Category: Market Action

Market Action

August 30, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.41%	4.37%	29,755	16.59	2	0.0203%	987.8
Fixed-Floater	4.99%	4.22%	295,464	13.93	6	0.2351%	994.9
Floater	4.59%	-18.06%	61,890	6.44	5	-0.0157%	1,007.9
Op. Retract	4.70%	2.47%	73,737	2.56	18	0.1755%	1,007.6
Split-Share	5.01%	3.46%	54,504	2.74	10	-0.0905%	1,006.1
Interest Bearing	6.82%	5.13%	59,583	1.88	7	0.0838%	1,016.6
Perpetual-Premium	5.25%	4.25%	155,939	4.09	42	0.1016%	1,017.4
Perpetual-Discount	4.70%	4.68%	342,629	12.39	13	0.0884%	1,026.7

Major Price Changes
Issue	Index	Change	Notes
BC.PR.B	FixedFloater	+2.1268%	A bid came back to offset yesterday’s swoon … partially! No shares were traded. The quote is now 24.01-85, 5×5.
GWO.PR.E	OpRet	+1.2542%	On light volume of 991 shares, with only 100 shares bid at $26.65

Volume Highlights
Issue	Index	Volume	Notes
RY.PR.B	PerpetualDiscount	230,995	Increased volume of late may mean that new-issue buyers see an opportunity to exit … or that unsold inventory is being cleared out … or nothing at all. Take your pick. Since the first day of trading, July 20, the PerpetualDiscount index is up a shade over 2.5%
GWO.PR.H	PerpetualDiscount	50,035
BC.PR.C	FixedFloater	42,419
MFC.PR.B	PerpetualDiscount	38,150	Nesbitt bought a total of 25,000 from various dealers at $25.00 shortly before the close.
PWF.PR.L	PerpetualPremium	34,300	RBC crossed 27,000 @ 25.80

There were seven other ‘normally priced’ ($25 par value) issues trading over 10,000 shares today.

Market Action

August 29, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.40%	4.36%	29,445	16.60	2	0.0205%	987.6
Fixed-Floater	5.00%	4.23%	297,397	13.90	6	-0.7880%	992.5
Floater	4.59%	-17.67%	62,819	6.45	5	-0.2588%	1,008.1
Op. Retract	4.71%	2.92%	74,696	2.61	18	-0.0591%	1,005.8
Split-Share	5.00%	3.34%	54,793	2.74	10	0.0490%	1,007.0
Interest Bearing	6.83%	5.08%	59,137	2.12	7	0.1998%	1,015.7
Perpetual-Premium	5.25%	4.06%	156,781	3.80	42	0.1772%	1,016.4
Perpetual-Discount	4.70%	4.70%	333,155	12.37	13	0.1058%	1,025.8

Major Price Changes
Issue	Index	Change	Notes
BC.PR.B	FixedFloater	-5.7338%	A sale of 650 shares by RBC (retail, surely!) took out the bid with a closing price of $24.50 and left the closing bid at $23.51. It’s probable that a bid will be back tomorrow … but on the other hand, this trade occurred at 2:40pm and nothing had materialized by way of a bid until the 4pm close
AL.PR.E	Floater	-1.3208%	Total volume 8,800 shares, a relatively active day for this issue.
FFN.PR.A	SplitShare	-1.2915%	Closing bid = closing price = $10.37, implying a YTW of 4.02% on this issue, above average for a split-share.
PWF.PR.J	OpRet	-1.0428%	Volume 4,175 shares, marginally above average for this issue

Volume Highlights
Issue	Index	Volume	Notes
RY.PR.B	PerpetualDiscount	127,277
SLF.PR.A	PerpetualDiscount	60,880	RBC bought 50,000 from TD just before the close @25.20
BAM.PR.K	Floater	51,750	Scotia crossed 50,000 @ 24.30
SLF.PR.C	PerpetualDiscount	34,600	Nesbitt bought 32,000 in five tranches – 1,000 from CIBC, the remainder from RBC
IAG.PR.A	PerpetualDiscount	24,200	Nesbitt executed an internal cross of 23,800 shares at $24.91

There were thirteen other index-included issues with volumes of more than 10,000 shares.

Another strong day, at least for the perpetuals! Strong enough, in fact, that two issues crossed over into negative YTW territory:

ENB.PR.A is now bid at $25.69 even though it is currently callable at $25.50, with the redemption price slated to tick down a quarter in December.

