Category: Market Action

Market Action

September 25, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.39% 4.42% 46,271 16.61 1 0.0805% 1,012.2
Fixed-Floater 4.89% 3.95% 279,401 8.97 6 0.1909% 1,013.7
Floater 4.63% -18.44% 99,074 8.11 4 0.0501% 1,017.0
Op. Retract 4.68% 2.37% 82,645 2.37 18 0.0920% 1,015.3
Split-Share 4.98% 3.21% 59,456 2.68 10 0.0750% 1,011.7
Interest Bearing 6.86% 4.71% 55,751 2.06 7 -0.1747% 1,021.0
Perpetual-Premium 5.13% 4.01% 176,804 4.15 48 0.0477% 1,027.4
Perpetual-Discount 4.58% 4.60% 331,842 16.24 6 0.2305% 1,039.0
Major Price Changes
Issue Index Change Notes
IAG.PR.A PerpetualDiscount +1.0101% Closed at 25.00-10. Won’t be a “Discount” for much longer at this rate!
ACO.PR.A OpRet +1.2887% Pre-Tax YTW 3.04% based on a call at $26.00 in December 2008. A reasonable chance of doing better, given its unusually steeply declining premium. I’ll have to write a proper comment about this issue …
Volume Highlights
Issue Index Volume Notes
CM.PR.E PerpetualPremium 66,870 Pre-Tax YTW of only 4.18% at the closing bid of $26.89
CM.PR.A OpRet 55,635 Pre-Tax YTW only 1.02% at the closing bid of $27.21, based on a call at $25.75 in November 2007.
BC.PR.E Scraps 50,930 The volume’s increasing on this little guy! He’ll be eligible for inclusion in the ratchet rate index soon!
CM.PR.H PerpetualPremium 26,630 Not a bad issue at the closing quote of 25.46-57… Pre-Tax YTW of 4.66% based on a call in 2014 at par.
BAM.PR.B Floater 25,905  

There were sixteen other index-included issues trading over 10,000 shares today.

Market Action

September 22, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.40% 4.44% 45,781 16.59 1 0.0805% 1,011.4
Fixed-Floater 4.90% 4.00% 287,783 8.97 6 -0.0910% 1,011.8
Floater 4.64% -18.70% 96,595 8.10 4 -0.0396% 1,016.5
Op. Retract 4.68% 2.32% 82,179 2.20 18 0.0435% 1,014.4
Split-Share 4.98% 3.07% 58,538 2.68 10 0.0191% 1,011.0
Interest Bearing 6.86% 4.61% 55,813 2.08 7 -0.0017% 1,022.8
Perpetual-Premium 5.13% 3.85% 176,827 4.12 48 0.0660% 1,026.9
Perpetual-Discount 4.59% 4.60% 331,945 16.23 6 0.0407% 1,036.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute value of returns greater than 1% today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 261,340 RBC crossed 50,000 @ $24.68, then Scotia crossed 150,000 at the same price.
FTN.PR.A SplitShare 134,240 Scotia crossed 60,000 @ $10.43, then 71,000 at the same price about 80 minutes later. These have a pre-tax YTW of 3.42% at the closing bid of $10.41, maturing in December 2008.
BC.PR.E Scraps 131,600 Scotia crossed 50,000 @ 25.17, then 80,000 at the same price. This is a ratchet-rate preferred, paying $0.10 monthly, or $1.20 p.a., or 4.8% of face, or 80% of prime. It was discussed briefly in this post
GWO.PR.H PerpetualPremium 107,075 Scotia crossed 99,900 @25.40.
POW.PR.B PerpetualPremium 105,000 RBC crossed 100,000 @ 25.85.

