Archive for the ‘HIMIPref News’ Category

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STW.PR.A : Stealth Redemption?

Friday, December 29th, 2006

I praised this issue as recently as yesterday:

This interest-bearing split-share is an attractive issue for RRSP-buyers: a call premium (currently callable at 10.60; declines by $0.20 at the beginning of every calendar year) ensures that if you do get called due to capital unit retractions, at least you get paid for your trouble.

I am now given to understand that this issue was partially called on December 19, with about one-eighth of the issue redeemed at the very nice price (for pref holders!) of $10.60. I have a high degree of confidence in this information.

This is very strange.

There’s no press release.

There’s nothing on their website.

There’s not even anything on SEDAR.

Those who have recently purchased the issue (it has rarely closed above $10.30 since mid-October) will be rather pleased – but really, the company could do a better job of communication.

 Update : There was an error in the HIMIPref™ database for the last dividend: the ex-Date should have been 12/27, not 12/28, which will have affected the reported daily return for 12/27 and 12/28. This has now been fixed. My apologies.

Posted in Data Changes, Issue Comments | 2 Comments »

December 28, 2006

Thursday, December 28th, 2006

Data has been input to the HIMIPref™ database but commentary will not be ready until tomorrow. My apologies.

Update (finally!)

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 4.10% 4.10% 32,656 17.26 1 +0.0000% 1,036.2
Fixed-Floater 4.78% 3.71% 94,105 6.54 7 +0.0567% 1,037.8
Floater 4.49% -19.48% 60,693 6.63 5 -0.0156% 1,038.3
Op. Retract 4.65% 0.74% 84,850 2.17 17 +0.1165% 1,032.5
Split-Share 5.08% 2.06% 238,695 2.50 9 -0.1115% 1,042.7
Interest Bearing 6.94% 5.62% 80,252 1.60 7 +0.9179% 1,033.5
Perpetual-Premium 5.02% 3.56% 266,101 4.41 52 -0.0054% 1,054.0
Perpetual-Discount 4.53% 4.52% 810,985 11.74 6 -0.0986% 1,059.6
Major Price Changes
Issue Index Change Notes
DFN.PR.A SplitShare -1.3084%  
ELF.PR.G PerpetualPremium -1.0054%  
BSD.PR.A InterestBearing +1.0101%  
CM.PR.P PerpetualPremium +1.0101%  
MST.PR.A InterestBearing +1.4808%  
STW.PR.A InterestBearing +3.4619%  
Volume Highlights
Issue Index Volume Notes
TD.PR.N OpRet 115,700  
MIC.PR.A Scraps 90,000  
TD.PR.M OpRet 50,000  
GWO.PR.I PerpetualDiscount 15,665  
SLF.PR.D PerpetualDiscount 14,402  

There were two other index-included issues with over 10,000 shares traded today.

 Update: There was an error in the calculation of returns for ELF.PR.G – it went ex-dividend on 12/28 and the dividend was improperly recorded in HIMIPref™. This error has now been corrected.

Posted in Data Changes, Market Action | 1 Comment »

BAM Split Corp.: New Issue 4.35% Retractibles

Wednesday, December 20th, 2006

I have been advised of a new issue by the recently renamed BAM Split Corp. A press release is available via CCN Matthews.

This is a bought issue, with closing scheduled for January 10, 2007. Issue size is $200-million, very nice for a split-share corporation.

 Dividends are cumulative and quarterly, 4.35% p.a. on the par value of $25.00.

The embeddedOptions are:

BAM Split 4.35% Ret. Options
Redemption 2007-1-10 2016-1-9 $26.00
Redemption 2016-1-10 2017-1-9 $25.75
Redemption 2017-1-10 2018-1-9 $25.50
Redemption 2018-1-10 2019-1-9 $25.25
Maturity 2019-1-10 2019-1-10 $25.00

The first record date is projected to be February 22, 2007, for the first (short) dividend of $0.1460 payable March 7, 2007.

The material I have isn’t entirely clear, but it appears that the bought deal is conditional upon DBRS assigning a rating of Pfd-2 to the issue and reconfirming the Pfd-2 ratings outstanding on BNA.PR.A and BNA.PR.B

Update & Bump: The issue has been added to the HIMIPref™ database with a preIssue securityCode of P50009.

