Category: Market Action

Market Action

August 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 4.34% 4.30% 26,084 16.69 2 -0.3580% 994.5
Fixed-Floater 4.94% 4.16% 260,451 12.10 6 -0.1120% 1,002.6
Floater 4.60% -15.49% 58,372 6.48 5 -0.0237% 1,005.5
Op. Retract 4.71% 3.11% 76,392 2.70 18 -0.0576% 1,003.2
Split-Share 5.01% 3.61% 56,630 2.78 10 0.0380% 1,003.4
Interest Bearing 6.86% 5.41% 61,694 2.16 7 0.0253% 1,008.7
Perpetual-Premium 5.29% 4.24% 174,239 4.24 42 0.0604% 1,009.4
Perpetual-Discount 4.73% 4.78% 358,602 15.15 13 0.0790% 1,013.1
Major Price Changes
Issue Index Change Notes
There were no major price changes of index-included issues today!
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 200,800 BMO crossed 200,000 @ 24.40
CM.PR.G PerpetualPremium 136,700 National Crossed 24,000 @ 26.50; BMO bought 99,700 from National @26.49
WN.PR.E PerpetualDiscount 129,842  
TOC.PR.B FloatingRate 60,161 BMO crossed 36,800 @ 25.45
GWO.PR.F PerpetualPremium 56,069 Scotia crossed 56,000 @ 27.18The YTW is 3.90% with a modified duration of 2.07 at the closing bid of 27.15

Another active day. There were nine other “normal” (determined by par value) issues included within the indices that traded more than 10,000 shares.

Market Action

August 10, 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% 4.28% 26,501 16.73 2 0.1002% 998.1
Fixed-Floater 4.94% 4.10% 263,800 12.10 6 0.0996% 1,003.7
Floater 4.60% -16.20% 58,031 6.47 5 -0.0395% 1,005.7
Op. Retract 4.71% 3.14% 76,756 2.70 18 0.2298% 1,003.8
Split-Share 5.01% 3.62% 57,299 2.78 10 0.0852% 1,003.0
Interest Bearing 6.86% 5.37% 62,148 2.16 7 -0.1412% 1,008.5
Perpetual-Premium 5.29% 4.36% 175,286 4.24 42 0.0576% 1,008.8
Perpetual-Discount 4.74% 4.77% 361,219 13,75 13 0.3045% 1,012.26
Major Price Changes
Issue Index Change Notes
There were no major price changes of index-included issues today!
Volume Highlights
Issue Index Volume Notes
MFC.PR.B PerpetualDiscount 259,811 BMO traded 80,000 as an internal cross @ 24.76; BMO bought 25,000 from RBC @24.75; BMO bought 21,200 from TD @24.75
MFC.PR.A OpRet 162,573 Desjardins bought 25,000 from BMO @26.52.
The YTW is 3.41% with a ModifiedDuration(YTW) of 7.76 at the closing bid of 26.55
SLF.PR.B PerpetualDiscount 126,700 BMO bought 50,000 from National @25.20; BMO crossed 30,000 (IC) @25,19
WN.PR.E PerpetualDiscount 117,800 RBC crossed 83,300 @ 24.00; Scotia bought 10,000 from RBC @24.00; Scotia bought 17,800 from RBC @24.00.
The YTW is 5.00% with a ModifiedDuration(YTW) of 15.45 at the closing bid of $24.00
CM.PR.G PerpetualPremium 106,588 BMO bought 95,000 from Nat @26.49.
The YTW is 4.54% with a modified duration of 6.38 at the closing bid of 26.49
TD.PR.O PerpetualPremium 104,275 National crossed 50,000 @25.40; Anonymous bought 50,000 from National @25.40

A busy day! There were 15 other index-included issues with volumes in excess of 10,000 shares!

Market Action

Split-Share Yield Curve, 2006-08-09

Here’s another yield curve for your inspection and criticism!

The CGI.PR.C are by far the longest-duration split-shares available and, it should be noted, have a DBRS credit rating of Pfd-1, very unusual for a split share corporation. I issued a press release on them when they were issued in February. They’re redeemable commencing in June, 2011 @ $26.00, declining annually to a price of $25 commencing June, 2015. They’re retractible at $25 commencing June, 2016.

The most liquid securities of the group are the WFS.PR.A and PIC.PR.A, with Average Trading Values of about $120,000 and $170,000, respectively.

 For other information on these issues you can, as always, take a look at prefInfo.com.

