Archive for February, 2007

February 28, 2007

Wednesday, February 28th, 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 4.14% 4.14% 23,614 17.17 1 +0.0000% 1,047.4
Fixed-Floater 4.82% 3.72% 79,765 6.24 7 +0.0304% 1,040.1
Floater 4.47% -21.08% 55,292 0.09 5 +0.2603% 1,049.2
Op. Retract 4.72% 2.36% 74,704 2.05 18 +0.0864% 1,030.8
Split-Share 5.11% 0.23% 231,489 2.79 14 +0.1761% 1,043.4
Interest Bearing 6.49% 4.48% 63,839 2.35 5 -0.0038% 1,039.3
Perpetual-Premium 5.03% 3.59% 212,956 5.06 51 +0.0224% 1,055.2
Perpetual-Discount 4.53% 4.54% 1,048,109 13.79 11 +0.1157% 1,063.6
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater -1.0510% Exchangeable with BCE.PR.Y next December 1. In the interim, they will pay about $0.35 more (~$1.00 vs. ~$0.65), so, at a close of $25.42-75 vs $25.02-39, they’re priced about right relative to their twin, anyway. Which is comforting, assuming you think a ratchet-rate is worth holding!
GWO.PR.E OpRet +1.0226% Now with a pre-tax bid-YTW of 2.11% based on a bid of $26.75 and a call 2009-4-30 at $25.50. The pre-tax yield is 2.83% if they last until they’re callable at par, 2011-4-30. And 3.53% if they last until their softMaturity 2014-3-30 ! So place your bets … but remember the issuer bid.
CL.PR.B PerpetualPremium +1.0873% Another issue reliant on the idea that GWO has better things to do with their money than call issued stock! Now with a pre-tax bid-YTW of -27.12% based on a bid of $26.63 and an immediate call at $26.00. It’s really a question of how long the game will last … to get a yield of 3.46%, you have to bet that there will be no call until 2009-1-30 at $25.50. There are a lot of people willing to make that bet, it seems! The issue was a stellar performer in February, with a total return of +2.5451% month/month bid/bid.
PIC.PR.A SplitShare +2.2422% Recovering from yesterday’s swoon, but not by enough extra to overcome a horrible month … the issue is down 1.2987% month/month bid/bid at the closing quote of $15.96-08
Volume Highlights
Issue Index Volume Notes
BCE.PR.H Scraps (will switch to RatchetRate) 370,200 This issue used to be BC.PR.E. Nesbitt crossed 370,000 at $25.12.
NA.PR.K PerpetualPremium 203,800 Desjardins crossed 98,700 at $27.18. Now with a pre-tax bid-YTW of 2.62% based on a bid of $27.05 and a call 2008-06-14 at $26.00.
BAM.PR.B Floater 150,700 Desjardins crossed 30,000 at 24.90, then two tranches of 60,000 each at $24.91.
RY.PR.E PerpetualDiscount 70,755 Recent new issue. Now with a pre-tax bid-YTW of 4.51%, based on a bid of $25.15 and either a call at $25.00 on 2016-3-25, or a limitMaturity – take your pick.
PWF.PR.L PerpetualPremium 57,880 Now with a pre-tax bid-YTW of 4.24% based on a bid of $26.70 and a call 2015-11-30 at $25.00

There were twenty other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

CCS.PR.A Dividend Dates Unclear

Wednesday, February 28th, 2007

Huh. The Co-operators are not being co-operative.

Nothing about dividends on their website, TSE shows no data, Bloomberg shows no data.

Last year, the March dividend was declared 2/22, ex-date 3/3, record 3/7, pay 3/31.

But in 2005, the declaration date was 3/3, ex 3/3, record 3/7, pay 3/31.

That is not a misprint. The dividend was declared on the ex-date. Thanks, guys!

I will attempt to contact them. In the meantime, dividend dates have been estimated as 2/28, 3/2 & 3/31.

Update & Bump, 2/27: I have received an automated (?) acknowledgement of my query, but no answer as yet. This time, instead of using the generic service on their website, I have sent an eMail to the TSX-listed contact.

In the interim, the date estimate has been changed to 3/2, 3/6, 3/31.

Update & Bump, 2/28 : No response from the company, but the TSX data service now shows a declaration date of 2/27, ex 3/6, record 3/8, pay 3/31.

HIMIPref™ records have been adjusted.

