Category: Market Action

Market Action

December 5, 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% 36,532 16.91 1 +0.1622% 1,019.9
Fixed-Floater 4.80% 3.71% 96,007 6.65 7 +0.1917% 1,031.8
Floater 4.46% -21.20% 61,799 6.57 5 +0.0080% 1,038.3
Op. Retract 4.63% -0.95% 81,820 2.21 17 -0.0563% 1,032.6
Split-Share 5.11% 2.92% 152,466 2.73 8 +0.1561% 1,040.9
Interest Bearing 6.89% 5.76% 73,261 2.36 7 +0.1581% 1,026.0
Perpetual-Premium 5.02% 3.45% 259,049 4.63 51 -0.0192% 1,050.6
Perpetual-Discount 4.58% 4.58% 1,006,272 16.28 6 +0.0004% 1,047.9
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare +1.2195% Well, I didn’t understand it on November 30 and I don’t understand it now. Why is this stuff trading at such stratospheric levels? At the closing bid of $10.79, it has a pre-tax bid-YTW of 2.50% based on a hard maturity 2009-12-01 – bond equivalent is 3.50%, less than treasury bills! The capital units closed today at $15.38-49 and the last NAVPU was November 30, 2006 at $26.67. Hmmm … according to their prospectus, the prefs are not redeemable. You can only submit a matched unit in October. The price of a matched pair today is $26.17, total, at the bid, almost 1.9% below the NAV. Or, it could be that capital units have been submitted for regular monthly retraction, at 96% of 26.67, which is $25.60, less the price to the company of buying the pref, which we’ll call $10.79, leaving $14.81, which isn’t enough to make sense unless banks have really shot through the roof! Well, either people are bidding up the prefs to settle down and wait for next October’s concurrent retraction (buying units at a 2% discount to Nov 30’s NAV) or … the market is nuts. One or the other, as far as I can see.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualPremium 124,154 Recent new issue, pre-tax bid-YTW of 4.66% based on a bid of $25.20 and a call 2016-3-1 at $25.00.
SLF.PR.D PerpetualDiscount 48,801 Recent blue-light special, pre-tax bid-YTW of 4.57% based on a bid of $24.30 and a limitMaturity.
BAM.PR.M PerpetualDiscount 27,260 Recent new issue, pre-tax bid-YTW of 4.79% based on a bid of $24.96 and a limitMaturity.
SLF.PR.C PerpetualDiscount 21,993 Virtually identical to the SLF.PR.D mentioned above – same coupon & credit – and, if anything, should be priced slightly lower than SLF.PR.D since the redemption schedule starts earlier. But it closed at $24.60 bid, good for a pre-tax YTW of 4.52% based on a limitMaturity.
CM.PR.G PerpetualPremium 20,120 At the closing bid of $27.11, it has a pre-tax YTW of 4.07% based on a call 2010-5-31. Since it pays $1.35, there’s at least some chance it hanging on longer while the bank saves $0.25 as the redemption price declines – if it’s called 2014-5-31 at $25.00, it will have yielded 4.19%, which doesn’t seem worthwhile. Still, of all the perpetualPremium issues in the index, there is nothing out there with a higher price AND a higher YTW. The average volume is impressive, as well, nearly double the nearest-in-volume of its higher-priced competitors. It would be most interesting to compare this with a retractible … it may be that somebody is simply assuming that it will be called and is willing to pay up for that certainty … see How Long is Forever? for an explanation of how that game works.

