Market Action

July 3, 2007

Well, I had a marvellous dinner with a very good friend, but it left no time to do much beyond the most vital system updating! I’ll catch up tomorrow, but in the meantime, feast your eyes on the average returns of the Ratchet Rate Index and the Fixed Floater Index. It will be a while before we see those kinds of numbers again!

Later:

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 5.34% 5.35% 27,574 14.93 2 +6.9262% 1,026.9
Fixed-Floater 5.02% 5.28% 134,587 15.14 8 +12.3231% 1,004.6
Floater 4.66% -0.09% 75,367 4.27 4 +0.0411% 1,049.5
Op. Retract 4.82% 3.86% 87,687 2.88 16 -0.0110% 1,021.2
Split-Share 5.06% 4.72% 132,266 4.11 17 -0.0996% 1,043.7
Interest Bearing 6.23% 6.42% 71,433 4.46 3 +0.2754% 1,034.3
Perpetual-Premium 5.51% 5.12% 123,415 4.52 26 +0.0243% 1,022.6
Perpetual-Discount 5.10% 5.14% 407,912 15.27 38 -0.0447% 965.4
Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare -1.1374%  
BCE.PR.H Ratchet +6.0246%  
BCE.PR.C FixFloat +7.2374%%  
BCE.PR.S Ratchet +7.8222%  
BCE.PR.Z FixFloat +8.7545%  
BCE.PR.A FixFloat +9.9500%  
BCE.PR.T FixFloat +15.3846%  
BCE.PR.R FixFloat +16.9747%  
BCE.PR.I FixFloat +19.7922%  
BCE.PR.G FixFloat +20.3937%  
Volume Highlights
Issue Index Volume Notes
WFS.PR.A SplitShare 286,953  
BCE.PR.I FixFloat 94,077  
BCE.PR.A FixFloat 49,149  
BCE.PR.R FixFloat 44,965  
SLF.PR.B PerpetualDiscount 41,007  

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

Issue Comments

DBRS Maintains BCE Preferreds "Under Review – Negative"

DBRS hosted a conference call today shortly after releasing their updated assessment of the credit. The gist of the call was: ‘We don’t know anything much and won’t know anything much until the proxy material arrives in 60-odd days, but we’re being paid to talk about it anyway, so here goes!’.

I find this transaction fascinating, and not just because the plan to acquire the prefs will almost certainly cause MAPF to underperform in July. Why is it being done as a plan of arrangement, which gives the preferred shareholders a right to vote, which I presume is the trigger for the offer?

I have to be careful here, since I am not a securities lawyer – and don’t want to be a securities lawyer – but according to Blakes:

Arrangements are often the preferred acquisition structure in any friendly merger, as the structure allows the acquirer to complete the transaction in one step, unlike a take-over bid which will always require a second step to acquire 100% of the outstanding shares, either through a compulsory squeeze-out of the untendered shares under the applicable corporate statute or by way of a second stage amalgamation transaction. A court-approved plan of arrangement can be completed in a similar time frame as that of a take-over bid and allows companies to merge or combine in a single step, subject to obtaining approval from the target company’s shareholders and meeting any other conditions imposed by the Court.

A very quick reading of the government’s current policy regarding plans of arrangement didn’t ring any bells for me either.

So why isn’t it being done, for instance, the way Xstrata acquired Falconbridge (with the follow-up compulsory acquisition, with a guarantee of the extant prefs? Given that DBRS expects BCE to be a junk credit after the plan of arrangement:

However, DBRS believes BCE’s financial risk profile will be negatively impacted should this transaction close under the terms being recommended by BCE’s board. Teachers’ has indicated that approximately $8 billion of equity will be used to effect this transaction. Therefore, DBRS believes that additional leverage used to accomplish this transaction could add as much as $26 billion of debt to the BCE capital structure assuming a highly leveraged financing of 20% equity contribution is used. Additional debt of this magnitude results in credit metrics deteriorating significantly. For example, the resulting debt-to-EBITDA metric could surpass 6 times. This higher financial risk profile is indicative of bonds rated in the speculative grade range

(“speculative” is the nice way of saying “junk”) it seems rather odd to me that Teachers will voluntarily aquire the prefs. One thing that may make sense is that it simply gives them a lot more flexibility in the future – the company can be chopped up or taken public again without the complicating factor of the preferreds. Seems like a high price to pay, though.

