Category: Market Action

There were seven other index-included issues with volume in excess of 10,000 shares.

Another yield curve for your edification and amusement!

This one is similar in nature to Operating Retractibles yield curve discussed a few days ago, but does have some unique points of interest.

There’s a lot of scatter – more scatter than there really should be, given that the average volume traded is so much greater than the equivalent number for the constituents of the OpRet index. And, one should note, I didn’t plot a point for RY.PR.S, which has a Modified Duration of the YTW scenario of 0.16 Years, and a YTW of -1.82%.

The CM.PR.C and GWO.PR.F look rather expensive, don’t they? I certainly can’t figure out … the CM.PR.C looked good a little while ago, when they were trading in the neighborhood of $26.50 – I can’t say I’m so impressed with them nowadays, closing 7/31 with a quote of 26.76-87.

But the most strange thing by far about this curve is that, while the lower quality credits look to be at a more or less decent spread to their higher-rated peers at the long end (well … relatively long end, anyway!), they seem to be trading through them at the short end, and not by just a little bit.  Which would seem to indicate some opportunity for arbitrage …

What this graph does not, and cannot, convey is the degree of risk implicit in the fact that these are perpetuals … once market prices start to change, the position of each data point on this graph might change substantially – which is why HIMIPref has such concepts as ‘Portfolio Yield’ and ‘Option Doubt’. But as a first approximation, some of the anomalies shown by this plot look pretty juicy, don’t they?

There were no other index-included issues with volume in excess of 10,000 shares.

My more observant readers will have noticed that the “Perpetual” index has been split into “Premium” and “Discount”. With a bi-modal distribution of index characteristics, the averages didn’t make a lot of sense. I don’t really know if this will be a permanent change – I’ll have to see what happens over time, when I get around to writing and testing automated index preparation software. If there aren’t any discount perpetuals in my database, for instance, I’m not sure what I’ll do or how meaningfully I’ll be able to present the results. Stay tuned!

There were 15 issues with volume in excess of 10,000 shares.

There were 13 issues with volume in excess of 10,000 shares.

There were 20 issues with volume in excess of 10,000 shares.

A busy day for BMO, if no-one else! If they were able to charge a nickel a share on the crosses, then they went home with a warm, fuzzy feeling. Somebody’s rejigging his pref portfolio!

RY.PR.A closed at 24.18-25, while RY.PR.B ended at 24.45-50, so perhaps things are beginning to normalize a little … at least so far as that particular pair is concerned!

 There were 20 issues with volume in excess of 10,000 shares.

 Update, 2006-07-27: Just realized! The ex-date for the RY.PR.W was July 24, so the purchaser of the CSH – settled RY.PR.W got the dividend of $0.30625.

A fairly quiet day – the volume highlight was definitely the TCA.PR.Y, trading over $5-million worth, but there wasn’t really a lot of movement.

 Scotia’s cross of 25,000 RY.PR.W is interesting … the closing YTW was 4.70%, compared with the 4.87% at which the RY.PR.B closed. Not a precise swap, certainly, since the RY.PR.B only traded 9,202 shares but could perhaps be related. The YTW of the RY.PR.W is based on a call in March, 2014, at $25.00. It pays a nickel more than the RY.PR.B and has a similar redemption schedule, simply shifted to be 18 months earlier.

As noted in the post BNA.PR.A, an error was fixed today, with the effect that it is now calculated to have a YTW of 5.05% at its price of 26.01-30 based on a call in October, 2006, at 25.75. Yesterday, it had been calculated to have a YTW of -13.1% at pretty much the same price.

The change in this issue has changed the average calculated YTW of the splitShare index markedly. What can I say? Sometimes these things really do have a grossly negative YTW!

An active day! There were 12 issues trading in excess of 10,000, with the real driver, it appears, being the horrible reception of the RY.PR.B, which commenced trading at a disasterous discount to their issue price.

 Let’s see … the bid is now $24.30 … the issue price was $25.00 … 12-million shares were issued … carry one and move the decimal … that a loss of $8.4-million! Some of this seems to be an over-reaction (see Crazy Pricing!, but never-the-less, $8.4-million is a lot of money to drop in my neighborhood. See what happens when you don’t subscribe to HIMIPref?