December 20, 2006

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 4.16% 4.19% 35,352 17.07 1 +0.0403% 1,024.8
Fixed-Floater 4.78% 3.74% 99,889 8.36 7 -0.0053% 1,034.9
Floater 4.48% -21.70% 62,865 0.34 5 +0.0480% 1,042.0
Op. Retract 4.64% 1.02% 84,391 2.19 17 +0.0047% 1,031.8
Split-Share 5.06% 1.63% 247,660 2.51 9 -0.0408% 1,042.2
Interest Bearing 6.96% 5.84% 81,930 2.34 7 -0.0672% 1,026.2
Perpetual-Premium 5.00% 3.47% 289,050 4.19 52 +0.0026% 1,054.9
Perpetual-Discount 4.52% 4.50% 899,077 11.75 6 +0.0334% 1,061.2
Major Price Changes
Issue Index Change Notes
MFC.PR.B PerpetualPremium -1.0832% Now with a pre-tax bid-YTW of 4.31% based on a bid of 25.57 and a call 2014-4-18 at 25.00.
Volume Highlights
Issue Index Volume Notes
GWO.PR.F PerpetualPremium 401,887 The highest priced index-included perpetual, at 28.07b. Nesbitt crossed 100,000 at 28.10. Now with a pre-tax bid-YTW of 1.28% based on a bid of 28.06 and a call 2008-10-30 at 26.00. It might last a while and get called 2012-10-30 at 25.00, but with an annual dividend of 1.475 and a call schedule declining by 0.25 annually, I don’t like its chances. You can get better than 3.57% without the risk of an early, horrid call anyway.
TD.PR.M OpRet 381,850 Royal processed an internal cross at 27.78. Now with a pre-tax bid-YTW of 2.18% based on a call 2009-5-30 at $26.00, but it would appear some people are confident it will last until a call at $25.00 2013-10-30, to yield 3.12%
CM.PR.D PerpetualPremium 312,702 Another very-high-priced perpetual, at 27.51b. Nesbitt crossed 100,000 at 27.68. Now with a pre-tax bid-YTW of 1.91% based on a bid of 27.54 and a call 2008-5-31 at $26.00. It might last until 2012-5-30, to have yielded 3.86%. With an annual dividend of 1.4375, it might not!
PWF.PR.I PerpetualPremium 304,010 Nesbitt crossed 200,000 at 27.50, then another 100,000 at the same price three hours later. Now with a pre-tax bid-YTW of 2.44% based on a bid of 27.43 and a call 2008-5-30 at $26.00. Pays 1.50, so is there really a competent and confident school of thought that thinks it will last until a call at 25.00 2012-5-30, yielding 4.19%? The relatively recent PWF.PR.L pays 1.275.
NA.PR.K PerpetualPremium 202,815 The second-highest-priced index-included perpetual, at 27.90b. Nesbitt crossed 200,000 at 27.98. Now with a pre-tax bid-YTW of 1.03% based on a bid of 27.90 and a call 2008-6-14 at 26.00. It will yield 3.64% if it lasts until a 25.00 call 2012-6-14. Too chancy for me! Pays 1.4625.
PWF.PR.A Scraps 200,000 Royal processed an internal cross of 200,000 at 25.45. A floating rate issue, currently out of the index due to insufficient volume.
CM.PR.B PerpetualPremium 198,945 Called for redemption.
ACO.PR.A OpRet 115,349 Royal processed an internal cross of 115,000 shares at 28.25. Now with a pre-tax bid-YTW of 1.57% based on a bid of 28.13 and a call 2008-12-31 at 26.00. It pays 1.4375 and has a very steeply declining call premium (0.50 p.a.), so it might make last longer.
GWO.PR.X OpRet 108,897 Nesbitt crossed 100,000 at 27.50. Pre-tax bid-YTW now 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00. It might last longer – the call premium declines by 0.33 p.a. – but I’ll let other people bet on that one.
NSI.PR.D Scraps 101,100 Royal processed an internal cross of 100,000 at 30.00. Not the biggest trader in the world, which is why it’s not in the OpRet index … at a bid of 29.62, it has a pre-tax bid-YTW of 3.62% based on a call 2015-11-14 at 25.00. This compares to 3.15% at the ask price of 30.61.

There were nineteen other index-included issues with over 10,000 shares traded today.

2 Responses to “December 20, 2006”

  1. [...] Yesterday’s heavy trading continues. Now with a pre-tax bid-YTW of 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00 … but given that it’s a retractible paying 1.20, with the call premium declining at 0.33 p.a., it might make it to the softMaturity 2013-9-29, yielding 3.15%. [...]

  2. [...] 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! [...]

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