Category: Market Action

Market Action

November 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 4.13% 4.08% 35,841 10.61 2 +0.2625% 1,017.2
Fixed-Floater 4.81% 3.85% 133,535 12.98 7 +0.2093% 1,028.2
Floater 4.50% -20.77% 68,450 6.52 5 +0.1108% 1,029.3
Op. Retract 4.66% 0.82% 82,708 2.28 18 0.2364% 1,026.5
Split-Share 5.02% 3.58% 178,784 3.58 9 0.1570% 1,025.7
Interest Bearing 6.93% 5.46% 61,395 1.92 7 +0.0339% 1,016.6
Perpetual-Premium 5.07% 3.99% 245,507 3.99 49 +0.0874% 1,042.5
Perpetual-Discount 4.59% 4.63% 589,465 16.14 7 -0.1038% 1,033.9
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.9076% Dived to $9.77-99, but only an odd-lot of 35 shares traded at the bid – the official day’s low was $9.89. I commented on this issue on November 3: it’s not such a bad issue that it should be trading to yield 6.58% at the bid! I suspect that a lot of this volatility is caused by holders of matched units selling everything so that, essentially, a speculator has to be found to buy the capital units and a preferred security investor has to be found for the prefs … but I have nothing to back up this speculation except logic, and we all know how dangerous that is!
STW.PR.A InterestBearing +1.1000% Continues to bounce, as it has for the last three days … see above. This time it did it on volume of 48,552 shares, closing at $10.11-23, 1×30.
FCN.PR.A InterestBearing +1.1000% This one was discussed on November 1, so I’ll try not to repeat myself. Closed at $10.11-35, 10×10, on volume of 20,720 shares. I suspect it’s a little expensive there, due to the structure of FCN. On the positive side, there is an asset coverage test of 1.4:1 … less than that and the capital units don’t get any distributions. On the negative side, the Capital Unit holders can retract every March and the prefs are then callable at par (if they would then comprise more than 40% of Total Assets – the manager has no obligation to maintain a matched number of shares. The NAV (applicable to Capital Units) on November 6 was $20.59 according to the manager and FCN.UN closed at $18.92-19 today, according to the TSX. I suspect that buying a basket of trusts, on a leveraged basis, at an 8%+ discount, cashable in 5-months, will strike some as being an attractive speculation … and there fore that there will be a LOT of redemptions next March!
GWO.PR.E OpRet +1.3031% Nice to get away from all these Income-Trust-Split-Corps! Some small-time late buying by Scotia and HSBC (totalling 1505 shares!) took the price upupUP and it closed at $27.21-29, 5×4. Rather expensive there, if you ask me, with a Pre-Tax YTW of 2.04% based on a call 2009-4-30.
Volume Highlights
Issue Index Volume Notes
WN.PR.D PerpetualPremium 43,750 Scotia crossed 40,000 at $26.30, which was the closing bid. Pre-tax YTW of 4.52% based on a call 2014-10-31. Not a lot when bank perpetuals are being issued to yield 4.70%.
WN.PR.C PerpetualPremium 31,400 Scotia crossed 30,400 @26.30. YTW 4.51% based on a call 2014-7-31. Yeah, these look kind of expensive too.
NA.PR.L PerpetualPremium 25,640 Closed at $25.73-77, 24×3. The pre-tax bid-YTW here is 4.41%, based on a 2014-6-14 call. These are Pfd-1(low)s, compared to Weston’s Pfd-2(low).
RY.PR.C PerpetualPremium 25,600 Not a lot of action, really, seeing as how the issue’s not even a week old.
WFS.PR.A SplitShare 59,000 Nice to see a split share make the volume table on merit, even after accounting for the lower price! This is a perennially attractive issue, now yielding 3.91% to its maturity 2011-6-30.

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

Market Action

November 6, 2006

Still behind, but moving fast! Index values will be updated in the extremely near future!

