Miscellaneous News

Claymore to Offer Preferred Share ETF?

Claymore has filed a preliminary prospectus on SEDAR date January 8, 2007, for the “Claymore S&P CDN Preferred Share ETF”.

The Claymore S&P CDN Preferred Share ETF has been designed to replicate the performance of the S&P CDN Preferred Share Index, net of expenses. The investment strategy of the Claymore S&P CDN Preferred Share ETF is to invest in and hold the Constituent Securities of the S&P CDN Preferred Share Index in the same proportion as they are reflected in the S&P CDN Preferred Share Index.

The preliminary prospectus goes on to advise that

The S&P CDN Preferred Share Index is designed to serve the investment community’s need for an investable benchmark representing the Canadian preferred share market. The S&P CDN Preferred Share Index measures the performance of a selected group of preferred shares listed on the Toronto Stock Exchange. The index is comprised of preferred shares issued by Canadian entities that meet critera relating to minimum size, liquidity, exchange listing and time to maturity determined by Standard & Poor’s

…

The constituents of the S&P CDN Preferred Share Index™ are available on the Claymore website at www.claymoreinvestments.ca and on the S&P website at www.standardandpoors.com

The referenced list of constituents is not yet available, but this is very interesting.

Hat tip to Financial Webring Forum for bringing this to my attention.

Market Action

January 11, 2007

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 4.09% 4.10% 26,170 17.25 1 -0.0403% 1,028.4
Fixed-Floater 4.78% 3.44% 82,080 10.14 7 -0.0436% 1,040.3
Floater 4.57% -22.41% 65,513 8.23 4 -0.0784% 1,041.3
Op. Retract 4.67% 2.02% 82,205 2.04 17 -0.0932% 1,032.3
Split-Share 5.06% 1.07% 403,351 2.86 11 -0.1108% 1,043.4
Interest Bearing 6.69% 5.49% 74,638 2.66 6 +0.1522% 1,036.7
Perpetual-Premium 5.02% 3.77% 252,058 4.91 55 -0.0934% 1,052.5
Perpetual-Discount 4.51% 4.51% 792,398 16.35 3 +0.0673% 1,055.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 313,859 Nesbitt crossed 100,000 at $24.90. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.87 and a limitMaturity
AL.PR.F Floater 172,800 Global crossed 86,000 at $25.77 for cash, then 86,000 at 25.48 for regular settlement. The issue went exDividend today for $0.28125.
BAM.PR.K Floater 100,700 Scotia crossed 100,000 at 24.70.
PWF.PR.J OpRet 80,932 Desjardins crossed 80,000 at 26.86. Now with a pre-tax bid-YTW of 2.23% based on a bid of $26.75 and a call 2008-5-30 at $26.00. Obviously, there are some willing to bet that it will last until its softMaturity 2013-7-30 at $25.0. Pays only 1.175, with a 0.25 annual decline in redemption premium, so they might be right. Maybe.
BNA.PR.C SplitShare 72,300 Recent new issue. Now with a pre-tax bid-YTW of 4.47%, based on a bid of $24.76 and a hardMaturity 2019-1-10 at $25.00. That’s basically even with the recent perpetual issues!

There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Market Action

January 10, 2007

I regret to say that indices will not be updated tonight, although the HIMIPref™ database is fully up-to-date.

What with putting the finishing touches to an article for the February issue of Canadian Moneysaver and … and and AND looking at some very interesting results for yet another measure of yield … I just ran out of time.

And I’m hungry.

Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
BNA.PR.C SplitShare 798,550 New issue settled today
CM.PR.I PerpetualPremium 224,124 TD posted the last trade, a cross of 68,300 at $25.40. Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.30 and a call 2016-3-1 at $25.00. Since the YTW exceeds the issue yield of the Royal, Scotia and BMO new issues, as well as having a certain amount of interest rate protection due to its higher coupon, some may conclude that this old issue is more attractive than the new ones. The volume indicates that, perhaps, many have done just that. I’m not one of them, but then, I’m a capital-gains fan. An equal number of shares were sold, of course, but the price was up today, at the issue gained 0.3172% (bid/bid).
SLF.PR.B PerpetualPremium 224,124 TD crossed 73,500 at 25.90. Now with a pre-tax bid-YTW of 4.33% based on a bid of $25.85 and a call at $25.00 2014-10-30. I say it’s expensive, but disagreement makes a market!
RY.PR.D PerpetualPremium 94,560 Nesbitt bought 21,500 from Scotia in the day’s last trade, at $25.05. It closed at 25.02-05 … basically, within transaction costs of the virtually identical new issue.
TD.PR.M OpRet 61,600 Scotia crossed 50,300 at 27.18 in the day’s last trade. Now with a pre-tax bid-YTW of 2.41% based on a bid of $27.21 and a call 2009-05-30 at $26.00. The premium declines $0.25 p.a. and the issue pays $1.175 … so who knows? It might make it to the softMaturity 2013-10-30 at $25.00, to yield 3.22%. Even the latter figure doesn’t beat bonds by much … bond-equivalent 4.51%, when seven-year bank paper yields about 4.35% … pre-tax! A lot of the stuff out there is high-coupon, no good for taxable clients.

There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Update

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 4.09% 4.10% 27,045 17.24 1 +0.0806% 1,028.8
Fixed-Floater 4.77% 3.40% 82,533 10.12 7 -0.0110% 1,040.7
Floater 4.57% -22.39% 64,560 8.25 4 -0.0490% 1,042.1
Op. Retract 4.67% 1.86% 82,649 2.04 17 +0.0923% 1,033.3
Split-Share 5.05% +0.58% 403,757 2.86 11 -0.1249% 1,044.5
Interest Bearing 6.70% 5.47% 75,125 2.66 6 -0.0192% 1,035.2
Perpetual-Premium 5.01% 3.62% 256,821 5.04 55 -0.0590% 1,053.5
Perpetual-Discount 4.51% 4.53% 780,073 16.35 3 -0.1075% 1,054.9

Issue Comments

BNA.PR.C Off to a Sorry Start!

I was surprised at the hostile reception accorded BNA.PR.C, the new issue that settled today after being announced December 20.

It traded in a fairly narrow range, 24.70-85, on heavy volume of 798,550 shares. The closing quotation was 24.74-78, 10×10.

More later.

Much later, more: I’ve uploaded the Split-Share sub-Index Portfolio Evaluation. Interested readers should be able to tell with a glance at the “Yield-to-Worst” column (and a peek at the “Modified Duration – Yield to Worst” column) that I do have some basis for considering this issue undervalued!

New Issues

New Issue : Royal Bank 4.50% Perpetual

The Royal Bank decided to join BMO and Scotia in issuing a new 4.5% Perpetual this week.

This one is for 10-million shares ($250-million), with an anticipated settlement date of January 19. It’s designated “Non-Cumulative First Preferred Shares, Series AE” and is a bought deal.

The redemption schedule is:

Redemption Schedule, RY Series AE
From To Price
2012-2-24 2013-2-23 $26.00
2013-2-24 2014-2-23 $25.75
2014-2-24 2015-2-23 $25.50
2015-2-24 2016-2-23 $25.25
2016-2-24 INFINITE DATE $25.00

More later.

Index Construction / Reporting

Mean-YTW on SplitShare Index Goes Negative!

As noted on the January 9, 2007 Market Action report, the mean-yield-to-worst on the Split Share index has now gone negative.

This is due to the exceptional performance of DIV.PR.A, which had a stellar bid/bid return today of +1.2128%, despite the fact that it is currently callable at prices well below its current quotation. Will the market never learn?

Even after the recent call for redemption of the CVF.PR.A shares (under the same management as DIV.PR.A), people still do these things. If I thought that they were knowingly taking the risk, having explicitly taken a view on the likelihood of redemtption, it wouldn’t bother me so much … but that’s not what I think and I am bothered.

A portfolio evaluation of the split-share index as of today is available here.

