Category: Market Action

Market Action

February 12, 2007

Prices have been updated, but the reports will be delayed. Possibly later tonight, but more likely tomorrow.

Lots of trading in Weston issues today!They made up four of the top five traded issues, led only by the recent new issue, SLF.PR.E. The market is not liking the Credit Watch Negative on this issuer.

Update, 2007-2-13

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.05% 4.05% 31,759 17.32 1 +0.3600% 1,043.2
Fixed-Floater 4.81% 3.50% 93,125 8.17 7 -0.2220% 1,041.1
Floater 4.46% -24.96% 54,834 6.59 5 -0.0310% 1,052.1
Op. Retract 4.72% 2.38% 75,211 2.09 18 +0.0421% 1,029.3
Split-Share 5.09% 0.86% 289,408 2.65 14 +0.1643% 1,044.8
Interest Bearing 6.69% 3.97% 74,629 3.97 6 -0.0605% 1,036.1
Perpetual-Premium 5.04% 3.70% 229,197 5.10 51 -0.0258% 1,051.7
Perpetual-Discount 4.54% 4.56% 1,061,258 15.29 10 -0.0801% 1,056.0
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 127,959 Recent new issue. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.82 and a limitMaturity.
WN.PR.D PerpetualPremium 111,350 Scotia crossed 50,000 at 25.70, then another 40,500 at the same price. Currently on Credit Watch Negative. Now has a pre-tax bid-YTW of 4.98% based on a bid of $25.56 and a call 2014-10-31 at $25.00.
WN.PR.E PerpetualPremium 110,559 TD crossed 47,600 at $24.75. Credit Watch Negative! Now with a pre-tax bid-YTW of 4.87% based on a bid of $24.67 and a limitMaturity.
WN.PR.A PerpetualPremium 102,740 Scotia crossed 96,300 at $25.76. Credit Watch Negative! Now with a pre-tax bid-YTW of 5.24% based on a bid of 25.76 and a call 2011-1-14 at $25.00
WN.PR.B OpRet 100,624 RBC crossed 50,000 @ 26.25, Nesbitt crossed the same amount at the same price. Now with a pre-tax bid-YTW of 3.65% based on a bid of $26.01 and a softMaturity 2009-06-30 at $25.00

There were seventeen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

February 9, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.05% 4.06% 29,721 17.32 1 0.0000% 1,039.5
Fixed-Floater 4.80% 3.46% 94,800 6.37 7 +0.0117% 1,043.5
Floater 4.46% -25.74% 56,145 6.58 5 -0.2790% 1,052.4
Op. Retract 4.72% 2.34% 75,677 2.09 18 -0.0430% 1,028.8
Split-Share 5.09% 1.09% 296,448 2.65 14 0.0824% 1,043.1
Interest Bearing 6.69% 2.47% 74,207 3.87 6 +0.0103% 1,036.7
Perpetual-Premium 5.04% 3.65% 228,637 5.13 51 -0.0429% 1,052.0
Perpetual-Discount 4.53% 4.56% 1,071,358 15.30 10 +0.1167% 1,056.8
Major Price Changes
Issue Index Change Notes
WN.PR.B OpRet -1.5066% A reaction to the Credit-Watch Negative. Now with a pre-tax bid-YTW of 3.40% based on a bid of 26.15 and a softMaturity 2009-6-30.
WN.PR.C PerpetualPremium -1.4903% Credit watch negative! Now with a pre-tax bid-YTW of 4.82% based on a call 2014-7-31 at $25.00.
Volume Highlights
Issue Index Volume Notes
BCE.PR.H FixedFloater 800,500 Formerly BC.PR.E
SLF.PR.C PerpetualDiscount 191,855 Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.76 and a limitMaturity.
SLF.PR.E PerpetualDiscount 122,560 Recent new issue. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.82 and a limitMaturity.
WN.PR.E PerpetualPremium 91,821 Credit Watch Negative! Now with a pre-tax bid-YTW of 4.84% based on a bid of $24.78 and a limitMaturity.
WN.PR.B OpRet 79,620 With a major price move, too!

