Category: Market Action

Market Action

September 28, 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 4.33% 4.34% 50,761 16.79 1 0.6048% 1,018.7
Fixed-Floater 4.91% 3.90% 263,184 9.00 6 0.1844% 1,014.9
Floater 4.62% -18.77% 98,080 8.13 4 0.0100% 1,018.8
Op. Retract 4.68% 2.11% 85,380 2.11 18 0.0902% 1,017.4
Split-Share 4.98% 2.98% 60,740 2.67 10 -0.0723% 1,015.1
Interest Bearing 6.88% 4.45% 55,267 1.83 7 -0.0915% 1,024.4
Perpetual-Premium 5.15% 3.92% 175,684 4.33 48 0.0310%* 1,027.7*
Perpetual-Discount 4.58% 4.60% 331,283 16.24 6 0.0403% 1,039.9
* Corrected due to error on ELF.PR.F
Major Price Changes
Issue Index Change Notes
ELF.PR.F PerpetualPremium -1.3268% Volume of 4,750 shares. Perhaps this price move is a result of the new issue? This issue now has a pre-tax YTW of 4.82%, based on a bid price of 26.03 and a call in 2013. They still look expensive to me. Note added 2006-09-29 : Mea Culpa. They went ex-dividend on 9/28, not 9/29 as I had originally recorded. So: the 9/28 total return wasn’t as exciting as first thought … but that just makes them more expensive
ACO.PR.A OpRet +2.3542% Vaults 3 places in the rankings to become the highest priced Operating Retractible! At the bid of $28.26, it has a pre-tax YTW of 1.78% based on a call in December 2008, but will have achieved 3.11% if it survives ’til its ‘Soft Maturity’ in 2011.
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 550,790 Desjardins bought 275,000 from ‘Anonymous’ at $28.10, then crossed 275,000 at $28.13 a minute (or so) later.
FTS.PR.F Scraps 152,035 Sure, it’s only rated Pfd-3(high), but it’s its first day of trading, after all! Every issue should have one day in the sun!
BC.PR.C FixedFloater 64,427  
MFC.PR.C PerpetualDiscount 34,700  
FTN.PR.A SplitShare 29,900 Anonymous bought 10,000 from Nesbitt at $10.50. Closed at $10.42-49

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

Market Action

September 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 4.38% 4.39% 49,358 16.71 1 -0.1204% 1,012.6
Fixed-Floater 4.91% 3.93% 263,462 8.97 6 -0.1269% 1,013.1
Floater 4.63% -18.77% 97,969 8.13 4 0.1497% 1,018.7
Op. Retract 4.68% 2.15% 84,413 2.15 18 0.1372% 1,016.5
Split-Share 4.97% 2.90% 60,207 2.68 10 0.1851% 1,015.8
Interest Bearing 6.87% 4.40% 56,038 1.83 7 0.1814% 1,025.3
Perpetual-Premium 5.15% 3.89% 177,127 4.35 48 0.0354% 1,027.4
Perpetual-Discount 4.58% 4.60% 329,911 16.24 6 0.0951% 1,039.4
Major Price Changes
Issue Index Change Notes
BC.PR.C FixedFloater -1.3255% Volume of 7,240 shares.
STW.PR.A InterestBearing +1.0536%  
CAC.PR.A SplitShare +1.2549% Still attractive at the bid price of 25.28, with a pre-tax YTW of 3.88% based on a maturity in July 2007. It went ex-dividend today … maybe somebody forgot!
Volume Highlights
Issue Index Volume Notes
HSB.PR.C PerpetualPremium 94,285 Scotia crossed 89,500 @ 26.26
BNS.PR.K PerpetualPremium 58,700 Internal cross of 51,900 @ 26.20 by Nesbitt.
RY.PR.W PerpetualPremium 46,990  
POW.PR.D PerpetualPremium 29,650 Closed at 25.31-49; the bid price gives a pre-tax YTW of 4.81% based on a call in November 2014. It traded as low as $25.15 today.
CM.PR.G PerpetualPremium 23,725 Pre-tax YTW of 4.61% at the bid price of $26.20, based on a call in 2014.