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

Market Action

December 4, 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 4.28% 4.29% 38,041 16.89 1 -0.7646% 1,018.2
Fixed-Floater 4.81% 3.82% 98,094 6.65 7 +0.1698% 1,029.8
Floater 4.47% -20.72% 62,146 6.59 5 -0.0700% 1,038.2
Op. Retract 4.63% -1.03% 82,481 2.21 17 +0.0306% 1,033.1
Split-Share 5.11% 2.94% 156,248 2.73 8 +0.3847% 1,039.2
Interest Bearing 6.90% 5.71% 72,389 3.87 7 +0.0198% 1,024.3
Perpetual-Premium 5.01% 3.39% 261,734 4.63 51 +0.0271% 1,050.8
Perpetual-Discount 4.58% 4.58% 1,015,140 14.71 6 +0.0677% 1,047.9
Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare +1.7757 Recovering from yesterday – and then some! Pre-tax bid-YTW is 3.89% based on a bid of $10.89 and a hardMaturity at $10.00 2013-11-29
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 230,717 Recent blue-light special.
CM.PR.R OpRet 154,380 Desjardins crossed 100,000 at $27.15, then another 51,600 at the same price about three and a half hours later. I’d like to meet the purchaser, shake his hand, take him out to dinner, talk a little business and maybe sell him the rights to the Toronto Airport Bridge. The pre-tax bid-YTW is 1.97% based on a bid of $26.95 and a call 2008-5-30 at $25.75. The purchaser may be hoping it hangs on until its softMaturity 2013-4-29 at $25.00, at which point it will have yielded 3.77%, but really! The thing pays $1.238 and CIBC just issued a perpetual that paid only 1.175. You can stretch a point, talk about the savings that CIBC will realize by waiting, adjust the “effective cost”, hope that nobody notices that you’re comparing it with a perpetual and that CIBC would probably pay less than a buck per share per annum on a new retractible … but to get what? 3.77% at the bid? There’s other fish in the sea. Comparable yields computed from the closing ask price of $27.19 are 1.34% and 3.60%.
CM.PR.I PerpetualPremium 135,607 Recent new issue, pre-tax bid-YTW of 4.66% based on a call 2016-3-1 at $25.00.
ELF.PR.G PerpetualPremium 37,600 Recent new issue that continues to amaze me with a closing quotation of $25.60-65, pre-tax bid-YTW of 4.53% based on a call 2015-11-16 at $25.00. DBRS rates this as Pfd-2(low), so you sure aren’t getting much yield increment for the credit spread!
BAM.PR.M PerpetualDiscount 37,495 Recent new issue, pre-tax bid-YTW of 4.79% based on a limitMaturity. It pays $1.1875, exactly the same as the ELF.PR.G mentioned above. Same credit rating. I love this market!

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

Market Action

December 1, 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% 38,164 16.95 1 +0.5666% 1,026.1
Fixed-Floater 4.81% 3.85% 100,186 6.64 7 -0.2015% 1,028.1
Floater 4.46% -23.73% 62,671 6.58 5 +0.0079% 1,038.9
Op. Retract 4.63% -1.13% 83,641 2.22 17 -0.0015% 1,032.8
Split-Share 5.24% 3.22% 156,377 2.73 8 -0.4350% 1,035.3
Interest Bearing 6.90% 5.69% 72,227 3.88 7 +0.2845% 1,024.1
Perpetual-Premium 5.02% 3.33% 263,313 4.43 51 +0.0448% 1,050.5
Perpetual-Discount 4.58% 4.58% 1,010,196 14.72 6 +0.0751% 1,047.2
Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare -1.0176% Surprising, since I consider this issue rather attractive, now with a bid-YTW of 4.19% based on a bid of $10.70 and a hardMaturity 2013-11-29 at $10.00.
BSD.PR.A InterestBearing +2.0387% Still with an attractive pre-tax bid-YTW of 6.00%, based on a bid of $10.01 and a hard maturity at $10.00 2015-3-31. Still no word on the results of the annual retraction privilege, exercisable 2006-11-30.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualPremium 152,355 Recent new issue.
RY.PR.C PerpetualPremium 58,905 Recent new issue.
SLF.PR.D PerpetualDiscount 47,519 Recent blue-light special.
MFC.PR.C PerpetualPremium 43,859 National Bank crossed 31,800 at $25.04. The issue now has a pre-tax bid-YTW of 4.50%, based on a bid of $25.00 and either a call at $25.00 2015-4-18 or a limitMaturity. Which isn’t too shabby, seeing that the MFC.PR.B, a similar issue, has a pre-tax YTW of 4.30% based on a bid of $25.53 and a call 2014-4-18 at $25.00.
HSB.PR.D PerpetualPremium 31,895 National crossed 30,000 at $26.90. This issue has a pre-tax bid-YTW of 4.06%, base on either a call at $25.25 2014-1-30, or a call at $25.00 2015-1-30.
Market Action

