As noted in an earlier post, October 6 was the last day of trading in this issue … see RBC’s press release for more details.
The security code for this issue was A45006 … the redemption price was $26.00 and there was an accrued dividend paid of $0.183836. October 6, 2006, was the last priced date in the database … October 10 is the first unpriced date.
Readers will be familiar with my earlier comments on this issue … price-wise, things worked out much as expected – the closing quotation was $24.50-55, 14×61. The volume was a surprise, however, with only 12,300 shares trading on its first day out, which can be interpreted in a number of ways.
I suspect that the correct interpretation is simply that the issue got sold in large chunks to long term investors (e.g., Balanced and Dividend funds run by the big fundcos), who don’t care what price they pay, as long as they can put eight-figures “to work” on a single ticket – and probably all committed before the issue was even thought about! But who knows? We’ll just have to see how this thing looks going forward.
I never did issue the press release I had been intending. After some thought, I decided that given the presence of such a close comparable as SLF.PR.C (which closed at $24.64-70, 9×70, on volume of 6,300) made the HIMIPref™ evaluation of the new issue as expensive somewhat less than startling news.
SLF.PR.D has been set up on HIMIPref™ and will be added to “PerpetualDiscount” index and prefInfo in the very near future. The Preissue Security Code was P50005; the permanent code is A48983.
The price is actually quite reasonable at 24.50-55 … Now that the Street has given Sun Life it’s $6-million gift (12-million shares, overpriced by about $0.50, according to the first day of trading, if nothing else), the issue is looking like a much more reasonable investment.
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.24% | 4.18% | 44,771 | 10.59 | 2 | 0.4022% | 1,018.5 |
| Fixed-Floater | 5.00% | 4.02% | 204,814 | 12.39 | 7 | 0.0230% | 1,017.2 |
| Floater | 4.53% | -17.05% | 78,069 | 6.52 | 5 | -0.3142% | 1,016.9 |
| Op. Retract | 4.68% | 1.85% | 90,004 | 2.43 | 17 | -0.0387% | 1,017.1 |
| Split-Share | 4.92% | 3.24% | 61,733 | 3.05 | 10 | -0.0290% | 1,017.9 |
| Interest Bearing | 6.88% | 4.84% | 54,519 | 1.81 | 7 | 0.1497% | 1,023.5 |
| Perpetual-Premium | 5.13% | 3.79% | 175,054 | 4.20 | 47 | -0.0108% | 1,030.3 |
| Perpetual-Discount | 4.59% | 4.62% | 326,785 | 16.19 | 6 | -0.1143% | 1,036.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| AL.PR.E | Floater | -1.3534% | On volume of 3,685 shares, closing at 26.24-42, 3×5. I don’t understand why Alcan isn’t redeeming these shares … there are only 5.7-million out there, providing financing at 6% AFTER TAX. Alcan is, after all buying back its common. From the look of their website, though, it looks like they can barely remember the preferreds exist! |
| PWF.PR.L | PerpetualPremium | +1.1846% | On volume of 4,000 shares, closing at 25.95-09, 90×32 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TD.PR.M | OpRet | 397,125 | Something of a joke … Global crossed 198,200 on a cash basis at 27.79, then crossed the same number for regular settlement at 27.49. They went ex-dividend yesterday, paying $0.29375. This issue is notable for being expensive even for an Operating Retractible: the pre-tax YTW is 2.16%, based on a bid of 27.50 and a call in 2009. |
| SLF.PR.B | PerpetualPremium | 123,745 | Nesbitt processed an internal cross of 90,000 shares @ 25.60 just before the close. |
| POW.PR.C | PerpetualPremium | 101,000 | RBC crossed 100,000 @ 26.60 |
| CM.PR.A | OpRet | 85,060 | Nesbitt processed an internal cross of 35,000 @ 26.65, Scotia crossed 45,500 @ 26.75. |
| MFC.PR.C | PerpetualDiscount | 84,755 | Nesbitt processed an internal cross of 80,000 @ 24.70. |
There were seven other index-included issues trading over 10,000 shares today.
