fixed-Floater 4.96% 3.47% 98,961 4.64 5 +0.0395% 1,044.4
Floater 4.72% -18.72% 78,534 0.32 3 +0.0394% 1,053.9
Op. Retract 4.71% 2.66% 75,429 2.12 17 -0.0210% 1,034.6
Split-Share 4.99% 2.04% 180,075 3.33 14 +0.1509% 1,053.1
Interest Bearing 6.50% 4.70% 66,284 2.32 5 -0.0077% 1,041.5
Perpetual-Premium 5.00% 3.82% 234,024 5.15 53 +0.0229% 1,058.9
Perpetual-Discount 4.52% 4.52% 891,025 11.62 10 +0.0164% 1,069.1
Major Price Changes
Issue Index Change Notes
GWO.PR.E OpRet -1.0409% Still on credit watch by DBRS as the market awaits information regarding their financing of the Putnam purchase. This issue has an issuer bid outstanding, although no shares were purchased under last year’s plan. Now with a pre-tax bid-YTW of 2.41% based on a bid of 26.62 and a call 2009-4-30 at $25.50 … if the company waits until the first possible par-value call, 2011-4-30, it will have yielded 3.00%; and if the issue lasts until its softMaturity 2014-3-30, it will have yielded 3.64%. Take your pick!
Volume Highlights
Issue Index Volume Notes
CM.PR.D PerpetualPremium 507,468 The last two trades of note were a Desjardins cross of 50,000 at 27.07 and a TD cross of 50,000 at 27.08. Now with a pre-tax bid-YTW of 2.90% based on a bid of $27.01 and a call 2008-5-30 at $26.00. Sounds pricy to me!
BNS.PR.K PerpetualPremium 263,800 The closing trade was RBC’s cross of 100,000 at $26.18. Now with a pre-tax bid-YTW of 4.12% based on a bid of $26.25 and a call 2014-5-28 at $25.00. Note that Scotiabank has announced a new issue.
CM.PR.H PerpetualPremium 203,250 RBC crossed 100,000 at $26.18, then National Bank crossed 90,000 at $26.15. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.15 and a call 2014-4-29 at $25.00.
PWF.PR.J OpRet 156,649 Desjardins crossed 150,000 at $27.00. Now with a pre-tax bid-YTW of 2.10% based on a bid of 26.90 and a call 2008-5-30 at $26.00. I discussed earlier the chances of it getting redeemed before its time. And I haven’t changed my mind since then!
SLF.PR.E PerpetualDiscount 115,418 Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.91 and a limitMaturity.
BAM.PR.B FloatingRate 102,050 Nesbitt crossed 100,000 at 24.90.

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

Market Action

March 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% 3.81% 80,757 3.85 1 +0.3968% 1,054.9
Fixed-Floater 4.96% 3.49% 101,384 4.63 5 -0.0392% 1,044.0
Floater 4.72% -18.68% 75,096 0.32 3 +0.1318% 1,053.5
Op. Retract 4.70% 2.72% 75,282 2.13 17 +0.0886% 1,034.9
Split-Share 5.04% 1.51% 175,057 3.11 15 +0.1651% 1,051.5
Interest Bearing 6.50% 4.41% 66,126 2.32 5 -0.2035% 1,041.6
Perpetual-Premium 5.00% 3.81% 235,750 5.15 53 +0.0183% 1,058.7
Perpetual-Discount 4.52% 4.52% 900,035 12.58 10 +0.0485% 1,068.9
Major Price Changes
Issue Index Change Notes
There were no index-included issues with notable price moves today.
Volume Highlights
Issue Index Volume Notes
DC.PR.A Scraps (Would be OpRet, but there are credit-rating concerns) 192,948 Another day of heavy trading. Now with a pre-tax bid-YTW of 4.96% based on a bid of $25.09 and a softMaturity 2016-6-29 at $25.00.
YPG.PR.A Scraps (Would be OpRet, but there are credit-rating concerns) 148,770 National Bank crossed 135,000 at $24.60. Now with a pre-tax bid-YTW of 4.62% based on a bid of $24.60 and a softMaturity 2012-12-30 at $25.00.
BMO.PR.J PerpetualPremium 118,240 Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.19 and either a call 2016-3-26 at $25.00, or a limitMaturity, take your pick.
BAM.PR.M PerpetualPremium 108,150 Now with a pre-tax bid-YTW of 4.71% based on a bid of $25.08 and a call 2016-3-1 at $25.00.
RY.PR.B PerpetualPremium 103,795 RBC crossed 100,000 at $25.70. Now with a pre-tax bid-YTW of 4.43% based on a bid of $25.60 and a call 2015-9-23 at $25.00.
RY.PR.D PerpetualPremium 97,000 RBC crossed 40,000 at $25.25, then Nesbitt crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.20 and a limitMaturity.
HSB.PR.D PerpetualPremium 28,060 Now with a pre-tax bid-YTW of 4.21% based on a bid of $26.30 and a call 2015-1-30 at $25.00

