Category: Market Action

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.

Market Action

April 26, 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 4.42% 4.42% 42,977 16.62 2 -0.1605% 991.7
Fixed-Floater 5.50% 4.55% 118,964 16.29 6 -0.3041% 931.2
Floater 4.56% -19.12% 57,071 0.13 4 +0.0884% 1,062.4
Op. Retract 4.73% 3.24% 84,582 2.38 17 -0.0507% 1,033.1
Split-Share 5.04% 4.33% 182,814 4.02 12 -0.0422% 1,044.2
Interest Bearing 6.48% 3.87% 61,798 2.27 5 +0.1972% 1,051.3
Perpetual-Premium 5.07% 4.48% 223,033 6.23 54 -0.1385% 1,053.1
Perpetual-Discount 4.57% 4.59% 935,745 16.23 12 -0.3302% 1,056.6
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixedFloater -2.7335% Exchange/Reset date is 2011-05-1 (exchanges with BCE.PR.H); until then pays 4.35% of par. Another new low today, 21.01. Closed at 21.35-55, 10×2. The BCE.PR.H closed at 23.35-98, 50×3. Let’s see …BCE Pairs… say the “H” pay 6% (=100% of current prime), vs. the 4.35% on the “G”. Difference = 1.65% = $0.4125 p.a. Term to exchange is 4 years. I guess the market is betting that not only will the “H” pay 100% of prime until the exchange date, but that prime’s going to go up, too!
LBS.PR.A SplitShare -1.4178% Now with a pre-tax bid-YTW of 4.54% based on a bid of 10.43 and a hardMaturity 2013-11-29 at 10.00
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 519,113 New issue settled today. Now with a pre-tax bid-YTW of 4.61% based on a bid of 24.49 and a limitMaturity.
BNS.PR.M PerpetualDiscount 169,125 Scotia crossed 101,600 at 24.87. Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.89 and a limitMaturity.
BCE.PR.C FixedFloater 166,820 Exchange/Reset date is 2008-3-1 (Exchange with series ‘AD’, not issued). Until then, pay 5.54% of par.
PWF.PR.K PerpetualPremium 52,770 Scotia crossed 50,000 @ 25.88. Now with a pre-tax bid-YTW of 4.44% based on a bid of 25.85 and a call 2014-11-30 at 25.00
CM.PR.I PerpetualPremium 49,125 Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.18 and a call 2016-3-1 at 25.00.