There were nineteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

February 8, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.05% 4.06% 30,942 17.33 1 -0.2792% 1,039.5
Fixed-Floater 4.80% 3.44% 97,063 8.21 7 -0.2349% 1,043.3
Floater 4.44% -27.51% 56,296 6.58 5 +0.0548% 1,055.4
Op. Retract 4.71% 2.36% 75,363 2.09 18 +0.0586% 1,029.3
Split-Share 5.10% 1.33% 300,265 2.65 14 -0.0784% 1,042.2
Interest Bearing 6.69% 3.14% 73,775 3.87 6 +0.1116% 1,036.6
Perpetual-Premium 5.03% 3.81% 229,533 5.06 51 +0.0076% 1,052.4
Perpetual-Discount 4.53% 4.56% 1,081,053 15.29 10 +0.0928% 1,055.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 291,795 Recent new issue.
WN.PR.E PerpetualPremium 142,005  Now with a pre-tax bid-YTW of 4.79% based on a bid of 25.01 and a limitMaturity. But it’s Pfd-2(low) by DBRS and Credit Watch Negative!
RY.PR.E PerpetualDiscount 26,865  Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.00 and a limitMaturity.
CM.PR.G PerpetualPremium 26,800  Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.87 and a call 2010-05-31 at $26.00.
CM.PR.H PerpetualPremium 25,635  Now with a pre-tax bid-YTW of 4.28% based on a bid of $25.88 and a call 2014-4-29 at $25.00

There were fourteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

February 7, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.04% 4.04% 28,646 17.37 1 0.4407% 1,042.4
Fixed-Floater 4.79% 3.27% 98,815 6.39 7 +0.0400% 1,045.8
Floater 4.45% -27.39% 57,131 6.58 5 -0.0078% 1,054.8
Op. Retract 4.72% 2.28% 74,956 2.09 18 +0.0963% 1,028.7
Split-Share 5.09% 1.12% 308,072 2.65 14 +0.0982% 1,043.1
Interest Bearing 6.70% 3.14% 72,699 3.87 6 -0.1340% 1,035.5
Perpetual-Premium 5.03% 3.88% 232,654 5.06 51 +0.0610% 1,052.3
Perpetual-Discount 4.54% 4.57% 1,083,267 15.29 10 +0.0688% 1,054.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 120,429 Recent new issue. Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.66 and a limitMaturity.
IGM.PR.A OpRet 106,677 Now with a pre-tax bid-YTW of 2.69% based on a bid of 27.92 and a call 2009-7-30 at $26.00. Yield will be 3.81% if it makes it to the softMaturity 2013-6-29 … but with a dividend of $1.4375, I’d be surprised if a perpetual lasted that long.
BAM.PR.M PerpetualDiscount 74,975 Now with a pre-tax bid-YTW of 4.81% based on a bid of $24.92 and a limitMaturity.
CM.PR.I PerpetualPremium 63,260 Canaccord crossed 33,400 at $25.58. Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.55 and a call 2016-3-1 at 4.45%
GWO.PR.I PerpetualDiscount 58,850 Scotia crossed 50,000 at $24.95. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.95 and a limitMaturity.

