Category: Market Action

Market Action

May 11, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.80% 4.82% 44,115 15.86 2 -0.5248% 978.5
Fixed-Floater 5.45% 4.74% 134,397 16.06 6 -0.3694% 948.6
Floater 4.78% -5.63% 75,502 0.72 3 0.1997% 1,051.9
Op. Retract 4.74% 3.31% 84,129 2.35 17 -0.0270% 1,033.1
Split-Share 4.97% 4.36% 163,814 4.01 12 +0.0906% 1,044.8
Interest Bearing 6.52% 5.41% 62,608 2.22 5 +0.0646% 1,045.7
Perpetual-Premium 5.13% 4.36% 170,085 5.23 48 -0.0242% 1,050.5
Perpetual-Discount 4.62% 4.65% 794,916 16.10 19 -0.0077% 1,052.3
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixFloat -2.1538% Exchange/Reset Date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 22.26-73, 1×8.
BCE.PR.S Ratchet -1.4862% Exchange/Reset date is 2011-11-1 (Exchanges with BCE.PR.T, which pays 4.502% until then). Closed at 23.20-50, 1×2; Ts closed at 22.00-49, 5×1.
BCE.PR.A FixFloat -1.0634% Exchange/Reset date is 2007-9-1 (Exchanges with series ‘AB’, not issued); until then pays 5.03% of par. Closed at 23.26-47, 3×5.
NA.PR.K PerpetualPremium -1.0586% The bid just disappeared! Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.17 and (i) a call 2010-6-14 at 25.50, or (ii) a call 2011-6-14 at 25.25, or (iii) a call 2012-6-14 at 25.00. Each scenario gives the same yield, to two decimal places.
MFC.PR.A OpRet -1.0582% Now with a pre-tax bid-YTW of 3.56% based on a bid of 26.18 and a softMaturity 2015-12-18 at 25.00.
MFC.PR.C PerpetualDiscount -1.0459% Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.60 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
TOC.PR.B Scraps (Would be Floater, but there are volume concerns) 113,910 Desjardins crossed 100,000 at 25.40. This issue is currently on Credit Watch Negative by DBRS & Moodys.
WN.PR.D PerpetualPremium 94,425 Scotia crossed 80,000 at 25.00. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.95 and a limitMaturity. This issue has been recently downgraded by S&P to P-3(High) and is the subject of a Credit Watch Negative by DBRS.
WN.PR.C PerpetualPremium 90,732 Scotia crossed 82,100 at 25.00. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.95 and a limitMaturity. Credit-wise, in the same boat as WN.PR.D, above.
RY.PR.B PerpetualPremium 29,140 Nesbitt crossed 14,300 at 25.50. Now with a pre-tax bid-YTW of 4.43% based on a bid of 25.47 and a call 2015-9-23 at 25.00.
BNS.PR.M PerpetualDiscount 25,175 Scotia crossed 12,800 at 24.89. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.90 and a limitMaturity.

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

Market Action

May 10, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.74% 4.80% 43,199 16.02 2 0.0000% 983.7
Fixed-Floater 5.43% 4.69% 136,206 16.14 6 -0.3453% 952.1
Floater 4.79% -3.66% 77,599 5.62 3 -0.1723% 1,049.8
Op. Retract 4.74% 3.26% 84,254 2.35 17 -0.0109% 1,033.4
Split-Share 4.97% 4.37% 167,000 4.01 12 -0.2354% 1,043.8
Interest Bearing 6.52% 6.07% 62,837 3.39 5 -0.1457% 1,045.1
Perpetual-Premium 5.13% 4.35% 170,483 5.16 48 +0.0188% 1,050.8
Perpetual-Discount 4.62% 4.65% 815,775 16.11 19 -0.1083% 1,052.4
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixFloat -1.1106% Exchange/Reset Date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 22.26-74, 7×2.
BCE.PR.G FixFloat -1.0667% Exchange/Reset date is 2011-05-01 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 22.26-60, 2×8; Hs closed at 23.26-49, 8×49.
WFS.PR.A SplitShare -1.0427% Now with a pre-tax bid-YTW of 4.26% based on a bid of 10.44 and a hardMaturity 2011-6-30 at $10.00. Asset coverage is about 2.3:1, based on April 30 NAV.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 55,438 Recent new issue. Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.45 and a limitMaturity.
BAM.PR.K Floater 54,850 TD bought a total of 50,000 from RBC in three tranches, each at 24.90.
CM.PR.I PerpetualPremium 43,165 Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.17 and a call 2016-3-1 at 25.00
BNS.PR.M PerpetualDiscount 24,620 Recent new issue. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.87 and a limitMaturity.
SLF.PR.A PerpetualPremium 18,080 Now with a pre-tax bid-YTW of 4.46% based on a bid of 25.60 and a call 2014-4-30 at 25.00.

