Category: Market Action

Market Action

June 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 5.54% 5.62% 31,218 14.64 2 -0.6802% 950.1
Fixed-Floater 5.72% 5.79% 138,113 14.59 7 -0.2449% 878,4
Floater 4.80% 0.43% 92,773 11.17 3 0.0136% 1,047.9
Op. Retract 4.82% 3.97% 85,598 3.42 17 -0.2845% 1,018.8
Split-Share 5.07% 4.82% 177,468 4.18 15 -0.0516% 1,033.7
Interest Bearing 6.63% 6.76% 89,249 6.11 4 +0.1482% 1,039.0
Perpetual-Premium 5.44% 5.21% 143,352 9.59 34 -0.1489% 1,011.8
Perpetual-Discount 5.12% 5.17% 550,310 15.21 29 -0.6742% 951.6
Major Price Changes
Issue Index Change Notes
IAG.PR.A PerpetualDiscount -4.0860% Now with a pre-tax bid-YTW of 5.16% based on a bid of 22.30 and a limitMaturity. New low today of 22.50; closed at 22.30-60, 9×10.
CM.PR.H PerpetualDiscount -2.2194% Now with a pre-tax bid-YTW of 5.31% based on a bid of 22.91 and a limitMaturity. New low today of 22.76.
TCA.PR.Y PerpetualPremium -1.6237% Now with a pre-tax bid-YTW of 5.21% based on a bid of 51.50 and a call 2014-4-4 at 50.00. New low today of 51.50.
NA.PR.L PerpetualPremium (for now!) -1.6169% Now with a pre-tax bid-YTW of 5.15% based on a bid of 23.73 and a limitMaturity. This move is particularly strange when compared with the performance of NA.PR.K, below. New low today of 23.73.
BAM.PR.M PerpetualDiscount -1.5281% Now with a pre-tax bid-YTW of 5.53% based on a bid of 21.91 and a limitMaturity. New low today of 21.90.
GWO.PR.E OpRet -1.5205% Now with a pre-tax bid-YTW of 4.37% based on a bid of 25.26 and a call 2011-4-30 at 25.00. GWO announced a debt issue today, which should start to clarify the situation with respect to their preferreds – this one has an outstanding issuer bid.
TD.PR.M OpRet -1.5038% Now with a pre-tax bid-YTW of 3.96% based on a bid of 26.20 and a softMaturity 2013-10-30 at 25.00. Today’s low was 26.60, but the closing quote was 26.20-40, 10×17 and the 52-week low is 26.30.
BCE.PR.S Ratchet -1.3772% Exchange/Reset date is 2011-11-1 (exchanges with BCE.PR.T, which pays 4.502% until then). The Ss closed at 22.20-70, 3×2; the Ts closed at 19.00-50, 1×10.
BCE.PR.R FixFloat -1.2920% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 19.10-50, 5×5.
BNS.PR.J PerpetualPremium -1.1858% Now with a pre-tax bid-YTW of 5.22% based on a bid of 25.00 a limitMaturity. Today’s low was 25.30; the 52-week low is 25.25.
BMO.PR.H PerpetualPremium -1.1858% Now with a pre-tax bid-YTW of 5.24% based on a bid of 25.00 and a limitMaturity.
ELF.PR.G PerpetualDiscount -1.1364% Now with a pre-tax bid-YTW of 5.55% based on a bid of 21.75 and a limitMaturity.
MFC.PR.C PerpetualDiscount -1.1062% Now with a pre-tax bid-YTW of 5.05% based on a bid of 22.35 and a limitMaturity. New low today of 22.10.
MFC.PR.B PerpetualDiscount -1.0753% Now with a pre-tax bid-YTW of 5.07% based on a bid of 23.00 and a limitMaturity.
RY.PR.B PerpetualDiscount -1.0661% Now with a pre-tax bid-YTW of 5.10% based on a bid of 23.20 and a limitMaturity. New low today of 23.02.
GWO.PR.G PerpetualPremium (for now!) -1.0204% Now with a pre-tax bid-YTW of 5.37% based on a bid of 24.25 and a limitMaturity. New low today of 24.12. GWO announced a debt issue today, which should start to clarify the situation with respect to their preferreds.
BSD.PR.A InterestBearing +1.0363% Now with a pre-tax bid-YTW of 6.45% (as interest) based on a bid of 9.75 and a hardMaturity 2015-3-31 at 10.00.
NA.PR.K PerpetualPremium +3.5156% Now with a pre-tax bid-YTW of 4.10% based on a bid of 26.50 and a call 2008-6-14 at $26.00. The price took off shortly after 3:30pm, when “Anonymous” lifted all the offers until the day’s high of 26.50 was reached. Even after some after-hours trading, the end-of-after-hours (is that how you say it?) quote was 26.50-75, 41×5. I have been informed that this is the result of a buy-in. Expect to see the price move reversed tomorrow … but it will be most interesting to see how many shares trade at 26.50!
Volume Highlights
Issue Index Volume Notes
GWO.PR.X OpRet 152,840 Desjardins crossed a total of 147,600 in three tranches at 27.50. Now with a pre-tax bid-YTW of 2.12% based on a bid of 27.45 and a call 2009-10-30 at $26.00. GWO announced a debt issue today, which should start to clarify the situation with respect to their preferreds – this one has an outstanding issuer bid.
BMO.PR.I PerpetualPremium 80,070 Scotia crossed 73,000 at 25.01. Now with a pre-tax bid-YTW of 4.90% based on a bid of 25.01 and a limitMaturity.
TOC.PR.B Floater 57,530 Nesbitt bought 50,000 from National Bank at 25.50.
NA.PR.K PerpetualPremium 39,480 See “Major Price Changes”, above.
RY.PR.E PerpetualDiscount 36,900 Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.20 and a limitMaturity.

There were twenty-five other $25-equivalent index-included issues trading over 10,000 shares today.

Of particular interest tomorrow is the closing of the Co-operators 5% Perpetual New Issue, which I calculate has a curvePrice of $22.47. We shall see!

