Market Action

September 22, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.40% 4.44% 45,781 16.59 1 0.0805% 1,011.4
Fixed-Floater 4.90% 4.00% 287,783 8.97 6 -0.0910% 1,011.8
Floater 4.64% -18.70% 96,595 8.10 4 -0.0396% 1,016.5
Op. Retract 4.68% 2.32% 82,179 2.20 18 0.0435% 1,014.4
Split-Share 4.98% 3.07% 58,538 2.68 10 0.0191% 1,011.0
Interest Bearing 6.86% 4.61% 55,813 2.08 7 -0.0017% 1,022.8
Perpetual-Premium 5.13% 3.85% 176,827 4.12 48 0.0660% 1,026.9
Perpetual-Discount 4.59% 4.60% 331,945 16.23 6 0.0407% 1,036.6
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute value of returns greater than 1% today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 261,340 RBC crossed 50,000 @ $24.68, then Scotia crossed 150,000 at the same price.
FTN.PR.A SplitShare 134,240 Scotia crossed 60,000 @ $10.43, then 71,000 at the same price about 80 minutes later. These have a pre-tax YTW of 3.42% at the closing bid of $10.41, maturing in December 2008.
BC.PR.E Scraps 131,600 Scotia crossed 50,000 @ 25.17, then 80,000 at the same price. This is a ratchet-rate preferred, paying $0.10 monthly, or $1.20 p.a., or 4.8% of face, or 80% of prime. It was discussed briefly in this post
GWO.PR.H PerpetualPremium 107,075 Scotia crossed 99,900 @25.40.
POW.PR.B PerpetualPremium 105,000 RBC crossed 100,000 @ 25.85.

There were five other index-included issues trading over 10,000 shares today.

Market Action

September 21, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.41% 4.44% 44,742 16.57 1 0.3232% 1,010.5
Fixed-Floater 4.90% 3.96% 296,813 8.97 6 -0.1241% 1,012.7
Floater 4.63% -18.12% 96,823 8.13 4 0.1099% 1,016.9
Op. Retract 4.69% 2.25% 82,807 2.20 18 0.0270% 1,013.9
Split-Share 4.98% 3.04% 58,243 2.68 10 -0.0914% 1,010.8
Interest Bearing 6.86% 4.47% 56,345 2.08 7 0.0925% 1,022.8
Perpetual-Premium 5.14% 4.11% 177,754 4.16 48 0.0904% 1,026.2
Perpetual-Discount 4.59% 4.61% 326,749 16.23 6 0.0966% 1,036.2
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute value of returns greater than 1% today.
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 333,237 Pre-tax YTW 3.65% at the closing bid of $27.15, the second best in the OpRet index, based on a call in December 2008 at $26. It could very well survive longer, however, since the call price declines by $0.50 p.a.
CM.PR.D PerpetualPremium 51,200 Pre-tax YTW of only 3.54% at the closing bid of $27.07, not particularly good for a perp., but I suppose the $1.4375 annual dividend is high enough to convince the market to treat it as a retractible. But I’d rather pay $27.10 for the BNS.PR.J!
WN.PR.E PerpetualDiscount 42,352  
TD.PR.O PerpetualPremium 30,579  
SLF.PR.C PerpetualDiscount 29,790  

There were fourteen other index-included issues trading over 10,000 shares today.

