PrefBlog

I have added BCE.PR.E to the HIMIPref™ database (I needed to have the data in standard format for the upcoming edition of PrefLetter!).

Prices and dividends have been added back to 2007-2-1, when the issue was listed after being exchanged for BC.PR.A.

There are only 1.4-million odd shares outstanding, which is why I haven’t previously bothered. BCE.PR.E is a RatchetRate preferred, interconvertible with the FixedFloater BCE.PR.F commencing 2010-2-1. There have been relatively large secondary offerings of BCE.PR.F earlier this month and in January.

BCE.PR.E will continue to be tracked by HIMIPref™, but is relegated to the Scraps index on both credit and volume concerns.

YLD.PR.B closed today with a bid of $0.05, having lost nearly all support with the redemption announcement this morning.

This is low enough relative to its stated dividends of $1.05 p.a. (suspended since July 2008) that HIMIPref™ assumes that there has been an input error and refuses to proceed.

Hence, the issue is no longer being tracked.

I have added NEW.PR.C to the HIMIPref™ database, as the soon to expire warrant offering is in the money and can be expected to increase the number of shares – and hence the Average Trading Value – dramatically.

NEW.PR.C commenced trading 2009-6-26 after a prospectus dated 2009-6-16.

Issue price of 13.70, annual dividend of 0.822 paid quarterly, hence coupon of 6%.

Maturity date 2014-6-26; redeemable every June 26 at par.

Rated Pfd-2 by DBRS continuously since inception.

Monthly Retraction with a formula of 95%NAV – C – 1. Oddly, there is no maximum price! There is a Special Annual Concurrent Retraction (including a Capital Share) at NAV.

The dividend policy is:

The Class A Capital Shares provide their holders with a leveraged investment, the value of which is linked to changes in the market price of the Portfolio Shares. Holders of Class A Capital Shares will be entitled on redemption to the benefit of any capital appreciation in the market price of the Portfolio Shares. The fixed distributions on the Series 2 Preferred Shares will be funded from the dividends received on the Portfolio Shares. If necessary, any shortfall in the dividends on the Series 2 Preferred Shares will be funded by proceeds from the sale of Portfolio Shares. In the event that the Portfolio Share dividends exceed the amount of the fixed Series 2 Preferred Share dividends and all expenses of the Company, the excess amount may be paid as dividends on the Class A Capital Shares, as determined by the Board of Directors of the Company, subject to the dividend policy of the Board of Directors.

NEW.PR.C has been assigned initially to the Scraps index, but may migrate shortly to the SplitShares index.

There will be those, I know, who will be pleased to point out that this back-dated addition of an issue adds a little selection bias to the HIMIPref™ database, to which I am forced to respond: “Your mother wears army boots!”. I NEED DATA, and with the recent disappearance of SXT.PR.A and the imminent disappearance of MUH.PR.A, I need it badly. I hope that following the warrant expiry, NEW.PR.C will be liquid enough to trade, at least in small pieces.

I have bowed to overwhelming popular demand and added the captioned issues to the database.

BCE.PR.F is a FixedFloater, paying $1.10 annually (paid quarterly) until 2010-2-1, at which point the rate gets reset and it becomes exchangeable with BCE.PR.E. Exchange Dates recur every five years thereafter. For analytical purposes, it is assumed that the conversion to ratchet rate is automatic – this is a valid worst-case assumption, since BCE has the discretion to set the five-year rate to a very low value. It is callable on exchange dates at 25.00 and (when ratcheting) at 25.50 at other times. For analytical purposes this is simplified to two calls at $25.00, on 2010-2-1 and 2015-2-1. Dividends are cumulative. There is no retraction.

PPL.PR.A is a split share based on Canadian banks, paying dividends at a rate of Prime, capped at 7%, collared at 5%. It matures 2012-12-1 at $10.00. There is a special monthly retraction provision with the formula 96%(NAV – C). Dividends are cumulative and paid monthly. Current NAV is $16.08 according to the company. Income coverage, according to May’s semi-annual report is a hair over 1.0:1. Maturity is 2012-12-1; there are no embedded redemptions. Distributions to Capital Units will be halted if the NAV falls below 15.00 (asset coverage of 1.5:1).

It happened last month with IQW.PR.D and now IQW.PR.C has become impossible to handle in a standard manner.

Today’s closing bid for IQW.PR.C is $0.25, less than what the “accrued dividend” would be if it was still paying dividends, and the price rejected as an obvious error. I will no longer be tracking it.

I will continue to report the quarterly conversions of this issue into common.

Well, it happened last March with AR.PR.B and now it’s happened again.

In my last update of the day everything IQW.PR.D was one penny bid and the quote was rejected as an obvious error. Ha!

The issue has been around in various incarnations since 1997-11-12, when it came on the scene as IQI.PR.A. Ave Atque Vale!

This is actually rather amusing.

Those familiar with my work will know that I’m somewhat obsessive about errors. They can creep in anywhere, with severe consequences for quantitative systems! I therefore have the philosophy: if anything can be checked, it should be checked!

A number of these checks occur in the calculation of flatBidPrice. The programme calculates the so-called accruedDividend either by using the two actual dividendRecords, or by estimating the next dividend by using the appropriate fields of the instrumentDataRecord, if necessary.

AR.PR.B has a par value of $50 and is supposed to pay a dividend of $2.70 annually. Poor old Argus has been in default for years, but that’s what it’s supposed to do. And it turns out that the accruedDividend as of 2008-3-5 should be about $0.26.

But! Here’s where the check comes in! What if the next dividend record is screwed up, or something else horrible has occured? What if, due to some glitch or other, the data shows that the next dividend should be $1,000? This is something that can be checked and therefore should be checked. The form of the control is: The calculated accrued dividend must be less than the bid price of the security … if anything, this is a rather generous error tolerance, but when this sort of error occurs it’s usually not just for a few pennies.

So the accrued dividend calculated today was about $0.26 … and the bid price is $0.25. ERROR!

AR.PR.B, which has been tracked by HIMIPref™ from the very earliest date in the database, has now had its coverage halted. A reorg entry has been added with a reorgType of REORG_DISCONTINUED and a take-out price of $0.25.

Ave atque vale!