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

Market Action

May 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 4.71% 4.76% 44,233 16.08 2 -0.1915% 983.7
Fixed-Floater 5.41% 4.64% 136,343 16.23 6 -0.0197% 955.4
Floater 4.78% -5.14% 77,128 0.72 3 -0.1416% 1,051.7
Op. Retract 4.74% 3.24% 84,671 2.36 17 +0.0515% 1,033.5
Split-Share 4.96% 4.25% 169,759 4.01 12 +0.0111% 1,046.3
Interest Bearing 6.51% 6.02% 63,426 3.40 5 -0.1526% 1,046.6
Perpetual-Premium 5.13% 4.33% 171,967 5.17 48 +0.0328% 1,050.6
Perpetual-Discount 4.62% 4.65% 835,451 16.12 19 -0.0274% 1,053.5
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater -1.0089% More apparent fallout from the proposed acquisition.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualPremium 128,120 Now with a pre-tax bid-YTW of 4.64% based on a bid of 25.20 and a call 2016-3-1.
BMO.PR.J PerpetualDiscount 77,570 Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.66 and a limitMaturity.
TD.PR.O PerpetualPremium 64,885 Now with a pre-tax bid-YTW of 4.29% based on a bid of 25.97 and a call 2014-11-30 at 25.00
CM.PR.H PerpetualPremium 55,555 Now with a pre-tax bid-YTW of 4.42% based on a bid of 25.65 and a call 2014-4-29 at 25.00
NA.PR.L PerpetualPremium 29,198 Now with a pre-tax bid-YTW of 4.37% based on a bid of 25.74 and a call 2014-6-14 at 25.00.

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

Market Action

May 8, 2007

Up to my old tricks! Instead of using the May 7 report as a template for the May 8 report, I over-wrote it … so the May 7 report is gone forever. Sorry!

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 4.66% 4.68% 45,424 16.12 2 +0.1068% 985.6
Fixed-Floater 5.41% 4.61% 137,569 16.28 6 -1.5764% 955.6
Floater 4.77% -8.72% 73,508 6.22 3 +0.0405% 1,053.1
Op. Retract 4.74% 3.23% 84,913 2.54 17 +0.0093% 1,033.0
Split-Share 4.96% 4.22% 171,492 3.88 12 -0.1230% 1,046.2
Interest Bearing 6.50% 5.88% 63,129 2.24 5 +0.0395% 1,048.2
Perpetual-Premium 5.13% 4.31% 170,070 5.15 48 +0.0446% 1,050.2
Perpetual-Discount 4.61% 4.64% 766,146 16.14 18 +0.0523% 1,053.8
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixFloat -3.2609% Exchange/Reset date is 2007-12-1 (exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 23.26-56, 2×1; the Ys closed at 23.10-67, 3×2.
BCE.PR.R FixFloat -2.1730% Exchange/Reset date is 2010-12-1 (Exchanges with Series ‘Q’, not issued); until then pays 4.54% of par. Closed at 22.51-00, 5×3.
BCE.PR.C FixFloat -1.9665% Exchange/Reset date is 2008-3-1 (exchanges with Series ‘AD’, not issued); until then pays 5.54% of par. Closed at 23.43-73, 1×5.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 189,850 Recent new issue. Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.48 and a limitMaturity.
BNS.PR.L PerpetualDiscount 115,154 Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.84 and a limitMaturity.
AL.PR.E Floater 103,100 Presumably due to uncertainty regarding the Credit-Watch: Developing.
POW.PR.D PerpetualPremium 58,420 Scotia crossed 56,000 at 25.80. Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.72 and a call 2014-11-30 at 25.00.
CM.PR.H PerpetualPremium 57,895 Now with a pre-tax bid-YTW of 4.41% based on a bid of 25.65 and a call 2014-4-29 at 25.00.

