Dundee Corporation has changed its stock symbol. The 5% preferred shares formerly known as DBC.PR.A now have the ticker symbol DC.PR.A
The old securityCode was A45100; the new one is A45101. A reorg entry has been processed on HIMIPref™.
Category: HIMIPref News
BAM.PR.M Disappoints on Opening
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
HIMIPref™ Release : 2006-11-17
There’s a new release of HIMIPref™ available for download at the usual place.
If you choose to install this upgrade, please, PLEASE remember to back-up your user data prior to re-installation! It is NOT stored on the server, it exists on the client machine only!
There is no absolute necessity for Institutional users to install the new version – any old version that worked yesterday will continue to work today. There is the consideration that, in the unlikely event that (i) You find a bug, and (ii) the effect of this bug is different in the two versions, it will be much easier track down the error if we’re all singing from the same hymnbook.
Improvements in this release are:
- The two problems noted in the announcement of the previous release have been fixed.
- There was a problem with the printing of the reportSummary that would occasionally cause truncation. The reportSummary would occasionally not print, or even announce the existence of, the final partial page of the report. Not only has this truncation error been fixed, but I now have a deeper and more vivid understanding of my horror when programming printing under Microsoft Foundation Classes for Windows and C++.
- Still with the report summary: if curvePrice is being reported and right-clicked to bring up the curveCalculationContextMenu you may choose to get the cashFlowDiscountingAnalysisBox. If you then click the “OptionDetails” button, you will get the optionCashFlowAnalysisBox. If you then click the “Replacement Cash Flows” button, you will then get another cashFlowDiscountingAnalysisBox with (this is the clever bit) all of the replacement cash flows, not just the replacement cash flows for the chronologically first option.
HIMIPref™ Tax Rates : User Specification
Taxation rates are, of course, the be-all and end-all for preferred share investors, which is one reason why I try to stay on top of marginal tax rates.
These marginal tax rates are stored in HIMIPref™ in a series of taxRateDataRecords which are kept on server-side. They are usually queried via the taxRateDialogBox:
They can also be found printed (on paper and on screen) for the active account at the bottom of the reportSummary.
To get the taxRateDialogBox, it is easiest to run the programme and choose mainMenu|Reports|activePortfolio|taxRate|trading. You can also get it by right-clicking on the relevant column on the portfolioList.
A user has asked whether he should change the taxRateDataRecords for his account, since it’s a little different from the “Highest Marginal Rate in Ontario” used as the default. The answer is yes … but not to expect too many changes in the system for a small change.
To determine whether a trade is recommended or not, HIMIPref™ estimates the total return after tax for both the bought and the sold issues. After adding a little bat’s blood, a trade is recommended if the expected additional return compensates for the known costs of execution (totalFrictionBid), plus a little extra to compensate for risk, plus a little more extra because the whole point of the exercise is to try and make some money.
Tax rates come into play via three channels:
- Tax Loss Selling (or, alternatively, capital gains avoidance. It’s good to lose tax-deductable money and reduce taxes! It’s bad to incur capital gains unless the poor sap buying your position is also paying your taxes!
- Differentiation between Interest and Dividends : This is a biggie, at least insofar as not buying Interest bearing prefs just because the headline yield is high is concerned.
- Differentiation between Capital Gains and Dividends : This is most important when the tax rates for these types of income is greatly different … an account may have capital losses for tax purposes, for instance, and thus want to tell HIMIPref™ that, given its druthers between $1 capital gain and $1 dividend, it would druther have the capital gain, thank you very much. However, most provinces nowadays won’t have much difference … on the other hand, lots of people have capital losses they can offset free of charge.
In sum, I’d say: Sure. Make the change, even if it’s a small change. After all, why go to all the trouble of throwing away information? In most cases it won’t make a lot of difference, but every now and then it’s worth a little bit of money.
Users cannot add taxRateDataRecords themselves. Send me an eMail specifying the desired values for the record and I’ll set up whatever you like – and we’ll discuss which taxRateSchedule you should select in the portfolioInputBox.
A Subdued Opening for CM.PR.I
CM.PR.I, the new issue discussed November 6, commenced trading today and closed at $24.91-92 on volume of 288,892 shares, having traded in the range 24.89-99 throughout the day.
It is a little difficult to understand why the issue did not rise on the first day, as it appears to be attractive by a wide variety of measures, but such is life in the preferred market! Nothing ever works exactly as expected!
In the earlier post, I compared the issue to the roughly comparable CM.PR.H, so I’ll update that comparison now and we’ll see what we see!
| CM.PR.H | CM.PR.I | |
| Changes from the November 6 calculation in brackets | ||
| Base Rate | 24.05 (+0.03) | 23.78 (-0.05) |
| Price due to short-term | 0.08 (-0.01) | 0.09 (-0.01) |
| Price due to long-term | 0.59 (+0.07) | 0.57 (+0.09) |
| Price due to error | 0.02 (Unch) | 0.02 (+0.01) |
| Price due to Credit Spread (Low) | -0.54 (Unch) | -0.53 (-0.04) |
| Intrinsic (subject to rounding error) | 24.20 (+0.09) | 23.93 (Unch) |
| Price due to Liquidity | 1.60 (+0.02) | 1.56 (-0.02) |
| Total (subject to rounding error) | $25.79 (+0.10) | $25.49 (-0.02) |
The CM.PR.H closed at 25.38-50, 10×73, today, so the CM.PR.I has some company in looking cheap!