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

Market Action

September 26, 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% 4.40% 48,744 16.64 1 0.1608% 1,013.8
Fixed-Floater 4.89% 3.98% 272,642 8.99 6 0.0594% 1,014.3
Floater 4.63% -18.46% 97,450 8.12 4 0.0199% 1,017.2
Op. Retract 4.69% 2.44% 84,419 2.44 18 -0.0139% 1,015.1
Split-Share 4.97% 3.07% 60,026 2.67 10 0.2222% 1,014.0
Interest Bearing 6.85% 4.50% 55,555 2.07 7 0.2376% 1,023.4
Perpetual-Premium 5.14% 4.01% 176,929 4.14 48 -0.0327% 1,027.1
Perpetual-Discount 4.58% 4.60% 331,043 16.23 6 -0.0531% 1,038.5
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today
Volume Highlights
Issue Index Volume Notes
CM.PR.B PerpetualPremium 257,200 Desjardins crossed 250,000 @ $26.10. With an annual dividend of $1.50, this is a good candidate to be called early next year … if it is, it will still achieve a pre-tax YTW of 3.71% (worth about 5.19% interest equivalent! Not bad for five-month bank paper!)
BC.PR.E Scraps 200,000 Every single share was crossed by Scotia, in three tranches, at various times throughout the day, at $25.17. For an issue recently removed from the ratchet index due to volume concerns, this has sure been trading a lot lately!
CM.PR.A OpRet 182,600 Global crossed 89,200 on a cash basis at $27.21, then ‘another’ 89,200 regular settlement at $26.87. Difference of $0.34, dividend is $0.33125, issue went ex-dividend today. Somebody’s got a capture strategy going!
FTN.PR.A SplitShares 115,540 Pre-tax YTW of 3.24% based on the closing bid of $10.45 and a maturity at $10.00 2008-12-01
IGM.PR.A OpRet 65,902 Scotia crossed 48,900 @ 27.80

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

Market Action

September 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 4.39% 4.42% 46,271 16.61 1 0.0805% 1,012.2
Fixed-Floater 4.89% 3.95% 279,401 8.97 6 0.1909% 1,013.7
Floater 4.63% -18.44% 99,074 8.11 4 0.0501% 1,017.0
Op. Retract 4.68% 2.37% 82,645 2.37 18 0.0920% 1,015.3
Split-Share 4.98% 3.21% 59,456 2.68 10 0.0750% 1,011.7
Interest Bearing 6.86% 4.71% 55,751 2.06 7 -0.1747% 1,021.0
Perpetual-Premium 5.13% 4.01% 176,804 4.15 48 0.0477% 1,027.4
Perpetual-Discount 4.58% 4.60% 331,842 16.24 6 0.2305% 1,039.0
Major Price Changes
Issue Index Change Notes
IAG.PR.A PerpetualDiscount +1.0101% Closed at 25.00-10. Won’t be a “Discount” for much longer at this rate!
ACO.PR.A OpRet +1.2887% Pre-Tax YTW 3.04% based on a call at $26.00 in December 2008. A reasonable chance of doing better, given its unusually steeply declining premium. I’ll have to write a proper comment about this issue …
Volume Highlights
Issue Index Volume Notes
CM.PR.E PerpetualPremium 66,870 Pre-Tax YTW of only 4.18% at the closing bid of $26.89
CM.PR.A OpRet 55,635 Pre-Tax YTW only 1.02% at the closing bid of $27.21, based on a call at $25.75 in November 2007.
BC.PR.E Scraps 50,930 The volume’s increasing on this little guy! He’ll be eligible for inclusion in the ratchet rate index soon!
CM.PR.H PerpetualPremium 26,630 Not a bad issue at the closing quote of 25.46-57… Pre-Tax YTW of 4.66% based on a call in 2014 at par.
BAM.PR.B Floater 25,905  

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

Market Action

September 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 4.40% 4.44% 45,781 16.59 1 0.0805% 1,011.4
Fixed-Floater 4.90% 4.00% 287,783 8.97 6 -0.0910% 1,011.8
Floater 4.64% -18.70% 96,595 8.10 4 -0.0396% 1,016.5
Op. Retract 4.68% 2.32% 82,179 2.20 18 0.0435% 1,014.4
Split-Share 4.98% 3.07% 58,538 2.68 10 0.0191% 1,011.0
Interest Bearing 6.86% 4.61% 55,813 2.08 7 -0.0017% 1,022.8
Perpetual-Premium 5.13% 3.85% 176,827 4.12 48 0.0660% 1,026.9
Perpetual-Discount 4.59% 4.60% 331,945 16.23 6 0.0407% 1,036.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute value of returns greater than 1% today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 261,340 RBC crossed 50,000 @ $24.68, then Scotia crossed 150,000 at the same price.
FTN.PR.A SplitShare 134,240 Scotia crossed 60,000 @ $10.43, then 71,000 at the same price about 80 minutes later. These have a pre-tax YTW of 3.42% at the closing bid of $10.41, maturing in December 2008.
BC.PR.E Scraps 131,600 Scotia crossed 50,000 @ 25.17, then 80,000 at the same price. This is a ratchet-rate preferred, paying $0.10 monthly, or $1.20 p.a., or 4.8% of face, or 80% of prime. It was discussed briefly in this post
GWO.PR.H PerpetualPremium 107,075 Scotia crossed 99,900 @25.40.
POW.PR.B PerpetualPremium 105,000 RBC crossed 100,000 @ 25.85.