Index values updated 2006-11-07

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% 4.07% 37,124 10.57 2 +0.1007% 1,014.6
Fixed-Floater 4.82% 3.89% 135,608 10.71 7 +0.1258% 1,026.0
Floater 4.51% -20.51% 69,748 6.51 5 +0.0961% 1,028.2
Op. Retract 4.68% 1.22% 82,395 2.28 18 0.0848% 1,024.1
Split-Share 5.02% 3.64% 179,979 3.35 9 0.1733% 1,024.1
Interest Bearing 6.93% 5.54% 58,957 2.41 7 -0.0916% 1,016.3
Perpetual-Premium 5.08% 3.94% 247,776 3.94 49 +0.0081% 1,041.6
Perpetual-Discount 4.59% 4.62% 596,718 16.15 7 -0.1036% 1,035.0
Major Price Changes
Issue Index Change Notes
STW.PR.A InterestBearing -1.5748% Still bouncing around, as it has for the last two days.
ACO.PR.A PerpetualPremium +1.2545% This went ex-dividend today, but nobody noticed! At the bid of $27.84, it has a YTW of 1.98% based on a call 2008-12-31 … yield will have been 3.24% if it survives until 2011-11-30.
Volume Highlights
Issue Index Volume Notes
RY.PR.C PerpetualPremium 210,425 Recent New Issue
HSB.PR.D PerpetualPremium 60,200 Scotia crossed 60,000 @ 26.65. The Pre-Tax YTW is 4.14% based on a call 2015-1-30.
PWF.PR.L PerpetualPremium 59,635 Scotia crossed 50,000 @ 26.59. The Pre-Tax YTW is 4.32% based on a call 2015-11-30 … which makes you wonder who bought the HSB.PR.D!
CM.PR.B PerpetualPremium 57,630 Perhaps this is people cashing out of the called issue to buy the new one?
RY.PR.B PerpetualPremium 33,115 YTW of 4.42% based on a call 2015-9-23. OK, so maybe buyers of HSB.PR.D are full up of PWF.PR.L and buy another name. But why are buyers going after the RY.PR.B when the RY.PR.C yields 13bp more? Can a slightly lower chance of a call (and calls are good, remember!) really be worth that much?

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

Market Action

November 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 4.14% 4.06% 41,662 10.58 2 -0.6366% 1,012.7
Fixed-Floater 4.83% 3.98% 140,659 12.97 7 -0.3718% 1,023.3
Floater 4.52% -15.65% 73,056 6.50 5 -0.1186% 1,021.7
Op. Retract 4.68% 1.75% 86,760 2.30 17 0.1302% 1,022.7
Split-Share 5.03% 3.65% 186,268 3.36 9 0.0467% 1,022.9
Interest Bearing 6.89% 4.30% 57,813 2.43 7 -0.1999% 1,022.2
Perpetual-Premium 5.08% 4.04% 252,736 4.27 49 0.0001% 1,039.5
Perpetual-Discount 4.59% 5.62% 610,937 16.17 7 0.2497% 1,035.2
Major Price Changes
Issue Index Change Notes
FCN.PR.A InterestBearing -1.8719% Income Trusts ultimately back up this one, on a miserable day for income trusts! On June 30, 2006, the fund had $152-million in assets to cover $68-million in prefs. Applying an the prospectus, distributions cannot be made to the Capital Unit holders unless coverage exceeds 1.4:1, so it seems reasonable still. But panic panic panic on the TSX!
ENB.PR.A PerpetualPremium -1.8655%  
BCE.PR.S RatchetRate -1.2490% Closed at $24.51-86. Looks like the market feels the offer at $25.60 won’t be happening!
BC.PR.C FixedFloater -1.1978% Closed at $25.57-77. Looks like the market feels the offer at $26.25 won’t be happening!
MST.PR.A InterestBearing +1.0476% With a name like “Multi-Select Trust” it went up? It gets it come-uppance tomorrow!
Volume Highlights
Issue Index Volume Notes
RY.PR.C PerpetualPremium 239,875 New Issue
SLF.PR.D PerpetualDiscount 86,890 Clearance Sale continues!
BSD.PR.A InterestBearing 85,791 Backed by Income Trusts!
WN.PR.E PerpetualDiscount 70,532  
GWO.PR.X OpRet 52,453  

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

Market Action

November 3, 2006

When it rains, it pours! I have again been unable to get to the index rebalancing, but will do the daily return and volume charts. Monday! I’ll update the indices Monday! (unless the roof falls in)

