Category: Market Action

Market Action

October 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 4.23% 4.18% 44,182 10.56 2 -0.2983% 1,015.5
Fixed-Floater 4.99% 4.02% 205,195 10.13 7 0.0741% 1,018.0
Floater 4.53% -17.21% 77,308 6.53 5 0.0720% 1,017.6
Op. Retract 4.68% 2.11% 89,612 2.42 17 -0.0327% 1,016.8
Split-Share 4.92% 3.26% 62,615 3.03 10 -0.0004% 1,017.9
Interest Bearing 6.88% 4.63% 55,354 2.03 7 0.0679% 1,024.2
Perpetual-Premium 5.12% 3.73% 174,559 4.30 46 0.0575% 1,030.8
Perpetual-Discount 4.59% 4.61% 622,381 16.19 7 -0.3472% 1,033.0
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today (unless you count SLF.PR.D)
Volume Highlights
Issue Index Volume Notes
SLF.PR.A PerpetualPremium 90,750 Scotia crossed 40,000 @ $25.41, then another 42,000 at the same price. This issue looks rather expensive at the closing bid of 25.55 … pre-tax YTW of 4.45% based on a call in 2014. This is just a penny less than the SLF.PR.B, which pays $0.0125 more p.a. with a similar call schedule … and is more liquid.
GWO.PR.X OpRet 51,869 Scotia crossed 50,000 @ 27.40. Another issue considered rather expensive by HIMIPref™ given its closing bid of $27.40 – Pre-Tax YTW of 2.83% based on a 2009 call; the pre-tax-curve price is $26.54.
W.PR.J PerpetualPremium 51,830 Scotia crossed 28,000 @ 25.30, then bought 18,000 from Nesbitt at the same price. Currently callable at $25.50, declining by $0.25 every July … an attractive issue, I’d say, paying $1.40 for a pre-tax YTW of 4.93% based on a 2008 call.
BSD.PR.A InterestBearing 45,849 Pre-tax YTW of 5.94% INTEREST based on a 2015 maturity.
BNS.PR.K PerpetualPremium 40,350 Nesbit bought 31,400 in three quick trades at 25.93; 28,400 from Scotia, 3,000 from RBC.

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

Market Action

October 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 4.24% 4.18% 44,771 10.59 2 0.4022% 1,018.5
Fixed-Floater 5.00% 4.02% 204,814 12.39 7 0.0230% 1,017.2
Floater 4.53% -17.05% 78,069 6.52 5 -0.3142% 1,016.9
Op. Retract 4.68% 1.85% 90,004 2.43 17 -0.0387% 1,017.1
Split-Share 4.92% 3.24% 61,733 3.05 10 -0.0290% 1,017.9
Interest Bearing 6.88% 4.84% 54,519 1.81 7 0.1497% 1,023.5
Perpetual-Premium 5.13% 3.79% 175,054 4.20 47 -0.0108% 1,030.3
Perpetual-Discount 4.59% 4.62% 326,785 16.19 6 -0.1143% 1,036.6
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater -1.3534% On volume of 3,685 shares, closing at 26.24-42, 3×5. I don’t understand why Alcan isn’t redeeming these shares … there are only 5.7-million out there, providing financing at 6% AFTER TAX. Alcan is, after all buying back its common. From the look of their website, though, it looks like they can barely remember the preferreds exist!
PWF.PR.L PerpetualPremium +1.1846% On volume of 4,000 shares, closing at 25.95-09, 90×32
Volume Highlights
Issue Index Volume Notes
TD.PR.M OpRet 397,125 Something of a joke … Global crossed 198,200 on a cash basis at 27.79, then crossed the same number for regular settlement at 27.49. They went ex-dividend yesterday, paying $0.29375. This issue is notable for being expensive even for an Operating Retractible: the pre-tax YTW is 2.16%, based on a bid of 27.50 and a call in 2009.
SLF.PR.B PerpetualPremium 123,745 Nesbitt processed an internal cross of 90,000 shares @ 25.60 just before the close.
POW.PR.C PerpetualPremium 101,000 RBC crossed 100,000 @ 26.60
CM.PR.A OpRet 85,060 Nesbitt processed an internal cross of 35,000 @ 26.65, Scotia crossed 45,500 @ 26.75.
MFC.PR.C PerpetualDiscount 84,755 Nesbitt processed an internal cross of 80,000 @ 24.70.

