February 13, 2007

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‚Äôs 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.

One Response to “February 13, 2007”

  1. […] Undoing yesterday’s gains, with a little extra to spare. […]

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