One thing that did come out in the DBRS conference call (which, according to DBRS:

will be available until close of business day Tuesday, July 10, 2007, and can be accessed in North America by dialing 1 800 408 3053, quoting confirmation code 3227900#.

so get your call in now!) is that private equity does not like to have debt come due during the anticipated holding period, which goes a long way towards explaining why a lot of near-term debt is going to be called. Presumably, this relieves the private corporation from the necessity of going cap-in-hand to the market and lifting their skirts for inspection at a possibly inopportune time.

It is clear from all the standard language in the prospectuses for the BCE issues that preferred shareholders are not entitled to notice of shareholder meetings or to vote (the plan of arrangement, being a direct change to their rights, being an exception to this). However, it is not clear to me whether they are entitled to receive financial statements. Could this be the reason?

I’m just a poor dumb fixed-income analyst. This private equity stuff is way too sexy for me. I’m just gonna wait for the proxy materials to be released – should be just before Labour Day – and until then refrain from speculation on the possible twists and turns this story could go through over the next year.

It should be noted that the BCE prefs had a monster day on the TSX, as expected. There’s still lots offered, well below the indicated Teachers acquisition price! Anybody who wants to take a view that the Teachers deal will close as indicated can make oodles of boodle by buying up a lot of these things. Of course, if anything goes wrong with this particular deal – like, f’rinstance, somebody scoops up all the common in a hostile bid – such a buyer will lose his shirt, but some people like that sort of knife-edge existence. Too exciting for me though – it’s just a dice throw, not actual investing as I understand it.

In the mean-time, I’ve got to start reading up on this stuff. In this particular case, the preferred shareholders have better (better! …. better!BETTER!) credit quality than the bond holders, because they have to be persuaded to approve the plan of arrangement with their vote, while the bondholders have to sit outside in the rain and watch their investment grade portfolios turn to junk. This is – ahem! – rather an interesting thought, particularly if banks are allowed to engage in friendly mergers while their prefs are priced well below par …

BCE has the following preferred shares outstanding: BCE.PR.A, BCE.PR.C, BCE.PR.E, BCE.PR.F, BCE.PR.G, BCE.PR.H, BCE.PR.I, BCE.PR.R, BCE.PR.S, BCE.PR.T, BCE.PR.Y & BCE.PR.Z

Update: It is interesting to consider the language in the prospectuses of the two recent YPG issues.

YPG.PR.A:

On and after March 31, 2012, YPG Holdings may, at its option, upon not less than 30 days and not more than 60 days prior written notice, redeem for cash the Series 1 Shares, in whole at any time or in part from time to time, upon payment of the Redemption Price specified below. In addition, the Series 1 Shares will be redeemable at the option of YPG Holdings on or after March 31, 2007 upon payment of the Redemption Price specified below, provided that any redemption prior to March 31, 2012 shall be done for all of the then outstanding Series 1 Shares and shall be limited to circumstances in which Series 1 Shares are entitled to vote separately as a class or series by law or court order.

and YPG.PR.B:

Subject to the provisions described under “— Restriction on Dividends and Retirement and Issue of Shares”, the Series 2 Shares will be redeemable at the option of YPG Holdings on or after June 30, 2012, at any time, or from time to time, upon not less than 30 days and not more than 60 days prior written notice at the Redemption Price specified below. In addition, the Series 2 Shares will be redeemable at the option of YPG Holdings on or after June 30, 2007 upon payment of the Redemption Price specified below, provided that any redemption prior to June 30, 2012 shall be done for all of the then outstanding Series 2 Shares and shall be limited to circumstances in which Series 2 Shares are entitled to vote separately as a class or series by law or court order.

Index Construction / Reporting

HIMI Index Rebalancing: June 29, 2007

Another month of higher than usual activity; there was a continued migration of issues from the PerpetualPremium to the PerpetualDiscount index; and a continued trend of issues moving out of “Scraps” due to increased volume.

