Archive for the ‘Data Changes’ Category

BAM.PR.N : A Ticking Time-Bomb?

Wednesday, May 9th, 2007

The previously announced new issue of BAM 4.75% Perpetuals started trading today under the symbol BAM.PR.N … and I can’t believe my eyes!

I was expecting it to trade in the $24.50 area, simply because that’s where the BAM.PR.M issue promptly slumped to immediately after the new issue was announced … the price level is not a surprise.

The surprise is that it’s now 1:30 pm, only 5,500 shares have traded, and the market is quoted at 24.60-64, 3×7. 3×7? On a new issue? 5,500 shares?

Together with the drop in price being so pre-ordained by the behaviour of BAM.PR.M, what this is telling me is that the underwriters haven’t sold a whole lot of shares. I can’t state that as a definite fact and I’m not the Oracle of Delphi, but that’s my interpretation and I’ll bet anybody who likes an entire dime that I’m right.

I suspect that this one will have an Inventory Blow-Out Sale, just like SLF.PR.D did last fall. Maybe early June, but I won’t bet any money on that part of the prediction. In the mean-time, I urge extreme caution when buying both BAM.PR.N and its twin sister BAM.PR.M … at least until the situation clarifies.

The HIMIPref™ database has been updated with the new issue information – BAM.PR.N has been assigned the securityCode A41223, replacing the preIssue code of P43000. A reorgDataEntry has been processed to reflect the change.

Update: Closed at 24.50-60, 3×19, on volume of 9,400 in a trading range of 24.50-75.

At some point, I’m going to do some research on “First Trading Days”. This must be some kind of record.

tick … tick … tick …

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

HIMIPref™ Data Change: CU.PR.A & CU.PR.B Dividend Dates

Tuesday, May 8th, 2007

Mea culpa.

HIMIPref™ had estimated the dividend dates for the captioned issues as 5/8, 5/10, 6/1 … I now see that the actual dates are 5/15, 5/17, 6/1.

The dividendDataRecords in the HIMIPref™ permanentDatabase have been corrected. Sorry.

New Issue : S Split Corp 5.25% Retractibles

Monday, April 30th, 2007

I had a look at the prospectus, as promised, and have added this issue to the HIMIPref™ Universe.

Maturity is 2014-12-1. There are no intervening redemptions.

Dividend is 5.25% p.a., payable monthly, par value $10.00. There will be no distributions to the Capital Unitholders if this would result in asset coverage for the prefs falling below 1.65:1.

Underlying security is shares of BNS. The manager is covering the cost of issue – in exchange, the manager gets a fee (payable by the retracting shareholder) if units are retracted prior to maturity. Hence, asset coverage will initially be (very close to) 2.5:1. Since BNS yields approximately 3.12% p.a., income coverage at issue will be in excess of 1:1.  

Downside is: DBRS rating of Pfd-2(low). I suspect that the issue lost a notch due to a very high concentration risk on BNS, but that’s for DBRS to say and for the rest of us to guess. Additionally, the maximum issue size is only $100-million. If they can get that high, it will be a respectable size as far as split-shares go, but trading may be expected to require patience.

A nice little issue, worthy of consideration as part of a DIVERSIFIED portfolio. Did I mention that a portfolio containing this issue should be DIVERSIFIED? Don’t come running to me if you have to sell 1,000 shares in two years and the price moves a buck. Or if BNS finds out they’ve made a little arithmetic error on their commodities trading and there won’t be any dividends for the next few years. Or whatever.

And while the preferred will be offered separately, there is no guarantee that they will be offered to YOU separately. The prefs are quite attractive enough that they should trade at a premium to par immediately upon issue.

The preIssue securityCode for this issue is P71400.

RY.PR.G Splatters onto Market

Friday, April 27th, 2007

The new issue of Royal Bank 4.5% perpetuals announced April 17 settled today and met a very poor reception, trading in a range of 24.48-60 and closing at 24.49-50, 20×12.

I’m at a bit of a loss to understand this and can only speculate that the continuing BCE debacle has caused a little nervousness amongst retail, while institutional buyers may be filled up on Royal after their string of new issues:

RY Issues Tracked by HIMIPref™
Ticker Listing Date Shares
RY.PR.K 1998-4-27 12,000,000
RY.PR.W 2005-01-31 12,000,000
RY.PR.A 2006-04-04 12,000,000
RY.PR.B 2006-07-20 12,000,000
RY.PR.C 2006-11-01 8,000,000
RY.PR.D 2006-12-13 10,000,000
RY.PR.E 2007-01-19 10,000,000
RY.PR.F 2007-03-14 8,000,000
RY.PR.G 2007-04-26 10,000,000

RY.PR.K is retractible – all the others are perps. 