An analysis of curvePrice has been prepared, with some comparatives:

Curve Price Components using taxable Curve
Component BNA.PR.? PIC.PR.A LBS.PR.A
Price due to base-rate 24.02 15.80 10.53
Price due to short-term 0.04 0.12 0.03
Price due to long-term 0.81 0.38 0.34
Price to to Cumulative Dividends 0.00 0.00 0.00
Price due to SplitShareCorp -0.96 -0.22 -0.25
Price due to Retractibility 1.72 0.40 0.47
Price due to Credit Spread (2) -0.28 -0.06 -0.08
Price due to error 0.06 -0.00 -0.00
Price due to Credit Spread (High) 0.00 0.00 0.00
Price due to Credit Spread (Low) 0.00 0.00 0.00
Intrinsic Price 25.41 16.43 11.03
Price due to Liquidity ? 0.03 0.23
Curve Price ? 16.46 11.26
Quotation, 12/20 25.00 Issue 16.06-15 10.82-89
Yield-To-Worst (taxable) 3.45% 3.20% 3.20%
Modified Duration To Worst (taxable) 9.79 3.50 5.97
Yield-To-Worst (non-taxable)  4.34%  4.01% 4.03% 
Modified Duration To Worst (non-taxable)  9.38  3.45  5.81

The portfolio evaluation of the experimental SplitShare Index is here.

Posted in Data Changes, New Issues | 2 Comments »

FBS.PR.B Closes; FBS.PR.A Redeemed

Friday, December 15th, 2006

5Banc Split Inc. has announced (via CCN Matthews) that its new issue of preferreds, FBS.PR.B, has closed.

14-million shares priced at $10.00 were sold, compared to the initial issue 3.25-million of the old shares, FBS.PR.A, the last of which have been redeemed at $25.00. That’s a nice increase of 72% in initial issue size, so I will speculate that TD Bank, the sponsor, is happy!

The new securityCode for FBS.PR.B is A29001, which replaces the preIssue code of P50008. A reorgDataRecord has been added to the HIMIPref™ database.

A reorg entry has also been put through to reflect the redemption of FBS.PR.A (securityCode A29000) and the instrumentDataRecord changed to reflect the delisting.

More, later. Probably much later, as I don’t think I will be able to update the prices tonight and will have to leave it ’till later in the weekend.

Posted in Data Changes, Issue Comments | 5 Comments »

Change to HIMIPref™ record of BAM.PR.M Dividend

Thursday, December 14th, 2006

An error was found in the HIMIPref™ database for the first dividend payable for BAM.PR.M.

The dividendDataRecord has now been corrected to:

BAM.PR.M First Dividend
Ex-Date 2006-12-13
Record-Date 2006-12-15
Pay-Date 2006-12-31
Amount $0.1334

Posted in Data Changes, Issue Comments | No Comments »

A Solid Start for RY.PR.D

Wednesday, December 13th, 2006

The Royal Bank new issue got off to a solid start today, trading 249,115 shares and closing above the issue price at 25.10-11, 84×10.

Comparables after the first day, with changes from the announcement date in brackets, are:

Royal Bank Perpetuals    

Analysis Using AFTER-TAX Curve (except as noted)
Curve price Component RY.PR.A RY.PR.B RY.PR.C RY.PR.W RY.PR.D
Price due to base-rate 23.07
(-0.05)		 23.87
(-0.04)		 23.65
(-0.04)		 24.41
(-0.03)		 23.24
(-0.05)
Price due to short-term 0.04
Unch		 0.04
(-0.01)		 0.04
(-0.01)		 0.04
(Unch)		 0.04
(-0.01)
Price due to long-term 0.61
(+0.05)		 0.63
(+0.04)		 0.62
(+0.05)		 0.66
(+0.05)		 0.62
(+0.08)
Price to to Cumulative Dividends 0.00 0.00 0.00 0.00 0.00
Price due to Liquidity 1.47
(+0.01)		 1.52
(+0.02)		 1.50
(+0.01)		 0.80
(+0.14)		 1.48
(-0.01?)
Price due to error -0.03
(Unch)		 -0.04
(-0.01)		 -0.03
(Unch)		 -0.02
(Unch)		 -0.03
(-0.03)
CurvePrice 25.16
(Unch)		 26.03
(+0.02)		 25.78
(+0.01)		 25.89
(+0.15)		 25.34
(-0.02)
Annual Dividend 1.1125 1.1750 1.1500 1.2250 1.1250
2006-12-13 Quote 25.14-20
(+0.14b)		 25.76-80
(-0.14b)		 25.51-63
(+0.11b)		 26.47-57
(+0.02b)		 25.10-11
(+0.10b)
After-tax Bid YTW 3.52%
(-0.03)		 3.45%
(+0.08)		 3.51%
(-0.03)		 3.19%
(Unch)		 3.55%
(-0.03)
Pre-Tax Bid YTW 4.43%
(-0.04)		 4.34%
(+0.10)		 4.42%
(-0.04)		 4.02%
(+0.01)		 4.47%
(-0.03)

Tax has been included in the calculation of the elements of the above table in accordance with the Ontario Highest Marginal Rate.