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

Update, 2006-10-13 : There is an error on the issue performance reporting – the PWF.PR.L value was calculated on the basis that the ex-date for the first dividend was 10/6 – in fact, it was 10/5, as noted here.

Market Action

October 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 4.27% 4.21% 45,418 10.52 2 -0.1200% 1,014.4
Fixed-Floater 5.00% 4.02% 210,670 12.38 7 -0.0225% 1,017.0
Floater 4.52% -19.55% 79,029 6.51 5 -0.0632% 1,020.1
Op. Retract 4.68% 2.23% 89,732 2.43 17 0.0406% 1,017.5
Split-Share 4.92% 3.26% 61,275 3.05 10 0.0613% 1,018.2
Interest Bearing 6.89% 4.85% 55,121 1.80 7 -0.0419% 1,022.0
Perpetual-Premium 5.13% 3.85% 177,267 4.22 47 0.0265% 1,030.4
Perpetual-Discount 4.59% 4.61% 325,597 16.20 6 -0.0197% 1,037.8
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 107,185  
MFC.PR.B PerpetualPremium 97,625  
NA.PR.L PerpetualPremium 64,700 Nesbitt processed an internal cross of 60,000 @ 25.63. This issue has a pre-tax YTW of 4.58% at the closing bid of $25.64, based on a call in 2014. Given that it’s only Pfd-2(high) by DBRS, it looks a little expensive there.
RY.PR.B PerpetualPremium 56,465 Nesbitt had an internal cross of 50,000 @25.51. At the closing bid of 25.50, this has a pre-tax YTW of 4.59% based on a call in 2015. Given that Royal Bank is a better credit than the issue above, why is it trading at the same yield?
FTN.PR.A SplitShares 44,800 Credit Suisse bought 36,000 from Nesbitt @ $10.50

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

Market Action

October 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% 4.21% 42,517 10.51 2 0.1002% 1,015.7
Fixed-Floater 5.00% 4.01% 216,451 12.38 7 0.0794% 1,017.2
Floater 4.52% -19.54% 80,475 6.53 5 -0.2086% 1,020.8
Op. Retract 4.67% 2.49% 90,995 2.43 17 0.0308% 1,017.1
Split-Share 4.92% 3.12% 60,375 3.05 10 0.0379% 1,017.6
Interest Bearing 6.89% 4.74% 53,759 2.05 7 0.1077% 1,022.4
Perpetual-Premium 5.12% 3.93% 176,642 4.23 47 -0.0108% 1,030.1
Perpetual-Discount 4.59% 4.61% 324,524 16.20 6 0.0069% 1,038.0
Major Price Changes
Issue Index Change Notes
PWF.PR.A Floater -1.5504% Giving up most of yesterday’s gains on good volume of 21,600 shares. Scotia crossed 20,000 @ 25.45
Volume Highlights
Issue Index Volume Notes
TD.PR.O PerpetualPremium 131,245 Nesbitt had an internal cross @ 26.07
IGM.PR.A OpRet 131,114  
PWF.PR.L PerpetualPremium 116,100 There were a number of blocks put through today: RBC crossed 43,900 @ 26.15, followed by National (10,000), Scotia (25,000) and National again (10,000) at the same price. Scotia then crossed 24,700 @ 26.25 just before the close. At a closing bid of 26.15, this issue still has a Pre-tax YTW of 4.62% based on a call in 2015.
GWO.PR.G PerpetualPremium 102,960 RBC crossed 100,000 shares @ 26.55
PWF.PR.G PerpetualPremium 102,000 Scotia crossed 100,000 shares at $26.55 (a popular price for 100,000 share lots of issues ending in G today). For this issue, the Pre-Tax YTW at the closing bid of $26.51 is 4.56% based on a call in 2007 … if it survives to its call-at-par date in 2011, the yield will have been 4.77%. Doesn’t seem like there’s much upside to this issue, though.
ELF.PR.F PerpetualPremium 100,000 Nesbitt crossed 100,000 @ $26.25. This issue has a YTW of 4.57% based on a call in 2013, but since it’s only rated Pfd-2(low) by DBRS, it seems expensive at the closing quote of 26.10-41, especially since the new issue comes with a coupon of 4.75%.

