April 25, 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 4.38% 4.39% 40,923 16.62 2 -1.7378% 993.3
Fixed-Floater 5.48% 4.52% 113,399 16.34 6 -0.1914% 934.1
Floater 4.56% -18.20% 57,269 0.13 4 +0.0294% 1,061.5
Op. Retract 4.73% 3.20% 84,971 2.19 17 -0.0594% 1,033.6
Split-Share 5.03% 4.31% 185,491 4.02 12 -0.1573% 1,044.7
Interest Bearing 6.49% 4.33% 61,954 1.92 5 +0.2139% 1,049.3
Perpetual-Premium 5.06% 4.48% 224,795 6.32 54 -0.0600% 1,054.5
Perpetual-Discount 4.56% 4.58% 781,328 16.25 11 -0.0581% 1,060.0
Major Price Changes
Issue Index Change Notes
BCE.PR.T Scraps (would be FixedFloater, but there are volume concerns) -5.8065% Exchange/Reset date is 2011-11-1 (exchanges with BCE.PR.S); until then pays 4.502% of par.
BCE.PR.H Ratchet -2.0417% Exchange/Reset date is 2011-05-01 (exchange with BCE.PR.G).
BCE.PR.S Ratchet -1.4397% Exchange/Reset date is 2011-11-1 (exchange with BCE.PR.T).
BCE.PR.I FixedFloater -1.3636% Exchange/Reset date is 2011-08-01 (exchange with series ‘AJ’, not currently issued). Until then, pay 4.65% of par.
FTN.PR.A SplitShare -1.0628% More fallout from the denial of term extension? Now with a pre-tax bid-YTW of 3.86% based on a bid of 10.24 and a hardMaturity.
BCE.PR.R FixedFloater +1.3236% Even a dead-cat will bounce if it falls far enough! There hasn’t been a good performance from a BCE issue since they went on credit watch negative, but I think it’s too early to start looking for a recovery in these things. Exchange/Reset date is 2010-12-1 (with BCE.PR.S); until then they pay 4.540% of par
Volume Highlights
Issue Index Volume Notes
PWF.PR.I PerpetualPremium 205,465 TD crossed 203,800 at 26.25. Leftovers from yesterday! Now with a pre-tax bid-YTW of 4.92% based on a bid of 26.20 and a call 2010-5-30 at 25.50.
BPO.PR.H Scraps (would be OpRet, but there are credit concerns) 168,102 Scotia crossed 163,700 at 27.35. Now with a pre-tax bid-YTW of 4.51% based on a bid of 27.26 and a call 2012-1-30 at 26.00
BAM.PR.I OpRet 158,150 Scotia crossed 157,000 at 27.25. Now with a pre-tax bid-YTW of 3.23% based on a bid of 27.03 and a call 2009-7-30 at 25.75.
CM.PR.H PerpetualPremium 137,162 Now with a pre-tax bid-YTW of 4.33% based on a bid of 25.74 and a call 2014-4-29 at 25.00
CCS.PR.A Sometimes considered a Floater, but not right now since the floor rate exceeds the calculated floating rate. Not considered PerpetualPremium, either, because of credit AND volume concerns. And they’re not very cooperative, either! 101,970 Scotia crossed 100,000 at 25.20. Now with a pre-tax bid-YTW of 5.52% based on a bid of 25.10 and a limitMaturity.
CM.PR.R OpRet 92,800 Scotia crossed 91,400 at 26.30 for delayed delivery. Next ex-date is estimated as 6/26, so it’s probably not a dividend capture game. Now with a pre-tax bid-YTW of 3.34% based on a bid of 26.15 and a call 2008-5-30 at 25.75
SLF.PR.D PerpetualDiscount 68,960 Now with a pre-tax bid-YTW of 4.57% based on a bid of 24.50 and a limitMaturity

There were twenty-six other $25-equivalent index-included issues trading over 10,000 shares today.

3 Responses to “April 25, 2007”

  1. Drew says:

    It seems as though the preferred share market has become a bit more volatile than it has been recently, with a decidely negative tilt. Do you think perhaps the BCE tremors are spreading to the market, or parts of it, generally?

  2. jiHymas says:

    Yes, it certainly looked today as if the BCE carnage was spreading … there are some investors, I think, who have only just realized that risk does exist in the markets.

    As for how long it will last – who can tell? A quick look at BCE prices suggests that today was a “Pause Day” in the BCE decline, but I’ll have to confirm that in detail when I update HIMIPref™ quote files.

    I can’t say I really recognize any generalized flight to quality from quick glances – prefs seem to be getting hit irrespective of credit rating.

    At last! It has been a long time since there was any decent amount of volatility in this market!

  3. Drew says:

    It does seem indiscriminate, as though a big player or two is desperate to raise cash. Of course it is also spring, and it seems as though (if last spring is anything to go by) inflation worries blossom every spring.

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