Update 2006-11-7

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% 4.07% 38,445 10.58 2 +0.3444% 1,013.6
Fixed-Floater 4.83% 3.98% 139,618 9.01 7 +0.0295% 1024.7
Floater 4.51% -19.22% 70,655 6.53 5 +0.2632% 1,027.2
Op. Retract 4.67% 1.19% 83,496 2.29 18 -0.0444% 1,023.2
Split-Share 5.03% 3.71% 182,023 3.36 9 0.1228% 1,022.4
Interest Bearing 6.93% 5.41% 58,898 2.42 7 0.0786% 1,017.2
Perpetual-Premium 5.07% 3.92% 247,576 3.92 49 +0.0681% 1,041.5
Perpetual-Discount 4.58% 4.62% 603,240 16.17 7 -0.0342% 1,036.1

End of 2006-11-7 Update

Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.0989% Yet another apparent victim of “I-don’t-want-anything-to-do-with-income-trusts!” syndrome, as this one is also ultimately dependent upon a portfolio of Canada’s favourite investment. According to their June 30, 2006 financial statement, they had assets of $154-million to cover preferred securities of $68-million (rounded figures). Applying yesterday’s approximation of a 15.4% loss since then, we are left with $130-million in assets, for a coverage ratio of 1.9:1. This is not as good as the two other Income Trust based prefs examined earlier, but is still a long way away from panic time. This issue will not pay distributions to the capital unit holders if the coverage is less than 1.4:1. YTW at the bid of 9.90 is 6.33% based on a maturity 2015-3-31.
STW.PR.A InterestBearing +1.6000% Bouncing back from yesterday! Pre-tax YTW is 5.60% based on a bid price of $10.16 and a maturity 2009-12-31.
Volume Highlights
Issue Index Volume Notes
WN.PR.E PerpetualDiscount 63,053 Closed at $24.95-00, making a determined effort to get into “PerpetualPremium” territory! The bid-side YTW is 4.87%, based on a call at $25.00, 2015-7-31.
PIC.PR.A SplitShare 58,842 RBC sold 10,000 to Scotia @ 16.02, then crossed 38,989 @ $16.03 for delayed delivery. Pre-tax YTW is 3.92% based on a maturity 2010-11-1.
BC.PR.C FixedFloater 53,188 Scotia crossed 50,000 @ $25.60 in the final minutes of trading.
SLF.PR.D PerpetualDiscount 43,250 The clearance sale mentality returned a little today, as the issue slipped a bit, to close at $24.06-09. The extremely comparable SLF.PR.C were quoted at $24.45-50.
CM.PR.H PerpetualPremium 41,475 A good day for this issue, which gained 35bp on the day (bid/bid). YTW at the closing bid of $25.80 was 4.34%, based on a call 2014-4-29 @ $25.00. I’d be tempted to call this a result of money switching out of the CM.PR.B, which were called for redemption today … but the volume on the Bs was only 16,463 and the redemption has been anticipated for quite a while.

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

Market Action

November 2, 2006

Not only do I have to do the rebalancing for November month-end, but a lot of things have been piling up this week to soak away my time! I will do the volume and price change reports tonight, but the index levels will have to wait until tomorrow. Sorry!

Update 2006-11-7

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% 4.08% 39,965 10.54 2 -0.2611% 1,010.1
Fixed-Floater 4.83% 3.97% 137,276 12.98 7 +0.1140% 1,024.4
Floater 4.52% -18.83% 70,995 6.49 5 +0.2796% 1,024.5
Op. Retract 4.67% 1.30% 84,595 2.29 18 0.0976% 1,023.7
Split-Share 5.04% 3.74% 184,790 3.36 9 -0.1743% 1021.1
Interest Bearing 6.93% 5.52% 58,231 2.43 7 -0.1667% 1,016.4
Perpetual-Premium 5.08% 3.85% 250,223 3.85 49 +0.1257% 1,040.8
Perpetual-Discount 4.58% 4.61% 604,477 16.18 7 +0.1167% 1036.4