Update, 2006-10-13 : There is an error on the issue performance reporting – the PWF.PR.L value was calculated on the basis that the ex-date for the first dividend was 10/6 – in fact, it was 10/5, as noted here.
As noted in DBRS Posts Mass Upgrade of Banks! there has been a major change in credit-quality inputs.
Readers may be interested to see what effect these changes have on the yield curve calculation:
| Taxable Curve | ||
| Parameter | Before Upgrade | After Upgrade |
| Base Rate | 3.77 % | 3.77% |
| Short Term Premium | -1.02 % | -0.98% |
| Short Term Decay Time | 3.3 Years | 3.4 Years |
| Long Term Premium | -0.98 % | -0.97% |
| Long Term Decay Time | 10.8 Years | 10.8 Years |
| Spread for Interest Income | 0.77 % | 0.76% |
| Spread for Cumulative payments | 0.00 % | 0.00% |
| Spread for Split Share Corps | 0.34 % | 0.32% |
| Spread for Retraction Privilege | -0.54 % | -0.54% |
| Spread for 2nd Tier Credits | 0.14 % | 0.12% |
| Liquidity Premium | -0.16 % | -0.16% |
| Spread for 3rd Tier Credits | 0.37 % | 0.35% |
| Floating Rate Premium | -0.74 % | -0.73% |
| Spread for HIGH Credits | 0.00 % | 0.00% |
| Spread for LOW Credits | 0.07 % | 0.10% |
| Fitting Data | ||
| Total Priced Instruments | 170 | 170 |
| Instruments Used in calculation | 153 | 153 |
| Fitting Error | 82.1729 | 81.2355 |
| Non-Taxable Curve | ||
| Parameter | Before Upgrade | After Upgrade |
| Base Rate | 4.79 % | 4.80% |
| Short Term Premium | -1.73 % | -1.72% |
| Short Term Decay Time | 9.7 Years | 9.5 Years |
| Long Term Premium | -0.03 % | -0.03% |
| Long Term Decay Time | 29.7 Years | 29.7 Years |
| Spread for Interest Income | 3.40 % | 3.39% |
| Spread for Cumulative payments | 0.00 % | -0.01% |
| Spread for Split Share Corps | 0.48 % | 0.46% |
| Spread for Retraction Privilege | -0.72 % | -0.72% |
| Spread for 2nd Tier Credits | 0.22 % | 0.20% |
| Liquidity Premium | -0.18 % | -0.17% |
| Spread for 3rd Tier Credits | 0.56 % | 0.54% |
| Floating Rate Premium | -0.94 % | -0.93% |
| Spread for HIGH Credits | 0.00 % | 0.00% |
| Spread for LOW Credits | 0.10 % | 0.13% |
| Fitting Data | ||
| Total Priced Instruments | 170 | 170 |
| Instruments Used in calculation | 153 | 153 |
| Fitting Error | 104.9932 | 104.8866 |
Update, 2006-10-7 : The credit changes have been processed, the curve recalculated, the results of the recalculation posted and there are a few items of interest. Split share corporations have tightened in to the "base curve" noticably, but there is nothing that leaps immediately to mind as an interesting comment to make. I’ll have to think about it … and see if Tuesday’s trading starts moving the curve around a little!
