Category: Market Action

Market Action

December 18, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.19% 4.22% 33,096 17.02 1 +0.0405% 1,021.1
Fixed-Floater 4.79% 3.79% 98,800 8.38 7 +0.0617% 1,033.7
Floater 4.46% -25.23% 62,871 0.34 5 +0.0550% 1,045.5
Op. Retract 4.64% 0.87% 81,879 2.19 17 +0.0137% 1,032.3
Split-Share 5.05% 2.11% 247,111 2.52 9 -0.1056% 1,043.8
Interest Bearing 6.95% 5.11% 79,449 1.86 7 +0.0229% 1,027.8
Perpetual-Premium 5.00% 3.56% 293,584 4.24 52 +0.1269% 1,053.6
Perpetual-Discount 4.53% 4.50% 922,402 13.33 6 +0.3778% 1,060.0
Major Price Changes
Issue Index Change Notes
ELF.PR.G PerpetualPremium +1.0993% Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.75 and a call 2015-11-16 at $25.00
IAG.PR.A PerpetualDiscount +1.3944% This one looks like it will be moving to “PerpetualPremium” pretty promptly! Now with a pre-tax bid-YTW of 4.34%, based on a bid of $25.45 and a call 2015-4-30 at $25.00
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 499,712 Recent New issue. Now with a bid-YTW of 1.41% based on a bid of $10.36 and a call 2008-1-14 at $10.00
CM.PR.I PerpetualPremium 358,090 New issue closed Nov. 15, continues to trade heavily. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.51 and a call 2016-3-1 at $25.00
CL.PR.B PerpetualPremium 302,635 RBC crossed 150,000 at $26.15, then Nesbitt crossed the same number at the same price 13 minutes later. I last mentioned this November 29 and, well, at least the pre-tax bid-YTW’s not negative any more! It’s 1.20% based on a bid of $26.10 and a call 2007-1-30 at $26.00.
CM.PR.B PerpetualPremium 211,820 Basically a money market instrument, since it is being called Jan. 31.
RY.PR.C PerpetualPremium 147,825 National crossed 125,000, then 10,000, then 5,000, all at $25.55. Now with a pre-tax bid-YTW of 4.42% based on a bid of $25.53 and a call 2015-12-24 at $25.00
BAM.PR.M PerpetualDiscount 108,300 RBC crossed 100,000 at $25.10. Now with a pre-tax bid-YTW of 4.70% based on a bid of $25.10 and a call 2016-3-1 at $25.00

There were fourteen other index-included issues with over 10,000 shares traded today.

Market Action

December 15, 2006

 

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.20% 4.22% 33,370 17.01 1 -0.0404% 1,020.7
Fixed-Floater 4.79% 3.81% 100,905 8.38 7 +0.1629% 1,033.1
Floater 4.46% -25.29% 63,178 3.47 5 +0.6029% 1,044.9
Op. Retract 4.64% 0.86% 82,781 2.19 17 +0.0569% 1,032.2
Split-Share 5.10% 2.27% 138,530 2.72 8 +0.4143% 1,045.0
Interest Bearing 6.95% 5.09% 79,009 2.35 7 +0.2087% 1,027.6
Perpetual-Premium 5.00% 3.71% 291,647 4.30 52 +0.1269% 1,052.3
Perpetual-Discount 4.55% 4.50% 928,803 11.74 6 +0.1675% 1,056.0

 

Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare +1.2903% Now with a pre-tax bid-YTW of 3.75% based on a bid of $10.99 and a hardMaturity 2013-11-29 at $10.00. It is interesting to compare this with the FBS.PR.B new issue, which finished its opening data at 10.38-bid for a pre-tax YTW of 1.21% based on a call 2008-1-14 at $10.00, or 3.93% if it lasts until its hardMaturity 2011-12-15 at $10.00.
TOC.PR.B Floater +1.8010% What makes this large gain even more odd than it is already, is that it is based on a closing price of $26.00-bid. Global crossed 80,900 for cash at $26.56, then the same number for regular settlement at $26.29.
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 2,347,825 New issue closed today. Volume was about one-sixth of the issue size!
GWO.PR.F PerpetualPremium 305,245 This has been a heavy trader recently. Desjardins crossed 89,600 at 28.15, then after a few hours, crossed 85,400 at the same price
BC.PR.B FixedFloater 212,900 Scotia crossed 100,000 at 25.40, then Nesbitt crossed 112,000 at the same price.
TOC.PR.B Floater 166,500 See the “performance” table, above.
RY.PR.D PerpetualPremium 68,240 Recent new issue.