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

Market Action

April 25, 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 4.38% 4.39% 40,923 16.62 2 -1.7378% 993.3
Fixed-Floater 5.48% 4.52% 113,399 16.34 6 -0.1914% 934.1
Floater 4.56% -18.20% 57,269 0.13 4 +0.0294% 1,061.5
Op. Retract 4.73% 3.20% 84,971 2.19 17 -0.0594% 1,033.6
Split-Share 5.03% 4.31% 185,491 4.02 12 -0.1573% 1,044.7
Interest Bearing 6.49% 4.33% 61,954 1.92 5 +0.2139% 1,049.3
Perpetual-Premium 5.06% 4.48% 224,795 6.32 54 -0.0600% 1,054.5
Perpetual-Discount 4.56% 4.58% 781,328 16.25 11 -0.0581% 1,060.0
Major Price Changes
Issue Index Change Notes
BCE.PR.T Scraps (would be FixedFloater, but there are volume concerns) -5.8065% Exchange/Reset date is 2011-11-1 (exchanges with BCE.PR.S); until then pays 4.502% of par.
BCE.PR.H Ratchet -2.0417% Exchange/Reset date is 2011-05-01 (exchange with BCE.PR.G).
BCE.PR.S Ratchet -1.4397% Exchange/Reset date is 2011-11-1 (exchange with BCE.PR.T).
BCE.PR.I FixedFloater -1.3636% Exchange/Reset date is 2011-08-01 (exchange with series ‘AJ’, not currently issued). Until then, pay 4.65% of par.
FTN.PR.A SplitShare -1.0628% More fallout from the denial of term extension? Now with a pre-tax bid-YTW of 3.86% based on a bid of 10.24 and a hardMaturity.
BCE.PR.R FixedFloater +1.3236% Even a dead-cat will bounce if it falls far enough! There hasn’t been a good performance from a BCE issue since they went on credit watch negative, but I think it’s too early to start looking for a recovery in these things. Exchange/Reset date is 2010-12-1 (with BCE.PR.S); until then they pay 4.540% of par
Volume Highlights
Issue Index Volume Notes
PWF.PR.I PerpetualPremium 205,465 TD crossed 203,800 at 26.25. Leftovers from yesterday! Now with a pre-tax bid-YTW of 4.92% based on a bid of 26.20 and a call 2010-5-30 at 25.50.
BPO.PR.H Scraps (would be OpRet, but there are credit concerns) 168,102 Scotia crossed 163,700 at 27.35. Now with a pre-tax bid-YTW of 4.51% based on a bid of 27.26 and a call 2012-1-30 at 26.00
BAM.PR.I OpRet 158,150 Scotia crossed 157,000 at 27.25. Now with a pre-tax bid-YTW of 3.23% based on a bid of 27.03 and a call 2009-7-30 at 25.75.
CM.PR.H PerpetualPremium 137,162 Now with a pre-tax bid-YTW of 4.33% based on a bid of 25.74 and a call 2014-4-29 at 25.00
CCS.PR.A Sometimes considered a Floater, but not right now since the floor rate exceeds the calculated floating rate. Not considered PerpetualPremium, either, because of credit AND volume concerns. And they’re not very cooperative, either! 101,970 Scotia crossed 100,000 at 25.20. Now with a pre-tax bid-YTW of 5.52% based on a bid of 25.10 and a limitMaturity.
CM.PR.R OpRet 92,800 Scotia crossed 91,400 at 26.30 for delayed delivery. Next ex-date is estimated as 6/26, so it’s probably not a dividend capture game. Now with a pre-tax bid-YTW of 3.34% based on a bid of 26.15 and a call 2008-5-30 at 25.75
SLF.PR.D PerpetualDiscount 68,960 Now with a pre-tax bid-YTW of 4.57% based on a bid of 24.50 and a limitMaturity

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

Market Action

April 24, 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 4.29% 4.29% 39,724 16.79 2 -0.6360% 1,010.9
Fixed-Floater 5.47% 4.51% 110,622 16.45 6 -0.5810% 935.9
Floater 4.56% -17.95% 56,394 0.13 4 -0.0584% 1,061.1
Op. Retract 4.73% 3.20% 84,266 2.19 17 +0.0757% 1,034.2
Split-Share 5.03% 4.23% 186,199 4.02 12 -0.0459% 1,046.3
Interest Bearing 6.51% 5.28% 62,138 2.26 5 -0.0300% 1,047.0
Perpetual-Premium 5.06% 4.30% 224,281 5.88 54 -0.0939% 1,055.2
Perpetual-Discount 4.55% 4.84% 791,811 16.25 11 -0.0473% 1,060.7
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixedFloater -2.6655% Exchange/Reset date is 2011-05-01 (exchange to BCE.PR.H); until then, they pay 4.35% of par. They closed at 21.91-44, 3×4. The BCE.PR.H closed at 24.00-40, 1×3.
FTN.PR.A SplitShare -1.4286% The hoped-for term extension was denied. Now with a pre-tax bid-YTW of 3.15% based on a bid of 10.35 and a hardMaturity 2008-12-01 at 10.00
CU.PR.B PerpetualPremium -1.1426% Perhaps due to competition from the new issue. Now with a pre-tax bid-YTW of 3.78%, based on a bid of 26.82 and a call 2008-07-01 at $26.00. If they last until their call 2012-7-1 at $25.00, they will have yielded 4.63% – about the same as the 4.60% new issue, but with risk of lower yields if it’s called earlier.
BCE.PR.H RatchetRate -1.0309% Exchange/Reset date is 2011-05-01 (exchange with BCE.PR.G).
IAG.PR.A PerpetualPremium -1.0000% Now with a pre-tax bid-YTW of 4.68% based on a bid of 24.75 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
BNS.PR.L PerpetualDiscount 123,300 National crossed 100,000 at 24.91; Scotia crossed 16,000 at the same price. Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.90 and a limitMaturity.
PWF.PR.I PerpetualPremium 102,650 TD crossed 40,000 at 26.16, then 51,000 at 26.25. Now with a pre-tax bid-YTW of 4.92% based on a call 2009-5-30 at 25.75 (or 2010-5-30 at 25.50). Great-West will release the 1st quarter results on May 3; there may be some clues at that time as to how the group intends to finance the Putnam Purchase.
POW.PR.D PerpetualPremium 69,690 TD crossed 50,700 at 26.32. Now with a pre-tax bid-YTW of 4.43% based on a bid of 25.98 and a call 2014-11-30 at 25.00.
PWF.PR.K PerpetualPremium 67,862 Now with a pre-tax bid-YTW of 4.44% based on a bid of 25.83 and a call 2014-11-30 at 25.00.
PWF.PR.L PerpetualPremium 55,500 Nesbitt crossed 40,000 at 26.15, Scotia crossed 11,500 at 26.12. Now with a pre-tax bid-YTW of 4.49% based on a bid of 26.11 and a call 2015-11-30 at 25.00.

