Market Action

June 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 5.48% 5.55% 31,899 14.75 2 0.0000% 956.6
Fixed-Floater 5.71% 5.75% 138,792 14.65 7 -0.6250% 880.6
Floater 4.80% 1.22% 90,649 11.19 3 0.2815% 1,047.7
Op. Retract 4.81% 3.87% 85,775 3.18 17 -0.0365% 1,021.7
Split-Share 5.06% 4.79% 181,274 4.19 15 +0.2501% 1,034.3
Interest Bearing 6.64% 6.77% 89,527 6.12 4 -0.0994% 1,037.4
Perpetual-Premium 5.43% 5.22% 142,551 8.23 34 -0.2542% 1,013.3
Perpetual-Discount 5.09% 5.13% 557,808 15.28 29 -0.6872% 958.1
Major Price Changes
Issue Index Change Notes
BCE.PR.G FixFloat -2.5941% Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 19.15-58, 13×5; the Hs closed at 22.75-00, 20×25. Let’s look at the math: The Gs pay $1.0875 p.a for (let’s call it) 4 years. That’s $4.35. Therefore, to be worth $3.00 more per share (and ignoring time-value of money), the Gs must pay a total of $7.35. That’s $1.8375 p.a., or 7.35% of par. Hmm … I guess the market figures that Canadian Prime’s going up … and staying up … right?
CIU.PR.A PerpetualDiscount -2.5424% Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.00 and a limitMaturity. New low of 22.75 today.
BCE.PR.R FixFloat -2.2727% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. New low of 19.32 today; closed at 19.35-72, 13×6.
MFC.PR.B PerpetualDiscount -2.1053% Now with a pre-tax bid-YTW of 5.01% based on a bid of 23.25 and a limitMaturity. Traded in a range of 22.81-75 today; the 22.81 was a new low.
BAM.PR.M PerpetualDiscount -1.8094% Now with a pre-tax bid-YTW of 5.44% based on a bid of 22.25 and a limitMaturity. New low of 22.25 today.
CM.PR.J PerpetualDiscount -1.7333% Now with a pre-tax bid-YTW of 5.15% based on a bid of 22.11 and a limitMaturity. New low of 22.02 today.
SLF.PR.B PerpetualDiscount -1.6842% Now with a pre-tax bid-YTW of 5.14% based on a bid of 23.35 and a limitMaturity. New low of 23.01 today.
CU.PR.A PerpetualPremium -1.6471% Now with a pre-tax bid-YTW of 5.79% based on a bid of 25.08 and a call 2012-3-31 at 25.00. New low of 25.26 today.
BCE.PR.I FixFloat -1.4646% Exchange/Reset date is 2011-8-1 (exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 19.51-69, 1×2; new low of 19.25 today.
RY.PR.E PerpetualDiscount -1.4197% Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.22 and a limitMaturity. New low of 22.07 today.
BNS.PR.K PerpetualPremium (for now!) -1.3779% Now with a pre-tax bid-YTW of 5.14% based on a bid of 23.62 and a limitMaturity. New low of 23.51 today.
BMO.PR.J PerpetualDiscount -1.3333% Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.20 and a limitMaturity. New low of 21.87 today.
BAM.PR.N PerpetualDiscount -1.3216% Now with a pre-tax bid-YTW of 5.37% based on a bid of 22.40 and a limitMaturity. New low of 22.25 today … tick … tick … tick … .
SLF.PR.A PerpetualDiscount -1.3108% Now with a pre-tax bid-YTW of 5.09% based on a bid of 23.34 and a limitMaturity. New low of 23.32 today.
CM.PR.I PerpetualDiscount -1.2346% Now with a pre-tax bid-YTW of 5.13% based on a bid of 23.20 and a limitMaturity. New low of 23.01 today.
BMO.PR.H PerpetualPremium -1.1719% Now with a pre-tax bid-YTW of 5.13% based on a bid of 25.30 and a call 2013-3-27 at 25.00. New low of 24.75 today.
NA.PR.L PerpetualPremium (for now!) -1.1475% Now with a pre-tax bid-YTW of 5.07% based on a bid of 24.12 and a limitMaturity. New low of 24.12 today.
RY.PR.A PerpetualDiscount -1.0989% Now with a pre-tax bid-YTW of 4.98% based on a bid of 22.50 and a limitMaturity. New low of 21.82 today.
IAG.PR.A PerpetualDiscount -1.0638% Now with a pre-tax bid-YTW of 4.95% based on a bid of 23.25 and a limitMaturity. New low of 22.75 today.
ALB.PR.A SplitShare +1.1755% Now with a pre-tax bid-YTW of 4.34% based on a bid of 24.96 and a hardMaturity 2011-2-28.
GWO.PR.E OpRet +1.3433% Now with a pre-tax bid-YTW of 3.92% based on a bid of 25.65 and a call 2011-4-30 at 25.00.
DFN.PR.A SplitShare +1.4706% Now with a pre-tax bid-YTW of 4.73% based on a bid of 10.35 and a hardMaturity 2014-12-1 at 10.00.
SBN.PR.A SplitShare +1.5702% Now with a pre-tax bid-YTW of 4.79% based on a bid of 10.35 and a hardMaturity 2014-12-1 at 10.00.