There were fourteen other index-included issues with over 10,000 shares traded today.

Market Action

Strange Stability in Credit Spreads

I’m not too sure what to make of this.

As readers of the glossary know:

The values of all three of these parameters has been oddly stable since early October – I have uploaded graphs for the taxable curve and for the non-taxable curve.

Frankly, I’m not too sure what the implications of such stability are, but I’m pointing it out as an interesting feature of the current market.

Market Action

December 14, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.21% 4.23% 34,748 17.00 1 +0.1215% 1,021.1
Fixed-Floater 4.80% 3.87% 101,228 8.38 7 +0.2368% 1,031.4
Floater 4.48% -19.95% 62,955 3.47 5 +0.1340% 1,038.6
Op. Retract 4.64% 1.00% 81,973 2.20 17 -0.0475% 1,031.6
Split-Share 5.12% 2.41% 140,006 2.71 8 +0.2179% 1,040.6
Interest Bearing 6.95% 5.31% 78,518 2.34 7 -0.0019% 1,025.5
Perpetual-Premium 5.01% 3.73% 294,853 4.29 52 +0.0288% 1,052.0
Perpetual-Discount 4.55% 4.54% 946,271 13.31 6 +0.1151% 1,054.2
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.4006% Now with an entirely reasonably pre-tax bid-YTW of 3.31% based on a bid of $10.56 and a hardMaturity at $10.00 on 2009-12-1
GWO.PR.G PerpetualPermium +1.1949% Now with a pre-tax bid-YTW of 3.51% based on a bid of $27.10 and a call 2010-1-30 at $26.00. If it makes it to the $25.00 call 2014-1-30, it will have yielded 3.83%. I call it expensive.
WFS.PR.A SplitShare +1.2299% Now with a pre-tax bid-YTW of 3.54% based on a bid of $10.70 and a hard maturity 2011-6-30 at $10.00. An entirely reasonably priced issue.
BSD.PR.A InterestBearing +1.4199% Now with a pre-tax bid-YTW of 6.05% (as interest!) based on a bid of $10.00 and a hard maturity 2015-3-31 at $10.00
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualPremium 102,755 Recent new issue. Now with a pre-tax bid-YTW of 4.57% based on a bid of $25.40 and a call 2016-3-1 at $25.00
BCE.PR.R FixedFloater 148,375 Maple crossed 140,000 on a cash basis at $25.36.
BCE.PR.T Scraps 141,000 Maple crossed 139,000 for cash at $25.40. They were busy today!
GWO.PR.F PerpetualPremium 136,245 Also a heavy trader yesterday. Pre-tax bid-YTW of 1.21% based on a bid of $28.09 and a call 2008-10-30 at $26.00. Even more expensive than the GWO.PR.G mentioned above, if you want to listen to me.
BAM.PR.M PerpetualDiscount 106,390 Recent new issue. Now with a pre-tax bid-YTW of 4.65% based on a bid of $25.19 and a call 2016-3-1 at $25.00.

There were eighteen other index-included issues with over 10,000 shares traded today.