Market Action

August 9, 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% 4.28% 25,766 16.72 2 0.1003% 997.1
Fixed-Floater 4.94% 4.11% 266,895 14.04 6 -0.0913% 1,002.9
Floater 4.60% -17.08% 57,608 6.46 5 0.1122% 1,006.1
Op. Retract 4.72% 3.13% 76,205 2.70 18 -0.0493% 1,001.5
Split-Share 5.01% 3.79% 57,912 2.78 10 0.0158% 1,002.2
Interest Bearing 6.85% 5.29% 62,051 2.16 7 -0.0111% 1,019.9
Perpetual-Premium 5.29% 4.38% 174,083 4.09 42 0.1007% 1,008.2
Perpetual-Discount 4.75% 4.79% 360,131 15.14 13 0.0851% 1,009.2
Major Price Changes
Issue Index Change Notes
W.PR.H PerpetualPremium +1.0121%  
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 25,459  
PWF.PR.L PerpetualPremium 20,145  
SLF.PR.B PerpetualDiscount 15,300  
RY.PR.K OpRet 14,739 BMO bought 12,500 from anonymous @ 25.16
CM.PR.C PerpetualPremium 12,380  
Market Action

August 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 4.33% 4.29% 26,039 16.72 2 -0.0800% 996.1
Fixed-Floater 4.94% 4.06% 269,384 8.87 6 +0.0012% 1,003.6
Floater 4.61% -15.40% 58,621 6.47 5 -0.1508% 1,005.0
Op. Retract 4.72% 3.03% 76,844 2.70 18 0.0755% 1,002.0
Split-Share 5.02% 3.83% 57,898 2.79 10 -0.0122% 1,002.0
Interest Bearing 6.85% 5.26% 62,835 2.16 7 -0.0886% 1,010.0
Perpetual-Premium 5.30% 4.43% 176,716 4.12 42 -0.0183% 1,007.2
Perpetual-Discount 4.75% 4.80% 366,161 15.14 13 0.1545% 1,008.3
Major Price Changes
Issue Index Change Notes
No major price changes of issues included in indices!
Volume Highlights
Issue Index Volume Notes
IAG.PR.A PerpetualDiscount 207,160 RBC crossed 100,000 @ 24.75, then Scotia did the same. The YTW is 4.69% at the closing bid of $24.73
SLF.PR.C PerpetualDiscount 203,700  
SLF.PR.A PerpetualDiscount 157,575 RBC crossed 150,000 @ 24.95
MFC.PR.B PerpetualDiscount 155,500 RBC crossed 150,000 @ 24.70
CM.PR.C PerpetualPremium 24,407 YTW 3.17% at closing bid of $26.75

Market Action

August 4, 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 4.33% 4.33% 27,064 16.73 2 0.1808% 996.9
Fixed-Floater 4.94% 4.13% 278,149 6.96 6 +0.2064% 1,003.6
Floater 4.60% -15.74% 59,351 6.50 5 0.2320% 1,006.5
Op. Retract 4.72% 3.04% 77,385 2.71 18 0.0642% 1,001.2
Split-Share 5.01% 3.84% 58,552 2.80 10 -0.087% 1,002.1
Interest Bearing 6.85% 5.15% 62,987 1.94 7 0.0200% 1,010.9
Perpetual-Premium 5.30% 4.41% 178,424 4.06 42 0.0801% 1,007.4
Perpetual-Discount 4.76% 4.80% 367,687 15.14 13 0.0473% 1,006.8
Major Price Changes
Issue Index Change Notes
CM.PR.A OpRet +1.50% No shares traded! The bid is now 27.00-51, 5×12, up from 26.60-58 yesterday. The YTW at the bid is 1.50%
Volume Highlights
Issue Index Volume Notes
PWF.PR.L PerpetualPremium 442,125 Heavy trading on its first day! See A sparkling debut for PWF.PR.L!
ACO.PR.A OpRet 68,686 Global crossed 33,900 @28.60 for delayed delivery; and then 33,900 @28.25 for regular settlement. The ex-date was today, dividend of $0.359375. Clearly some kind of dividend-capture strategy at work here.
SLF.PR.B PerpetualDiscount 31,236 National Bank crossed 10,000 @ $25.00 after selling 8,000 to BMO at $25.03
RY.PR.K OpRet 14,737 BMO crossed 13,500 @ $25.20

