Category: Market Action

Market Action

July 24, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.14% 4.16% 103,936 17.13 2 +0.0802% 997.0
Fixed-Floater 5.20% 4.17% 95,964 13.49 5 0.0869% 997.8
Floater 4.54% -15.38% 61,155 6.43 5 0.2491% 1,004.0
Op. Retract 4.75% 3.48% 80,782 2.99 18 -0.0679% 993.4
Split-Share 5.17% 4.23% 49,600 3.10 14 -0.0009% 999.9
Interest Bearing 6.87% 5.30% 66,930 2.21 7 -0.0233% 1,008.2
Perpetual 5.20% 4.61% 195,623 7.02 54 0.0520% 1,002.4
Major Price Changes
Issue Index Change Notes
TDS.PR.B SplitShare -1.05% 2,990 shares traded, which was enough to blow through the bid. Some traded at 28.01, a penny above the 52-week low, but it closed at 28.25-49. Not much size on the bid, though!
Volume Highlights
Issue Index Volume Notes
WN.PR.E Perpetual 304,550 Huge volume for a pref! But 300,000 of this was an internal cross [both sides of the trade were controlled by the same asset manager] by BMO @24.00.
RY.PR.W Perpetual 258,700 Second day of good volume. 175,000 was an internal cross by BMO @25.40; 38,100 was a CSH Cross by Global (cash trade, not three-day-settlement) @25.88; and 38,100 (presumably the same 38,100) was a cross by Global @25.57. Closed at 25.31-56. Man, did the purchaser of that CSH transaction get screwed! Perhaps it was a buy-in notice?
SLF.PR.C Perpetual 179,650 175,000 internal cross by BMO @24.02
TD.PR.M OpRet 175,500 175,000 internal cross by BMO @27.30
TD.PR.O Perpetual 112,700 100,000 internal cross by BMO @25.25

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.

Market Action

July 21, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.13% 4.14% 105,226 17.17 2 -0.2200% 996.2
Fixed-Floater 5.21% 4.16% 95,800 13.49 5 0.0401% 996.9
Floater 4.55% -16.23% 62,137 6.44 5 0.1185% 1001.5
Op. Retract 4.74% 3.46% 81,046 3.08 18 0.2040% 994.1
Split-Share 5.17% 4.08% 50,179 2.80 14 0.1054% 999.9
Interest Bearing 6.86% 5.29% 66,397 2.22 7 +0.0366% 1,008.4
Perpetual 5.20% 4.65% 195,398 6.86 54 0.0815% 1,001.8
Major Price Changes
Issue Index Change Notes
Boring! Not a single index-included issue gained or lost more than 1%!
Volume Highlights
Issue Index Volume Notes
TCA.PR.Y Perpetual 97,662  
RY.PR.W Perpetual 31,800 Scotia crossed 25,000 @ 25.60 … issue up 0.24% on day
MFC.PR.B Perpetual 15,050  
BC.PR.C FixedFloater 10,752  

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!

Market Action

July 20, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.10% 4.11% 108,185 17.23 2 0.2405% 998.4
Fixed-Floater 5.21% 4.12% 96,213 13.48 5 -0.0707% 996.5
Floater 4.55% -14.26% 61,650 6.44 5 -0.1351% 1000.3
Op. Retract 4.75% 3.58% 81,962 3.18 18 -0.0766% 992.1
Split-Share 5.17% 2.74% 53,109 2.78 14 0.0045% 998.9
Interest Bearing 6.87% 5.29% 67,915 2.23 7 +0.0033% 1,008.08
Perpetual 5.20% 4.71% 197,997 7.01 54 -0.0897% 1,001.0
Major Price Changes
Issue Index Change Notes
W.PR.J Perpetual -1.07% Gaps lower on higher than normal volume and trades at 52-week low
RY.PR.B Perpetual -2.80% New issue not well received at all! See new issue posting
Volume Highlights
Issue Index Volume Notes
RY.PR.B Perpetual 41,040 Down a lot from new issue price! See new issue posting
BCE.PR.C FixedFloater 29,650 RBC crossed 26,800 @ 25.40 (=bid). This issue becomes a ratchet rate in Mar/08
MFC.PR.B Perpetual 21,333 TD sold total 10,900 shortly prior to close, almost all at $24.36 (was 24.55-65 yesterday)
POW.PR.D Perpetual 19,800  
SLF.PR.A Perpetual 12,615 Traded in range 24.80-89

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?

