With all this rate-cutting, here’s a little bit of history for you: Four-Week US T-Bills were auctioned off at 0% today. A big fat zero, to three decimal places.
Preferred share volume remained heavy today (well … heavy for the preferred market, I mean!) while prices eased off after yesterday’s gains.
| 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. The Fixed-Reset index was added effective 2008-9-5 at that day’s closing value of 1,119.4 for the Fixed-Floater index. |
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| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | N/A | N/A | N/A | N/A | 0 | N/A | N/A |
| Fixed-Floater | 7.19% | 7.52% | 90,573 | 13.08 | 6 | -1.2930% | 735.2 |
| Floater | 9.85% | 10.16% | 69,970 | 9.28 | 2 | -2.9216% | 359.9 |
| Op. Retract | 5.50% | 6.88% | 145,387 | 4.04 | 15 | +0.5511% | 983.5 |
| Split-Share | 6.93% | 13.28% | 72,752 | 3.95 | 14 | +0.3167% | 888.7 |
| Interest Bearing | 9.67% | 21.42% | 56,961 | 2.82 | 3 | -5.0826% | 758.1 |
| Perpetual-Premium | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Perpetual-Discount | 7.80% | 7.92% | 209,091 | 11.50 | 71 | -0.4855% | 709.4 |
| Fixed-Reset | 6.05% | 5.41% | 1,106,660 | 14.44 | 16 | +0.3609% | 990.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| FIG.PR.A | InterestBearing | -8.5308% | Asset coverage of 1.0+:1 as of December 4, based on Capital Unit NAV of 0.39 according to Faircourt and 0.71 Capital Units per preferred. Now with a pre-tax bid-YTW of 18.60% based on a bid of 5.79 and a hardMaturity 2014-12-31 at 10.00. Closing quote of 5.79-09, 2×2. Day’s range of 5.02-6.21. |
| STW.PR.A | InterestBearing | -5.1592% | Asset coverage of 1.3-:1 as of December 4 according to Middlefield. Assiduous Reader erikd advises that there has been a rather large stealth-redemption; as of 4:30 pm, Middlefield’s Investor Relations department was unable to confirm or deny the report. A note on the November 30 NAV states “(Redemption Price Payable December 12, 2008)” Now with a pre-tax bid-YTW of 22.27% based on a bid of 8.64 and a hardMaturity 2009-12-31. Closing quote of 8.64-87, 60×1. Day’s range of 8.79-83. |
| BAM.PR.B | Floater | -4.0761% | |
| DFN.PR.A | SplitShare | -4.0586% | Asset coverage of 1.7+:1 as of November 28 according to the company. Now with a pre-tax bid-YTW of 8.58% based on a bid of 8.51 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 8.51-06, 3×1. Day’s range of 8.72-85. |
| GWO.PR.G | PerpetualDiscount | -4.0219% | Now with a pre-tax bid-YTW of 8.30% based on a bid of 15.75 and a limitMaturity. Closing quote 15.75-17, 7×5. Day’s range of 15.67-48. |
| FBS.PR.B | SplitShare | -3.6765% | Asset coverage of 1.0+:1 as of December 4 according to TD Securities. Now with a pre-tax bid-YTW of 13.71% based on a bid of 7.86 and a hardMaturity 2011-12-15 at 10.00. Closing quote of 7.86-00, 32×17. Day’s range of 7.76-00. |
| SBN.PR.A | SplitShare | -3.0879% | Asset coverage of 1.7-:1 as of December 4 according to Mulvihill. Now with a pre-tax bid-YTW of 9.48% based on a bid of 8.16 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 8.16-39, 3×1. Day’s range of 8.28-30. |
| BCE.PR.G | FixFloat | -2.9375% | |
| GWO.PR.I | PerpetualDiscount | -2.7465% | Now with a pre-tax bid-YTW of 8.19% based on a bid of 13.81 and a limitMaturity. Closing quote 13.81-90, 4×12. Day’s range of 13.61-25. |
| SLF.PR.A | PerpetualDiscount | -2.6756% | Now with a pre-tax bid-YTW of 8.20% based on a bid of 14.55 and a limitMaturity. Closing quote 14.55-65, 1×8. Day’s range of 14.27-19. |
| ALB.PR.A | SplitShare | -2.6366% | Asset coverage of 1.2-:1 as of December 4 according to Scotia Managed Companies. Now with a pre-tax bid-YTW of 14.56% based on a bid of 20.31 and a hardMaturity 2011-2-28 at 25.00. Closing quote of 20.31-48, 46×1. Day’s range of 20.31-86. |
| FTN.PR.A | SplitShare | -2.6277% | Asset coverage of 1.6-:1 as of November 28 according to the company. Now with a pre-tax bid-YTW of 12.73% based on a bid of 12.73% based on a bid of 6.67 and a hardMaturity 2015-12-1 at 10.00. |
| BCE.PR.C | FixFloat | -2.5215% | |
| PWF.PR.I | PerpetualDiscount | -2.2857% | Now with a pre-tax bid-YTW of 8.13% based on a bid of 18.81 and a limitMaturity. Closing quote 18.81-00, 4×7. Day’s range of 18.75-25. |
| CM.PR.D | PerpetualDiscount | -2.1476% | Now with a pre-tax bid-YTW of 8.25% based on a bid of 17.77 and a limitMaturity. Closing quote 17.77-99, 3×3. Day’s range of 17.87-30. |
| BCE.PR.Z | FixFloat | -2.0888% | |
| SLF.PR.E | PerpetualDiscount | -2.0863% | Now with a pre-tax bid-YTW of 8.31% based on a bid of 13.61 and a limitMaturity. Closing quote 13.61-75, 2×16. Day’s range of 13.52-90. |
| MFC.PR.A | OpRet | -2.0317% | Now with a pre-tax bid-YTW of 4.71% based on a bid of 24.11 and a softMaturity 2015-12-18 at 25.00. Closing quote of 24.11-66, 3×3. Day’s range of 24.05-99. |
| BNS.PR.N | PerpetualDiscount | -2.0157% | Now with a pre-tax bid-YTW of 7.64% based on a bid of 17.50 and a limitMaturity. Closing quote 17.50-67, 10×9. Day’s range of 17.55-25. |