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

Market Action

April 23, 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 4.25% 4.24% 40,467 16.86 2 +0.9670% 1,017.4
Fixed-Floater 5.44% 4.47% 107,857 16.44 6 -1.7970% 941.3
Floater 4.56% -18.58% 56,159 0.13 4 +0.3363% 1,061.8
Op. Retract 4.73% 3.27% 83,839 2.20 17 -0.1183% 1,033.4
Split-Share 5.03% 3.99% 142,867 3.23 12 +0.0266% 1,046.8
Interest Bearing 6.51% 3.92% 61,511 1.91 5 +0.2016% 1,047.3
Perpetual-Premium 5.05% 4.22% 222,634 5.87 54 -0.1467% 1,056.2
Perpetual-Discount 4.55% 4.58% 797,257 16.26 11 -0.1873% 1,061.2
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixedFloater -3.762% Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 22.00-50, 50×100 … 50×100? Seems to me that a few institutional investors have had time for their meetings. Traded as low as 21.50 today, a new 52-week low.
BCE.PR.G FixedFloater -2.5541% Exchange/Reset date is 2011-05-01 (exchange to BCE.PR.H); until then, they pay 4.35% of par. The bid moved on zero volume and they closed at 22.51-00, 4×15. The BCE.PR.H closed at 24.25-50, 1×20.
BCE.PR.I FixedFloater -2.1324% Exchange/Resdet date is 2011-08-01 (counterpart is unissued series ‘AJ’); until then pay 4.65% of par. Closed at 22.03-19, 4×15; new low of 22.00 today.
POW.PR.D PerpetualPremium -1.6387% Now with a pre-tax bid-YTW of 4.54% based on a bid of 25.81 and a call 2014-11-30 at 25.00.
BCE.PR.Z FixedFloater -1.3842% Exchange/Reset date is 2007-12-1 (to BCE.PR.Y); until then they pay 5.319% of par. Closed at 23.51-79, 5×1; the Ys closed at 23.87-19.
Volume Highlights
Issue Index Volume Notes
CM.PR.D PerpetualPremium 245,550 Desjardins crossed 240,000 at 26.70. Now with a pre-tax bid-YTW of 3.69% based on a bid of 26.50 and a call 2008-5-30 at $26.00.
BAM.PR.M PerpetualPremium 43,300 Now with a pre-tax bid-YTW of 4.82% based on a bid of 24.80 and a limitMaturity. These fell 0.44% today … almost certainly due to the very similar new issue announced today.
RY.PR.W PerpetualPremium 38,660 Now with a pre-tax bid-YTW of 4.18% based on a bid of 26.00 and a call 2014-3-26 at 25.00
SLF.PR.D PerpetualDiscount 25,655 Now with a pre-tax bid-YTW of 4.57% based on a bid of 24.50 and a limitMaturity.
CM.PR.J PerpetualDiscount 24,300 Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.78 and a limitMaturity.