DBRS has announced a slew of upgrades to the credit rating of bank preferreds:
| Issuer | Industry | Debt Rated | Action | Rating | Trend |
| Bank of Montreal | Banks & Trusts | Cumulative Preferred Shares | Upgraded | Pfd-1 | Stb |
| Scotia Mortgage Investment Corporation | Banks & Trusts | Non-Cumulative Preferred Shares Series A (bsd. on BNS) | Upgraded | Pfd-1 | Stb |
| National Bank of Canada | Banks & Trusts | Cumulative Preferred Shares | Upgraded | Pfd-1 (low) | Stb |
| TD Mortgage Investment Corporation | Banks & Trusts | Higher Yielding Bank Related Securities (bsd. on TD Bank) | Upgraded | Pfd-1 | Stb |
| Royal Bank of Canada | Banks & Trusts | Non-Cumulative Preferred Shares | Upgraded | Pfd-1 | Stb |
| Bank of Nova Scotia | Banks & Trusts | Cumulative Preferred Shares | Upgraded | Pfd-1 | Stb |
| Bank of Nova Scotia | Banks & Trusts | Non-Cumulative Preferred Shares | Upgraded | Pfd-1 | Stb |
| Canadian Imperial Bank of Commerce | Banks & Trusts | Cumulative Preferred Shares | Upgraded | Pfd-1 (low) | Stb |
Well! This creates an exercise in data-entry, doesn’t it? I won’t be able to get these done tonight, although I will update prices as normal. I will update this post once the upgrades have been reflected in the HIMIPref™ database – and this will happen well before the market opens on Tuesday morning.
I don’t really anticipate much change in HIMIPref™ values as a result of this change, although I will be most interested to see if anything happens to the “Low” spread! I suspect that the most noticable change will be with CIBC issues since
Update, 2006-10-7 : The changes have been processed. There is some discussion of the effects of these changes on calculated values at Effect of Mass-Bank-Upgrade on Calculated Yield-Curve
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.27% | 4.21% | 45,418 | 10.52 | 2 | -0.1200% | 1,014.4 |
| Fixed-Floater | 5.00% | 4.02% | 210,670 | 12.38 | 7 | -0.0225% | 1,017.0 |
| Floater | 4.52% | -19.55% | 79,029 | 6.51 | 5 | -0.0632% | 1,020.1 |
| Op. Retract | 4.68% | 2.23% | 89,732 | 2.43 | 17 | 0.0406% | 1,017.5 |
| Split-Share | 4.92% | 3.26% | 61,275 | 3.05 | 10 | 0.0613% | 1,018.2 |
| Interest Bearing | 6.89% | 4.85% | 55,121 | 1.80 | 7 | -0.0419% | 1,022.0 |
| Perpetual-Premium | 5.13% | 3.85% | 177,267 | 4.22 | 47 | 0.0265% | 1,030.4 |
| Perpetual-Discount | 4.59% | 4.61% | 325,597 | 16.20 | 6 | -0.0197% | 1,037.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with major price changes today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.A | PerpetualDiscount | 107,185 | |
| MFC.PR.B | PerpetualPremium | 97,625 | |
| NA.PR.L | PerpetualPremium | 64,700 | Nesbitt processed an internal cross of 60,000 @ 25.63. This issue has a pre-tax YTW of 4.58% at the closing bid of $25.64, based on a call in 2014. Given that it’s only Pfd-2(high) by DBRS, it looks a little expensive there. |
| RY.PR.B | PerpetualPremium | 56,465 | Nesbitt had an internal cross of 50,000 @25.51. At the closing bid of 25.50, this has a pre-tax YTW of 4.59% based on a call in 2015. Given that Royal Bank is a better credit than the issue above, why is it trading at the same yield? |
| FTN.PR.A | SplitShares | 44,800 | Credit Suisse bought 36,000 from Nesbitt @ $10.50 |
There were ten other index-included issues trading over 10,000 shares today.