 

Volume Highlights
Issue Index Volume Notes
SLF.PR.A PerpetualDiscount 51,020 Now with a pre-tax bid-YTW of 5.09% based on a bid of 23.34 and a limitMaturity.
HSB.PR.D PerpetualPremium 43,400 Now with a pre-tax bid-YTW of 4.87% based on a bid of 25.50 and a call 2015-1-30 at 25.00.
CM.PR.I PerpetualDiscount 43,124 Now with a pre-tax bid-YTW of 5.13% based on a bid of 23.20 and a limitMaturity.
CIU.PR.A PerpetualDiscount 38,750 Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.00 and a limitMaturity.
CM.PR.G PerpetualDiscount 38,180 Now with a pre-tax bid-YTW of 5.37% based on a bid of 25.25 and a call 2014-5-31 at 25.00

There were thirty-nine other $25-equivalent index-included issues trading over 10,000 shares today.

Data Changes

Market Hangs Up on YPG.PR.B

The new Yellow Pages Group 10-year retractible, announced May 23, disfigured the market with their presence today, closing at 23.89-09, 10×16, on reasonable volume of 49,400 shares.

The volume implies the underwriters were able to sell a good whack of this issue prior to closing … the price implies that the purchasers wish they hadn’t.

On announcement date, I calculated the curvePrice to be 26.76 … what with changes in the curve and spreads in the intervening weeks, I now call it $25.62.

Price due to base-rate :  24.18
Price due to short-term :  -0.75
Price due to long-term :   2.09
Price due to Interest Income :   0.00
Price to to Cumulative Dividends :   0.06
Price due to SplitShareCorp :   0.00
Price due to Retractibility :   0.81
Price due to Credit Spread (2) :   0.00
Price due to Liquidity :   0.02
Price due to Floating Rate :   0.00
Price due to Credit Spread (3) :  -0.93
Price due to error :   0.10
Price due to Credit Spread (High) :   0.06
Price due to Credit Spread (Low) :   0.00

I don’t think it’s all that bad an issue, obviously – but remember! DBRS rates it Pfd-3(high), S&P rates it P-3. My rule of thumb for credits of this type is no more than 5% in such a name, no more than 10% in all such names … taken as a percentage of a diversified preferred share portfolio.

The issue is now in the HIMIPref™ universe with the securityCode A56001, replacing the preIssue code of P78000. Due to the relatively poor credit rating, it has not been assigned to the “OpRet” index, which where it would otherwise have been placed.

Issue Comments

BMO Counterparty Ratings Downgraded by S&P; Preferred Share Rating Unchanged

S&P earlier placed BMO’s ratings under Credit-Watch Negative, following revelations that management had not heard of the concept of “Separation of Function”.

S&P has now:

lowered its short- and long-term counterparty credit ratings on Bank of Montreal (BMO; TSX: BMO) and its related subsidiaries to ‘A+/A-1’ from ‘AA-/A-1+’. At the same time, Standard & Poor’s removed the ratings from CreditWatch with negative implications, where they were placed May 17, 2007. The outlook is stable.

The downgrade reflects the weaknesses Standard & Poor’s found within the bank’s risk management functions, the impact of competitive pressures on its domestic and U.S. personal and commercial (P&C) bank, the bank’s lower level of risk-adjusted earnings as compared with its North American peers, and smaller retail funding base which incrementally increased the bank’s liquidity risk position.