This issue has been added to the HIMIPref™ database with the securityCode A45013, replacing the preIssue code of P75000

Posted in Data Changes, Issue Comments | 4 Comments »

BNA.PR.A, BNA.PR.B : Name Change?

Thursday, December 7th, 2006

A wise old man once said to me … well, I must not tell a lie. He wasn’t really all that old at the time, and I thought he was a bit of a dork, actually, but it sounds better the first way …. “You can’t be any more efficient than the people you work with!”

And so it is with the name change of BNN Split Corp. I note from the DBRS website that they have noted the name change from BNN Split Corp. to BAM Split Corp. Huh, thinks I, it’a about time they did that. The ticker change from BNN to BAM happened long ago (2005-10-5, to be precise, according to the HIMIPref™ database, which must be right – or, at least, in agreement with the Toronto Stock Exchange – because if I don’t have the right tickers in the system then the prices won’t load).

So I look at the Corporate Web Site and find that this name change is dated November 6, according to the company. I grumble to myself a little, because backdating a month of changes is rather a bother, but to ensure that the longNames and shortNames on the instrumentDataRecords are correct, I check the TSX.

According to the TSX the name is still BNN Split Corp.

I’m going to assume that the Street gets its long names and short names from the TSX for contract and statement purposes and that assumption is enough for me to heave a sigh of relief and not process any changes to the HIMIPref™ database. If it’s good enough for the TSX, it’s good enough for me, that’s my motto!

I’ll keep an eye on the situation and process the name change when required.

Posted in Data Changes | 1 Comment »

ASC.PR.A : Rights Offering and DBRS Upgrade

Wednesday, December 6th, 2006

Here’s a switch!

AIC Global Financial Split Corp. has announced a rights offering, giving unit holders the opportunity to subscribe for additional units. Given that ASC (the capital units) closed at $16.25 today and ASC.PR.A closed at $10.52, it would appear that the offering should be successful and the company will issue additional units worth about $9.3-million.

The decision to issue more units makes all kinds of sense to me: the fund had total assets of only about $41-million as of the last annual report, dated 2005-12-31. Issuing more units should result in increased liquidity for the unitholders – not to mention increased fees for the manager!  It’s a cheap way to raise money for a split share fund, according to the prospectus disclosure of fees:

Proceeds from the Subscription for Units to the Company: Approximately $9,295,625 after deduction of expenses of the Offering estimated at $290,000 inclusive of all fees and commissions which could be payable by the Company pursuant to the Soliciting Dealer Group Agreement (as hereinafter defined) between the Company and National Bank Financial Inc. (the “Dealer Manager”) which provides that the Company will pay a fee of $100,000 to the Dealer Manager plus a subscription fee of $0.30 per Unit in respect of each subscription procured by a member of the Soliciting Dealer Group (as hereinafter defined). See “Soliciting Dealer Group”.

So AIC expects to receive $9,295,625 of the total $9,585,625 paid by the ultimate owners. In other words, they’re raising this money with an efficiency of 96.97%. We can compare this to the efficiency of the 5Banc reissue, where they expect to see $285,850,000 of the total $300-million, for an efficiency of 95.28%.

Equity analysts and other such good-for-nothing spendthrifts will doubtless pooh-pooh an efficiency increase of 1.69% absolute, but here in this blog we’re fixed income analysts and know better. Pennies Count! And when these pennies are left inside the company, they help our credit quality!

Just to make things more exciting, DBRS announced today that the credit rating of the ASC.PR.A has been increased to Pfd-2(high) from Pfd-2, which should help sales a bit. The prospectus claims that this occurred on November 28, 2006, but the DBRS press release is dated today, December 6. The prospectus itself is dated November 30, so it’s all rather mysterious. I regret to say I don’t know the DBRS policy on giving committments to issuers and making these committments public.

 The HIMIPref™ database has been updated with the new creditRatingDataRecord effective tomorrow, December 7, 2006.

More later.

Later, more : ASC.PR.A currently has an AFTER-TAX YTW of 3.34% based on a bid of $10.52 and a hardMaturity 2011-05-31 at $10.00. The curvePrice is $10.76 evaluated under the after-tax curve. The PRE-TAX bid-YTW is 4.19%.