HIMI Index Changes, June 29, 2007
Issue From To Because
PWF.PR.D OpRet Scraps Volume
BCE.PR.T Scraps FixFloat Volume
BNA.PR.B Scraps SplitShare Volume
MIC.PR.A Scraps PerpetualDiscount
Oops!
PerpetualPremium
Volume
MUH.PR.A Scraps SplitShare Volume
TOC.PR.B Scraps Floater Volume
BNS.PR.K PerpetualPremium PerpetualDiscount Price
NA.PR.L PerpetualPremium PerpetualDiscount Price
PWF.PR.L PerpetualPremium PerpetualDiscount Price
TD.PR.O PerpetualPremium PerpetualDiscount Price
RY.PR.W PerpetualPremium PerpetualDiscount Price
ELF.PR.F PerpetualPremium PerpetualDiscount Price
GWO.PR.G PerpetualPremium PerpetualDiscount Price
POW.PR.B PerpetualPremium PerpetualDiscount Price
POW.PR.A PerpetualPremium PerpetualDiscount Price

Index performance and extreme issue performance have been the subject of prior posts, as has the the performance and composition of Malachite Aggressive Preferred Fund.

Update: Correction made to table, 2007-7-4

Index Construction / Reporting

HIMI Index Performance, June 2007

Performance of the HIMI Indices for June was:

Total Return, June 2007
Index Performance
Ratchet +0.86%
FixFloat -0.46%
Floater -0.02%
OpRet -0.30%
SplitShare +0.12%
Interest -1.18%
PerpetualPremium -0.55%
PerpetualDiscount -3.19%

… which is at least a little bit more cheerful than the results in May

The Claymore Preferred ETF (CPD) may be viewed, with caution, as a proxy for the S&P/TSX Preferred Share Index. Caution is required due to tracking error – the ETF will deliver performance according to what it actually holds and how well it is able to do things like reinvest its dividends, which is not the same thing as an index return. The fund’s NAV will be reported after MER of 0.45% p.a. Be that as it may, the NAV return for CPD has been calculated elsewhere to be -1.40%, after accounting for all its fees & expenses.

It’s a little difficult to get a handle on the size of this ETF … according to the Toronto Exchange, there are 500,000 “plain” units outstanding and 100,000 “advisor class” (CPD.A). However, the Claymore site claims more: 1.3-million “plain” and 0.1-million “advisor”.

Diversified Preferred Share Trust (DPS.UN) is the main competitor of CPD. It doesn’t publish month-end NAVs, but calculations indicate that it probably marginally outperformed CPD – by about 7 basis points.

Look for huge gains in the Fixed-Floater and Ratchet indices (note that the indices are presented prior to the June month-end rebalancing) over the next month – these are dominated by BCE issues, which are currently the subject of an extremely rich takeover bid. Sadly, there is probably no way to take advantage of this, since the issues may be confidently expected to be bid well above their June 29 closing quotations at the opening on Tuesday morning. While there might be a discount to the price Teachers’ is bidding, attempting to take advantage of this spread will constitute “risk-arbitrage” and – in the absence of insider information, I will suggest that the “risk” will highly outweigh the “arbitrage” if a position is taken.

I will admit to being puzzled by the poor performance of the Interest-Bearing Index, also shown prior to its rebalancing. Note that BAM.PR.T is about to be called, but look at the pre-tax bid-YTWs available for BSD.PR.A and FIG.PR.A! As of June 22 the former had an asset coverage ratio of 1.97:1 (the June month-end distribution will have reduced this a bit, but not much) and a DBRS rating of Pfd-2. As of June 28, the latter had asset coverage of 2.58:1 (and has already accounted for the second quarter distribution), while also being rated Pfd-2. It (FIG.PR.A) remains under review with developing indications (“pending the resolution of their respective reorganization and amalgamation plans, which are expected to occur shortly”) but that reorganization settled months ago … DBRS seems to be dragging its feet a little!

Anyway, look at the credit and the yields available on these things! Remember that the yields will be realized largely as interest income, but really! I won’t suggest that anybody mortgage their house to pile into these investments, but how many people have worse credits yielding less in their RRSPs? Come on – stick your hands up!