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

Market Action

September 21, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.41% 4.44% 44,742 16.57 1 0.3232% 1,010.5
Fixed-Floater 4.90% 3.96% 296,813 8.97 6 -0.1241% 1,012.7
Floater 4.63% -18.12% 96,823 8.13 4 0.1099% 1,016.9
Op. Retract 4.69% 2.25% 82,807 2.20 18 0.0270% 1,013.9
Split-Share 4.98% 3.04% 58,243 2.68 10 -0.0914% 1,010.8
Interest Bearing 6.86% 4.47% 56,345 2.08 7 0.0925% 1,022.8
Perpetual-Premium 5.14% 4.11% 177,754 4.16 48 0.0904% 1,026.2
Perpetual-Discount 4.59% 4.61% 326,749 16.23 6 0.0966% 1,036.2
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute value of returns greater than 1% today.
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 333,237 Pre-tax YTW 3.65% at the closing bid of $27.15, the second best in the OpRet index, based on a call in December 2008 at $26. It could very well survive longer, however, since the call price declines by $0.50 p.a.
CM.PR.D PerpetualPremium 51,200 Pre-tax YTW of only 3.54% at the closing bid of $27.07, not particularly good for a perp., but I suppose the $1.4375 annual dividend is high enough to convince the market to treat it as a retractible. But I’d rather pay $27.10 for the BNS.PR.J!
WN.PR.E PerpetualDiscount 42,352  
TD.PR.O PerpetualPremium 30,579  
SLF.PR.C PerpetualDiscount 29,790  

There were fourteen other index-included issues trading over 10,000 shares today.

Market Action

September 20, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.43% 4.46% 44,483 16.54 1 0.1619% 1,007.3
Fixed-Floater 4.89% 3.87% 304,429 8.96 6 0.0337% 1,014.0
Floater 4.64% -18.23% 97,098 8.11 4 0.1705% 1,015.8
Op. Retract 4.69% 2.33% 83,044 2.39 18 0.0084% 1,013.6
Split-Share 4.98% 3.05% 57,549 2.69 10 0.1534% 1,011.7
Interest Bearing 6.86% 4.60% 56,882 2.08 7 0.0674% 1,021.9
Perpetual-Premium 5.14% 4.03% 178,277 4.18 48 0.0860% 1,025.3
Perpetual-Discount 4.60% 4.61% 322,817 16.22 6 0.1568% 1,035.2
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute value of returns greater than 1% today.
Volume Highlights
Issue Index Volume Notes
POW.PR.B PerpetualPremium 66,464 Went ex-dividend today
WFS.PR.A SplitShare 55,000 Scotia crossed 50,000 @ 10.65. An attractive issue, with a pre-tax YTW of 3.86% and a modified duration of 4.24 years based on a June 30, 2011, maturity.
GWO.PR.I PerpetualDiscount 51,295 Pre-tax YTW now 4.60 at the closing bid of $24.51.
CU.PR.A PerpetualPremium 50,500 RBC crossed 50,000 @ $26.90. The pre-tax YTW is only 3.59%, based on a March, 2008 call. If it survives through the declining-premium period until March 2012, its yield will have been 4.37%. Pays $1.45 (with a Pfd-2 rating from DBRS), so there’s a reasonable chance it will make it. Still … only 4.37% at best, with no upside on yield declines! Pass.
PWF.PR.I PerpetualPremium 40,500 Scotia crossed 38,000 @ $26.95. An even higher-premium issue than the CU.PR.A, above, paying $1.50 with a pre-tax YTW of 3.91% based on a May, 2008, call. 4.59% if it survives to 2012 and the $25.00 call price, but you won’t catch me betting on it!

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

Market Action

September 19, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.44% 4.47% 44,205 16.52 1 0.6517% 1,005.7
Fixed-Floater 4.90% 3.83% 311,685 8.94 6 -0.1302% 1,013.7
Floater 4.65% -16.90% 97,467 8.12 4 -0.1495% 1,014.0
Op. Retract 4.69% 2.24% 83,257 2.39 18 0.0480% 1,013.6
Split-Share 4.99% 3.07% 56,534 2.69 10 -0.1046% 1,010.2
Interest Bearing 6.87% 4.71% 56,441 2.09 7 -0.0514% 1,021.2
Perpetual-Premium 5.14% 4.17% 179,918 4.20 48 0.0894% 1,024.4
Perpetual-Discount 4.61% 4.62% 322,419 16.21 6 0.0001% 1,033.6
Major Price Changes
Issue Index Change Notes
FTN.PR.A SplitShare -1.0476% On volume of 3,165 shares
Volume Highlights
Issue Index Volume Notes
BAM.PR.K Floater 56,700 Scotia crossed 50,000 @ 24.25
GWO.PR.I PerpetualDiscount 40,375 The cheapest perpetual around, paying $1.125 annually and quoted at 24.47-55. Why it should trade for less than RY.PR.A, quoted at 24.75-87, paying 1.1125, is quite beyond me.
TD.PR.O PerpetualPremium 38,230 An entirely reasonable issue, with a YTW of 4.47% based on a call in November 2014.
IGM.PR.A OpRet 23,120 The most expensive (relative to par) index-included issue tracked by HIMIPref™. YTW of 2.95% based on a call in 2009; 3.86% if it survives until 2013.
GWO.PR.H PerpetualPremium 22,240  

There were twelve other index-included issues trading over 10,000 shares today.