End of 2006-11-7 update

Major Price Changes
Issue Index Change Notes
MST.PR.A InterestBearing -2.7333% The underlying interest for this issue is … income trusts! June 30, 2006, the fund had assets of about $127.8-million to cover preferred securities of $53.2-million: asset coverage of 2.40:1. If we have a look at the Capped Income Trust Index ETF (Symbol : XTR), we see it closed at $15.58 on June 30, compared to $13.19 today, a loss of about 15.4%. This would imply net assets of MST.UN of $108-million to cover the $53.2-million prefs … more than 2:1, still quite adequate. No need to panic just quite yet! The YTW is now 5.48% to a maturity on 2009-9-30.
STW.PR.A InterestBearing -1.8646 The underlying interest for this issue is a vehicle called COMPASS … and COMPASS is … an Income Trust Fund! On Jun 30, 2006, this fund had assets of $184-million to cover preferred securities worth $72.4-million : asset coverage of 2.54:1. Reduce assets by 15.4%, as above, estimate assets to be now $155-million. Still in excess of 2.0:1, no need for any throat-cutting. YTW is now 6.16%, based on a 2009-12-31 maturity.
AL.PR.E Floater +1.5578% On zero volume!
ENB.PR.A PerpetualPremium +1.6634% A big bounce back from a steep drop yesterday. At a bid price of $25.67, it is now trading with a YTW of 0.97%, based on a call 2007-1-1 at $25.25. If it survives until its 2008-1-1 call at $25, it will have yielded 3.98%. Given that the issue pays $1.375 and Enbridge can save $0.25 by waiting a year, it may well make it to the later date.
Volume Highlights
Issue Index Volume Notes
CM.PR.G PerpetualPremium 102,735 MacDougall bought 100,000 from RBC (in two tranches: one lot was of 100 shares!) @ 27.05.
GWO.PR.G PerpetualPremium 94,434 RBC sold 20,000 to Desjardins and 63,700 to Scotia, both lots trading at $26.85.
RY.PR.C PerpetualPremium 61,670 A steady day for the new issue: it closed a little better than yesterday at 25.18-22, 3×50
CU.PR.A PerpetualPremium 50,000 The only trade was a purchase by MacDougall of 50,000 @ 27.21 from RBC. It pays $1.45, so the issuer may just wish to call it without taking advantage of the $0.25 p.a. declining premium – if this happens, the 2008-3-31 call will result in a yield of 2.93%.
SLF.PR.D PerpetualDiscount 49,103 Only just on the high-volume charts! The clearance sale is definitely winding down … but how long until the price recovers? If anything, the issue should be priced higher (not much higher!) than SLF.PR.C, which closed 40-ish cents better than SLF.PR.D.

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

Market Action

October 31, 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 4.11% 4.03% 42,749 10.68 2 -0.1794% 1,019.2
Fixed-Floater 5.00% 2.75% 151,045 10.65 7 +0.0864% 1,027.1
Floater 4.52% -16.01% 74,789 6.52 5 0.0635% 1,022.9
Op. Retract 4.67% 1.94% 89,693 2.37 17 0.0859% 1,021.3
Split-Share 4.95% 3.47% 157,739 3.26 11 0.0075% 1,022.4
Interest Bearing 6.88% 5.16% 57,457 1.97 7 0.0257% 1,024.2
Perpetual-Premium 5.07% 3.88% 213,084 4.32 47 0.1516% 1,039.5
Perpetual-Discount 4.60% 4.63% 604,494 16.15 7 0.1804% 1,032.6
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixedFloater +1.1111% Just a reversal of yesterday’s loss, really : a handful of shares traded just above $25.50. Closed at 25.48-56, 5×5.
Volume Highlights
Issue Index Volume Notes
GWO.PR.X OpRet 307,528 National sold 150,000 @27.55 to Nesbitt, Scotia & Desjardins in the late afternoon. Pre-tax YTW 2.69% based on a bid of $27.55 and a call 2009-10-30 @ $26.00. It only pays $1.20, so it might possibly make it to 2013-9-29, having yielded 3.23%.
ACO.PR.A OpRet 276,511 Nesbitt processed an internal cross of 275,000 @ 27.89. Pre-tax YTW of 2.94%, based on a bid of $27.65 and a call 2008-12-31 @ $26.00. It pays $1.4375, so its chances of making it further along the redemption trail are … not good.
SLF.PR.D PerpetualDiscount 91,007 The clean-out sale continues, but at a slower pace!
SLF.PR.B PerpetualPremium 81,885 A bit, but not much, expensive I’d say, closing at $25.56-63 for a pre-tax YTW of 4.55% based on a call @ $25.00 on 2014-10-30.
PWF.PR.D OpRet 70,700 Nesbitt processed an internal cross at $27.18 in the only trade of the day. This issue has trade enough this month that it will be back in the index after rebalancing.