November 30, 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% 4.18% 31,759 10.44 2 -0.0592% 1,020.3
Fixed-Floater 4.80% 3.83% 102,080 8.43 7 +0.0284% 1,030.1
Floater 4.46% -23.39% 62,948 6.59 5 +0.0863% 1,038.9
Op. Retract 4.65% -0.83% 81,579 2.24 18 +0.1305% 1,032.8
Split-Share 4.96% 2.89% 142,601 3.31 9 +0.4596% 1,039.8
Interest Bearing 6.92% 5.91% 70,697 3.87 7 -0.0537% 1,021.2
Perpetual-Premium 5.04% 3.41% 207,761 4.06 48 +0.1714% 1,050.0
Perpetual-Discount 4.60% 4.61% 1,094,641 14.20 9 +0.0318% 1,046.4
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.1089% Still bouncing around. It will be most interesting to see what has happened with respect to the annual redemption feature.
FFN.PR.A SplitShare +1.4164% Add this one to the list of Issues I Don’t Understand. At the closing bid of $10.74, this issue has a YTW of 2.66% based on its maturity 2009-12-01 at $10.00. Bond-equivalent is 3.72%, you can do better than that with a three-year Canada.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 96,275 Recent new issue.
SLF.PR.D PerpetualDiscount 51,020 Recent blue-light special.
GWO.PR.I PerpetualDiscount 38,150 Closed at $24.66-69 for a YTW of 4.55% based on a limitMaturity.
BAM.PR.M PerpetualDiscount 25,570 Recent New Issue.
ELF.PR.G PerpetualPremium 25,500 Nesbitt bought every share traded, in six tranches. At the closing bid of $25.41, YTW is 4.63% based on a call at par 2015-11-16.

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

Market Action

November 29, 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% 4.20% 32,632 16.91 2 -0.4784% 1,020.9
Fixed-Floater 4.81% 3.88% 102,696 8.44 7 -0.0333% 1,029.8
Floater 4.47% -22.93% 63,072 6.59 5 +0.0377% 1,038.0
Op. Retract 4.65% -0.58% 81,650 2.24 18 +0.0284% 1,031.5
Split-Share 4.98% 3.15% 144,077 3.32 9 -0.1287% 1,035.0
Interest Bearing 6.91% 5.87% 70,291 3.88 7 -0.1749% 1,021.8
Perpetual-Premium 5.05% 3.44% 209,930 4.11 48 +0.0539% 1,048.2
Perpetual-Discount 4.60% 4.61% 1,101,304 14.22 9 +0.1964% 1,046.1
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.9444% Now with a pre-tax bid-YTW of 3.16%, based on a bid of $10.59 and a maturity 2009-12-01.
CL.PR.B PerpetualPremium +1.4467% Not a big trader, but enough to make it into the index! This now has a pre-tax bid-YTW of -3.63, based on a bid of $26.30 and a call 2007-1-30 at $26.00, which would seem to limit the upside considerably! Buyers appear to be hoping it will last longer, say to a $25.00 call 2011-1-30, which results in a +4.76%, but come on, now! The thing pays $1.5625 – what treasurer will let it live? Canada Life is owned by Great-West Lifeco, who are not known for their complete lack of knowledge regarding the preferred share market.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 193,952 Recent new issue.
ACO.PR.A OperatingRetractible 150,294 This has been showing up a lot lately, on both price and volume counts. Today Nesbitt crossed 150,000 at $28.26 and it closed at 28.10 bid, for a pre-tax YTW of 1.58% based on a call 2008-12-31 at $26.00. Is somebody trying to sell an elephant?
WN.PR.E PerpetualDiscount 125,311 Maybe a PerpetualDiscount now, but not for long, maybe! RBC crossed 100,000 at $25.15 and it closed at $25.15 bid for a limitMaturity of 4.78%.
RY.PR.C PerpetualPremium 102,736 Recent new issue
MFC.PR.C PerpetualDiscount 65,955 Closed at $24.96 bid for a pre-tax YTW of 4.50% based on a limit maturity.

