Category: Market Action

Market Action

December 8, 2006

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

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

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

Market Action

December 7, 2006

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

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

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

Market Action

December 6, 2006

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

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

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

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.