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

Market Action

October 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 4.11% 3.99% 42,872 10.67 2 -0.0798% 1,021.0
Fixed-Floater 5.00% 2.83% 153,742 6.11 7 -0.0066% 1,026.2
Floater 4.52% -15.94% 75,151 6.51 5 0.1115% 1,022.2
Op. Retract 4.68% 2.30% 89,145 2.37 17 -0.0108% 1,020.5
Split-Share 4.95% 3.64% 159,085 3.64 11 0.0562% 1,022.3
Interest Bearing 6.88% 5.11% 56,689 1.98 7 -0.1196% 1,023.9
Perpetual-Premium 5.08% 3.97% 213,795 4.36 47 -0.0275% 1,037.9
Perpetual-Discount 4.61% 4.64% 604,467 16.14 7 -0.0636% 1,030.8
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.3699% Now with a pre-tax YTW of 6.04%, based on a bid of $10.08 and a maturity 2015-03-31
BCE.PR.R FixedFloater -1.2640% Looks like a trade of 400 shares at 3:36pm at $25.40 took out the bid and left the next bid at $25.20
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 399,590 See SLF.PR.D : Clearance Sale Winding Down?. It doesn’t look like it, at least as far as volume goes!
CM.PR.G PerpetualPremium 184,770 Nesbitt processed an internal cross of 130,000 shares @26.95, Scotia crossed 50,000 @ $26.96. YTW 4.11% based on a call 2010-5-31 @ $26.00. Pays $1.35 with a $0.25 annual decline in premium, so it could very well hang on until the $25.00 call 2014-5-31 to have yielded 4.22% … unless interest rates move!
CM.PR.A OpRet 170,660 BMO crossed 65,000 for cash at $26.81, then bought 100,000 for cash from Desjardins at the same price. Odd. They’re nowhere near their ex-Date. I commented on this issue on October 26
MFC.PR.B PerpetualPremium 50,195 BMO bought 14,600 from National @ $25.39, then another 10,700 at the same price.
LBS.PR.A SplitShare 116,200 Recent new issue

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

Market Action

October 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 4.10% 3.98% 41,831 10.69 2 0.2070% 1,021.9
Fixed-Floater 4.96% 3.02% 156,139 8.71 7 -0.0220% 1,026.3
Floater 4.52% -15.64% 75,477 6.50 5 0.1433% 1,021.1
Op. Retract 4.68% 2.10% 88,489 2.38 17 0.0630% 1,020.6
Split-Share 4.95% 3.81% 158,927 3.81 11 -0.1049% 1,021.8
Interest Bearing 6.87% 4.88% 56,317 1.99 7 0.2525% 1,025.2
Perpetual-Premium 5.08% 3.83% 214,042 4.28 47 0.1284% 1,038.2
Perpetual-Discount 4.60% 4.63% 584,352 16.15 7 -0.0630% 1,031.4
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 327,930 See SLF.PR.D : Clearance Sale Winding Down?
RY.PR.A PerpetualDiscount 67,545  
CM.PR.R OpRet 42,400  
CM.PR.A OpRet 39,726  
GWO.PR.I PerpetualDiscount 37,920  

