November 2, 2006

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.

4 Responses to “November 2, 2006”

  1. […] Yet another apparent victim of “I-don’t-want-anything-to-do-with-income-trusts!” syndrome, as this one is also ultimately dependent upon a portfolio of Canada’s favourite investment. According to their June 30, 2006 financial statement, they had assets of $154-million to cover preferred securities of $68-million (rounded figures). Applying yesterday’s approximation of a 15.4% loss since then, we are left with $130-million in assets, for a coverage ratio of 1.9:1. This is not as good as the two other Income Trust based prefs examined earlier, but is still a long way away from panic time. This issue will not pay distributions to the capital unit holders if the coverage is less than 1.4:1. YTW at the bid of 9.90 is 6.33% based on a maturity 2015-3-31. […]

  2. […] Still bouncing around, as it has for the last two days. […]

  3. […] Continues to bounce, as it has for the last three days … see above. This time it did it on volume of 48,552 shares, closing at $10.11-23, 1×30. […]

  4. […] With a name like “Multi-Select Trust” it went up? It gets it come-uppance tomorrow! […]

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