May 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 5.18% 5.28% 40,243 15.21 2 0.0000% 959.2
Fixed-Floater 5.69% 5.31% 154,863 15.26 6 -0.2682% 909.4
Floater 4.82% 2.83% 79,977 11.20 3 +0.2956% 1,043.6
Op. Retract 4.76% 3.53% 83,894 2.49 17 -0.0688% 1,029.4
Split-Share 4.98% 4.30% 223,731 3.96 12 -0.0498% 1,048.0
Interest Bearing 6.54% 6.46% 70,777 5.26 5 -0.0316% 1,042.0
Perpetual-Premium 5.19% 4.60% 185,917 6.65 48 0.0681% 1,039.6
Perpetual-Discount 4.77% 4.80% 665,859 15.85 19 -0.4684% 1,022.0
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixFloat -1.6355% On heavy volume (see below), but the big trade was a 21.39 and the close was 21.05-49, 15×5, so the volume can’t be blamed. Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par.
RY.PR.E PerpetualDiscount -1.6142% Now with a pre-tax bid-YTW of 4.75% based on a bid of 23.77 and a limitMaturity.
GWO.PR.E OpRet -1.5004% Now with a pre-tax bid-YTW of 3.41% based on a bid of 26.26 and a call 2009-4-30 at 25.50. There are interesting things happening at GWO … but they’re not public just yet.
SLF.PR.D PerpetualDiscount -1.0707% A sell of 2,600 shares by RBC in five tranches starting at 3:56pm at 23.28 and ending at 3:57pm at 23.10 took the price down a bit. Now with a pre-tax bid-YTW of 4.81% based on a bid of 23.10 and a limitMaturity.
GWO.PR.I PerpetualDiscount -1.0373% On heavy volume (see below), which doesn’t appear to have affected the price directly. See above for link to GWO’s suspended animation. Now with a pre-tax bid-YTW of 4.78% based on a bid of 23.85 and a limitMaturity.
SLF.PR.A PerpetualPremium (for now!) +1.0514% On heavy volume (see below) which appears to have propped up the price. Closed at 24.99-00, 100×20. The last trade was a Scotia cross of 300,000 at 24.99; the penultimate trade was for 500 shares at 24.71. Now with a pre-tax bid-YTW of 4.71% based on a bid of 24.99 and a call 2014-4-30 at 25.00.
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixFloat 2,010,064 Wow! Scotia crossed 2,000,000 at 23.35. Exchange/Reset date is 2008-3-1 (Exchanges with series ‘AD’, not issued); Until then pays 5.54% of par.
CM.PR.P PerpetualPremium 844,330 Scotia crossed 540,000 at 26.18, then 300,000 at 26.20. Now with a pre-tax bid-YTW of 4.72% based on a bid of 26.08 and a call 2012-11-28 at 25.00.
BCE.PR.R FixFloat 800,500 Scotia crossed 800,000 at 21.39. Exchange/Reset date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par.
TD.PR.O PerpetualPremium 679,488 Scotia crossed 266,300 at 25.65, then 400,000 at 25.70. Now with a pre-tax bid-YTW of 4.49% based on a bid of 25.70 and a call 2014-11-30 at 25.00.
NA.PR.K PerpetualPremium 586,715 Scotia crossed 360,000 at 26.23, then another 225,000 at the same price. Now with a pre-tax bid-YTW of 4.88% based on a bid of 26.15 and a call 2012-6-14 at 25.00.
BCE.PR.A FixFloat 558,287 Scotia crossed 550,000 at 23.16. Exchange/Reset date is 2007-9-1 (Exchanges with series ‘AB’, not issued); until then pays 5.03% of par.
CM.PR.E PerpetualPremium 541,392 Scotia crossed 540,000 at 26.10. Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.08 and a call 2012-11-30 at 25.00.
CM.PR.I PerpetualPremium (for now!) 473,001 Scotia crossed 453,600 at 24.95. Now with a pre-tax bid-YTW of 4.75% based on a bid of 24.95 and a limitMaturity.
CU.PR.A PerpetualPremium 461,653 Scotia crossed 270,000 at 25.88, then 190,000 at the same price. Now with a pre-tax bid-YTW of 5.03% based on a bid of 25.83 and a call 2012-3-31 at 25.00.
CM.PR.D PerpetualPremium 452,510 Scotia crossed 450,000 at 25.96. Now with a pre-tax bid-YTW of 5.06% based on a bid of 25.90 and a call 2012-5-30 at 25.00.
