Category: Market Action

Market Action

October 27, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.10% 3.98% 41,831 10.69 2 0.2070% 1,021.9
Fixed-Floater 4.96% 3.02% 156,139 8.71 7 -0.0220% 1,026.3
Floater 4.52% -15.64% 75,477 6.50 5 0.1433% 1,021.1
Op. Retract 4.68% 2.10% 88,489 2.38 17 0.0630% 1,020.6
Split-Share 4.95% 3.81% 158,927 3.81 11 -0.1049% 1,021.8
Interest Bearing 6.87% 4.88% 56,317 1.99 7 0.2525% 1,025.2
Perpetual-Premium 5.08% 3.83% 214,042 4.28 47 0.1284% 1,038.2
Perpetual-Discount 4.60% 4.63% 584,352 16.15 7 -0.0630% 1,031.4
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 327,930 See SLF.PR.D : Clearance Sale Winding Down?
RY.PR.A PerpetualDiscount 67,545  
CM.PR.R OpRet 42,400  
CM.PR.A OpRet 39,726  
GWO.PR.I PerpetualDiscount 37,920  

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

Market Action

October 26, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.10% 4.02% 42,284 10.66 2 0.0000% 1,019.7
Fixed-Floater 4.96% 3.56% 159,126 8.71 7 -0.0157% 1,026.5
Floater 4.53% -14.49% 74,873 6.50 5 -0.0237% 1,019.6
Op. Retract 4.67% 2.17% 87,729 2.38 17 0.0664% 1,019.9
Split-Share 4.93% 3.76% 159,658 3.76 11 0.0538% 1,022.8
Interest Bearing 6.89% 5.34% 56,770 2.00 7 -0.1479% 1,022.6
Perpetual-Premium 5.09% 3.94% 213,929 4.37 47 0.0426% 1,036.8
Perpetual-Discount 4.60% 4.63% 561,841 16.16 7 0.0468% 1,032.1
Major Price Changes
Issue Index Change Notes
MST.PR.A InterestBearing -1.2346% Reverses yesterday’s gains to close with a much more reasonable bid-YTW of 5.14%.
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 493,956 Another huge day! See SLF.PR.D : Inventory Blow-out Sale!. No significant price movement.
ELF.PR.G PerpetualPremium 237,855 RBC crossed 75,000 at the opening at $25.15, then 100,000 @ $25.12, followed by 56,000 @ $25.13. Since this was a recent RBC bought deal, one may speculate that this was the clearance sale for this issue.
CM.PR.A OpRet 181,581 Desjardins crossed 180,000 @ $26.78 for cash. The short-settlement was probably client-driven, since this went ex-dividend September 26. I don’t understand the lofty price on this thing, though … the YTW is a piddly 1.14%, based on a closing bid of $26.87 and a call 2007-11-30 at $25.75. There will be those that place a high probability on the “Survive Until the 2011 call @ $25.00 and pay $1.35 p.a. in the meantime” scenario, but I’m not about to put my money behind that idea! Retractables are treated as bonds for capital adequacy purposes, and can be issued to pay less than a buck.
SLF.PR.C PerpetualDiscount 181,570 BMO bought 50,000 from Scotia @ $24.40. Given that the issues are so similar, I’ll bet a nickel that the seller’s proceeds went right into SLF.PR.D. But who … who would buy this stuff? Ticket size doesn’t seem like a sensible consideration, because even if the underwriters turned down your order for 50,000 (hah!), on a day like today you could probably fill it with 500 buys of 100 shares apiece! Short covering, maybe? Except that SLF.PR.C has traded below SLF.PR.D since the latter’s issuance, so that doesn’t really work either.
RY.PR.W PerpetualPremium 110,153 Day’s high: $26.15. Day’s low: $26.10. Boring!

