| 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 |
4.26% |
4.27% |
36,294 |
16.92 |
1 |
+0.0000% |
1,019.9 |
| Fixed-Floater |
4.81% |
3.76% |
98,551 |
8.36 |
7 |
-0.2776% |
1,028.9 |
| Floater |
4.46% |
-20.78% |
63,382 |
6.59 |
5 |
+0.0159% |
1,038.5 |
| Op. Retract |
4.62% |
-1.28% |
82,429 |
2.21 |
17 |
+0.0830% |
1,033.4 |
| Split-Share |
5.11% |
2.92% |
150,636 |
2.72 |
8 |
-0.0646% |
1,040.2 |
| Interest Bearing |
6.88% |
5.55% |
73,944 |
2.35 |
7 |
+0.0575% |
1,026.6 |
| Perpetual-Premium |
5.02% |
3.63% |
259,544 |
4.59 |
51 |
-0.0308% |
1,050.3 |
| Perpetual-Discount |
4.58% |
4.58% |
996,198 |
16.29 |
6 |
+0.0607% |
1,048.5 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BC.PR.C |
FixedFloater |
-1.5916% |
|
| POW.PR.A |
PerpetualPremium |
-1.0393% |
Currently about half-way through its redemption schedule. Pre-tax bid-YTW is now 3.81% based on a bid of $25.71 and a call 2007-7-11 at $25.25. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BCE.PR.C |
FixedFloater |
2,004,865 |
Wow. Scotia crossed 1,999,500 at 25.55 at 3:53pm |
| BCE.PR.R |
FixedFloater |
800,800 |
Wow. Scotia crossed 800,000 at 25.50 at 3:48pm
|
| BCE.PR.A |
FixedFloater |
552,100 |
Wow. Scotia crossed 550,000 at 25.40 at 3:49pm |
| CM.PR.P |
PerpetualPremium |
548,100 |
Wow. Scotia crossed 540,000 at 27.36 at 3:47pm. Now with a pre-tax bid-YTW of 3.89% based on a call 2012-11-28 and a bid of 27.31. |
| CM.PR.E |
PerpetualPremium |
543,280 |
Wow. Scotia crossed 540,000 at 27.18 at 3:46pm. Now with a pre-tax bid-YTW of 3.35% based on a call 2008-11-30 and a bid of 27.17 |
| CM.PR.D |
PerpetualPremium |
455,430 |
Wow. Scotia crossed 450,000 at 27.45 at 3:46pm. Now with a pre-tax bid-YTW of 2.17% based on a call 2008-5-30 at $26.00 and a bid of 27.43 |
| BCE.PR.Z |
FixedFloater |
451,935 |
Wow. Scotia crossed 450,000 at 25.45 at 3:48pm |
| NA.PR.K |
PerpetualPremium |
360,945 |
Wow. Scotia crossed 360,000 at 27.76 at 3:44pm. Now with a pre-tax bid-YTW of 1.35% based on a call 2008-6-14 at 26.00 and a bid of $27.76 |
| CU.PR.A |
PerpetualPremium |
270,650 |
Wow. Scotia crossed 270,000 at 27.12 at 3:45pm. Now with a pre-tax bid-YTW of 2.52% based on a call 2008-3-31 at 26.00 and a bid of 27.05 |
| CU.PR.B |
PerpetualPremium |
270,000 |
Wow. Scotia crossed 270,000 at 27.12 at 3:45pm. Now with a pre-tax bid-YTW of 3.16% based on a call 2008-7-1 at 26.00 and a bid of 27.06 |
| TD.PR.O |
PerpetualPremium |
268,189 |
Wow. Scotia crossed 266,300 at 26.36 at 3:47pm. Now with a pre-tax bid-YTW of 4.14% based on a call 2014-11-30 at 25.00 and a bid of 26.36 |
| ENB.PR.A |
PerpetualPremium |
225,500 |
Wow. Scotia crossed 225,000 at 25.60 at 3:44pm. Now with a pre-tax bid-YTW of -10.16% based on a call 2007-1-5 at 25.25 and a bid of 25.60. Given that it pays $1.375 and the redemption goes down by $0.25 next December, it probably has a good chance of making it to 2008-1-1, when it will have yielded 3.30%. Just not a chance I’d take, that’s all. |
| TCA.PR.X |
PerpetualPremium |
181,450 |
Wow. Scotia crossed 180,000 at 55.50 at 3:45pm. Now with a pre-tax bid-YTW of 3.97% based on a call 2013-11-14 at 50.00 and a bid of 55.25 |
| CM.PR.I |
PerpetualDiscount |
121,494 |
Boring recent new issue. Now with a pre-tax bid-YTW of 4.63% based on a call 2016-3-1 and a bid of 25.26 |
| SLF.PR.A |
PerpetualPremium |
108,925 |
Wow. Scotia crossed 99,500 at 25.90 at 3:50pm. Now with a pre-tax bid-YTW of 4.22% based on a call 2014-4-30 at 25.00 and a bid of 25.81 |
| CU.PR.T |
Scraps |
102,500 |
Wow. Scotia crossed 100,000 at 25.78 at 3:45pm. Now with a pre-tax bid-YTW of -16.52% based on a call 2007-1-5 at 25.00 and a bid of 25.50. I believe that this issue exists only due to regulatory boneheadism. |
| CU.PR.V |
Scraps |
101,400 |
Wow. Scotia crossed 100,000 at 25.40 at 3:45pm. Now with a pre-tax bid-YTW of -10.47% based on a call 2007-1-5 at 25.00 and a bid of 25.35. More regulatory boneheadism, as far as I know. |
There were fifteen other index-included issues with over 10,000 shares traded today.
I guess the Scotia preferred guy is enjoying a relaxing drink! That deal must have taken quite a while to set up, and the simultaneity leads me to suspect that they put a lot of their own capital on the line. Somebody’s rejigging their fixed-income portfolio in a big way – presumably selling, I wouldn’t think a high-rolling buyer would find so many simultaneous sellers, or that Scotia would cover the trade, but who knows? A lot of high-premium, somewhat low-yielding perps … being sold … you would do that if …. you thought rates were going to fall, in which case you would want to move into lower premium issues or discounts …. or if you thought rates were going to rise by a huge amount, in which case you might think the high premium wasn’t enough protection …. or …. or …. or … and the fixed-floaters … you would sell them anticipating a drop in rates … you would want to keep them if rates were going to rise by a huge amount … or … or … or …
This entry was posted on Wednesday, December 6th, 2006 at 11:55 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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[…] A busy day for Scotia! Just like December 20 … or maybe December 6. It’s days like this that embarrass those who claim the pref market is totally illiquid. Just because the average is low doesn’t mean you can’t find liquidity if you look for it patiently! […]