| 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 the price move reversed 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!
This entry was posted on Monday, June 11th, 2007 at 11:33 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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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%?
The lengthy analysis of POW.PR.A referred to by kaspu was performed on October 19, 2006, when prices were – ahem! – a little different.
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:
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.
[…] 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. […]