Market Action

December 13, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.22% 4.24% 36,183 16.98 1 -0.0405% 1,019.9
Fixed-Floater 4.81% 3.89% 100,950 10.63 7 -0.1006% 1,028.9
Floater 4.49% -18.73% 63,688 3.47 5 +0.2245% 1,037.2
Op. Retract 4.64% +0.63% 81,563 2.20 17 -0.0691% 1,032.0
Split-Share 5.14% 2.48% 139,550 2.71 8 -0.0321% 1,038.4
Interest Bearing 6.95% 5.00% 76,607 2.33 7 +0.1522% 1,025.5
Perpetual-Premium 5.01% 3.49% 294,576 4.31 52 +0.0504% 1,051.7
Perpetual-Discount 4.56% 4.56% 941,546 13.14 6 +0.0274% 1,053.0
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
BCE.PR.T Scraps 425,300 Scotia crossed 425,000 at $25.40 in Cash trade. About time someone traded this recent conversion in size!
RY.PR.D PerpetualPremium 249,115 New Issue. Pre-tax bid-YTW of 4.47% based on a bid of $25.10 and a call at $25.00 on 2016-3-25
WN.PR.C PerpetualPremium 160,500 Global crossed 80,000 for cash at 27.08, then 80,000 regular settlement at 26.75. Went ex-dividend today for $0.325. Pre-tax bid-YTW now 4.20% based on a bid of 26.60 and a call 2014-7-31 at $25.00 (but 2013-7-31 at 25.25 gives the same yield … and 2012-7-31 at 25.50 outputs 4.21%, so take your pick).
CM.PR.I PerpetualPremium 102,755 Recent new issue. Pre-tax bid-YTW of 4.61% based on a bid of 25.31 and a call on 2016-3-1 at 25.00
GWO.PR.F PerpetualPremium 101,070 Scotia crossed 68,400 at 27.91, then another 31,600 at the same price. Now with a pre-tax bid-YTW of 1.53% based on a bid of 27.93 and a call 2008-10-30 at $26.00. Pays $1.475, so an early call seems likely even given the declining premium, but somebody obviously disagrees and is betting on 2012-10-30 at $25.00 to yield 3.64% … which is still no great shakes, according to me!

There were thirty other index-included issues with over 10,000 shares traded today.

Market Action

December 12, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.23% 4.24% 36,419 16.97 1 +0.0000% 1,020.3
Fixed-Floater 4.81% 3.83% 102,144 8.37 7 -0.1061% 1,030.0
Floater 4.48% -17.73% 63,425 6.60 5 -0.2710% 1,034.9
Op. Retract 4.63% +0.08% 82,309 2.20 17 -0.0319% 1,032.8
Split-Share 5.12% 2.98% 139,602 2.70 8 -0.0579% 1,038.7
Interest Bearing 6.90% 5.43% 76,350 3.84 7 -0.1846% 1,023.9
Perpetual-Premium 5.01% 3.54% 249,455 4.41 51 +0.0680% 1,051.1
Perpetual-Discount 4.56% 4.56% 951,558 13.14 6 +0.2833% 1,052.7
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater -1.3884% Any dreams I ever had of attempting to understand this issue, with its bizarre dividend calculation methodology, have long since vanished. It pays 100% of Prime, is priced at 26.28, and has been callable at $25.00 for 13 years.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualPremium 184,344 Recent new issue, pre-tax bid-YTW now 4.63% based on a bid of $25.27 and a call at $25.00 2016-3-1.
BAM.PR.M PerpetualDiscount 158,700 Recent new issue, pre-tax bid-YTW now 4.77% based on a bid of 25.06 and a limitMaturity.
TOC.PR.B Floater 140,350 Scotia crossed 139,500 at $25.90.
RY.PR.A PerpetualDiscount 29,500 Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.10 and a call 2015-6-23 at $25.00
BAM.PR.B Floater 28,427 National Bank crossed 25,000 at $24.90

There were nineteen other index-included issues with over 10,000 shares traded today.

Market Action

December 11, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.25% 4.25% 37,924 16.95 1 +0.0405% 1,020.3
Fixed-Floater 4.80% 3.77% 101,668 8.38 7 +0.2541% 1,031.1
Floater 4.47% -20.26% 59,880 6.58 5 -0.0313% 1,037.7
Op. Retract 4.63% -0.43% 80,853 2.20 17 +0.0916% 1,033.1
Split-Share 5.11% 2.95% 142,032 2.70 8 -0.0005% 1,039.3
Interest Bearing 6.89% 5.23% 75,796 3.84 7 +0.1265% 1,025.8
Perpetual-Premium 5.02% 3.63% 251,087 4.38 51 +0.0294% 1,050.4
Perpetual-Discount 4.57% 4.58% 952,037 16.28 6 +0.4274% 1,049.8
Major Price Changes
Issue Index Change Notes
SLF.PR.C PerpetualDiscount +1.2371% Comes back from yesterday’s swoon to yield 4.53% based on a bid of $24.55 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
POW.PR.D PerpetualPremium 104,490 Now with a pre-tax bid-YTW of 4.36% based on a bid of $26.30 and a call 2014-11-30 at $25.00
CM.PR.I PerpetualDiscount 91,905 Recent new issue, pre-tax bid-YTW now 4.64% based on a bid of $25.26 and a call at $25.00 2016-3-1
W.PR.J PerpetualPremium 86,200 Nesbitt crossed 85,000 at $25.53. Now with a pre-tax bid-YTW of 4.85% based on a call 2008-8-14. An attractive issue, if you don’t mind the usually low volume (averageTradingValue ~ $52,000) and the exclusion from HIMIPref™ recommendations due to the short term of the YTW Scenario
SLF.PR.D PerpetualDiscount 47,192 Has been very active! Just for fun, I’ve prepared graphs of volume-average and flatBidPrice since issue, with its twin, SLF.PR.C, as comparator. Price went up a good chunk today, to close at $24.55-65, for a pre-tax bid-YTW of 4.53% based on a limit maturity.
GWO.PR.I PerpetualDiscount 24,450 Now with a pre-tax bid-YTW of 4.55% based on a bidof 24.70 and a limit maturity.

