Category: Market Action

Market Action

September 11, 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 4.48% 4.48% 37,112 16.47 1 0.0000% 992.2
Fixed-Floater 4.93% 4.06% 321,535 11.51 6 0.0881% 1,006.6
Floater 4.62% -17.77% 82,722 8.01 4 0.3515% 1,012.6
Op. Retract 4.69% 2.34% 73,541 2.34 18 0.0586% 1,011.3
Split-Share 4.97% 3.68% 53,448 2.74 10 0.0762% 1,011.2
Interest Bearing 6.82% 5.44% 57,055 2.09 7 -0.2739% 1,017.2
Perpetual-Premium 5.15% 4.29% 180,169 4.44 48 0.0009% 1,021.5
Perpetual-Discount 4.61% 4.63% 311,176 16.18 6 -0.1201% 1,029.9
Major Price Changes
Issue Index Change Notes
BAM.PR.S InterestBearing -1.4319% These still have a very high YTW at the closing bid price of 25.47, but not for long! They’re callable at par at the end of the year (see prefInfo or go to the horse’s mouth). All 3,600 shares of today’s trading took place in the range $25.80-95, so the bid probably doesn’t mean much anyway.
BC.PR.B FixedFloater +1.0081% Closed at $25.05-30. This is the counterpart to BC.PR.E … but that reset/ratchet/exchange happened last May, so it’s less exciting than the pair above. BC.PR.E closed at 25.07-15. Boring! What makes it even more boring is that this note is copied almost word-for-word from yesterday’s note!
AL.PR.E Floater +1.2153% Closed at $26.65-82 on volume of 900 shares. PrefInfo shows this as paying a floating rate defined as “Greater of a & b, where b is lesser of c and d; a is 72% of index, c is 100% of index, d is Flat Rate 7.5% (#6)” So it’s 100% of the index … not bad, but will they be called? Why should Alcan pay 100% of prime as a dividend? This is one of life’s mysteries.
Volume Highlights
Issue Index Volume Notes
BAM.PR.H OpRet 115,064 Nesbitt crossed 40,000 @ 27.35, then 70,00 as an internal cross at the same price. This issue has a YTW of 3.13% at the closing bid of $27.34
WN.PR.E PerpetualDiscount 44,253  
BCE.PR.Z FixedFloater 32,798 These closed at 25.45-59. These are exchangable with the BCE.PR.Y Ratchets in December 2007, which closed today at $24.50-79. Hmmm….
PWF.PR.H PerpetualPremium 31,000 Scotia crossed 30,000 @ 26.45
ELF.PR.F PerpetualPremium 30,000 Scotia crossed 30,000 @ 26.30, a very active day for this issue.

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

Market Action

September 8, 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 4.48% 4.50% 38,660 16.49 1 -0.4898% 992.2
Fixed-Floater 4.93% 4.00% 330,454 11.48 6 0.3874% 1,005.7
Floater 4.63% -14.91% 82,516 8.03 4 0.1199% 1,009.0
Op. Retract 4.69% 2.24% 72,889 2.24 18 0.0229% 1,010.7
Split-Share 4.97% 3.49% 52,876 2.71 10 0.1676% 1,010.4
Interest Bearing 6.80% 4.79% 57,175 2.09 7 0.0146% 1,020.0
Perpetual-Premium 5.15% 4.16% 182,472 4.40 48 0.1142% 1,021.5
Perpetual-Discount 4.61% 4.62% 309,777 16.20 6 0.1154% 1,031.2
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater +1.1458% Can’t say I understand the enthusiasm for this issue … sure the coupon is good, at 5.319% … but its reset date is Dec. 1, 2007, and who knows what will happen then? It’s quoted today at 25.60-94. The YTW is 3.37% based on a call at $25 at reset-time. At reset time, these become exchangeable into BCE.PR.Y ratchet-rates, which are currently quoted at 24.41-69. The latter shares are currently paying $0.08125 monthly, or $0.975, which means that the carry on a long-Y/short-Z position is -$0.3548 annually (likely to improve for as long as the Ys trade below their ratchet-upwards price) … and a 1-for-1 conversion, one way or the other is guaranteed in 15 months … you have to consider frictional costs and all that jazz, but this is tempting!
BC.PR.B FixedFloater +1.0183% Closed at 24.80-90. This is the counterpart to BC.PR.E … but that reset/ratchet/exchange happened last May, so it’s less exciting than the pair above. BC.PR.E closed at 25.05-15. Boring!
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 135,575 Nesbitt crossed 120,100 @ 24.30
PWF.PR.A Scraps 133,065 I wouldn’t normally report this (“Scraps”!) but it was on the board yesterday, so why not? Desjardins crossed 60,000 at 25.35, then bought 39,800 from Nesbitt at 25.35, then crossed 30,000 at 25.35. Seems to me like Desjardins has a motivated buyer!
RY.PR.B PerpetualPremium 132,458 RBC crossed 100,000 timestamped after the close at 25.20. Nesbitt crossed 10,000 @ 25.20.
PWF.PR.G PerpetualPremium 125,400 Scotia crossed 125,000 @ 26.55 and they closed at 26.55-63. This is another one of those risky issues … the coupon’s $1.475 and it’s callable starting at $26 in July of next year, declining by $0.25 p.a. If it’s called next July, the yield will have been the YTW of 4.03% … but if PWF keeps the issue alive, netting their high coupon against their declining call premium for a net financing cost of $1.225, it could be called in 2011 with a realized yield of 4.66%. Place yer bets! I don’t like this kind of thing … there’s no upside!
WN.PR.E PerpetualDiscount 108,919  