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

Market Action

October 26, 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 4.10% 4.02% 42,284 10.66 2 0.0000% 1,019.7
Fixed-Floater 4.96% 3.56% 159,126 8.71 7 -0.0157% 1,026.5
Floater 4.53% -14.49% 74,873 6.50 5 -0.0237% 1,019.6
Op. Retract 4.67% 2.17% 87,729 2.38 17 0.0664% 1,019.9
Split-Share 4.93% 3.76% 159,658 3.76 11 0.0538% 1,022.8
Interest Bearing 6.89% 5.34% 56,770 2.00 7 -0.1479% 1,022.6
Perpetual-Premium 5.09% 3.94% 213,929 4.37 47 0.0426% 1,036.8
Perpetual-Discount 4.60% 4.63% 561,841 16.16 7 0.0468% 1,032.1
Major Price Changes
Issue Index Change Notes
MST.PR.A InterestBearing -1.2346% Reverses yesterday’s gains to close with a much more reasonable bid-YTW of 5.14%.
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 493,956 Another huge day! See SLF.PR.D : Inventory Blow-out Sale!. No significant price movement.
ELF.PR.G PerpetualPremium 237,855 RBC crossed 75,000 at the opening at $25.15, then 100,000 @ $25.12, followed by 56,000 @ $25.13. Since this was a recent RBC bought deal, one may speculate that this was the clearance sale for this issue.
CM.PR.A OpRet 181,581 Desjardins crossed 180,000 @ $26.78 for cash. The short-settlement was probably client-driven, since this went ex-dividend September 26. I don’t understand the lofty price on this thing, though … the YTW is a piddly 1.14%, based on a closing bid of $26.87 and a call 2007-11-30 at $25.75. There will be those that place a high probability on the “Survive Until the 2011 call @ $25.00 and pay $1.35 p.a. in the meantime” scenario, but I’m not about to put my money behind that idea! Retractables are treated as bonds for capital adequacy purposes, and can be issued to pay less than a buck.
SLF.PR.C PerpetualDiscount 181,570 BMO bought 50,000 from Scotia @ $24.40. Given that the issues are so similar, I’ll bet a nickel that the seller’s proceeds went right into SLF.PR.D. But who … who would buy this stuff? Ticket size doesn’t seem like a sensible consideration, because even if the underwriters turned down your order for 50,000 (hah!), on a day like today you could probably fill it with 500 buys of 100 shares apiece! Short covering, maybe? Except that SLF.PR.C has traded below SLF.PR.D since the latter’s issuance, so that doesn’t really work either.
RY.PR.W PerpetualPremium 110,153 Day’s high: $26.15. Day’s low: $26.10. Boring!

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

Market Action

October 25, 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 4.11% 4.03% 43,821 10.66 2 0.0598% 1,019.7
Fixed-Floater 4.96% 3.16% 162,573 6.49 7 -0.0165% 1,026.6
Floater 4.53% -15.02% 74,843 6.49 5 0.0716% 1,019.9
Op. Retract 4.68% 2.00% 86,929 2.38 17 0.0422% 1,019.2
Split-Share 4.94% 3.77% 159,387 3.27 11 0.0158% 1,022.3
Interest Bearing 6.88% 5.15% 56,321 2.00 7 0.1364% 1,024.1
Perpetual-Premium 5.09% 3.94% 211,798 4.26 47 -0.0254% 1,036.4
Perpetual-Discount 4.60% 4.63% 538,163 16.16 7 -0.5466% 1,031.6
Major Price Changes
Issue Index Change Notes
SLF.PR.D PerpetualDiscount -2.6369% The underwriters are unloading (have unloaded?) their inventory! See SLF.PR.D : Inventory Blow-out Sale!
MST.PR.A InterestBearing +1.1527% Now has a pre-tax YTW of 4.66%, based on a bid price of $10.53 and a maturity at $10.00 on 2009-9-30. Only 4.66% on three-year paper rated Pfd-2(low) by DBRS? That’s getting close to what you can do in the regular bond market … commissions and spreads become very important!
Volume Highlights
Issue Index Volume Notes
SLF.PR.D PerpetualDiscount 666,550 Huge day! See SLF.PR.D : Inventory Blow-out Sale!
CM.PR.A OperatingRetractible 304,950 Scotia crossed 200,000 @ 26.78, then Desjardins crossed 100,000 at the same price. Pre-tax YTW of 2.01% based on a closing bid of $26.62 and a call 2007-11-30 … realized yield will have been 3.82% if it survives until its softMaturity 2011-7-30.
RY.PR.W PerpetualPremium 258,170 Scotia crossed 230,000 @ $26.12, then 22,000 at the same price. YTW is 4.15% based on a call 2014-03-26. This was also a big trader yesterday.
SLF.PR.B PerpetualPremium 132,550 Scotia bought a total of 49,800 in six tranches from National just before the close, mostly at $25.50. Presumably a lot of the activity here was related to the SLF.PR.D : Inventory Blow-out Sale!
SLF.PR.C PerpetualDiscount 79,511 This issue is virtually identical to the SLF.PR.D, but the closing bid was $0.27 higher. Such is the pref market.

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