Market Action

September 20, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.43% 4.46% 44,483 16.54 1 0.1619% 1,007.3
Fixed-Floater 4.89% 3.87% 304,429 8.96 6 0.0337% 1,014.0
Floater 4.64% -18.23% 97,098 8.11 4 0.1705% 1,015.8
Op. Retract 4.69% 2.33% 83,044 2.39 18 0.0084% 1,013.6
Split-Share 4.98% 3.05% 57,549 2.69 10 0.1534% 1,011.7
Interest Bearing 6.86% 4.60% 56,882 2.08 7 0.0674% 1,021.9
Perpetual-Premium 5.14% 4.03% 178,277 4.18 48 0.0860% 1,025.3
Perpetual-Discount 4.60% 4.61% 322,817 16.22 6 0.1568% 1,035.2
Major Price Changes
Issue Index Change Notes
There were no index-included issues with absolute value of returns greater than 1% today.
Volume Highlights
Issue Index Volume Notes
POW.PR.B PerpetualPremium 66,464 Went ex-dividend today
WFS.PR.A SplitShare 55,000 Scotia crossed 50,000 @ 10.65. An attractive issue, with a pre-tax YTW of 3.86% and a modified duration of 4.24 years based on a June 30, 2011, maturity.
GWO.PR.I PerpetualDiscount 51,295 Pre-tax YTW now 4.60 at the closing bid of $24.51.
CU.PR.A PerpetualPremium 50,500 RBC crossed 50,000 @ $26.90. The pre-tax YTW is only 3.59%, based on a March, 2008 call. If it survives through the declining-premium period until March 2012, its yield will have been 4.37%. Pays $1.45 (with a Pfd-2 rating from DBRS), so there’s a reasonable chance it will make it. Still … only 4.37% at best, with no upside on yield declines! Pass.
PWF.PR.I PerpetualPremium 40,500 Scotia crossed 38,000 @ $26.95. An even higher-premium issue than the CU.PR.A, above, paying $1.50 with a pre-tax YTW of 3.91% based on a May, 2008, call. 4.59% if it survives to 2012 and the $25.00 call price, but you won’t catch me betting on it!

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

Programme Changes

HIMIPref™ Release : 2006-09-20

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!

This isn’t a very exciting upgrade, frankly – it is only made available to ensure that the Institutional and Administrative versions of the programme are kept synchronized – the major part of the upgrade was to the Administrative version, through which I will be saving a LOT of time in the future due to automation of index preparation.

I believe the only noticable change (for Institutional users) is that when adding a “Returns” column to the Report Summary, the system will no longer naively ask whether you wish all issues to be included in the report … it will simply assume that this is the case.

There is no absolute necessity for Institutional users to install the new version – the old version will continue to work. However, if the prospect of saving a complete mouse-click when looking at performance on the Report Summary is not alluring enough, there’s also 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.

Issue Comments

BCE.PR.T Reset-Rate Calculation (Conversion from BCE.PR.S)

BCE has announced that the fixed rate for the next five years on BCE.PR.T will be 112% of the rate on 5-year Canadas, determined on October 11 and published October 12.

The Canadas are currently trading to yield a little under 4.00% … so for the sake of some commentary, we can assume that the yield on the BCE.PR.T will be something like 4.45%-4.50%.

The BCE.PR.T do not currently exist, but can be issued in exchange for BCE.PR.S at the option of the holder. The BCE.PR.S were quoted at the close 2006-09-19 at 24.71-80, which is below the price at which – subject to the Official Calculation of Trading Price – the percentage of prime paid will increase. Given that Prime is currently 6.00% and the last monthly dividend paid on these shares was $0.08, the rate paid on the shares is now 3.84%, or … hmm, carry 1 …. 64% of prime.

 Holy Smokes! I don’t know about my readers, but these rates sound pretty chintzy to me! These things are PERPETUAL and BCE is not a particularly good credit, rated Pfd-2(low) by DBRS. I’d want something more like 4.80% to hold a Pfd-2(low) perpetual  – that’s what WN.PR.E is trading at nowadays, and it’s not even a particularly cheap issue, at least according to HIMIPref™.

“Oh yeah, smart guy?” I hear someone calling from the back of the room “What about the potential for floating rate adjustment, huh? That’s worth a lot of money, that is!”

Well, ‘pays yer money and takes yer chances’, that’s my motto. If we presume prime to be constant at 6% for the next five years, then to get 4.8% out of BCE.PR.S we need 80% of prime, compared to the current 64%. It might happen … it might not. Prime might go up … or down. You can consider this kind of instrument to offer insurance … but pretty expensive insurance, I call it!

It’s interesting to compare with the fairly recent BC.PR.C conversion offer … Bell offered a fixed rate of 4.65% to the BC.PR.C holders and an insufficient number of them wanted to exchange into the ratchet-rates for Bell to create the issue. Bell’s a slightly better credit, too, rated Pfd-2 as opposed to BCE’s Pfd-2(low).