RY.PR.O is now bid at $25.70, although it is currently callable at $25.50; the redemption price will next tick down a quarter in August 2007.

Market Action

August 28, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.38%	4.36%	29,022	16.56	2	0.0405%	987.4
Fixed-Floater	4.96%	4.20%	299,177	13.99	6	-0.3358%	1,000.4
Floater	4.58%	-20.07%	60,790	6.44	5	0.0557%	1,010.7
Op. Retract	4.70%	2.72%	74,016	2.61	18	0.1291%	1,006.4
Split-Share	5.00%	3.58%	55,089	2.74	10	0.0753%	1,006.5
Interest Bearing	6.83%	5.20%	58,720	2.11	7	0.0696%	1,013.7
Perpetual-Premium	5.26%	4.30%	158,496	3.88	42	0.0397%	1,014.6
Perpetual-Discount	4.70%	4.70%	327,845	12.36	13	0.0817%	1,024.7

Major Price Changes
Issue	Index	Change	Notes
No major price changes in index-included issues today.

Volume Highlights
Issue	Index	Volume	Notes
RY.PR.B	PerpetualDiscount	24,155
SLF.PR.C	PerpetualDiscount	16,520
GWO.PR.I	PerpetualDiscount	16,159
PWF.PR.L	PerpetualPremium	14,205
SLF.PR.A	PerpetualDiscount	13,470

There were four other index-included issues with volumes of more than 10,000 shares.

Market Action

August 25, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.38%	4.36%	28,809	16.57	2	0.2026%	987.0
Fixed-Floater	4.94%	4.10%	301,838	11.40	6	0.1157%	1,003.8
Floater	4.58%	-20.08%	61,448	6.43	5	0.0168%	1,010.1
Op. Retract	4.70%	2.53%	74,078	2.56	18	0.0531%	1,005.1
Split-Share	5.00%	3.41%	54,803	2.75	10	0.0439%	1,005.7
Interest Bearing	6.83%	5.23%	58,604	2.12	7	-0.0248%	1,013.0
Perpetual-Premium	5.26%	4.22%	160,712	4.13	42	0.0096%	1,014.2
Perpetual-Discount	4.70%	4.70%	330,141	12.37	13	0.1964%	1,023.9

Major Price Changes
Issue	Index	Change	Notes
No major price changes in index-included issues today.

Volume Highlights
Issue	Index	Volume	Notes
BC.PR.C	FixedFloater	663,038	Desjardins crossed 650,000 @ 25.03
RY.PR.W	PerpetualPremium	75,900	Nesbitt crossed 50,000 @ 25.80. This issue has a YTW of 4.46% at the closing bid of $25.75
WN.PR.E	PerpetualDiscount	42,670
POW.PR.D	PerpetualPremium	26,389
PWF.PR.F	PerpetualPremium	15,175	National bought a total of 13,100 in four tranches, notably 11,600 from Royal at $25.80

There were four other index-included issues with volumes of more than 10,000 shares.

Market Action

August 24, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.39%	4.37%	28,053	16.56	2	-0.1206%	985.0
Fixed-Floater	4.94%	4.07%	284,333	11.45	6	0.0407%	1,002.6
Floater	4.58%	-19.92%	61,906	6.44	5	0.0239%	1,009.9
Op. Retract	4.71%	2.85%	75,039	2.56	18	-0.0039%	1,004.6
Split-Share	5.00%	3.46%	55,606	2.75	10	0.2173%	1,005.3
Interest Bearing	6.83%	5.14%	60,101	2.12	7	-0.0460%	1,013.2
Perpetual-Premium	5.26%	4.08%	162,555	3.78	42	0.0400%	1,014.1
Perpetual-Discount	4.71%	4.71%	333,755	12.35	13	0.1246%	1,021.9

Major Price Changes
Issue	Index	Change	Notes
FTN.PR.A	SplitShare	+1.3579%

Volume Highlights
Issue	Index	Volume	Notes
BC.PR.C	FixedFloater	635,544	Scotia crossed 100,000 @25.03; Desjardins crossed 12,000 at the same price.
BC.PR.E	Ratchet	200,000	Scotia crossed 200,000 @ 25.12 in the only trade of this issue for the day.
WN.PR.A	PerpetualPremium	109,580
BNS.PR.K	PerpetualPremium	55,880
TOC.PR.B	Floater	40,692

There were nine other index-included issues with volumes of more than 10,000 shares.