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

Market Action

September 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 4.41% 4.44% 44,742 16.57 1 0.3232% 1,010.5
Fixed-Floater 4.90% 3.96% 296,813 8.97 6 -0.1241% 1,012.7
Floater 4.63% -18.12% 96,823 8.13 4 0.1099% 1,016.9
Op. Retract 4.69% 2.25% 82,807 2.20 18 0.0270% 1,013.9
Split-Share 4.98% 3.04% 58,243 2.68 10 -0.0914% 1,010.8
Interest Bearing 6.86% 4.47% 56,345 2.08 7 0.0925% 1,022.8
Perpetual-Premium 5.14% 4.11% 177,754 4.16 48 0.0904% 1,026.2
Perpetual-Discount 4.59% 4.61% 326,749 16.23 6 0.0966% 1,036.2
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute value of returns greater than 1% today.
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 333,237 Pre-tax YTW 3.65% at the closing bid of $27.15, the second best in the OpRet index, based on a call in December 2008 at $26. It could very well survive longer, however, since the call price declines by $0.50 p.a.
CM.PR.D PerpetualPremium 51,200 Pre-tax YTW of only 3.54% at the closing bid of $27.07, not particularly good for a perp., but I suppose the $1.4375 annual dividend is high enough to convince the market to treat it as a retractible. But I’d rather pay $27.10 for the BNS.PR.J!
WN.PR.E PerpetualDiscount 42,352  
TD.PR.O PerpetualPremium 30,579  
SLF.PR.C PerpetualDiscount 29,790  

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

Market Action

September 20, 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 4.43% 4.46% 44,483 16.54 1 0.1619% 1,007.3
Fixed-Floater 4.89% 3.87% 304,429 8.96 6 0.0337% 1,014.0
Floater 4.64% -18.23% 97,098 8.11 4 0.1705% 1,015.8
Op. Retract 4.69% 2.33% 83,044 2.39 18 0.0084% 1,013.6
Split-Share 4.98% 3.05% 57,549 2.69 10 0.1534% 1,011.7
Interest Bearing 6.86% 4.60% 56,882 2.08 7 0.0674% 1,021.9
Perpetual-Premium 5.14% 4.03% 178,277 4.18 48 0.0860% 1,025.3
Perpetual-Discount 4.60% 4.61% 322,817 16.22 6 0.1568% 1,035.2
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute value of returns greater than 1% today.
Volume Highlights
Issue Index Volume Notes
POW.PR.B PerpetualPremium 66,464 Went ex-dividend today
WFS.PR.A SplitShare 55,000 Scotia crossed 50,000 @ 10.65. An attractive issue, with a pre-tax YTW of 3.86% and a modified duration of 4.24 years based on a June 30, 2011, maturity.
GWO.PR.I PerpetualDiscount 51,295 Pre-tax YTW now 4.60 at the closing bid of $24.51.
CU.PR.A PerpetualPremium 50,500 RBC crossed 50,000 @ $26.90. The pre-tax YTW is only 3.59%, based on a March, 2008 call. If it survives through the declining-premium period until March 2012, its yield will have been 4.37%. Pays $1.45 (with a Pfd-2 rating from DBRS), so there’s a reasonable chance it will make it. Still … only 4.37% at best, with no upside on yield declines! Pass.
PWF.PR.I PerpetualPremium 40,500 Scotia crossed 38,000 @ $26.95. An even higher-premium issue than the CU.PR.A, above, paying $1.50 with a pre-tax YTW of 3.91% based on a May, 2008, call. 4.59% if it survives to 2012 and the $25.00 call price, but you won’t catch me betting on it!