BMO has the following preferred share issues outstanding: BMO.PR.G, BMO.PR.H, BMO.PR.I, BMO.PR.J & BMO.PR.V.

The preferred share ratings were left unchanged, but this is a major and permanent (well … long-lasting!) black eye for the bank – and unless management quickly reviews its internal controls, could be indicative of worse losses to come. Which will, of course, be blamed on Rogue Traders … not management.

PrefLetter

June PrefLetter Now in Preparation

The markets have closed and the June edition of PrefLetter is now being prepared.

Should be interesting: there have been … er … significant changes to prices since the May issue was put together!

The June version will be eMailed to clients and available for single-issue purchase with immediate delivery prior to the opening bell on Monday. I will write another post on the weekend advising when this has been accomplished.

Miscellaneous News

Take a deep breath …

The sky is not falling.

V122544: SELECTED GOVERNMENT OF CANADA BENCHMARK BOND YIELDS: LONG-TERM
Low 11/2006 4.02
Average 05/2006 – 05/2007 4.26
High 06/2006 4.67
05/2006 4.50
06/2006 4.67
07/2006 4.45
08/2006 4.20
09/2006 4.07
10/2006 4.24
11/2006 4.02
12/2006 4.10
01/2007 4.22
02/2007 4.09
03/2007 4.21
04/2007 4.20
05/2007 4.39
06/2007 Not available
V122518: OTHER BONDS: AVERAGE WEIGHTED YIELD (SCOTIA CAPITAL INC.) – ALL CORPORATES LONG-TERM
Low 11/2006 5.11
Average 05/2006 – 05/2007 5.37
High 06/2006 5.81
05/2006 5.60
06/2006 5.81
07/2006 5.60
08/2006 5.33
09/2006 5.18
10/2006 5.33
11/2006 5.11
12/2006 5.18
01/2007 5.28
02/2007 5.15
03/2007 5.27
04/2007 5.38
05/2007 5.63
06/2007 Not available

The above is from The Bank of Canada.

Today’s data shows long Canadas at 4.50%, long corporates at 5.64%.

As I mentioned in the June 7 Comments, recent events have had a major effect on the preferred share market … first the BCE rumblings, then tough talk from the Bank of Canada.

But as far as skyrocketting interest rates, doom and destruction are concerned? Yawn … another day of excited market chatter. Wake me up in time for the next end of the world, OK?