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

Market Action

May 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 4.58% 4.59% 43,333 16.28 2 -0.3161% 990.0
Fixed-Floater 5.33% 4.48% 135,556 16.51 6 +0.1191% 970.0
Floater 4.72% -20.46% 73,173 10.96 3 +0.0395% 1,064.3
Op. Retract 4.73% 3.16% 85,916 2.32 17 +0.0848% 1,034.0
Split-Share 4.96% 4.16% 175,793 3.89 12 +0.0203% 1,046.5
Interest Bearing 6.49% 4.87% 61,987 2.24 5 +0.0788% 1,049.2
Perpetual-Premium 5.13% 4.53% 170,664 5.25 48 +0.0360% 1,050.2
Perpetual-Discount 4.61% 4.63% 790,950 16.15 18 -0.0460% 1,053.8
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixFloat -1.3072% Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then pays 4.65% of par. Good volume today of 17,292 shares in a range of 22.90-00, so it seems a little unfair that it was down, closing at 22.65-00, 22×14.
WN.PR.E PerpetualDiscount -1.0309% Downgraded yesterday by S&P. Now with a pre-tax bid-YTW of 4.99% based on a bid of 24.00 and a limitMaturity. Still the lowest-yielding Weston Perpetual – see the comparables.
WN.PR.D PerpetualPremium +1.0121% Downgraded yesterday by S&P … what, me worry? Now with a pre-tax bid-YTW of 5.26% based on a bid of 24.95 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
TOC.PR.B Scraps (would be Floater, but there are volume concerns) 530,500 Presumably due to the rumours of a bid for Reuters. This young feller-me-lad pays 70% of Canadian Prime on par value, and closed today up a bit, at 25.30-54, 3×2. Callable any time at $25.00.
FBS.PR.B SplitShare 530,500 What’s a mature split-share doing with this kind of volume? Better ask Nesbitt, they crossed 500,000 at 10.13. Callable every December 15 at $10, until maturity at $10.00 2011-12-15 … the pre-tax bid-YTW is 2.78% based on a bid of 10.20 and a call 2008-1-14 (heh … the inclusion in the programming of maturityNoticePeriod leads to imprecision on occasion. Oh, well, sue me …) at $10.00. The buyer is obviously hoping that the shares (or at least a significant fraction thereof) will survive until the hardMaturity 2011-12-15, to have yielded 4.45%. And, mind you, the big buyer only paid 10.13 for them (plus commission!), so it’s not as bad as it looks.
BNS.PR.L PerpetualPremium 118,645 Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.92 and a limitMaturity.
CM.PR.H PerpetualPremium 112,840 Now with a pre-tax bid-YTW of 4.37% based on a bid of 25.70 and a call 2014-4-29 at 25.00.
RY.PR.G PerpetualDiscount 110,700 Recent new issue. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.51 and a limitMaturity.
SLF.PR.A PerpetualPremium 58,305 Now with a pre-tax bid-YTW of 4.44% based on a bid of 25.61 and a call 2014-4-30 at 25.00.