And, best of all, I was able to recover prices from the TSX with no hitches!

Market Action

September 18, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.47% 4.50% 44,706 16.47 1 -0.0407% 999.2
Fixed-Floater 4.89% 3.85% 316,342 11.56 6 0.3491% 1,015.0
Floater 4.64% -17.54% 94,607 8.13 4 0.3606% 1,015.5
Op. Retract 4.69% 2.41% 81,521 2.39 18 0.0333% 1,013.1
Split-Share 4.98% 3.29% 56,610 2.69 10 -0.1171% 1,011.2
Interest Bearing 6.85% 4.61% 56,052 2.08 7 0.1230% 1,021.7
Perpetual-Premium 5.14% 4.15% 180,829 4.19 48 -0.0230% 1,023.5
Perpetual-Discount 4.61% 4.61% 322,780 16.22 6 0.1835% 1,033.6
Major Price Changes
Issue Index Change Notes
No index-included issues had bid/bid price changes in excess of 1% today.
Volume Highlights
Issue Index Volume Notes
WN.PR.A PerpetualPremium 103,800  
BNS.PR.K PerpetualPremium 66,325  
RY.PR.B PerpetualPremium 56,970  
PWF.PR.L PerpetualPremium 56,800  
SLF.PR.B PerpetualPremium 54,900  

There were seventeen other index-included issues trading over 10,000 shares today.

Market Action

September 15, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.47% 4.49% 44,215 16.49 1 0.0407% 999.6
Fixed-Floater 4.91% 3.88% 320,079 11.53 6 0.0529% 1,011.4
Floater 4.66% -15.45% 95,396 8.12 4 0.3020% 1,011.9
Op. Retract 4.69% 2.54% 80,772 2.40 18 0.0728% 1,012.7
Split-Share 4.98% 2.29% 56,485 2.70 10 0.2561% 1,012.4
Interest Bearing 6.86% 4.69% 56,971 2.09 7 -0.0011% 1,020.5
Perpetual-Premium 5.14% 4.16% 179,827 4.24 48 0.0089% 1,023.7
Perpetual-Discount 4.61% 4.62% 321,973 16.21 6 0.1369% 1,031.7
Major Price Changes
Issue Index Change Notes
No index-included issues had bid/bid price changes in excess of 1% today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.X OpRet 201,884 YTW is 2.82% based on a call in 2009; YTM is 3.28% if it survives until its soft retraction in 2013.
BAM.PR.K Floater 188,450  
WN.PR.B OpRet 182,875 YTW 3.12% based on call in 2009 immediately prior to retraction period.
CM.PR.B PerpetualPremium 137,600 YTW 4.23% based on call effective March ’07; it pays $1.50, just a shade under the RY.PR.S, which paid $1.525 and were called at a similar premium at the first opportunity.
WN.PR.E PerpetualDiscount 111,221  

There were twenty-two other index-included issues trading over 10,000 shares today.