There were five other index-included issues with over 10,000 shares traded today.

Market Action

December 8, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.24% 4.26% 37,639 16.94 1 +0.0000% 1,019.9
Fixed-Floater 4.81% 3.81% 103,006 8.36 7 +0.0001% 1,028.5
Floater 4.47% -20.59% 60,917 6.58 5 +0.0235% 1,038.1
Op. Retract 4.63% -0.47% 81,806 2.20 17 +0.0372% 1,032.2
Split-Share 5.11% 2.91% 144,894 2.71 8 -0.0020% 1,039.3
Interest Bearing 6.90% 5.52% 76,292 3.85 7 -0.4193% 1,024.5
Perpetual-Premium 5.02% 3.62% 254,404 4.57 51 -0.0704% 1,050.1
Perpetual-Discount 4.59% 4.60% 968,678 16.25 6 -0.2374% 1,045.3
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.6915% This has been volatile lately, probably due to speculation about the possible call. Now with a pre-tax bid-YTW of 6.62% (as interest!) based on a bid of 9.88 and a maturity 2015-3-31.
FCN.PR.A InterestBearing -1.3725% A blowback from yesterday. Now with a pre-tax bid-YTW of 6.44% (as interest!) based on a bid of 10.06 and a hardMaturity 2011-3-31 at 10.00. This issue’s call schedule does not include a declining premium feature, so negative pseudoConvexity is fierce.
SLF.PR.C PerpetualDiscount -1.0157% Virtually identical to SLF.PR.D, which it now brackets in price, being quoted at 24.25-59 compared to SLF.PR.D’s 24.38-46. Now with a pre-tax bid-YTW of 4.59% based on a limitMaturity.
LBS.PR.A SplitShare -1.0157% Now with a pre-tax bid-YTW of 4.17% – not bad for a split share or other retractible – based on a bid of 10.72 and a hard maturity 2013-11-29 at 10.00.
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 129,654 Now with a pre-tax bid-YTW of 4.50%, based on a limit maturity. In other words, these are trading near-as-dammit to even yield with the Royal new issue, which is expected to settle Dec. 13.
SLF.PR.D PerpetualDiscount 41,489 A regular guest on this list! Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.38 and a limit maturity.
SLF.PR.C PerpetualDiscount 35,450 The price collapsed at the close, with 10+ trades in the last minute. Scotia sold on nine of them, selling 6,500 at prices beginning at 24.60 and ending at 24.25. Lesson 1: don’t put market orders in during the last minute unless you know for sure there’s some depth!
CM.PR.I PerpetualPremium 33,115 Recent new issue, now with a pre-tax bid-YTW of 4.63% based on a bid of $25.27 and a call 2016-3-1 at 25.00
BAM.PR.M PerpetualDiscount 19,802 Recent new issue, now with a pre-tax bid-YTW of 4.78% based on a bid of $25.00 and a limit maturity.

There were five other index-included issues with over 10,000 shares traded today.

No enormous blocks crossed by Scotia today! I guess their guy’s still counting his commission from the last two days.