MAPF

MAPF Portfolio Composition: June 29, 2007

Well, if you thought portfolio composition changed dramatically from April 30 to May 31, just take a gander at the June 29 composition!

MAPF Sectoral Analysis 2007-6-29
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 25% 4.62% 6.15
Interest Rearing 0% N/A N/A
PerpetualPremium 42% 5.25% 4.26
PerpetualDiscount 36% 5.06% 15.34
Scraps 1% 4.19% 5.75
Cash -3% 0.00% 0.00
Total 100% 5.16% 8.68

Sharp-eyed readers will observe that the “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.), and may make their own adjustments to reflect interest. The average YTW on the securities-only portion of the portfolio, for instance, is actually about 5.01% … it is the 3% leverage factor that brings it up to 5.16%. MAPF will often have relatively large cash balances to facilitate trading.
These sharp-eyed readers will also note, with a certain amount of glee, that the percentages do not add up to exactly 100% in the above or the following tables. This is due to rounding. You know something? Sharp-eyed readers really bug me.
Credit distribution is:

MAPF Credit Analysis 2007-6-29
DBRS Rating Weighting
Pfd-1 35.3%
Pfd-1(low) 29.2%
Pfd-2(high) 13.0%
Pfd-2 25.0%
Cash -2.6%

Liquidity Distribution is:

MAPF Liquidity Analysis 2007-6-29
Average Daily Trading Weighting
<$50,000 0.9%
$50,000 – $100,000 25.8%
$100,000 – $200,000 24.5%
$200,000 – $300,000 27.4%
>$300,000 23.9%
Cash -2.6%

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available on the fund’s web page. A “unit trust” is like a regular mutual fund, but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission) and those who subscribe for $150,000+. Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A discussion of June’s performance is available here.

MAPF

MAPF Performance: June, 2007

Malachite Aggressive Preferred Fund has been valued for June, 2007, month-end. The unit value is $9.3114, after a dividend distribution of $0.066279. Returns over various periods are:

MAPF Returns to June 29, 2007
One Month +0.56%
Three Months -1.59%
One Year +5.25%
Two Years (annualized) +4.90%
Three Years (annualized) +6.51%
Four Years (annualized) +9.82%
Five Years (annualized) +9.28%
Six Years (annualized) +10.28%

Returns assume reinvestment of dividends, and are shown after expenses but before fees. Past performance is not  a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund. For more information, see the fund’s main page.

Well, that’s the worst quarter for the fund since 2Q04. So why am I happy? Let’s have a look at how the Claymore ETF did on the month – regular readers of this blog will be familiar with this fund, which is a useful passive benchmark.

CPD Return, June 2007
Date NAV Distribution Return for period
May 31, 2007 $19.44    
June 26 $18.97 $0.198800 -1.40%
June 29, 2007 $18.97   0.00%
Time-Weighted, June -1.40%

Diversified Preferred Share Trust, DPS.UN on the Toronto exchange, has the anti-social practice of not publishing month-end NAV numbers, but we’ll do what we can: 

DPS.UN NAV Return, June-ish 2007
Date NAV Distribution Return for period
May 30, 2007 $22.55    
June 27 $21.95 $0.30 -1.33%
Time-Weighted, June-ish -1.33%
CPD had an NAV of $19.48 on May 30 and $19.01 on June 27. The pre-June stub period return for CPD was therefore -0.21%, and the end-June stub-period return was also -0.21%. We may infer that CPD’s NAV return for the May 30-June 27 period was almost identical to its calendar month return of -1.40%, after all fees & expenses and thus that CPD marginally underperformed DPS.UN on an NAV-to-NAV basis.

So Malachite, after expenses but before fees, beat the passive alternative (after expenses & fees) by nearly two percent in a single month.

It is, of course, unpleasant to lose money. A sensible investor will expect such things to happen occasionally and will not attempt to time the market, but will make an overall asset allocation based on reasonable medium term expectations of returns. The asset allocation should be reviewed on a regular basis, of course, to ensure that changes in expectations and investment needs are reflected in the portfolio, but a rationally active investor will attempt to outperform within each relatively homogeneous asset class without market timing. From this perspective, an outperformance of nearly 2% in a bad month is just as good as the same outperformance in a good one.