Market Action

April 20, 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 4.28% 4.29% 40,513 16.81 2 -1.1694% 1,007.6
Fixed-Floater 5.34% 4.37% 105,800 16.60 6 -0.2705% 958.6
Floater 4.56% -18.22% 56,292 0.13 4 +0.1090% 1,058.2
Op. Retract 4.72% 3.16% 84,054 2.10 17 +0.0865% 1,034.6
Split-Share 5.03% 3.97% 147,239 3.38 12 -0.0712% 1,046.5
Interest Bearing 6.52% 4.02% 61,776 1.91 5 -0.0602% 1,045.2
Perpetual-Premium 5.04% 4.09% 224,917 5.54 54 -0.0619% 1,057.7
Perpetual-Discount 4.54% 4.57% 815,195 16.27 11 +0.0079% 1,063.2
Major Price Changes
Issue Index Change Notes
BCE.PR.Y Scraps (would be ratchetRate, but there are volume concerns) -2.1829% Exchange/Reset date is 2007-12-1 (to BCE.PR.Z). Closed at 23.75-18, 21×9 on volume of 1,400 shares.
TOC.PR.B Scraps (would be Floater, but there are volume concerns) -2.1434% Contagion from the BCE issues? This was on volume of 200 shares. Closed at 25.11-75, 6×35.
BCE.PR.I FixedFloater -1.4880% Exchange/Resdet date is 2011-08-01 (counterpart is unissued series ‘AJ’); until then pay 4.65% of par. New low today of 22.50; closed at 22.51-87, 5×10
BCE.PR.S Ratchet -1.3344% Exchange/Reset date is 2011-11-01 (to BCE.PR.T). Did this on volume of 700 shares; closed at 24.40-89, 3×1
BCE.PR.R FixedFloater -1.0390% Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 22.86-15, 2×10. Traded as low as 22.85 today, a new 52-week low.
Volume Highlights
Issue Index Volume Notes
PWF.PR.I PerpetualPremium 129,350 Desjardins crossed 124,100 at 26.75. Now with a skimpy pre-tax bid-YTW of 3.86% based on a bid of 26.75 and a call 2008-05-30 at 26.00. The buyer seems to be hoping that they last longer!
WN.PR.D PerpetualPremium 104,985 Scotia crossed 92,400 at 25.75. Now with a pre-tax bid-YTW of 4.81% based on a bid of 25.73 and a call 2014-10-31 at 25.00. Weston is still under Credit Watch Negative.
RY.PR.D PerpetualPremium 81,758 RBC crossed 65,000 at 25.35. Now with a pre-tax bid-YTW of 4.54% based on either a call 2016-3-25 at 25.00, or a limitMaturity, take your pick.
CM.PR.I PerpetualPremium 63,350 Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.23 and a call 2016-3-1 at 25.00
WN.PR.E PerpetualDiscount 58,337 Now with a pre-tax bid-YTW of 4.81% based on a bid of 24.86 and a limitMaturity.