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

Market Action

October 3, 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 4.30% 4.23% 41,261 10.48 2 -0.0798% 1,014.6
Fixed-Floater 5.00% 4.01% 221,623 12.37 7 0.0228% 1,016.4
Floater 4.51% -22.83% 79,954 6.49 5 0.3622% 1,022.9
Op. Retract 4.67% 2.47% 89,098 2.47 17 -0.0837% 1,016.8
Split-Share 4.93% 2.89% 60,359 3.03 10 0.3260% 1,017.2
Interest Bearing 6.90% 4.81% 53,847 1.81 7 -0.1221% 1,021.3
Perpetual-Premium 5.12% 3.76% 175,175 4.21 47 0.0972% 1,030.2
Perpetual-Discount 4.59% 4.61% 326,319 16.21 6 -0.0266% 1,037.9
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet -1.5575% Did this on volume of 1,922 shares and closed at $27.81-40. The day’s low was $28.00, which means that a good chunk of this poor performance was due to the bid only, not to actual trades.
PWF.PR.A Floater +1.7751% No trading, but there’s a bid for 1500 shares at $25.80! At this price, the issue has a Current Yield of only 4.07%, the lowest of the five issues in the “Floater” index … and YTW is large and negative.
WFS.PR.A SplitShare +1.3258%  
GWO.PR.G PerpetualPremium +1.0274% I think it’s a little pricey at the bid-side of $26.55, but what do I know? The YTW is 4.24% based on a call in 2014
POW.PR.C PerpetualPremium +1.0208% Only 100 shares are bid at the closing $26.72
Volume Highlights
Issue Index Volume Notes
NA.PR.L PerpetualPremium 67,410 Nesbitt bought 57,800 from Scotia at $25.60 in three successive tranches.
IGM.PR.A OpRet 42,359  
PWF.PR.L PerpetualPremium 35,100 Scotia crossed 33,700 @ $26.15, which was the closing bid.
CM.PR.A OpRet 29,850 Scotia crossed 25,100 at $26.75, which was the closing bid. These have a YTW of only 1.47% at this level, but will have yielded 3.65% if they survive until just before their retraction date.
FTS.PR.F Scraps 29,780 Let’s hear it for the Little New Issue That Could (stay above par).

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

The large number of index-included issues that had absolute returns in excess of 1% today makes the market look a little sloppy. Could this have something to do with the continuation of The Great Oil Slaughter of 2006?

Market Action

October 2, 2006

Note that the index has been rebalanced and as a result statistical characterizations of the various indices will not be directly comparable to those of September 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 4.31% 4.31% 42,382 10.49 2 -0.1199% 1,015.4
Fixed-Floater 5.00% 3.96% 227,096 10.1 7 0.0062% 1,016.2
Floater 4.52% -19.11% 82,554 6.51 5 -0.0552% 1,019.2
Op. Retract 4.67% 2.59% 88,254 2.59 17 0.0047% 1,017.6
Split-Share 4.94% 2.96% 60,246 3.03 10 -0.0602% 1,013.9
Interest Bearing 6.89% 4.64% 54,362 1.81 7 -0.0861% 1,022.6
Perpetual-Premium 5.13% 4.00% 176,118 4.21 47 0.0289% 1,029.2
Perpetual-Discount 4.59% 4.61% 328,409 16.21 6 -0.0672% 1,038.2
Major Price Changes
Issue Index Change Notes
TCA.PR.X PerpetualPremium +1.0538% Both TCA.PR.X and TCA.PR.Y were strong today. The “X” closed at 53.70, with a YTW of 4.34% based on a call in 2013.
Volume Highlights
Issue Index Volume Notes
POW.PR.B PerpetualPremium 105,050 Nesbitt crossed 100,000 @ $25.85. This issue has a YTW of 4.53% based on a call at par in late 2010.
MFC.PR.B PerpetualPremium 63,325 Scotia crossed 44,000 @25.20. YTW is 4.58% based on a call at par in spring, 2014.
TCA.PR.X PerpetualPremium 21,865 Nesbitt crossed 20,000 @ 53.75. YTW is 4.34% based on a call in late 2013 at par (which is $50 for this issue).
BAM.PR.B Floater 21,325 Scotia crossed 20,000 @24.30.
TCA.PR.Y PerpetualPremium 17,839 Nesbitt crossed 16,800 @53.75