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

Market Action

March 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 4.06% 3.88% 84,073 3.86 1 -0.4739% 1,050.7
Fixed-Floater 4.96% 3.38% 103,414 4.63 5 +0.2054% 1,044.4
Floater 4.73% -18.62% 76,561 5.58 3 -0.0391% 1,052.1
Op. Retract 4.71% 2.81% 76,341 2.16 17 -0.0263% 1,034.0
Split-Share 5.05% 2.40% 178,970 3.17 15 +0.1227% 1,049.8
Interest Bearing 6.49% 3.84% 66,043 2.33 5 +0.0397% 1,043.7
Perpetual-Premium 5.00% 3.83% 235,206 5.34 53 +0.0535% 1,058.5
Perpetual-Discount 4.52% 4.51% 920,443 12.58 10 +0.0486% 1,068.4
Major Price Changes
Issue Index Change Notes
There were no index-included issues with notable price moves today.
Volume Highlights
Issue Index Volume Notes
DC.PR.A Scraps (Would be OpRet, but there are credit-rating concerns) 245,200 Dundee crossed 137,300 for cash at 25.00 (Record Date is Monday 19, with a $0.3125 dividend payable … hmmm … given that $25.00 was the low price on the day, and the trade should be at a price greater than normal by the amount of the dividend if it is settling cum-dividend, the meaning of this trade is not clear to me. There’s a story there somewhere!) Desjardins crossed 100,000 at $25.10 (REGULAR settlement, EX-dividend). Now with a pre-tax bid-YTW of 4.97% based on a bid of $25.05 and a softMaturity 2016-6-29 at $25.00.
TOC.PR.B Scraps (Would be Floater, but there are volume concerns) 162,850 Global crossed 80,900 for cash at $26.19, then another 80,900 at $25.93. Ex-Dividend 3/15, Record date 3/19. Dividend amount 0.264658. Yawn.
SLF.PR.E PerpetualDiscount 106,750 Nesbitt crossed 100,000 at $24.95. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.94 and a limitMaturity.
IGM.PR.A OpRet 103,023 Now with a pre-tax bid-YTW of 2.13% based on a bid of $27.98 and a call 2009-7-30 at $26.00. Yield will be 3.60% if it lasts until the softMaturity 2013-06-29, but that’s not something I’m going to bet on!
BCE.PR.H Ratchet 100,200 Scotia crossed 50,000 at $25.20. Nesbitt did the same thing, three minutes later.
TD.PR.O PerpetualPremium 50,655 Now with a pre-tax bid-YTW of 4.08% based on a bid of $26.45 and a call 2014-11-30 at $25.00.
RY.PR.F PerpetualDiscount 33,919 Recent new issue. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.78 and a limitMaturity

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

Market Action

March 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 4.03% 3.74% 77,840 3.87 1 +0.4762% 1,055.7
Fixed-Floater 4.97% 3.50% 106,156 4.61 5 +0.1106% 1,042.3
Floater 4.73% -18.25% 75,575 5.59 3 -0.3267% 1,052.5
Op. Retract 4.71% 2.69% 75,822 2.14 17 -0.0215% 1,034.2
Split-Share 5.06% 0.40% 182,962 3.11 15 +0.0113% 1,048.5
Interest Bearing 6.49% 4.12% 65,810 2.33 5 -0.1605% 1,043.3
Perpetual-Premium 5.01% 3.75% 238,381 5.13 53 +0.0509% 1,057.9
Perpetual-Discount 4.52% 4.52% 931,908 13.49 10 +0.0282% 1,067.9
Major Price Changes
Issue Index Change Notes
There were no index-included issues with notable price moves today.
Volume Highlights
Issue Index Volume Notes
FAL.PR.H Scraps (Would be PerpetualPremium, but there are rating concerns) 203,300 Desjardins crossed 200,000 at $26.00 at the end of a burst of nine trades that took the price from $25.80 to $26.00. Now with a pre-tax bid-YTW of 3.58% based on a bid of $25.73 and a call 2008-4-30 at $25.00.
CM.PR.D PerpetualPremium 153,530 Nesbitt crossed 150,000 at $27.04. Now with a pre-tax bid-YTW of 2.78% based on a bid of $27.03 and a call 2008-5-30 at $26.00. Too rich for my blood!
BAM.PR.K Floater 150,223 Scotia crossed 119,100 at $24.75
TD.PR.O PerpetualPremium 101,500 National Bank crossed 100,000 at 26.45. Now with a pre-tax bid-YTW of 4.09% based on a bid of $26.43 and a call 2014-11-30 at $25.00.
RY.PR.W PerpetualPremium 84,520 TD crossed 80,000 at $26.30. Now with a pre-tax bid-YTW of 4.14% based on a bid of $26.25 and a call 2014-3-26 at $25.00.
RY.PR.F PerpetualDiscount 63,075 Recent new issue. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.76 and a limitMaturity.