Market Action

June 7, 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 5.45% 5.53% 33,259 14.79 2 0.0000% 956.6
Fixed-Floater 5.67% 5.69% 138,408 14.74 7 -0.7153% 886.1
Floater 4.81% 1.06% 91,465 11.15 3 -0.6354% 1,044.8
Op. Retract 4.80% 3.72% 85,180 3.13 17 -0.0064% 1,022.0
Split-Share 5.08% 4.85% 181,784 4.19 15 -0.8242% 1,031.7
Interest Bearing 6.64% 6.75% 88,912 6.12 4 -0.0500% 1,038.5
Perpetual-Premium 5.41% 5.16% 140,953 8.18 34 -0.5455% 1,015.9
Perpetual-Discount 5.05% 5.09% 561,961 15.34 29 -1.2771% 964.7
Major Price Changes
Issue Index Change Notes
CM.PR.H PerpetualDiscount -4.1938% Now with a pre-tax bid-YTW of 5.16% based on a bid of 23.53 and a limitMaturity. New low of 23.41 today – traded in a range 23.41-24.60.
MFC.PR.C PerpetualDiscount -3.1024% Now with a pre-tax bid-YTW of 4.95% based on a bid of 22.80 and a limitMaturity. New low of 22.70 today.
RY.PR.B PerpetualDiscount -2.7027% Now with a pre-tax bid-YTW of 5.05% based on a bid of 23.40 and a limitMaturity. New low of 23.45 today.
MFC.PR.B PerpetualDiscount -2.6639% Now with a pre-tax bid-YTW of 4.90% based on a bid of 23.75 and a limitMaturity. New low of 23.30 today – traded in a range of 23.30-24.50.
SLF.PR.D PerpetualDiscount -2.3831% Now with a pre-tax bid-YTW of 5.12% based on a bid of 21.71 and a limitMaturity. Heavy trading, 186,754 shares, in a range of 21.65-22.49. New low of 21.65 today.
RY.PR.D PerpetualDiscount -2.3684% Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.60 and a limitMaturity. New low of 22.40 today.
GWO.PR.I PerpetualDiscount -2.2989% Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.10 and a limitMaturity. New low of 22.00 today.
LFE.PR.A SplitShare -1.9324% Now with a pre-tax bid-YTW of 4.98% based on a bid of 10.15 and a hardMaturity 2012-12-1 at 10.00. New low of 10.15 today.
FFN.PR.A SplitShare -1.8957% Now with a pre-tax bid-YTW of 4.73% based on a bid of 10.35 and a hardMaturity 2014-12-1 at 10.00.
BNS.PR.K PerpetualPremium (for now!) -1.8443% Now with a pre-tax bid-YTW of 5.07% based on a bid of 23.95 and a limitMaturity. New low of 23.95 today.
BCE.PR.R FixFloat -1.7370% Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. New low of 20.00 today; closed at 19.80-00, 10×10.
CM.PR.I PerpetualDiscount -1.7155% Now with a pre-tax bid-YTW of 5.06% based on a bid of 23.49 and a limitMaturity. New low of 23.02 today.
ALB.PR.A SplitShare -1.6348% Now with a pre-tax bid-YTW of 4.68% based on a bid of 24.67 and a hardMaturity 2011-2-28 at 25.00. New low of 24.51 today.
NA.PR.L PerpetualPremium (for now!) -1.6129% Now with a pre-tax bid-YTW of 5.01% based on a bid of 24.40 and a limitMaturity. New low of 24.25 today.
GWO.PR.H PerpetualDiscount -1.6122% Now with a pre-tax bid-YTW of 5.09% based on a bid of 23.80 and a limitMaturity.
CFS.PR.A SplitShare -1.6097% Now with a pre-tax bid-YTW of 4.96% based on a bid of 9.78 and a hardMaturity 2012-1-31 at 10.00. New low of 9.78 today.
SLF.PR.E PerpetualDiscount -1.5660% Now with a pre-tax bid-YTW of 5.12% based on a bid of 22.00 and a limitMaturity. New low of 22.00 today.
DFN.PR.A SplitShare -1.5444% Now with a pre-tax bid-YTW of 4.97% based on a bid of 10.20 and a hardMaturity 2014-12-1 at 10.00. New low of 10.20 today.
BNS.PR.M PerpetualDiscount -1.5378% Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.41 and a limitMaturity. New low of 22.40 today.
RY.PR.C PerpetualDiscount -1.4236% Now with a pre-tax bid-YTW of 5.07% based on a bid of 22.85 and a limitMaturity. New low of 22.75 today.
TD.PR.O PerpetualPremium (for now!) -1.4028% Now with a pre-tax bid-YTW of 4.98% based on a bid of 24.60 and a limitMaturity. New low of 24.01 today; traded in the range 24.01-96.
BNS.PR.J PerpetualPremium -1.3592% Now with a pre-tax bid-YTW of 5.10% based on a bid of 25.40 and a call 2013-11-28 at 25.00.
LBS.PR.A SplitShare -1.3333% Now with a pre-tax bid-YTW of 4.76% based on a bid of 10.36 and a hardMaturity 2013-11-29 at 10.00.
RY.PR.F PerpetualDiscount -1.1947% Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.33 and a limitMaturity.
RY.PR.G PerpetualDiscount -1.1905% Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.41 and a limitMaturity. New low of 22.38 today.
AL.PR.E Floater -1.1806% Still rated Under-Review: Developing by DBRS (rating is Pfd-2(low)).
NA.PR.K PerpetualPremium -1.1628% Now with a pre-tax bid-YTW of 5.51% (!) based on a bid of 25.50 and a call 2012-6-14 at 25.00. New low of 25.27 today.
BNS.PR.L PerpetualDiscount -1.1424% Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.50 and a limitMaturity. New low of 22.35 today.
BMO.PR.J PerpetualDiscount -1.0989% Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.50 and a limitMaturity. New low of 22.50 today.
POW.PR.D PerpetualDiscount -1.0989% Now with a pre-tax bid-YTW of 5.21% based on a bid of 24.30 and a limitMaturity. New low of 24.30 today.
CM.PR.P PerpetualPremium -1.0277% Now with a pre-tax bid-YTW of 5.47% based on a bid of 25.04 and a limitMaturity. New low of 25.02 today.

