Category: Market Action

Market Action

November 21, 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% 4.18% 31,888 10.47 2 +0.0804% 1,018.7
Fixed-Floater 4.81% 3.90% 114,214 8.93 7 +0.0625% 1,028.2
Floater 4.49% -20.18% 65,007 6.56 5 -0.3206% 1,031.3
Op. Retract 4.66% 0.98% 79,202 2.25 18 -0.0224% 1,027.8
Split-Share 4.99% 3.29% 151,621 3.32 9 +0.3434% 1,031.0
Interest Bearing 6.94% 6.12% 66,549 2.36 7 +0.0317% 1,016.1
Perpetual-Premium 5.08% 3.99% 218,219 4.20 49 -0.0572% 1,042.7
Perpetual-Discount 4.64% 4.66% 1,036,849 16.12 9 -0.0757% 1,035.3
Major Price Changes
Issue Index Change Notes
CGI.PR.C SplitShare +1.0959% Good return for this index today, led by this issue on volume of … 950 shares! Closed at 25.83-97, 3×5, pre-tax bid-YTW of 3.59% based on a softMaturity 2016-6-14.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 189,913 Closed at 24.70-75 for a pre-tax YTW of 4.61%, 10bp more than the RY.PR.A.
MFC.PR.C PerpetualDiscount 168,700 Closed at 24.80-94 for a pre-tax YTW of 4.53%
RY.PR.B PerpetualPremium 144,050 Closed at 25.60-78 for a pre-tax bid-YTW of 4.39%, based on a call at par on 2015-9-23
PWF.PR.L PerpetualPremium 128,360 Closed at 26.36-54 for a pre-tax bid-YTW of 4.43%, based on a call at par on 2015-11-30.
CM.PR.I PerpetualDiscount 119,375 A recent new issue, closed at 24.89-94 for a pre-tax bid-YTW of 4.74%
BAM.PR.M PerpetualDiscount 114,750 An even more recent new issue, closed at 24.53-60 for a pre-tax bid-YTW of 4.86%. Remember that DBRS has this as Pfd-2(low), so it’s not as good quality as the issues listed above!
ACO.PR.A OpRet 104,011 Finally! A non-perpetual issue that is seasoned: issued 2001-7-10. Pre-Tax YTW is 1.68%, based on a call 2008-12-31 at $26.00. Desjardins crossed 100,000 at 28.06.

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

Market Action

November 20, 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% 4.16% 32,268 10.46 2 +0.1807% 1,017.9
Fixed-Floater 4.82% 3.87% 116,924 8.43 7 0.1646% 1,027.5
Floater 4.48% -23.30% 65,196 6.54 5 +0.1500% 1,034.6
Op. Retract 4.66% 0.97% 80,119 2.26 18 -0.0466% 1,028.0
Split-Share 5.01% 3.41% 153,586 3.31 9 -0.0820% 1,027.4
Interest Bearing 6.94% 5.96% 65,965 2.36 7 -0.3524% 1,015.7
Perpetual-Premium 5.07% 4.03% 218,236 4.19 49 +0.0068% 1,043.3
Perpetual-Discount 4.63% 4.65% 1,028,052 16.13 9 -0.2680% 1,036.1
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.2097% Continue to bounce around. No solid news yet about the upcoming retraction event.
Volume Highlights
Issue Index Volume Notes
BAM.PR.M PerpetualDiscount 395,480 New issue
SLF.PR.A PerpetualPremium 334,880 Closed at $25.41-59, with a YTW of 4.44% based on the bid price and a call at $25.00 2014-04-30. It pays $1.1875 – so “call protection” of 30 bp 7.5 years hence is being valued at 18bp p.a., compared to the SLF.PR.D. Whether there are ANY scenarios in which the SLF.PR.A have a better total return is left as an exercise for the reader.
CM.PR.I PerpetualDiscount 69,560 Another recent new issue, closing with a bid-YTW of 4.74%. An attractive issue at $24.88-90.
WN.PR.E PerpetualDiscount 29,978 It’s trying hard to be PerpetualPremium, at 24.96-99, but it’s full of dividend – the next ex-date is on or about 2006-12-13. Bid YTW is 4.81, based on perpetuity.
SLF.PR.D PerpetualDiscount 18,675 Still trading heavily.