Market Action

September 14, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.47% 4.49% 41,817 16.49 1 0.0000% 999.2
Fixed-Floater 4.91% 3.94% 314,996 11.53 6 0.1484% 1,010.9
Floater 4.67% -12.70% 91,194 8.14 4 -0.2448% 1,008.9
Op. Retract 4.70% 2.52% 78,745 2.40 18 -0.0240% 1,012.0
Split-Share 4.99% 3.08% 55,308 2.70 10 -0.2135% 1,009.8
Interest Bearing 6.86% 4.76% 57,113 2.09 7 0.1203% 1,020.5
Perpetual-Premium 5.15% 4.19% 180,543 4.40 48 0.0496% 1,023.0
Perpetual-Discount 4.62% 4.63% 311,417 16.20 6 0.1087% 1,030.3
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.8868% Now quoted at an attractive YTW of 3.98% (as dividends!), based on a maturity 2009-12-01 and a bid price of $10.40.
BCE.PR.R FixedFloater +1.3732% It did this on a high volume of 100,800 shares. Can’t think why – they look rather expensive to me!
Volume Highlights
Issue Index Volume Notes
GWO.PR.X OpRet 402,470 These have a YTW of 2.82% at the closing bid of 27.35, based on a call in 2009 at $26.00. If they survive until their soft-maturity in 2013, the yield from today’s closing bid of $27.35 will be 3.28%. The dividend’s only $1.20 and GWO will save $0.25 annually by delaying, so there’s a good chance they’ll make it!
TOC.PR.B Floater 173,900  
BC.PR.E Scraps 133,900 A ratchet-rate issue, discussed here, currently ignomiously in “Scraps” due to low volume.
BCE.PR.R Fixed Floater 100,800 A powerful day, performance (bid/bid) +1.3732% on this volume. Can’t think who might have wanted it so badly! It pays only $1.135 until 2010-12-1, at which point the rate will be reset and holders might have to convert to the (currently non-existent) ratchet-rate.
BAM.PR.K Floater 93,550  

There were thirteen other index-included issues trading over 10,000 shares today.

Market Action

September 13, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.46% 4.49% 40,775 16.50 1 -0.2033% 999.2
Fixed-Floater 4.92% 3.89% 315,244 11.51 6 0.1723% 1,009.4
Floater 4.65% -16.89% 86,632 8.06 4 0.1107% 1,011.3
Op. Retract 4.69% 2.36% 76,486 2.40 18 0.0709% 1,012.2
Split-Share 4.98% 2.81% 53,431 2.71 10 0.2255% 1,012.0
Interest Bearing 6.86% 4.89% 58,000 2.09 7 0.2051% 1,019.2
Perpetual-Premium 5.15% 4.25% 182,619 4.45 48 0.0361% 1,022.5
Perpetual-Discount 4.62% 4.63% 312,630 16.19 6 0.0382% 1,029.2
Major Price Changes
Issue Index Change Notes
BAM.PR.S InterestBearing +1.1815%  
Volume Highlights
Issue Index Volume Notes
RY.PR.B PerpetualPremium 245,470  
BAM.PR.K Floater 202,000  
WN.PR.C PerpetualPremium 170,410  
PWF.PR.K PerpetualPremium 115,300  
GWO.PR.I PerpetualDiscount 62,550  

There were twenty-one other index-included issues trading over 10,000 shares today.

Market Action

September 12, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.45% 4.47% 39,089 16.52 1 0.9024% 1,001.2
Fixed-Floater 4.92% 3.95% 317,347 11.49 6 0.1072% 1,007.7
Floater 4.63% -15.40% 85,825 8.04 4 -0.2357% 1,010.2
Op. Retract 4.68% 2.40% 74,431 2.40 18 0.0231% 1,011.5
Split-Share 4.97% 3.75% 53,053 2.73 10 -0.1466% 1,009.7
Interest Bearing 6.82% 5.54% 57,182 2.09 7 -0.0066% 1,017.2
Perpetual-Premium 5.14% 4.27% 179,804 4.28 48 0.0583% 1,022.1
Perpetual-Discount 4.62% 4.64% 313,266 16.16 6 -0.1147% 1,028.8
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater -1.0822% Giving up most of yesterday’s gains on volume of 560 shares.
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 202,370 Nesbitt crossed 200,000 @ $27.23. This issue has a YTW of only 1.11% at the closing bid of 27.17, based on a call at the first opportunity, commencing 2007-10-31 at a price of 25.75. The annual dividend of $1.325 is very rich for a highly rated operating retractible – CGI.PR.C trades at a fat premium paying only $0.975 – but even if the issue survives until just before its retraction date it will only have yielded 3.52%
BAM.PR.B Floater 126,910 Nesbitt executed an internal cross of 87,300 shares at 24.31
TD.PR.O PerpetualPremium 109,200  
PWF.PR.A Scraps 42,300 Desjardins crossed 20,000 @ 25.35, then bought 21,300 from Nesbitt at the same price. This issue is in the “Scraps” index due to its normally low volume, so today is a red-letter day!
GWO.PR.I PerpetualDiscount 37,150  

There were sixteen other index-included issues trading over 10,000 shares today.