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

Market Action

October 25, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.11% 4.03% 43,821 10.66 2 0.0598% 1,019.7
Fixed-Floater 4.96% 3.16% 162,573 6.49 7 -0.0165% 1,026.6
Floater 4.53% -15.02% 74,843 6.49 5 0.0716% 1,019.9
Op. Retract 4.68% 2.00% 86,929 2.38 17 0.0422% 1,019.2
Split-Share 4.94% 3.77% 159,387 3.27 11 0.0158% 1,022.3
Interest Bearing 6.88% 5.15% 56,321 2.00 7 0.1364% 1,024.1
Perpetual-Premium 5.09% 3.94% 211,798 4.26 47 -0.0254% 1,036.4
Perpetual-Discount 4.60% 4.63% 538,163 16.16 7 -0.5466% 1,031.6
Major Price Changes
Issue Index Change Notes
SLF.PR.D PerpetualDiscount -2.6369% The underwriters are unloading (have unloaded?) their inventory! See SLF.PR.D : Inventory Blow-out Sale!
MST.PR.A InterestBearing +1.1527% Now has a pre-tax YTW of 4.66%, based on a bid price of $10.53 and a maturity at $10.00 on 2009-9-30. Only 4.66% on three-year paper rated Pfd-2(low) by DBRS? That’s getting close to what you can do in the regular bond market … commissions and spreads become very important!
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 666,550 Huge day! See SLF.PR.D : Inventory Blow-out Sale!
CM.PR.A OperatingRetractible 304,950 Scotia crossed 200,000 @ 26.78, then Desjardins crossed 100,000 at the same price. Pre-tax YTW of 2.01% based on a closing bid of $26.62 and a call 2007-11-30 … realized yield will have been 3.82% if it survives until its softMaturity 2011-7-30.
RY.PR.W PerpetualPremium 258,170 Scotia crossed 230,000 @ $26.12, then 22,000 at the same price. YTW is 4.15% based on a call 2014-03-26. This was also a big trader yesterday.
SLF.PR.B PerpetualPremium 132,550 Scotia bought a total of 49,800 in six tranches from National just before the close, mostly at $25.50. Presumably a lot of the activity here was related to the SLF.PR.D : Inventory Blow-out Sale!
SLF.PR.C PerpetualDiscount 79,511 This issue is virtually identical to the SLF.PR.D, but the closing bid was $0.27 higher. Such is the pref market.

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

Market Action

October 24, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.12% 4.04% 44,328 10.65 2 -0.0796% 1,019.1
Fixed-Floater 4.96% 3.14% 166,010 8.76 7 0.1406% 1,026.8
Floater 4.53% -14.40% 76,237 6.49 5 -0.1646% 1,019.1
Op. Retract 4.68% 2.05% 87,212 2.39 17 -0.0205% 1,018.8
Split-Share 4.94% 3.78% 160,188 3.27 11 -0.0705% 1,022.1
Interest Bearing 6.89% 5.15% 56,533 2.00 7 -0.0015% 1,022.7
Perpetual-Premium 5.09% 3.94% 212,455 4.27 47 0.0236% 1,036.7
Perpetual-Discount 4.58% 4.60% 521,501 16.21 7 0.1488% 1,037.3
Major Price Changes
Issue Index Change Notes
PWF.PR.A Floater -1.0172% After yesterday’s huge gain, not entirely unexpected.
Volume Highlights
Issue Index Volume Notes
CM.PR.G PerpetualPremium 601,400 An active day! Scotia bought 200,000 from RBC, then RBC crossed 200,000, then Scotia crossed 100,000, then Scotia bought two lots of 50,000 each from RBC. All these trades were done at $26.95. An interesting issue – YTW is 4.17% based on a closing bid of $26.89 and call at $26.00 on 2010-5-31 … but it only increases to 4.25% if it survives until its $25.00 call 2014-5-31. Pays $1.35.
POW.PR.D PerpetualPremium 404,275 Lots of blocks in the 50,000 share range at $25.70, with RBC and Desjardins in the thick of things. Another entirely reasonable issue, with a Pre-Tax YTW of 4.65% based on a call 2014-11-30. Pays $1.25, issued almost exactly a year ago.
GWO.PR.G PerpetualPremium 109,035 RBC crossed 100,000 @ 26.70. Yields less than the above two active traders, 4.17% based on a call at $25.25 on 2013-1-30 and a closing bid of $26.72.
RY.PR.W PerpetualPremium 70,488 Pre-tax YTW of 4.13% based on a closing bid of $26.15 and a call at $25.00 on 2014-3-26. It went ex-dividend today.
MFC.PR.C PerpetualDiscount 60,350  

