Category: Market Action

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

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

Note that there were changes in index construction today.

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.