| 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 |
5.20% |
5.30% |
38,584 |
15.16 |
2 |
+0.1317% |
960.5 |
| Fixed-Floater |
5.71% |
5.34% |
154,302 |
15.16 |
6 |
-0.2559% |
907.1 |
| Floater |
4.81% |
2.02% |
81,079 |
11.18 |
3 |
+0.0536% |
1,044.2 |
| Op. Retract |
4.77% |
3.67% |
84,217 |
2.72 |
17 |
-0.1737% |
1,027.6 |
| Split-Share |
4.99% |
4.34% |
221,058 |
3.82 |
13 |
-0.0564% |
1,047.4 |
| Interest Bearing |
6.54% |
6.47% |
70,403 |
5.33 |
5 |
+0.0794% |
1,042.8 |
| Perpetual-Premium |
5.20% |
4.62% |
186,747 |
6.98 |
48 |
-0.2528% |
1,037.0 |
| Perpetual-Discount |
4.79% |
4.83% |
658,128 |
15.80 |
19 |
-0.5011% |
1,016.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BCE.PR.R |
FixFloat |
-3.2779% |
Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. After the heavy volume on May 25, the coup de grace was a bit of an anti-climax: a sale of 1,500 shares by Nesbitt just before the bell took the price from 20.58 to 20.36. Closed at 20.36-74, 3×1. |
| IAG.PR.A |
PerpetualDiscount |
-1.8330% |
A morning sale by Nesbitt of 2,400 shares seems to have taken out the bid (prices in four tranches started at 24.44 and finished at 24.05) that only bounced back a little. Closed at 24.10-49, 10×5. Now with a pre-tax bid-YTW of 4.83% based on a bid of 24.10 and a limitMaturity. |
| IGM.PR.A |
OpRet |
-1.2409% |
Now with a pre-tax bid-YTW of 4.00% based on a bid of 27.06 and a call 2009-7-30 at 26.00. |
| ACO.PR.A |
OpRet |
-1.0989% |
Traded as low as 26.77; closed at 27.00-30, 20×10. Now with a pre-tax bid-YTW of 3.01% based on a bid of 27.00 and a call 2008-12-31 at 26.00. |
| RY.PR.D |
PerpetualDiscount |
-1.0961% |
Traded as low as 23.25, a new 52-week low. Closed at 23.46-60, 3×5. Now with a pre-tax bid-YTW of 4.82% based on a bid of 23.46 and a limitMaturity. |
| POW.PR.B |
PerpetualPremium |
-1.0942% |
Traded as low as 25.16, a new 52-week low. Closed at 25.31-38, 43×3. Now with a pre-tax bid-YTW of 5.19% based on a bid of 25.31 and a call 2012-12-28 at 25.00. |
| ELF.PR.G |
PerpetualPremium (for now!) |
-1.0142% |
Now with a pre-tax bid-YTW of 4.92% based on a bid of 24.40 and a limitMaturity. |
| BCE.PR.I |
FixFloat |
+1.0779% |
Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BAM.PR.K |
Floater |
202,400 |
National Bank crossed 200,000 at 24.90. |
| GWO.PR.I |
PerpetualDiscount |
147,315 |
Nesbitt crossed 83,300 at 23.90. Now with a pre-tax bid-YTW of 4.79% based on a bid of 23.80 and a limitMaturity. There’s still some uncertainty about GWO’s capital market plans, and the recent downdraft doesn’t help. |
| GWO.PR.H |
PerpetualPremium |
76,510 |
Nesbitt crossed 11,100 at 25.32. Now with a pre-tax bid-YTW of 4.80% based on a bid of 25.32 and a limitMaturity. |
| CM.PR.J |
PerpetualDiscount |
52,670 |
RBC crossed 11,500 at 23.60 to end the day; four other crosses totalling 17,500 all at 23.60 preceded this. Now with a pre-tax bid-YTW of 4.84% based on a bid of 23.44 and a limitMaturity. |
| BMO.PR.J |
PerpetualDiscount |
36,990 |
Now with a pre-tax bid-YTW of 4.75% based on a bid of 23.76 and a limitMaturity. |
There were twenty-three other $25-equivalent index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, May 29th, 2007 at 12:18 am and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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Some of the BCE prfefs, for example, BCE S, have in their prospectus the provision of a dividend calculation that takes a pogressivively higher percentage of prime depending upon the pref trading below 24,875. Together with possibility of prime being raised, would this not present a buying opportunity for many, if not all, of the BCE floaters/ratchets, notwithstanding the possible credit downgrade as well as your distaste for floaters?
All of the BCE prefs in the HIMIPref universe have such a provision, either directly, or via exchange to such prefs on the exchange/reset date.
Yes, the low prices on the BCE prefs currently implies that a buyer of these things can expect that, absent default, the shares will (eventually) pay 100% of prime (or, currently, 6% or $1.50 per share per annum), OR that they will increase in price to around $25 thereby creating a capital gain.
The key phrase in the preceding paragraph is “absent default”. Three shares with such a provision are BBD.PR.B, NTL.PR.F and NTL.PR.G. The credit on Bombardier & Nortel is such that these issues are all trading below $20 and had a wild ride in the period after their respective downgrades … in the case of Nortel, really wild.
The calculated long term yield on the BCE issues is great. But it’s only yield if you actually get paid.
[…] Long Canadas are – taking today’s sell-off into account – trading in the 4.45% area, so we’ll say that perpetual prefs should be in the 6.55% interest-equivalent area, which is the 4.68% dividend area, which is more or less where they actually are, as of last night. […]