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

Market Action

March 14, 2007

I now notice that with my customary elan, I have managed to over-write the post for March 13, instead of simply using it as a template. Sorry about that, guys!

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% 3.89% 77,362 3.87 1 +0.3584% 1,050.7
Fixed-Floater 4.97% 3.58% 107,474 4.60 5 +0.0316% 1,041.1
Floater 4.71% -19.80% 73,119 0.11 3 +0.2892% 1,055.9
Op. Retract 4.71% 2.71% 76,879 2.14 17 +0.0799% 1,034.4
Split-Share 5.06% 0.17% 186,066 3.11 15 +0.2650% 1,048.4
Interest Bearing 6.48% 4.09% 65,421 2.34 5 +0.0906% 1,044.9
Perpetual-Premium 5.01% 3.75% 240,916 5.33 53 +0.0392% 1,057.4
Perpetual-Discount 4.52% 4.52% 942,456 13.49 10 -0.0709% 1,067.6
Major Price Changes
Issue Index Change Notes
DIV.PR.A SplitShare +1.0317% No real story here … I suppose the market maker just realized that it’s being redeemed next week and put a decent bid on it.
Volume Highlights
Issue Index Volume Notes
RY.PR.F PerpetualDiscount 395,889 New issue settled today. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.75 and a limitMaturity.
TD.PR.M OpRet 75,400 TD crossed 25,000 at 27.20, then Scotia crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 2.59% based on a bid of $27.22 and a call 2009-5-30 at $26.00. The market, obviously, is hoping for the yield of 3.31% resulting if it survives to the softMaturity 2013-10-30 at $25.00. Well, stranger things have happened!
POW.PR.D PerpetualPremium 74,867 Scotia crossed 50,000 at 26.45. Now with a pre-tax bid-YTW of 4.31% based on a bid of $26.36 and a call 2014-11-30 at $25.00.
SLF.PR.A PerpetualPremium 56,910 Scotia crossed 50,000 at $25.75. Now with a pre-tax bid-YTW of 4.27% based on a bid of $25.72 and a call 2014-4-30 at $25.00.
CM.PR.D PerpetualPremium 52,450 Desjardins crossed 50,000 at 27.03. Now with a pre-tax bid-YTW of 2.77% based on a bid of $27.03 and a call 2008-5-30 at $26.00.

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

Market Action

March 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 4.01% 3.82% 83,868 3.88 1 0.3185% 1,050.7
Fixed-Floater 4.97% 3.45% 109,132 4.59 5 +0.0160% 1,041.6
Floater 4.70% -17.30% 74,613 11.03 3 +0.0916% 1,051.0
Op. Retract 4.70% 2.59% 76,216 2.14 17 +0.0623% 1,033.8
Split-Share 5.07% 0.44% 189,839 3.22 15 -0.0188% 1,044.1
Interest Bearing 6.47% 3.25% 67,295 2.33 5 +0.1062% 1,043.0
Perpetual-Premium 5.00% 3.69% 245,160 5.20 53 -0.0206% 1,057.1
Perpetual-Discount 4.53% 4.53% 788,287 12.16 9 +0.1294% 1,068.0
Major Price Changes
Issue Index Change Notes
SXT.PR.A SplitShare +1.1067% Makes at least some sense, since today is the first day of trading in post-redemption shares. I wonder if the sellers knew that?
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 220,785 RBC crossed 214,500 at 25.00. Did both sides pay a nickel a share? Nice work, if so! Now with a pre-tax bid-YTW of 4.49% based on a bid of $25.00 and a call 2016-4-30 at $25.00.
POW.PR.D PerpetualPremium 70,000 Scotia crossed 65,000 at $26.45. Now with a pre-tax bid-YTW of 4.27% based on a bid of $26.43 and a call 2014-11-30 at $25.00.
LBS.PR.A SplitShare 152,322 Scotia crossed 27,700 at $10.60 and 85,000 at 10.70. Now with a pre-tax bid-YTW of 4.31% based on a bid of $10.64 and a hardMaturity 2013-11-29 at $10.00
SLF.PR.A PerpetualPremium 54,050 Scotia crossed 50,000 at $25.74. Now with a pre-tax bid-YTW of 4.27% based on a bid of $25.71 and a call 2014-4-30 at $25.00.
BAM.PR.B Floater 47,165 Desjardins crossed 40,000 at $25.05.

