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July 19, 2006
| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.09% | 4.10% | 109,453 | 17.25 | 2 | 0.2013% | 996.0 |
| Fixed-Floater | 5.21% | 4.11% | 94,608 | 10.40 | 5 | -0.2201% | 997.2 |
| Floater | 4.55% | -14.84% | 61,183 | 6.44 | 5 | 0.1680% | 1001.6 |
| Op. Retract | 4.75% | 3.56% | 82,776 | 3.00 | 18 | 0.0136% | 992.8 |
| Split-Share | 5.17% | 3.09% | 53,657 | 2.79 | 14 | -0.0876% | 998.8 |
| Interest Bearing | 6.87% | 5.20% | 67,363 | 2.22 | 7 | +0.3095% | 1,008.05 |
| Perpetual | 5.21% | 4.72% | 158,778 | 6.73 | 53 | 0.0170% | 1,001.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| CGI.PR.C | SplitShare | -1.53% | Very light volume, all at closing offer – wide spread |
| NA.PR.K | Perpetual | +1.70% | |
| ACO.PR.C | OpRet | +1.07% | Very light volume and small bid at close |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.C | Perpetual | 237,550 | Almost all crossed by Nesbitt @26.70. This issue will be redeemable in a year at $26.00 and have a YTW of only 3.26%. |
| WFS.PR.A | SplitShare | 30.700 | |
| WN.PR.A | Perpetual | 15,980 | YTW of 5.06% |
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July 18, 2006
| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.08% | 4.09% | 112,760 | 17.28 | 2 | -0.3985% | 994.0 |
| Fixed-Floater | 5.20% | 4.00% | 93,950 | 10.42 | 5 | +0.0247% | 999.4 |
| Floater | 4.55% | -14.18% | 60,923 | 6.44 | 5 | -0.13% | 1000.0 |
| Op. Retract | 4.75% | 3.56% | 83,607 | 3.09 | 18 | -0.01% | 992.7 |
| Split-Share | 5.17% | 2.75% | 53,169 | 2.79 | 14 | +0.1000% | 999.7 |
| Interest Bearing | 6.89% | 5.70% | 66,932 | 2.23 | 7 | +0.2026% | 1,004.9 |
| Perpetual | 5.21% | 3.46% | 160,581 | 6.79 | 53 | -0.1094% | 1,001.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| PWF.PR.K | Perp | -1.31% | Gapped down to 24.75-89 on heavy volume. Very similar to PWF new issue, but pays only 1.2375 |
| Volume Leaders | |||
| Issue | Index | Volume | Notes |
| BC.PR.C | Fixed-Floater | 485,035 | No price effect. Desjardins sold 250,000 at close, mostly as a cross. |
| RY.PR.W | Perpetual | 56,400 | Down -0.47% on day (bid/bid), closing at 25.50-63. Very similar to PWF new issue, but pays 1.225 |
| PWF.PR.K | Perpetual | 30,112 | See notes in the ‘Performance’ Table |
| GWO.PR.X | Operating Retractible | 28,193 | No price effect. 20,000 were crossed by Scotia at 26.70 |
| POW.PR.D | Perpetual | 22,162 | Down 0.86% on day (bid/bid) to 25.13-25. Very similar to PWF new issue, but pays 1.25. TD crossed 13,600 @25.15 |
It was a very active day, with 17 issues trading more than 10,000 shares. The news of the day was the PWF New Issue which was very attractively priced – a perpetual with a 5.1% coupon (pays $1.275 annually, $25 par value). There are only four issues in the HIMI Perpetual Preferred Index with pre-tax yields-to-worst in excess of 5.1%, and the greatest modified duration of the YTW scenario of these issues is 5.51 (W.PR.H).
This new issue has had a great effect on the market, but it’s not clear how long it will last … I suspect that the tension will be resolved by the new issue leaping to a premium rather than dragging down its peers. There just isn’t enough of it – only $200MM – and from what I hear it jumped right off the shelves and was sold out within an hour … certainly this story makes sense, given the pricing!