(are you depressed yet?)

Volume Highlights
Issue Index Volume Notes
NA.PR.K PerpetualPremium 236,000 Scotia crossed 225,000 at 25.50, demonstrating the calming effects of institutional capital, as the issue dropped 1.1628% for a bid-YTW of 5.51% (!) based on a bid of 25.50 and a call 2012-6-14 at 25.00. New low of 25.27 today.
SLF.PR.D PerpetualDiscount 186,754 Now with a pre-tax bid-YTW of 5.12% based on a bid of 21.71 and a limitMaturity. New low of 21.65 today.
ELF.PR.G PerpetualDiscount 120,070 Scotia crossed 100,000 at 22.25. Now with a pre-tax bid-YTW of 5.48% based on a bid of 22.00 and a limitMaturity.
BNS.PR.M PerpetualDiscount 95,212 New low of 22.40 today. Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.41 and a limitMaturity.
RY.PR.K OpRet 53,360 Up 0.0797% on the day. I love the pref market! Now with a pre-tax bid-YTW of 3.94% based on a bid of 25.10 and a call 2007-9-23 at $25.00.

There were forty-three other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

June 6, 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 5.43% 5.50% 34,678 14.83 2 0.0000% 956.6
Fixed-Floater 5.63% 5.62% 138,823 14.84 7 -0.5030% 892.5
Floater 4.78% -3.63% 89,030 5.91 3 +0.0133% 1,051.5
Op. Retract 4.80% 3.81% 84,404 3.19 17 -0.0332% 1,022.1
Split-Share 5.03% 4.60% 182,692 4.03 15 -0.0915% 1,040.3
Interest Bearing 6.63% 6.74% 88,032 6.13 4 -0.1892% 1,039.0
Perpetual-Premium 5.38% 5.07% 138,853 7.46 34 -0.1712% 1,021.5
Perpetual-Discount 4.99% 5.02% 562,211 15.46 29 -0.0819% 977.2
Major Price Changes
Issue Index Change Notes
MFC.PR.A OpRet -1.9724% New low of 24.82 today. Now with a pre-tax bid-YTW of 4.18% based on a bid of 24.85 and a softMaturity 2015-12-18 at 25.00.
BCE.PR.I FixFloat -1.9259% New low of 19.76 today, with a few odd-lots trading at 19.75. Exchange/Reset date is 2011-8-1 (exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par.
BCE.PR.R FixFloat -1.7073% New low of 20.00 today. Exchange/Reset date is 2010-12-1 (exchanges with series ‘Q’, not issued); until then, pays 4.54% of par.
BNS.PR.K PerpetualPremium (for now!) -1.4141% New low of 24.36 today. Now with a pre-tax bid-YTW of 4.97% based on a bid of 24.40 and a limitMaturity.
BAM.PR.N PerpetualDiscount -1.3095% New low of 22.52 today, but volumes are still low. Tick … tick … tick …. Now with a pre-tax bid-YTW of 5.31% based on a bid of 22.61 and a limitMaturity.
BNS.PR.M PerpetualDiscount -1.0865% New low of 22.55 today. Now with a pre-tax bid-YTW of 5.02% based on a bid of 22.76 and a limitMaturity.
BNS.PR.L PerpetualDiscount -1.0865% New low of 22.89 today. Now with a pre-tax bid-YTW of 5.00% based on a bid of 22.76 and a limitMaturity.
ELF.PR.G PerpetualDiscount +1.1442% A rebound from three days of horror. Now with a pre-tax bid-YTW of 5.45% based on a bid of 22.10 and a limitMaturity.
SLF.PR.D PerpetualDiscount +1.3212% Now with a pre-tax bid-YTW of 5.01% based on a bid of 22.24 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
IGM.PR.A OpRet 202,199 Now with a pre-tax bid-YTW of 4.43% based on a bid of 26.50 and a call 2009-7-30 at 26.00.
SLF.PR.E PerpetualDiscount 60,540 Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.35 and a limitMaturity.
CM.PR.C PerpetualPremium 59,875 Nesbitt crossed 37,100 at 26.20. To be redeemed July 31.
TD.PR.O PerpetualPremium (for now!) 56,736 RBC crossed 25,000 at 24.95. Now with a pre-tax bid-YTW of 4.91% based on a bid of 24.95 and a limitMaturity.
BNS.PR.K PerpetualPremium (for now!) 41,920 Nesbitt sold 19,000 to RBC at 24.50. Now with a pre-tax bid-YTW of 4.97% based on a bid of 24.40 and a limitMaturity.