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

Market Action

November 17, 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% 4.17% 33,598 16.94 2 -0.1603% 1,016.0
Fixed-Floater 4.82% 3.94% 120,062 12.93 7 -0.0500% 1,025.8
Floater 4.49% -23.33% 65,900 6.52 5 +0.3540% 1,033.0
Op. Retract 4.66% 0.72% 80,926 2.26 18 +0.1157% 1,028.5
Split-Share 5.00% 3.37% 155,337 3.32 9 -0.0510% 1,028.3
Interest Bearing 6.92% 5.72% 66,261 2.04 7 +0.2431% 1,019.3
Perpetual-Premium 5.07% 3.96% 221,242 4.18 49 -0.0143% 1,043.3
Perpetual-Discount 4.59% 4.63% 833,444 16.15 8 +0.0763% 1,038.9
Major Price Changes
Issue Index Change Notes
DFN.PR.A SplitShares -1.0476 These split-shares are non-callable, which is nice … they mature on Dec. 1, 2009, according to their prospectus. And at today’s closing bid of $10.39, they have a yield-to-maturity of 3.95% – equivalent to 5.53% interest for many investors. For a three-year fixed income instrument, that’s not bad!
BSD.PR.A InterestBearing +1.6393% These things have been bouncing around a lot lately, due to a combination of fear of the income-trusts that ultimately back the paper, and the upcoming retraction event.
TOC.PR.B FloatingRate +1.9208% A client of TD Securities appears to have completely lost his mind, as TDS was on the buy side of the last ten trades of this issue, starting with 100 at $26.00 at 10:32am and continuing until 2:26pm with a final buy of 1,000 shares at $26.49. These ten trades accounted for 4,350 of the 7,750 shares traded today; the issue closed at $26.00-40, 1×1, a substantial change from the $25.50 closing bid yesterday. These puppies pay 70% of prime on $25.00 face value, so $1.05 annually. I don’t get it. A floater isn’t even a money market instrument!
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 98,143 The new issue continues to lead the volume list.
SLF.PR.D PerpetualDiscount 26,544 Still seem to be huge chunks of hot shares looking for a home!
BAM.PR.S InterestBearing 24,370 Called for redemption today, effective January 2, 2007.
TD.PR.M OpRet 18,200 Scotia crossed 12,500 at $27.49. At the closing bid of $27.45, these have a pre-tax YTW of 2.34%, based on a call 2009-5-30 … since this is only the equivalent of 3.26% on a bond, we will be charitable and assume the purchasers have good reason to think that it will last until its soft maturity 2013-10-30, when it will have yielded 3.17% pre-tax, interest equivalent of 4.44%, which is roughly maybe sorta equivalent to where TD bonds are trading institutionally. And who knows – maybe the purchasers will be right! Seems like a risky play to me, however, with no upside to compensate for the chance of an early call.
SLF.PR.A PerpetualPremium 14,775 Not the worst issue in town, with a pre-tax YTW of 4.42% based on a bid of $25.72 and a call at $25.00 2014-4-30. This is now ex-dividend, as today was the last day of trading cum-dividend. But I still say it’s expensive. And not just because they not only don’t post dividend information on their website, but use a service that doesn’t allow direct linking! Go to PRNewswire and search for “Sun Life” to verify dividend info, if you don’t trust me.

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

Update, 2006-11-18: I stand corrected on my snarky comment about Sunlife and the alleged lack of preferred share information on their website – see the comments section. I will, however, say that this information is not as easy to find as it should be! “Shareholder FAQs”? What on earth is the information doing in “Shareholder FAQs”? I mean, especially since all the questions refer to preferred shares, why isn’t the information linked on the menu as “Preferred Shares”? And why aren’t there links to the prospectuses?

Yes, I made a mistake and maybe I’m being a little defensive. But they sure made it easy for the mistake to be made!

