{"id":244,"date":"2006-11-02T21:55:15","date_gmt":"2006-11-03T01:55:15","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=244"},"modified":"2006-11-02T21:55:15","modified_gmt":"2006-11-03T01:55:15","slug":"november-2-2006","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=244","title":{"rendered":"November 2, 2006"},"content":{"rendered":"

Not only do I have to do the rebalancing for November month-end, but a lot of things have been piling up this week to soak away my time! I will do the volume and price change reports tonight, but the index levels will have to wait until tomorrow. Sorry!<\/p>\n

Update 2006-11-7<\/strong><\/p>\n\n\n\n\n\n\n\n\n\n\n\n
Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version<\/strong><\/td>\n<\/tr>\n
Index<\/td>\nMean Current Yield (at bid)<\/td>\nMean YTW<\/td>\nMean Average Trading Value<\/td>\nMean Mod Dur (YTW)<\/td>\nIssues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n4.15%<\/td>\n4.08%<\/td>\n39,965<\/td>\n10.54<\/td>\n2<\/td>\n-0.2611%<\/td>\n1,010.1<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.83%<\/td>\n3.97%<\/td>\n137,276<\/td>\n12.98<\/td>\n7<\/td>\n+0.1140%<\/td>\n1,024.4<\/td>\n<\/tr>\n
Floater<\/td>\n4.52%<\/td>\n-18.83%<\/td>\n70,995<\/td>\n6.49<\/td>\n5<\/td>\n+0.2796%<\/td>\n1,024.5<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.67%<\/td>\n1.30%<\/td>\n84,595<\/td>\n2.29<\/td>\n18<\/td>\n0.0976%<\/td>\n1,023.7<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.04%<\/td>\n3.74%<\/td>\n184,790<\/td>\n3.36<\/td>\n9<\/td>\n-0.1743%<\/td>\n1021.1<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.93%<\/td>\n5.52%<\/td>\n58,231<\/td>\n2.43<\/td>\n7<\/td>\n-0.1667%<\/td>\n1,016.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.08%<\/td>\n3.85%<\/td>\n250,223<\/td>\n3.85<\/td>\n49<\/td>\n+0.1257%<\/td>\n1,040.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.58%<\/td>\n4.61%<\/td>\n604,477<\/td>\n16.18<\/td>\n7<\/td>\n+0.1167%<\/td>\n1036.4<\/td>\n<\/tr>\n<\/table>\n

End of 2006-11-7 update<\/strong><\/p>\n

\n\n\n\n\n\n\n\n
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
MST.PR.A<\/td>\nInterestBearing<\/td>\n-2.7333%<\/td>\nThe underlying interest for this issue is … income trusts! June 30, 2006<\/a>, the fund had assets of about $127.8-million to cover preferred securities of $53.2-million: asset coverage of 2.40:1. If we have a look at the Capped Income Trust Index ETF (Symbol : XTR)<\/a>, we see it closed at $15.58 on June 30, compared to $13.19 today, a loss of about 15.4%. This would imply net assets of MST.UN of $108-million to cover the $53.2-million prefs … more than 2:1, still quite adequate. No need to panic just quite yet! The YTW is now 5.48% to a maturity on 2009-9-30.<\/td>\n<\/tr>\n
STW.PR.A<\/td>\nInterestBearing<\/td>\n-1.8646<\/td>\nThe underlying interest for this issue is a vehicle called COMPASS … and COMPASS is … an Income Trust Fund! On Jun 30, 2006<\/a>, this fund had assets of $184-million to cover preferred securities worth $72.4-million : asset coverage of 2.54:1. Reduce assets by 15.4%, as above, estimate assets to be now $155-million. Still in excess of 2.0:1, no need for any throat-cutting. YTW is now 6.16%, based on a 2009-12-31 maturity.<\/td>\n<\/tr>\n
AL.PR.E<\/td>\nFloater<\/td>\n+1.5578%<\/td>\nOn zero volume!<\/td>\n<\/tr>\n
ENB.PR.A<\/td>\nPerpetualPremium<\/td>\n+1.6634%<\/td>\nA big bounce back from a steep drop yesterday. At a bid price of $25.67, it is now trading with a YTW of 0.97%, based on a call 2007-1-1 at $25.25. If it survives until its 2008-1-1 call at $25, it will have yielded 3.98%. Given that the issue pays $1.375 and Enbridge can save $0.25 by waiting a year, it may well make it to the later date.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nVolume<\/td>\nNotes<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetualPremium<\/td>\n102,735<\/td>\nMacDougall bought 100,000 from RBC (in two tranches: one lot was of 100 shares!) @ 27.05.<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetualPremium<\/td>\n94,434<\/td>\nRBC sold 20,000 to Desjardins and 63,700 to Scotia, both lots trading at $26.85.<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nPerpetualPremium<\/td>\n61,670<\/td>\nA steady day for the new issue<\/a>: it closed a little better than yesterday at 25.18-22, 3×50<\/td>\n<\/tr>\n
CU.PR.A<\/td>\nPerpetualPremium<\/td>\n50,000<\/td>\nThe only trade was a purchase by MacDougall of 50,000 @ 27.21 from RBC. It pays $1.45, so the issuer may just wish to call it without taking advantage of the $0.25 p.a. declining premium – if this happens, the 2008-3-31 call will result in a yield of 2.93%.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n49,103<\/td>\nOnly just on the high-volume charts! The clearance sale<\/a> is definitely winding down … but how long until the price recovers? If anything, the issue should be priced higher (not much higher!) than SLF.PR.C, which closed 40-ish cents better than SLF.PR.D.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

There were six other index-included issues trading over 10,000 shares today.<\/p>\n","protected":false},"excerpt":{"rendered":"

Not only do I have to do the rebalancing for November month-end, but a lot of things have been piling up this week to soak away my time! I will do the volume and price …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-244","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/244","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=244"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/244\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=244"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=244"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=244"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}