Archive for July, 2006

Comments and Requests: General

Thursday, July 20th, 2006

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Thursday, July 20th, 2006

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July 19, 2006

Wednesday, July 19th, 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%

Legal Notice and Disclaimer

Wednesday, July 19th, 2006

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The views expressed herein should not be construed as constituting investment, legal or tax advice to any investor, nor as an offer or solicitation of an offer to buy or sell any of the securities mentioned herein.  Such views are provided for informational purposes only, and neither HIMI nor any of its directors, officers or shareholders accept any liability for investment decisions which are based upon the information contained or views expressed herein.  Investment decisions based upon the information contained in this website are the sole responsibility of the investor and are made at the investor’s own risk.  Particular investments and investing strategies should be evaluated relative to each investor’s individual financial situation, investment objectives and risk tolerances, among other factors, and this evaluation should be made by the investor in conjunction with his or her investment and other appropriate advisors.

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Contact Information & Publisher

Wednesday, July 19th, 2006

This site is maintained by Hymas Investment Management Inc. as a public service.

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July 18, 2006

Tuesday, July 18th, 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!

July 17, 2006

Monday, July 17th, 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  

July 14, 2006

Monday, July 17th, 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%.

July 13, 2006

Monday, July 17th, 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

July 12, 2006

Monday, July 17th, 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