Market Action

November 16, 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% 4.14% 33,011 10.50 2 -0.0800% 1,017.7
Fixed-Floater 4.82% 3.92% 123,010 14.66 7 -0.0154% 1,026.3
Floater 4.59% -20.21% 65,810 6.53 5 -0.1493% 1,029.4
Op. Retract 4.66% 0.85% 81,264 2.26 18 -0.0057% 1,027.3
Split-Share 5.00% 3.33% 159,050 3.32 9 +0.0760% 1,028.8
Interest Bearing 6.93% 5.74% 64,834 1.90 7 +0.1369% 1,016.8
Perpetual-Premium 5.07% 3.96% 225,362 4.19 49 0.0195% 1,043.4
Perpetual-Discount 4.60% 4.63% 839,160 16.15 8 -0.0501% 1,038.1
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute returns greater than 1% on the day.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 386,640 A new issue, that traded more on its second day of trading than on its first! “What’s up with CM.PR.I?” my correspondent today asked. To which I answer: “Yield!”. That’s the nice thing about fixed-income. Something’s always up. The issue closed today at $24.83-89, 20×252, so there are a lot of people willing to sell the issue at a discount from issue price (or, I should say, at least one person with a lot of shares!) The question regarding why it’s not trading at a premium puzzles me, quite frankly. Look at the Portfolio Evaluation for the Perpetual Premium Index. You’ve got a Sunlife issue there, rated Pfd-1(low) by DBRS, trading just a hair lower (in pre-tax YTW terms) than the IAG.PR.A – which are only Pfd-2(high) and have a much lower volume. The CM.PR.I are not only trading with a higher YTW than the Industrial Alliance issue, but are only six basis points lower-yielding (six PRE-TAX basis points!) than the WN.PR.E, which is only Pfd-2(low). It’s all rather odd, really, but I’ll take a stab at providing not just one, but two explanations: 

  • The issue is being sold by accounts who bought in hopes of a strong rush out of the gates and a quick flip. But too many people are playing that game and the exit door is getting crowded.
  • Everybody who wants a Bank of Commerce preferred is already filled up to the gills with them; the bank has crowded itself out of the marketplace.

Either explanation could be correct – and both could be wrong. Trying to explain day-to-day moves in the markets is a game for fools and journalists, so I don’t do it much … I just try to keep an eye on basic analysis and trust that eventually the zigs will zag my way.
SLF.PR.D PerpetualDiscount 107,805 Closed at 24.25-33, 1×80. Will these things never settle down?
SLF.PR.B PerpetualPremium 98,780 YTW is 4.37% at the closing bid of $25.91, based on a call 2014-10-30 at $25.00. These pay $1.20 p.a., compared to the $1.1125 on the SLF.PR.C and SLF.PR.D, so admittedly there’s a little more interest-rate protection on the Bs than on the latter two issues. But 20-26bp worth? That seems a little extreme.
GWO.PR.X OpRet 64,882 RBC crossed 30,000 at $27.55, then another 30,000 at the same price about 45 minutes later. Maybe the same 30,000? At the closing bid of $27.55, these had a bid-pre-tax-YTW of 2.73%, and a modified-duration-of-worst of 2.75. Huh. That’s the interest equivalent of 3.82% on a three-year bond: I can do better than that with Canadas. Somebody’s betting – actually, everybody’s betting – that they will last until their “soft Maturity” on 2013-9-29, to have yielded a munificent 3.25% (interest equivalent of 4.55% on a seven year bond … about the same as for bonds of comparable tenor and credit.
NA.PR.L PerpetualPremium 55,575 Nesbitt processed an internal cross of 49,000 shares at $25.86. At this prices (which was the closing bid), they have a pre-tax YTW of 4.34%, based on a call 2014-6-14 at $25.00.