However, it might not matter a lot whether the market is fed up with the name or not! Examining the figures for Royal’s tier one capital limits, we see that they had room to issue preferred of $520-million on February 6 (after the issuances of RY.PR.C, RY.PR.D & RY.PR.E and redemption of RY.PR.O) and with the 18-million shares issued since then have used up $450-million of that. That leaves a mere $70-million in issuance room and they might not be willing to go to market for such a paltry amount.

Note I will admit that I am somewhat at a loss to reconcile their Preferred Share Tier One Capital of $1,345-million at year end with their list of issues outstanding. The figure of $1,345-million is referred to in the MD&A on page 66 of the Annual Report – this table contains no mention of any preferred shares in Tier Two Capital, which is where I would expect to find the retractible issue RY.PR.K. Note 18 on Page 130 of the Report shows $1,050-million perpetuals, and $298-million “Preferred Share Liabilities”, specifically including RY.PR.K (Series N). So I guess that, somehow or other, they were able to include RY.PR.K in Tier 1 Capital.

So, given that the RY.PR.O has been redeemed, their Tier One Capital preferred situation now looks like this:

Tier 1 Capital / Preferreds / Royal Bank
Item Value (million)
Outstanding, year-end 1,345
Redeemed (150)
Issuance 1,150
Current Total 2,345
Preferred Limit, as of Year-End 2006 2,415

All in all, they’re very close to their limit now, unless they boost their equity capital in other ways, like hiking ATM fees. But fear not! The RY.PR.K becomes redeemable at par 2007-08-24 (although not retractible by holders until 2008-8-24) and eliminating this issue with open up another $300-million of issuance room.

RY.PR.G & Comparatives
Data RY.PR.G BNS.PR.M BAM.PR.?
Price due to base-rate 22.47 22.49 23.29
Price due to short-term -0.21 -0.21 -0.21
Price due to long-term 1.29 1.29 1.27
Price to to Cumulative Dividends 0.00 0.00 0.00
Price due to Credit Spread (2) 0.00 0.00 -0.62
Price due to Liquidity 1.53 1.53 1.48
Price due to error -0.06 -0.06 0.08
Price due to Credit Spread (low) 0.00 0.00 -0.62
Curve Price (Taxable Curve) 25.02 25.04 24.68
Dividend Rate 1.125 1.125 1.1875
Quote 4/26 24.49-50 24.89-92 25.00 Issue
YTW (at bid, after tax) 3.66% 3.61% 3.79%
YTW Date Infinite Infinite 2016-8-30 / Infinite
Credit Rating (DBRS) Pfd-1 Pfd-1 Pfd-2(low)
YTW (Pre-Tax) 4.61% 4.55% 4.76%
YTW Modified Duration (Pre-Tax) 16.23 16.31 15.95
YTW Pseudo-Convexity (Pre-Tax) 1.15 -30.29 -55.80

It is not my habit to include such an incomparable comparable as the BAM new issue, but I just couldn’t resist! BAM has a boatload of preferreds outstanding, and if we can blame overall market tone and angst for today’s RY.PR.G debacle, then the May 9 BAM settlement could prove interesting in the extreme.

The securityCode for RY.PR.G is A45016, replacing the preIssue code of P87500. A reorgDataEntry has been processed.

FFN.PR.A : Term Extension Approved

Tuesday, April 24th, 2007

Shareholders in Financial 15 Split Corp. II have approved the term extension to Dec. 1, 2014:

Shareholders were asked to consider a special resolution to amend the articles of the Company to extend the termination date for the Class A Shares and the Preferred Shares to December 1, 2014.

Preferred Shareholders voted 98.5% in favour of the resolution and Class A Shareholders voted 93.8% in favour of the resolution, and therefore the resolution to extend the termination date to December 1, 2014 was approved at the meeting held earlier today.

PrefInfo.com and the HIMIPref™ database will be updated with the new scheduled redemption date shortly.

Update: Updates have been completed. A reorgDataEntry has been processed in HIMIPref™ with the reorgType REORG_TERMCHANGE changing from the old securityCode A45260 to the new securityCode A45261 … and of course, all the other permanentDatabase tables changed as required to describe the new instrument.

DFN.PR.A : Term Extension Approved

Tuesday, April 24th, 2007

The Special Resolution to extend the term of DFN.PR.A to December 1, 2014 has been approved:

Preferred Shareholders voted 99.5% in favour of the resolution and Class A Shareholders voted 97.6% in favour of the resolution, and therefore the resolution to extend the termination date to December 1, 2014 was approved at the meeting held earlier today.