There were thirty-six other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

June 5, 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 5.40% 5.48% 34,727 14.88 2 -0.6353% 956.6
Fixed-Floater 5.60% 5.56% 139,254 14.91 7 +0.0681% 897.0
Floater 4.78% -3.63% 89,116 5.90 3 +0.4868% 1,051.3
Op. Retract 4.80% 3.85% 83,681 3.33 17 -0.1059% 1,022.4
Split-Share 5.03% 4.54% 185,482 4.04 15 +0.0397% 1,041.2
Interest Bearing 6.62% 6.64% 87,317 6.12 4 -0.1790% 1,041.0
Perpetual-Premium 5.38% 5.05% 135,966 7.56 34 -0.2729% 1,023.2
Perpetual-Discount 4.98% 5.02% 567,277 15.47 29 -0.6702% 978.00
Major Price Changes
Issue Index Change Notes
ELF.PR.G PerpetualDiscount -3.1042% Leads the list (downwards) for the third straight day. It seems rather odd … I don’t see any news, rating agency pronouncements or common-stock price-movement that would explain it. New low of 21.51 today. Now with a pre-tax bid-YTW of 5.52% (!) based on a bid of 21.85 and a limitMaturity.
ELF.PR.F PerpetualPremium -2.3846% New low of 25.06 today. Now with a pre-tax bid-YTW of 5.18% based on a bid of 25.38 and a call 2013-11-16 at 25.00.
PWF.PR.L PerpetualPremium (for now!) -1.9920% New low of 24.65 today. Now with a pre-tax bid-YTW of 5.24% based on a bid of 24.60 and a limitMaturity.
SLF.PR.C PerpetualDiscount -1.8642% New low of 22.20 today. Now with a pre-tax bid-YTW of 5.04% based on a bid of 22.11 and a limitMaturity.
SLF.PR.A PerpetualDiscount -1.6116% New low of 23.80 today. Now with a pre-tax bid-YTW of 4.98% based on a bid of 23.81 and a limitMaturity.
POW.PR.D PerpetualDiscount -1.5719% New low of 24.35 today. Now with a pre-tax bid-YTW of 5.19% based on a bid of 24.42 and a limitMaturity.
PWF.PR.K PerpetualDiscount -1.5044% New low of 23.31 today. Now with a pre-tax bid-YTW of 5.31% based on a bid of 23.57 and a limitMaturity.
SLF.PR.B PerpetualDiscount -1.4870% New low of 23.72 today. Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.85 and a limitMaturity.
BSD.PR.A InterestBearing -1.4184% Now with a pre-tax bid-YTW of 6.47% (as interest) based on a bid of 9.73 and a hardMaturity 2015-3-31 at 10.00.
BMO.PR.J PerpetualDiscount -1.2931% New low of 22.78 today. Now with a pre-tax bid-YTW of 4.94% based on a bid of 22.90 and a limitMaturity.
BNS.PR.M PerpetualDiscount -1.2446% New low of 22.91 today. Now with a pre-tax bid-YTW of 4.96% based on a bid of 23.01 and a limitMaturity.
RY.PR.W PerpetualPremium (for now!) -1.2420% New low of 24.50 today. Now with a pre-tax bid-YTW of 5.00% based on a bid of 24.65 and a limitMaturity.
RY.PR.C PerpetualDiscount -1.1050% New low of 23.26 today. Now with a pre-tax bid-YTW of 4.97% based on a bid of 23.27 and a limitMaturity.
MFC.PR.A OpRet -1.0925% New low of 25.03 today. Now with a pre-tax bid-YTW of 3.90 based on a bid of 25.35 and a softMaturity 2015-12-18 at 25.00.
SBN.PR.A SplitShare -1.0567% New low of 10.30 today. Now with a pre-tax bid-YTW of 4.86% based on a bid of 10.30 and a hardMaturity 2014-12-01 at 10.00.
BCE.PR.H Ratchet -1.0004% Did not trade today. Exchange/Reset date is 2011-5-1 (exchanges with BCE.PR.G, which pays 4.35% of par until then). Closed at 22.76-00, 9×10; the Gs closed at 19.71-22, 5×5. Let’s see. Prime’s 6%. Assume the Hs pay 6% for the next four years and the Gs pay 4.35%. Difference = 1.65%. On $25.00 for 4 years, total amount of difference in dividends is $1.65. I guess the market is betting on a massive increase in prime, eh?
BAM.PR.G FixFloat +1.0616%% Exchange/Reset date is 2011-10-31 (Exchanges with BAM.PR.E); until then, pays 4.35% of par. The Gs closed at 23.80-90, 2×5; the Es closed at 24.95-05, 4×12.
AL.PR.E Floater +1.5994% Still on credit watch – developing.
GWO.PR.I PerpetualDiscount +1.6173% Capital market plans still on hold. Now with a pre-tax bid-YTW of 4.98% based on a bid of 22.62 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 619,500 RBC crossed 550,000 at 22.65, then another 62,000 at the same price. Now with a pre-tax bid-YTW of 5.02% based on a bid of 22.66 and a limitMaturity.
RY.PR.D PerpetualDiscount 91,175 Nesbitt crossed 75,000 at 22.68. Now with a pre-tax bid-YTW of 4.99% based on a bid of 22.68 and a limitMaturity.
SLF.PR.E PerpetualDiscount 70,930 Nesbitt crossed 50,000 at 22.30. Now with a pre-tax bid-YTW of 5.05% based on a bid of 22.31 and a limitMaturity.
DFN.PR.A SplitShare 163,650 Re-opened shares start trading June 6. Now with a pre-tax bid-YTW of 4.71% based on a bid of 10.36 and a hardMaturity 2014-12-1 at 10.00.
IGM.PR.A OpRet 62,316 Now with a pre-tax bid-YTW of 4.39% based on a bid of 26.52 and a call 2009-7-30 at 26.00.

