Market Action

October 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% 4.21% 42,517 10.51 2 0.1002% 1,015.7
Fixed-Floater 5.00% 4.01% 216,451 12.38 7 0.0794% 1,017.2
Floater 4.52% -19.54% 80,475 6.53 5 -0.2086% 1,020.8
Op. Retract 4.67% 2.49% 90,995 2.43 17 0.0308% 1,017.1
Split-Share 4.92% 3.12% 60,375 3.05 10 0.0379% 1,017.6
Interest Bearing 6.89% 4.74% 53,759 2.05 7 0.1077% 1,022.4
Perpetual-Premium 5.12% 3.93% 176,642 4.23 47 -0.0108% 1,030.1
Perpetual-Discount 4.59% 4.61% 324,524 16.20 6 0.0069% 1,038.0
Major Price Changes
Issue Index Change Notes
PWF.PR.A Floater -1.5504% Giving up most of yesterday’s gains on good volume of 21,600 shares. Scotia crossed 20,000 @ 25.45
Volume Highlights
Issue Index Volume Notes
TD.PR.O PerpetualPremium 131,245 Nesbitt had an internal cross @ 26.07
IGM.PR.A OpRet 131,114  
PWF.PR.L PerpetualPremium 116,100 There were a number of blocks put through today: RBC crossed 43,900 @ 26.15, followed by National (10,000), Scotia (25,000) and National again (10,000) at the same price. Scotia then crossed 24,700 @ 26.25 just before the close. At a closing bid of 26.15, this issue still has a Pre-tax YTW of 4.62% based on a call in 2015.
GWO.PR.G PerpetualPremium 102,960 RBC crossed 100,000 shares @ 26.55
PWF.PR.G PerpetualPremium 102,000 Scotia crossed 100,000 shares at $26.55 (a popular price for 100,000 share lots of issues ending in G today). For this issue, the Pre-Tax YTW at the closing bid of $26.51 is 4.56% based on a call in 2007 … if it survives to its call-at-par date in 2011, the yield will have been 4.77%. Doesn’t seem like there’s much upside to this issue, though.
ELF.PR.F PerpetualPremium 100,000 Nesbitt crossed 100,000 @ $26.25. This issue has a YTW of 4.57% based on a call in 2013, but since it’s only rated Pfd-2(low) by DBRS, it seems expensive at the closing quote of 26.10-41, especially since the new issue comes with a coupon of 4.75%.

There were twenty-one other index-included issues trading over 10,000 shares today.

Market Action

October 3, 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 4.30% 4.23% 41,261 10.48 2 -0.0798% 1,014.6
Fixed-Floater 5.00% 4.01% 221,623 12.37 7 0.0228% 1,016.4
Floater 4.51% -22.83% 79,954 6.49 5 0.3622% 1,022.9
Op. Retract 4.67% 2.47% 89,098 2.47 17 -0.0837% 1,016.8
Split-Share 4.93% 2.89% 60,359 3.03 10 0.3260% 1,017.2
Interest Bearing 6.90% 4.81% 53,847 1.81 7 -0.1221% 1,021.3
Perpetual-Premium 5.12% 3.76% 175,175 4.21 47 0.0972% 1,030.2
Perpetual-Discount 4.59% 4.61% 326,319 16.21 6 -0.0266% 1,037.9
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet -1.5575% Did this on volume of 1,922 shares and closed at $27.81-40. The day’s low was $28.00, which means that a good chunk of this poor performance was due to the bid only, not to actual trades.
PWF.PR.A Floater +1.7751% No trading, but there’s a bid for 1500 shares at $25.80! At this price, the issue has a Current Yield of only 4.07%, the lowest of the five issues in the “Floater” index … and YTW is large and negative.
WFS.PR.A SplitShare +1.3258%  
GWO.PR.G PerpetualPremium +1.0274% I think it’s a little pricey at the bid-side of $26.55, but what do I know? The YTW is 4.24% based on a call in 2014
POW.PR.C PerpetualPremium +1.0208% Only 100 shares are bid at the closing $26.72
Volume Highlights
Issue Index Volume Notes
NA.PR.L PerpetualPremium 67,410 Nesbitt bought 57,800 from Scotia at $25.60 in three successive tranches.
IGM.PR.A OpRet 42,359  
PWF.PR.L PerpetualPremium 35,100 Scotia crossed 33,700 @ $26.15, which was the closing bid.
CM.PR.A OpRet 29,850 Scotia crossed 25,100 at $26.75, which was the closing bid. These have a YTW of only 1.47% at this level, but will have yielded 3.65% if they survive until just before their retraction date.
FTS.PR.F Scraps 29,780 Let’s hear it for the Little New Issue That Could (stay above par).