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

Market Action

November 28, 2006

Huh.

Past 11pm and I’ve only just found an internet connection that will allow me to update the prices … somebody’s been improving things again!

Prices have been updated on HIMIPref™ for November 28 but the daily report, I’m afraid, will have to wait. I’ll just quickly note that the volume leaders were BAM.PR.M, CM.PR.I, POW.PR.D, SLF.PR.D & CM.PR.G. Bad performance was registered by AL.PR.F; good performance by BSD.PR.A (which went ex-dividend today).

Update, 2006-11-29

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% 4.10% 32,977 10.48 2 +0.4921% 1,025.8
Fixed-Floater 4.80% 3.85% 105,137 6.68 7 +0.0341% 1,030.2
Floater 4.47% -22.96% 63,379 6.59 5 +0.0393% 1,037.6
Op. Retract 4.65% -0.23% 81,911 2.24 18 +0.1564% 1,031.2
Split-Share 4.98% 3.10% 144,946 3.32 9 +0.0806% 1,036.4
Interest Bearing 6.90% 5.62% 68,806 3.88 7 +0.2576% 1,023.6
Perpetual-Premium 5.05% 3.69% 211,468 4.13 48 +0.1393% 1,047.7
Perpetual-Discount 4.60% 4.62% 1,095,008 15.11 9 +0.0902% 1,044.0
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.7000%  
Volume Highlights
Issue Index Volume Notes
BAM.PR.M PerpetualDiscount 360,925  
CM.PR.I PerpetualDiscount 187,383  
POW.PR.D PerpetualPremium 118,855  
SLF.PR.D PerpetualDiscount 79,783  
CM.PR.G PerpetualPremium 75,900  

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

Market Action

November 27, 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% 4.18% 34,341 16.90 2 +0.1415% 1,020.8
Fixed-Floater 4.81% 3.89% 107,367 6.69 7 +0.1592% 1,029.8
Floater 4.47% -22.97% 64,012 6.58 5 +0.2759% 1,037.2
Op. Retract 4.65% 0.26% 81,492 2.24 18 +0.0992% 1,029.6
Split-Share 4.97% 3.22% 146,951 3.31 9 +0.0790% 1,035.5
Interest Bearing 6.90% 5.87% 67,940 3.87 7 +0.2321% 1,020.9
Perpetual-Premium 5.05% 3.74% 211,983 4.32 48 +0.1154% 1,046.2
Perpetual-Discount 4.60% 4.63% 1,072,456 16.17 9 +0.2252% 1,043.1
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet -1.8169% Losing some of Friday’s move, but still with a pre-tax YTW of only 1.57% based on a bid of $28.10 and a call 2008-12-31 at $26.00.
BSD.PR.A InterestBearing +1.0101% Whereas this one is building on Friday’s gains! Pre-tax YTW of 6.24%, based on a bid of $10.00 and a maturity 2015-3-31 at par. It goes ex-dividend tomorrow, Nov. 28, for those who are wondering how an issue with a 6.00% coupon priced at par can have a YTW of 6.24%.
RY.PR.B PerpetualPremium +1.0526% Huh! The day after I called it a shade expensive, it skyrockets. But I mean, holy smokes, look at the pre-tax YTWs:  