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

Market Action

September 19, 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 4.44% 4.47% 44,205 16.52 1 0.6517% 1,005.7
Fixed-Floater 4.90% 3.83% 311,685 8.94 6 -0.1302% 1,013.7
Floater 4.65% -16.90% 97,467 8.12 4 -0.1495% 1,014.0
Op. Retract 4.69% 2.24% 83,257 2.39 18 0.0480% 1,013.6
Split-Share 4.99% 3.07% 56,534 2.69 10 -0.1046% 1,010.2
Interest Bearing 6.87% 4.71% 56,441 2.09 7 -0.0514% 1,021.2
Perpetual-Premium 5.14% 4.17% 179,918 4.20 48 0.0894% 1,024.4
Perpetual-Discount 4.61% 4.62% 322,419 16.21 6 0.0001% 1,033.6
Major Price Changes
Issue Index Change Notes
FTN.PR.A SplitShare -1.0476% On volume of 3,165 shares
Volume Highlights
Issue Index Volume Notes
BAM.PR.K Floater 56,700 Scotia crossed 50,000 @ 24.25
GWO.PR.I PerpetualDiscount 40,375 The cheapest perpetual around, paying $1.125 annually and quoted at 24.47-55. Why it should trade for less than RY.PR.A, quoted at 24.75-87, paying 1.1125, is quite beyond me.
TD.PR.O PerpetualPremium 38,230 An entirely reasonable issue, with a YTW of 4.47% based on a call in November 2014.
IGM.PR.A OpRet 23,120 The most expensive (relative to par) index-included issue tracked by HIMIPref™. YTW of 2.95% based on a call in 2009; 3.86% if it survives until 2013.
GWO.PR.H PerpetualPremium 22,240  

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

And, best of all, I was able to recover prices from the TSX with no hitches!

Market Action

September 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 4.47% 4.50% 44,706 16.47 1 -0.0407% 999.2
Fixed-Floater 4.89% 3.85% 316,342 11.56 6 0.3491% 1,015.0
Floater 4.64% -17.54% 94,607 8.13 4 0.3606% 1,015.5
Op. Retract 4.69% 2.41% 81,521 2.39 18 0.0333% 1,013.1
Split-Share 4.98% 3.29% 56,610 2.69 10 -0.1171% 1,011.2
Interest Bearing 6.85% 4.61% 56,052 2.08 7 0.1230% 1,021.7
Perpetual-Premium 5.14% 4.15% 180,829 4.19 48 -0.0230% 1,023.5
Perpetual-Discount 4.61% 4.61% 322,780 16.22 6 0.1835% 1,033.6
Major Price Changes
Issue Index Change Notes
No index-included issues had bid/bid price changes in excess of 1% today.
Volume Highlights
Issue Index Volume Notes
WN.PR.A PerpetualPremium 103,800  
BNS.PR.K PerpetualPremium 66,325  
RY.PR.B PerpetualPremium 56,970  
PWF.PR.L PerpetualPremium 56,800  
SLF.PR.B PerpetualPremium 54,900  

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

Market Action

September 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 4.47% 4.49% 44,215 16.49 1 0.0407% 999.6
Fixed-Floater 4.91% 3.88% 320,079 11.53 6 0.0529% 1,011.4
Floater 4.66% -15.45% 95,396 8.12 4 0.3020% 1,011.9
Op. Retract 4.69% 2.54% 80,772 2.40 18 0.0728% 1,012.7
Split-Share 4.98% 2.29% 56,485 2.70 10 0.2561% 1,012.4
Interest Bearing 6.86% 4.69% 56,971 2.09 7 -0.0011% 1,020.5
Perpetual-Premium 5.14% 4.16% 179,827 4.24 48 0.0089% 1,023.7
Perpetual-Discount 4.61% 4.62% 321,973 16.21 6 0.1369% 1,031.7
Major Price Changes
Issue Index Change Notes
No index-included issues had bid/bid price changes in excess of 1% today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.X OpRet 201,884 YTW is 2.82% based on a call in 2009; YTM is 3.28% if it survives until its soft retraction in 2013.
BAM.PR.K Floater 188,450  
WN.PR.B OpRet 182,875 YTW 3.12% based on call in 2009 immediately prior to retraction period.
CM.PR.B PerpetualPremium 137,600 YTW 4.23% based on call effective March ’07; it pays $1.50, just a shade under the RY.PR.S, which paid $1.525 and were called at a similar premium at the first opportunity.
WN.PR.E PerpetualDiscount 111,221  

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