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

Market Action

September 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 4.33% 4.34% 50,151 16.80 1 -0.2004% 1,016.7
Fixed-Floater 4.90% 3.93% 261,902 9.03 6 0.1192% 1,016.1
Floater 4.62% -19.97% 96,194 8.12 4 0.0899% 1,019.7
Op. Retract 4.68% 2.21% 85,108 2.21 18 0.0106% 1,017.6
Split-Share 4.98% 3.00% 60,250 2.67 10 -0.0640% 1,014.4
Interest Bearing 6.88% 4.61% 54,719 1.82 7 -0.0892% 1,023.4
Perpetual-Premium 5.14% 3.93% 174,623 4.12 48 0.1131% 1,028.9
Perpetual-Discount 4.58% 4.60% 331,188 16.23 6 -0.0938% 1,038.9
Major Price Changes
Issue Index Change Notes
There were no major price changes in index-included issues today.
Volume Highlights
Issue Index Volume Notes
RY.PR.B PerpetualPremium 39,735 A weak end to a great month – it gained almost exactly 1.75% on the month.
FTS.PR.F Scraps 33,885 2nd day of trading! Closed at 25.01-05, 10×50
MFC.PR.C PerpetualDiscount 29,060 National bought 10,200 from DS @ 24.92, then another 10,600 @ 24.87 an hour and a half later.
BC.PR.C FixedFloater 28,336  
BNS.PR.J PerpetualPremium 17,500 Nesbitt bought 15,000 from CIBC at 27.00. With a 1.313 coupon and no redemption possible until 2013, this one has a lot of protection against market yield increases, perpetual or no perpetual! The YTW is 3.92% at the closing bid of $27.00

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

Market Action

September 28, 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 4.33% 4.34% 50,761 16.79 1 0.6048% 1,018.7
Fixed-Floater 4.91% 3.90% 263,184 9.00 6 0.1844% 1,014.9
Floater 4.62% -18.77% 98,080 8.13 4 0.0100% 1,018.8
Op. Retract 4.68% 2.11% 85,380 2.11 18 0.0902% 1,017.4
Split-Share 4.98% 2.98% 60,740 2.67 10 -0.0723% 1,015.1
Interest Bearing 6.88% 4.45% 55,267 1.83 7 -0.0915% 1,024.4
Perpetual-Premium 5.15% 3.92% 175,684 4.33 48 0.0310%* 1,027.7*
Perpetual-Discount 4.58% 4.60% 331,283 16.24 6 0.0403% 1,039.9
* Corrected due to error on ELF.PR.F
Major Price Changes
Issue Index Change Notes
ELF.PR.F PerpetualPremium -1.3268% Volume of 4,750 shares. Perhaps this price move is a result of the new issue? This issue now has a pre-tax YTW of 4.82%, based on a bid price of 26.03 and a call in 2013. They still look expensive to me. Note added 2006-09-29 : Mea Culpa. They went ex-dividend on 9/28, not 9/29 as I had originally recorded. So: the 9/28 total return wasn’t as exciting as first thought … but that just makes them more expensive
ACO.PR.A OpRet +2.3542% Vaults 3 places in the rankings to become the highest priced Operating Retractible! At the bid of $28.26, it has a pre-tax YTW of 1.78% based on a call in December 2008, but will have achieved 3.11% if it survives ’til its ‘Soft Maturity’ in 2011.
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 550,790 Desjardins bought 275,000 from ‘Anonymous’ at $28.10, then crossed 275,000 at $28.13 a minute (or so) later.
FTS.PR.F Scraps 152,035 Sure, it’s only rated Pfd-3(high), but it’s its first day of trading, after all! Every issue should have one day in the sun!
BC.PR.C FixedFloater 64,427  
MFC.PR.C PerpetualDiscount 34,700  
FTN.PR.A SplitShare 29,900 Anonymous bought 10,000 from Nesbitt at $10.50. Closed at $10.42-49

