| 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 |
4.19% |
4.14% |
33,011 |
10.50 |
2 |
-0.0800% |
1,017.7 |
| Fixed-Floater |
4.82% |
3.92% |
123,010 |
14.66 |
7 |
-0.0154% |
1,026.3 |
| Floater |
4.59% |
-20.21% |
65,810 |
6.53 |
5 |
-0.1493% |
1,029.4 |
| Op. Retract |
4.66% |
0.85% |
81,264 |
2.26 |
18 |
-0.0057% |
1,027.3 |
| Split-Share |
5.00% |
3.33% |
159,050 |
3.32 |
9 |
+0.0760% |
1,028.8 |
| Interest Bearing |
6.93% |
5.74% |
64,834 |
1.90 |
7 |
+0.1369% |
1,016.8 |
| Perpetual-Premium |
5.07% |
3.96% |
225,362 |
4.19 |
49 |
0.0195% |
1,043.4 |
| Perpetual-Discount |
4.60% |
4.63% |
839,160 |
16.15 |
8 |
-0.0501% |
1,038.1 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| There were no index-included issues with absolute returns greater than 1% on the day. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| CM.PR.I |
PerpetualDiscount |
386,640 |
A new issue, that traded more on its second day of trading than on its first! “What’s up with CM.PR.I?” my correspondent today asked. To which I answer: “Yield!”. That’s the nice thing about fixed-income. Something’s always up. The issue closed today at $24.83-89, 20×252, so there are a lot of people willing to sell the issue at a discount from issue price (or, I should say, at least one person with a lot of shares!) The question regarding why it’s not trading at a premium puzzles me, quite frankly. Look at the Portfolio Evaluation for the Perpetual Premium Index. You’ve got a Sunlife issue there, rated Pfd-1(low) by DBRS, trading just a hair lower (in pre-tax YTW terms) than the IAG.PR.A – which are only Pfd-2(high) and have a much lower volume. The CM.PR.I are not only trading with a higher YTW than the Industrial Alliance issue, but are only six basis points lower-yielding (six PRE-TAX basis points!) than the WN.PR.E, which is only Pfd-2(low). It’s all rather odd, really, but I’ll take a stab at providing not just one, but two explanations:
- The issue is being sold by accounts who bought in hopes of a strong rush out of the gates and a quick flip. But too many people are playing that game and the exit door is getting crowded.
- Everybody who wants a Bank of Commerce preferred is already filled up to the gills with them; the bank has crowded itself out of the marketplace.
Either explanation could be correct – and both could be wrong. Trying to explain day-to-day moves in the markets is a game for fools and journalists, so I don’t do it much … I just try to keep an eye on basic analysis and trust that eventually the zigs will zag my way. |
| SLF.PR.D |
PerpetualDiscount |
107,805 |
Closed at 24.25-33, 1×80. Will these things never settle down? |
| SLF.PR.B |
PerpetualPremium |
98,780 |
YTW is 4.37% at the closing bid of $25.91, based on a call 2014-10-30 at $25.00. These pay $1.20 p.a., compared to the $1.1125 on the SLF.PR.C and SLF.PR.D, so admittedly there’s a little more interest-rate protection on the Bs than on the latter two issues. But 20-26bp worth? That seems a little extreme. |
| GWO.PR.X |
OpRet |
64,882 |
RBC crossed 30,000 at $27.55, then another 30,000 at the same price about 45 minutes later. Maybe the same 30,000? At the closing bid of $27.55, these had a bid-pre-tax-YTW of 2.73%, and a modified-duration-of-worst of 2.75. Huh. That’s the interest equivalent of 3.82% on a three-year bond: I can do better than that with Canadas. Somebody’s betting – actually, everybody’s betting – that they will last until their “soft Maturity” on 2013-9-29, to have yielded a munificent 3.25% (interest equivalent of 4.55% on a seven year bond … about the same as for bonds of comparable tenor and credit. |
| NA.PR.L |
PerpetualPremium |
55,575 |
Nesbitt processed an internal cross of 49,000 shares at $25.86. At this prices (which was the closing bid), they have a pre-tax YTW of 4.34%, based on a call 2014-6-14 at $25.00. |
There were twenty-one other index-included issues trading over 10,000 shares today.
This entry was posted on Thursday, November 16th, 2006 at 11:34 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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