| 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 |
| Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.07% |
4.08% |
30,505 |
17.29 |
1 |
-0.2790% |
1,040.3 |
| Fixed-Floater |
4.81% |
3.53% |
91,487 |
8.17 |
7 |
-0.2171% |
1,041.4 |
| Floater |
4.46% |
-25.92% |
55,802 |
6.55 |
5 |
+0.0062% |
1,052.2 |
| Op. Retract |
4.71% |
2.44% |
76,596 |
2.11 |
18 |
+0.0443% |
1,029.7 |
| Split-Share |
5.09% |
1.43% |
281,421 |
2.65 |
14 |
-0.0596% |
1,044.2 |
| Interest Bearing |
6.69% |
4.32% |
75,321 |
3.86 |
6 |
-0.0161% |
1,036.0 |
| Perpetual-Premium |
5.04% |
3.70% |
228,848 |
5.10 |
51 |
-0.0565% |
1,051.1 |
| Perpetual-Discount |
4.53% |
4.57% |
1,041,992 |
16.24 |
10 |
+0.1088% |
1,057.1 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| WN.PR.C |
PerpetualPremium |
-1.0903% |
On credit watch negative. This happened on volume of 12,400 shares, fairly high for this issue. Now with a pre-tax bid-YTW of 5.08% based on a bid of $25.40 and a call 2014-7-31 at $25.00 |
| SXT.PR.A |
SplitShare |
-1.0728% |
Well – who knows? Maybe somebody noticed that the pre-tax bid-YTW on this issue is negative – and not by just a little bit, seeing as it’s callable 2007-3-15 at $25.00. Now with a pre-tax bid-YTW of -8.12% based on a bid of $25.82 and a call 2007-4-14 (allowing for the MATURITY_NOTICE_PERIOD) at $25.00. Who knows? This issue has been discussed before and what I said then still goes! |
| AL.PR.E |
FloatingRate |
+1.4981% |
This is a strange issue, defying logic. In the first place, it has a strange dividend calculation: Greater of a & b, where b is lesser of c and d; a is 72% of index, c is 100% of index, d is Flat Rate 7.5% (#6)”. So it pays 100% of Canadian Prime. Pretty good, except it’s currently callable, and has been callable since January 1, 1993. It’s not like they’re short of money – they spent $466-million repurchasing common shares in 2006, and had net debt issuance of $179-million. According to a DBRS comment dated October 3, 2006, “Following the Pechiney acquisition in 2003, when leverage (gross debt-to-capital) reached a peak level of 50.6%, Alcan has aggressively reduced debt and attained the Company’s stated leverage target of 35% as of June 30, 2006”. So why are these prefs still alive? And why is anybody willing to take a chance and pay $27.00 for them? Sometimes this world doesn’t make any sense to me. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| WN.PR.B |
OpRet |
247,886 |
Credit watch negative! RBC crossed 50,000 at $26.02, TD crossed 121,900 at $26.02, Desjardins crossed 25,000 at $26.02 and finally TD crossed 50,000 at $26.02. Now with a pre-tax bid-YTW of 3.67% based on a bid of $26.00 and a softMaturity 2009-06-30. Sure, the credit watch isn’t pleasant … but the interest-equivalent is 5.14% at an equivalency factor of 1.40. Loblaws bonds (maturing 2010) are trading at about 36bp over Canadas, call it 4.46%. Seems a little disconnected to me. But sometime soon I’ll be discussing the Weston issues in comparison with what happened to poor old Bombardier … the pref market can over-react like crazy! |
| SLF.PR.C |
PerpetualDiscount |
111,075 |
Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.76 and a limitMaturity. |
| CM.PR.I |
PerpetualPremium |
83,925 |
Canaccord crossed 50,000 at $25.45 and followed up with another 16,600 at the same price. Now with a pre-tax bid-YTW of 4.49% based on a bid of $25.49 and a call 2016-3-1 at 4.49%. |
| GWO.PR.H |
PerpetualPremium |
71,500 |
Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.85 and a call 2014-10-30 at $25.00. |
| GWO.PR.X |
OpRet |
66,728 |
Now with a pre-tax bid-YTW of 2.60% based on a bid of $27.52 and a call 2009-10-30 at $26.00. Even if it lasts until the softMaturity of 2013-9-29, the yield is only 3.22%. Putnam or no Putnam, GWO has paid $27.37 for these in the past year, so making it past the first call date seems a little iffy to me. If only I understood about CL.PR.B … then I’d be happier … |
There were twenty-one other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
This entry was posted on Tuesday, February 13th, 2007 at 11:06 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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