Market Action

June 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 5.48% 5.55% 31,899 14.75 2 0.0000% 956.6
Fixed-Floater 5.71% 5.75% 138,792 14.65 7 -0.6250% 880.6
Floater 4.80% 1.22% 90,649 11.19 3 0.2815% 1,047.7
Op. Retract 4.81% 3.87% 85,775 3.18 17 -0.0365% 1,021.7
Split-Share 5.06% 4.79% 181,274 4.19 15 +0.2501% 1,034.3
Interest Bearing 6.64% 6.77% 89,527 6.12 4 -0.0994% 1,037.4
Perpetual-Premium 5.43% 5.22% 142,551 8.23 34 -0.2542% 1,013.3
Perpetual-Discount 5.09% 5.13% 557,808 15.28 29 -0.6872% 958.1
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixFloat -2.5941% Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 19.15-58, 13×5; the Hs closed at 22.75-00, 20×25. Let’s look at the math: The Gs pay $1.0875 p.a for (let’s call it) 4 years. That’s $4.35. Therefore, to be worth $3.00 more per share (and ignoring time-value of money), the Gs must pay a total of $7.35. That’s $1.8375 p.a., or 7.35% of par. Hmm … I guess the market figures that Canadian Prime’s going up … and staying up … right?
CIU.PR.A PerpetualDiscount -2.5424% Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.00 and a limitMaturity. New low of 22.75 today.
BCE.PR.R FixFloat -2.2727% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. New low of 19.32 today; closed at 19.35-72, 13×6.
MFC.PR.B PerpetualDiscount -2.1053% Now with a pre-tax bid-YTW of 5.01% based on a bid of 23.25 and a limitMaturity. Traded in a range of 22.81-75 today; the 22.81 was a new low.
BAM.PR.M PerpetualDiscount -1.8094% Now with a pre-tax bid-YTW of 5.44% based on a bid of 22.25 and a limitMaturity. New low of 22.25 today.
CM.PR.J PerpetualDiscount -1.7333% Now with a pre-tax bid-YTW of 5.15% based on a bid of 22.11 and a limitMaturity. New low of 22.02 today.
SLF.PR.B PerpetualDiscount -1.6842% Now with a pre-tax bid-YTW of 5.14% based on a bid of 23.35 and a limitMaturity. New low of 23.01 today.
CU.PR.A PerpetualPremium -1.6471% Now with a pre-tax bid-YTW of 5.79% based on a bid of 25.08 and a call 2012-3-31 at 25.00. New low of 25.26 today.
BCE.PR.I FixFloat -1.4646% Exchange/Reset date is 2011-8-1 (exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 19.51-69, 1×2; new low of 19.25 today.
RY.PR.E PerpetualDiscount -1.4197% Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.22 and a limitMaturity. New low of 22.07 today.
BNS.PR.K PerpetualPremium (for now!) -1.3779% Now with a pre-tax bid-YTW of 5.14% based on a bid of 23.62 and a limitMaturity. New low of 23.51 today.
BMO.PR.J PerpetualDiscount -1.3333% Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.20 and a limitMaturity. New low of 21.87 today.
BAM.PR.N PerpetualDiscount -1.3216% Now with a pre-tax bid-YTW of 5.37% based on a bid of 22.40 and a limitMaturity. New low of 22.25 today … tick … tick … tick … .
SLF.PR.A PerpetualDiscount -1.3108% Now with a pre-tax bid-YTW of 5.09% based on a bid of 23.34 and a limitMaturity. New low of 23.32 today.
CM.PR.I PerpetualDiscount -1.2346% Now with a pre-tax bid-YTW of 5.13% based on a bid of 23.20 and a limitMaturity. New low of 23.01 today.
BMO.PR.H PerpetualPremium -1.1719% Now with a pre-tax bid-YTW of 5.13% based on a bid of 25.30 and a call 2013-3-27 at 25.00. New low of 24.75 today.
NA.PR.L PerpetualPremium (for now!) -1.1475% Now with a pre-tax bid-YTW of 5.07% based on a bid of 24.12 and a limitMaturity. New low of 24.12 today.
RY.PR.A PerpetualDiscount -1.0989% Now with a pre-tax bid-YTW of 4.98% based on a bid of 22.50 and a limitMaturity. New low of 21.82 today.
IAG.PR.A PerpetualDiscount -1.0638% Now with a pre-tax bid-YTW of 4.95% based on a bid of 23.25 and a limitMaturity. New low of 22.75 today.
ALB.PR.A SplitShare +1.1755% Now with a pre-tax bid-YTW of 4.34% based on a bid of 24.96 and a hardMaturity 2011-2-28.
GWO.PR.E OpRet +1.3433% Now with a pre-tax bid-YTW of 3.92% based on a bid of 25.65 and a call 2011-4-30 at 25.00.
DFN.PR.A SplitShare +1.4706% Now with a pre-tax bid-YTW of 4.73% based on a bid of 10.35 and a hardMaturity 2014-12-1 at 10.00.
SBN.PR.A SplitShare +1.5702% Now with a pre-tax bid-YTW of 4.79% based on a bid of 10.35 and a hardMaturity 2014-12-1 at 10.00.

 

Volume Highlights
Issue Index Volume Notes
SLF.PR.A PerpetualDiscount 51,020 Now with a pre-tax bid-YTW of 5.09% based on a bid of 23.34 and a limitMaturity.
HSB.PR.D PerpetualPremium 43,400 Now with a pre-tax bid-YTW of 4.87% based on a bid of 25.50 and a call 2015-1-30 at 25.00.
CM.PR.I PerpetualDiscount 43,124 Now with a pre-tax bid-YTW of 5.13% based on a bid of 23.20 and a limitMaturity.
CIU.PR.A PerpetualDiscount 38,750 Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.00 and a limitMaturity.
CM.PR.G PerpetualDiscount 38,180 Now with a pre-tax bid-YTW of 5.37% based on a bid of 25.25 and a call 2014-5-31 at 25.00

There were thirty-nine other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