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.28% | 4.21% | 42,517 | 10.51 | 2 | 0.1002% | 1,015.7 |
| Fixed-Floater | 5.00% | 4.01% | 216,451 | 12.38 | 7 | 0.0794% | 1,017.2 |
| Floater | 4.52% | -19.54% | 80,475 | 6.53 | 5 | -0.2086% | 1,020.8 |
| Op. Retract | 4.67% | 2.49% | 90,995 | 2.43 | 17 | 0.0308% | 1,017.1 |
| Split-Share | 4.92% | 3.12% | 60,375 | 3.05 | 10 | 0.0379% | 1,017.6 |
| Interest Bearing | 6.89% | 4.74% | 53,759 | 2.05 | 7 | 0.1077% | 1,022.4 |
| Perpetual-Premium | 5.12% | 3.93% | 176,642 | 4.23 | 47 | -0.0108% | 1,030.1 |
| Perpetual-Discount | 4.59% | 4.61% | 324,524 | 16.20 | 6 | 0.0069% | 1,038.0 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | -1.5504% | Giving up most of yesterday’s gains on good volume of 21,600 shares. Scotia crossed 20,000 @ 25.45 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| TD.PR.O | PerpetualPremium | 131,245 | Nesbitt had an internal cross @ 26.07 |
| IGM.PR.A | OpRet | 131,114 | |
| PWF.PR.L | PerpetualPremium | 116,100 | There were a number of blocks put through today: RBC crossed 43,900 @ 26.15, followed by National (10,000), Scotia (25,000) and National again (10,000) at the same price. Scotia then crossed 24,700 @ 26.25 just before the close. At a closing bid of 26.15, this issue still has a Pre-tax YTW of 4.62% based on a call in 2015. |
| GWO.PR.G | PerpetualPremium | 102,960 | RBC crossed 100,000 shares @ 26.55 |
| PWF.PR.G | PerpetualPremium | 102,000 | Scotia crossed 100,000 shares at $26.55 (a popular price for 100,000 share lots of issues ending in G today). For this issue, the Pre-Tax YTW at the closing bid of $26.51 is 4.56% based on a call in 2007 … if it survives to its call-at-par date in 2011, the yield will have been 4.77%. Doesn’t seem like there’s much upside to this issue, though. |
| ELF.PR.F | PerpetualPremium | 100,000 | Nesbitt crossed 100,000 @ $26.25. This issue has a YTW of 4.57% based on a call in 2013, but since it’s only rated Pfd-2(low) by DBRS, it seems expensive at the closing quote of 26.10-41, especially since the new issue comes with a coupon of 4.75%. |
There were twenty-one other index-included issues trading over 10,000 shares today.
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.30% | 4.23% | 41,261 | 10.48 | 2 | -0.0798% | 1,014.6 |
| Fixed-Floater | 5.00% | 4.01% | 221,623 | 12.37 | 7 | 0.0228% | 1,016.4 |
| Floater | 4.51% | -22.83% | 79,954 | 6.49 | 5 | 0.3622% | 1,022.9 |
| Op. Retract | 4.67% | 2.47% | 89,098 | 2.47 | 17 | -0.0837% | 1,016.8 |
| Split-Share | 4.93% | 2.89% | 60,359 | 3.03 | 10 | 0.3260% | 1,017.2 |
| Interest Bearing | 6.90% | 4.81% | 53,847 | 1.81 | 7 | -0.1221% | 1,021.3 |
| Perpetual-Premium | 5.12% | 3.76% | 175,175 | 4.21 | 47 | 0.0972% | 1,030.2 |
| Perpetual-Discount | 4.59% | 4.61% | 326,319 | 16.21 | 6 | -0.0266% | 1,037.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ACO.PR.A | OpRet | -1.5575% | Did this on volume of 1,922 shares and closed at $27.81-40. The day’s low was $28.00, which means that a good chunk of this poor performance was due to the bid only, not to actual trades. |
| PWF.PR.A | Floater | +1.7751% | No trading, but there’s a bid for 1500 shares at $25.80! At this price, the issue has a Current Yield of only 4.07%, the lowest of the five issues in the “Floater” index … and YTW is large and negative. |
| WFS.PR.A | SplitShare | +1.3258% | |
| GWO.PR.G | PerpetualPremium | +1.0274% | I think it’s a little pricey at the bid-side of $26.55, but what do I know? The YTW is 4.24% based on a call in 2014 |
| POW.PR.C | PerpetualPremium | +1.0208% | Only 100 shares are bid at the closing $26.72 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| NA.PR.L | PerpetualPremium | 67,410 | Nesbitt bought 57,800 from Scotia at $25.60 in three successive tranches. |
| IGM.PR.A | OpRet | 42,359 | |
| PWF.PR.L | PerpetualPremium | 35,100 | Scotia crossed 33,700 @ $26.15, which was the closing bid. |
| CM.PR.A | OpRet | 29,850 | Scotia crossed 25,100 at $26.75, which was the closing bid. These have a YTW of only 1.47% at this level, but will have yielded 3.65% if they survive until just before their retraction date. |
| FTS.PR.F | Scraps | 29,780 | Let’s hear it for the Little New Issue That Could (stay above par). |
There were fourteen other index-included issues trading over 10,000 shares today.