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

Market Action

November 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 4.18% 4.13% 32,302 10.53 2 +0.1607% 1,018.5
Fixed-Floater 4.82% 3.92% 124,432 14.71 7 -0.2968% 1,026.5
Floater 4.49% -21.99% 66,172 6.52 5 +0.1663% 1,030.9
Op. Retract 4.66% 1.19% 81,252 2.27 18 +0.0646% 1,027.3
Split-Share 5.00% 3.49% 162,026 3.33 9 +0.0469% 1,028.0
Interest Bearing 6.94% 5.58% 63,579 2.37 7 +0.0142% 1,015.5
Perpetual-Premium 5.07% 4.01% 225,367 4.18 49 0.0112% 1,043.2
Perpetual-Discount 4.59% 4.62% 820,841 14.96 8 +0.0406% 1,038.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute returns greater than 1% on the day.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 288,892 Today was the first day of trading.
IAG.PR.A PerpetualDiscount 202,150 Scotia crossed 100,000 at 25.00, so that was half of it! Yield-to-Worst of 4.65% based on never being called – bid price at the close was 24.96. It pays $1.15 and is priced a little higher than the new CM.PR.I, which pay a little bit more and are a better credit. So go figure.
IGM.PR.A OpRet 143,327 Pre-tax YTW at the closing bid of $28.24 is 2.50%, based on a call 2009-7-30 at $26.00.
CM.PR.B PerpetualPremium 60,120 Has been called for redemption.
SLF.PR.B PerpetualPremium 45,220 Pre-tax YTW of 4.38%, based on a closing bid of $25.90 and a call 2014-10-30 at $25.00.

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

Market Action

November 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 4.18% 4.13% 33,617 10.52 2 +0.0401% 1,016.8
Fixed-Floater 4.81% 3.91% 126,843 13.00 7 +0.0121% 1,029.6
Floater 4.50% -20.29% 65,960 6.52 5 -0.1168% 1,029.2
Op. Retract 4.67% 1.19% 79,687 2.27 18 +0.0255% 1,026.7
Split-Share 5.01% 3.50% 162,372 3.33 9 +0.0022% 1,027.5
Interest Bearing 6.94% 5.70% 63,121 2.37 7 -0.2222% 1,015.3
Perpetual-Premium 5.07% 3.90% 227,615 4.23 49 0.0047% 1,043.1
Perpetual-Discount 4.58% 4.61% 567,932 14.81 7 -0.0051% 1,038.2
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.5228% Traded as low as $9.30 in the morning but found a bid in the afternoon to close at 9.70-78, 10×8. This has been very volatile following the Income Trick or Trust (the underlying security is Income Trusts) – last mention here was November 10th.
Volume Highlights
Issue Index Volume Notes
MFC.PR.B PerpetualPremium 40,875 YTW at the closing bid of 25.44 is only 4.33%, based on a call at $25.00 2014-4-18. Doesn’t seem like much, especially since the MFC.PR.C (which are, if anything, more liquid) are quoted at $25.00-bid to yield 4.47% to a call 2015-4-18. I think both issues are expensive, but what do I know? Since the annual coupon is less than $0.04 different, people seem to be willing to pay a whole lot of money for not very much interest-rate-rise-protection!
SLF.PR.D PerpetualDiscount 39,286 This is getting boring. High volumes in this issue are persisting FOREVER!
CM.PR.B PerpetualPremium 37,700 Another repeater! At least this won’t be around much longer.
MFC.PR.C PerpetualDiscount 34,620 See discussion of MFC.PR.B, above
CM.PR.H PerpetualPremium 34,325 Could be people clearing some shelf-space for the new issue that’s supposed to settle tomorrow. And will, I’m sure! The CM.PR.H closed at $25.45-bid for a pre-tax YTW of 4.58%, based on a call 2014-4-29 at $25.00. The new issue comes with a 4.7% coupon, so should have a pretty good day.