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

Market Action

September 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 4.38% 4.39% 49,358 16.71 1 -0.1204% 1,012.6
Fixed-Floater 4.91% 3.93% 263,462 8.97 6 -0.1269% 1,013.1
Floater 4.63% -18.77% 97,969 8.13 4 0.1497% 1,018.7
Op. Retract 4.68% 2.15% 84,413 2.15 18 0.1372% 1,016.5
Split-Share 4.97% 2.90% 60,207 2.68 10 0.1851% 1,015.8
Interest Bearing 6.87% 4.40% 56,038 1.83 7 0.1814% 1,025.3
Perpetual-Premium 5.15% 3.89% 177,127 4.35 48 0.0354% 1,027.4
Perpetual-Discount 4.58% 4.60% 329,911 16.24 6 0.0951% 1,039.4
Major Price Changes
Issue Index Change Notes
BC.PR.C FixedFloater -1.3255% Volume of 7,240 shares.
STW.PR.A InterestBearing +1.0536%  
CAC.PR.A SplitShare +1.2549% Still attractive at the bid price of 25.28, with a pre-tax YTW of 3.88% based on a maturity in July 2007. It went ex-dividend today … maybe somebody forgot!
Volume Highlights
Issue Index Volume Notes
HSB.PR.C PerpetualPremium 94,285 Scotia crossed 89,500 @ 26.26
BNS.PR.K PerpetualPremium 58,700 Internal cross of 51,900 @ 26.20 by Nesbitt.
RY.PR.W PerpetualPremium 46,990  
POW.PR.D PerpetualPremium 29,650 Closed at 25.31-49; the bid price gives a pre-tax YTW of 4.81% based on a call in November 2014. It traded as low as $25.15 today.
CM.PR.G PerpetualPremium 23,725 Pre-tax YTW of 4.61% at the bid price of $26.20, based on a call in 2014.

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

Market Action

September 26, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.37% 4.40% 48,744 16.64 1 0.1608% 1,013.8
Fixed-Floater 4.89% 3.98% 272,642 8.99 6 0.0594% 1,014.3
Floater 4.63% -18.46% 97,450 8.12 4 0.0199% 1,017.2
Op. Retract 4.69% 2.44% 84,419 2.44 18 -0.0139% 1,015.1
Split-Share 4.97% 3.07% 60,026 2.67 10 0.2222% 1,014.0
Interest Bearing 6.85% 4.50% 55,555 2.07 7 0.2376% 1,023.4
Perpetual-Premium 5.14% 4.01% 176,929 4.14 48 -0.0327% 1,027.1
Perpetual-Discount 4.58% 4.60% 331,043 16.23 6 -0.0531% 1,038.5
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today
Volume Highlights
Issue Index Volume Notes
CM.PR.B PerpetualPremium 257,200 Desjardins crossed 250,000 @ $26.10. With an annual dividend of $1.50, this is a good candidate to be called early next year … if it is, it will still achieve a pre-tax YTW of 3.71% (worth about 5.19% interest equivalent! Not bad for five-month bank paper!)
BC.PR.E Scraps 200,000 Every single share was crossed by Scotia, in three tranches, at various times throughout the day, at $25.17. For an issue recently removed from the ratchet index due to volume concerns, this has sure been trading a lot lately!
CM.PR.A OpRet 182,600 Global crossed 89,200 on a cash basis at $27.21, then ‘another’ 89,200 regular settlement at $26.87. Difference of $0.34, dividend is $0.33125, issue went ex-dividend today. Somebody’s got a capture strategy going!
FTN.PR.A SplitShares 115,540 Pre-tax YTW of 3.24% based on the closing bid of $10.45 and a maturity at $10.00 2008-12-01
IGM.PR.A OpRet 65,902 Scotia crossed 48,900 @ 27.80

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