There were thirty-three other $25-equivalent index-included issues trading over 10,000 shares today.

Issue Comments

DFN.PR.A Re-opening Closes

Dividend 15 Split Corp. has announced that it:

has completed its Offering of 841,476 Preferred Shares at $10.35 per share for aggregate gross proceeds of $8,709,276. The Preferred Shares will begin trading on the Toronto Stock Exchange on June 6, 2007 under the symbol DFN.PR.A.

In a related news release regarding the stock dividend that triggered the issue, the company stated:

special capital gains cash dividend of $0.50 per Class A share and a special capital gains stock dividend of $1.75 per Class A share. The dividends on the Class A share are payable June 6, 2007 to shareholders on record as of June 4, 2007.
…
The Class A share reinvestment price will be $19.55 per share.

I had been worried that the issue of units would dilute the asset coverage of the prefs substantially, but these fears were not realized. A reinvestment price of $19.55 ties in nicely with the May 31 NAV of $29.79 for the unit (which includes $10.00 for the prefs), given that the record date of June 4 implies an ex-date of May 31. Both values agree well with the May 15 NAV of $31.95, given a total dividend of $2.25.

So … DFN.PR.A continues to have very good asset coverage, currently just under 3.0:1 which, if anything, exceeds the normal range for an issue rated Pfd-2 by DBRS.

Issue Comments

CM.PR.C to be Redeemed

Well – I said it was pretty certain and every now and then I get something right! CIBC has announced:

its intention to redeem all of its issued and outstanding Non-cumulative Class A Preferred Shares Series 25 for cash. The redemptions will occur on July 31, 2007. The redemption price is $26.00 per Series 25 share.
    The $0.375 per share quarterly dividend declared on May 31, 2007 will be the final dividend on the Series 25 shares and will be paid on July 27, 2007 to shareholders of record on June 28, 2007, as previously announced.

CM.PR.C closed yesterday at 26.10-24.