Market Action

January 9, 2007

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% 4.11% 28,159 17.23 1 +0.0403% 1,028.0
Fixed-Floater 4.77% 3.54% 83,031 8.35 7 +0.2138% 1,040.8
Floater 4.57% -22.61% 65,413 4.60 4 -0.0488% 1,042.6
Op. Retract 4.67% 1.76% 81,891 2.04 17 -0.0433% 1,032.3
Split-Share 5.11% -0.33% 189,349 2.25 10 +0.0979% 1,045.8
Interest Bearing 6.70% 5.30% 74,556 2.66 6 -0.0742% 1,035.4
Perpetual-Premium 5.01% 3.61% 257,288 4.86 55 -0.0071% 1,054.2
Perpetual-Discount 4.50% 4.52% 790,212 16.36 3 -0.0534% 1,056.1
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet -1.7764% Now with a pre-tax bid-YTW of 1.48% based on a bid of $28.20 and a call 2008-12-31 at $26.00. Even after today’s loss and even assuming there is no early call, the softMaturity at $25.00 on 2011-11-30 is not very attractive, yielding 3.07%
IAG.PR.A PerpetualPremium -1.3018% Now with a pre-tax bid-YTW of 4.61% based on a bid of $25.02 and a limitMaturity
DIV.PR.A SplitShare +1.2128% The current bid of $25.87 seems very aggressive, given that the issue is currently callable at $25.20, resulting in a pre-tax bid-YTW of -22.71% based on the call being effective 2007-2-8. It could yield 4.63% if it lasts until its maturity at $25.00 2009-12-31, but that’s a bit of a gamble. It was due to this performance – sending the issue’s YTW from negative to even more negative – that the splitShare index mean-YTW went negative.
Volume Highlights
Issue Index Volume Notes
BC.PR.B FixedFloater 40,800 TD crossed 39,200 at 25.25.
CM.PR.D PerpetualPremium 32,445 Now with a pre-tax bid-YTW of 2.91% based on a bid of $26.85 and a call at $26.00 on 2008-05-30. There are clearly some among us who think that won’t happen!
PWF.PR.K PerpetualPremium 23,675 RBC crossed 20,000 at $26.30. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.26 and a call 2014-11-30 at 25.00.
CM.PR.G PerpetualPremium 20,815 Now with a pre-tax bid-YTW of 3.93% based on a bid of $26.98 and a call 2010-5-31 at $26.00
CM.PR.H PerpetualPremium 20,800 Now with a pre-tax bid-YTW of 4.69% based on a bid of 25.59 and a call 2014-04-29 at $25.00.

There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Issue Comments

FIG.PR.A / FCI.PR.A / FCF.PR.A / FCN.PR.A Merger Meeting Adjourned

Amendment to Quorum Requirements The Trust Agreement currently provides that quorum for any meeting of Unitholders called to consider a matter requiring the approval of Unitholders by an Ordinary Resolution is two or more Unitholders present in person or represented by proxy holding not less than ten percent (10%) of the Units then outstanding, and the quorum for any meeting of Unitholders called to consider a matter requiring the approval of Unitholders by an Extraordinary Resolution is two or more Unitholders present in person or represented by proxy holding not less than twenty five percent (25%) of the Units. In order to make it easier for quorum to be achieved with respect to any particular meeting, and thus reduce administrative costs associated with the necessity of holding adjourned meetings, Unitholders of Income & Growth Split will be asked to consider and, if deemed advisable, to pass resolutions decreasing the quorum requirement for any meeting called to consider a matter requiring the approval of Unitholders by either an Ordinary Resolution or an Extraordinary Resolution to one or more Unitholders present in person or represented by proxy holding not less than five percent (5%) of the Units then outstanding and to amend the adjournment requirements so that an adjourned meeting may be held at such time and place and on such date as may be fixed by the chairman of the meeting.

Well, we now know why they felt it advisable to change the quorum requirement! 

According to a press release on Canada Newswire: 

A quorum was not present at each of the meetings and as a result, the special meetings for these funds were adjourned to January 23, 2007 at the offices of Stikeman Elliott LLP, Boardroom 3, 51st Floor, 199 Bay Street, Toronto, Ontario M5L1B9.