  • RY.PR.A 4.47%
  • RY.PR.B 4.23%
  • RY.PR.C 4.55%
  • RY.PR.W 4.21%

Someday, I’m sure, I’ll understand this market. But not just yet.
BC.PR.C FixedFloater +1.0950% This one now recovering somewhat from yesterday’s drop.
CM.PR.H PerpetualPremium +1.3774% Now has a pre-tax YTW of 4.41% based on a call 2014-4-29 at $25.00 and a bid of $25.76. Still, I call it a little expensive … not much, just a little, mainly because of optionDoubt.
Volume Highlights
Issue Index Volume Notes
BAM.PR.M PerpetualDiscount 283,500 Recent new issue
CM.PR.I PerpetualDiscount 212,142 Another recent new issue.
GWO.PR.X OpRet 52,393 Scotia crossed 50,000 at $27.53. Closed at $27.50-55 for a pre-tax bid-YTW of 2.83%, based on a call 2009-10-30 at $26.00. If it survives until its softMaturity 2013-9-29, it will have yielded 3.30% pre-tax … it’s basically bond-equivalent at the soft-maturity … with extra risk if they call it … why buy?
SLF.PR.D PerpetualDiscount 36,578 Continues the high-volume tradition that started with the clearance sale
CM.PR.B PerpetualPremium 34,245 This has been trading quite a bit since called for redemption.

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

Market Action

November 24, 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% 4.13% 32,051 16.87 2 -0.1961% 1,019.3
Fixed-Floater 4.81% 3.88% 107,918 8.98 7 -0.0933% 1,028.2
Floater 4.48% -21.11% 63,591 6.58 5 +0.1580% 1,034.3
Op. Retract 4.66% 0.98% 80,778 2.25 18 +0.0209% 1,028.6
Split-Share 4.97% 3.14% 148,136 3.32 9 +0.0298% 1,034.7
Interest Bearing 6.92% 5.87% 66,915 3.87 7 +0.1651% 1,018.6
Perpetual-Premium 5.06% 3.81% 211,330 4.13 49 +0.0852% 1,045.0
Perpetual-Discount 4.61% 4.63% 1,059,606 15.09 9 +0.3749% 1,040.7
Major Price Changes
Issue Index Change Notes
CM.PR.R OpRet -1.8048% Ha! Yesterday I said “This issue simply looks expensive”, and look what happens! I swing a pretty big stick around here, eh? Either that or I’m simply spouting the obvious. The pre-tax bid-YTW is now 2.68%, based on a price of $26.66 and a call at $25.75 2008-05-30.
BC.PR.C FixedFloater -1.2360% Despite this drop, it remains the issue in the FixedFloater index with the lowest bid-YTW, based on a price of $25.57 and a call 2011-8-31 at $25.00.
RY.PR.A PerpetualDiscount +1.0200% Impressive performance with impressive volume of 90,550 shares! Pre-tax bid-YTW now relatively low in the PerpetualDiscount index (only MFC.PR.C is lower) at 4.50% based on a price of $24.76 and a limitMaturity.
BSD.PR.A InterestBearing +1.0204% On no trading! This one has been bouncing around a lot lately.
ACO.PR.A OpRet +2.0321% It seems like only yesterday I was calling this thing expensive, but it  was Wednesday. Shows how big a stick I swing around here. Still, with the pre-tax YTW now 0.65% based on a bid of $28.62 and a call 2008-12-31 at $26.00 (the buyers appear to be hoping it makes it to the day-before-retraction, so it will have earned a princely 2.64%), I’m sure the oblivious ingrates will get their come-uppance soon. In the medium term? Eventually? Please?
PAY.PR.A Scraps +2.28% I wrote about this one recently: the credit looks OK but I kept my mouth shut about valuation. Today’s massive gain was only a reversal of interim movement, because it closed with the same bid as the post mentioned: $25.57, for a pre-tax bid YTW of 4.06% based on a maturity 2008-7-31 at par.
Volume Highlights
Issue Index Volume Notes
BAM.PR.M PerpetualDiscount 338,043 Recent new issue, and a nice move on the day, closing at 24.75-88 for a pre-tax bid-YTW of 4.82%
SLF.PR.D PerpetualDiscount 187,657 Is everybody else as tired of the constant references to the clearance sale as I am? The blow-out sale was October 25; in the month since then it has returned 2.18%, with the help of an intervening dividend. The only index-included issues to have done better between October 25 & November 24 are: GWO.PR.H (PerpetualPremium), BAM.PR.B (huh? – Floater), POW.PR.D (PerpetualPremium), HSB.PR.D (PerpetualPremium), HPF.PR.B (Not in the indices, but I posted about it lately … it’s doing well just to spite me), LBS.PR.A (SplitShare) and … wait for it … the grand champion, ACO.PR.A, discussed above (OpRet). Still and all, SLF.PR.D’s performance has been quite good. Pre-tax bid-YTW is now 4.57%, based on a bid of $24.27 and a limitMaturity.
RY.PR.A PerpetualDiscount 90,550 Pre-tax bid-YTW of 4.50% based on a bid of $24.76 and a limit maturity.
RY.PR.B PerpetualPremium 59,350 Pre-tax Bid YTW of 4.37% based on a call at par 2015-9-23 and a bid of $25.65. Is the call protection really worth 13bp of yield? Nesbitt processed an internal cross of 55,000 shares at $25.61. I think it’s a shade expensive here, but what do I know?
CM.PR.I PerpetualDiscount 53,481 Recent new issue, now has a pre-tax bid-YTW of 4.73% based on a bid of $24.96.