| RY.PR.F | PerpetualDiscount | +2.0653% | Now with a pre-tax bid-YTW of 7.35% based on a bid of 15.32 and a limitMaturity. Closing quote 15.32-48. Day’s range of 15.03-75. |
| BAM.PR.H | OpRet | +2.2500% | Now with a pre-tax bid-YTW of 13.24% based on a bid of 20.45 and a softMaturity 2012-3-30 at 25.00. Closing quote of 20.45-00, 5×10. Day’s range of 20.20-50. |
| NA.PR.N | FixedReset | +3.1630% | |
| LFE.PR.A | SplitShare | +3.9744% | Asset coverage of 1.7-:1 as of November 28 according to the company. Now with a pre-tax bid-YTW of 11.41% based on a bid of 8.11 and a hardMaturity 2012-12-1 at 10.00. Closing quote of 8.11-23, 7×1. Day’s range of 7.91-24. |
| LBS.PR.A | SplitShare | +4.2802% | Asset coverage of 1.4-:1 as of December 4 according to Brompton Group. Now with a pre-tax bid-YTW of 10.72% based on a bid of 8.04 and a hardMaturity 2013-11-29 at 10.00. Closing quote of 8.04-24, 24×3. Day’s range of 7.70-25. |
| BAM.PR.O | OpRet | +10.3333% | Now with a pre-tax bid-YTW of 16.17% based on a bid of 16.55 and optionCertainty 2013-6-30 at 25.00. Closing quote of 16.55-17.60, 5×1. Day’s range of 15.65-17.25. |
| BNA.PR.B | SplitShare | +13.4089% | Asset coverage of 1.6+:1 as of December 4 based on BAM.A at 16.72 and 2.4 BAM.A per unit. Now with a pre-tax bid-YTW of 11.67% based on a bid of 17.00 and a hardMaturity 2016-3-25 at 25.00. Closing quote of 17.00-50, 10×11. Day’s range of 16.19-18.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| WN.PR.B | Scraps (would be OpRet but there are credit concerns) | 386,360 | Desjardins crossed a block of 300,000, then 50,000, then 28,400 all at 25.05. Now with a pre-tax bid-YTW of 6.57% based on a bid of 25.06 and OptionCertainty 2009-6-30. |
| BNS.PR.J | PerpetualDiscount | 247,193 | Nesbitt crossed 110,600 at 18.00. Now with a pre-tax bid-YTW of 7.43% based on a bid of 17.98 and a limitMaturity. |
| RY.PR.N | FixedReset | 109,740 | Nesbitt bought 12,900 from Canaccord at 25.00. Recent new issue |
| MFC.PR.A | OpRet | 53,035 | TD crossed 24,300 at 24.05. See above |
| RY.PR.I | FixedReset | 50,961 | RBC crossed 23,700 at 21.40. |
| RY.PR.B | PerpetualDiscount | 49,197 | Desjardins bought 26,300 from anonymous at 16.15. Now with a pre-tax bid-YTW of 7.39% based on a bid of 16.10 and a limitMaturity. |
There were seventy-four index-included $25-pv-equivalent issues trading over 10,000 shares today
Re: STW.PR.A
Would you please elaborate on what you meant by “rather large stealth-redemption”…..stealth?
Have sizable redemptions ever been refused?
Procedurally, how are redemptions done? Aside from the formulae for redemptions, are there additional costs that may affect net redemption values? or that would require sizeable share quantities to make redemptions worthwhile?
What are the possible negative ramifications to remaining shareholders after a large redemption?
Would you please elaborate on what you meant by “rather large stealth-redemption”…..stealth?
I call it a stealth-redemption because there is no information available on it. No press release, nothing on the website, nothing on SEDAR. erikd advises that his information comes from Bloomberg, a paid service.
Have sizable redemptions ever been refused?
I’m not sure what you mean.
Procedurally, how are redemptions done? Aside from the formulae for redemptions, are there additional costs that may affect net redemption values? or that would require sizeable share quantities to make redemptions worthwhile?
The company gives a cheque to its transfer agent with an instruction to redeem X shares. In many – if not most – cases nowadays, the only shareholder will be CDS. They will allocate – one way or another – the redemption amongst their account holders and so on down the line; e.g., CDS has a million shares redeemed, allocates 100,000 to Royal Trust, which allocates 10,000 to XYZ Asset Management, which allocates 1,000 to Joe Bloggs.
What are the possible negative ramifications to remaining shareholders after a large redemption?
A decline in market liquidity; also, many holders will be left with odd-lots. In the case of a large redemption, the portfolio may need to be rebalanced.
Sorry, I was up late and well past my bedtime when I wrote.
What I meant to say was retractions not redemptions;
Have sizable retractions ever been refused?
Procedurally, how are retractions done? Aside from the formulae for retractions, are there additional costs that may affect net retraction values? or that would require sizeable share quantities to make retractions worthwhile?
Regarding your commentary on allocation of redemptions….
“They will allocate – one way or another – the redemption amongst their account holders and so on down the line”
Can you elaborate on “one way or another”?
Are you saying that if the redemption is done pro rata, a small shareholder holding say 100 shares may then be left with an odd lot of say 92 shares?
Who, if anyone, has the obligation to provide the shareholder notification of the redemption?