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

Market Action

September 7, 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% 39,009 16.54 1 +0.6160% 997.1
Fixed-Floater 4.95% 4.18% 334,528 11.47 6 0.1863% 1,001.8
Floater 4.64% -14.27% 82,732 8.03 4 -0.2086% 1,007.8
Op. Retract 4.69% 2.19% 72,272 2.19 18 0.0086% 1,010.5
Split-Share 4.98% 3.51% 53,135 2.71 10 0.2507% 1,008.7
Interest Bearing 6.80% 4.95% 57,200 1.86 7 0.0308% 1,019.9
Perpetual-Premium 5.15% 4.22% 182,443 4.68 48 0.1050% 1,020.3
Perpetual-Discount 4.61% 4.63% 298,584 16.19 6 0.1157% 1,030.0
Major Price Changes
Issue Index Change Notes
FTN.PR.A SplitShare +1.3579% Volume of 1000 shares in a single trade at $10.50. Currently quoted at 10.45-53, 15×10
Volume Highlights
Issue Index Volume Notes
TD.PR.O PerpetualPremium 488,340 A big day as the market closed! RBC crossed 200,000 @ 25.80 at 3:30, Scotia bought 30,000 from RBC @ 25.80 at 3:36, Scotia bought another 50,000 @ 25.80 from RBC at 3:44, Nesbitt crossed 151,000 @ 25.80 at 3:55 and finally Nesbitt crossed another 49,000 @ 25.80 at 3:55. The issue has a YTW of 4.48% at the closing bid of 25.79.
GWO.PR.I PerpetualDiscount 128,990 Nesbitt crossed 100,000 @ 24.30. These are the lowest priced index-included perpetuals.
PWF.PR.A Scraps 122,800 This is a floater paying 70% of Canadian Prime, currently callable at $25.00. It’s not included in the indices due to volume considerations – today was a major exception! Desjardins bought 110,100 from Nesbit at 25.35 in four tranches, then crossed 10,000 at the same price.
GWO.PR.H PerpetualPremium 113,420 Nesbitt crossed 100,000 @ 25.25, which turned out to be the closing bid.
NA.PR.K PerpetualPremium 101,650 Nesbitt crossed 100,000 @ 26.85, which turned out to be the closing bid. This is kind of an interesting issue … coupon is $1.4625 and redemption options start 2008-5-15 @ $26.00, declining by $0.25 annually. The YTW scenario is for redemption as soon as allowed, with a yield of 3.93% … but given the declining redemption premium, the market appears to be betting that this will be put off until NA can redeem at $25.00, which results in a yield of 4.49%. It won’t really take an enormous move in rates to clarify the matter … place yer bets, gents, place yer bets!