There were eighteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

February 6, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.05% 4.05% 28,412 17.35 1 -0.0400% 1,037.8
Fixed-Floater 4.79% 3.54% 101,377 4.56 7 +0.2711% 1,045.4
Floater 4.45% -27.45% 57,589 6.58 5 -0.2672% 1,054.9
Op. Retract 4.72% 2.38% 73,951 2.12 18 -0.0237% 1,027.7
Split-Share 5.10% 1.00% 314,869 2.65 14 +0.1238% 1,042.0
Interest Bearing 6.69% 2.11% 71,648 3.87 6 +0.1858% 1,036.9
Perpetual-Premium 5.03% 3.88% 234,236 5.03 51 -0.0521% 1,051.7
Perpetual-Discount 4.54% 4.57% 1,092,248 16.25 10 +0.1051% 1,053.9
Major Price Changes
Issue Index Change Notes
TOC.PR.B Floater -1.6541% Still gyrating, as it has since January 26. This time on volume of 873 shares. I wonder what the TSX is saying to the market maker.
GWO.PR.F PerpetualPremium -1.5771% RBC sold 5,000 shares at 3:24pm, which took the bid from 27.55 to 27.46. Now with a pre-tax bid-YTW of 2.70% based on a bid of 27.46 and a call 2008-10-30 at $26.00
ACO.PR.A OpRet -1.2821% Closed at 26.95-60, 100×5, but that fine bid was a late entry … some traded as low as 27.26 on the day. Now with a pre-tax bid-YTW of 3.35% based on a bid of $26.95 and a call 2008-12-31 at $26.00
WFS.PR.A SplitShare -1.0348% Now with a pre-tax bid-YTW of 4.11% based on a bid of 10.52 and a hardMaturity 2011-6-30.
BCE.PR.Z FixedFloater +1.0236% As recently discussed, this becomes exchangeable with BCE.PR.Y in December
FIG.PR.A InterestBearing +1.1905% Mergers & liquidity are good for you! The trouble, of course, comes with the call schedule. Now with a pre-tax bid-YTW of -17.67% based on a bid of $10.20 and a call 2007-3-8 at $10.00
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 77,046 Down substantially on the day (bid/bid). Somebody wanted to SELL!
SLF.PR.E PerpetualDiscount 57,415 Recent new issue. Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.65 and a limitMaturity.
PWF.PR.K PerpetualPremium 55,900 RBC crossed 50,000 at 26.27. Now with a pre-tax bid-YTW of 4.26% based on a bid of $26.20 and a call 2014-11-30 at $25.00
CM.PR.I PerpetualPremium 52,007 Nesbitt crossed 10,000 at 25.38. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.40 and a call 2016-3-1 at $25.00. Both better yield and better interest rate protection than the new issue. Just like yesterday!
SLF.PR.D PerpetualDiscount 26,412 Now with a pre-tax bid-YTW of 4.54% based on a bid of 24.73 and a limitMaturity

There were eighteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

February 5, 2007

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.04% 4.05% 28,531 17.36 1 +0.0401% 1,038.2
Fixed-Floater 4.81% 3.51% 103,723 8.23 7 +0.1475% 1,042.6
Floater 4.43% -30.31% 57,894 6.55 5 -0.0776% 1,057.7
Op. Retract 4.72% 2.32% 74,475 2.10 18 +0.1024% 1,027.9
Split-Share 5.17% 0.86% 272,353 2.52 13 -0.1860% 1,040.8
Interest Bearing 6.70% 4.30% 71,118 3.88 6 +0.0265% 1,035.0
Perpetual-Premium 5.03% 4.05% 236,263 5.04 51 +0.0356% 1,052.2
Perpetual-Discount 4.55% 4.58% 1,113,363 16.24 10 +0.0202% 1,052.8
Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare -1.2127% It’s always the way, eh? This is an issue I like. And on the first day of trading after an issue I don’t like gets called (DIV.PR.A), it’s the issue I like that craps out. Such is life in the preferred market. LBS.PR.A now has a pre-tax bid-YTW of 4.32% based on a bid of $10.59 and a hardMaturity 2013-11-29 at $10.00.
Volume Highlights
Issue Index Volume Notes
SLF.PR.C PerpetualDiscount 59,130 Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.75 and a limitMaturity.
CM.PR.H PerpetualPremium 51,137 RBC crossed 27,000 at $26.00. Now with a pre-tax bid-YTW of 4.26% based on a bid of $25.90 and a call 2014-4-29 at $25.00.
SLF.PR.E PerpetualDiscount 43,790 Recent new issue. Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.66 and a limitMaturity.
POW.PR.D PerpetualPremium 33,890 Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.31 and a call 2014-11-30 at $25.00
CM.PR.I PerpetualPremium 26,470 Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.40 and a call 2016-3-1 at $25.00. Both better yield and better interest rate protection than the new issue.