HIMIPref™ Preferred Indices : May, 1998

Wednesday, February 28th, 2007

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 1998-05-29
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,626.8 0 0 0 0 0 0
FixedFloater 1,567.1 8 2.00 4.54% 15.8 208M 5.00%
Floater 1,531.9 5 1.80 0.00% 0.1 143M 5.06%
OpRet 1,351.6 35 1.23 3.88% 3.9 73M 6.09%
SplitShare 1,379.5 4 1.50 5.10% 6.2 111M 5.39%
Interest-Bearing 1,351.6 0 0 0 0 0 0
Perpetual-Premium 1,260.1 5 1.00 5.09% 10.0 306M 6.48%
Perpetual-Discount 1,239.0 0 0 0 0 0 0

Index Constitution, 1998-05-29, Pre-rebalancing

Index Constitution, 1998-05-29, Post-rebalancing

David Berry Saga : McQuillen Settles

Wednesday, February 28th, 2007

Marc McQuillen, who was David Berry’s assistant, has settled with RS regarding the allegations made against him. While I cannot say I have examined every jot and tittle of the document, it appears that the RS allegations were a carbon copy of the Scotia Settlement and allegations against Berry.

The sanction imposed was a fine of $25,000.

There is a little more information in the settlement agreement that I consider particularly interesting:

In addition, solely for the purpose of this Settlement, McQuillen relies upon the following facts:

  • (a) Berry’s supervisor during the period 1999 to October 2002 has stated that he was aware of certain aspects of the Trading (as described in paragraph 22 of the Statement of Allegations), as follows, but he did not appreciate that it resulted in clients receiving secondary market shares in the new issue:
    • (i) Berry and/or McQuillen took orders from clients for shares in a new issue during the selling period and filled these orders through sales from the 08 account when the new issue began trading on the TSX.
    • (ii) In some instances, the 08 account would receive an allocation of new issue shares but ultimately incur a short position in the shares of the new issue through sales with clients.
    • (iii) In other cases, a swap transaction with a client’s existing position was involved.

  • (b) The supervisor has stated that he was not aware of instances in which the 08 account sold short shares in the new issue to clients without taking an allocation in the new issue.

As far as I can make out, the supervisor has not been named or been the subject of disciplinary hearings. These are murky waters … I suspect that the significance of the above extract will emerge as the legal struggle continues. We already know that one element of Berry’s lawsuit for wrongful dismissal is that he was not trained or supervised properly (or words to that effect) and hence cannot be nailed for doing his job in the best way he knew how.

February 27, 2007

Tuesday, February 27th, 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 4.13% 4.13% 24,583 17.19 1 +0.0000% 1,047.4
Fixed-Floater 4.82% 3.63% 80,292 8.11 7 -0.1727% 1,039.8
Floater 4.48% -18.48% 53,918 3.36 5 -0.2812% 1,046.5
Op. Retract 4.72% 2.38% 74,446 2.05 18 -0.0727% 1,029.9
Split-Share 5.11% 0.47% 234,389 2.78 14 -0.2838% 1,041.5
Interest Bearing 6.49% 4.69% 63,531 2.35 5 -0.0195% 1,039.4
Perpetual-Premium 5.03% 3.84% 213,338 5.02 51 +0.0276% 1,055.0
Perpetual-Discount 4.52% 4.55% 1,062,839 15.44 11 +0.0731% 1,062.4
Major Price Changes
Issue Index Change Notes
PIC.PR.A SplitShare -2.4375% Those poor guys at Raymond James! As far as I can make out from the trades, all they wanted to do was sell a lousy 268 shares. Less than $5,000 worth. So the first 100 gets sold to TD at $15.96. That’s OK. That trade is stamped 3:33pm. But … the next 100 shares is timestamped 3:34pm! And sold to “Anonymous”! At $15.46! Sometimes huge trades like this can really move the market, you know? The issue closed at 15.61-00, 10×3.
ACO.PR.A OpRet -1.506% Gets hit again, to close at $26.80-00, on volume of 1,405 shares, which traded in a range of $26.69-01. Actually, at the bid level of $26.80, it starts to look reasonable, with a pre-tax bid-YTW of 3.78% based on a call at $26.00 2008-12-31.
Volume Highlights
Issue Index Volume Notes
GWO.PR.F PerpetualPremium 206,323 Just like yesterday, lots of action with Desjardins in the thick of things. They crossed 175,000 at $28.11, then another 25,000 at the same price. Now with a pre-tax bid-YTW of 1.44%, based on a bid of $28.05 and a call 2008-10-30 at $26.00.
SLF.PR.E PerpetualDiscount 76,285 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.84 and a limitMaturity.
BNS.PR.L PerpetualPremium 40,400 Recent new issue. Now with a pre-tax bid-YTW of 4.49% based on a bid of 25.15 and a call 2016-5-27 at 4.49%.
SLF.PR.D PerpetualDiscount 32,767 Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.80 and a limitMaturity.
RY.PR.E PerpetualDiscount 32,150 Recent new issue. Now with a pre-tax bid-YTW of 4.52%, based on a bid of $25.12 and either a call at $25.00 on 2016-3-25, or a limitMaturity – take your pick.