There were twelve other index-included issues trading over 10,000 shares today.

Market Action

November 23, 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% 4.13% 32,113 10.43 2 +0.2208% 1,021.3
Fixed-Floater 4.81% 3.92% 110,684 11.25 7 +0.1017% 1,029.1
Floater 4.49% -20.78% 63,527 6.56 5 +0.1028% 1,032.7
Op. Retract 4.66% 1.07% 80,575 2.25 18 +0.1223% 1,028.4
Split-Share 4.97% 3.21% 148,345 3.32 9 +0.0985% 1,034.4
Interest Bearing 6.93% 5.91% 67,380 3.87 7 +0.0061% 1,016.9
Perpetual-Premium 5.07% 3.88% 213,285 4.18 49 +0.0803% 1,044.1
Perpetual-Discount 4.63% 4.65% 1,041,900 16.13 9 +0.0515% 1,036.8
Major Price Changes
Issue Index Change Notes
CM.PR.R OpRet +1.1173% Puzzling. It did this on volume of 2,325 shares, roughly average for this issue, and closed at $27.15-40, 2×7, for a pre-tax bid-YTW of 1.42% based on a call 2008-5-30 at 25.75. This is a somewhat unusual issue, in that the premium decline in the call schedule is only $0.15 p.a. The issue pays $1.238 annually, so even taking the premium decline into account, the cost to CIBC is well above what they would pay to issue retractibles now – assuming that they wanted to issue retractibles. And I certainly wouldn’t be enthusiastically taking the risk, hoping to have obtained a yield of 3.61% should they make it to their soft maturity 2013-4-29! This issue simply looks expensive.
Volume Highlights
Issue Index Volume Notes
BAM.PR.M PerpetualDiscount 181,952 Recent new issue, closed at $24.58-65 for a pre-tax bid-YTW of 4.85%
TD.PR.N OpRet 81,420 A similar story to the CM.PR.R, above. This issue closed at $27.50-65, 40×15, for a pre-tax bid-YTW of 2.18% based on a call 2009-5-30 at $26.00. If it makes it to the soft maturity 2014-1-30, it will have yielded 3.10%, which is no great shakes either … 4.34% interest equivalent (at the Ontario Plutocrat Equivalency), you can buy a bank bond of that tenor that pays more!
CM.PR.I PerpetualDiscount 60,090 Recent new issue, closed at 24.90-95 for a pre-tax bid-YTW of 4.74%.
PWF.PR.L PerpetualPremium 55,900 Closed at $26.55-65, for a pre-tax bid-YTW of 4.33%, based on a call at $25.00, 2015-11-30. Somewhat expensive at these prices, I think.
NSI.PR.C Scraps 50,440 This issue commenced trading 2000-10-2 (by conversion from another series – see the 2000 Annual Report) and trades by appointment, so it was interesting to see Scotia crossing 50,000 at $26.60 today. They closed at $26.06-00 … pre-tax bid-YTW of 3.40% based on a call 2009-5-1, ask-YTW of 1.84% based on the same call. Icky! The fact that the retraction price is lower than the call price makes this one of the more interesting issues to analyze … I’ll have to blog about it sometime.

