Market Action

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!

Market Action

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  

Market Action

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%.

Market Action

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

Market Action

July 12, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet N/A 4.00% 120,723 17.48 2 -0.10% 998.2
Fixed-Floater N/A 3.94% 88,584 10.22 5 +0.08% 998.5
Floater N/A -20.72% 60,004 6.43 5 +0.50% 1,004.3
Op. Retract N/A 3.50% 85,498 3.04 18 -0.26% 993.4
Split-Share N/A 3.15% 53,934 2.80 14 +0.07%% 997.4
Interest Bearing N/A 5.70% 65,488 2.25 7 +0.16% 1,004.1
Perpetual N/A 4.70% 168,155 6.58 53 +0.04% 1,002.5
Market Action

July 11, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet N/A 3.98% 125,751 17.52 2 0.00% 999.2
Fixed-Floater N/A 3.94% 85,226 10.24 5 -0.24% 997.7
Floater N/A -18.43% 58,876 6.39 5 -0.14% 999.4
Op. Retract N/A 3.47% 85,298 3.08 18 -0.24% 994.5
Split-Share N/A 3.35% 54,651 2.81 14 -0.09% 996.6
Interest Bearing N/A 5.82% 65,681 2.25 7 -0.28% 1,002.45
Perpetual N/A 4.73% 169,969 6.55 53 +0.18 1,002.13
Market Action

July 10, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet N/A 3.96% 128,146 17.55 2 -0.10% 999.2
Fixed-Floater N/A 3.99% 83,966 10.26 5 -0.02% 996.1
Floater N/A -16.49% 59,142 6.47 5 +0.06% 1000.7
Op. Retract N/A 3.36% 85,234 3.08 18 +0.06% 996.9
Split-Share N/A 2.80% 55,216 3.05 14 -0.10% 997.6
Interest Bearing N/A 5.74% 65,387 2.26 7 -0.12% 1005.22
Perpetual N/A 4.74% 170,153 6.96 53 +0.08% 1,000.31
Market Action

July 7, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet N/A 3.94% 133,014 17.59 2 +0.10% 1000.2
Fixed-Floater N/A 4.10% 85,252 13.76 5 -0.11% 996.2
Floater N/A -15.93% 60,065 6.48 5 -0.12% 1000.2
Op. Retract N/A 3.43% 86,296 3.05 18 -0.21% 996.3
Split-Share N/A 3.16% 54,779 3.06 14 +0.11% 998.6
Interest Bearing N/A 5.55% 65,179 2.27 7 +0.29% 1006.4
Perpetual N/A 4.74% 169,956 6.96 53 -0.02% 999.5

Market Action

July 6, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet N/A 3.94% 137,880 17.61 2 +0.06% 999.2
Fixed-Floater N/A 3.86% 86,146 10.3 5 -0.02% 997.3
Floater N/A -16.87% 61,045 6.47 5 -0.06% 1001.4
Op. Retract N/A 3.35% 86,296 3.05 18 +0.11% 998.4
Split-Share N/A 3.19% 55,114 3.06 14 +0.12% 997.4
Interest Bearing N/A 5.59% 66,012 2.25 7 +0.11% 1003.4
Perpetual N/A 4.74% 172,102 6.96 53 -0.03% 999.7