There were eleven other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

February 2, 2007

Technical difficulties (like mainly the fact that I have no brains at all and wiped out a few records in files that now have to be rebuilt … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!

Major Price Changes
Issue Index Change Notes
DIV.PR.A SplitShare -1.1538% Still with a pre-tax bid-YTW of -11.19%, (yes, that’s NEGATIVE DOUBLE FIGURES) based on a bid of $25.70 and an immediate call at $25.20. This possibility was discussed briefly on January 9 when the yield-to-worst on the SplitShare index went negative.
CM.PR.R OpRet -1.0943% Now with a pre-tax bid-YTW of 3.48% based on a bid of $26.21 and a call 2008-5-30 at $25.75. There wasn’t much volume for this move – only 2,300 shares – but perhaps somebody wanted to switch into the new issue.
AL.PR.E Floater +1.1278% This also did well yesterday, but with volume of only 1,600 shares one can’t read too much into it.
TOC.PR.B Floater +2.2291% Closed at $26.60-99 10×9 on volume of 1,223 shares. Retail’s gone wild!
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 450,415 New issue settled today. Now with a pre-tax bid-YTW of 4.57% based on a bid of $24.68 and a limitMaturity.
SLF.PR.D PerpetualDiscount 72,139 Presumably driven by the trading in SLF.PR.E. Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.70 and a limitMaturity.
CM.PR.I PerpetualPremium 67,176 Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.34 and a call 2016-3-1 at $25.00.
GWO.PR.I PerpetualDiscount 58,460 Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.76 and a limitMaturity.
WN.PR.D PerpetualPremium 52,650 RBC crossed 50,000 at $26.15. Now with a pre-tax bid-YTW of 4.58% based on a bid of $26.17 and a call 2014-10-31 at $25.00. There’s a lot more interest rate protection here than with the other high-volume issues today, but the credit’s not as good. Choose your risks!

There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Update, finally!

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.04% 4.05% 27,587 17.37 1 -0.1600% 1,037.8
Fixed-Floater 4.81% 3.51% 105,544 8.21 7 +0.0566% 1,041.0
Floater 4.43% -30.91% 58,710 6.55 5 +0.6735% 1,058.5
Op. Retract 4.72% 2.28% 75,304 2.10 18 -0.0176% 1,026.9
Split-Share 5.16% 0.67% 278,230 2.53 13 -0.1583% 1,042.7
Interest Bearing 6.70% 4.73% 71,564 3.89 6 +0.1780% 1,034.7
Perpetual-Premium 5.03% 4.10% 239,367 5.02 51 +0.0398% 1,051.8
Perpetual-Discount 4.55% 4.58% 1,133,846 16.25 10 -0.0965% 1,052.6
Market Action

February 1, 2007

Technical difficulties (like mainly the fact that I have no brains at all and wiped out a few records in files that now have to be rebuilt … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!

Major Price Changes
Issue Index Change Notes
BCE.PR.C FixedFloater +1.1041%  
HSB.PR.C PerpetualPremium +1.1236% Now with a pre-tax bid-YTW of 3.87% based on a bid of $27.00 and a call 2010-7-30 at $26.00
AL.PR.E Floater +1.3717%  
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualPremium 203,400 Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.39 and a call 2016-3-1 at $25.00
RY.PR.E PerpetualDiscount 172,524 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.96 and a limitMaturity
BMO.PR.J PerpetualDiscount 59,550 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.96 and a limitMaturity.
SLF.PR.B PerpetualPremium 29,090 Now with a pre-tax bid-YTW of 4.43% based on a bid of $25.75 and a call 2014-10-30 at $25.00.
GWO.PR.I PerpetualDiscount 28,975 Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.77 and a limitMaturity.

There were ten other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Update, finally!

