| 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.
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?
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.
[…] 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. […]