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

Market Action

October 23, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.12% 4.04% 44,080 10.66 2 0.0000% 1,019.9
Fixed-Floater 4.97% 3.95% 169,309 8.89 7 -0.0387% 1,025.4
Floater 4.53% -15.87% 75,475 6.50 5 0.2737% 1,020.8
Op. Retract 4.67% 1.84% 86,195 2.39 17 0.0329% 1,019.0
Split-Share 4.93% 3.73% 160,544 3.28 11 0.0472% 1,022.8
Interest Bearing 6.89% 5.02% 56,033 2.00 7 0.0450% 1,022.7
Perpetual-Premium 5.08% 3.94% 212,471 4.30 47 0.0305% 1,036.4
Perpetual-Discount 4.58% 4.61% 527,274 16.18 7 -0.0631% 1,035.7
Major Price Changes
Issue Index Change Notes
PWF.PR.A Floater +1.4657% Went ex-dividend today (see Company Website, but not only did nobody notice (it closed at 25.56-80 today, compared to 25.44-55 yesterday), but it closed at $26.00 (!) pumped up by an anonymous buy of 2,000 shares at 12:57pm that sailed through several offers … six of them, in fact, ranging from 25.70 to 26.00. Ouch.
Volume Highlights
Issue Index Volume Notes
WN.PR.B OpRet 100,368 Desjardins opened the day’s trading with a cross of 75,000 at $26.60, and closed it with a cross of 25,000 at the same price. Niggardly pre-tax YTW of 2.93% (mind you, reasonable for an operating retractible) based on a call 2009-6-30, one day ahead of retraction.
GWO.PR.H PerpetualPremium 59,400 Scotia crossed 58,000 @ 25.50. Not a bad issue, pre-tax YTW 4.68% based on a bid of $25.41 and a call 2014-10-30 at $25.00
NA.PR.L PerpetualPremium 44,100 Scotia crossed 42,800 @ 25.70. What buyer were they acting for? I want to sell them a really good bridge I happen to have won in a lottery! This thing pays $1.2125 and has a pre-tax YTW of 4.42% based on a bid of $25.66 and a call at $25.00 on 2014-6-14. Rated Pfd-1(low) by DBRS. Given the coupon, downside protection on interest rate moves is minimal.
CM.PR.H PerpetualPremium 43,250 Desjardins crossed 23,400 @ 25.65, then another 15,000 at the same price. Another mystery … this has a pre-tax YTW of 4.41%, based on a closing bid of $25.65 and a call at $25.00 2014-4-29.
RY.PR.B PerpetualPremium 38,648 The volume – and the price drop, it returned -0.3497% on the day – may have been due to players making room for the new issue. Why not, provided you can trade cheaply? RY.PR.B has a pre-tax YTW of 4.54% based on a closing bid of $25.65 and a call 2015-9-23 at $25.00 … which still makes it better yielding than some of those with higher volume today! This goes ex-dividend tomorrow, Tuesday, October 24, A.D. 2006, so be careful!

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

Market Action

October 20, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.13% 4.05% 45,792 10.66 2 0.0000% 1,019.9
Fixed-Floater 4.97% 3.92% 172,087 8.72 7 0.0003% 1,025.8
Floater 4.53% -15.72% 76,426 6.50 5 0.0159% 1,018.0
Op. Retract 4.67% 1.89% 86,957 2.39 17 0.0504% 1,018.7
Split-Share 4.94% 3.73% 161,563 3.29 11 0.1058% 1,022.4
Interest Bearing 6.89% 5.02% 56,288 2.00 7 -0.0132% 1,022.2
Perpetual-Premium 5.09% 3.91% 213,242 4.23 47 0.0082% 1,036.1
Perpetual-Discount 4.57% 4.61% 535,810 16.19 7 -0.0229% 1,036.4
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
LBS.PR.A SplitShare 122,500 Recent new issue, tops the charts for the fourth straight day despite being a split share – even accounting for the lower price per share, dollar volume is still impressive. And this note is getting boring, although it’s easy to write.
SLF.PR.C PerpetualDiscount 19,500 A narrow range, as befits a sleepy day … it closed at 24.50-55, 19×17, with a high-price of 24.55 and a low price of 24.50.
CM.PR.P PerpetualPremium 15.700 Pays $1.375 and isn’t callable until 2012 – and there’s no declining call period on this one. YTW is 3.92%, based on the bid price of $27.13 and a call in November, 2012. A little expensive, I say … but there’s a lot of interest-rate-protection that comes with the high dividend, so pays yer money and takes yer chances!
RY.PR.A PerpetualDiscount 14,150 Another issue trading in a narrow range, with the closing quote of $24.85-90 also representing the high and low.
GWO.PR.I PerpetualDiscount 13,420 Shockingly, the closing quote of 24.66-74 was inside the day’s high & low (24.75 & 24.63).

