Category: Market Action

Market Action

August 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 4.38% 4.36% 28,809 16.57 2 0.2026% 987.0
Fixed-Floater 4.94% 4.10% 301,838 11.40 6 0.1157% 1,003.8
Floater 4.58% -20.08% 61,448 6.43 5 0.0168% 1,010.1
Op. Retract 4.70% 2.53% 74,078 2.56 18 0.0531% 1,005.1
Split-Share 5.00% 3.41% 54,803 2.75 10 0.0439% 1,005.7
Interest Bearing 6.83% 5.23% 58,604 2.12 7 -0.0248% 1,013.0
Perpetual-Premium 5.26% 4.22% 160,712 4.13 42 0.0096% 1,014.2
Perpetual-Discount 4.70% 4.70% 330,141 12.37 13 0.1964% 1,023.9
Major Price Changes
Issue Index Change Notes
No major price changes in index-included issues today.
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 663,038 Desjardins crossed 650,000 @ 25.03
RY.PR.W PerpetualPremium 75,900 Nesbitt crossed 50,000 @ 25.80. This issue has a YTW of 4.46% at the closing bid of $25.75
WN.PR.E PerpetualDiscount 42,670  
POW.PR.D PerpetualPremium 26,389  
PWF.PR.F PerpetualPremium 15,175 National bought a total of 13,100 in four tranches, notably 11,600 from Royal at $25.80

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

Market Action

August 24, 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% 4.37% 28,053 16.56 2 -0.1206% 985.0
Fixed-Floater 4.94% 4.07% 284,333 11.45 6 0.0407% 1,002.6
Floater 4.58% -19.92% 61,906 6.44 5 0.0239% 1,009.9
Op. Retract 4.71% 2.85% 75,039 2.56 18 -0.0039% 1,004.6
Split-Share 5.00% 3.46% 55,606 2.75 10 0.2173% 1,005.3
Interest Bearing 6.83% 5.14% 60,101 2.12 7 -0.0460% 1,013.2
Perpetual-Premium 5.26% 4.08% 162,555 3.78 42 0.0400% 1,014.1
Perpetual-Discount 4.71% 4.71% 333,755 12.35 13 0.1246% 1,021.9
Major Price Changes
Issue Index Change Notes
FTN.PR.A SplitShare +1.3579%  
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 635,544 Scotia crossed 100,000 @25.03; Desjardins crossed 12,000 at the same price.
BC.PR.E Ratchet 200,000 Scotia crossed 200,000 @ 25.12 in the only trade of this issue for the day.
WN.PR.A PerpetualPremium 109,580  
BNS.PR.K PerpetualPremium 55,880  
TOC.PR.B Floater 40,692  

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

Market Action

August 23, 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% 27,056 16.57 2 -0.2016% 986.2
Fixed-Floater 4.95% 4.15% 268,331 11.47 6 0.7703% 1,002.2
Floater 4.59% -19.64% 60,165 6.44 5 -0.2679% 1,009.7
Op. Retract 4.71% 2.85% 75,881 2.57 18 0.0732% 1,004.6
Split-Share 5.01% 3.60% 56,016 2.75 10 0.0061% 1,003.1
Interest Bearing 6.83% 5.09% 59,939 2.12 7 0.1704% 1,013.7
Perpetual-Premium 5.27% 4.14% 164,138 3.79 42 0.0063% 1,013.7
Perpetual-Discount 4.72% 4.73% 338,076 12.35 13 0.0688% 1,020.6
Major Price Changes
Issue Index Change Notes
BCE.PR.A FixedFloater +4.0875% Recovering from yesterday’s swoon. Scotia crossed 25,000 @25.25, an impressively repetetive trade. Closed at $25.21-29, so things are back to normal … for now!
CM.PR.D PerpetualPremium +1.1654% The pre-tax YTW is only 3.72 at the closing bid of $26.91
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 166,809  
TD.PR.O PerpetualPremium 136,800  
POW.PR.D PerpetualPremium 62,780 Nesbitt crossed 50,000 @25.60
TOC.PR.B Floater 50,741 CIBC sold a whack @25.50: 24,400 to Nesbitt; 25,000 to Desjardins and 500 (sic) to Royal – must have been a retail bid that was in the way.
BMO.PR.I OpRet 38,600 Scotia crossed 37,300 @ 25.50; YTW of this issue is a niggardly 2.61% at the closing bid of 25.42, based on a call as soon as the redemption price goes down to $25.25 at the end of November. It’s more likely, however, that BMO will keep the issue alive for another year, paying $1.1875 dividend but saving $0.25 on the redemption price. This scenario implies a pre-tax YTM of 3.97%, not bad at all … if you can rely on BMO not calling the issue!