June 7, 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 5.45% 5.53% 33,259 14.79 2 0.0000% 956.6
Fixed-Floater 5.67% 5.69% 138,408 14.74 7 -0.7153% 886.1
Floater 4.81% 1.06% 91,465 11.15 3 -0.6354% 1,044.8
Op. Retract 4.80% 3.72% 85,180 3.13 17 -0.0064% 1,022.0
Split-Share 5.08% 4.85% 181,784 4.19 15 -0.8242% 1,031.7
Interest Bearing 6.64% 6.75% 88,912 6.12 4 -0.0500% 1,038.5
Perpetual-Premium 5.41% 5.16% 140,953 8.18 34 -0.5455% 1,015.9
Perpetual-Discount 5.05% 5.09% 561,961 15.34 29 -1.2771% 964.7
Major Price Changes
Issue Index Change Notes
CM.PR.H PerpetualDiscount -4.1938% Now with a pre-tax bid-YTW of 5.16% based on a bid of 23.53 and a limitMaturity. New low of 23.41 today – traded in a range 23.41-24.60.
MFC.PR.C PerpetualDiscount -3.1024% Now with a pre-tax bid-YTW of 4.95% based on a bid of 22.80 and a limitMaturity. New low of 22.70 today.
RY.PR.B PerpetualDiscount -2.7027% Now with a pre-tax bid-YTW of 5.05% based on a bid of 23.40 and a limitMaturity. New low of 23.45 today.
MFC.PR.B PerpetualDiscount -2.6639% Now with a pre-tax bid-YTW of 4.90% based on a bid of 23.75 and a limitMaturity. New low of 23.30 today – traded in a range of 23.30-24.50.
SLF.PR.D PerpetualDiscount -2.3831% Now with a pre-tax bid-YTW of 5.12% based on a bid of 21.71 and a limitMaturity. Heavy trading, 186,754 shares, in a range of 21.65-22.49. New low of 21.65 today.
RY.PR.D PerpetualDiscount -2.3684% Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.60 and a limitMaturity. New low of 22.40 today.
GWO.PR.I PerpetualDiscount -2.2989% Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.10 and a limitMaturity. New low of 22.00 today.
LFE.PR.A SplitShare -1.9324% Now with a pre-tax bid-YTW of 4.98% based on a bid of 10.15 and a hardMaturity 2012-12-1 at 10.00. New low of 10.15 today.
FFN.PR.A SplitShare -1.8957% Now with a pre-tax bid-YTW of 4.73% based on a bid of 10.35 and a hardMaturity 2014-12-1 at 10.00.
BNS.PR.K PerpetualPremium (for now!) -1.8443% Now with a pre-tax bid-YTW of 5.07% based on a bid of 23.95 and a limitMaturity. New low of 23.95 today.
BCE.PR.R FixFloat -1.7370% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. New low of 20.00 today; closed at 19.80-00, 10×10.
CM.PR.I PerpetualDiscount -1.7155% Now with a pre-tax bid-YTW of 5.06% based on a bid of 23.49 and a limitMaturity. New low of 23.02 today.
ALB.PR.A SplitShare -1.6348% Now with a pre-tax bid-YTW of 4.68% based on a bid of 24.67 and a hardMaturity 2011-2-28 at 25.00. New low of 24.51 today.
NA.PR.L PerpetualPremium (for now!) -1.6129% Now with a pre-tax bid-YTW of 5.01% based on a bid of 24.40 and a limitMaturity. New low of 24.25 today.
GWO.PR.H PerpetualDiscount -1.6122% Now with a pre-tax bid-YTW of 5.09% based on a bid of 23.80 and a limitMaturity.
CFS.PR.A SplitShare -1.6097% Now with a pre-tax bid-YTW of 4.96% based on a bid of 9.78 and a hardMaturity 2012-1-31 at 10.00. New low of 9.78 today.
SLF.PR.E PerpetualDiscount -1.5660% Now with a pre-tax bid-YTW of 5.12% based on a bid of 22.00 and a limitMaturity. New low of 22.00 today.
DFN.PR.A SplitShare -1.5444% Now with a pre-tax bid-YTW of 4.97% based on a bid of 10.20 and a hardMaturity 2014-12-1 at 10.00. New low of 10.20 today.
BNS.PR.M PerpetualDiscount -1.5378% Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.41 and a limitMaturity. New low of 22.40 today.
RY.PR.C PerpetualDiscount -1.4236% Now with a pre-tax bid-YTW of 5.07% based on a bid of 22.85 and a limitMaturity. New low of 22.75 today.
TD.PR.O PerpetualPremium (for now!) -1.4028% Now with a pre-tax bid-YTW of 4.98% based on a bid of 24.60 and a limitMaturity. New low of 24.01 today; traded in the range 24.01-96.
BNS.PR.J PerpetualPremium -1.3592% Now with a pre-tax bid-YTW of 5.10% based on a bid of 25.40 and a call 2013-11-28 at 25.00.
LBS.PR.A SplitShare -1.3333% Now with a pre-tax bid-YTW of 4.76% based on a bid of 10.36 and a hardMaturity 2013-11-29 at 10.00.
RY.PR.F PerpetualDiscount -1.1947% Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.33 and a limitMaturity.
RY.PR.G PerpetualDiscount -1.1905% Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.41 and a limitMaturity. New low of 22.38 today.
AL.PR.E Floater -1.1806% Still rated Under-Review: Developing by DBRS (rating is Pfd-2(low)).
NA.PR.K PerpetualPremium -1.1628% Now with a pre-tax bid-YTW of 5.51% (!) based on a bid of 25.50 and a call 2012-6-14 at 25.00. New low of 25.27 today.
BNS.PR.L PerpetualDiscount -1.1424% Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.50 and a limitMaturity. New low of 22.35 today.
BMO.PR.J PerpetualDiscount -1.0989% Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.50 and a limitMaturity. New low of 22.50 today.
POW.PR.D PerpetualDiscount -1.0989% Now with a pre-tax bid-YTW of 5.21% based on a bid of 24.30 and a limitMaturity. New low of 24.30 today.
CM.PR.P PerpetualPremium -1.0277% Now with a pre-tax bid-YTW of 5.47% based on a bid of 25.04 and a limitMaturity. New low of 25.02 today.

(are you depressed yet?)