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

Market Action

November 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 4.17% 4.13% 33,771 10.53 2 -0.1799% 1,016.4
Fixed-Floater 4.81% 3.96% 126,440 9.44 7 +0.1189% 1,029.4
Floater 4.50% -22.32% 66,317 6.50 5 +0.1836% 1,030.4
Op. Retract 4.67% 0.97% 80,017 2.27 18 +0.0018% 1,026.4
Split-Share 5.01% 3.53% 166,356 3.33 9 -0.0309% 1,027.5
Interest Bearing 6.93% 5.43% 63,296 2.38 7 -0.0357% 1,017.6
Perpetual-Premium 5.07% 3.92% 229,963 4.23 49 -0.0175% 1,043.0
Perpetual-Discount 4.58% 4.61% 572,040 16.18 7 +0.0697% 1,038.3
Major Price Changes
Issue Index Change Notes
BAM.PR.H OpRet +1.5062% Traded in a narrow range today, between 27.56 and 27.62, closing at $27.63-79, 2×11. Pre-tax bid-YTW is now a skimpy 2.13%, based on a call at 25.75 2008-10-30.
Volume Highlights
Issue Index Volume Notes
CU.PR.V Scraps 100,000 Nesbitt crossed 100,000 @ 25.40 in the day’s only trade. The same 100,000 that they crossed on November 8, perhaps?
CU.PR.T Scraps 91,100 Nesbitt crossed 90,000 @ 25.60 and it closed at $25.02-74. Drive a truck through that spread! This issue was also discussed on November 8.
SLF.PR.D PerpetualDiscount 33,045 Down 0.2058% on the day (i.e.: a nickel). I’m getting awfully tired of referring to the Clearance Sale.
CM.PR.B PerpetualPremium 13,500 Will be redeemed in January.
SLF.PR.B PerpetualPremium 12,388 Closed at 25.70-77, 20×12. Now has a pre-tax YTW of 4.49% based on a call 2014-10-30 at $25.00. It’s interesting to compare this with the SLF.PR.A, which have a pre-tax YTW of only 4.36% based on a call 2014-04-30. You sure get a lot of yield by extending term half-a-year, eh? The term of the YTW isn’t the be-all and end-all of the analysis, of course, but according to me (OK, well, according to HIMIPref™) curvePrice of the B is 25.79; of the A $25.41. Closing quotes are 25.70-77 (pretty close) and 25.80-92 (yech!) respectively.

There was only one other index-included issues trading over 10,000 shares today.

Market Action

November 10, 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 4.15% 4.10% 35,185 10.58 2 -0.0600% 1,018.3
Fixed-Floater 4.81% 3.96% 129,240 13.41 7 +0.0623% 1,028.2
Floater 4.51% -20.34% 67,182 6.51 5 +0.1193% 1,028.5
Op. Retract 4.67% 0.50% 80,537 2.28 18 -0.0129% 1,026.4
Split-Share 5.01% 3.54% 170,350 3.34 9 0.0137% 1,027.8
Interest Bearing 6.92% 5.32% 62,737 2.39 7 -0.3642% 1,017.9
Perpetual-Premium 5.07% 3.85% 236,060 3.85 49 -0.0161% 1,043.2
Perpetual-Discount 4.58% 4.61% 580,187 16.18 7 +0.1522% 1,037.5
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.2109% Plunges again! Sure has been volatile, lately.
FCN.PR.A InterestBearing -1.0837% What goes up, must come down! Sometimes, anyway.
Volume Highlights
Issue Index Volume Notes
BCE.PR.Z FixedFloater 225,763  
SLF.PR.C PerpetualDiscount 144,610  
GWO.PR.X OpRet 104,531  
SLF.PR.D PerpetualDiscount 41,700 Up a lot today! Gained 0.8717% (bid/bid); recovering from the sale.
CM.PR.B PerpetualPremium 27,180 Will be redeemed in January.

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

Market Action

November 9, 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 4.14% 4.08% 35,174 10.59 2 0.2612% 1,018.9
Fixed-Floater 4.82% 3.98% 131,337 15.27 7 +0.6388% 1,027.6
Floater 4.51% -19.47% 67,819 6.52 5 -0.0711% 1,027.3
Op. Retract 4.66% 0.73% 80,953 2.28 18 -0.0132% 1,026.5
Split-Share 5.01% 3.51% 172,327 3.51 9 0.1017% 1,027.7
Interest Bearing 6.90% 4.93% 61,925 1.93 7 +0.2434% 1,021.7
Perpetual-Premium 5.07% 3.91% 240,929 3.91 49 +0.0461% 1,043.4
Perpetual-Discount 4.58% 4.62% 581,675 16.15 7 +0.1101% 1,036.0
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.0194% Continues to recover from the November 7 plunge, closing at $9.91-99, 3×3
BCE.PR.Z FixedFloater +2.9857% Recovers most of the ground lost yesterday, closing at $25.18-25, 5×10 on volume of 2,690 shares. The low for the day was $25.10.
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 207,380 Nesbitt crossed 200,000 at 25.90 just before 10am, leading one to suspect that these were the same 200,000 shares as they crossed yesterday.
MFC.PR.C PerpetualDiscount 75,800 Don’t let its index assignment fool you! These closed today at 25.05-09, 19×10, but aren’t as close to inclusion in PerpetualPremium as you might think. YTW is 4.54% based on a limitMaturity, 2036-11-09. “Huh?” you inquire? These things are full of dividend, having a record date of November 15, and therefore go ex-dividend tomorrow (Rememberance Day).
BAM.PR.K Floater 50,000 On one trade, a cross by Scotia at $24.55.
SLF.PR.D PerpetualDiscount 46,515 Up a bit today. Volume continues to be heavy after the clearance sale.
HSB.PR.D PerpetualPremium 45,800 National crossed 37,100 at 26.65; they closed at $26.64-78, 3×9. YTW is 4.16% based on a call 2015-1-30, which seems pretty skimpy.

