Market Action

May 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 5.15% 5.25% 41,844 15.27 2 -0.7393% 959.2
Fixed-Floater 5.68% 5.24% 146,301 15.30 6 -0.8747% 911.8
Floater 4.83% 3.66% 79,890 11.22 3 -0.5500% 1,040.5
Op. Retract 4.76% 3.51% 83,968 2.26 17 -0.0049% 1,030.1
Split-Share 4.98% 4.30% 227,632 3.96 12 -0.2164% 1,048.5
Interest Bearing 6.54% 6.45% 70,211 5.34 5 -0.1775% 1,042.3
Perpetual-Premium 5.20% 4.70% 179,334 7.25 48 -0.2866% 1,038.9
Perpetual-Discount 4.75% 4.78% 677,068 15.89 19 -0.9836% 1,026.8
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixFloat -2.3278% Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Traded at 20.30 today, a new low; closed at 20.56-99, 5×4.
RY.PR.A PerpetualDiscount -2.1109% On heavy volume of 37,368 shares; traded at 23.60 today, a new 52-week low. Closed at 23.65-74, 11×5. Now with a pre-tax bid-YTW of 4.72% based on a bid of 23.65 and a limitMaturity.
CFS.PR.A SplitShare -2.0751% Traded at 9.90 today, a new 52-week low, on light volume of 1,500 shares. Closed at 9.91-40, 10×7. Now with a pre-tax bid-YTW of 4.59% based on a bid of 9.91 and a hardMaturity 2012-1-31 at 10.00.
SLF.PR.E PerpetualDiscount -2.0340% Traded at 23.50 today, a new 52-week low, on relatively low volume of 10,229 shares. Now with a pre-tax bid-YTW of 4.75% based on a bid of 23.60 and a limitMaturity.
AL.PR.E Floater -1.9685% Traded at 24.50 today, a new 52-week low.
RY.PR.F PerpetualDiscount -1.7887% Traded at 23.00 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.79% based on a bid of 23.61 and a limitMaturity.
BCE.PR.R FixFloat -1.6092% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Traded at 20.10 today, a new 52-week low. Closed at 21.40-89, 3×3. Yes, the handles are correct .. the low is more than a dollar less than the closing bid. Efficient market, huh?
BMO.PR.J PerpetualDiscount -1.5709% Traded at 24.00 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.74%, based on a bid of 23.81 and a limitMaturity.
MFC.PR.A OpRet -1.4543% Now with a pre-tax bid-YTW of 3.67% based on a bid of 25.75 and a softMaturity 2015-12-18 at 25.00
BAM.PR.M PerpetualDiscount -1.3480% Traded at 24.15 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.98% based on a bid of 24.15 and a limitMaturity.
SLF.PR.B PerpetualPremium (until month-end, anyway!) -1.2346% Now with a pre-tax bid-YTW of 4.82% based on a bid of 24.80 and a limitMaturity.
CM.PR.J PerpetualDiscount -1.1711% Traded at 23.66 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.80% based on a bid of 23.63 and a limitMaturity
SLF.PR.D PerpetualDiscount -1.1012% Traded at 23.33 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.75% based on a bid of 23.35 and a limitMaturity
BCE.PR.Z FixFloat -1.0549% Exchange/Reset date is 2007-12-1 (exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.51-64, 5×1; the Ys closed at 22.16-78, 3×4
RY.PR.G PerpetualDiscount -1.0395% Traded at 23.80 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.77% based on a bid of 23.80 and a limitMaturity
RY.PR.D PerpetualDiscount -1.0395% Traded at 23.80 today, a new 52-week low. Now with a pre-tax bid-YTW of 4.74% based on a bid of 23.80 and a limitMaturity.
DFN.PR.A SplitShare -1.0368% See discussion in “volume” table.
Volume Highlights
Issue Index Volume Notes
GWO.PR.G PerpetualPremium 109,600 Now with a pre-tax bid-YTW of 4.76% based on a bid of 25.86 and a call 2014-1-30 at 25.00.
GWO.PR.H PerpetualPremium 97,255 Now with a pre-tax bid-YTW of 4.74% based on a bid of 25.39 and a call 2014-10-30 at 25.00
WN.PR.C PerpetualPremium (for now! Will be “scraps” after month-end, due to the downgrade.) 90,683 RBC crossed 50,000 at 24.95. Now with a pre-tax bid-YTW of 5.31% based on a bid of 24.84 and a limitMaturity.
CM.PR.H PerpetualPremium 68,500 Scotia crossed 50,000 at 25.40. Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.35 and a call 2014-4-29 at 25.00.
DFN.PR.A SplitShare 145,700 Desjardins crossed 50,000 at 10.50. Issue will be reopened shortly. Now with a pre-tax bid-YTW of 4.54% based on a bid of 10.50 and a hardMaturity 2014-12-1 at 10.00.

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

Whoosh! I don’t know what the Bank of Canada is going to do next week, but it would seem that the preferred shareholders are making their bets! The Long Term Government Bond Index is down 1.83% on the month, roughly comparable to Long Term Corporates; Universe Bond, -1.11%; Short Term Bond -0.50%;  the HIMI PerpetualDiscount index is down 2.59%; PerpetualPremium down 1.17% (Hockey Sticks!); OpRet is down 0.24%. As usual, none of it makes any sense at all.

jiHymas

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