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

Market Action

May 3, 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 4.54% 4.54% 43,015 16.36 2 +1.9433% 993.1
Fixed-Floater 5.34% 4.46% 132,904 16.55 6 +0.4778% 968.9
Floater 4.72% -20.35% 74,024 10.96 3 -0.2077% 1,063.9
Op. Retract 4.74% 3.11% 85,438 2.59 17 -0.0860% 1,033.1
Split-Share 4.96% 4.17% 177,638 3.89 12 +0.0845% 1,046.3
Interest Bearing 6.50% 4.76% 62,536 2.24 5 -0.0196% 1,048.4
Perpetual-Premium 5.13% 4.53% 170,598 5.23 48 -0.1002% 1,049.8
Perpetual-Discount 4.61% 4.63% 796,170 16.16 18 -0.1202% 1,054.3
Major Price Changes
Issue Index Change Notes
WN.PR.D PerpetualPremium (for now!) -2.2556% Downgraded today by S&P. Now with a pre-tax bid-YTW of 5.32% based on a bid of 24.70 and a limitMaturity.
WN.PR.C PerpetualPremium (for now!) -1.5804% Downgraded today. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.91 and a limitMaturity.
WN.PR.E PerpetualDiscount -1.4628% Downgraded today. Now with a pre-tax bid-YTW of 4.94% based on a bid of 24.25 and a limitMaturity.
WN.PR.A PerpetualPremium -1.3261% Downgraded today. Now with a pre-tax bid-YTW of 5.71% based on a bid of 25.30 and a call 2011-1-14 at 25.00.
BCE.PR.H Ratchet +1.4951% Exchange/Reset date is 2011-05-01 (Exchange with BCE.PR.G, which pays 4.35% of par until then). The only trading today was a buy of 1,000 shares by MacDougall, executed in four tranches at prices from 23.98-07. Closed at 23.76-28, 3×4. The Gs closed at 22.50-74, 7×3.
BCE.PR.R FixFloat +1.5071% Exchange/Reset date is 2010-12-01 (Exchange with series ‘Q’, not issued); until then, pay 4.54% of par. Nesbitt crossed 200,000 at 22.95. Closed at 22.90-05, 10×2.
BCE.PR.S Ratchet +2.3965% Exchange/Reset date is 2011-11-1 (Exchange with BCE.PR.T, which pay 4.502% of par until then). Closed at 23.50-75, 7×1.
Volume Highlights
Issue Index Volume Notes
BCE.PR.R FixFloat 206,800 Discussed above.
SLF.PR.E PerpetualDiscount 131,800 TD crossed 99,100 at 24.85, then another 25,000 at the same price. Now with a pre-tax bid-YTW of 4.57% based on a bid of 24.81 and a limitMaturity.
BAM.PR.E Scraps (Would be Ratchet, but there are volume concerns) 110,000 One trade, crossed for cash by Desjardins.
BCE.PR.Z FixFloat 104,318 Desjardins crossed 100,000 at 23.81. Exchange/Reset date is 2007-12-1 (Exchange with BCE.PR.Y); until then, pay 5.319% of par. The Zs closed at 23.80-90, 27×18; the Ys at 23.60-74, 7×2.
CM.PR.H PerpetualPremium 85,647 RBC crossed 50,000 at 25.68; National Bank crossed 24,000 at the same price. Now with a pre-tax bid-YTW of 4.40% based on a bid of 25.66 and a call 2014-4-29 at 25.00.
BCE.PR.A FixFloat 79,710 Desjardins crossed 74,800 at 23.85. Exchange/Reset date is 2007-9-1 (Exchange with Series ‘AB’, not issued); until then, pay 5.03% of par. Closed at 23.76-94, 5×4.

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

Market Action

May 2, 2007

The index rebalancing for April month-end has been completed, but updating the index values will have to wait until tomorrow. However, I do have the other two tables!