There were seventeen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

If you want to read about all the excitement on the stock markets today, go read an equities blog!

Update : An equities blog like this one, for instance. Now, that’s funny! JH

HIMIPref™ Preferred Indices : April 1998

Tuesday, February 27th, 2007

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 1998-04-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,603.9 0 0 0 0 0 0
FixedFloater 1,560.9 9 2.00 4.33% 16.2 194M 5.06%
Floater 1,510.3 5 1.80 4.64% 15.4 128M 5.11%
OpRet 1,335.2 31 1.22 4.20% 4.0 82M 6.12%
SplitShare 1,372.5 4 1.50 5.15% 7.2 133M 5.42%
Interest-Bearing 1,335.2 0 0 0 0 0 0
Perpetual-Premium 1,248.3 6 1.00 5.13% 1.9 115M 6.89%
Perpetual-Discount 1,227.4 0 0 0 0 0 0

Index Constitution, 1998-04-30, Pre-rebalancing

Index Constitution, 1998-04-30, Post-rebalancing

ABK.PR.C Partial Call For Redemption

Monday, February 26th, 2007

Via CNW Group:

Allbanc Split Corp. (the “Company”) announced today that it has called 61,685 Preferred Shares for cash redemption on March 9, 2007 (in accordance with the Company’s Articles) representing approximately 13.389% of the outstanding Preferred Shares as a result of the special annual retraction of 61,685 Capital Shares by the holders thereof. The Preferred Shares shall be redeemed on a pro rata basis, so that each holder of Preferred Shares of record on March 8, 2007 will have approximately 13.389% of their Preferred Shares redeemed. The redemption price for the Preferred Shares will be $60.80 per share.

Not the end of the world … there’s such a fat dividend on these things that the early call is actually better for holders (in terms of yield) than the maturity 2008-3-10.

This issue doesn’t trade much and so is in the “Scraps” index. It is not eligible for recommendation by HIMIPref™ due to its short term to maturity.

I’ve uploaded three graphs from HIMIPRef™:

  • flatBidPrice (one point on the graph has been removed – an absurdly low bid, presumably due to a market-maker getting some rest at the end of long day)
  • yieldToWorst
  • modified duration (of YTW scenario) … a highly educational graph! The presence of several recognizable downward sloping lines is indicative of different YTW scenarios …. hmm … I’ll bet there’s an article in there, somewhere!

Update : From the 2006 Annual Report:

  Number of Units
Outstanding 2003-3-10 897,444
Retractions, FY2004 (254,264)
Outstanding 2004-3-10 643,180
Retractions, FY 2005 (125,214)
Outstanding 2005-3-10 517,966
Retractions, FY 2006 (57,255)
Outstanding 2006-3-19 460,711

So, after the current redemption of 61,685 shares, somewhat less than half of the original issue will have survived.

One thing I find particularly interesting is the fact that the original DBRS rating of Pfd-2 has remained unchanged throughout this time. In the original rating release, dated 2003-3-13, DBRS said:

The purchase of the shares was funded with $54.6 million of Class A Preferred Shares and $38.6 million of all outstanding Class A Capital Shares. This will provide for downside protection of 42% as of March 11, 2003 to the holders of Class A Preferred Shares.

The redemption date of the Class A Preferred Shares is set on March 11, 2008. The current rating of the Class A Preferred Shares is based primarily on the available downside protection and the strong credit quality of the companies represented in the Portfolio. The main constraint to the rating is the concentration of the Portfolio in the financial services industry and the Company’s dependence on the value and dividend policies of the companies in the Portfolio.

When we look at the balance sheet as of Allbanc’s Semi-Annual Report as of September 10, 2006, we find (edited somewhat):

Item Amount (thousands)
 Investments at Market 85,493
 Cash 55
Total Assets 85,548
 
 Accrued Liabilities 110
 Preferred Shares 28,011
Total Liabilities 28,121
Total Capital Unitholders’ Equity 57,427

So we calculate the asset-coverage ratio as [(57,427 + 28,011) / (28,011)]:1 gives 3.05:1.

3.05:1 is a massive number! To express it in DBRS’ terms, it means downside protection of 67.2%! And what more, it only needs to last another year, since the terms of issue state that all the prefs will be redeeemed willy-nilly on March 10, 2008. Come on, now! What are the chances that a portfolio comprised of the Big 5 Bank stocks is going to lose more than 67.2% of its value inside of a year?