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

Doesn’t anybody ever take a view any more?

Market Action

October 19, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
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% 4.05% 47,522 10.65 2 0.0000% 1,019.9
Fixed-Floater 4.97% 3.87% 176,435 6.49 7 0.0956% 1,025.8
Floater 4.53% -15.61% 77,494 6.50 5 -0.0634% 1,017.9
Op. Retract 4.68% 2.01% 87,559 2.40 17 -0.0043% 1,018.2
Split-Share 4.94% 3.75% 161,691 3.29 11 -0.1359% 1,021.3
Interest Bearing 6.89% 5.06% 56,050 2.01 7 0.2452% 1,022.4
Perpetual-Premium 5.09% 3.79% 217,821 4.25 47 0.0385% 1,036.0
Perpetual-Discount 4.57% 4.60% 546,688 16.20 7 0.1504% 1,036.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
LBS.PR.A SplitShare 166,424 Recent new issue, tops the charts for the third straight day despite being a split share – even accounting for the lower price per share, dollar volume is still impressive.
DFN.PR.A SplitShare 54,300 An entirely reasonably priced issue, with a pre-tax yield of 3.89% based on a bid of $10.42, paying $0.525 until maturing 2009-12-1
ELF.PR.G PerpetualPremium 43,410 Another recent new issue. Still bid above par, closing at $25.12-20.
PIC.PR.A SplitShare 19,463 So what is this, splitShare Day? This has an entirely respectable pre-tax yield of 3.87%, based on a bid of $16.03 and a maturity at $15.00 on 2010-11-01.
WN.PR.E PerpetualDiscount 13,129 Attractively priced at 24.71-75, pre-tax bid yield of 4.84%.

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

Market Action

October 18, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.15% 4.06% 47,795 10.64 2 0.0000% 1,019.9
Fixed-Floater 4.97% 3.88% 180,376 8.70 7 0.0007% 1,024.8
Floater 4.53% -15.97% 77,748 6.50 5 0.0081% 1,018.5
Op. Retract 4.68% 2.02% 88,293 2.40 17 0.0466% 1,018.2
Split-Share 4.93% 3.68% 159,407 3.29 11 0.0441% 1,022.7
Interest Bearing 6.91% 5.19% 55,968 2.01 7 -0.1142% 1,019.9
Perpetual-Premium 5.09% 3.55% 220,936 4.31 47 0.1062% 1,035.6
Perpetual-Discount 4.58% 4.61% 560,158 16.19 7 0.0235% 1,035.1
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
LBS.PR.A SplitShare 295,275 Recent new issue. Despite its leap to a hefty premium above par, this still looks attractive, with a YTW of 4.28% based on a bid of 10.59 and a maturity at $10.00 in November 2013.
PWF.PR.H PerpetualPremium 276,340 RBC crossed 270,000 @ 26.45. At the closing bid of 26.43, this has a pre-tax YTW of 3.99%, paying $1.4375 until the YTW call 2008-1-9. If it lasts until 2012-1-9, it will have returned 4.50% … if it does, in fact, last that long!
W.PR.J PerpetualPremium 129,360 Scotia crossed 50,000 @ 25.45, and followed up with another of 69,200 shares at the same price. This is an attractive issue … pre-tax YTW of 4.74% based on a call 2008-8-14 and a bid of $25.40.
WN.PR.A PerpetualPremium 95,720 Scotia crossed 50,000 @ $26.20 and then did another tranche of 42,000 at the same price. Another attractive, Pfd-2(low) [DBRS] issue, with a YTW of 4.81% based on a call 2011-1-14.
GWO.PR.H PerpetualPremium 56,340 Scotia (again!) crossed 50,000 @ 25.55. A nice issue, this, even if simply fairly priced – good credit, good daily volume, and a pre-tax YTW of 4.67% based on a call 2014-10-30. It pays $1.2125. Now, compare this issue with the PWF.PR.H mentioned above, and explain to me how the prices may be reconciled!