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.03% 4.03% 27,943 17.39 1 +0.1603% 1,039.5
Fixed-Floater 4.82% 3.58% 108,216 6.36 7 +0.1919% 1,040.4
Floater 4.46% -24.77% 59,009 6.60 5 +0.2230% 1,051.4
Op. Retract 4.72% 2.49% 75,761 2.10 18 -0.0205% 1,027.1
Split-Share 5.15% -0.40% 284,727 2.53 13 +0.0263% 1,044.4
Interest Bearing 6.65% 6.08% 67,549 4.71 7 -0.0275% 1,032.8
Perpetual-Premium 5.04% 4.07% 242,162 4.99 51 +0.0838% 1,051.4
Perpetual-Discount 4.55% 4.58% 973,833 16.24 9 +0.0627% 1,053.6
Market Action

January 31, 2007

Technical difficulties (like mainly the fact that I have no brains at all and wiped out a few records in files that now have to be rebuilt … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!

Major Price Changes
Issue Index Change Notes
TOC.PR.B Floater -2.1805% Just like yesterday, except this loss was on volume of 300 shares on two trades, both at $26.60. This volatility has been with us since the ridiculous volatility of January 26, but now that it’s closed at $26.02-60, 5×12, things may be back to normal. The closing quote on January 25 was 25.91-84.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 128,955 Now with a pre-tax bid-YTW of 4.58% based on a bid of $24.76 and a limitMaturity
PWF.PR.J OpRet 104,450 Desjardins crossed 59,000 at 26.90, then another 38,000 at the same price. Now with a rather unattractive pre-tax bid-YTW of 2.35% based on a bid of $26.74 and a call 2008-5-30 at $26.00. I discussed this issue recently … I don’t really understand why anybody would pay such fancy prices in size …. but I suppose the buyer is firmly focussed on the 3.51% pre-tax bid-YTW resulting if the issue survives until its softMaturity 2013-7-30 at $25.00
PWF.PR.K PerpetualPremium 102,600 Scotia crossed two tranches of 50,000 shares, both at $26.05. I like this Power Financial issue much better! Pre-tax bid-YTW of 4.40% based on a bid of $25.95 and a call 2014-11-30 at $25.00.
MFC.PR.C PerpetualPremium 74,800 Nesbitt crossed 53,700 at $24.90. Yes, it’s in the PerpetualPremium index now, sure, but it will be in the PerpetualDiscount index after the indices are rebalanced. Now with a pre-tax bid-YTW of 4.56% based on a bid of $24.90 and a limitMaturity.
MFC.PR.B PerpetualPremium 62,570 National Bank crossed 10,000 at 25.32, then another 40,000 at the same price. Now with a pre-tax bid-YTW of 4.54% based on a call 2014-4-18 at $25.00

There were fourteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Update, finally!

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.04% 4.04% 29,090 17.38 1 0.00% 1,037.8
Fixed-Floater 4.83% 3.67% 81,160 8.38 7 -0.1845% 1,038.4
Floater 4.54% -22.04% 64,084 4.63 4 -0.6029% 1,049.1
Op. Retract 4.70% 2.23% 79,245 2.18 17 -0.0950% 1,027.3
Split-Share 5.06% -0.08% 341,679 2.81 11 +0.0876% 1,044.1
Interest Bearing 6.72% 6.11% 71,367 4.48 6 -0.1703% 1,033.1
Perpetual-Premium 5.02% 4.02% 261,859 5.75 56 +0.0305% 1,050.6
Perpetual-Discount 4.52% 4.53% 1,343,838 16.30 5 -0.0804% 1,052.9
Market Action

January 30, 2007

Technical difficulties (like mainly the fact that I have no brains at all and wiped out a few records in files that now have to be rebuilt … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!