Market Action

July 19, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.09% 4.10% 109,453 17.25 2 0.2013% 996.0
Fixed-Floater 5.21% 4.11% 94,608 10.40 5 -0.2201% 997.2
Floater 4.55% -14.84% 61,183 6.44 5 0.1680% 1001.6
Op. Retract 4.75% 3.56% 82,776 3.00 18 0.0136% 992.8
Split-Share 5.17% 3.09% 53,657 2.79 14 -0.0876% 998.8
Interest Bearing 6.87% 5.20% 67,363 2.22 7 +0.3095% 1,008.05
Perpetual 5.21% 4.72% 158,778 6.73 53 0.0170% 1,001.9
Major Price Changes
Issue Index Change Notes
CGI.PR.C SplitShare -1.53% Very light volume, all at closing offer – wide spread
NA.PR.K Perpetual +1.70%  
ACO.PR.C OpRet +1.07% Very light volume and small bid at close
Volume Highlights
Issue Index Volume Notes
CM.PR.C Perpetual 237,550 Almost all crossed by Nesbitt @26.70. This issue will be redeemable in a year at $26.00 and have a YTW of only 3.26%.
WFS.PR.A SplitShare 30.700  
WN.PR.A Perpetual 15,980 YTW of 5.06%

Market Action

July 18, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.08% 4.09% 112,760 17.28 2 -0.3985% 994.0
Fixed-Floater 5.20% 4.00% 93,950 10.42 5 +0.0247% 999.4
Floater 4.55% -14.18% 60,923 6.44 5 -0.13% 1000.0
Op. Retract 4.75% 3.56% 83,607 3.09 18 -0.01% 992.7
Split-Share 5.17% 2.75% 53,169 2.79 14 +0.1000% 999.7
Interest Bearing 6.89% 5.70% 66,932 2.23 7 +0.2026% 1,004.9
Perpetual 5.21% 3.46% 160,581 6.79 53 -0.1094% 1,001.7
Major Price Changes
Issue Index Change Notes
PWF.PR.K Perp -1.31% Gapped down to 24.75-89 on heavy volume. Very similar to PWF new issue, but pays only 1.2375
Volume Leaders
Issue Index Volume Notes
BC.PR.C Fixed-Floater 485,035 No price effect. Desjardins sold 250,000 at close, mostly as a cross.
RY.PR.W Perpetual 56,400 Down -0.47% on day (bid/bid), closing at 25.50-63. Very similar to PWF new issue, but pays 1.225
PWF.PR.K Perpetual 30,112 See notes in the ‘Performance’ Table
GWO.PR.X Operating Retractible 28,193 No price effect. 20,000 were crossed by Scotia at 26.70
POW.PR.D Perpetual 22,162 Down 0.86% on day (bid/bid) to 25.13-25. Very similar to PWF new issue, but pays 1.25. TD crossed 13,600 @25.15

 

It was a very active day, with 17 issues trading more than 10,000 shares. The news of the day was the PWF New Issue which was very attractively priced – a perpetual with a 5.1% coupon (pays $1.275 annually, $25 par value). There are only four issues in the HIMI Perpetual Preferred Index with pre-tax yields-to-worst in excess of 5.1%, and the greatest modified duration of the YTW scenario of these issues is 5.51 (W.PR.H).

 This new issue has had a great effect on the market, but it’s not clear how long it will last … I suspect that the tension will be resolved by the new issue leaping to a premium rather than dragging down its peers. There just isn’t enough of it – only $200MM – and from what I hear it jumped right off the shelves and was sold out within an hour … certainly this story makes sense, given the pricing!