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

Market Action

March 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 4.02% 3.89% 87,318 3.88 1 0.0000% 1,047.4
Fixed-Floater 4.97% 3.48% 108,894 4.60 5 +0.0951% 1,041.4
Floater 4.71% -17.32% 71,942 11.02 3 +0.0264% 1,050.1
Op. Retract 4.70% 2.65% 77,098 2.15 17 -0.0983% 1,033.1
Split-Share 5.07% 1.31% 191,061 3.23 15 -0.0182% 1,044.3
Interest Bearing 6.47% 3.96% 67,036 2.33 5 +0.1659% 1,041.9
Perpetual-Premium 5.00% 3.56% 247,963 5.39 53 +0.0117% 1,057.3
Perpetual-Discount 4.53% 4.53% 792,348 13.15 9 -0.0040% 1,066.7
Major Price Changes
Issue Index Change Notes
TD.PR.M OpRet -1.5659% On volume of 700 shares – which was enough to knock the quote down to 27.03-59, 55×4. Now with a pre-tax bid-YTW of 2.90% based on the bid and a call 2009-5-30 at $26.00. If it survives until its softMaturity 2013-10-30 at $25.00, it will have yielded 3.42%
BAM.PR.I OpRet +1.3011% An issue with similar terms to the TD.PR.M – the main difference is the credit. It pays $1.375 p.a., as opposed $1.175 for TD.PR.M. It did not trade today, despite the efforts of the bidders to attract attention. Now with a pre-tax bid-YTW of 3.25% based on a bid of $27.25 and a call 2009-7-30 at $25.75 … it if makes it to its softMaturity 2013-12-30, the yield will have been 4.17%
Volume Highlights
Issue Index Volume Notes
PWF.PR.K PerpetualPremium 142,950 RBC crossed 139,000 at 26.20. Now with a pre-tax bid-YTW of 4.34% based on a bid of $26.16 and a call 2014-11-30 at 4.34%.
BAM.PR.M PerpetualPremium 116,200 Desjardins crossed 108,400 at $25.20. Now with a pre-tax bid-YTW of 4.77% based on a bid of $25.25 and a call 2016-03-01 at $25.00.
BCE.PR.S Scraps (would be “ratchet” with more volume) 102,500 Nesbitt crossed 100,000 at $25.20.
WN.PR.E PerpetualDiscount 62,359 Still on credit watch negative. Now with a pre-tax bid-YTW of 4.81% based on a bid of 25.08 and a limitMaturity
TD.PR.N OpRet 50,000 Nesbitt crossed 50,000 at 27.40. Now with a pre-tax bid-YTW of 2.37% based on a bid of $27.28 and a call 2009-5-30 at $26.00. Big Deal. Even if it survives until its softMaturity 2014-1-30, its yield will have been only 3.21% … basically a corporate bond, in fact, after taking account of the Ontario Equivalency Factor of 1.40.

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

Market Action

March 8, 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% 3.88% 90,918 3.89 1 0.0000% 1,047.4
Fixed-Floater 4.98% 3.60% 110,307 4.61 5 -0.2041% 1,040.4
Floater 4.71% -16.84% 73,207 11.03 3 +0.1310% 1,049.8
Op. Retract 4.69% 2.37% 77,791 2.11 17 +0.0822% 1,034.1
Split-Share 5.07% 1.13% 192,781 3.23 15 +0.0956% 1,044.5
Interest Bearing 6.48% 3.55% 65,505 2.33 5 +0.1826% 1,040.2
Perpetual-Premium 5.00% 3.67% 250,940 5.18 53 +0.0132% 1,057.2
Perpetual-Discount 4.53% 4.53% 810,417 13.16 9 +0.0358% 1,066.7
Major Price Changes
Issue Index Change Notes
There were no issues with notable performance today.
Volume Highlights
Issue Index Volume Notes
YPG.PR.A Scraps 181,300 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.71 and a softMaturity 2012-12-30.
SLF.PR.E PerpetualDiscount 116,800 RBC crossed 100,000 at 24.95. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.95 and a limitMaturity.
TD.PR.O PerpetualPremium 111,100 TD crossed 100,000 at $26.40. Now with a pre-tax bid-YTW of 4.13% based on a bid of $26.34 and a call 2014-11-30 at 25.00
DIV.PR.A SplitShare 79,800 Dundee crossed 75,200 at $25.40. This issue will be redeemed March 20 for a total of $25.51071.
BCE.PR.Z FixedFloater 72,169 Nesbitt crossed 70,000 at $25.50.

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