July 17, 2006
| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.05% | 4.05% | 114,297 | 17.35 | 2 | +0.10% | 998.0 |
| Fixed-Floater | 5.20% | 3.99% | 90,578 | 10.43 | 5 | +0.04% | 999.2 |
| Floater | 4.55% | -15.28% | 59,850 | 6.43 | 5 | -0.16% | 1,001.3 |
| Op. Retract | 4.75% | 3.54% | 82,690 | 3.42 | 18 | -0.04% | 992.8 |
| Split-Share | 5.17% | 2.75% | 52,516 | 2.79 | 14 | +0.0413% | 998.7 |
| Interest Bearing | 6.90% | 5.92% | 66,247 | 2.23 | 7 | -0.06% | 1,002.9 |
| Perpetual | 5.20% | 4.71% | 161,075 | 6.61 | 53 | +0.005% | 1,002.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| NTL.PR.G | – | -1.79% | |
| HSB.PR.C | Perp | -1.39% | Bid hit on volume of 900 shares |
| POW.PR.D | Perp | -1.01% | |
| STR.E | – | +1.18% | Small volume, tiny bid, huge spread |
| FAL.PR.B | – | +4.20% | Normalizing bid/ask spread of $1.00 yesterday |
| Volume Leaders | |||
| Issue | Index | Volume | Notes |
| GWO.PR.X | Op. Ret. | 21,779 | |
| FTS.PR.E | – | 20,000 | Cross by Scotia |
| BC.PR.C | FixedFloater | 14,946 | |
| MST.PR.A | InterestBearing | 14,745 | |
| SLF.PR.A | Perpetual | 12,005 | |
July 14, 2006
| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.03% | 4.04% | 115,857 | 16.79 | 2 | +0.08% | 997.0 |
| Fixed-Floater | 5.20% | 4.12% | 89,762 | 13.57 | 5 | +0.21% | 998.8 |
| Floater | 4.54% | -19.47% | 59,917 | 6.43 | 5 | -0.11% | 1,002.8 |
| Op. Retract | 4.74% | 3.47% | 82,975 | 3.30 | 18 | -0.08% | 993.2 |
| Split-Share | 5.17% | 2.64% | 53,274 | 2.77 | 14 | -0.01% | 998.3 |
| Interest Bearing | 6.90% | 5.81% | 65,864 | 2.24 | 7 | +0.08% | 1,003.5 |
| Perpetual | 5.20% | 4.71% | 163,422 | 6.63 | 53 | +0.05% | 1,002.8 |
A thoroughly boring day, with NOTHING trading over 10,000 shares and NOTHING in the indices had a price move of more than 1%.
July 13, 2006
| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | N/A | 4.02% | 119,186 | 17.42 | 2 | -0.23% | 996.2 |
| Fixed-Floater | N/A | 4.12% | 90,712 | 13.61 | 5 | -0.18% | 996.6 |
| Floater | N/A | -20.54% | 59,789 | 6.42 | 5 | -0.04% | 1,003.9 |
| Op. Retract | N/A | 3.48% | 84,213 | 3.04 | 18 | +0.07% | 994.1 |
| Split-Share | N/A | 2.68% | 54,102 | 2.80 | 14 | +0.11% | 998.4 |
| Interest Bearing | N/A | 5.83% | 66,198 | 2.24 | 7 | -0.14% | 1,002.7 |
| Perpetual | N/A | 4.72% | 165,845 | 6.60 | 53 | N/A | 1,002.3 |
| Notable Volume | |||
| Issue | Type | Volume | Notes |
| BC.PR.C | Fixed Floater | 238,787 | |
| NSI.PR.D | – | 176,050 | All crossed at $28.00 by Desjardins |
| TD.PR.N | Op.Ret. | 35,598 | 30M crossed by Nesbitt |
| PIC.PR.A | SplitShare | 23,405 | Went ex-dividend today |
| WN.PR.E | Perpetual | 16,800 | Scotia bought 12M @ $24 |
| Major Price Changes | |||
| Issue | Index | Change in Bid | Notes |
| NA.PR.K | Perpetual | -1.05% | Bid hit and gone on average volume |