While June 29 BMO-NB50 index numbers are not yet available, I expect to see a return of roughly -5.25% on the quarter … which makes the MAPF return (after expenses, before fees) of -1.59% look pretty good! If the fund can outperform at the rate of about 3.6% per quarter forever … well, I’d be very happy, but I’m not going to bet on it! I’m happy when I can earn my fees by delivering net out-performance within the asset class to unitholders. 

Trading during the month was frantic, as I predicted last month. Shares with a book value in excess of 90% of the total book value at the end of May were sold and replaced with new purchases. This incurred commission expenses of about 0.50% , so those who have been hoodwinked into the belief that the Trading Expense Ratio is an important number will certainly not wish to invest in the fund! I suspect that the BCE/Teachers deal and the proposed redemption of the BCE Preferreds at a very high price relative to current market will lead to continued turmoil in the market and lots more trading in July … but we will see!

The noted BCE/Teachers deal may be expected to boost the market price of BCE preferreds considerably when markets re-open on July 3 – and MAPF doesn’t hold any! Such is life … as I’ve noted before, in the absence of good information about a deal (and remember, preferred shareholders haven’t actually seen any Teachers’ money yet) BCE preferreds are just a crapshoot on credit … and MAPF doesn’t play craps! The underlying philosophy of the fund continues to be that investment-grade preferred shares are bundles of cash-flows trading at fluctuating prices and that money can be made by weighing these bundles of cash-flows to determine value based on reliable public information and trading to exploit inefficiencies – not by taking a wild guess and hoping to strike the jackpot.

If the BCE Prefs move to within “arbitrage difference” of the offering prices disclosed in the BCE press release, I expect DPS.UN & CPD to outperform MAPF over the next month. However, if something should happen to the deal … like, maybe, Telus moving in, or some private equity guys coming along with a credible hostile bid, negatively affecting perceptions of the BCE prefs’ quality … maybe they won’t. But you will not see MAPF making bets like that! Once credit gets called into question, I start getting very nervous! At worst, I do not anticipate that MAPF underperformance due to BCE will exceed the outperformance in the second quarter that is largely due to not holding in on the downside. Note that BCE prefs represent about 7-10% of the value of the passive funds.

The distribution of dividend income for the quarter was small, which is most gratifying. Given that the fund now has a realized capital loss on the year to date, it is tax-efficient to emphasize capital gains (or reduced capital losses!) over receipt of dividend income and some trading took advantage of this … particularly since it seemed that RBC had a client pursuing an aggressive dividend capture strategy! I don’t have a lot of control over the capital gain/dividend split, but HIMIPref™ does account for the difference in taxation and potential trades are nudged a little.

Portfolio characteristics as of the end of June are discussed in another post.

Issue Comments

Best & Worst Monthly Performances: June, 2007

These are total returns, with dividends presumed to have been reinvested at the bid price on the ex-date. The list has been restricted to issues in the HIMIPref™ indices.

Issue Index DBRS Rating Monthly Performance Notes
 ELF.PR.G PerpetualDiscount  Pfd-2(low) -6.73%   Now with a pre-tax bid-YTW of 5.40% based on a bid of 22.06 and a limitMaturity.
 IAG.PR.A PerpetualDiscount  Pfd-2(high) -5.69%  Now with a pre-tax bid-YTW of 5.13% based on a bid of 22.50 and a limitMaturity.
 BNS.PR.M PerpetualDiscount  Pfd-1 -5.10%   Now with a pre-tax bid-YTW of 5.14% based on a bid of 22.35 and a limitMaturity.
 MFC.PR.B PerpetualDiscount  Pfd-1(low) -4.85%   Now with a pre-tax bid-YTW of 4.96% based on a bid of 23.55 and a limitMaturity.
 ELF.PR.F PerpetualPremium (until after rebalancing!)  Pfd-2(low) -4.84%   Now with a pre-tax bid-YTW of 5.39% based on a bid of 24.60 and a limitMaturity.
 …  … …  … 
 BAM.PR.B Floater  Pfd-2(low) +1.26%   
 CM.PR.P PerpetualPremium  Pfd-1(low) +1.31%   Now with a pre-tax bid-YTW of 5.02% based on a bid of 25.50 and a call 2012-11-28 at 25.00.
 BCE.PR.S Ratchet  Pfd-2(low) [Under Review – Negative] +1.32%   
 BAM.PR.G FixedFloater  Pfd-2(low) +1.62%   
 LBS.PR.A SplitShare  Pfd-2 +3.10%   Now with a pre-tax bid-YTW of 4.24% based on a bid of 10.55 and a hardMaturity 2013-11-29 at 10.00
Issue Comments