As one can see, the curve moved against the new issue in the week or so since the last analysis and now “likes” the slightly greater dividend (and hence chance of call) of the CM.PR.H more than it did.
To look at this more closely, we can examine the output from the optionCashFlowEffectAnalysisBox, which I’ll blog about at some future date.
CM.PR.I has been added to the HIMIPref™ database with the securityCode A42018, replacing the “PreIssue” code of P50007.
Data Delay : 2006-11-10
I’ve waited a while, but it’s time for supper! The TSX has not yet made available the closing quotations via my standard pipeline, so HIMIPref™ will not be updated at this time. I’m sure everything will be in order long before Monday’s opening, but will update this post when prices are updated.
No Market Action report until I’ve got my prices!
Mind you, though, SLF.PR.D moved up today, closing at 24.30-33, 24×6, up from 24.09-14 yesterday. A nice move, which although not worthy of a mention in “Major Price Changes”, will be very gratifying to those who bought during the sale. The virtually identical SLF.PR.C (which should be always priced equal-to-slightly-lower in price, according to the Efficient Market Hypowhatsit) closed at $24.51-65, 4×20, on volume of 144,610 shares. RBC crossed 90,000 shares, Nesbitt crossed 50,000. Has it truly become that difficult to buy SLF.PR.D in size? Doesn’t seem reasonable, somehow…
Update, 2006-11-11 : OK, prices are in. It’s not something I normally look at, but I did see that the spread between BBD.PR.B & BBD.PR.D seems a little wide … perhaps that’s something for me to write about next week …
HIMIPref™ Data Changes : FAL.PR.F, FAL.PR.G, BMO.PR.I
As noted in an earlier post, Falconbridge’s new owners redeemed the issues FAL.PR.F (securityCode A36042) and FAL.PR.G (security code A36043). These entries have now been processed to the HIMIPref™ database, delistingDate 2006-11-02.
A rounding error was discovered in the instrumentDataRecord for BMO.PR.I, which has been recently discussed. The dividendRate had been recorded as $1.188 and has now been corrected to $1.1875.
New Issue : CIBC 4.7% Perp
Well, it didn’t take long for CIBC to replace the capital lost via the redemption of CM.PR.B! They announced a new issue (with a headline announcing a redemption!) that will close on November 15.
Terms of the issue (Class A Series 31) are:
Dividend: Non-cumulative, 4.7% on $25.00 p.v. is $1.1750
Callable:
- $26.00, 2012-1-31 – 2013-1-30
- $25.75, 2013-1-31 – 2014-1-30
- $25.50, 2014-1-31 – 2015-1-30
- $25.25, 2015-1-31 – 2016-1-30
- $25.00, 2016-1-31 +
DBRS: Pfd-1 (low)
S&P: P-1 (low)
There will be 16-million shares outstanding; underwriters have a greenshoe option for an additional 2-million shares. It’s a bought deal.
The terms of this issue make it a reasonably close match to CM.PR.H, issued 2005-3-10, paying $1.20, call schedule commencing 2001-3-30, closing 2006-11-3 at $25.80-89
| CM.PR.H | New Issue | |
| Base Rate | 24.02 | 23.83 |
| Price due to short-term | 0.09 | 0.10 |
| Price due to long-term | 0.52 | 0.48 |
| Price due to error | 0.02 | 0.01 |
| Price due to Credit Spread (Low) | -0.54 | -0.49 |
| Intrinsic | 24.11 | 23.93 |
| Price due to Liquidity | 1.58 | 1.58? |
| Total | $25.69 | $25.51? |
Basically, the thing looks pretty good … priced to move! I’ll also note that it yields 10bp more (at issue) than the recently issued RY.PR.C, in terms of PRE-TAX DIVIDENDS, which is about right considering that the credit spread for “Low” is 11bp AFTER TAX.
This issue has been entered into HIMIPref™ with the temporary security code P50007.
HIMIPref™ Release : 2006-11-02
There’s a new release of HIMIPref™ available for download at usual place.
If you choose to install this upgrade, please, PLEASE remember to back-up your user data prior to re-installation!
This release continues the recent tradition of being more for my convenience than for users’! Several changes have been made to the Administrative Users’ Computation of Indices, but very little has changed for Institutional users.
There is no absolute necessity for Institutional users to install the new version – any old version that worked yesterday will continue to work today. There is the consideration that, in the unlikely event that (i) You find a bug, and (ii) the effect of this bug is different in the two versions, it will be much easier track down the error if we’re all singing from the same hymnbook.
I can remember two minor fixes! Clicking on a data point in a graph of the “Core Yield Curve” now has a much more explicable error message; and calculation of after-tax performance for individual issues has been fixed up.
I found two more minor bugs (features!) when testing the system:
- When you do a price-variance analysis graph for a very wide (say, 40%) band of prices, the system insists that the point with “x = -0.0000” is outside the graphed area. Don’t click on the error box! Just hit return, or the cursor will cause the system to attempt to redraw the graph and HIMIPref™ will appear frozen, although it isn’t.
- Error #3706 is produced when right-clicking on Average Trading Volume on the report summary and selecting “Liquidity Calculation”. The report box gets produced, but with one line of missing information and it’s annoying.
I’ll look at these bugs tomorrow. It’s not worth putting out a new release just for them, but fixes will be part of the next release.
BAM.PR.G Change of Terms
The BAM.PR.G change of terms has been processed on HIMIPref™: the old security code was A41216, the new code is A41219.