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

Market Action

November 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 4.15% 4.09% 35,862 10.58 2 -0.1001% 1,016.2
Fixed-Floater 4.85% 4.03% 134,147 16.96 7 -0.6917% 1,021.0
Floater 4.51% -19.81% 66,942 6.52 5 -0.1258% 1,028.0
Op. Retract 4.66% 0.81% 81,840 2.28 18 0.0150% 1,026.6
Split-Share 5.01% 3.54% 174,440 3.54 9 0.0878% 1,026.6
Interest Bearing 6.92% 5.03% 61,985 1.92 7 +0.2520% 1,019.2
Perpetual-Premium 5.07% 3.92% 243,551 3.92 49 +0.0430% 1,042.9
Perpetual-Discount 4.59% 4.63% 584,513 16.14 7 +0.0871% 1,034.8
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater -3.7780% Closed at $24.45-13, 13×7. A few shares actually traded as low as $23.72; total volume was 5,681 shares, a little above average for this issue but not remarkably so. I guess a few investors have decided that the offer at $25.75 just ain’t gonna happen!
BCE.PR.R FixedFloater -1.1346% Closed at $25.27-55, 7×3 on highish-but-not-extremely-so volume of 6,300 shares. Just as above: maybe retail now figures that offer at $26.05 just ain’t gonna happen!
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 206,220 Nesbitt crossed 200,000 at $25.90. At the closing bid of $25.87, this issue has a pre-tax YTW of 4.38% based on a call at $25.00 2010-12-30.
RY.PR.C PerpetualDiscount 132,200 Recent new issue
CU.PR.T Scraps 110,000 Nesbitt crossed 110,000 at $25.60 and it closed at 25.28-77. This is a silly issue. It is currently redeemable at $25.00, pays $1.475, and has a pre-tax YTW of -11.82% based on an immediate call. There are 2,277,675 shares outstanding, for a quoted market value of just over $58-million. So it pays a lot, attracts listing fees and is generally a prime candidate for being called. But it isn’t called! According to the company’s third-quarter statement “on October 11, 2006, the AEUB issued a decision which resulted in no significant impact on earnings. Among other things, the decision upheld ATCO’s treatment of pension costs and approved the continued use of preferred shares. In addition, the decision approved minimal changes to head office rent expense and executive compensation.” When we look at the actual decision, we find “CG submitted that the Board should address what proportion of the capital structure, if any,equity preferred shares should constitute. CG further submitted that the Board should direct AU to redeem the series Q, R and S preferred shares which are open for redemption and that this would result in the preferred share level falling to a more appropriate level of about 3%.” In other words, these things only exist due to regulatory boneheadism and game-playing thereof. Too risky. Ick.
CU.PR.V Scraps 100,000 Nesbitt crossed 100,000 at $25.40 – it closed at 25.26-42. Currently callable at $25.00, pays $1.325, CU is a Pfd-2(high) issuer by DBRS. See above discussion of CU.PR.T. Ah, the joys of regulated cost-plus financing!
W.PR.H PerpetualPremium 69,300 Scotia crossed 68,500 at $26.50. At the closing bid of $26.49, this has a YTW of 4.49% based on a call 2013-2-14. It pays $1.375 and has no declining-call-premium period to complicate things, so one could regard this as a reasonably defensive perpetual issue (in that rates will have to go up substantially before it trades below par). But I think its expensive.

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