Posted in Data Changes, Issue Comments, New Issues | 2 Comments »

Royal Bank New Issue: 4.5% Perp

Monday, December 4th, 2006

Royal Bank has announced a new issue of 4.5% Perpetuals – I am advised that the redemption schedule commences 2012-2-24 at $26.00, but have not yet confirmed this.

This would not appear, at first blush, to be a particularly attractive issue considering the most obvious comparables. Reasonable, but not particularly attractive:

Recent RY Perpetuals
Issue Dividend Rate Quote 11/30
RY.PR.A 4.45% 24.98-00
RY.PR.B 4.70% 25.90-22
RY.PR.C 4.60% 25.35-37

More later.

Later, more:

Royal Bank Perpetuals
Analysis Using AFTER-TAX Curve (except as noted)
Curve price Component RY.PR.A RY.PR.B RY.PR.C RY.PR.W RY.PR.?
Price due to base-rate 23.12 23.91 23.69 24.44 23.29
Price due to short-term 0.04 0.05 0.05 0.04 0.05
Price due to long-term 0.56 0.59 0.57 0.61 0.54
Price to to Cumulative Dividends 0.00 0.00 0.00 0.00 0.00
Price due to Liquidity 1.46 1.50 1.49 0.66 1.49?
Price due to error -0.03 -0.03 -0.03 -0.02 -0.00
CurvePrice 25.16 26.01 25.77 25.74 25.36
Annual Dividend 1.1125 1.1750 1.1500 1.2250 1.1250
2006-12-01 Quote 25.00-08 25.90-09 25.40-50 26.45-52 Issue: $25.00
After-tax Bid YTW 3.55% 3.37% 3.54% 3.19% 3.58%
Pre-Tax Bid YTW 4.47% 4.24% 4.46% 4.01% 4.50%

 

Tax has been included in the calculation of the elements of the above table in accordance with the Ontario Highest Marginal Rate.

This issue has been added to the HIMIPref™ database on a preIssue basis with the securityCode P75000.

Posted in Data Changes, New Issues | 3 Comments »

5Banc Split New Issue

Saturday, December 2nd, 2006

The 5Banc Split Inc. new issue has been added to the HIMIPref™ database.

The anticipated closing date is 2006-12-15; it pays 4.75% as a cumulative dividend; it’s provisionally rated Pfd-2 by DBRS; and it’s a split share backed by … (wait for it) … five banks! BMO, BNS, CM, RY & TD are the portfolio shares.

I had a hard time deciding whether or not to include this issue in the database. It’s redeemable annually at the $10 issue price and I don’t like that. It means, for one thing, that the YTW will almost always be based on a call at the next annual date (assuming it trades at a premium, which, with a 4.75% dividend, seems likely for the forseeable future). I like the system whereby a declining schedule is put in place … like, f’rinstance, BSD.PR.A has. I’d be prepared to give up a little coupon for such a feature (how much? Consultancy can be easily arranged at a moderate fee).

In the end, I decided – sure, let’s include it. After all, it’s just replacing the FBS.PR.A and given that I expect a lot of redemptions over the next few years, I’d like to ensure I have a lot of issues with some history at all times, just to maintain continuity of the calculations.

The annual no-fee no-pain redemption feature for the capital units just creates a lot of churn (which may be the point, given that the selling commission is 3% on the prefs, 6% on the capital units.). This is a refinancing for 5Banc, with the old capital units eligible for tax-free conversion into the new capital units; the historical units outstanding have been:

5Banc Split Inc. Unit Activity
Date Units
2001-12-28 (Issue) +3,250,000
2002 -168,855
2003 -1,408,167
2004 -605,827
2005 -254,044
For Redemption 2006-12-15 813,107

The dividend is certainly attractive and the issue should go to a premium immediately after issue – and the underwriters are selling the prefs separately. The upside is limited by the very onerous redemption schedule, though, and I calculate a curvePrice of $10.26 (excluding liquidity considerations). One thing to remember about this kind of issue is that redemption will be driven by Capital Unitholders trying to cash in on the Next Big Thing – it will not necessarily have anything to do with prevailing interest rates. You could get redeemed (and receive the $10 par value) if rates are at 10% and the prefs are trading at $7.50. I can’t model that possibility though, and I wouldn’t count on it!

The preIssue securityCode for this issue is P50008.

Posted in Data Changes, New Issues | 2 Comments »

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