Market Action

April 19, 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 4.23% 4.22% 41,772 16.92 2 -0.3265% 1,019.5
Fixed-Floater 5.33% 4.35% 104,168 16.63 6 -1.3177% 961.2
Floater 4.57% -16.72% 56,123 0.13 4 +0.0993% 1,057.1
Op. Retract 4.73% 3.20% 84,517 2.16 17 +0.0425% 1,033.8
Split-Share 5.02% 3.98% 147,534 3.38 12 -0.1060% 1,047.3
Interest Bearing 6.51% 5.23% 62,026 2.27 5 +0.0040% 1,045.9
Perpetual-Premium 5.03% 4.03% 225,592 5.58 54 -0.0264% 1,058.4
Perpetual-Discount 4.54% 4.57% 829,295 16.27 11 -0.0144% 1,063.1
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixedFloater -4.1494% Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 23.10-34, 6×1. Traded as low as 23.10 today, a new 52-week low. Each one of those three prices is exactly $1.00 below yesterday’s number, amusing if you don’t own it.
BCE.PR.T Scraps (would be FixedFloater, but there are volume concerns) -2.4230% Exchange/Reset date is 2011-11-01 (to BCE.PR.S); until then, pays 4.502% p.a. Closed at 23.76-00, 8×4. New 52-week low of 24.00
BCE.PR.Z FixedFloater -2.2774% Exchange/Reset date is 2007-12-1 (to BCE.PR.Y); until then they pay 5.319% of par. Afterwards … I bet it’s less! Closed at 23.60-17, 20×1. New 52-week low of 23.51.
BCE.PR.C FixedFloater -1.7034% Exchange/Reset date is 2008-03-01 (to series AD, not issued); until then they pay 5.54% of par. Closed at 23.66-02, 12×4. Traded as low as 23.50 today, a new 52-week low.
CGI.PR.C SplitShare -1.5625% It did this on zero volume. Now with a pre-tax bid-YTW of 3.86% based on a bid of 25.20 and a softMaturity 2016-6-14 at 25.00.
BCE.PR.Y Scraps (would be ratchetRate, but there are volume concerns) -1.3810% Exchange/Reset date is 2007-12-1 (to BCE.PR.Z). Closed at 24.28-98, 10×10, on zero volume.
Volume Highlights
Issue Index Volume Notes
BMO.PR.I OpRet 103,825 RBC crossed 47,700 at 25.20, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.20 and a call 2007-12-25 (er … give or take a few days!) at 25.00
TD.PR.N OpRet 67,500 TD crossed 32,800 at 26.99, then another 17,200 at the same price. Now with a pre-tax bid-YTW of 2.82% based on a bid of 26.82 and a call 2009-5-30 at 26.00.
CM.PR.I PerpetualPremium 57,789 Now with a pre-tax bid-YTW of 4.59% based on a bid of 25.22 and a call 2016-3-1 at 25.00
GWO.PR.I PerpetualDiscount 49,000 RBC crossed 40,000 at 24.85. Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.85 and a limitMaturity
POW.PR.D PerpetualPremium 26.23 Now with a pre-tax bid-YTW of 4.27% based on a bid of 26.23 and a call 2014-11-30 at 25.00.