So, it seems to me that BCE’s being a little aggressive here and wants to get shareholders to convert to the ratchets. But what do I know? I don’t like either issue!

Market Action

September 19, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.44% 4.47% 44,205 16.52 1 0.6517% 1,005.7
Fixed-Floater 4.90% 3.83% 311,685 8.94 6 -0.1302% 1,013.7
Floater 4.65% -16.90% 97,467 8.12 4 -0.1495% 1,014.0
Op. Retract 4.69% 2.24% 83,257 2.39 18 0.0480% 1,013.6
Split-Share 4.99% 3.07% 56,534 2.69 10 -0.1046% 1,010.2
Interest Bearing 6.87% 4.71% 56,441 2.09 7 -0.0514% 1,021.2
Perpetual-Premium 5.14% 4.17% 179,918 4.20 48 0.0894% 1,024.4
Perpetual-Discount 4.61% 4.62% 322,419 16.21 6 0.0001% 1,033.6
Major Price Changes
Issue Index Change Notes
FTN.PR.A SplitShare -1.0476% On volume of 3,165 shares
Volume Highlights
Issue Index Volume Notes
BAM.PR.K Floater 56,700 Scotia crossed 50,000 @ 24.25
GWO.PR.I PerpetualDiscount 40,375 The cheapest perpetual around, paying $1.125 annually and quoted at 24.47-55. Why it should trade for less than RY.PR.A, quoted at 24.75-87, paying 1.1125, is quite beyond me.
TD.PR.O PerpetualPremium 38,230 An entirely reasonable issue, with a YTW of 4.47% based on a call in November 2014.
IGM.PR.A OpRet 23,120 The most expensive (relative to par) index-included issue tracked by HIMIPref™. YTW of 2.95% based on a call in 2009; 3.86% if it survives until 2013.
GWO.PR.H PerpetualPremium 22,240  

There were twelve other index-included issues trading over 10,000 shares today.

And, best of all, I was able to recover prices from the TSX with no hitches!

Miscellaneous News

S&P Inaugurates US Preferred Index!

According to a press release, S&P is commencing the publication of  an index “designed to serve the investment community’s need for an investable benchmark representing the approximately $200 billion U.S. preferred stock market. The S&P U.S. Preferred Stock Index includes preferred stocks issued by U.S. entities that meet criteria relating to minimum size, liquidity, exchange listing, and time-to-maturity. The index currently has 44 constituents, and an indicated yield of 6.48%.”

Well! It’s nice to have competition, although their index is US only! There is more information via http://www.preferredstock.standardandpoors.com/

Market Action

September 18, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.47% 4.50% 44,706 16.47 1 -0.0407% 999.2
Fixed-Floater 4.89% 3.85% 316,342 11.56 6 0.3491% 1,015.0
Floater 4.64% -17.54% 94,607 8.13 4 0.3606% 1,015.5
Op. Retract 4.69% 2.41% 81,521 2.39 18 0.0333% 1,013.1
Split-Share 4.98% 3.29% 56,610 2.69 10 -0.1171% 1,011.2
Interest Bearing 6.85% 4.61% 56,052 2.08 7 0.1230% 1,021.7
Perpetual-Premium 5.14% 4.15% 180,829 4.19 48 -0.0230% 1,023.5
Perpetual-Discount 4.61% 4.61% 322,780 16.22 6 0.1835% 1,033.6
Major Price Changes
Issue Index Change Notes
No index-included issues had bid/bid price changes in excess of 1% today.
Volume Highlights
Issue Index Volume Notes
WN.PR.A PerpetualPremium 103,800  
BNS.PR.K PerpetualPremium 66,325  
RY.PR.B PerpetualPremium 56,970  
PWF.PR.L PerpetualPremium 56,800  
SLF.PR.B PerpetualPremium 54,900  

There were seventeen other index-included issues trading over 10,000 shares today.

HIMIPref News

HIMIPref™ Update : 2006-09-18

9:00 pm EDT Looks like the TSX has improved their site again … I can’t recover today’s prices, the last date available is the 15th. I’ll check just after midnight and see if I can download the prices.

2006-09-19 12:42 am EDT: HIMIPref™ has now been updated with the 9/18 prices. Index analysis will be posted sometime … er … later today.