Market Action

August 23, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.38%	4.36%	27,056	16.57	2	-0.2016%	986.2
Fixed-Floater	4.95%	4.15%	268,331	11.47	6	0.7703%	1,002.2
Floater	4.59%	-19.64%	60,165	6.44	5	-0.2679%	1,009.7
Op. Retract	4.71%	2.85%	75,881	2.57	18	0.0732%	1,004.6
Split-Share	5.01%	3.60%	56,016	2.75	10	0.0061%	1,003.1
Interest Bearing	6.83%	5.09%	59,939	2.12	7	0.1704%	1,013.7
Perpetual-Premium	5.27%	4.14%	164,138	3.79	42	0.0063%	1,013.7
Perpetual-Discount	4.72%	4.73%	338,076	12.35	13	0.0688%	1,020.6

Major Price Changes
Issue	Index	Change	Notes
BCE.PR.A	FixedFloater	+4.0875%	Recovering from yesterday’s swoon. Scotia crossed 25,000 @25.25, an impressively repetetive trade. Closed at $25.21-29, so things are back to normal … for now!
CM.PR.D	PerpetualPremium	+1.1654%	The pre-tax YTW is only 3.72 at the closing bid of $26.91

Volume Highlights
Issue	Index	Volume	Notes
BC.PR.C	FixedFloater	166,809
TD.PR.O	PerpetualPremium	136,800
POW.PR.D	PerpetualPremium	62,780	Nesbitt crossed 50,000 @25.60
TOC.PR.B	Floater	50,741	CIBC sold a whack @25.50: 24,400 to Nesbitt; 25,000 to Desjardins and 500 (sic) to Royal – must have been a retail bid that was in the way.
BMO.PR.I	OpRet	38,600	Scotia crossed 37,300 @ 25.50; YTW of this issue is a niggardly 2.61% at the closing bid of 25.42, based on a call as soon as the redemption price goes down to $25.25 at the end of November. It’s more likely, however, that BMO will keep the issue alive for another year, paying $1.1875 dividend but saving $0.25 on the redemption price. This scenario implies a pre-tax YTM of 3.97%, not bad at all … if you can rely on BMO not calling the issue!

There were seven other index-included issues with volumes of more than 10,000 shares.

Market Action

August 22, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.37%	4.35%	27,146	16.60	2	0.1214%	988.1
Fixed-Floater	4.98%	4.27%	258,200	13.97	6	-0.6151%	994.6
Floater	4.57%	-22.39%	59,999	6.42	5	0.2253%	1,012.4
Op. Retract	4.71%	2.88%	76,317	2.57	18	0.0821%	1,003.9
Split-Share	5.01%	3.53%	55,913	2.75	10	-0.1889%	1,003.0
Interest Bearing	6.84%	5.19%	60,185	2.12	7	0.0172%	1,012.0
Perpetual-Premium	5.27%	4.13%	164,875	3.77	42	0.0849%	1,013.6
Perpetual-Discount	4.72%	4.73%	341,736	13.09	13	-0.0179%	1,019.9

Major Price Changes
Issue	Index	Change	Notes
BCE.PR.A	FixedFloater	-3.89%	Bid disappeared after about 1,100 shares traded at 25.19 at the close. Closing bid was $24.22
FTN.PR.A	SplitShare	-1.34%	15,180 shares traded, a relatively heavy day for this issue
AL.PR.F	Floater	+1.29%	On average volume

Volume Highlights
Issue	Index	Volume	Notes
SLF.PR.A	PerpetualDiscount	204,300
PWF.PR.L	PerpetualPremium	121,822
RY.PR.A	PerpetualDiscount	76,600	BMO bought 71,400 from Scotia at $24.40
IGM.PR.A	OperatingRetractible	46,393	Scotia crossed 40,000 @ 28.00. This the highest priced issue in the OperatingRetractible index, with a coupon of $1.4375 and a pre-tax YTW of 3.08% @$28.00
WN.PR.E	PerpetualDiscount	21,628

There were six other index-included issues with volumes of more than 10,000 shares.
The YTW on RY.PR.K (an operating retractible) moved back into positive territory today, pre-tax YTW of 3.48% based on a closing bid of $25.27