Volume Highlights
Issue Index Volume Notes
NA.PR.K PerpetualPremium 236,000 Scotia crossed 225,000 at 25.50, demonstrating the calming effects of institutional capital, as the issue dropped 1.1628% for a bid-YTW of 5.51% (!) based on a bid of 25.50 and a call 2012-6-14 at 25.00. New low of 25.27 today.
SLF.PR.D PerpetualDiscount 186,754 Now with a pre-tax bid-YTW of 5.12% based on a bid of 21.71 and a limitMaturity. New low of 21.65 today.
ELF.PR.G PerpetualDiscount 120,070 Scotia crossed 100,000 at 22.25. Now with a pre-tax bid-YTW of 5.48% based on a bid of 22.00 and a limitMaturity.
BNS.PR.M PerpetualDiscount 95,212 New low of 22.40 today. Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.41 and a limitMaturity.
RY.PR.K OpRet 53,360 Up 0.0797% on the day. I love the pref market! Now with a pre-tax bid-YTW of 3.94% based on a bid of 25.10 and a call 2007-9-23 at $25.00.

There were forty-three other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

June 6, 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 5.43% 5.50% 34,678 14.83 2 0.0000% 956.6
Fixed-Floater 5.63% 5.62% 138,823 14.84 7 -0.5030% 892.5
Floater 4.78% -3.63% 89,030 5.91 3 +0.0133% 1,051.5
Op. Retract 4.80% 3.81% 84,404 3.19 17 -0.0332% 1,022.1
Split-Share 5.03% 4.60% 182,692 4.03 15 -0.0915% 1,040.3
Interest Bearing 6.63% 6.74% 88,032 6.13 4 -0.1892% 1,039.0
Perpetual-Premium 5.38% 5.07% 138,853 7.46 34 -0.1712% 1,021.5
Perpetual-Discount 4.99% 5.02% 562,211 15.46 29 -0.0819% 977.2
Major Price Changes
Issue Index Change Notes
MFC.PR.A OpRet -1.9724% New low of 24.82 today. Now with a pre-tax bid-YTW of 4.18% based on a bid of 24.85 and a softMaturity 2015-12-18 at 25.00.
BCE.PR.I FixFloat -1.9259% New low of 19.76 today, with a few odd-lots trading at 19.75. Exchange/Reset date is 2011-8-1 (exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par.
BCE.PR.R FixFloat -1.7073% New low of 20.00 today. Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par.
BNS.PR.K PerpetualPremium (for now!) -1.4141% New low of 24.36 today. Now with a pre-tax bid-YTW of 4.97% based on a bid of 24.40 and a limitMaturity.
BAM.PR.N PerpetualDiscount -1.3095% New low of 22.52 today, but volumes are still low. Tick … tick … tick …. Now with a pre-tax bid-YTW of 5.31% based on a bid of 22.61 and a limitMaturity.
BNS.PR.M PerpetualDiscount -1.0865% New low of 22.55 today. Now with a pre-tax bid-YTW of 5.02% based on a bid of 22.76 and a limitMaturity.
BNS.PR.L PerpetualDiscount -1.0865% New low of 22.89 today. Now with a pre-tax bid-YTW of 5.00% based on a bid of 22.76 and a limitMaturity.
ELF.PR.G PerpetualDiscount +1.1442% A rebound from three days of horror. Now with a pre-tax bid-YTW of 5.45% based on a bid of 22.10 and a limitMaturity.
SLF.PR.D PerpetualDiscount +1.3212% Now with a pre-tax bid-YTW of 5.01% based on a bid of 22.24 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
IGM.PR.A OpRet 202,199 Now with a pre-tax bid-YTW of 4.43% based on a bid of 26.50 and a call 2009-7-30 at 26.00.
SLF.PR.E PerpetualDiscount 60,540 Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.35 and a limitMaturity.
CM.PR.C PerpetualPremium 59,875 Nesbitt crossed 37,100 at 26.20. To be redeemed July 31.
TD.PR.O PerpetualPremium (for now!) 56,736 RBC crossed 25,000 at 24.95. Now with a pre-tax bid-YTW of 4.91% based on a bid of 24.95 and a limitMaturity.
BNS.PR.K PerpetualPremium (for now!) 41,920 Nesbitt sold 19,000 to RBC at 24.50. Now with a pre-tax bid-YTW of 4.97% based on a bid of 24.40 and a limitMaturity.