Market Action

December 7, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.25% 4.26% 39,194 16.93 1 +0.0000% 1,019.9
Fixed-Floater 4.81% 3.80% 105,620 8.36 7 -0.0431% 1,028.5
Floater 4.47% -20.50% 62,785 6.58 5 -0.0626% 1,037.8
Op. Retract 4.63% -0.64% 82,027 2.21 17 -0.1594% 1,031.8
Split-Share 5.11% 2.97% 149,083 2.72 8 -0.0824% 1,039.3
Interest Bearing 6.87% 5.05% 75,820 1.88 7 +0.2230% 1,028.8
Perpetual-Premium 5.01% 3.44% 259,007 4.20 51 +0.0544% 1,050.8
Perpetual-Discount 4.58% 4.59% 978,707 16.28 6 -0.0736% 1,047.8
Major Price Changes
Issue Index Change Notes
ELF.PR.F PerpetualPremium -1.3843% Now with a pre-tax bid-YTW of 3.88% based on a bid of 27.07 and a call at 26.00 on 2009-11-16.
ACO.PR.A Retractible -1.2031% Still looking expensive at a bid of 27.92 and a pre-tax bid-YTW of 1.92% based on a call 2008-12-31 at 26.00
FCN.PR.A InterestBearing +1.1905% Now with a pre-tax YTW of 4.06% (like T-Bills!) based on a bid of 10.20 and a call 2007-4-30 at 10.00
Volume Highlights
Issue Index Volume Notes
BCE.PR.A FixedFloater 777,300 This issue was also one of yesterday’s blocks
BCE.PR.R FixedFloater 541,810 This was also a big block trader yesterday
PWF.PR.K PerpetualPremium 432,730 Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.96 and a call 2014-11-30 at 25.00
BCE.PR.S RatchetRate 427,730  
BC.PR.C FixedFloater 410,214  
POW.PR.D PerpetualPremium 307,225 Now with a pre-tax bid-YTW of 4.40% based on a bid of 26.23 and a call 2014-11-30 at 25.00
PWF.PR.L PerpetualPremium 307,180 Now with a pre-tax bid-YTW of 4.38% based on a bid of 26.51 and a call 2015-11-30 at 25.00
GWO.PR.G PerpetualPremium 207,140 Now with a pre-tax bid-YTW of 3.86% based on a bid of 26.81 and a call 2010-1-30 at 26.00
RY.PR.W PerpetualPremium 202,507 Now with a pre-tax bid-YTW of 3.99% based on a bid of 26.50 and a call 2014-3-26 at 25.00
BCE.PR.C FixedFloater 103,950 Also on yesterday’s big block list

There were thirteen other index-included issues with over 10,000 shares traded today.

Another day of big blocks! Not quite as busy as yesterday, but ’tis enough, ’twill serve.

Market Action

December 6, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.26% 4.27% 36,294 16.92 1 +0.0000% 1,019.9
Fixed-Floater 4.81% 3.76% 98,551 8.36 7 -0.2776% 1,028.9
Floater 4.46% -20.78% 63,382 6.59 5 +0.0159% 1,038.5
Op. Retract 4.62% -1.28% 82,429 2.21 17 +0.0830% 1,033.4
Split-Share 5.11% 2.92% 150,636 2.72 8 -0.0646% 1,040.2
Interest Bearing 6.88% 5.55% 73,944 2.35 7 +0.0575% 1,026.6
Perpetual-Premium 5.02% 3.63% 259,544 4.59 51 -0.0308% 1,050.3
Perpetual-Discount 4.58% 4.58% 996,198 16.29 6 +0.0607% 1,048.5
Major Price Changes
Issue Index Change Notes
BC.PR.C FixedFloater -1.5916%  
POW.PR.A PerpetualPremium -1.0393% Currently about half-way through its redemption schedule. Pre-tax bid-YTW is now 3.81% based on a bid of $25.71 and a call 2007-7-11 at $25.25.
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 2,004,865 Wow. Scotia crossed 1,999,500 at 25.55 at 3:53pm
BCE.PR.R FixedFloater 800,800 Wow. Scotia crossed 800,000 at 25.50 at 3:48pm
 
