June 11, 2007

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 5.54% 5.62% 31,218 14.64 2 -0.6802% 950.1
Fixed-Floater 5.72% 5.79% 138,113 14.59 7 -0.2449% 878,4
Floater 4.80% 0.43% 92,773 11.17 3 0.0136% 1,047.9
Op. Retract 4.82% 3.97% 85,598 3.42 17 -0.2845% 1,018.8
Split-Share 5.07% 4.82% 177,468 4.18 15 -0.0516% 1,033.7
Interest Bearing 6.63% 6.76% 89,249 6.11 4 +0.1482% 1,039.0
Perpetual-Premium 5.44% 5.21% 143,352 9.59 34 -0.1489% 1,011.8
Perpetual-Discount 5.12% 5.17% 550,310 15.21 29 -0.6742% 951.6
Major Price Changes
Issue Index Change Notes
IAG.PR.A PerpetualDiscount -4.0860% Now with a pre-tax bid-YTW of 5.16% based on a bid of 22.30 and a limitMaturity. New low today of 22.50; closed at 22.30-60, 9×10.
CM.PR.H PerpetualDiscount -2.2194% Now with a pre-tax bid-YTW of 5.31% based on a bid of 22.91 and a limitMaturity. New low today of 22.76.
TCA.PR.Y PerpetualPremium -1.6237% Now with a pre-tax bid-YTW of 5.21% based on a bid of 51.50 and a call 2014-4-4 at 50.00. New low today of 51.50.
NA.PR.L PerpetualPremium (for now!) -1.6169% Now with a pre-tax bid-YTW of 5.15% based on a bid of 23.73 and a limitMaturity. This move is particularly strange when compared with the performance of NA.PR.K, below. New low today of 23.73.
BAM.PR.M PerpetualDiscount -1.5281% Now with a pre-tax bid-YTW of 5.53% based on a bid of 21.91 and a limitMaturity. New low today of 21.90.
GWO.PR.E OpRet -1.5205% Now with a pre-tax bid-YTW of 4.37% based on a bid of 25.26 and a call 2011-4-30 at 25.00. GWO announced a debt issue today, which should start to clarify the situation with respect to their preferreds – this one has an outstanding issuer bid.
TD.PR.M OpRet -1.5038% Now with a pre-tax bid-YTW of 3.96% based on a bid of 26.20 and a softMaturity 2013-10-30 at 25.00. Today’s low was 26.60, but the closing quote was 26.20-40, 10×17 and the 52-week low is 26.30.
BCE.PR.S Ratchet -1.3772% Exchange/Reset date is 2011-11-1 (exchanges with BCE.PR.T, which pays 4.502% until then). The Ss closed at 22.20-70, 3×2; the Ts closed at 19.00-50, 1×10.
BCE.PR.R FixFloat -1.2920% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 19.10-50, 5×5.
BNS.PR.J PerpetualPremium -1.1858% Now with a pre-tax bid-YTW of 5.22% based on a bid of 25.00 a limitMaturity. Today’s low was 25.30; the 52-week low is 25.25.
BMO.PR.H PerpetualPremium -1.1858% Now with a pre-tax bid-YTW of 5.24% based on a bid of 25.00 and a limitMaturity.
ELF.PR.G PerpetualDiscount -1.1364% Now with a pre-tax bid-YTW of 5.55% based on a bid of 21.75 and a limitMaturity.
MFC.PR.C PerpetualDiscount -1.1062% Now with a pre-tax bid-YTW of 5.05% based on a bid of 22.35 and a limitMaturity. New low today of 22.10.
MFC.PR.B PerpetualDiscount -1.0753% Now with a pre-tax bid-YTW of 5.07% based on a bid of 23.00 and a limitMaturity.
RY.PR.B PerpetualDiscount -1.0661% Now with a pre-tax bid-YTW of 5.10% based on a bid of 23.20 and a limitMaturity. New low today of 23.02.
GWO.PR.G PerpetualPremium (for now!) -1.0204% Now with a pre-tax bid-YTW of 5.37% based on a bid of 24.25 and a limitMaturity. New low today of 24.12. GWO announced a debt issue today, which should start to clarify the situation with respect to their preferreds.
BSD.PR.A InterestBearing +1.0363% Now with a pre-tax bid-YTW of 6.45% (as interest) based on a bid of 9.75 and a hardMaturity 2015-3-31 at 10.00.
NA.PR.K PerpetualPremium +3.5156% Now with a pre-tax bid-YTW of 4.10% based on a bid of 26.50 and a call 2008-6-14 at $26.00. The price took off shortly after 3:30pm, when “Anonymous” lifted all the offers until the day’s high of 26.50 was reached. Even after some after-hours trading, the end-of-after-hours (is that how you say it?) quote was 26.50-75, 41×5. I have been informed that this is the result of a buy-in. Expect to see┬áthe price move┬áreversed tomorrow … but it will be most interesting to see how many shares trade at 26.50!
Volume Highlights
Issue Index Volume Notes
GWO.PR.X OpRet 152,840 Desjardins crossed a total of 147,600 in three tranches at 27.50. Now with a pre-tax bid-YTW of 2.12% based on a bid of 27.45 and a call 2009-10-30 at $26.00. GWO announced a debt issue today, which should start to clarify the situation with respect to their preferreds – this one has an outstanding issuer bid.
BMO.PR.I PerpetualPremium 80,070 Scotia crossed 73,000 at 25.01. Now with a pre-tax bid-YTW of 4.90% based on a bid of 25.01 and a limitMaturity.
TOC.PR.B Floater 57,530 Nesbitt bought 50,000 from National Bank at 25.50.
NA.PR.K PerpetualPremium 39,480 See “Major Price Changes”, above.
RY.PR.E PerpetualDiscount 36,900 Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.20 and a limitMaturity.

There were twenty-five other $25-equivalent index-included issues trading over 10,000 shares today.

Of particular interest tomorrow is the closing of the Co-operators 5% Perpetual New Issue, which I calculate has a curvePrice of $22.47. We shall see!

4 Responses to “June 11, 2007”

  1. kaspu says:

    You have analyzed at length POW.PR.A and your lack of enthusiasm for it when it was trading a premium. But what is not to like about about a P1L high coupon, short call date, and YTW of 5.75%?

  2. jiHymas says:

    The lengthy analysis of POW.PR.A referred to by kaspu was performed on October 19, 2006, when prices were – ahem! – a little different.

    At the close of business yesterday, October 18, it was quoted at $25.81-87

    It was quoted 2007-6-11 at 24.96-01.

    It is rated Pfd-2(high) by DBRS and P-2(high) by S&P.

    It’s not a bad issue. I calculate the pre-tax bid-YTW to be 5.69%, based on a limitMaturity. But it’s currently callable at 25.25 and becomes callable at $25.00 commencing 2008-6-11.

    Some might consider this to be an ideal issue. Problems – which are not necessarily dealbreakers – are:

    • Credit Rating is “Only” Pfd-2(high)
    • Upside is very limited
    • Liquidity is below average.
  3. Drew says:

    In B.C., the YTW is an interest equivalent of 8.2%. If you are looking for a GIC-like instrument, it’s seems very attractive.

  4. […] Unwinding some of yesterday’s ill-gotten gains. Now with a pre-tax bid-YTW of 5.15% based on a bid of 25.91 and a call 2012-6-14 at 25.00. […]

Leave a Reply

You must be logged in to post a comment.