November 17, 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 4.21% 4.17% 33,598 16.94 2 -0.1603% 1,016.0
Fixed-Floater 4.82% 3.94% 120,062 12.93 7 -0.0500% 1,025.8
Floater 4.49% -23.33% 65,900 6.52 5 +0.3540% 1,033.0
Op. Retract 4.66% 0.72% 80,926 2.26 18 +0.1157% 1,028.5
Split-Share 5.00% 3.37% 155,337 3.32 9 -0.0510% 1,028.3
Interest Bearing 6.92% 5.72% 66,261 2.04 7 +0.2431% 1,019.3
Perpetual-Premium 5.07% 3.96% 221,242 4.18 49 -0.0143% 1,043.3
Perpetual-Discount 4.59% 4.63% 833,444 16.15 8 +0.0763% 1,038.9
Major Price Changes
Issue Index Change Notes
DFN.PR.A SplitShares -1.0476 These split-shares are non-callable, which is nice … they mature on Dec. 1, 2009, according to their prospectus. And at today’s closing bid of $10.39, they have a yield-to-maturity of 3.95% – equivalent to 5.53% interest for many investors. For a three-year fixed income instrument, that’s not bad!
BSD.PR.A InterestBearing +1.6393% These things have been bouncing around a lot lately, due to a combination of fear of the income-trusts that ultimately back the paper, and the upcoming retraction event.
TOC.PR.B FloatingRate +1.9208% A client of TD Securities appears to have completely lost his mind, as TDS was on the buy side of the last ten trades of this issue, starting with 100 at $26.00 at 10:32am and continuing until 2:26pm with a final buy of 1,000 shares at $26.49. These ten trades accounted for 4,350 of the 7,750 shares traded today; the issue closed at $26.00-40, 1×1, a substantial change from the $25.50 closing bid yesterday. These puppies pay 70% of prime on $25.00 face value, so $1.05 annually. I don’t get it. A floater isn’t even a money market instrument!
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 98,143 The new issue continues to lead the volume list.
SLF.PR.D PerpetualDiscount 26,544 Still seem to be huge chunks of hot shares looking for a home!
BAM.PR.S InterestBearing 24,370 Called for redemption today, effective January 2, 2007.
TD.PR.M OpRet 18,200 Scotia crossed 12,500 at $27.49. At the closing bid of $27.45, these have a pre-tax YTW of 2.34%, based on a call 2009-5-30 … since this is only the equivalent of 3.26% on a bond, we will be charitable and assume the purchasers have good reason to think that it will last until its soft maturity 2013-10-30, when it will have yielded 3.17% pre-tax, interest equivalent of 4.44%, which is roughly maybe sorta equivalent to where TD bonds are trading institutionally. And who knows – maybe the purchasers will be right! Seems like a risky play to me, however, with no upside to compensate for the chance of an early call.
SLF.PR.A PerpetualPremium 14,775 Not the worst issue in town, with a pre-tax YTW of 4.42% based on a bid of $25.72 and a call at $25.00 2014-4-30. This is now ex-dividend, as today was the last day of trading cum-dividend. But I still say it’s expensive. And not just because they not only don’t post dividend information on their website, but use a service that doesn’t allow direct linking! Go to PRNewswire and search for “Sun Life” to verify dividend info, if you don’t trust me.

There were eight other index-included issues trading over 10,000 shares today.

Update, 2006-11-18: I stand corrected on my snarky comment about Sunlife and the alleged lack of preferred share information on their website – see the comments section. I will, however, say that this information is not as easy to find as it should be! “Shareholder FAQs”? What on earth is the information doing in “Shareholder FAQs”? I mean, especially since all the questions refer to preferred shares, why isn’t the information linked on the menu as “Preferred Shares”? And why aren’t there links to the prospectuses?

Yes, I made a mistake and maybe I’m being a little defensive. But they sure made it easy for the mistake to be made!

3 Responses to “November 17, 2006”

  1. like_to_retire says:

    [quote]And not just because they not only don’t post dividend information on their website, but use a service that doesn’t allow direct linking! Go to PRNewswire and search for “Sun Life” to verify dividend info, if you don’t trust me.[/quote].

    Go here for an overview of all their preferred shares:

    http://tinyurl.com/y64whc

    Go here for specific dividends and record dates etc.:

    http://tinyurl.com/yxru86

    ltr

  2. jiHymas says:

    Markup Note: One of the fun things about Internet discussion software is learning the markup conventions.

    The software for this blog interprets standard HTML markup, so the “quote /quote” in the above comment should have been “blockquote /blockquote” using “< " and ">” in place of “[” and “]”

  3. […] Continue to bounce around. No solid news yet about the upcoming retraction event. […]

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