There were fourteen other index-included issues trading over 10,000 shares today.

The large number of index-included issues that had absolute returns in excess of 1% today makes the market look a little sloppy. Could this have something to do with the continuation of The Great Oil Slaughter of 2006?

Market Action

October 2, 2006

Note that the index has been rebalanced and as a result statistical characterizations of the various indices will not be directly comparable to those of September 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 4.31% 4.31% 42,382 10.49 2 -0.1199% 1,015.4
Fixed-Floater 5.00% 3.96% 227,096 10.1 7 0.0062% 1,016.2
Floater 4.52% -19.11% 82,554 6.51 5 -0.0552% 1,019.2
Op. Retract 4.67% 2.59% 88,254 2.59 17 0.0047% 1,017.6
Split-Share 4.94% 2.96% 60,246 3.03 10 -0.0602% 1,013.9
Interest Bearing 6.89% 4.64% 54,362 1.81 7 -0.0861% 1,022.6
Perpetual-Premium 5.13% 4.00% 176,118 4.21 47 0.0289% 1,029.2
Perpetual-Discount 4.59% 4.61% 328,409 16.21 6 -0.0672% 1,038.2
Major Price Changes
Issue Index Change Notes
TCA.PR.X PerpetualPremium +1.0538% Both TCA.PR.X and TCA.PR.Y were strong today. The “X” closed at 53.70, with a YTW of 4.34% based on a call in 2013.
Volume Highlights
Issue Index Volume Notes
POW.PR.B PerpetualPremium 105,050 Nesbitt crossed 100,000 @ $25.85. This issue has a YTW of 4.53% based on a call at par in late 2010.
MFC.PR.B PerpetualPremium 63,325 Scotia crossed 44,000 @25.20. YTW is 4.58% based on a call at par in spring, 2014.
TCA.PR.X PerpetualPremium 21,865 Nesbitt crossed 20,000 @ 53.75. YTW is 4.34% based on a call in late 2013 at par (which is $50 for this issue).
BAM.PR.B Floater 21,325 Scotia crossed 20,000 @24.30.
TCA.PR.Y PerpetualPremium 17,839 Nesbitt crossed 16,800 @53.75

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

Index Construction / Reporting

Index Rebalancing: September 29, 2006

The following changes have been made to the composition of the experimental indices:

Ticker From To Because
PWF.PR.D OpRet Scraps Volume
PAY.PR.A SplitShares Scraps Volume
MIC.PR.A PerpetualPremium Scraps Volume
BAM.PR.G Scraps FixedFloater Volume
PWF.PR.A Scraps Floater Volume
FTU.PR.A Scraps SplitShares Volume
BC.PR.E Scraps RatchetRate Volume

MAPF

MAPF Results : September, 2006

The monthly return for Malachite Aggressive Preferred Fund has now been calculated. The unit price is $9.6162 after a third-quarter distribution of $0.050227.

Returns may therefore be calculated as:

Period Ending September 29, 2006 Return (see Note)
Month +1.45%
Quarter +3.51%
Year +5.96%
Two Years (Annualized) +6.52%
Three Years (Annualized) +9.44%
Four Years (Annualized) +14.67%
Five Years (Annualized) +10.47%
MAPF returns are shown after expenses, but before fees.

Note that past performance should not be taken as a guarantee of future performance. You can lose money investing in MAPF or any other investment. 

The nice thing about these returns is that they have been virtually entirely dividends and capital gains, resulting in a generally lower tax rate than for interest for most taxable investors.

Data Changes

HIMIPref Parameterization Changes

As a result of continuing optimization of parameters, the following optimizableParameters have been changed:

Parameter Old Value New Value
riskPseudoModifiedDurationPort 0.059 0.060
riskPseudoConvexityPort 0.014 0.012
instrumentYieldDisparityValuation 0.360 0.358

I do not consider any of these changes to be particularly earth-shaking (although every little bit helps!) and do not anticipate that any users will find that a slew of trades has suddenly been recommended.