There were thirty-six other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

June 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 5.40% 5.48% 34,727 14.88 2 -0.6353% 956.6
Fixed-Floater 5.60% 5.56% 139,254 14.91 7 +0.0681% 897.0
Floater 4.78% -3.63% 89,116 5.90 3 +0.4868% 1,051.3
Op. Retract 4.80% 3.85% 83,681 3.33 17 -0.1059% 1,022.4
Split-Share 5.03% 4.54% 185,482 4.04 15 +0.0397% 1,041.2
Interest Bearing 6.62% 6.64% 87,317 6.12 4 -0.1790% 1,041.0
Perpetual-Premium 5.38% 5.05% 135,966 7.56 34 -0.2729% 1,023.2
Perpetual-Discount 4.98% 5.02% 567,277 15.47 29 -0.6702% 978.00
Major Price Changes
Issue Index Change Notes
ELF.PR.G PerpetualDiscount -3.1042% Leads the list (downwards) for the third straight day. It seems rather odd … I don’t see any news, rating agency pronouncements or common-stock price-movement that would explain it. New low of 21.51 today. Now with a pre-tax bid-YTW of 5.52% (!) based on a bid of 21.85 and a limitMaturity.
ELF.PR.F PerpetualPremium -2.3846% New low of 25.06 today. Now with a pre-tax bid-YTW of 5.18% based on a bid of 25.38 and a call 2013-11-16 at 25.00.
PWF.PR.L PerpetualPremium (for now!) -1.9920% New low of 24.65 today. Now with a pre-tax bid-YTW of 5.24% based on a bid of 24.60 and a limitMaturity.
SLF.PR.C PerpetualDiscount -1.8642% New low of 22.20 today. Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.11 and a limitMaturity.
SLF.PR.A PerpetualDiscount -1.6116% New low of 23.80 today. Now with a pre-tax bid-YTW of 4.98% based on a bid of 23.81 and a limitMaturity.
POW.PR.D PerpetualDiscount -1.5719% New low of 24.35 today. Now with a pre-tax bid-YTW of 5.19% based on a bid of 24.42 and a limitMaturity.
PWF.PR.K PerpetualDiscount -1.5044% New low of 23.31 today. Now with a pre-tax bid-YTW of 5.31% based on a bid of 23.57 and a limitMaturity.
SLF.PR.B PerpetualDiscount -1.4870% New low of 23.72 today. Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.85 and a limitMaturity.
BSD.PR.A InterestBearing -1.4184% Now with a pre-tax bid-YTW of 6.47% (as interest) based on a bid of 9.73 and a hardMaturity 2015-3-31 at 10.00.
BMO.PR.J PerpetualDiscount -1.2931% New low of 22.78 today. Now with a pre-tax bid-YTW of 4.94% based on a bid of 22.90 and a limitMaturity.
BNS.PR.M PerpetualDiscount -1.2446% New low of 22.91 today. Now with a pre-tax bid-YTW of 4.96% based on a bid of 23.01 and a limitMaturity.
RY.PR.W PerpetualPremium (for now!) -1.2420% New low of 24.50 today. Now with a pre-tax bid-YTW of 5.00% based on a bid of 24.65 and a limitMaturity.
RY.PR.C PerpetualDiscount -1.1050% New low of 23.26 today. Now with a pre-tax bid-YTW of 4.97% based on a bid of 23.27 and a limitMaturity.
MFC.PR.A OpRet -1.0925% New low of 25.03 today. Now with a pre-tax bid-YTW of 3.90 based on a bid of 25.35 and a softMaturity 2015-12-18 at 25.00.
SBN.PR.A SplitShare -1.0567% New low of 10.30 today. Now with a pre-tax bid-YTW of 4.86% based on a bid of 10.30 and a hardMaturity 2014-12-01 at 10.00.
BCE.PR.H Ratchet -1.0004% Did not trade today. Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.G, which pays 4.35% of par until then). Closed at 22.76-00, 9×10; the Gs closed at 19.71-22, 5×5. Let’s see. Prime’s 6%. Assume the Hs pay 6% for the next four years and the Gs pay 4.35%. Difference = 1.65%. On $25.00 for 4 years, total amount of difference in dividends is $1.65. I guess the market is betting on a massive increase in prime, eh?
BAM.PR.G FixFloat +1.0616%% Exchange/Reset date is 2011-10-31 (Exchanges with BAM.PR.E); until then, pays 4.35% of par. The Gs closed at 23.80-90, 2×5; the Es closed at 24.95-05, 4×12.
AL.PR.E Floater +1.5994% Still on credit watch – developing.
GWO.PR.I PerpetualDiscount +1.6173% Capital market plans still on hold. Now with a pre-tax bid-YTW of 4.98% based on a bid of 22.62 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 619,500 RBC crossed 550,000 at 22.65, then another 62,000 at the same price. Now with a pre-tax bid-YTW of 5.02% based on a bid of 22.66 and a limitMaturity.
RY.PR.D PerpetualDiscount 91,175 Nesbitt crossed 75,000 at 22.68. Now with a pre-tax bid-YTW of 4.99% based on a bid of 22.68 and a limitMaturity.
SLF.PR.E PerpetualDiscount 70,930 Nesbitt crossed 50,000 at 22.30. Now with a pre-tax bid-YTW of 5.05% based on a bid of 22.31 and a limitMaturity.
DFN.PR.A SplitShare 163,650 Re-opened shares start trading June 6. Now with a pre-tax bid-YTW of 4.71% based on a bid of 10.36 and a hardMaturity 2014-12-1 at 10.00.
IGM.PR.A OpRet 62,316 Now with a pre-tax bid-YTW of 4.39% based on a bid of 26.52 and a call 2009-7-30 at 26.00.

There were thirty-three other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

June 4, 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 5.34% 5.43% 35,578 15.00 2 +0.8195% 962.7
Fixed-Floater 5.60% 5.54% 140,345 14.94 7 -0.2495% 896.4
Floater 4.81% 2.57% 85,715 5.94 3 -0.4453% 1,046.2
Op. Retract 4.80% 3.85% 83,051 3.20 17 +0.0792% 1,023.5
Split-Share 5.03% 4.57% 185,233 4.04 15 +0.0245% 1,040.8
Interest Bearing 6.61% 6.65% 84,890 3.53 4 -0.2175% 1,042.8
Perpetual-Premium 5.36% 5.00% 134,434 7.35 34 -0.0989% 1,026.0
Perpetual-Discount 4.95% 4.98% 563,217 15.54 29 -0.8799% 984.6
Major Price Changes
Issue Index Change Notes
ELF.PR.G PerpetualDiscount -2.9272% Also led the charts (downward) on June 1! New low today of 22.55. Now with a pre-tax bid-YTW of 5.34% based on a bid of 22.55 and a limitMaturity.
BCE.PR.G FixFloat -2.5641% Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.H); until then, pays 4.35% of par. New low today of 20.06. Closed at 19.76-34, 5×3; the Hs closed at 22.99-00, 5×10.
GWO.PR.I PerpetualDiscount -2.3684% New low today of 22.51. Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.26 and a limitMaturity.
RY.PR.F PerpetualDiscount -2.1397% New low today of 22.27. Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.41 and a limitMaturity.
SLF.PR.E PerpetualDiscount -2.0131% New low today of 22.40. Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.39 and a limitMaturity.
PWF.PR.K PerpetualDiscount -1.9262% New low today of 23.85. Now with a pre-tax bid-YTW of 5.23% (!) based on a bid of 23.93 and a limitMaturity.
RY.PR.D PerpetualDiscount -1.6415% Now with a pre-tax bid-YTW of 4.97% based on a bid of 22.77 and a limitMaturity.
AL.PR.E Floater -1.5742% Still Under Review – Developing by DBRS.
RY.PR.E PerpetualDiscount -1.4687% New low today of 22.81. Now with a pre-tax bid-YTW of 4.96% based on a bid of 22.81 and a limitMaturity.
CL.PR.B PerpetualPremium -1.4587% New low today of 25.71. Pays $1.5625 and is currently callable at $26.00 … but GWO is still on hold. Now with a pre-tax bid-YTW of 5.34% based on a bid of 25.67 and a call 2011-1-30 at 25.00.
BNS.PR.L PerpetualDiscount -1.3191% New low today of 22.90. Now with a pre-tax bid-YTW of 4.90% based on a bid of 23.19 and a limitMaturity.
RY.PR.G PerpetualDiscount -1.2987% New low today of 22.81. Now with a pre-tax bid-YTW of 4.99% based on a bid of 22.80 and a limitMaturity.
BAM.PR.M PerpetualDiscount -1.2609% New low today of 22.52. Now with a pre-tax bid-YTW of 5.32% based on a bid of 22.71 and a limitMaturity.
BAM.PR.G FixFloat -1.2579% Exchange/Reset date is 2011-10-31 (Exchanges with BAM.PR.E); until then, pays 4.35% of par. Closed at 23.55-85, 18×5; the Es closed at 24.85-05, 13×12.
SLF.PR.A PerpetualDiscount -1.2245% Now with a pre-tax bid-YTW of 4.90% based on a bid of 24.20 and a limitMaturity.
CM.PR.H PerpetualDiscount -1.2092% New low today of 24.50. Now with a pre-tax bid-YTW of 4.95% based on a bid of 24.51 and a limitMaturity.
RY.PR.C PerpetualDiscount -1.1345% New low today of 23.50. Now with a pre-tax bid-YTW of 4.92% based on a bid of 23.53 and a limitMaturity.
SLF.PR.D PerpetualDiscount -1.0714% New low today of 22.06. Now with a pre-tax bid-YTW of 5.02% based on a bid of 22.16 and a limitMaturity.
BCE.PR.H FixFloat +1.0549% Exchange/Reset Date is 2011-5-1 (Exchanges with BCE.PR.G, which currently pays 4.35% of Par). The Gs did so poorly today they are mentioned above … and the Hs are up. I love the pref market!
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 109,213 Now with a pre-tax bid-YTW of 4.92% based on a bid of 24.14 and a limitMaturity.
MFC.PR.C PerpetualDiscount 92,375 Now with a pre-tax bid-YTW of 4.74% based on a bid of 23.76 and a limitMaturity.
GWO.PR.I PerpetualDiscount 76,968 New low today of 22.51. GWO’s capital market plans are still on hold. Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.26 and a limitMaturity.
BNS.PR.K PerpetualDiscount 56,720 RBC crossed 50,000 at 24.90. Now with a pre-tax bid-YTW of 4.88% based on a bid of 24.82 and a limitMaturity.
PWF.PR.L PerpetualPremium 35,300 Nesbitt crossed 10,000 at 24.95. New low today of 24.89. Now with a pre-tax bid-YTW of 5.13% based on a bid of 25.10 and a limitMaturity.

