Archive for the ‘HIMIPref News’ Category

HIMIPref™ Programming : Active Portfolio Holdings Report Improvement

Thursday, February 1st, 2007

Users are encouraged to click “Holdings” on the mainMenu|reports|activePortfolio subMenu every now and then, just to double-check that the transactionFile and holdingsFile are properly synchronized.

This routine has been improved by introduction of a more stable “Wait Cursor” while the transaction file is being evaluated and compared – users will then be aware that they are not supposed to be banging buttons and cursing the programme during the process.

As this is such a small and cosmetic improvement, I will not upload the new version of HIMIPref™ to prefshares.com for client download. The enhancement will be included next time I do upload a substantive improvement.

HIMIPref™ Documentation : PortfolioInputBox

Thursday, February 1st, 2007

The user manual page portfolioInputBox has been upgraded slightly … there was a problem in which the programme appeared to be frozen, but – as far as I can make out – the commissionInputBox was not visible, although it was expecting input. The visible commissionReportBox was not accepting input.

Should such a thing happen, the commissionReportBox should simply be moved to another area of the monitor screen. The commissionInputBox will then be visible AND accepting input.

New Symbols for BC.PR.A / BC.PR.B / BC.PR.C / BC.PR.D / BC.PR.E

Wednesday, January 31st, 2007

As noted in this Blog and on the BCE Website, all the captioned Bell Canada preferreds will be exchanged for BCE Inc. Preferreds. The only thing you don’t know is the effective date and new symbols. Until now.

BC / BCE Ticker Change
Series Old Ticker Old Security Code New Ticker New Security Code
15 BC.PR.A BCE.PR.E
17 BC.PR.B A38006 BCE.PR.G A39014
19 BC.PR.C A38005 BCE.PR.I A39016
16 BC.PR.D BCE.PR.F
18 BC.PR.E A38007 BCE.PR.H A39015

The new symbols are effective for trading Thursday February 1, 2007.

I’ll add columns for the old and new securityCodes later, when I process the reorgDataEntries.

Update 2007-02-01 : Table has been  updated.

HIMIPref™ Portfolio Method : Recommended Constraints

Monday, January 29th, 2007

systemConstants for the portfolioMethod of trade optimization are availble to subscribers on the HIMIPref™ server.

Recommended constraints are:

Constraints Identifier : 3
description : Portfolio: >$5-Million
maxWeight : 10.00 %
minWeight : 0.1000 %
maxWeightRetractible : 100.00 %
maxWeightIssuerClass2 : 10.00 %
maxWeightSplitShareCorp : 100.00 %
maxWeightInterestPay : 100.00 %
maxWeightCumulativeDividends : 100.00 %
maxWeightCreditClass2 : 100.00 %
tradingMaxDays : 0.50
Optimization Type : Portfolio Method
IndexID : 1
maxWeightIssuerClass3 : 5.00 %
maxWeightFloatingRate : 50.00 %
maxWeightCreditClass3 : 10.00 %

See the Constraints page of the User Manual for an explanation of the various parameters.

BNS.PR.L Gets a Solid Reception

Wednesday, January 24th, 2007

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:

Curve Price Comparison
After-tax Curve
Component BNS.PR.L BNS.PR.K
Price due to base-rate 23.19  24.07
Price due to short-term 0.04  0.04
Price due to long-term 0.57  0.58
Price due to Liquidity 1.50  0.67
Price due to error -0.03  -0.01
Curve Price 25.26 25.34
Closing Quote 25.07-09  25.91-97
Annual Dividend 1.125 1.200
Yield-to-Worst (Pre-Tax)  4.48%  4.24%
Yield-to-Worst (Post-Tax) 3.56%  3.37%
YTW Call-Date 2016-05-27  2014-05-28

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.

Documentation : Analytical Universe Selection

Tuesday, January 23rd, 2007

Drew’s comments and queries have, as always, pointed out some deficiencies and, as is not quite so often the case, have led to an improvement in my documentation.

There is a new page in the User Manual: Analytical Universe, that basically restates my responses to the original query. Please – don’t be shy about asking questions and telling me that something’s not clear! I’ll always listen – it’s getting me to do anything useful that’s hard!

No Surprises on RY.PR.E First Day of Trading

Friday, January 19th, 2007

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:

RY.PR.E Taxable Curve Price
Component Value
Price due to base-rate 23.30
Price due to short-term 0.04
Price due to long-term 0.49
Price due to Liquidity 1.48
Price due to error -0.03
Total 25.28

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.

User Manual : Deleting Account & Deleting Transaction

Thursday, January 18th, 2007

Some documentation has been added to the user manual on the captioned issues:

BMO.PR.J : First Day Uneventful

Wednesday, January 17th, 2007

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.

FIG.PR.A Added to HIMIPref™ Database

Saturday, January 6th, 2007

I have added Income & Growth Split Trust Preferred Sec to the HIMIPref™ database for a number of reasons, mainly the probability that several other preferred securities I track will be converted into this security next week (FCI.PR.A, FCF.PR.A, FCN.PR.A).

I can’t say I’m a big fan of this issue. It has had a continuous call at par effective since issue date, which is annoying. I have long been an advocate of a declining call premium on split share preferreds, so that preferred holders have at least a sporting chance of a capital gain and can plan their portfolios with a bit more confidence.

According to their annual report, the fund had no redemptions in 2005, but this situation has changed markedly in 2006. The third-quarter report discloses that of the 5,545,000 units outstanding Dec. 31, 2005, 2,375,599 (or 42.8%) had been redeemed. No wonder they got the urge to merge!

Assuming they get approval, the underlying investments won’t be solely Income Trusts any more – the Investment strategy will include:

Subject to the Investment Restrictions, the net proceeds of any Offering, together with any amounts drawn under the Loan Facility, will under normal market conditions be invested by the Trust in an actively managed diversified portfolio of securities, consisting of the following asset classes: (i) Income Fund Securities, (ii) Dividend-Paying North American Equities, (iii) Non-Investment Grade Debt; (iv) Short Term Investments; (v) Convertible Debt; and (vi) other income-generating securities.’’

Which doesn’t sound exactly 100% thrilling, but as long as there’s a hefty asset coverage ratio, the pref holders shouldn’t mind.