{"id":1564,"date":"2007-12-06T18:15:45","date_gmt":"2007-12-06T22:15:45","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1564"},"modified":"2007-12-06T18:15:45","modified_gmt":"2007-12-06T22:15:45","slug":"yield-differences-on-weston-issues","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1564","title":{"rendered":"Yield Differences on Weston Issues"},"content":{"rendered":"

Prefblog’s prettiest Assiduous Reader wrote in pointing out that there’s a huge difference in yields among Weston’s perpetual issues … and I thought that would be an interesting topic.<\/p>\n

\n\n\n\n\n\n\n\n
Weston Issues pre-Tax bid-YTW<\/td>\n<\/tr>\n
Issue<\/td>\nAnnual
\nDividend<\/td>\n		Quote
\n12\/5<\/td>\n		Pre-tax
\nBid-YTW<\/td>\n<\/tr>\n
WN.PR.A<\/td>\n1.45<\/td>\n19.16-28<\/td>\n7.62%<\/td>\n<\/tr>\n
WN.PR.C<\/td>\n1.30<\/td>\n17.89-07<\/td>\n7.44%<\/td>\n<\/tr>\n
WN.PR.D<\/td>\n1.30<\/td>\n18.27-30<\/td>\n7.28%<\/td>\n<\/tr>\n
WN.PR.E<\/td>\n1.1875<\/td>\n16.46-53<\/td>\n7.39%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

This is, indeed, quite the spread – 34bp between WN.PR.A & WN.PR.D is something that would normally be arbtraged away very quickly for actively traded issues of the same name … for example<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Yield Spreads of
\nPerpetual Discount Issues
\nof the Same Name<\/td>\n<\/tr>\n
Name<\/td>\nDBRS
\nRating<\/td>\n		Yield
\nRange<\/td>\n<\/tr>\n
BNS<\/td>\nPfd-1<\/td>\n6bp<\/td>\n<\/tr>\n
CM<\/td>\nPfd-1<\/td>\n11bp<\/td>\n<\/tr>\n
ELF<\/td>\nPfd-2(low)<\/td>\n3bp<\/td>\n<\/tr>\n
GWO<\/td>\nPfd-1(low)<\/td>\n11bp<\/td>\n<\/tr>\n
LB<\/td>\nPfd-3<\/td>\n12bp<\/td>\n<\/tr>\n
MFC<\/td>\nPfd-1(low)<\/td>\n1bp<\/td>\n<\/tr>\n
NA<\/td>\nPfd-1(low)<\/td>\n26bp<\/td>\n<\/tr>\n
POW<\/td>\nPfd-2(high)<\/td>\n14bp<\/td>\n<\/tr>\n
PWF<\/td>\nPfd-1(low)<\/td>\n17bp<\/td>\n<\/tr>\n
RY<\/td>\nPfd-1<\/td>\n11bp<\/td>\n<\/tr>\n
SLF<\/td>\nPfd-1(low)<\/td>\n9bp<\/td>\n<\/tr>\n
TD<\/td>\nPfd-1<\/td>\n6bp<\/td>\n<\/tr>\n
W<\/td>\nPfd-2(low)<\/td>\n17bp<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Note that the NA\u00a0spread is\u00a0probably influenced by proximity to call price of the higher yielding instrument – this added complexity does not exist for poor old Weston.<\/p>\n

It should be noted that Weston is on Credit Review Negative<\/a> by DBRS; I am advised that one factor in non-arbitrage of yield is that some institutional holders know very well that there is an opportunity, but are not empowered to take advantage of it. They bought WN when it was investment-grade; they have decided to\u00a0keep the name\u00a0despite the downgrade; but they cannot buy non-investment-grade issues; therefore they cannot execute a swap.<\/p>\n

Update<\/b>: I have uploaded graphs of the absolute Yields-to-Worst<\/a> and of the differences thereof<\/a> for your viewing pleasure.<\/p>\n","protected":false},"excerpt":{"rendered":"

Prefblog’s prettiest Assiduous Reader wrote in pointing out that there’s a huge difference in yields among Weston’s perpetual issues … and I thought that would be an interesting topic. Weston Issues pre-Tax bid-YTW Issue Annual …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[13],"tags":[],"class_list":["post-1564","post","type-post","status-publish","format-standard","hentry","category-issue-comments"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1564","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=1564"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1564\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1564"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1564"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1564"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}