There were thirty-two other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

June 1, 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 5.36% 5.43% 35,195 14.96 2 +0.2894% 954.9
Fixed-Floater 5.59% 5.50% 141,295 15.01 7 +0.0191% 898.7
Floater 4.78% -3.64% 85,719 5.9 3 +0.1602% 1,050.9
Op. Retract 4.80% 3.85% 82,948 2.97 17 -0.1688% 1,022.7
Split-Share 5.03% 4.55% 187,553 4.05 15 -0.2839% 1,040.6
Interest Bearing 6.60% 6.54% 85,139 6.14 4 +0.1248% 1,045.1
Perpetual-Premium 5.36% 4.79% 132,692 5.88 34 -0.0909% 1,027.1
Perpetual-Discount 4.90% 4.94% 564,256 15.62 29 -0.4319% 993.3
Major Price Changes
Issue Index Change Notes
ELF.PR.G PerpetualDiscount -3.0872% Now with a pre-tax bid-YTW of 5.18% based on a bid of 23.23 and a limitMaturity.
LFE.PR.A SplitShares -2.0992% A recent addition to the SplitShare index, following its April addition to the HIMIPref™ universe. Now with a pre-tax bid-YTW of 4.73% based on a bid of 10.26 and a hardMaturity 2012-12-1.
GWO.PR.E OpRet -1.9985% Now with a pre-tax bid-YTW of 4.07% based on a bid of 25.50 and a call 2011-4-30 at 25.00. There is some uncertainty regarding GWO’s capital market plans.
MFC.PR.A OpRet -1.7301% Now with a pre-tax bid-YTW of 3.78% based on a bid of 25.56 and a softMaturity 2015-12-18 at 25.00.
SLF.PR.C PerpetualDiscount -1.2719% Now with a pre-tax bid-YTW of 4.94% based on a bid of 22.51 and a limitMaturity.
SLF.PR.D PerpetualDiscount -1.1038% Now with a pre-tax bid-YTW of 4.97% based on a bid of 22.40 and a limitMaturity.
BCE.PR.G FixFloat -1.0732% Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 20.28-92, 5×7 (new low of 20.25 hit today); the Hs closed at 22.75-94, 20×5.
CM.PR.J PerpetualDiscount -1.0066% Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.62 and a limitMaturity.
BAM.PR.G FixFloat +1.4894% Exchange/Reset date is 2011-10-31 (exchanges with BAM.PR.E); until then, pays 4.35% of par. Closed at 23.85-00, 5×5; the Es closed at 24.85-00, 13×12. The Es are currently paying $0.09125 monthly = $1.095 p.a = 4.38% of par.
PWF.PR.H PerpetualPremium +1.5288% Now with a pre-tax bid-YTW of 5.02% based on a bid of 25.90 and a call 2012-1-9 at 25.00.
Volume Highlights
Issue Index Volume Notes
TD.PR.O PerpetualPremium 70,000 Now with a pre-tax bid-YTW of 4.79% based on a bid of 25.24 and a call 2014-11-30 at 25.00.
MFC.PR.B PerpetualDiscount 62,290 Now with a pre-tax bid-YTW of 4.71% based on a bid of 24.70 and a limitMaturity.
RY.PR.G PerpetualDiscount 57,236 Now with a pre-tax bid-YTW of 4.92% based on a bid of 23.10 and a limitMaturity.
CM.PR.I PerpetualDiscount 56,035 Now with a pre-tax bid-YTW of 4.90% based on a bid of 24.20 and a limitMaturity.
BNS.PR.M PerpetualDiscount 48,100 Now with a pre-tax bid-YTW of 4.89% based on a bid of 23.35 and a limitMaturity.