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

Market Action

September 6, 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% 39,033 16.51 1 -0.8147% 991.0
Fixed-Floater 4.96% 4.21% 338,654 13.99 6 0.2265% 1,000.0
Floater 4.63% -15.64% 78,789 8.03 4 0.1404% 1,009.9
Op. Retract 4.69% 2.28% 72,104 2.28 18 0.0667% 1,010.4
Split-Share 4.99% 3.86% 53,350 2.75 10 -0.1068% 1,006.2
Interest Bearing 6.80% 4.96% 57,428 1.86 7 0.1029% 1,019.6
Perpetual-Premium 5.16% 4.20% 183,072 4.46 48 -0.0390% 1,019.3
Perpetual-Discount 4.62% 4.63% 293,447 16.18 6 0.0143% 1,028.8
Major Price Changes
Issue Index Change Notes
BC.PR.B FixedFloater +1.9167% Volume of 600 shares in a single trade at $24.79. Currently quoted at 24.46-80, 6×5
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 255,405 Boy, changing the terms on these things really helps out volume, eh?
SLF.PR.B PerpetualPremium 103,150 RBC crossed 100,000 shares at $25.30. These have a pre-tax Yield-to-Worst of 4.62% at the closing bid of $25.27
GWO.PR.I PerpetualDiscount 89,510 BMO crossed a lot of 39,500 @24.30 and another lot of 25,400 shares at the same price
RY.PR.B PerpetualPremium 88,348  
WN.PR.E PerpetualDiscount 85,003 RBC crossed 68,800 @ 24.70. This issue has a pre-tax YTW of 4.89% at the closing bid of 24.66.

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

Market Action

September 5, 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% 4.44% 39,444 16.59 1 1.1537% 999.1
Fixed-Floater 4.97% 4.13% 323,934 13.93 6 -0.1862% 997.7
Floater 4.64% -14.16% 75,883 8.05 4 -0.0100% 1,008.5
Op. Retract 4.69% 2.19% 71,741 2.55 18 0.1813% 1,009.7
Split-Share 4.99% 3.74% 53,766 2.75 10 0.1391% 1,007.3
Interest Bearing 6.81% 4.97% 57,318 1.86 7 0.1005% 1,018.5
Perpetual-Premium 5.16% 4.22% 184,712 4.44 48 0.0280% 1,019.7
Perpetual-Discount 4.62% 4.63% 282,685 16.18 6 0.0614% 1,028.6
Major Price Changes
Issue Index Change Notes
BC.PR.B FixedFloater -1.6393% Now bid at 24.00-89
BCE.PR.S Ratchet +1.1537 On 5,800 shares – a fairly active day for this issue. Now quoted at 24.55-69, 20×31
Volume Highlights
Issue Index Volume Notes
RY.PR.S PerpetualPremium 297,251 This issue has been called for value October 6. Nesbitt crossed 288,000 at $26.09
CM.PR.P PerpetualPremium 175,000 Nesbitt crossed the entire day’s volume at 26.65. The issue has a YTW of 4.46% at the closing bid of 26.58
CM.PR.D PerpetualPremium 105,674 Nesbitt crossed 100,000 @ 27.00. The YTW at this price is 3.59%
GWO.PR.I PerpetualDiscount 94,145 Nesbitt crossed 70,500 @24.30. This issue has the distinction of being the lowest-priced index-included perpetual and has a YTW of 4.63% at the closing bid of 24.25
BAM.PR.B Floater 74,170 Nesbitt crossed 71,000 @ 24.31

There were four other ‘normally priced’ ($25 par value) issues trading over 10,000 shares today.

Market Action

September 1, 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% 37,321 16.52 1 -0.0412% 987.8
Fixed-Floater 4.96% 4.03% 331,865 13.92 6 0.1966% 999.6
Floater 4.64% -14.16% 72,821 8.06 4 0.0000% 1,008.6
Op. Retract 4.70% 1.96% 71,926 2.55 18 0.1124% 1,007.9
Split-Share 4.99% 3.84% 54,189 2.76 10 0.0378% 1,005.9
Interest Bearing 6.82% 5.04% 57,697 1.87 7 0.0306% 1,017.5
Perpetual-Premium 5.16% 4.23% 186,825 4.47 48 0.1272% 1,019.4
Perpetual-Discount 4.62% 4.63% 279,491 16.19 6 -0.1404% 1,028.0
Major Price Changes
Issue Index Change Notes
 
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 296,596  
WN.PR.E PerpetualDiscount 80,296  
BNS.PR.K PerpetualPremium 41,861  
CM.PR.G PerpetualPremium 37,000  
TD.PR.N OpRet 34,760  

There were four other ‘normally priced’ ($25 par value) issues trading over 10,000 shares today.