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

Market Action

August 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 4.37% 4.35% 27,146 16.60 2 0.1214% 988.1
Fixed-Floater 4.98% 4.27% 258,200 13.97 6 -0.6151% 994.6
Floater 4.57% -22.39% 59,999 6.42 5 0.2253% 1,012.4
Op. Retract 4.71% 2.88% 76,317 2.57 18 0.0821% 1,003.9
Split-Share 5.01% 3.53% 55,913 2.75 10 -0.1889% 1,003.0
Interest Bearing 6.84% 5.19% 60,185 2.12 7 0.0172% 1,012.0
Perpetual-Premium 5.27% 4.13% 164,875 3.77 42 0.0849% 1,013.6
Perpetual-Discount 4.72% 4.73% 341,736 13.09 13 -0.0179% 1,019.9
Major Price Changes
Issue Index Change Notes
BCE.PR.A FixedFloater -3.89% Bid disappeared after about 1,100 shares traded at 25.19 at the close. Closing bid was $24.22
FTN.PR.A SplitShare -1.34% 15,180 shares traded, a relatively heavy day for this issue
AL.PR.F Floater +1.29% On average volume
Volume Highlights
Issue Index Volume Notes
SLF.PR.A PerpetualDiscount 204,300  
PWF.PR.L PerpetualPremium 121,822  
RY.PR.A PerpetualDiscount 76,600 BMO bought 71,400 from Scotia at $24.40
IGM.PR.A OperatingRetractible 46,393 Scotia crossed 40,000 @ 28.00. This the highest priced issue in the OperatingRetractible index, with a coupon of $1.4375 and a pre-tax YTW of 3.08% @$28.00
WN.PR.E PerpetualDiscount 21,628  

There were six other index-included issues with volumes of more than 10,000 shares.
The YTW on RY.PR.K (an operating retractible) moved back into positive territory today, pre-tax YTW of 3.48% based on a closing bid of $25.27

Market Action

August 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 4.37% 4.35% 27,491 16.59 2 -0.6225% 987.0
Fixed-Floater 4.95% 4.23% 260,148 16.56 6 -0.0794% 1,000.7
Floater 4.58% -20.16% 58,479 6.43 5 0.1990% 1,010.1
Op. Retract 4.71% 2.56% 75,564 2.62 18 0.1002% 1,003.1
Split-Share 5.00% 3.45% 55,827 2.75 10 0.0657% 1,004.9
Interest Bearing 6.84% 5.29% 60,479 2.13 7 0.0094% 1,011.8
Perpetual-Premium 5.27% 4.19% 165,201 3.92 42 -0.0314% 1,012.7
Perpetual-Discount 4.72% 4.72% 342,788 13.08 13 -0.0014% 1,020.1
Major Price Changes
Issue Index Change Notes
There were no major price changes in index-listed issues on the day
Volume Highlights
Issue Index Volume Notes
BMO.PR.I OpRet 37,300 Scotia bought 35,000 in three tranches, 2×10,000 from CIBC and 15,000 from Desjardins, all at $25.50. The YTW at 25.45 is 2.23%
BNS.PR.K PerpetualPremium 32,460 BMO bought 27,600 from HSBC in two tranches at 25.50.
TOC.PR.B Floater 24,277 Anonymous bought 23,700 in two tranches (and therefore not necessarily the same anonymous!) from CIBC at 25.50
PWF.PR.L PerpetualPremium 15,108  
GWO.PR.I PerpetualDiscount 14,610  

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

 The YTW on RY.PR.K (an operating retractible) went negative today, based on its closing bid of 25.40.

Market Action

August 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 4.35% 4.31% 25,733 16.66 2 -0.1003% 993.1
Fixed-Floater 4.95% 4.22% 263,671 16.58 6 -0.1777% 1,001.5
Floater 4.59% -18.52% 58,033 6.44 5 0.0878% 1,008.1
Op. Retract 4.72% 2.95% 75,582 2.62 18 0.0632% 1,002.1
Split-Share 5.01% 3.39% 56,001 2.76 10 0.2879% 1,004.3
Interest Bearing 6.84% 5.16% 60,163 2.14 7 0.0592% 1,011.7
Perpetual-Premium 5.27% 4.22% 167,084 3.83 42 0.1044% 1,013.1
Perpetual-Discount 4.71% 4.73% 348,333 12.34 13 0.2677% 1,020.1
Major Price Changes
Issue Index Change Notes
WFS.PR.A SplitShare +1.4151%  
Volume Highlights
Issue Index Volume Notes
STW.PR.A InterestBearing 380,000 $10 p.v., so not as much as it sounds … but still respectable!
SLF.PR.B PerpetualDiscount 32,570  
PWF.PR.L PerpetualPremium 23,920  
BC.PR.C FixedFloater 22,766  
WN.PR.E PerpetualDiscount 14,053  