Major Price Changes
Issue Index Change Notes
GWO.PR.G PerpetualPremium -1.1069% Nothing particularly exciting happened in the trading – it looks like the bids just dried up. Now with a pre-tax bid-YTW of 4.67% based on a bid of 25.91 and a call 2014-1-30 at 25.00.
BCE.PR.Z FixFloat +1.0208% Exchange/Reset date is 2007-12-1 (Exchange with BCE.PR.Y); until then, pay 5.319% of par. Closed at 23.75-95, 20×2; the Ys closed at 23.03-74, 2×2.
BCE.PR.G FixedFloater +1.7800% Exchange/Reset date is 2011-5-1 (Exchange with BCE.PR.H); until then, pay 4.35% of par. Closed at 22.30-40, 2×11; the Hs closed at 23.41-03, 13×5.
BCE.PR.I FixFloat +2.2411% Exchange/Reset date is 2011-8-1 (Exchange with series ‘AJ’, not issued); until then, pay 4.65% of par. Closed at 22.81-09, 1×1.
BCE.PR.R FixFloat +3.0137% Exchange/Reset date is 2010-12-01 (Exchange with series ‘Q’, not issued); until then, pay 4.54% of par. Closed at 22.56-64, 2×3.
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 256,250 Nesbitt crossed 100,000 at 24.00, then another 150,000 at the same price. Exchange/Reset date is 2008-03-01 (exchange with series ‘AD’, not issued); until then pay 5.54% of par.
RY.PR.G PerpetualDiscount 87,900 Recent new issue. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.51 and a limitMaturity.
BNS.PR.M PerpetualDiscount 65,825 Scotia crossed 40,000 at 24.86, then another 10,000 at the same price. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.85 and a limitMaturity.
TD.PR.N OpRet 50,800 TD crossed 41,800 at 26.93. Now with a pre-tax bid-YTW of 2.89% based on a bid of 26.81 and a call 2009-5-30 at 26.00 … The buyer is obviously hoping they last longer, preferably until their softMaturity 2014-1-30 at $25.00, which will yield 3.41%. Well … hope is a fine thing!
TD.PR.M OpRet 50,600 Scotia crossed 50,000 at 26.90. A somewhat more careful buyer for this one! Now with a pre-tax bid-YTW of 3.12% based on a bid of 26.74 and a call 2009-5-30 at 26.00 … the softMaturity at 25.00 on 2013-10-30 implies a yield of 3.52%.

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

Update, 2007-05-03

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 4.60% 4.61% 42,886 16.26 2 -0.3010% 974.2
Fixed-Floater 5.36% 4.45% 128,173 16.56 6 +1.3299% 964.3
Floater 4.71% -19.85% 73,776 11.00 3 -0.1016% 1,066.1
Op. Retract 4.73% 3.07% 83,864 2.30 17 +0.1552% 1,034.0
Split-Share 4.96% 4.19% 180,610 3.89 12 +0.1361% 1,045.4
Interest Bearing 6.50% 4.69% 61,881 2.25 5 -0.0078% 1,048.6
Perpetual-Premium 5.13% 4.50% 171,637 4.90 48 +0.0075% 1,050.8
Perpetual-Discount 4.60% 4.62% 808,321 16.17 18 -0.0085% 1,055.6

Market Action

May 1, 2007

The index rebalancing for April month-end has not yet been completed, so I’ll have to update the index values at another time. However, I do have the other two tables!

Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixFloat +1.0748% Exchange/Reset date is 2007-12-1 (Exchange with BCE.PR.Y); until then, pay 5.319% of par. Closed at 23.51-89, 3×10; the Ys closed at 23.11-49, 2×2.
BCE.PR.H Ratchet +1.0753% Exchange/Reset date is 2011-5-1 (Exchange with BCE.PR.G, which currently pays 4.35% of par). Closed at 23.50-75, 20×2; the Gs closed at 21.91-37, 5×1.
BCE.PR.C FixFloat +1.0975% Exchange/Reset date is 2008-3-1 (Exchange with series ‘AD’, not issued); until then, pay 5.55% of par. Closed at 23.95-24, 1×2.
AL.PR.E Floater +1.6231%  
BCE.PR.A FixFloat +2.1496% Exchange/Reset date is 2007-09-01 (Exchange with series ‘AB’, not issued); until then, pay 5.03% of par. Closed at 23.76-00, 5×59.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 238,964 Recent new issue. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.51 and a limitMaturity.
NA.PR.K PerpetualPremium 201,300 Desjardins crossed two tranches of 100,000 shares at 26.80. Now with a pre-tax bid-YTW of 2.91% based on a bid of 26.72 and a call 2008-6-14 at 26.00 – pretty skimpy! You can buy Canada bonds of that term to yield more than that, interest equivalent … the buyers must be hoping the issue will last longer.
MFC.PR.B PerpetualPremium 112,844 Scotia crossed 100,000 at 25.30. Now with a pre-tax bid-YTW of 4.57% based on a bid of 25.29 and a call 2014-4-18 at 25.00.
MFC.PR.C PerpetualDiscount 110,329 Scotia crossed 100,000 at 24.69. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.65 and a limitMaturity.
WN.PR.D PerpetualPremium 108,020 Scotia crossed 25,000 at 25.25, then 75,000 at the same price. Now with a pre-tax bid-YTW of 5.17% based on a bid of 25.21 and a call 2014-10-31 at 25.00. Remember that Weston is still on Credit Wath Negative.