The merger, therefore, will have to wait … even after I went to the trouble of adding FIG.PR.A to the HIMIPref™ database!

Market Action

January 8, 2007

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 4.11% 4.12% 29,321 17.22 1 -0.8397% 1,027.5
Fixed-Floater 4.78% 3.52% 83,608 8.36 7 +0.5784% 1,038.6
Floater 4.56% -22.62% 65,494 4.60 4 +0.2368% 1,043.1
Op. Retract 4.67% 1.90% 81,625 2.04 17 -0.0274% 1,032.8
Split-Share 5.11% 1.02% 191,300 2.26 10 -0.0159% 1,049.5
Interest Bearing 6.70% 5.56% 74,024 2.38 6 -0.0260% 1,036.1
Perpetual-Premium 5.01% 3.47% 261,681 4.76 55 -0.0875% 1,054.2
Perpetual-Discount 4.50% 4.52% 797,867 16.37 3 -0.3876% 1,056.6
Major Price Changes
Issue Index Change Notes
WFS.PR.A SplitShare -1.0082% Now with a pre-tax bid-YTW of 10.80 and a hardMaturity 2011-06-30 at $10.00
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualPremium 120,400 Scotia crossed 86,600 at 25.00 – possibly related to the Scotia and BMO new issues announced today.
CM.PR.I PerpetualPremium 112,816 Now with a pre-tax bid-YTW of 4.61% based on a bid of $25.16 and a call 2016-3-1 at $25.00.
GWO.PR.I PerpetualDiscount 77,600 Now with a pre-tax bid-YTW of 4.60% based on a bid of $24.90 and a limitMaturity.
TD.PR.O PerpetualPremium 70,900 Nesbitt crossed 40,000 at 26.30. Now with a pre-tax bid-YTW of 4.05% based on a bid of $26.30 and a call 2014-11-30 at $25.00.
MFC.PR.B PerpetualPremium 52,650 Nesbitt crossed 45,000 at $25.80. Now with a pre-tax bid-YTW of 4.26% based on a bid of $25.71 and a call 2014-4-18 at $25.00

There were twenty other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

New Issues

New Issue : 4.50% Scotia Perpetuals

The first week of the new year has started with a bang!
The Bank of Nova Scotia has announced a bought deal for 12-million shares @ $25: these will be designated “Non-Cumulative Preferred Shares, Series 14”. The anticipated closing date is January 24, 2007.
The redemption schedule is:

Redemption Schedule, BNS Ser 14
From To Price
2012-4-26 2013-4-25 $26.00
2013-4-26 2014-4-25 $25.75
2014-4-26 2015-4-25 $25.50
2015-4-26 2016-4-25 $25.25
2016-4-26 INFINITE DATE $25.00

More later.

Later, more:

Comparator Characteristics
Issue BNS.PR.K CM.PR.I RY.PR.D BMO.PR.? BNS.PR.?
Dividend 1.20 1.175 1.125 1.125 1.125
Quote 25.85-96 25.16-36 25.11-20 25.00 Issue 25.00 Issue
Redemption Schedule Start 2010-4-28 2012-1-31 2012-02-24 2012-2-25 2012-4-26
Price due to base-rate 24.25 24.07 23.45 23.38 23.37
Price due to short-term 0.03 0.04 0.03 0.03 0.03
Price due to long-term 0.49 0.49 0.48 0.46 0.46
Price due to error -0.01 0.02 -0.03 0.00 0.00
Price due to Credit Spread (Low) N/A -0.54 N/A N/A N/A
Intrinsic Curve Price 24.77 24.08 23.94 23.87 23.86
Price due to Liquidity 0.52 1.50 1.51 1.51? 1.51?
Curve Price 25.29 25.58 25.45 25.38? 25.37?
Yield-to-Worst (after Tax) 3.37% 3.66% 3.58% 3.58% 3.57%
Yield-to-Worst (Pre-Tax) 4.24% 4.61% 4.51% 4.50% 4.49%

 

So … the new issue looks like a good, but not great, purchase at the issue price.