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

Market Action

August 17, 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 4.34% 4.31% 25,634 16.67 2 0.1006% 994.1
Fixed-Floater 4.94% 4.15% 266,483 14.04 6 -0.0065% 1,003.3
Floater 4.60% -17.70% 59,040 6.45 5 -0.0158% 1,007.3
Op. Retract 4.72% 3.03% 76,141 2.68 18 0.1490% 1,001.5
Split-Share 5.02% 3.54% 56,030 2.76 10 -0.0527% 1,001.4
Interest Bearing 6.85% 5.31% 60,272 2.14 7 0.0585% 1,011.1
Perpetual-Premium 5.27% 4.19% 169,346 3.87 42 0.0504% 1,012.01
Perpetual-Discount 4.72% 4.75% 352,073 13.79 13 0.0718% 1,017.4
Major Price Changes
Issue Index Change Notes
GWO.PR.E OpRet +1.1459%  
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 498,885  
TD.PR.O PerpetualPremium 87,000  
RY.PR.A PerpetualDiscount 82,400  
SLF.PR.C PerpetualDiscount 57,600  
GWO.PR.H PerpetualDiscount 56,275  

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

Market Action

August 16, 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 4.34% 4.31% 25,731 16.67 2 -0.5379% 993.1
Fixed-Floater 4.94% 4.13% 267,651 14.04 6 -0.0592% 1,003.4
Floater 4.60% -18.01% 58,912 6.44 5 -0.0392% 1,007.4
Op. Retract 4.73% 3.31% 75,942 2.77 18 -0.0043% 1,000.0
Split-Share 5.01% 3.61% 56,434 2.77 10 0.0166% 1,001.9
Interest Bearing 6.85% 5.39% 60,756 2.14 7 0.0090% 1,010.5
Perpetual-Premium 5.28% 4.21% 170,187 3.94 42 0.1012% 1,011.5
Perpetual-Discount 4.72% 4.75% 349,324 13.79 13 0.0822% 1,016.7
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet -1.4953%  
MFC.PR.C PerpetualDiscount +1.0309%  
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 257,700  
CM.PR.G PerpetualPremium 203,000  
HSB.PR.D PerpetualPremium 202,600  
PWF.PR.L PerpetualDiscount 55,826  
POW.PR.C PerpetualPremium 31,090  

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

Market Action

August 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 4.32% 4.32% 25,131 10.53 2 0.0600% 998.5
Fixed-Floater 4.94% 4.10% 271,212 9.48 6 0.0995% 1,004.0
Floater 4.59% -18.43% 59,738 6.44 5 -0.1225% 1,007.8
Op. Retract 4.73% 3.22% 75,920 2.68 18 -0.0433% 1,000.0
Split-Share 5.02% 3.58% 56,449 2.77 10 -0.1930% 1,001.8
Interest Bearing 6.85% 5.25% 61,310 2.14 7 0.1426% 1,010.4
Perpetual-Premium 5.28% 4.26% 170,227 4.05 42 0.1159% 1,010.5
Perpetual-Discount 4.73% 4.75% 352,795 13.79 13 0.2156% 1,015.8
Major Price Changes
Issue Index Change Notes
DFN.PR.A SplitShare -1.3347%  
BAM.PR.K Floater -1.1842%  
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 117,143  
GWO.PR.H PerpetualDiscount 31,700  
BNS.PR.K PerpetualPremium 29,600  
PWF.PR.K PerpetualDiscount 28,692  
MFC.PR.B PerpetualDiscount 17,000  

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

Market Action

August 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 4.32% 4.29% 26,170 16.72 2 0.3417% 997.9
Fixed-Floater 4.94% 4.15% 266,577 12.09 6 0.0398% 1,003.0
Floater 4.59% -17.50% 60,395 6.49 5 0.3516% 1,009.0
Op. Retract 4.73% 3.25% 76,026 2.77 18 -0.2748% 1,000.4
Split-Share 5.01% 3.58% 56,695 2.77 10 0.0299% 1,003.7
Interest Bearing 6.86% 5.41% 61,661 2.15 7 0.0255% 1,009.0
Perpetual-Premium 5.29% 4.25% 172,954 4.03 42 -0.0081% 1,009.3
Perpetual-Discount 4.74% 4.77% 356,306 14.49 13 0.0578% 1,013.6
Major Price Changes
Issue Index Change Notes
BAM.PR.J OpRet -1.1306%  
GWO.PR.E OpRet -1.6147%  
Volume Highlights
Issue Index Volume Notes
BAM.PR.B Floater 150,530  
BC.PR.C FixedFloater 127,913  
PWF.PR.L PerpetualPremium 83,950  
RY.PR.A PerpetualDiscount 17,320  
GWO.PR.I PerpetualDiscount 15,830  

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