Market Action

July 17, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.05% 4.05% 114,297 17.35 2 +0.10% 998.0
Fixed-Floater 5.20% 3.99% 90,578 10.43 5 +0.04% 999.2
Floater 4.55% -15.28% 59,850 6.43 5 -0.16% 1,001.3
Op. Retract 4.75% 3.54% 82,690 3.42 18 -0.04% 992.8
Split-Share 5.17% 2.75% 52,516 2.79 14 +0.0413% 998.7
Interest Bearing 6.90% 5.92% 66,247 2.23 7 -0.06% 1,002.9
Perpetual 5.20% 4.71% 161,075 6.61 53 +0.005% 1,002.8
Major Price Changes
Issue Index Change Notes
NTL.PR.G – -1.79%  
HSB.PR.C Perp -1.39% Bid hit on volume of 900 shares
POW.PR.D Perp -1.01%  
STR.E – +1.18% Small volume, tiny bid, huge spread
FAL.PR.B – +4.20% Normalizing bid/ask spread of $1.00 yesterday
Volume Leaders
Issue Index Volume Notes
GWO.PR.X Op. Ret. 21,779  
FTS.PR.E – 20,000 Cross by Scotia
BC.PR.C FixedFloater 14,946  
MST.PR.A InterestBearing 14,745  
SLF.PR.A Perpetual 12,005  

Market Action

July 14, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.03% 4.04% 115,857 16.79 2 +0.08% 997.0
Fixed-Floater 5.20% 4.12% 89,762 13.57 5 +0.21% 998.8
Floater 4.54% -19.47% 59,917 6.43 5 -0.11% 1,002.8
Op. Retract 4.74% 3.47% 82,975 3.30 18 -0.08% 993.2
Split-Share 5.17% 2.64% 53,274 2.77 14 -0.01% 998.3
Interest Bearing 6.90% 5.81% 65,864 2.24 7 +0.08% 1,003.5
Perpetual 5.20% 4.71% 163,422 6.63 53 +0.05% 1,002.8

 

A thoroughly boring day, with NOTHING trading over 10,000 shares and NOTHING in the indices had a price move of more than 1%.

Market Action

July 13, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet N/A 4.02% 119,186 17.42 2 -0.23% 996.2
Fixed-Floater N/A 4.12% 90,712 13.61 5 -0.18% 996.6
Floater N/A -20.54% 59,789 6.42 5 -0.04% 1,003.9
Op. Retract N/A 3.48% 84,213 3.04 18 +0.07% 994.1
Split-Share N/A 2.68% 54,102 2.80 14 +0.11% 998.4
Interest Bearing N/A 5.83% 66,198 2.24 7 -0.14% 1,002.7
Perpetual N/A 4.72% 165,845 6.60 53 N/A 1,002.3
Notable Volume
Issue Type Volume Notes
BC.PR.C Fixed Floater 238,787  
NSI.PR.D – 176,050 All crossed at $28.00 by Desjardins
TD.PR.N Op.Ret. 35,598 30M crossed by Nesbitt
PIC.PR.A SplitShare 23,405 Went ex-dividend today
WN.PR.E Perpetual 16,800 Scotia bought 12M @ $24
Major Price Changes
Issue Index Change in Bid Notes
NA.PR.K Perpetual -1.05% Bid hit and gone on average volume

Market Action

July 12, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet N/A 4.00% 120,723 17.48 2 -0.10% 998.2
Fixed-Floater N/A 3.94% 88,584 10.22 5 +0.08% 998.5
Floater N/A -20.72% 60,004 6.43 5 +0.50% 1,004.3
Op. Retract N/A 3.50% 85,498 3.04 18 -0.26% 993.4
Split-Share N/A 3.15% 53,934 2.80 14 +0.07%% 997.4
Interest Bearing N/A 5.70% 65,488 2.25 7 +0.16% 1,004.1
Perpetual N/A 4.70% 168,155 6.58 53 +0.04% 1,002.5
Market Action

July 11, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet N/A 3.98% 125,751 17.52 2 0.00% 999.2
Fixed-Floater N/A 3.94% 85,226 10.24 5 -0.24% 997.7
Floater N/A -18.43% 58,876 6.39 5 -0.14% 999.4
Op. Retract N/A 3.47% 85,298 3.08 18 -0.24% 994.5
Split-Share N/A 3.35% 54,651 2.81 14 -0.09% 996.6
Interest Bearing N/A 5.82% 65,681 2.25 7 -0.28% 1,002.45
Perpetual N/A 4.73% 169,969 6.55 53 +0.18 1,002.13