Category: Index Construction / Reporting

BNS.PR.L commenced trading today, after having been announced January 8. Scotia announced today that the underwriters’ over-allotment privilege had been exercised to the tune of 1.8 million shares, bringing the total size of the issue to 13.8 million shares valued at $345-million.

The issue traded a healthy 387,831 shares in a range of 24.98-08. The closing quotation was 25.07-09, 67×50.

There may be a little more value left in this issue, as HIMIPref™ calculates a curvePrice of $25.26:

The securityCode for this issue is A41009, replacing the preIssue code of P75004. A reorgDataEntry has been created to reflect this change.

The issue has been added to the “PerpetualPremium” Index as of 1/24.

This was pretty much a carbon copy of the BMO.PR.J opening last Wednesday. Volume was 313,249 trading in a range of 24.85-95 – which was below the issue price, which is eventually going to annoy the buyers of these new issues!

It closed at 24.90-92, 17×338, and looks reasonably attractive there. When I look at the curvePrice according to the yieldCurve calculated for taxable accounts, I get:

At the closing bid of $24.90, the issue has a pre-tax bid-yieldToWorst of 4.53%, based on a limitMaturity.

The issue has been added to the PerpetualDiscount index.

The securityCode for this issue is A45014 and a reorgDataEntry has been processed to reflect the change from the preIssue code of P87000.

Update (for linking!) 2007-01-27 : This issue was announced on January 10.

The BMO New Issue settled today and there wasn’t much of a surprise. The trading range was 24.90-98 on volume of 371,320 shares; the closing quote was 25.96-98, 25×35.

This issue has been fully entered into the HIMIPref™ database – the securityCode is A40006, and a reorgDataEntry has been posted to reflect the change from the preIssue code of P25004.

Update : The issue has been added to the PerpetualDiscount Index.

The Brookfield new issue closed today and dropped to a closing quotation of $24.59-60 on heavy volume of 395,480 shares.

At this price I like it more than BAM.PR.J – but not by enough (quite!) to perform the swap.

The issue has been added to the HIMIPref™ database with the securityCode A41222, as a reorg out of the pre-issue code, P25003.

It has been added to the PerpetualDiscount Index as of 2006-11-20

Somewhat to my surprise, the E-L Financial new issue was able to show some strength on its opening day, closing at 25.15-22 on volume of 135,325 shares.

This one looks fully priced – and that’s fully priced at best, because there’s a big chunk of liquidity value in the analysis. I suspect that as liquidity goes away, the market value of the shares will decrease, as the market comes to realize that a Pfd-2(low) [DBRS] issue should not be trading a mere 7bp yield higher than, for example, POW.PR.D.

This issue has been added to the HIMIPref™ database with a security code of A43087, replacing the Pre-Issue code of P25002. It has also been added to the PerpetualPremium Index.

As readers of my earlier post may have expected, LBS.PR.A had a very strong opening day, with 1,671,290 shares trading and closing at 10.55-59.

There may be more to come, as the following HIMIPref™ analysis indicates:

The estimate for the liquidity value is, as with all new issues, a little dicey – especially for a split-share issue, there is no guarantee that a huge liquidity premium will be sustained in the long run … in fact, there is a strong possibility of the opposite! But with an intrinsic value in the neighborhood of $10.80, it would appear there’s still some value left in the issue.

For those interested in more traditional measures, the pre-tax YTW of this issue is 4.34%, with a modified duration of 5.97, both measurements based on a maturity on 2013-11-29.

The issue has been added to the HIMIPref™ database with a security code of A47800, replacing the pre-issue code of P50004. It has also been added to the SplitShare Index.