There were fourteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

April 18, 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 4.22% 4.21% 42,189 16.95 2 -0.9105% 1,022.9
Fixed-Floater 5.25% 4.29% 101,369 16.75 6 -1.9197% 974.0
Floater 4.57% -15.95% 55,877 0.13 4 +0.0296% 1,056.0
Op. Retract 4.73% 3.23% 84,458 2.10 17 -0.0308% 1,033.3
Split-Share 5.02% 3.86% 150,742 3.38 12 -0.0201% 1,048.4
Interest Bearing 6.52% 5.25% 62,518 2.28 5 -0.0784% 1,045.8
Perpetual-Premium 5.03% 4.04% 227,197 5.53 54 +0.0083% 1,058.6
Perpetual-Discount 4.54% 4.56% 843,879 16.28 11 -0.1240% 1,063.2
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixedFloater -3.0534% Exchange/Reset date is 2011-05-01. Closed at 22.86-23.88, 2×5 … nice spread, eh? New low today, 22.81.
BCE.PR.H RatchetRate -2.3984% Exchange/Reset date is 2011-05-11; they exchange with the BCE.PR.G above, which makes pairs trading an interesting speculation. Closed at 24.01-49, 10×10 … it did this on zero volume.
BCE.PR.C FixedFloater -2.2736% Exchange/Reset date is 2008-03-01; until then they pay 5.54% of par. Closed at 24.07-34, 2×8. Traded as low as 23.54 today, a new 52-week low.
BCE.PR.R FixedFloater -2.2709% Exchange/Reset date is 2010-12-01; until then these pay 4.54% of par. Closed at 24.10-34, 4×2. Traded as low as 24.10 today, a new 52-week low.
BCE.PR.Z FixedFloater -2.2267% Exchange/Reset date is 2007-12-1; until then they pay 5.319% of par. Afterwards … I bet it’s less! What a resilient issue this is! It didn’t set a new low today (so the low is still 23.72), closing at 24.15-34, 8×2.
BCE.PR.I FixedFloater -1.0435% Exchange/Reset date is 2011-08-01; until then they pay 4.65% of par. New low today, 22.76. Closed at 22.76-25, 7×9.
Volume Highlights
Issue Index Volume Notes
BPO.PR.I Scraps (would be OpRet, but there are credit concerns) 150,945 Now with a pre-tax bid-YTW of 4.13% based on a bid of 26.00 and a call 2010-12-31 at 25.00
RY.PR.D PerpetualPremium 63,300 Now with a pre-tax bid-YTW of 4.54% based on a bid of 25.35 and a call 2016-3-25 at 25.00 … or a limitMaturity, take your pick.
CIU.PR.A PerpetualPremium 61,950 New issue settled today … and yes, I know I haven’t written it up yet! Later, OK? Now with a pre-tax bid-YTW of 4.61% based on a bid of 25.00 and a limitMaturity.
PWF.PR.F PerpetualPremium 42,500 Now with a pre-tax bid-YTW of 4.32% based on a bid of 25.77 and a call 2010-12-30 at 25.00.
BNS.PR.M PerpetualDiscount 40,027 Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.87 and a limitMaturity.

There were seventeen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

April 17, 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 4.18% 4.16% 43,923 17.01 2 -0.9225% 1,032.3
Fixed-Floater 5.15% 4.18% 95,927 16.9 6 -2.4640% 993.1
Floater 4.57% -15.67% 55,849 0.13 4 -0.0097% 1,055.7
Op. Retract 4.73% 3.19% 84,668 2.11 17 -0.0196% 1,033.6
Split-Share 5.02% 3.83% 153,377 3.38 12 -0.0457% 1,048.6
Interest Bearing 6.51% 4.09% 62,716 2.28 5 +0.2018% 1,046.6
Perpetual-Premium 5.04% 4.01% 186,513 5.43 53 -0.0432% 1,058.8
Perpetual-Discount 4.53% 4.56% 858,953 16.29 11 -0.0254% 1,064.6
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixedFloater -6.5421% Did I say there was some carnage yesterday? I’m going to have to get out the dictionary and refresh my understanding of the word. However, the drop in this issue was exaggerated by Nesbitt’s sales totallying 1,300 shares in the last six minutes of trading, which took the price down from 24.12 to 23.62. On the one hand, one can feel sympathy for the market-maker: they’re supposed to stabilize the market and sell liquidity, not catch falling knives. On the other hand, the closing quotation of 23.00-24.40, 10×10, seems like a rather large spread. Oh – yeah. The exchange/reset date on these is 2011-08-11; until then, they have an annual dividend of 4.65%.
BCE.PR.G FixedFloater -3.2020% Exchange/Reset date is 2011-05-01. Can’t fault the market maker on this one, although the closing quote’s fairly wide at 23.58-20, 10×5. The last trade of the day was a sale of 600 shares by Dundee at $23.50, timestamped 2:14, marking a new 52-week low for this issue. It traded as high as 24.70 in the morning.
BCE.PR.A FixedFloater -1.8211% Exchange/Reset date is 2007-09-01; until then these pay 5.03% of par. Heavy volume for this issue of 27,385 shares, with something of an odd close: Nesbitt bought 2,000 shares in six trades in the last 18 minutes, taking the price up from 24.00 prior to this sequence to the close of 24.69. The buyer should have waited! The closing quote was 24.26-40, 5×10.
BCE.PR.Z FixedFloater -1.6720% Exchange/Reset date is 2007-12-1; until then they pay 5.319% of par. Afterwards … I bet it’s less! Volume of 2,272 shares was about average for this issue, maybe a little light. These traded in a range of 24.62-25.50 on the day, closing quote 24.70-83, 1×5
BCE.PR.C FixedFloater -1.4800% Exchange/Reset date is 2008-03-01; until then they pay 5.54% of par. Closed at 24.63-15, 3×4.
BCE.PR.H RatchetRate -1.2445% Exchange/Reset date is 2011-05-11; they exchange with the BCE.PR.G above, which makes pairs trading an interesting speculation. Closed at 24.60-94, 1×10.
Volume Highlights
Issue Index Volume Notes
ELF.PR.G PerpetualPremium 56,000 Desjardins crossed 50,000 at 25.20. Now with a pre-tax bid-YTW of 4.71% based on a bid of 25.11 and a call 2015-11-16 at 25.00
CM.PR.I PerpetualPremium 50,845 Now with a pre-tax bid-YTW of 4.58% based on a bid of 25.23 and a call 2016-3-1 at 25.00.
BNS.PR.J PerpetualPremium 49,860 RBC crossed 25,000 at 26.50, then another 15,000 at the same price. Now with a pre-tax bid-YTW of 4.28% based on a bid of 26.40 and a call 2013-11-28 at 25.00
GWO.PR.I PerpetualDiscount 38,860 TD crossed 28,700 at 24.95. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.91 and a limitMaturity.
BNS.PR.L PerpetualDiscount 36,897 Now with a pre-tax bid-YTW of 4.52% based on a bid of 24.92 and a limitMaturity.