Market Action

August 31, 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% 4.37% 29,275 16.58 2 0.0406% 988.2
Fixed-Floater 4.97% 4.14% 314,554 13.94 6 0.2749% 997.6
Floater 4.59% -18.25% 60,762 6.44 5 0.0718% 1,008.6
Op. Retract 4.71% 2.39% 73,364 2.55 18 -0.0871% 1,006.7
Split-Share 5.01% 3.42% 54,290 2.73 10 -0.0563% 1,005.5
Interest Bearing 6.82% 5.03% 58,842 1.88 7 0.0612% 1,017.2
Perpetual-Premium 5.25% 4.27% 153,992 3.85 42 0.0663% 1,018.1
Perpetual-Discount 4.69% 4.67% 339,913 11.66 13 0.2667% 1,029.5
Major Price Changes
Issue Index Change Notes
GWO.PR.E OpRet -1.6886%  
BAM.PR.G FixedFloater (but not in index) +2.5437% A busy day for this issue, with 12,600 shares trading. Some traded as high as $26.80! I can’t imagine what all the fuss is about: these are “Fixed-Floater-to-Become-Ratchet-Rate” prefs, which will have their coupon adjusted (down, I bet!) on 2006-11-01; the alternative is to convert to ratchets. I don’t see any news releases, particularly not any that would indicate they’re going to increase the dividend! I think somebody just got suckered, that’s what I think. Holders can exchange into BAM.PR.E if they like, on 2006-11-01
BAM.PR.E Ratchet (but not in index) +1.0342% The bid’s way up on zero volume! Holders can exchange into BAM.PR.G on 2006-11-01, if they like. It’s all very mysterious.
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 329,826  
WN.PR.E PerpetualDiscount 23,110  
SLF.PR.B PerpetualDiscount 20,680  
GWO.PR.I PerpetualDiscount 14,620  
BNS.PR.J PerpetualPremium 14,054 Nesbitt crossed 10,000 @ $27.00. The issue has a YTW of 4.10% at the closing bid price of $26.95

There were four other ‘normally priced’ ($25 par value) issues trading over 10,000 shares today.

Market Action

August 30, 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% 4.37% 29,755 16.59 2 0.0203% 987.8
Fixed-Floater 4.99% 4.22% 295,464 13.93 6 0.2351% 994.9
Floater 4.59% -18.06% 61,890 6.44 5 -0.0157% 1,007.9
Op. Retract 4.70% 2.47% 73,737 2.56 18 0.1755% 1,007.6
Split-Share 5.01% 3.46% 54,504 2.74 10 -0.0905% 1,006.1
Interest Bearing 6.82% 5.13% 59,583 1.88 7 0.0838% 1,016.6
Perpetual-Premium 5.25% 4.25% 155,939 4.09 42 0.1016% 1,017.4
Perpetual-Discount 4.70% 4.68% 342,629 12.39 13 0.0884% 1,026.7
Major Price Changes
Issue Index Change Notes
BC.PR.B FixedFloater +2.1268% A bid came back to offset yesterday’s swoon … partially! No shares were traded. The quote is now 24.01-85, 5×5.
GWO.PR.E OpRet +1.2542% On light volume of 991 shares, with only 100 shares bid at $26.65
Volume Highlights
Issue Index Volume Notes
RY.PR.B PerpetualDiscount 230,995 Increased volume of late may mean that new-issue buyers see an opportunity to exit … or that unsold inventory is being cleared out … or nothing at all. Take your pick. Since the first day of trading, July 20, the PerpetualDiscount index is up a shade over 2.5%
GWO.PR.H PerpetualDiscount 50,035  
BC.PR.C FixedFloater 42,419  
MFC.PR.B PerpetualDiscount 38,150 Nesbitt bought a total of 25,000 from various dealers at $25.00 shortly before the close.
PWF.PR.L PerpetualPremium 34,300 RBC crossed 27,000 @ 25.80

There were seven other ‘normally priced’ ($25 par value) issues trading over 10,000 shares today.

