November 8, 2006

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% 4.09% 35,862 10.58 2 -0.1001% 1,016.2
Fixed-Floater 4.85% 4.03% 134,147 16.96 7 -0.6917% 1,021.0
Floater 4.51% -19.81% 66,942 6.52 5 -0.1258% 1,028.0
Op. Retract 4.66% 0.81% 81,840 2.28 18 0.0150% 1,026.6
Split-Share 5.01% 3.54% 174,440 3.54 9 0.0878% 1,026.6
Interest Bearing 6.92% 5.03% 61,985 1.92 7 +0.2520% 1,019.2
Perpetual-Premium 5.07% 3.92% 243,551 3.92 49 +0.0430% 1,042.9
Perpetual-Discount 4.59% 4.63% 584,513 16.14 7 +0.0871% 1,034.8
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater -3.7780% Closed at $24.45-13, 13×7. A few shares actually traded as low as $23.72; total volume was 5,681 shares, a little above average for this issue but not remarkably so. I guess a few investors have decided that the offer at $25.75 just ain’t gonna happen!
BCE.PR.R FixedFloater -1.1346% Closed at $25.27-55, 7×3 on highish-but-not-extremely-so volume of 6,300 shares. Just as above: maybe retail now figures that offer at $26.05 just ain’t gonna happen!
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 206,220 Nesbitt crossed 200,000 at $25.90. At the closing bid of $25.87, this issue has a pre-tax YTW of 4.38% based on a call at $25.00 2010-12-30.
RY.PR.C PerpetualDiscount 132,200 Recent new issue
CU.PR.T Scraps 110,000 Nesbitt crossed 110,000 at $25.60 and it closed at 25.28-77. This is a silly issue. It is currently redeemable at $25.00, pays $1.475, and has a pre-tax YTW of -11.82% based on an immediate call. There are 2,277,675 shares outstanding, for a quoted market value of just over $58-million. So it pays a lot, attracts listing fees and is generally a prime candidate for being called. But it isn’t called! According to the company’s third-quarter statement “on October 11, 2006, the AEUB issued a decision which resulted in no significant impact on earnings. Among other things, the decision upheld ATCO’s treatment of pension costs and approved the continued use of preferred shares. In addition, the decision approved minimal changes to head office rent expense and executive compensation.” When we look at the actual decision, we find “CG submitted that the Board should address what proportion of the capital structure, if any,equity preferred shares should constitute. CG further submitted that the Board should direct AU to redeem the series Q, R and S preferred shares which are open for redemption and that this would result in the preferred share level falling to a more appropriate level of about 3%.” In other words, these things only exist due to regulatory boneheadism and game-playing thereof. Too risky. Ick.
CU.PR.V Scraps 100,000 Nesbitt crossed 100,000 at $25.40 – it closed at 25.26-42. Currently callable at $25.00, pays $1.325, CU is a Pfd-2(high) issuer by DBRS. See above discussion of CU.PR.T. Ah, the joys of regulated cost-plus financing!
W.PR.H PerpetualPremium 69,300 Scotia crossed 68,500 at $26.50. At the closing bid of $26.49, this has a YTW of 4.49% based on a call 2013-2-14. It pays $1.375 and has no declining-call-premium period to complicate things, so one could regard this as a reasonably defensive perpetual issue (in that rates will have to go up substantially before it trades below par). But I think its expensive.

There were eleven other index-included issues trading over 10,000 shares today.

3 Responses to “November 8, 2006”

  1. […] Nesbitt crossed 100,000 @ 25.40 in the day’s only trade. The same 100,000 that they crossed on November 8, perhaps? […]

  2. […] Wow. Scotia crossed 100,000 at 25.78 at 3:45pm. Now with a pre-tax bid-YTW of -16.52% based on a call 2007-1-5 at 25.00 and a bid of 25.50. I believe that this issue exists only due to regulatory boneheadism. […]

  3. […] The material I have indicates that the proceeds will be used to finance capital expenditures and for other general corporate purposes … but I wonder! CU.PR.T is currently callable at $25.00 with a dividend rate of $1.475 p.a. (issue size 2,277,675 according to the TSX) and CU.PR.V is currently callable at $25.00 with a dividend rate of $1.325 p.a. (issue size 2,146,730 : ibid). I have previously complained that these issues appear to be surviving due solely to regulatory boneheadism … but perhaps a ray of sunlight has penetrated Canadian capital markets. However, there is more boneheadism is heaven and earth than is dreamt of in my philosophy. We shall see. […]

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