There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

April 16, 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 4.14% 4.11% 43,992 17.08 2 +0.5045% 1,041.9
Fixed-Floater 5.02% 4.02% 93,975 17.06 6 -0.4046% 1,018.1
Floater 4.57% -15.74% 56,073 0.13 4 +0.0100% 1,055.8
Op. Retract 4.73% 3.17% 84,022 2.11 17 -0.0949% 1,033.8
Split-Share 5.02% 3.79% 156,666 3.17 12 -0.0604% 1,049.1
Interest Bearing 6.52% 5.60% 63,254 2.28 5 -0.0944% 1,044.5
Perpetual-Premium 5.04% 3.97% 186,958 5.31 53 -0.0256% 1,059.0
Perpetual-Discount 4.53% 4.56% 873,569 16.30 11 -0.0656% 1,064.8
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixedFloater -1.5758% Exchange/Reset date is 2011-05-01. The carnage in BCE issues continues! This issue traded as low as 24.17, a 52-week low, before closing at 24.36-84, 10×10.
CM.PR.P PerpetualPremium -1.0158% Odd! I haven’t noticed the CIBC walking into any sharp objects lately. Now with a very attractive pre-tax bid-YTW of 4.43% based on a bid of 26.31 and a call 2012-11-28 at $25.00.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 80,935 Desjardins crossed 50,000 at 24.99. Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.92 and a limitMaturity.
CU.PR.B PerpetualPremium 56,400 Nesbitt crossed 40,000 at 27.20, then Scotia crossed 10,000 at the same price. Perhaps the sellers were making room for the pending new issue – but then, what were the buyers doing? Now with a pre-tax bid-YTW of 3.06% based on a bid of 27.02 and a call 2008-07-01 at $26.00 … it won’t yield much more than bonds, unless CU decides to waive the call.
W.PR.H PerpetualPremium 51,200 Scotia crossed 50,000 at 26.65. Now with a pre-tax bid-YTW of 4.25% based on a bid of 26.63 and a call 2013-2-14 at $25.00.
PWF.PR.I PerpetualPremium 41,200 Nesbitt crossed 40,000 at 26.65. Now with a pre-tax bid-YTW of 3.81% based on a bid of $26.50 and a call 2008-05-30 at $26.00.
CM.PR.I PerpetualPremium 32,650 Now with a pre-tax bid-YTW of 4.56% based on a bid of 25.27 and a call 2016-03-01 at $25.00

There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.