Market Action

August 21, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.37%	4.35%	27,491	16.59	2	-0.6225%	987.0
Fixed-Floater	4.95%	4.23%	260,148	16.56	6	-0.0794%	1,000.7
Floater	4.58%	-20.16%	58,479	6.43	5	0.1990%	1,010.1
Op. Retract	4.71%	2.56%	75,564	2.62	18	0.1002%	1,003.1
Split-Share	5.00%	3.45%	55,827	2.75	10	0.0657%	1,004.9
Interest Bearing	6.84%	5.29%	60,479	2.13	7	0.0094%	1,011.8
Perpetual-Premium	5.27%	4.19%	165,201	3.92	42	-0.0314%	1,012.7
Perpetual-Discount	4.72%	4.72%	342,788	13.08	13	-0.0014%	1,020.1

Major Price Changes
Issue	Index	Change	Notes
There were no major price changes in index-listed issues on the day

Volume Highlights
Issue	Index	Volume	Notes
BMO.PR.I	OpRet	37,300	Scotia bought 35,000 in three tranches, 2×10,000 from CIBC and 15,000 from Desjardins, all at $25.50. The YTW at 25.45 is 2.23%
BNS.PR.K	PerpetualPremium	32,460	BMO bought 27,600 from HSBC in two tranches at 25.50.
TOC.PR.B	Floater	24,277	Anonymous bought 23,700 in two tranches (and therefore not necessarily the same anonymous!) from CIBC at 25.50
PWF.PR.L	PerpetualPremium	15,108
GWO.PR.I	PerpetualDiscount	14,610

There were six other index-included issues with volumes of more than 10,000 shares.

The YTW on RY.PR.K (an operating retractible) went negative today, based on its closing bid of 25.40.

Market Action

August 18, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.35%	4.31%	25,733	16.66	2	-0.1003%	993.1
Fixed-Floater	4.95%	4.22%	263,671	16.58	6	-0.1777%	1,001.5
Floater	4.59%	-18.52%	58,033	6.44	5	0.0878%	1,008.1
Op. Retract	4.72%	2.95%	75,582	2.62	18	0.0632%	1,002.1
Split-Share	5.01%	3.39%	56,001	2.76	10	0.2879%	1,004.3
Interest Bearing	6.84%	5.16%	60,163	2.14	7	0.0592%	1,011.7
Perpetual-Premium	5.27%	4.22%	167,084	3.83	42	0.1044%	1,013.1
Perpetual-Discount	4.71%	4.73%	348,333	12.34	13	0.2677%	1,020.1

Major Price Changes
Issue	Index	Change	Notes
WFS.PR.A	SplitShare	+1.4151%

Volume Highlights
Issue	Index	Volume	Notes
STW.PR.A	InterestBearing	380,000	$10 p.v., so not as much as it sounds … but still respectable!
SLF.PR.B	PerpetualDiscount	32,570
PWF.PR.L	PerpetualPremium	23,920
BC.PR.C	FixedFloater	22,766
WN.PR.E	PerpetualDiscount	14,053

There were five other index-included issues with volumes of more than 10,000 shares

Market Action

August 17, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.34%	4.31%	25,634	16.67	2	0.1006%	994.1
Fixed-Floater	4.94%	4.15%	266,483	14.04	6	-0.0065%	1,003.3
Floater	4.60%	-17.70%	59,040	6.45	5	-0.0158%	1,007.3
Op. Retract	4.72%	3.03%	76,141	2.68	18	0.1490%	1,001.5
Split-Share	5.02%	3.54%	56,030	2.76	10	-0.0527%	1,001.4
Interest Bearing	6.85%	5.31%	60,272	2.14	7	0.0585%	1,011.1
Perpetual-Premium	5.27%	4.19%	169,346	3.87	42	0.0504%	1,012.01
Perpetual-Discount	4.72%	4.75%	352,073	13.79	13	0.0718%	1,017.4

Major Price Changes
Issue	Index	Change	Notes
GWO.PR.E	OpRet	+1.1459%

Volume Highlights
Issue	Index	Volume	Notes
GWO.PR.I	PerpetualDiscount	498,885
TD.PR.O	PerpetualPremium	87,000
RY.PR.A	PerpetualDiscount	82,400
SLF.PR.C	PerpetualDiscount	57,600
GWO.PR.H	PerpetualDiscount	56,275

There were ten other index-included issues with volumes of more than 10,000 shares

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