Market Action

September 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 4.33% 4.34% 50,151 16.80 1 -0.2004% 1,016.7
Fixed-Floater 4.90% 3.93% 261,902 9.03 6 0.1192% 1,016.1
Floater 4.62% -19.97% 96,194 8.12 4 0.0899% 1,019.7
Op. Retract 4.68% 2.21% 85,108 2.21 18 0.0106% 1,017.6
Split-Share 4.98% 3.00% 60,250 2.67 10 -0.0640% 1,014.4
Interest Bearing 6.88% 4.61% 54,719 1.82 7 -0.0892% 1,023.4
Perpetual-Premium 5.14% 3.93% 174,623 4.12 48 0.1131% 1,028.9
Perpetual-Discount 4.58% 4.60% 331,188 16.23 6 -0.0938% 1,038.9
Major Price Changes
Issue Index Change Notes
There were no major price changes in index-included issues today.
Volume Highlights
Issue Index Volume Notes
RY.PR.B PerpetualPremium 39,735 A weak end to a great month – it gained almost exactly 1.75% on the month.
FTS.PR.F Scraps 33,885 2nd day of trading! Closed at 25.01-05, 10×50
MFC.PR.C PerpetualDiscount 29,060 National bought 10,200 from DS @ 24.92, then another 10,600 @ 24.87 an hour and a half later.
BC.PR.C FixedFloater 28,336  
BNS.PR.J PerpetualPremium 17,500 Nesbitt bought 15,000 from CIBC at 27.00. With a 1.313 coupon and no redemption possible until 2013, this one has a lot of protection against market yield increases, perpetual or no perpetual! The YTW is 3.92% at the closing bid of $27.00

There were nine other index-included issues trading over 10,000 shares today.

Issue Comments

NA.PR.K / NA.PR.L Dividend Timing

Those fun-loving directors at the National Bank! Always joking around!

I looked up their Dividend Calendar today in order to update the HIMIPref™ database and there is little, if any, consideration shown for consistency in dividend declaration.

I’ll reproduce their table here:

SHARES

BOARD APPROVAL

RECORD DATE

EX-DIVIDEND DATE

DIVIDEND PAYMENT  DATE

Common

2005-12-08

2005-12-29

2005-12-23

2006-02-01

Series 15

2005-12-08

2006-01-13

2006-01-11

2006-02-15

Series 16

2005-12-08

2006-01-13

2006-01-11

2006-02-15

Common

2006-03-02

2006-03-30

2006-03-28

2006-05-01

Series 15

2006-03-02

2006-04-17

2006-04-12

2006-05-15

Séries 16

2006-03-02

2006-04-17

2006-04-12

2006-05-15

Common

2006-05-25

2006-06-22

2006-06-20

2006-08-01

Series 15

2006-05-25

2006-07-07

2006-07-05

2006-08-15

Series 16

2006-05-25

2006-07-07

2006-07-05

2006-08-15

Common

2006-08-31

2006-09-28

2006-09-26

2006-11-01

Series 15

2006-08-31

2006-10-13

2006-10-11

2006-11-15

Series 16

2006-08-31

2006-10-13

2006-10-11

2006-11-15

Just because the ex-Date was on July 5 doesn’t mean that the October ex-Date will be anywhere near the 5th! Be careful! When I look at the past 14 dividends for NA.PR.K (not including the next one) I get the following frequency of ex-date-day-of-the-month:

Ex-Date Day of Month Frequency
4 1
5 3
6 3
7 3
8 1
9 1
11 1
12 1

The 11th and 12th are novel ex-dates, having been introduced only this year.

Yes, I know, it’s a small point. But I see strange trades going through all the time, with some poor retail guy putting through a trade where it’s obvious he hasn’t paid any attention to the ex-date. And by me, when somebody is kind enough to trade your debt on the secondary market, you try to keep things simple for them.

Miscellaneous News

PrefBlog Joins Financial Webring!

Readers will have noticed the occasional reference to Financial Webring Forum in this blog – I’ve been participating there for almost as long as it’s been around.

 I have now joined the Webring itself and the Webring Navigation bar to …

  http://www.financialwebring.com/

will now displayed at the footer of this page. I can’t show the navigation bar in this post … it’s a Javascript and my poor little blogging software gets confused … so to see the actual image, you’ll have to skip down to the footer.

I can’t say I agree with all participants in the Webring … not even some of the people all of the time! … but I strongly agree with the ideals!