Major Price Changes
Issue Index Change Notes
TOC.PR.B Floater -2.3853% The trading range today was 27.00-25 (which is reasonable) on volume of 2,884. Closed at 26.60-25, 2×17. Today continues the gyrations that began January 26.
AL.PR.E Floater -1.2222%  
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 1,688,894 Wow! Scotia crossed 1,370,000 for cash at 26.20, then another 214,000 at the same price and terms. The issue is between dividends right now, so it’s difficult to tell what’s going on here. The close was 25.65-79, 10×1, so $26.20 is a pretty rich price (although if somebody really wanted to put $25-million to work in fixed-floaters in a hurry, then it’s more understandable). I wonder … I think doing it for cash bypasses the market, so it might be possible that it was done this way to avoid icebergs and other unpleasantness on the regular trading book. That probably breaks about 27 different trading regulations with which I have very little familiarity … so I’ll just toss the (insulting?) idea out and hope somebody explains!
BC.PR.B FixedFloater 948,500 Wow! Scotia crossed 947,700 for cash at $25.70. This issue is also well inside its dividend period. The close was 25.21-35, 5×8. Patterns and conspiracy theories, anyone?
SLF.PR.A PerpetualPremium 542,650 Wow! Nesbitt crossed 50,000 at $25.75; Scotia crossed 480,000 at $25.80 (everything regular this time!). Now with a pre-tax bid-YTW of 4.39% based on a bid of $25.70 and a call 2014-4-30 at $25.00. Perhaps this is related to Friday’s new issue settlement?
GWO.PR.H PerpetualPremium 374,444 Scotia crossed 370,100 at $25.70. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.70 and a call 2014-10-30 at $25.00. Same yield as the new Sunlifes, rated Pfd-1(low) by DBRS, same as the new Sunlifes, better interest-rate protection due to the $1.2125 annual dividend … what’s not to like?
MFC.PR.C PerpetualDiscount 308,075 Scotia crossed 300,000 at $25.00. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.94 and a limitMaturity.
PWF.PR.H PerpetualPremium 283,150 Now with a pre-tax bid-YTW of 4.72% based on a call 2011-1-9 at $25.25. An attractive issue, not usually quite so liquid.
BMO.PR.H PerpetualPremium 257,900 Scotia crossed 250,000 at $27.13. Now with a pre-tax bid-YTW of 4.03% based on a bid of $26.98 and a call 2013-3-27 at $25.00.
RY.PR.A PerpetualPremium 172,725 Scotia crossed 150,000 at $24.89. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.72 and a limitMaturity. This will almost certainly be moved into the PerpetualDiscount index at month-end.
SLF.PR.C PerpetualDiscount 125,950 Scotia crossed 112,000 at $24.85. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.78 and a limitMaturity.
BAM.PR.M PerpetualPremium 110,323 Now with a pre-tax bid-YTW of 4.80% based on a bid of $24.96 and a limitMaturity.
WFS.PR.A SplitShare 148,100 OK, so maybe this doesn’t belong in such exalted company due to the $10 par value on the shares … but it does seem a little hard for a seasoned split-share to trade more than $1-million worth and not get mentioned! Now with a pre-tax bid-YTW of 3.71% based on a bid of $10.68 and a hardMaturity.

There were twenty-three other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

A busy day for Scotia! Just like December 20 … or maybe December 6. It’s days like this that embarrass those who claim the pref market is totally illiquid. Just because the average is low doesn’t mean you can’t find liquidity if you look for it patiently!

Update, finally!

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.04% 4.04% 30,285 17.39 1 -0.1999% 1,037.9
Fixed-Floater 4.82% 3.46% 82,196 8.37 7 +0.0852% 1,040.4
Floater 4.51% -28.23% 64,284 0.13 4 -0.8643% 1,055.5
Op. Retract 4.69% 2.26% 79,685 2.18 17 -0.0304% 1,028.3
Split-Share 5.07% 0.00% 352,103 2.81 11 -0.1662% 1,043.2
Interest Bearing 6.71% 5.98% 71,630 4.47 6 +0.0067% 1,034.9
Perpetual-Premium 5.02% 4.06% 264,226 5.77 56 +0.0543% 1,050.2
Perpetual-Discount 4.51% 4.53% 1,367,720 16.31 5 -0.0557% 1,053.8