Market Action

August 3, 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 4.33% 4.29% 26,812 16.72 2 0% 995.1
Fixed-Floater 4.95% 4.19% 286,504 12.13 6 -0.0913% 1,001.5
Floater 4.61% -14.62% 59,847 6.48 5 0.2939% 1,004.2
Op. Retract 4.72% 3.13% 77,869 2.66 18 0.0487% 1,000.6
Split-Share 5.01% 3.78% 59,091 2.80 10 0.0890% 1,003.0
Interest Bearing 6.85% 5.15% 63,899 2.18 7 0.0697% 1,010.7
Perpetual-Premium 5.30% 4.42% 121,418 4.05 41 -0.0274% 1,006.6
Perpetual-Discount 4.76% 4.80% 375,590 15.83 13 -0.1188% 1,006.3
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater 1.22% Was down 1.62% yesterday
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 75,505 Desjardins crossed 75,000 shares @ 28.25. At this price, they have a YTW of about 2.5%
WN.PR.C PerpetualPremium 22,200 RBC crossed 19,700 shares at 25.35
BMO.PR.I OpRet 18,400 RBC crossed 16,400 shares at 25.50
RY.PR.B PerpetualDiscount 13,200  
Market Action

August 2, 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% 4.30% 26,351 16.71 2 0% 993.9
Fixed-Floater 4.94% 4.13% 295,668 6.94 6 -0.0065% 1,002.4
Floater 4.61% -11.68% 59,896 6.48 5 -0.2258% 1,001.3
Op. Retract 4.72% 3.06% 78,096 2.71 18 0.1003% 1,000.09
Split-Share 5.01% 3.58% 59,589 2.76 10 -0.0170% 1,002.1
Interest Bearing 6.85% 5.21% 65,069 2.18 7 -0.0916% 1,010.0
Perpetual-Premium 5.30% 4.36% 122,782 3.94 41 -0.0028% 1,006.8
Perpetual-Discount 4.76% 4.80% 385,848 15.84 13 0.0725% 1,007.5
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater -1.62% Volume of 13,375 shares
POW.PR.D PerpetualPremium -1.48% Volume of 11,980 shares
Volume Highlights
Issue Index Volume Notes
TCA.PR.Y PerpetualPremium 45,894  
SLF.PR.B PerpetualDiscount 19,370  
POW.PR.B PerpetualPremium 13,600  
AL.PR.E Floater 13,375 Lost 1.62% on day
BMO.PR.H PerpetualPremium 13,040 shares  

There were five other index-included issues with volume in excess of 10,000 shares.

Market Action

August 1, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.57% 4.53% 26,925 16.76 2 -0.1002% 993.9
Fixed-Floater 4.94% 4.21% 305,581 6.85 6 0.00% 1,002.5
Floater 4.60% -14.72% 59,050 6.45 5 0.0085% 1,003.5
Op. Retract 4.72% 2.95% 78,843 2.66 18 0.3122% 999.1
Split-Share 5.01% 3.70% 59,815 2.74 10 0.0457% 1,002.3
Interest Bearing 6.86% 5.15% 65,327 2.19 7 0.1094% 1,010.9
Perpetual-Premium 5.30% 4.33% 123,416 3.98 41 0.0887% 1,006.9
Perpetual-Discount 4.77% 4.80% 392,028 15.84 13 0.1289% 1,006.8
Major Price Changes
Issue Index Change Notes
None!
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 176,467  
BMO.PR.I OpRet 75,517 Anonymous internal cross, 74,500 @ 25.79
BC.PR.C FixedFloater 58,669 See the Change in Terms
BNS.PR.K PerpetualPremium 55,350 RBC crossed 50,000 @ 25.20
TD.PR.M OpRet 49,250 Anonymous internal cross @ 27.55

There were seven other index-included issues with volume in excess of 10,000 shares.

Note that there were changes in index construction today.

Index Construction / Reporting

July 31, 2006 (After Rebalancing)

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.24% 4.25% 91,756 16.95 2 N/A 994.9
Fixed-Floater 5.23% 4.10% 98,940 8.30 5 N/A 1,002.5
Floater 4.60% -15.57% 59,854 4.60 5 N/A 1,003.4
Op. Retract 4.74% 3.05% 78,683 2.75 18 N/A 996.0
SplitShare 5.02 3.64 60,673 2.81 10 N/A 1,001.8
Interest Bearing 6.86% 5.26% 65,738 2.19 7 N/A 1,009.8
Perpetual Premium 5.30% 4.40% 124,309 3.97 41 N/A 1,006.0
Perpetual Discount 4.77% 4.80% 401,377 15.83 13 N/A 1,005.5
Index Changes
Issue From To Because
PWF.PR.A Floater Scraps Volume
CVF.PR.A SplitShare Scraps Volume
MUH.PR.A SplitShare Scraps Volume
BNA.PR.B SplitShare Scraps Volume
BNA.PR.A SplitShare Scraps Volume
NA.PR.L PerpetualDiscount PerpetualPremium Price
AL.PR.F Scraps Floater Volume