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

Market Action

October 17, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.16% 4.07% 49,056 10.63 2 -0.0596% 1,019.9
Fixed-Floater 4.97% 3.88% 186,066 6.49 7 -0.0333% 1,024.8
Floater 4.53% -15.89% 78,474 6.51 5 0.0637% 1,018.4
Op. Retract 4.68% 2.20% 88,687 2.40 17 0.0442% 1,017.8
Split-Share 4.94% 3.68% 155,218 3.29 11 0.6266% 1,022.2
Interest Bearing 6.90% 5.13% 56,361 2.01 7 -0.0251% 1,021.0
Perpetual-Premium 5.09% 3.54% 220,336 4.35 47 0.0344% 1,034.5
Perpetual-Discount 4.58% 4.61% 568,307 16.19 7 0.1045% 1,034.8
Major Price Changes
Issue Index Change Notes
PIC.PR.A SplitShare +1.1136% Closed at 16.07-35 on volume of 9,711 shares … a few shares traded at the offering price.
Volume Highlights
Issue Index Volume Notes
LBS.PR.A SplitShare 1,671,290 Opening Day!
PWF.PR.I PerpetualPremium 303,300 Nesbitt crossed 200,000 @ 27.00, then 100,000 at the same price. The Pre-tax YTW is 3.19% at this price, based on a May, 2008 call. Since it pays $1.50, the chance of a call is relatively high … but maybe it will hang on until May, 2012, after delivering 4.36%.
ELF.PR.G PerpetualPremium 135,325 Opening Day!  
BAM.PR.G FixedFloater 107,650 This thing continues to trade heavily – see yesterday’s comments.
NA.PR.K PerpetualPremium 102,092 Desjardins crossed 98,100 @ 27.10. At the closing bid of $27.17, these things have a pre-tax YTW of only 2.59% based on a call in June 2008. Somebody obviously thinks they’ll hang on until June 2012, having yielded 4.06% … but since it pays $1.4625, it’s not a bet I’d make, seeing as I don’t have to!

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

Market Action

October 16, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.17% 4.05% 50,012 10.61 2 0.0000% 1,020.6
Fixed-Floater 4.97% 3.89% 190,079 8.87 7 -0.0612% 1,025.1
Floater 4.53% -17.58% 77,718 6.51 5 0.0080% 1,017.8
Op. Retract 4.68% 2.13% 88,707 2.40 17 0.0355% 1,017.3
Split-Share 4.94% 3.66% 61,368 3.02 10 0.0380% 1,015.8
Interest Bearing 6.90% 5.00% 55,802 2.01 7 0.1025% 1,021.3
Perpetual-Premium 5.10% 3.58% 171,688 4.30 46 0.1066% 1,034.2
Perpetual-Discount 4.59% 4.61% 578,748 16.18 7 0.0294% 1,033.7
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major gains or losses today.
Volume Highlights
Issue Index Volume Notes
SLF.PR.B PerpetualPremium 82,330  
PWF.PR.D Scraps 71,000 Desjardins bought 70,000 @27.10 on a Delayed Delivery basis from Polar. A few more active days like this and this issue won’t be in ‘Scraps’ any more!
BAM.PR.G FixedFloater 40,069 The only issue in the FixedFloater index that isn’t swept up in the possible BCE-unit-trust-offer! Not only that, but the rate announcement and soon-expiring exchange offer will have caused a lot of portfolio tweaking.
CM.PR.A OpRet 27,700 Scotia crossed 24,200 @ 26.75. This issue has a pre-tax YTW of 1.69% based on a call in November, 2007 … but 3.73% if it survives until just before retractibility becomes an issue, July 2011. It pays $1.325 … CIBC can finance a perpetual cheaper than that, never mind a retractible!
MFC.PR.C PerpetualDiscount 26,749  

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