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

Update, 2007-05-03

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 4.56% 4.57% 42,607 16.34 2 +0.5219% 977.1
Fixed-Floater 5.43% 4.50% 124,066 16.51 6 +0.9393% 951.6
Floater 4.71% -22.29% 73,448 5.53 3 +0.4919% 1,067.2
Op. Retract 4.73% 3.22% 82,957 2.59 17 -0.0152% 1,032.4
Split-Share 4.97% 4.29% 182,937 3.89 12 -0.0492% 1,044.0
Interest Bearing 6.50% 4.60% 61,951 2.25 5 +0.0830% 1,048.7
Perpetual-Premium 5.13% 4.50% 172,210 5.06 48 -0.0378% 1,050.8
Perpetual-Discount 4.60% 4.62% 821,913 16.17 18 +0.1478% 1,055.7
Market Action

April 30, 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 4.56% 4.61% 42,404 16.40 2 -0.6230% 972.0
Fixed-Floater 5.48% 4.52% 122,596 16.47 6 +0.1112% 942.8
Floater 4.56% -19.27% 60,029 4.18 4 -0.0196% 1,062.0
Op. Retract 4.74% 3.12% 83,261 2.59 17 -0.0409% 1,032.5
Split-Share 5.04% 4.34% 177,507 4.01 12 -0.1518% 1,044.5
Interest Bearing 6.50% 4.87% 61,407 2.25 5 -0.2148% 1,047.8
Perpetual-Premium 5.07% 4.53% 219,572 6.15 54 -0.0271% 1,051.2
Perpetual-Discount 4.58% 4.61% 936,660 16.20 12 -0.2193% 1,054.1
Major Price Changes
Issue Index Change Notes
CM.PR.R OpRet Hit a 52-week low of 25.52 on volume of 500 – count ’em, 500 – shares, closing at 25.75-00, 2×6. Geez, this market is getting sloppy! Now with a pre-tax bid-YTW of 4.50% based on a bid of 25.75 and a softMaturity 2013-4-29 at 25.00.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 839,800 Recent new issue. Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.46 and a limitMaturity.
BNS.PR.L PerpetualDiscount 133,900 Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.90 and a limitMaturity.
GWO.PR.I PerpetualDiscount 57,558 Now with a pre-tax bid-YTW of 4.58% based on a bid of 24.75 and a limitMaturity.
BMO.PR.J PerpetualPremium 26,920 Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.00 and a limitMaturity. Goes ex-Dividend 5/2
BAM.PR.B Floater 22,211 Pays 70% of Canadian Prime on par value. Closed at 24.80-89.