By comparison, let’s look at what DBRS said about Canadian General Investments on March 28, 2006, when rating CGI.PR.C:

DBRS has also assigned a new Pfd-1 rating with a Stable trend to the 3.90% Cumulative Redeemable Class A Preference Shares, Series 3 issued by the Company. The Company is a closed-end mutual fund corporation invested primarily in the exchange-traded stock of Canadian companies (the “Portfolio”). The rating is supported primarily by the very high level of downside coverage of approximately 75%. The Portfolio is diversified; with no more than 3.4% in any single name, there is an overweight in the Financial and Energy sectors with weightings of 26.5% and 25.9%, respectively. The Company may make dividend and special distributions to common shareholders that could potentially reduce asset coverage, but only to the extent that asset coverage after giving effect to such distributions remains above 2.5 times.

.

So, sure: CGI is better diversified, the coverage is even higher than Allbanc’s and CGI.PR.C has language in the terms of issue that restrict distributions if asset coverage falls below 2.5:1. These are good things and I will not minimize them. On the other hand, CGI.PR.C doesn’t mature until 2016-6-15, which gives a lot more time for things to go wrong.

I won’t insist that the ABK.PR.C should be rated equivalent to CGI.PR.C! I won’t even insist that a Pfd-1(low) rating is the proper level (although I’d like to see some discussion of the point)! But I will say: I don’t understand why ABK.PR.C has not been upgraded to at least Pfd-2(high)!

February 26, 2006

Monday, February 26th, 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 4.13% 4.12% 25,591 17.21 1 +0.2787% 1,047.4
Fixed-Floater 4.81% 3.59% 80,834 8.13 7 +0.2559% 1,041.6
Floater 4.47% -21.17% 54,320 3.35 5 -0.0701% 1,049.5
Op. Retract 4.71% 2.18% 74,758 2.05 18 -0.0896% 1,030.7
Split-Share 5.10% 0.66% 239,561 2.79 14 -0.0166% 1,044.5
Interest Bearing 6.49% 4.64% 63,070 2.96 5 -0.2005% 1,039.6
Perpetual-Premium 5.03% 3.83% 214,065 5.01 51 +0.0867% 1,054.7
Perpetual-Discount 4.53% 4.55% 1,073,660 14.67 11 +0.1609% 1,061.6
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet -2.4731% The bids just faded away and it closed at 27.21-50, 1×9, on volumen of 2,129 shares. Still with a pre-tax bid-YTW of 2.90% based on a bid of $27.21 and a call 2008-12-31 at $26.00, but buyers are hoping for the softMaturity 2011-11-30 at $25.00, yielding 3.72%.
Volume Highlights
Issue Index Volume Notes
GWO.PR.F PerpetualPremium 140,399 Desjardins crossed 90,000 at 28.11, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 1.65% based on a bid of 27.96 and a call 2008-10-30 at $26.00. Somebody has decided that particular call is not too likely!
RY.PR.A PerpetualDiscount 34,538 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.87 and a limitMaturity.
CM.PR.I PerpetualPremium 33,531 Now with a pre-tax bid-YTW of 4.50% based on a bid of 25.50 and a call 2016-3-1 at $25.00.
SLF.PR.D PerpetualDiscount 29,419 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.73 and a limitMaturity.
CM.PR.J PerpetualDiscount 28,425 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.94 and a limitMaturity.

There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

BNA.PR.C Dividend Dates Changed!

Monday, February 26th, 2007

Well … I thought it was over. But it wasn’t.

I am now advised that:

  • Declaration date 2/23
  • Ex-Date 2/28
  • Record Date 3/2
  • Pay Date 3/7
  • Amount 0.1460

This has been confirmed on Bloomberg (except they say Declaration 2/26) and on the TSX Data Service.

Changes have been put through on HIMIPref™.

Today was an active day for this issue, with 15,090 shares changing hands in a range of $24.80-94. I can only hope that the sellers knew they were selling cum-dividend … which would be more than what I knew, and more than what I published in good faith.

HIMI Preferred Indices : March 1998

Monday, February 26th, 2007

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 1998-03-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,591.2 0 0 0 0 0 0
FixedFloater 1,547.2 9 2.00 4.64% 15.7 239M 5.09%
Floater 1,498.3 5 1.80 4.70% 15.5 106M 5.13%
OpRet 1,325.4 32 1.28 4.30% 4.1 94M 6.08%
SplitShare 1,364.6 3 1.66 4.94% 7.3 164M 5.39%
Interest-Bearing 1,325.4 0 0 0 0 0 0
Perpetual-Premium 1,236.4 6 1.00 5.20% 2.0 135M 6.92%
Perpetual-Discount 1,215.7 0 0 0 0 0 0

Index Constitution, 1998-03-31, Pre-rebalancing

Index Constitution, 1998-03-31, Post-rebalancing