Market Action

December 24, 2007

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 5.14% 5.14% 81,927 15.19 2 -0.0406% 1,057.0
Fixed-Floater 4.88% 5.11% 92,385 15.32 8 +0.2075% 1,023.4
Floater 5.98% 6.00% 149,486 13.91 2 +0.9228% 807.2
Op. Retract 4.85% 2.58% 87,876 3.16 16 +0.3915% 1,042.4
Split-Share 5.32% 5.49% 113,820 4.12 15 -0.0847% 1,024.6
Interest Bearing 6.36% 6.93% 65,312 3.65 4 +0.2061% 1,050.8
Perpetual-Premium 5.83% 5.51% 85,534 6.07 11 +0.3074% 1,013.0
Perpetual-Discount 5.62% 5.67% 400,998 14.17 55 +0.2879% 907.0
Major Price Changes
Issue Index Change Notes
IAG.PR.A PerpetualDiscount -2.0720% Now with a pre-tax bid-YTW of 5.83% based on a bid of 19.85 and a limitMaturity.
BNA.PR.C SplitShare -1.7604% Asset coverage of 3.7+:1 as of November 30 according to the company. Now with a pre-tax bid-YTW of 8.85% based on a bid of 17.30 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (6.08% to 2010-9-30) and BNA.PR.B (7.51% to 2016-3-25).
CIU.PR.A PerpetualDiscount -1.5686% Now with a pre-tax bid-YTW of 5.79% based on a bid of 20.08 and a limitMaturity.
GWO.PR.I PerpetualDiscount -1.5144% Now with a pre-tax bid-YTW of 5.61% based on a bid of 20.16 and a limitMaturity.
SLF.PR.B PerpetualDiscount -1.3819% Now with a pre-tax bid-YTW of 5.64% based on a bid of 21.41 and a limitMaturity.
CM.PR.D PerpetualDiscount -1.3707% Now with a pre-tax bid-YTW of 5.94% based on a bid of 24.15 and a limitMaturity.
POW.PR.D PerpetualDiscount -1.3502% Now with a pre-tax bid-YTW of 5.53% based on a bid of 22.65 and a limitMaturity.
FTU.PR.A SplitShare -1.2834% Asset coverage of 1.7+:1 as of December 14 according to the company. Now with a pre-tax bid-YTW of 7.26% based on a bid of 9.23 and a hardMaturity 2012-12-1 at 10.00.
SLF.PR.A PerpetualDiscount -1.2031% Now with a pre-tax bid-YTW of 5.59% based on a bid of 21.35 and a limitMaturity.
CM.PR.I PerpetualDiscount -1.1753% Now with a pre-tax bid-YTW of 6.28% based on a bid of 18.73 and a limitMaturity.
BAM.PR.N PerpetualDiscount -1.0857% Now with a pre-tax bid-YTW of 6.91% based on a bid of 17.31 and a limitMaturity.
RY.PR.E PerpetualDiscount +1.0643% Now with a pre-tax bid-YTW of 5.45% based on a bid of 20.89 and a limitMaturity.
W.PR.H PerpetualDiscount +1.0782% Now with a pre-tax bid-YTW of 6.22% based on a bid of 22.50 and a limitMaturity.
WFS.PR.A SplitShare +1.2146% Asset coverage of 1.9+:1 as of December 19, according to Mulvihill. Now with a pre-tax bid-YTW of 5.25% based on a bid of 10.00 and a hardMaturity 2011-6-30 at 10.00.
PWF.PR.K PerpetualDiscount +1.3508% Now with a pre-tax bid-YTW of 5.40% based on a bid of 23.26 and a limitMaturity.
ELF.PR.G PerpetualDiscount +1.4063% Now with a pre-tax bid-YTW of 6.23% based on a bid of 19.47 and a limitMaturity.
RY.PR.G PerpetualDiscount +1.4139% Now with a pre-tax bid-YTW of 5.48% based on a bid of 20.80 and a limitMaturity.
CM.PR.E PerpetualDiscount +1.4462% Now with a pre-tax bid-YTW of 5.95% based on a bid of 23.50 and a limitMaturity.
BAM.PR.M PerpetualDiscount +1.4577% Now with a pre-tax bid-YTW of 6.87% based on a bid of 17.40 and a limitMaturity.
BAM.PR.K Floater +1.4857%  
FBS.PR.B SplitShare +1.5152% Asset coverage of just under 1.7:1 as of December 20, according to TD. Now with a pre-tax bid-YTW of 4.41% based on a bid of 10.05 and a call 2009-1-14 at 10.00.
SLF.PR.E PerpetualDiscount +1.5233% Now with a pre-tax bid-YTW of 5.48% based on a bid of 20.66 and a limitMaturity.
RY.PR.C PerpetualDiscount +1.5955% Now with a pre-tax bid-YTW of 5.36% based on a bid of 21.65 and a limitMaturity.
GWO.PR.H PerpetualDiscount +1.6348% Now with a pre-tax bid-YTW of 5.58% based on a bid of 21.76 and a limitMaturity.
BNS.PR.K PerpetualDiscount +1.9669% Now with a pre-tax bid-YTW of 5.34% based on a bid of 22.81 and a limitMaturity.
CU.PR.B PerpetualPremium +2.5237% Now with a pre-tax bid-YTW of 5.13% based on a bid of 26.00 and a call 2012-7-1 at 25.00
HSB.PR.D PerpetualDiscount +4.5414% Now with a pre-tax bid-YTW of 5.40% based on a bid of 23.25 and a limitMaturity.
BAM.PR.G FixFloat +4.9972%  
BAM.PR.J OpRet +5.5064% Now with a pre-tax bid-YTW of 4.80% based on a bid of 26.25 and a softMaturity 2018-3-30 at 25.00.
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 481,700 Global crossed 240,300 for cash at 26.57, then the same number for regular at 26.23. Went ex-dividend today for $0.33125. Now with a pre-tax bid-YTW of 4.69% based on a bid of 25.40 and a softMaturity 2011-7-30 at 25.00.
BMO.PR.K PerpetualDiscount 83,200 Scotia processed an Internal Cross for 81,200 at 24.80. Now with a pre-tax bid-YTW of 5.42% based on a bid of 24.65 and a limitMaturity.
CM.PR.I PerpetualDiscount 59,425 Now with a pre-tax bid-YTW of 6.28% based on a bid of 18.73 and a limitMaturity.
CM.PR.H PerpetualDiscount 47,114 Now with a pre-tax bid-YTW of 6.22% based on a bid of 19.31 and a limitMaturity.
BMO.PR.J PerpetualDiscount 39,580 Now with a pre-tax bid-YTW of 5.65% based on a bid of 20.17 and a limitMaturity.

There were thirty-six other index-included $25.00-equivalent issues trading over 10,000 shares today.

jiHymas

One comment

PrefBlog » Blog Archive » MAPF Performance : December 2007 says:

[…] It was something of an interesting month, as early strength crumbled in the face of tax-loss selling; after the December 24 deadline for 2007 settlement passed the market rocketted upwards. Actually, many issues started to bounce back on the 24th – it was December 21 that the selling peaked. […]

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