BCE.PR.A FixedFloater 552,100 Wow. Scotia crossed 550,000 at 25.40 at 3:49pm
CM.PR.P PerpetualPremium 548,100 Wow. Scotia crossed 540,000 at 27.36 at 3:47pm. Now with a pre-tax bid-YTW of 3.89% based on a call 2012-11-28 and a bid of 27.31.
CM.PR.E PerpetualPremium 543,280 Wow. Scotia crossed 540,000 at 27.18 at 3:46pm. Now with a pre-tax bid-YTW of 3.35% based on a call 2008-11-30 and a bid of 27.17
CM.PR.D PerpetualPremium 455,430 Wow. Scotia crossed 450,000 at 27.45 at 3:46pm. Now with a pre-tax bid-YTW of 2.17% based on a call 2008-5-30 at $26.00 and a bid of 27.43
BCE.PR.Z FixedFloater 451,935 Wow. Scotia crossed 450,000 at 25.45 at 3:48pm
NA.PR.K PerpetualPremium 360,945 Wow. Scotia crossed 360,000 at 27.76 at 3:44pm. Now with a pre-tax bid-YTW of 1.35% based on a call 2008-6-14 at 26.00 and a bid of $27.76
CU.PR.A PerpetualPremium 270,650 Wow. Scotia crossed 270,000 at 27.12 at 3:45pm. Now with a pre-tax bid-YTW of 2.52% based on a call 2008-3-31 at 26.00 and a bid of 27.05
CU.PR.B PerpetualPremium 270,000 Wow. Scotia crossed 270,000 at 27.12 at 3:45pm. Now with a pre-tax bid-YTW of 3.16% based on a call 2008-7-1 at 26.00 and a bid of 27.06
TD.PR.O PerpetualPremium 268,189 Wow. Scotia crossed 266,300 at 26.36 at 3:47pm. Now with a pre-tax bid-YTW of 4.14% based on a call 2014-11-30 at 25.00 and a bid of 26.36
ENB.PR.A PerpetualPremium 225,500 Wow. Scotia crossed 225,000 at 25.60 at 3:44pm. Now with a pre-tax bid-YTW of -10.16% based on a call 2007-1-5 at 25.25 and a bid of 25.60. Given that it pays $1.375 and the redemption goes down by $0.25 next December, it probably has a good chance of making it to 2008-1-1, when it will have yielded 3.30%. Just not a chance I’d take, that’s all.
TCA.PR.X PerpetualPremium 181,450 Wow. Scotia crossed 180,000 at 55.50 at 3:45pm. Now with a pre-tax bid-YTW of 3.97% based on a call 2013-11-14 at 50.00 and a bid of 55.25
CM.PR.I PerpetualDiscount 121,494 Boring recent new issue. Now with a pre-tax bid-YTW of 4.63% based on a call 2016-3-1 and a bid of 25.26
SLF.PR.A PerpetualPremium 108,925 Wow. Scotia crossed 99,500 at 25.90 at 3:50pm. Now with a pre-tax bid-YTW of 4.22% based on a call 2014-4-30 at 25.00 and a bid of 25.81
CU.PR.T Scraps 102,500 Wow. Scotia crossed 100,000 at 25.78 at 3:45pm. Now with a pre-tax bid-YTW of -16.52% based on a call 2007-1-5 at 25.00 and a bid of 25.50. I believe that this issue exists only due to regulatory boneheadism.
CU.PR.V Scraps 101,400 Wow. Scotia crossed 100,000 at 25.40 at 3:45pm. Now with a pre-tax bid-YTW of -10.47% based on a call 2007-1-5 at 25.00 and a bid of 25.35. More regulatory boneheadism, as far as I know.

There were fifteen other index-included issues with over 10,000 shares traded today.

I guess the Scotia preferred guy is enjoying a relaxing drink! That deal must have taken quite a while to set up, and the simultaneity leads me to suspect that they put a lot of their own capital on the line. Somebody’s rejigging their fixed-income portfolio in a big way – presumably selling, I wouldn’t think a high-rolling buyer would find so many simultaneous sellers, or that Scotia would cover the trade, but who knows? A lot of high-premium, somewhat low-yielding perps … being sold … you would do that if …. you thought rates were going to fall, in which case you would want to move into lower premium issues or discounts …. or if you thought rates were going to rise by a huge amount, in which case you might think the high premium wasn’t enough protection …. or …. or …. or … and the fixed-floaters … you would sell them anticipating a drop in rates … you would want to keep them if rates were going to rise by a huge amount … or … or … or …