Teachers Agrees to Buy BCE: Plans to Acquire Preferreds!

BCE has announced:

that the company has entered into a definitive agreement for BCE to be acquired by an investor group led by Teachers Private Capital, the private investment arm of the Ontario Teachers Pension Plan, Providence Equity Partners Inc. and Madison Dearborn Partners, LLC. The all-cash transaction is valued at C$51.7 billion (US$48.5 billion), including C$16.9 billion (US$15.9 billion) of debt, preferred equity and minority interests. The BCE Board of Directors unanimously recommends that shareholders vote to accept the offer.

Under the terms of the transaction, the investor group will acquire all of the common shares of BCE not already owned by Teachers for an offer price of C$42.75 per common share and all preferred shares at the prices set forth in the attached schedule.
….
                            SCHEDULE A
                   BCE PREFERRED SHARES – PURCHASE PRICES

    The cash considerations payable to the holders of the preferred shares
    are as follows:

    ————————————————————————-
        First Preferred Shares               Consideration Per Share
    ————————————————————————-
              Series R                             $25.65 (*)
              Series S                             $25.50 (*)
              Series T                             $25.77 (*)
              Series Y                             $25.50 (*)
              Series Z                             $25.25 (*)
              Series AA                            $25.76 (*)
              Series AC                            $25.76 (*)
              Series AE                            $25.50 (*)
              Series AF                            $25.41 (*)
              Series AG                            $25.56 (*)
              Series AH                            $25.50 (*)
              Series AI                            $25.87 (*)
    ————————————————————————-
    (*)Together with accrued but unpaid dividends to the Effective Date.

I’m astounded. I don’t understand why they would pay so much for the preferreds … but there is a note in the press release that states:

The transaction will be completed through a plan of arrangement, which will require the approval of two-thirds of outstanding common and preferred shares, voting as a class.

I will be fascinated to learn more of the legal intricacies which make this a viable option for the purchasers! As it is, it looks like all my gloomy prognostications will turn out wrong. Although, mind you, the preferred shareholders don’t actually have cash money in their pockets yet – and there have been tears shed over similar offers.

 

BCE has the following preferred shares outstanding: BCE.PR.A, BCE.PR.C, BCE.PR.E, BCE.PR.F, BCE.PR.G, BCE.PR.H, BCE.PR.I, BCE.PR.R, BCE.PR.S, BCE.PR.T, BCE.PR.Y & BCE.PR.Z

 

Market Action

June 29, 2007

Another quarter’s been put to bed! Today was a strong day for bonds and a good day for bond traders, who quit work early in the afternoon. I’ve never quite understood how they get away with that, but they do put in pretty long hours.