PrefInfo.com and HIMIPref™ will be updated to reflect the new information shortly.

Update: Updates have been completed. A reorgDataEntry has been processed in HIMIPref™ with the reorgType REORG_TERMCHANGE changing from the old securityCode A43060 to the new securityCode A43061 … and of course, all the other permanentDatabase tables changed as required to describe the new instrument.

HIMIPref™ Data Simplification : FIG.PR.A Dividends

Tuesday, April 24th, 2007

As assiduous readers will remember, FIG.PR.A was the “target security” in a four way merger earlier this year.

In what was presumably an effort to ensure that each class of shareholder got their due, FIG.PR.A paid a partial dividend of 0.05308 on 2007-2-9 to holders of record 2007-1-31. They then paid the balance ($0.10317) of the regular quarterly amount on 2007-4-2 to holders of record 2007-3-22.

Unfortunately, this sort of thing gives HIMIPref™ stomach-ache. There are several layers of checks built into the system to ensure that quarterly dividends are recorded quarterly, by billy-dam, or at least approximately. The good old Argus preferreds, for instance, have been in default for … a while … but on every dividend date I dutifully put in a dividend of $0.0001, just so the programmatic editors will see the entry and tick off their lists. There’s a wobble allowed, so that issuers like ABK.PR.C with their idiosyncratic ideas regarding the definition of “regular” and “quarterly” don’t cause me too many problems.

However, things like special dividends throw me for a loop. I can handle it on redemptions, but not with a continuing security. Therefore:

1: The dividend of 0.05308 paid 2/9 has been deleted from HIMIPref™

2: The dividend of 0.10317 paid 4/2 has been entered on the system as $0.15625.

This approximation means that intra-period returns on FIG.PR.A will be miscalculated.

It also means that in simulations, returns on holdings of FCN.PR.A / FCF.PR.A & FCI.PR.A will be overstated. But it’s either that, or re-write my edit routines to be even more complicated (which I might do eventually, but hardly seems worthwhile right now) or scrap my editors (which, given the number of times they’ve saved my hide, seems to me to be the worst option).

ALB.PR.A, LFE.PR.A Added to HIMIPref™ Universe

Sunday, April 15th, 2007

The two issues in the title are split shares, both rated Pfd-2(low) and both with a high market capitalization.

They have been added to the HIMIPref™ database and will probably be added to the SplitShares Index on the next rebalancing, which will be at month-end.

BNS.PR.M Arrives at Market Slightly Discounted

Friday, April 6th, 2007

The Scotia new issue, announced March 21, closed its first day of trading at 24.87-89, on heavy volume of 724,590 shares. There was a tight trading range, 24.85-92.

Updated comparatives are:

Scotia Bank 4.45% Perp New Issue & Comparatives
Data BNS.PR.M BNS.PR.L RY.PR.E
Price due to base-rate 22.52 22.43 22.64
Price due to short-term -0.25 -0.25 -0.25
Price due to long-term 1.39 1.39 1.39
Price to to Cumulative Dividends 0.00 0.00 0.00
Price due to Liquidity 1.71 1.71 1.72
Price due to error -0.07 -0.07 -0.07
Curve Price (Taxable Curve) 25.30 25.22 25.43
Dividend Rate $1.125 $1.125 $1.125
Quote 4/5 24.87-89 24.97-98 25.15-23
YTW (at bid, after tax) 3.61% 3.58% 3.60%
YTW Date Infinite 2016-5-27 / Infinite Infinite
Credit Rating (DBRS) Pfd-1 Pfd-1 Pfd-1
YTW (Pre-Tax) 4.54% 4.50% 4.51%
YTW Modified Duration (Pre-Tax) 16.36 16.46 16.24
YTW Pseudo-Convexity (Pre-Tax) -35.01 -63.28 -51.92

Update: The issue has been added to the HIMIPref&trade database with the securityCode A41010, replacing the preIssue code of P50012. A reorgDataEntry has been added to the system.

The issue has been added to the HIMIPref™ PerpetualDiscount Index.

Mea Culpa : HIMIPref™ Data error on TD.M / TD.PR.N / TD.PR.O Dividends

Wednesday, April 4th, 2007

I looked at the TD Press Release while preparing my post of April 2, but missed the detail anyway.

Dividends for the captioned issues were recorded with inaccurate dates. The correct dates are:

ex-Date : 2007-04-04

Record-Date : 2007-04-09

Pay-Date : 2007-04-30

The HIMIPref™ database has been adjusted.