The large number of index-included issues that had absolute returns in excess of 1% today makes the market look a little sloppy. Could this have something to do with the continuation of The Great Oil Slaughter of 2006?
Note that the index has been rebalanced and as a result statistical characterizations of the various indices will not be directly comparable to those of September 29.
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.31% | 4.31% | 42,382 | 10.49 | 2 | -0.1199% | 1,015.4 |
| Fixed-Floater | 5.00% | 3.96% | 227,096 | 10.1 | 7 | 0.0062% | 1,016.2 |
| Floater | 4.52% | -19.11% | 82,554 | 6.51 | 5 | -0.0552% | 1,019.2 |
| Op. Retract | 4.67% | 2.59% | 88,254 | 2.59 | 17 | 0.0047% | 1,017.6 |
| Split-Share | 4.94% | 2.96% | 60,246 | 3.03 | 10 | -0.0602% | 1,013.9 |
| Interest Bearing | 6.89% | 4.64% | 54,362 | 1.81 | 7 | -0.0861% | 1,022.6 |
| Perpetual-Premium | 5.13% | 4.00% | 176,118 | 4.21 | 47 | 0.0289% | 1,029.2 |
| Perpetual-Discount | 4.59% | 4.61% | 328,409 | 16.21 | 6 | -0.0672% | 1,038.2 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| TCA.PR.X | PerpetualPremium | +1.0538% | Both TCA.PR.X and TCA.PR.Y were strong today. The “X” closed at 53.70, with a YTW of 4.34% based on a call in 2013. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| POW.PR.B | PerpetualPremium | 105,050 | Nesbitt crossed 100,000 @ $25.85. This issue has a YTW of 4.53% based on a call at par in late 2010. |
| MFC.PR.B | PerpetualPremium | 63,325 | Scotia crossed 44,000 @25.20. YTW is 4.58% based on a call at par in spring, 2014. |
| TCA.PR.X | PerpetualPremium | 21,865 | Nesbitt crossed 20,000 @ 53.75. YTW is 4.34% based on a call in late 2013 at par (which is $50 for this issue). |
| BAM.PR.B | Floater | 21,325 | Scotia crossed 20,000 @24.30. |
| TCA.PR.Y | PerpetualPremium | 17,839 | Nesbitt crossed 16,800 @53.75 |
There were five other index-included issues trading over 10,000 shares today.
The following changes have been made to the composition of the experimental indices:
| Ticker | From | To | Because |
| PWF.PR.D | OpRet | Scraps | Volume |
| PAY.PR.A | SplitShares | Scraps | Volume |
| MIC.PR.A | PerpetualPremium | Scraps | Volume |
| BAM.PR.G | Scraps | FixedFloater | Volume |
| PWF.PR.A | Scraps | Floater | Volume |
| FTU.PR.A | Scraps | SplitShares | Volume |
| BC.PR.E | Scraps | RatchetRate | Volume |