Market Action

August 29, 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% 4.36% 29,445 16.60 2 0.0205% 987.6
Fixed-Floater 5.00% 4.23% 297,397 13.90 6 -0.7880% 992.5
Floater 4.59% -17.67% 62,819 6.45 5 -0.2588% 1,008.1
Op. Retract 4.71% 2.92% 74,696 2.61 18 -0.0591% 1,005.8
Split-Share 5.00% 3.34% 54,793 2.74 10 0.0490% 1,007.0
Interest Bearing 6.83% 5.08% 59,137 2.12 7 0.1998% 1,015.7
Perpetual-Premium 5.25% 4.06% 156,781 3.80 42 0.1772% 1,016.4
Perpetual-Discount 4.70% 4.70% 333,155 12.37 13 0.1058% 1,025.8
Major Price Changes
Issue Index Change Notes
BC.PR.B FixedFloater -5.7338% A sale of 650 shares by RBC (retail, surely!) took out the bid with a closing price of $24.50 and left the closing bid at $23.51. It’s probable that a bid will be back tomorrow … but on the other hand, this trade occurred at 2:40pm and nothing had materialized by way of a bid until the 4pm close
AL.PR.E Floater -1.3208% Total volume 8,800 shares, a relatively active day for this issue.
FFN.PR.A SplitShare -1.2915% Closing bid = closing price = $10.37, implying a YTW of 4.02% on this issue, above average for a split-share.
PWF.PR.J OpRet -1.0428% Volume 4,175 shares, marginally above average for this issue
Volume Highlights
Issue Index Volume Notes
RY.PR.B PerpetualDiscount 127,277  
SLF.PR.A PerpetualDiscount 60,880 RBC bought 50,000 from TD just before the close @25.20
BAM.PR.K Floater 51,750 Scotia crossed 50,000 @ 24.30
SLF.PR.C PerpetualDiscount 34,600 Nesbitt bought 32,000 in five tranches – 1,000 from CIBC, the remainder from RBC
IAG.PR.A PerpetualDiscount 24,200 Nesbitt executed an internal cross of 23,800 shares at $24.91

There were thirteen other index-included issues with volumes of more than 10,000 shares.

 Another strong day, at least for the perpetuals! Strong enough, in fact, that two issues crossed over into negative YTW territory:

 ENB.PR.A is now bid at $25.69 even though it is currently callable at $25.50, with the redemption price slated to tick down a quarter in December.

RY.PR.O is now bid at $25.70, although it is currently callable at $25.50; the redemption price will next tick down a quarter in August 2007.

Market Action

August 28, 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 4.38% 4.36% 29,022 16.56 2 0.0405% 987.4
Fixed-Floater 4.96% 4.20% 299,177 13.99 6 -0.3358% 1,000.4
Floater 4.58% -20.07% 60,790 6.44 5 0.0557% 1,010.7
Op. Retract 4.70% 2.72% 74,016 2.61 18 0.1291% 1,006.4
Split-Share 5.00% 3.58% 55,089 2.74 10 0.0753% 1,006.5
Interest Bearing 6.83% 5.20% 58,720 2.11 7 0.0696% 1,013.7
Perpetual-Premium 5.26% 4.30% 158,496 3.88 42 0.0397% 1,014.6
Perpetual-Discount 4.70% 4.70% 327,845 12.36 13 0.0817% 1,024.7
Major Price Changes
Issue Index Change Notes
No major price changes in index-included issues today.
Volume Highlights
Issue Index Volume Notes
RY.PR.B PerpetualDiscount 24,155  
SLF.PR.C PerpetualDiscount 16,520  
GWO.PR.I PerpetualDiscount 16,159  
PWF.PR.L PerpetualPremium 14,205  
SLF.PR.A PerpetualDiscount 13,470  

There were four other index-included issues with volumes of more than 10,000 shares.