BCE.PR.Z FixFloat 450,718 Scotia crossed 450,000 at 22.57. Exchange/Reset Date is 2007-12-1 (Exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 22.58-89, 2×6; the Ys closed at 22.50-99, 6×4.
SLF.PR.A PerpetualPremium (for now!) 408,698 Scotia crossed 100,000 at 24.99, then 300,000 at the same price. Now with a pre-tax bid-YTW of 4.71% based on a bid of 24.99 and a call 2014-4-30 at 25.00.
ENB.PR.A PerpetualPremium 328,227 Scotia crossed 225,000 at 25.09, then 100,000 at the same price. Now with a pre-tax bid-YTW of 5.22% based on a bid of 25.02 and a call 2008-1-1 at 25.00.
HSB.PR.C PerpetualPremium 288,179 Scotia crossed 275,000 at 26.39. Now with a pre-tax bid-YTW of 4.37% based on a bid of 26.35 and a call 2014-7-30 at 25.00.
CU.PR.B PerpetualPremium 272,053 Scotia crossed 270,000 at 26.18. Now with a pre-tax bid-YTW of 4.96% based on a bid of 26.16 and a call 2011-7-1 at 25.25.
CM.PR.G PerpetualPremium 231,025 Scotia crossed 225,000 at 26.11. Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.01 and a call 2014-5-31 at 25.00.
NSI.PR.D Scraps (Would be OpRet, but there are volume concerns … but not today, there aren’t!) 225,300 Scotia crossed 225,000 at 29.35. Now with a pre-tax bid-YTW of 4.13% based on a bid of 28.35 and a call 2015-11-14 at 25.00.
TCA.PR.X PerpetualPremium 183,001 Scotia crossed 180,000 at 52.35. Now with a pre-tax bid-YTW of 4.92% based on a bid of 52.15 and a call 2013-11-14 at 50.00.
GWO.PR.I PerpetualDiscount 164,810 See elsewhere in this post for a link to the GWO uncertainty summary. Now with a pre-tax bid-YTW of 4.78% based on a bid of 23.85 and a limitMaturity.
ELF.PR.F PerpetualPremium 142,001 Scotia crossed 140,000 at 26.44. Now with a pre-tax bid-YTW of 4.63% based on a bid of 26.11 and a call 2013-11-16 at 25.00.
POW.PR.B PerpetualPremium 105,040 Scotia crossed 100,000 at 25.65. Now with a pre-tax bid-YTW of 4.84% based on a bid of 25.59 and a call 2010-12-28 at 25.00.
TCA.PR.Y PerpetualPremium 102,701 Scotia crossed 100,000 at 52.45. Now with a pre-tax bid-YTW of 4.86% based on a bid of 52.41 and a call 2014-4-4 at 50.00.
PWF.PR.F PerpetualPremium 101,550 Scotia crossed 100,000 at 25.50. Now with a pre-tax bid-YTW of 5.03% based on a bid of 25.29 and a call 2010-12-30 at 25.00. That’s not too shabby for a Pfd-1(low) with some interest rate protection, despite the GWO uncertainty.
HSB.PR.D PerpetualPremium 101,150 Scotia crossed 100,000 at 26.25. Now with a pre-tax bid-YTW of 4.39% based on a bid of 26.21 and a call 2015-1-30 at 25.00.

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

Well, the Scotia guy will be enjoying a nice weekend! We’ll just have to hope he didn’t exceed the allowable bonus for his grade, or management will be tempted to destroy his career (it’s cheaper, you know).

This entry was posted on Saturday, May 26th, 2007 at 12:42 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

2 Responses to “May 25, 2007”

  1. PrefBlog » Blog Archive » May 28, 2007 says:
    May 29, 2007 at 12:18 am

    […] PrefBlog Canadian Preferred Shares – Data and Discussion « May 25, 2007 […]

  2. PrefBlog » Blog Archive » June 13, 2007 says:
    June 13, 2007 at 11:36 pm

    […] I know many readers will be shocked to hear this … but the perpetual indices actually recorded positive performance today! Yup, the perpetualPremium index was up for the first time since May 25 and the perpetualDiscount index is up for the first day since May 8. Not only that, but the list of “big price movers” is actually of manageable length … which is a source of relief for me, whatever the readers might think! […]

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