| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.41% | 4.44% | 44,742 | 16.57 | 1 | 0.3232% | 1,010.5 |
| Fixed-Floater | 4.90% | 3.96% | 296,813 | 8.97 | 6 | -0.1241% | 1,012.7 |
| Floater | 4.63% | -18.12% | 96,823 | 8.13 | 4 | 0.1099% | 1,016.9 |
| Op. Retract | 4.69% | 2.25% | 82,807 | 2.20 | 18 | 0.0270% | 1,013.9 |
| Split-Share | 4.98% | 3.04% | 58,243 | 2.68 | 10 | -0.0914% | 1,010.8 |
| Interest Bearing | 6.86% | 4.47% | 56,345 | 2.08 | 7 | 0.0925% | 1,022.8 |
| Perpetual-Premium | 5.14% | 4.11% | 177,754 | 4.16 | 48 | 0.0904% | 1,026.2 |
| Perpetual-Discount | 4.59% | 4.61% | 326,749 | 16.23 | 6 | 0.0966% | 1,036.2 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with absolute value of returns greater than 1% today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| ACO.PR.A | OpRet | 333,237 | Pre-tax YTW 3.65% at the closing bid of $27.15, the second best in the OpRet index, based on a call in December 2008 at $26. It could very well survive longer, however, since the call price declines by $0.50 p.a. |
| CM.PR.D | PerpetualPremium | 51,200 | Pre-tax YTW of only 3.54% at the closing bid of $27.07, not particularly good for a perp., but I suppose the $1.4375 annual dividend is high enough to convince the market to treat it as a retractible. But I’d rather pay $27.10 for the BNS.PR.J! |
| WN.PR.E | PerpetualDiscount | 42,352 | |
| TD.PR.O | PerpetualPremium | 30,579 | |
| SLF.PR.C | PerpetualDiscount | 29,790 | |
There were fourteen other index-included issues trading over 10,000 shares today.
BCE.PR.T Reset-Rate Calculation (Conversion from BCE.PR.S)
Wednesday, September 20th, 2006BCE has announced that the fixed rate for the next five years on BCE.PR.T will be 112% of the rate on 5-year Canadas, determined on October 11 and published October 12.
The Canadas are currently trading to yield a little under 4.00% … so for the sake of some commentary, we can assume that the yield on the BCE.PR.T will be something like 4.45%-4.50%.
The BCE.PR.T do not currently exist, but can be issued in exchange for BCE.PR.S at the option of the holder. The BCE.PR.S were quoted at the close 2006-09-19 at 24.71-80, which is below the price at which – subject to the Official Calculation of Trading Price – the percentage of prime paid will increase. Given that Prime is currently 6.00% and the last monthly dividend paid on these shares was $0.08, the rate paid on the shares is now 3.84%, or … hmm, carry 1 …. 64% of prime.
Holy Smokes! I don’t know about my readers, but these rates sound pretty chintzy to me! These things are PERPETUAL and BCE is not a particularly good credit, rated Pfd-2(low) by DBRS. I’d want something more like 4.80% to hold a Pfd-2(low) perpetual – that’s what WN.PR.E is trading at nowadays, and it’s not even a particularly cheap issue, at least according to HIMIPref™.
“Oh yeah, smart guy?” I hear someone calling from the back of the room “What about the potential for floating rate adjustment, huh? That’s worth a lot of money, that is!”
Well, ‘pays yer money and takes yer chances’, that’s my motto. If we presume prime to be constant at 6% for the next five years, then to get 4.8% out of BCE.PR.S we need 80% of prime, compared to the current 64%. It might happen … it might not. Prime might go up … or down. You can consider this kind of instrument to offer insurance … but pretty expensive insurance, I call it!
It’s interesting to compare with the fairly recent BC.PR.C conversion offer … Bell offered a fixed rate of 4.65% to the BC.PR.C holders and an insufficient number of them wanted to exchange into the ratchet-rates for Bell to create the issue. Bell’s a slightly better credit, too, rated Pfd-2 as opposed to BCE’s Pfd-2(low).
So, it seems to me that BCE’s being a little aggressive here and wants to get shareholders to convert to the ratchets. But what do I know? I don’t like either issue!
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