There were twenty-four other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

May 31, 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 5.35% 5.42% 36,715 14.98 2 +1.7006% 952.1
Fixed-Floater 5.76% 5.51% 162,487 14.96 6 -0.2911% 898.5
Floater 4.79% -2.81% 88,032 11.14 3 +0.2836% 1,049.2
Op. Retract 4.79% 3.80% 85,906 2.93 17 -0.2482% 1,024.4
Split-Share 5.01% 4.41% 215,947 3.94 13 -0.2466% 1,043.5
Interest Bearing 6.55% 6.44% 72,642 5.33 5 -0.2872% 1,043.8
Perpetual-Premium 5.26% 4.85% 197,455 8.17 48 -0.1731% 1,028.0
Perpetual-Discount 4.89% 4.93% 642,053 15.64 19 -0.0997% 997.6
Major Price Changes
Issue Index Change Notes
PWF.PR.K PerpetualPremium (pre-rebalancing) -1.6064% Now with a pre-tax bid-YTW of 5.10% based on a bid of 24.50 and a limitMaturity.
POW.PR.C PerpetualPremium -1.5757% Now with a pre-tax bid-YTW of 5.41% based on a bid of 25.61 and a call 2012-1-5 at 25.00
LBS.PR.A SplitShare -1.5209% Now with a pre-tax bid-YTW of 4.75% based on a bid of 10.36 and a hardMaturity 2013-11-29 at 10.00.
BAM.PR.J OpRet -1.4599% Now with a pre-tax bid-YTW of 4.59% based on a bid of 27.00 and a softMaturity 2018-3-30 at 25.00.
IGM.PR.A OpRet -1.4105% Now with a pre-tax bid-YTW of 4.28% based on a bid of 26.56 and a call 2009-7-30 at 26.00.
BSD.PR.A InterestBearing -1.4000% Now with a pre-tax bid-YTW of 6.24% (as interest) based on a bid of 9.86 and hardMaturity 2015-3-31 at 10.00.
BAM.PR.M PerpetualDiscount -1.2848% Now with a pre-tax bid-YTW of 5.23% based on a bid of 23.05 and a limitMaturity.
ELF.PR.G PerpetualPremium (pre-rebalancing) -1.1546% Now with a pre-tax bid-YTW of 5.01% based on a bid of 23.97 and a limitMaturity.
WN.PR.E PerpetualDiscount (pre-rebalancing) -1.0865% Now with a pre-tax bid-YTW of 5.30% based on a bid of 22.76 and a limitMaturity.
RY.PR.B PerpetualPremium (pre-rebalancing) -1.0673% Now with a pre-tax bid-YTW of 4.90% based on a bid of 24.10 and a limitMaturity.
AL.PR.E Floater +1.0359%  
WN.PR.C PerpetualPremium (pre-rebalancing) +1.5327% Now with a pre-tax bid-YTW of 5.39% based on a bid of 24.51 and a limitMaturity.
BCE.PR.S Ratchet +3.4803%  
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixFloat 412,955  
BCE.PR.A FixFloat 333,000 Nesbitt crossed 325,500 at 22.90 for Cash.
BCE.PR.R FixFloat 210,750  
CM.PR.I PerpetualPremium (pre-rebalancing) 129,720 Now with a pre-tax bid-YTW of 4.89% based on a bid of 24.25 and a limitMaturity.
TD.PR.O PerpetualPremium 80,600 Nesbitt crossed 70,000 at 25.40. Now with a pre-tax bid-YTW of 4.69% based on a bid of 25.40 and a call 2014-11-30 at 25.00.

There were thirty-nine other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

May 30, 2007

Scheduling problems related to month-end mean I’m going to have to delay production of the daily Market Action report until tomorrow … sorry!

HIMIPref™ has been updated, but that’s all I’m going to get done tonight. Anecdotal evidence only … but I saw some definite signs of Retail Panic today. Some PWF.PR.I traded at 25.49? Ridiculous.

Update, 2007-5-31:

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 5.41% 5.51% 37,700 14.92 2 -2.8671% 936.2
Fixed-Floater 5.75% 5.43% 153,772 15.00 6 -0.5095% 901.1
Floater 4.81% -0.03% 82,883 5.61 3 -0.0400% 1,046.3
Op. Retract 4.78% 3.68% 85,176 2.94 17 -0.1094% 1,027.0
Split-Share 5.00% 4.32% 216,581 3.82 13 -0.0038% 1,046.1
Interest Bearing 6.53% 6.34% 72,397 5.33 5 +0.3799% 1,046.8
Perpetual-Premium 5.25% 4.94% 193,433 8.20 48 -0.3872% 1,029.8
Perpetual-Discount 4.89% 4.92% 649,289 15.65 19 -1.0231% 998.6
Major Price Changes
Issue Index Change Notes
BCE.PR.S Ratchet -5.8952%  
GWO.PR.H PerpetualPremium (for now!) -3.1621%  
IAG.PR.A PerpetualDiscount -3.0216%  
GWO.PR.I PerpetualDiscount -2.5578%  
BAM.PR.N PerpetualDiscount -2.1684%  
CM.PR.J PerpetualDiscount -2.0627%  
WN.PR.D PerpetualPremium (for now!) -2.0276%  
GWO.PR.G PerpetualPremium -2.0270%  
WN.PR.C PerpetualPremium (for now!) -1.9496%  
RY.PR.F PerpetualDiscount -1.8803%  
PWF.PR.I PerpetualPremium -1.8667%  
WN.PR.E PerpetualDiscount -1.6667%  
CIU.PR.A PerpetualDiscount -1.6427%  
BAM.PR.M PerpetualDiscount -1.4768%  
BCE.PR.C FixFloat -1.2500%  
BCE.PR.A FixFloat -1.2148%  
MFC.PR.C PerpetualDiscount -1.1740%  
GWO.PR.E SplitShare -1.0062%  
BSD.PR.A Interest +1.2146%  
Volume Highlights
Issue Index Volume Notes
BBD.PR.D Scraps (would be FixFloat, but there are credit concerns) 756,568  
PWF.PR.K PerpetualPremium (for now!) 97,100  
BNS.PR.M PerpetualDiscount 76,755  
RY.PR.G PerpetualDiscount 63,520  
BNS.PR.L PerpetualDiscount 60,900  
CM.PR.P PerpetualPremium 57,650  

There were forty-seven other $25-equivalent index-included issues trading over 10,000 shares today.