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 5.71% 5.78% 26,472 14.41 2 +0.0442% 960.3
Fixed-Floater 5.65% 5.98% 139,701 14.31 7 -0.4211% 894.4
Floater 4.83% 1.65% 86,666 5.64 3 +0.1898% 1,049.1
Op. Retract 4.83% 4.02% 84,365 3.14 17 +0.1554% 1,021.3
Split-Share 5.04% 4.60% 148,139 4.16 15 +0.1200% 1,044.7
Interest Bearing 6.77% 6.95% 82,512 6.13 4 +0.3422% 1,031.4
Perpetual-Premium 5.42% 5.12% 149,690 7.42 34 +0.1280% 1,022.4
Perpetual-Discount 5.07% 5.10% 483,253 15.33 29 +0.1450% 965.8
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixFloat -2.0277%  
ELF.PR.G PerpetualDiscount -1.5116% Now with a pre-tax bid-YTW of 5.40% based on a bid of 22.06 and a limitMaturity.
BCE.PR.Z FixFloat -1.5111%  
CFS.PR.A SplitShare +1.0204% Now with a pre-tax bid-YTW of 4.47% based on a bid of 9.90 and a hardMaturity 2012-01-31 at 10.00.
BNS.PR.M PerpetualDiscount +1.1312% Now with a pre-tax bid-YTW of 5.14% based on a bid of 22.35 and a limitMaturity.
IAG.PR.A PerpetualDiscount +1.3514% Now with a pre-tax bid-YTW of 5.13% based on a bid of 22.50 and a limitMaturity.
BSD.PR.A InterestBearing +1.5086% Now with a pre-tax bid-YTW of 7.08% based on a bid of 9.42 and a hardMaturity 2015-3-31 at 10.00.
BCE.PR.A FixFloat +1.8981%  
Volume Highlights
Issue Index Volume Notes
BNS.PR.K PerpetualPremium (until the rebalancing takes effect!) 58,770 Now with a pre-tax bid-YTW of 4.95% based on a bid of 24.20 and a limitMaturity.
RY.PR.A PerpetualDiscount 19,497 Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.35 and a limitMaturity.
POW.PR.D PerpetualDiscount 18,345 Now with a pre-tax bid-YTW of 5.22% based on a bid of 23.96 and a limitMaturity.
NA.PR.L PerpetualPremium (until the rebalancing takes effect!) 17,700 Now with a pre-tax bid-YTW of 5.06% based on a bid of 24.25 and a limitMaturity.
BCE.PR.C FixFloat 14,890  

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

Market Action

June 28, 2007

Very sorry … due to month-end scheduling difficulties, the report for June 28 will be delayed. I hope to have everything caught up by the end of the day.

Later…

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 5.71% 5.78% 27,182 14.42 2 +0.1107% 959.9
Fixed-Floater 5.63% 5.94% 138,991 14.37 7 -0.0904% 898.2
Floater 4.84% 2.64% 86,065 5.85 3 -0.0262% 1,047.1
Op. Retract 4.83% 4.08% 85,381 3.57 17 +0.0047% 1,019.8
Split-Share 5.04% 4.63% 151,439 4.05 15 -0.0096% 1,043.5
Interest Bearing 6.80% 7.00% 84,576 6.13 4 -0.4232% 1,027.9
Perpetual-Premium 5.43% 5.14% 149,443 7.81 34 +0.1047% 1,021.0
Perpetual-Discount 5.07% 5.11% 492,114 15.32 29 -0.0920% 964.4
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -2.8272% Now with a pre-tax bid-YTW of 7.32% (as interest) based on a bid of 9.28 and a hardMaturity 2015-3-31 at 10.00.
BNS.PR.M PerpetualDiscount -2.4713% Now with a pre-tax bid-YTW of 5.20% based on a bid of 22.10 and a limitMaturity.
BCE.PR.Z FixFloat -2.1739%  
BCE.PR.A FixFloat -1.2797%  
FIG.PR.A InterestBearing +1.0341% Now with a pre-tax bid-YTW of 6.68% based on a bid of 9.77 and a hardMaturity 2014-12-31 at 10.00.
CU.PR.A PerpetualPremium +1.0576% Now with a pre-tax bid-YTW of 5.17% based on a bid of 25.80 and a call 2012-3-31 at 25.00.
ELF.PR.G PerpetualDiscount +2.0225% Now with a pre-tax bid-YTW of 5.33% based on a bid of 22.70 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 116,820 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.25 and a limitMaturity.
RY.PR.E PerpetualDiscount 110,800 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.50 and a limitMaturity.
SLF.PR.D PerpetualDiscount 105,360 Now with a pre-tax bid-YTW of 5.03% based on a bid of 22.21 and a limitMaturity.
BMO.PR.G OpRet 79,494 Now with a pre-tax bid-YTW of 4.80% based on a bid of 25.11 and a softMaturity 2008-5-24 at 25.00.
BNS.PR.J PerpetualPremium 23,100 Now with a pre-tax bid-YTW of 4.91% based on a bid of 25.40 and a call 2013-11-28 at 25.00.

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