Not only do I have to do the rebalancing for November month-end, but a lot of things have been piling up this week to soak away my time! I will do the volume and price change reports tonight, but the index levels will have to wait until tomorrow. Sorry!
Update 2006-11-7
| 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 | 4.15% | 4.08% | 39,965 | 10.54 | 2 | -0.2611% | 1,010.1 |
| Fixed-Floater | 4.83% | 3.97% | 137,276 | 12.98 | 7 | +0.1140% | 1,024.4 |
| Floater | 4.52% | -18.83% | 70,995 | 6.49 | 5 | +0.2796% | 1,024.5 |
| Op. Retract | 4.67% | 1.30% | 84,595 | 2.29 | 18 | 0.0976% | 1,023.7 |
| Split-Share | 5.04% | 3.74% | 184,790 | 3.36 | 9 | -0.1743% | 1021.1 |
| Interest Bearing | 6.93% | 5.52% | 58,231 | 2.43 | 7 | -0.1667% | 1,016.4 |
| Perpetual-Premium | 5.08% | 3.85% | 250,223 | 3.85 | 49 | +0.1257% | 1,040.8 |
| Perpetual-Discount | 4.58% | 4.61% | 604,477 | 16.18 | 7 | +0.1167% | 1036.4 |
End of 2006-11-7 update
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| MST.PR.A | InterestBearing | -2.7333% | The underlying interest for this issue is … income trusts! June 30, 2006, the fund had assets of about $127.8-million to cover preferred securities of $53.2-million: asset coverage of 2.40:1. If we have a look at the Capped Income Trust Index ETF (Symbol : XTR), we see it closed at $15.58 on June 30, compared to $13.19 today, a loss of about 15.4%. This would imply net assets of MST.UN of $108-million to cover the $53.2-million prefs … more than 2:1, still quite adequate. No need to panic just quite yet! The YTW is now 5.48% to a maturity on 2009-9-30. |
| STW.PR.A | InterestBearing | -1.8646 | The underlying interest for this issue is a vehicle called COMPASS … and COMPASS is … an Income Trust Fund! On Jun 30, 2006, this fund had assets of $184-million to cover preferred securities worth $72.4-million : asset coverage of 2.54:1. Reduce assets by 15.4%, as above, estimate assets to be now $155-million. Still in excess of 2.0:1, no need for any throat-cutting. YTW is now 6.16%, based on a 2009-12-31 maturity. |
| AL.PR.E | Floater | +1.5578% | On zero volume! |
| ENB.PR.A | PerpetualPremium | +1.6634% | A big bounce back from a steep drop yesterday. At a bid price of $25.67, it is now trading with a YTW of 0.97%, based on a call 2007-1-1 at $25.25. If it survives until its 2008-1-1 call at $25, it will have yielded 3.98%. Given that the issue pays $1.375 and Enbridge can save $0.25 by waiting a year, it may well make it to the later date. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.G | PerpetualPremium | 102,735 | MacDougall bought 100,000 from RBC (in two tranches: one lot was of 100 shares!) @ 27.05. |
| GWO.PR.G | PerpetualPremium | 94,434 | RBC sold 20,000 to Desjardins and 63,700 to Scotia, both lots trading at $26.85. |
| RY.PR.C | PerpetualPremium | 61,670 | A steady day for the new issue: it closed a little better than yesterday at 25.18-22, 3×50 |
| CU.PR.A | PerpetualPremium | 50,000 | The only trade was a purchase by MacDougall of 50,000 @ 27.21 from RBC. It pays $1.45, so the issuer may just wish to call it without taking advantage of the $0.25 p.a. declining premium – if this happens, the 2008-3-31 call will result in a yield of 2.93%. |
| SLF.PR.D | PerpetualDiscount | 49,103 | Only just on the high-volume charts! The clearance sale is definitely winding down … but how long until the price recovers? If anything, the issue should be priced higher (not much higher!) than SLF.PR.C, which closed 40-ish cents better than SLF.PR.D. |
There were six other index-included issues trading over 10,000 shares today.
RY.PR.C Off to a Fine Start!
Wednesday, November 1st, 2006The new Royal Bank 4.6% perpetuals were off to a good start today, trading 239,875 shares in a range of 25.15-25 to close at $25.16-18, 3×13.
The reorg entry has been processed on HIMIPref™: the pre-issue code was P50006, the new security code is A45012.
I’ll update this post with some comments about valuation when I update HIMIPref™ with today’s closing quotations later tonight.
Update : The issue still looks attractive at the closing quotation. Consider the YTWs of the other Royal Perpetual issues that are outstanding (except for the soon to be redeemed RY.PR.O:
So, it’s my guess there’s still a little value left in this issue!
Posted in Data Changes, Issue Comments | 6 Comments »