January 30, 2007

Technical difficulties (like mainly the fact that I have no brains at all and wiped out a few records in files that now have to be rebuilt … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!

Major Price Changes
Issue Index Change Notes
TOC.PR.B Floater -2.3853% The trading range today was 27.00-25 (which is reasonable) on volume of 2,884. Closed at 26.60-25, 2×17. Today continues the gyrations that began January 26.
AL.PR.E Floater -1.2222%  
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 1,688,894 Wow! Scotia crossed 1,370,000 for cash at 26.20, then another 214,000 at the same price and terms. The issue is between dividends right now, so it’s difficult to tell what’s going on here. The close was 25.65-79, 10×1, so $26.20 is a pretty rich price (although if somebody really wanted to put $25-million to work in fixed-floaters in a hurry, then it’s more understandable). I wonder … I think doing it for cash bypasses the market, so it might be possible that it was done this way to avoid icebergs and other unpleasantness on the regular trading book. That probably breaks about 27 different trading regulations with which I have very little familiarity … so I’ll just toss the (insulting?) idea out and hope somebody explains!
BC.PR.B FixedFloater 948,500 Wow! Scotia crossed 947,700 for cash at $25.70. This issue is also well inside its dividend period. The close was 25.21-35, 5×8. Patterns and conspiracy theories, anyone?
SLF.PR.A PerpetualPremium 542,650 Wow! Nesbitt crossed 50,000 at $25.75; Scotia crossed 480,000 at $25.80 (everything regular this time!). Now with a pre-tax bid-YTW of 4.39% based on a bid of $25.70 and a call 2014-4-30 at $25.00. Perhaps this is related to Friday’s new issue settlement?
GWO.PR.H PerpetualPremium 374,444 Scotia crossed 370,100 at $25.70. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.70 and a call 2014-10-30 at $25.00. Same yield as the new Sunlifes, rated Pfd-1(low) by DBRS, same as the new Sunlifes, better interest-rate protection due to the $1.2125 annual dividend … what’s not to like?
MFC.PR.C PerpetualDiscount 308,075 Scotia crossed 300,000 at $25.00. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.94 and a limitMaturity.
PWF.PR.H PerpetualPremium 283,150 Now with a pre-tax bid-YTW of 4.72% based on a call 2011-1-9 at $25.25. An attractive issue, not usually quite so liquid.
BMO.PR.H PerpetualPremium 257,900 Scotia crossed 250,000 at $27.13. Now with a pre-tax bid-YTW of 4.03% based on a bid of $26.98 and a call 2013-3-27 at $25.00.
RY.PR.A PerpetualPremium 172,725 Scotia crossed 150,000 at $24.89. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.72 and a limitMaturity. This will almost certainly be moved into the PerpetualDiscount index at month-end.
SLF.PR.C PerpetualDiscount 125,950 Scotia crossed 112,000 at $24.85. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.78 and a limitMaturity.
BAM.PR.M PerpetualPremium 110,323 Now with a pre-tax bid-YTW of 4.80% based on a bid of $24.96 and a limitMaturity.
WFS.PR.A SplitShare 148,100 OK, so maybe this doesn’t belong in such exalted company due to the $10 par value on the shares … but it does seem a little hard for a seasoned split-share to trade more than $1-million worth and not get mentioned! Now with a pre-tax bid-YTW of 3.71% based on a bid of $10.68 and a hardMaturity.

There were twenty-three other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

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!

Update, finally!

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 4.04% 4.04% 30,285 17.39 1 -0.1999% 1,037.9
Fixed-Floater 4.82% 3.46% 82,196 8.37 7 +0.0852% 1,040.4
Floater 4.51% -28.23% 64,284 0.13 4 -0.8643% 1,055.5
Op. Retract 4.69% 2.26% 79,685 2.18 17 -0.0304% 1,028.3
Split-Share 5.07% 0.00% 352,103 2.81 11 -0.1662% 1,043.2
Interest Bearing 6.71% 5.98% 71,630 4.47 6 +0.0067% 1,034.9
Perpetual-Premium 5.02% 4.06% 264,226 5.77 56 +0.0543% 1,050.2
Perpetual-Discount 4.51% 4.53% 1,367,720 16.31 5 -0.0557% 1,053.8

One Response to “January 30, 2007”

  1. [...] Just like yesterday, except this loss was on volume of 300 shares on two trades, both at $26.60. This volatility has been with us since the ridiculous volatility of January 26, but now that it’s closed at $26.02-60, 5×12, things may be back to normal. The closing quote on January 25 was 25.91-84. [...]

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