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

Market Action

April 27, 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 4.50% 4.51% 43,165 16.46 2 -1.3722% 978.1
Fixed-Floater 5.49% 4.50% 121,041 16.50 6 +1.1272% 941.7
Floater 4.56% -19.25% 57,731 4.19 4 -0.0194% 1,062.2
Op. Retract 4.73% 3.22% 84,115 2.38 17 -0.0108% 1,033.0
Split-Share 5.03% 4.29% 179,611 4.02 12 +0.1756% 1,046.1
Interest Bearing 6.49% 4.42% 61,507 2.26 5 -0.1175% 1,050.1
Perpetual-Premium 5.07% 4.50% 222,579 6.25 54 -0.1567% 1,051.4
Perpetual-Discount 4.57% 4.59% 924,984 16.22 12 -0.0112% 1,056.4
Major Price Changes
Issue Index Change Notes
BCE.PR.S Ratchet -2.9757% Exchange/Reset date is 2011-05-1 (exchanges with BCE.PR.T, which pay 4.502% of par until then). A sale of 1,000 shares by Scotia took the price from 23.86 to 23.36; later, Nesbitt bought 10,000 from National Bank at 23.25. Closed at 23.15-25, 1×8, compared to their exchangers at 23.00-50, 15×1. The relative prices don’t make a lot of sense, unless you assume that the “S” will not pay 100% of Prime (a decline of prime to 4.5% works too) so this looks like a good pairs opportunity provided that, like Nesbitt, you can buy 1,000+ shares without moving the price fifty cents.
W.PR.H PerpetualPremium -1.3642% Now with a pre-tax bid-YTW of 4.74% based on a bid of 26.03 and a call 2013-2-14 at 25.00.
BNS.PR.K PerpetualPremium -1.0465% When you start seeing solid issues like W.PR.H & BNS.PR.K on this list without a good explanation, you know the market’s getting a little sloppy. Now with a pre-tax bid-YTW of 4.48% based on a bid of 25.53 and a call 2014-5-28 at 25.00
SLF.PR.D PerpetualDiscount -1.0221% Blame it on Scotia’s wild-man clients, as their sale of 16,500 shares in four tranches (briefly interupted by a sale of 1,000 by Anonymous) took the price from 24.40 (Buyer = Scotia) to the final tranche of 14,300 at four minutes to the bell (Buyer = Scotia). Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.21 and a limitMaturity.
BCE.PR.A FixFloat +1.0305% Yep, that’s a plus sign by the number – and there’s more to come! Exchange/Reset date is 2007-09-01 (with series ‘AB’, not issued); until then, pay 5.03% of par. Closed at 23.25-36, 16×3.
BCE.PR.I FixFloat +1.1468% Exchange/Reset date is 2011-8-1 (Exchange with series ‘AJ’, not issued); until then pay 4.65% of par. Closed at 22.05-50, 6×1, on good volume of 10,256 shares.
LBS.PR.A SplitShare +1.1505% Almost, but not quite, undoing yesterday’s swoon, closing at 10.55-57, 60×1 (a good sized bid for this issue). Now with a pre-tax bid-YTW of 4.34% based on a bid of 10.55 and a hardMaturity 2013-11-29 at 10.00
BCE.PR.G FixFloat +1.4052% Exchange/Reset date is 2011-5-1 (exchange with BCE.PR.H); until then pay 4.35% of par. Today’s return, by the way, is based on the closing bid … the closing price was down on the day, which just goes to show … something or other. I pay little attention to closing price … it’s far more volatile than the quotes. Usually. Anyway, the closing quote was 21.65-94, 8×4, while the BCE.PR.H were at 23.40-00. The Gs still look cheap relative to the Hs, but the Hs look expensive relative to the Ss, so it’s all very complicated.
BCE.PR.C FixFloat +2.3344% Exchange/Reset date is 2008-03-01 (exchange with series ‘AD’, not issued); Until then pay 5.54% of par. Closed at 23.60-82, 3×3.
Volume Highlights
Issue Index Volume Notes
CM.PR.G PerpetualPremium 411,025 Scotia crossed 28,100 at 26.50; RBC crossed 82,900 at 26.52. Now with a pre-tax bid-YTW of 4.52% based on a bid of 26.37 and a call 2014-5-31 at 25.00.
RY.PR.G PerpetualDiscount 519,113 Recent new issue. Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.42 and a limitMaturity.
BMO.PR.J PerpetualPremium 158,550 Now with a pre-tax bid-YTW of 4.58% based on a bid of 25.02 and a limitMaturity.
BAM.PR.K Floater 151,300 RBC crossed 150,000 at 24.87. Pays 70% of Prime on par value.
TD.PR.O PerpetualPremium 137,245 National Bank crossed 25,000 at 26.25, then another 85,700 at the same price. Now with a pre-tax bid-YTW of 4.12% based on a bid of 26.21 and a call 2014-11-30 at 25.00.

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

Boy, these daily summaries are taking a long time to write nowadays! I’m going to have to start charging you guys extra for this.