| 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 | 4.07% | 4.08% | 30,505 | 17.29 | 1 | -0.2790% | 1,040.3 |
| Fixed-Floater | 4.81% | 3.53% | 91,487 | 8.17 | 7 | -0.2171% | 1,041.4 |
| Floater | 4.46% | -25.92% | 55,802 | 6.55 | 5 | +0.0062% | 1,052.2 |
| Op. Retract | 4.71% | 2.44% | 76,596 | 2.11 | 18 | +0.0443% | 1,029.7 |
| Split-Share | 5.09% | 1.43% | 281,421 | 2.65 | 14 | -0.0596% | 1,044.2 |
| Interest Bearing | 6.69% | 4.32% | 75,321 | 3.86 | 6 | -0.0161% | 1,036.0 |
| Perpetual-Premium | 5.04% | 3.70% | 228,848 | 5.10 | 51 | -0.0565% | 1,051.1 |
| Perpetual-Discount | 4.53% | 4.57% | 1,041,992 | 16.24 | 10 | +0.1088% | 1,057.1 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| WN.PR.C | PerpetualPremium | -1.0903% | On credit watch negative. This happened on volume of 12,400 shares, fairly high for this issue. Now with a pre-tax bid-YTW of 5.08% based on a bid of $25.40 and a call 2014-7-31 at $25.00 |
| SXT.PR.A | SplitShare | -1.0728% | Well – who knows? Maybe somebody noticed that the pre-tax bid-YTW on this issue is negative – and not by just a little bit, seeing as it’s callable 2007-3-15 at $25.00. Now with a pre-tax bid-YTW of -8.12% based on a bid of $25.82 and a call 2007-4-14 (allowing for the MATURITY_NOTICE_PERIOD) at $25.00. Who knows? This issue has been discussed before and what I said then still goes! |
| AL.PR.E | FloatingRate | +1.4981% | This is a strange issue, defying logic. In the first place, it has a strange dividend calculation: Greater of a & b, where b is lesser of c and d; a is 72% of index, c is 100% of index, d is Flat Rate 7.5% (#6)”. So it pays 100% of Canadian Prime. Pretty good, except it’s currently callable, and has been callable since January 1, 1993. It’s not like they’re short of money – they spent $466-million repurchasing common shares in 2006, and had net debt issuance of $179-million. According to a DBRS comment dated October 3, 2006, “Following the Pechiney acquisition in 2003, when leverage (gross debt-to-capital) reached a peak level of 50.6%, Alcan has aggressively reduced debt and attained the Company’s stated leverage target of 35% as of June 30, 2006”. So why are these prefs still alive? And why is anybody willing to take a chance and pay $27.00 for them? Sometimes this world doesn’t make any sense to me. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| WN.PR.B | OpRet | 247,886 | Credit watch negative! RBC crossed 50,000 at $26.02, TD crossed 121,900 at $26.02, Desjardins crossed 25,000 at $26.02 and finally TD crossed 50,000 at $26.02. Now with a pre-tax bid-YTW of 3.67% based on a bid of $26.00 and a softMaturity 2009-06-30. Sure, the credit watch isn’t pleasant … but the interest-equivalent is 5.14% at an equivalency factor of 1.40. Loblaws bonds (maturing 2010) are trading at about 36bp over Canadas, call it 4.46%. Seems a little disconnected to me. But sometime soon I’ll be discussing the Weston issues in comparison with what happened to poor old Bombardier … the pref market can over-react like crazy! |
| SLF.PR.C | PerpetualDiscount | 111,075 | Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.76 and a limitMaturity. |
| CM.PR.I | PerpetualPremium | 83,925 | Canaccord crossed 50,000 at $25.45 and followed up with another 16,600 at the same price. Now with a pre-tax bid-YTW of 4.49% based on a bid of $25.49 and a call 2016-3-1 at 4.49%. |
| GWO.PR.H | PerpetualPremium | 71,500 | Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.85 and a call 2014-10-30 at $25.00. |
| GWO.PR.X | OpRet | 66,728 | Now with a pre-tax bid-YTW of 2.60% based on a bid of $27.52 and a call 2009-10-30 at $26.00. Even if it lasts until the softMaturity of 2013-9-29, the yield is only 3.22%. Putnam or no Putnam, GWO has paid $27.37 for these in the past year, so making it past the first call date seems a little iffy to me. If only I understood about CL.PR.B … then I’d be happier … |
There were twenty-one other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
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