Sorry this update was so late! But now I must begin working on May 31!

Market Action

May 29, 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 5.23% 5.29% 38,271 15.20 2 +0.3434% 963.8
Fixed-Floater 5.72% 5.40% 153,589 15.12 6 -0.1473% 905.7
Floater 4.80% -0.03% 80,956 5.62 3 +0.2412% 1,046.7
Op. Retract 4.77% 3.65% 85,023 2.94 17 +0.0498% 1,028.1
Split-Share 5.00% 4.36% 220,392 3.95 13 -0.1239% 1,046.1
Interest Bearing 6.55% 6.45% 70,572 5.33 5 +0.0006% 1,042.8
Perpetual-Premium 5.22% 4.83% 189,803 8.04 48 -0.3053% 1,033.8
Perpetual-Discount 4.87% 4.87% 649,224 15.73 19 -0.7814% 1,009.0
Major Price Changes
Issue Index Change Notes
RY.PR.A PerpetualDiscount -2.7473% New 52-week low of 23.10 today … and the closing bid was below this figure! Now with a pre-tax bid-YTW of 4.86% based on a bid of 23.01 and a limitMaturity.
BNS.PR.M PerpetualDiscount -2.0903% New 52-week low of 23.27 today. Now with a pre-tax bid-YTW of 4.87% based on a bid of 23.42 and a limitMaturity.
CM.PR.I PerpetualPremium (for now!) -1.8182% New 52-week low of 24.03 today. Now with a pre-tax bid-YTW of 4.88% based on a bid of 24.30 and a limitMaturity.
CM.PR.H PerpetualPremium (for now!) -1.7822% Now with a pre-tax bid-YTW of 4.88% based on a bid of 24.80 and a limitMaturity.
SLF.PR.B PerpetualPremium (for now!) -1.6000% Now with a pre-tax bid-YTW of 4.87% based on a bid of 24.60 and a limitMaturity.
BMO.PR.J PerpetualPremium (for now!) -1.5152% New 52-week low of 23.30 today. Now with a pre-tax bid-YTW of 4.83% based on a bid of 23.40 and a limitMaturity.
BNS.PR.L PerpetualDiscount -1.5000% New 52-week low of 23.65 today. Now with a pre-tax bid-YTW of 4.80% based on a bid of 23.64 and a limitMaturity.
CU.PR.B PerpetualPremium -1.4857% New 52-week low of 25.85 today. Now with a pre-tax bid-YTW of 5.25% based on a bid of 25.86 and a limitMaturity.
RY.PR.G PerpetualDiscount -1.4831% New 52-week low of 23.15 today. Now with a pre-tax bid-YTW of 4.89% based on a bid of 23.25 and a limitMaturity.
RY.PR.E PerpetualDiscount -1.4831% New 52-week low of 23.25 today. Now with a pre-tax bid-YTW of 4.86% based on a bid of 23.25 and a limitMaturity.
BAM.PR.M PerpetualDiscount -1.4553% Now with a pre-tax bid-YTW of 5.08% based on a bid of 23.70 and a limitMaturity.
WN.PR.A PerpetualPremium (for now!) -1.3708% New low of 24.64 today. Now with a pre-tax bid-YTW of 5.89% based on a bid of 24.64 and a limitMaturity. A recent downgrade.
RY.PR.D PerpetualDiscount -1.1083% New low of 22.55 today. Now with a pre-tax bid-YTW of 4.87% based on a bid of 23.20 and a limitMaturity.
PWF.PR.K PerpetualPremium (for now!) -1.0727% Now with a pre-tax bid-YTW of 5.01% based on a bid of 24.90 and a limitMaturity.
SLF.PR.C PerpetualDiscount -1.0372% New 52-week low of 22.90 today. Now with a pre-tax bid-YTW of 4.85% based on a bid of 22.90 and a limitMaturity.
GWO.PR.H PerpetualPremium +1.1182% Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.30 and a limitMaturity.
BCE.PR.S Ratchet +1.3167% Exchange/Reset date is 2011-11-1 (exchanges with BCE.PR.T, which pays 4.502% of par until then). Closed at 22.90-38, 2×5, on zero volume. The Ts closed at 21.55-05, 10×1, on zero volume.
IGM.PR.A OpRet +1.3650% Making up for yesterday’s losses. Now with a pre-tax bid-YTW of 3.34% based on a bid of 27.07 and a call 2009-7-30 at 26.00.
BCE.PR.R FixFloat +1.4735% Partial recovery from yesterday’s losses, but there was a new 52-week low of 20.05 anyway. Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 20.66-15, 1×1.
IAG.PR.A PerpetualDiscount +2.8112% Roaring back from yesterday’s losses, but set a new 52-week low of 24.00 anyway. Closed at 24.49-63, 20×5, so I bet the low seller feels silly. Now with a pre-tax bid-YTW of 4.68% based on a bid of 24.49 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
BBD.PR.D Scraps (would be FixFloat, but there are credit concerns) 187,480 Nesbitt crossed 15,000 at 18.95. Exchange/Reset date is 2007-8-1 – see the pairs analysis. The Ds closed at 18.90-95, 60×15; the Bs closed at 19.45-60.
TD.PR.O PerpetualPremium 120,940 Now with a pre-tax bid-YTW of 4.69% based on a bid of 25.39 and a call 2014-11-30 at 25.00.
SLF.PR.B PerpetualPremium (for now!) 84,265 Now with a pre-tax bid-YTW of 4.87% based on a bid of 24.60 and a limitMaturity.
CM.PR.H PerpetualPremium (for now!) 72,899 Now with a pre-tax bid-YTW of 4.88% based on a bid of 24.80 and a limitMaturity.
GWO.PR.H PerpetualPremium 68,898 Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.30 and a call 2014-10-30 at 25.00. There is some uncertainty as to what GWO will be doing in the capital markets in the near future.
BMO.PR.J PerpetualPremium (for now!) 38,050 Now with a pre-tax bid-YTW of 4.83% based on a bid of 23.40 and a limitMaturity.

There were thirty-four other $25-equivalent index-included issues trading over 10,000 shares today.

The prospectus for the Co-operators new issue is now on SEDAR and the issue has been added to the HIMIPref™ universe on a preIssue basis. It doesn’t look pretty!