May 28, 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 5.20% 5.30% 38,584 15.16 2 +0.1317% 960.5
Fixed-Floater 5.71% 5.34% 154,302 15.16 6 -0.2559% 907.1
Floater 4.81% 2.02% 81,079 11.18 3 +0.0536% 1,044.2
Op. Retract 4.77% 3.67% 84,217 2.72 17 -0.1737% 1,027.6
Split-Share 4.99% 4.34% 221,058 3.82 13 -0.0564% 1,047.4
Interest Bearing 6.54% 6.47% 70,403 5.33 5 +0.0794% 1,042.8
Perpetual-Premium 5.20% 4.62% 186,747 6.98 48 -0.2528% 1,037.0
Perpetual-Discount 4.79% 4.83% 658,128 15.80 19 -0.5011% 1,016.9
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixFloat -3.2779% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. After the heavy volume on May 25, the coup de grace was a bit of an anti-climax: a sale of 1,500 shares by Nesbitt just before the bell took the price from 20.58 to 20.36. Closed at 20.36-74, 3×1.
IAG.PR.A PerpetualDiscount -1.8330% A morning sale by Nesbitt of 2,400 shares seems to have taken out the bid (prices in four tranches started at 24.44 and finished at 24.05) that only bounced back a little. Closed at 24.10-49, 10×5. Now with a pre-tax bid-YTW of 4.83% based on a bid of 24.10 and a limitMaturity.
IGM.PR.A OpRet -1.2409% Now with a pre-tax bid-YTW of 4.00% based on a bid of 27.06 and a call 2009-7-30 at 26.00.
ACO.PR.A OpRet -1.0989% Traded as low as 26.77; closed at 27.00-30, 20×10. Now with a pre-tax bid-YTW of 3.01% based on a bid of 27.00 and a call 2008-12-31 at 26.00.
RY.PR.D PerpetualDiscount -1.0961% Traded as low as 23.25, a new 52-week low. Closed at 23.46-60, 3×5. Now with a pre-tax bid-YTW of 4.82% based on a bid of 23.46 and a limitMaturity.
POW.PR.B PerpetualPremium -1.0942% Traded as low as 25.16, a new 52-week low. Closed at 25.31-38, 43×3. Now with a pre-tax bid-YTW of 5.19% based on a bid of 25.31 and a call 2012-12-28 at 25.00.
ELF.PR.G PerpetualPremium (for now!) -1.0142% Now with a pre-tax bid-YTW of 4.92% based on a bid of 24.40 and a limitMaturity.
BCE.PR.I FixFloat +1.0779% Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par.
Volume Highlights
Issue Index Volume Notes
BAM.PR.K Floater 202,400 National Bank crossed 200,000 at 24.90.
GWO.PR.I PerpetualDiscount 147,315 Nesbitt crossed 83,300 at 23.90. Now with a pre-tax bid-YTW of 4.79% based on a bid of 23.80 and a limitMaturity. There’s still some uncertainty about GWO’s capital market plans, and the recent downdraft doesn’t help.
GWO.PR.H PerpetualPremium 76,510 Nesbitt crossed 11,100 at 25.32. Now with a pre-tax bid-YTW of 4.80% based on a bid of 25.32 and a limitMaturity.
CM.PR.J PerpetualDiscount 52,670 RBC crossed 11,500 at 23.60 to end the day; four other crosses totalling 17,500 all at 23.60 preceded this. Now with a pre-tax bid-YTW of 4.84% based on a bid of 23.44 and a limitMaturity.
BMO.PR.J PerpetualDiscount 36,990 Now with a pre-tax bid-YTW of 4.75% based on a bid of 23.76 and a limitMaturity.

There were twenty-three other $25-equivalent index-included issues trading over 10,000 shares today.

3 Responses to “May 28, 2007”

  1. kaspu says:

    Some of the BCE prfefs, for example, BCE S, have in their prospectus the provision of a dividend calculation that takes a pogressivively higher percentage of prime depending upon the pref trading below 24,875. Together with possibility of prime being raised, would this not present a buying opportunity for many, if not all, of the BCE floaters/ratchets, notwithstanding the possible credit downgrade as well as your distaste for floaters?

  2. jiHymas says:

    All of the BCE prefs in the HIMIPref universe have such a provision, either directly, or via exchange to such prefs on the exchange/reset date.

    Yes, the low prices on the BCE prefs currently implies that a buyer of these things can expect that, absent default, the shares will (eventually) pay 100% of prime (or, currently, 6% or $1.50 per share per annum), OR that they will increase in price to around $25 thereby creating a capital gain.

    The key phrase in the preceding paragraph is “absent default”. Three shares with such a provision are BBD.PR.B, NTL.PR.F and NTL.PR.G. The credit on Bombardier & Nortel is such that these issues are all trading below $20 and had a wild ride in the period after their respective downgrades … in the case of Nortel, really wild.

    The calculated long term yield on the BCE issues is great. But it’s only yield if you actually get paid.

  3. […] Long Canadas are – taking today’s sell-off into account – trading in the 4.45% area, so we’ll say that perpetual prefs should be in the 6.55% interest-equivalent area, which is the 4.68% dividend area, which is more or less where they actually are, as of last night. […]

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