There were eleven other index-included issues trading over 10,000 shares today.

Market Action

November 22, 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% 4.18% 32,386 10.46 2 +0.0400% 1,019.1
Fixed-Floater 4.81% 3.91% 112,265 8.93 7 -0.0056% 1,028.1
Floater 4.49% -20.62% 65,074 6.55 5 +0.0337% 1,031.6
Op. Retract 4.66% 1.13% 80,999 2.25 18 -0.0633% 1,027.1
Split-Share 4.98% 3.24% 150,699 3.32 9 +0.2367% 1,033.4
Interest Bearing 6.93% 5.99% 67,042 3.88 7 +0.0764% 1,016.8
Perpetual-Premium 5.07% 3.94% 216,443 4.22 49 +0.0532% 1,043.3
Perpetual-Discount 4.63% 4.65% 1,044,020 16.13 9 +0.0950% 1,036.3
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare +1.6949% Assisting in some good performance for the SplitShare index for the month to date! Closed at $10.80-89, 16×15, for a bid-side pre-tax YTW of a completely rotten 2.58% based on a maturity 2009-12-1 at $10.00. I don’t get it, frankly. 2.58% as dividends pre-tax is the equivalent of 3.61% interest pre-tax, at the Ontario-Plutocrat-Equivalency-Factor (OPEF) of 1.4 (you thought I was going to link to the glossary, didn’t you? Ha! OPEF is not a real acronym). Anyway, 3.61% interest-equivalent to 2009? You can do better with Canadas! There’s no monkey-business going on with retractions, either, I wouldn’t think – the only possible retraction is at a 4% discount to NAV (if you retract capital units and the company has to buy prefs in the marketplace – they can’t redeem. I wouldn’t think this is a factor, but who knows?
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 216,237 Still trading heavily, despite all my expectations! Closed at 24.10-20, for a bid-YTW of 4.60%.
SLF.PR.C PerpetualDiscount 120,210 Another day of big trading, but this time it closed at $24.09-20, for a bid-YTW of 4.60%. At last its price is congruent with the virtually identical SLF.PR.D! Remember, you read it here first.
BAM.PR.M PerpetualDiscount 87,850 Recent new issue, closed at 24.54-60 for a pre-tax bid-YTW of 4.86%. Not much price movement after the first whack! An attractive issue at these levels.
CM.PR.I PerpetualDiscount 73,426 Yet another recent new issue, closing at $24.90-92 for a pre-tax bid-YTW of 4.74%.
ACO.PR.A OpRet 67,841 This issue again reminds us that there is more to life than recent-new-issue-perpetual-discounts (RNIPD). This time it was Scotia stepping up to the plate to cross 50,000 @ $28.15 (perhaps the commission will pay to settle with Berry!). At the closing bid of $28.20, it has a pre-tax YTW of merely 1.65%, based on a call 2008-12-31 at $26.00. Somebody’s obviously hoping they make it to the softMaturity 2011-11-30, when they will have yielded a more reasonable 3.10%, but you won’t often catch me making that bet!

There were seventeen other index-included issues trading over 10,000 shares today.

Update More on David Berry.