{"id":297,"date":"2006-11-16T23:34:36","date_gmt":"2006-11-17T03:34:36","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=297"},"modified":"2006-11-16T23:34:36","modified_gmt":"2006-11-17T03:34:36","slug":"november-16-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=297","title":{"rendered":"November 16, 2006"},"content":{"rendered":"\n\n\n\n\n\n\n\n\n\n\n
Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version<\/strong><\/td>\n<\/tr>\n
Index<\/td>\nMean Current Yield (at bid)<\/td>\nMean YTW<\/td>\nMean Average Trading Value<\/td>\nMean Mod Dur (YTW)<\/td>\nIssues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n4.19%<\/td>\n4.14%<\/td>\n33,011<\/td>\n10.50<\/td>\n2<\/td>\n-0.0800%<\/td>\n1,017.7<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.82%<\/td>\n3.92%<\/td>\n123,010<\/td>\n14.66<\/td>\n7<\/td>\n-0.0154%<\/td>\n1,026.3<\/td>\n<\/tr>\n
Floater<\/td>\n4.59%<\/td>\n-20.21%<\/td>\n65,810<\/td>\n6.53<\/td>\n5<\/td>\n-0.1493%<\/td>\n1,029.4<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.66%<\/td>\n0.85%<\/td>\n81,264<\/td>\n2.26<\/td>\n18<\/td>\n-0.0057%<\/td>\n1,027.3<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.00%<\/td>\n3.33%<\/td>\n159,050<\/td>\n3.32<\/td>\n9<\/td>\n+0.0760%<\/td>\n1,028.8<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.93%<\/td>\n5.74%<\/td>\n64,834<\/td>\n1.90<\/td>\n7<\/td>\n+0.1369%<\/td>\n1,016.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.07%<\/td>\n3.96%<\/td>\n225,362<\/td>\n4.19<\/td>\n49<\/td>\n0.0195%<\/td>\n1,043.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.60%<\/td>\n4.63%<\/td>\n839,160<\/td>\n16.15<\/td>\n8<\/td>\n-0.0501%<\/td>\n1,038.1<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
There were no index-included issues with absolute returns greater than 1% on the day.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nVolume<\/td>\nNotes<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualDiscount<\/td>\n386,640<\/td>\nA new issue, that traded more on its second day of trading than on its first<\/a>! “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<\/a>. You’ve got a Sunlife issue there, rated Pfd-1(low) by DBRS<\/a>, 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:\u00a0<\/p>\n
    \n
  • 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.<\/li>\n
  • 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.<\/li>\n<\/ul>\n

    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.<\/td>\n<\/tr>\n

SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n107,805<\/td>\nClosed at 24.25-33, 1×80. Will these things never settle down<\/a>?<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualPremium<\/td>\n98,780<\/td>\nYTW 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<\/a> worth? That seems a little extreme.<\/td>\n<\/tr>\n
GWO.PR.X<\/td>\nOpRet<\/td>\n64,882<\/td>\nRBC 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.<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetualPremium<\/td>\n55,575<\/td>\nNesbitt 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.<\/td>\n<\/tr>\n<\/table>\n

There were twenty-one other index-included issues trading over 10,000 shares today.\n<\/p>\n

<\/p>\n","protected":false},"excerpt":{"rendered":"

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 …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-297","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/297","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=297"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/297\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=297"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=297"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=297"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}