Market Action

August 11, 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 4.34% 4.30% 26,084 16.69 2 -0.3580% 994.5
Fixed-Floater 4.94% 4.16% 260,451 12.10 6 -0.1120% 1,002.6
Floater 4.60% -15.49% 58,372 6.48 5 -0.0237% 1,005.5
Op. Retract 4.71% 3.11% 76,392 2.70 18 -0.0576% 1,003.2
Split-Share 5.01% 3.61% 56,630 2.78 10 0.0380% 1,003.4
Interest Bearing 6.86% 5.41% 61,694 2.16 7 0.0253% 1,008.7
Perpetual-Premium 5.29% 4.24% 174,239 4.24 42 0.0604% 1,009.4
Perpetual-Discount 4.73% 4.78% 358,602 15.15 13 0.0790% 1,013.1
Major Price Changes
Issue Index Change Notes
There were no major price changes of index-included issues today!
Volume Highlights
Issue Index Volume Notes
RY.PR.A PerpetualDiscount 200,800 BMO crossed 200,000 @ 24.40
CM.PR.G PerpetualPremium 136,700 National Crossed 24,000 @ 26.50; BMO bought 99,700 from National @26.49
WN.PR.E PerpetualDiscount 129,842  
TOC.PR.B FloatingRate 60,161 BMO crossed 36,800 @ 25.45
GWO.PR.F PerpetualPremium 56,069 Scotia crossed 56,000 @ 27.18The YTW is 3.90% with a modified duration of 2.07 at the closing bid of 27.15

Another active day. There were nine other “normal” (determined by par value) issues included within the indices that traded more than 10,000 shares.

Market Action

August 10, 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 4.32% 4.28% 26,501 16.73 2 0.1002% 998.1
Fixed-Floater 4.94% 4.10% 263,800 12.10 6 0.0996% 1,003.7
Floater 4.60% -16.20% 58,031 6.47 5 -0.0395% 1,005.7
Op. Retract 4.71% 3.14% 76,756 2.70 18 0.2298% 1,003.8
Split-Share 5.01% 3.62% 57,299 2.78 10 0.0852% 1,003.0
Interest Bearing 6.86% 5.37% 62,148 2.16 7 -0.1412% 1,008.5
Perpetual-Premium 5.29% 4.36% 175,286 4.24 42 0.0576% 1,008.8
Perpetual-Discount 4.74% 4.77% 361,219 13,75 13 0.3045% 1,012.26
Major Price Changes
Issue Index Change Notes
There were no major price changes of index-included issues today!
Volume Highlights
Issue Index Volume Notes
MFC.PR.B PerpetualDiscount 259,811 BMO traded 80,000 as an internal cross @ 24.76; BMO bought 25,000 from RBC @24.75; BMO bought 21,200 from TD @24.75
MFC.PR.A OpRet 162,573 Desjardins bought 25,000 from BMO @26.52.
The YTW is 3.41% with a ModifiedDuration(YTW) of 7.76 at the closing bid of 26.55
SLF.PR.B PerpetualDiscount 126,700 BMO bought 50,000 from National @25.20; BMO crossed 30,000 (IC) @25,19
WN.PR.E PerpetualDiscount 117,800 RBC crossed 83,300 @ 24.00; Scotia bought 10,000 from RBC @24.00; Scotia bought 17,800 from RBC @24.00.
The YTW is 5.00% with a ModifiedDuration(YTW) of 15.45 at the closing bid of $24.00
CM.PR.G PerpetualPremium 106,588 BMO bought 95,000 from Nat @26.49.
The YTW is 4.54% with a modified duration of 6.38 at the closing bid of 26.49
TD.PR.O PerpetualPremium 104,275 National crossed 50,000 @25.40; Anonymous bought 50,000 from National @25.40

A busy day! There were 15 other index-included issues with volumes in excess of 10,000 shares!

Market Action

Split-Share Yield Curve, 2006-08-09

Here’s another yield curve for your inspection and criticism!

The CGI.PR.C are by far the longest-duration split-shares available and, it should be noted, have a DBRS credit rating of Pfd-1, very unusual for a split share corporation. I issued a press release on them when they were issued in February. They’re redeemable commencing in June, 2011 @ $26.00, declining annually to a price of $25 commencing June, 2015. They’re retractible at $25 commencing June, 2016.

The most liquid securities of the group are the WFS.PR.A and PIC.PR.A, with Average Trading Values of about $120,000 and $170,000, respectively.

 For other information on these issues you can, as always, take a look at prefInfo.com.

Market Action

August 9, 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 4.32% 4.28% 25,766 16.72 2 0.1003% 997.1
Fixed-Floater 4.94% 4.11% 266,895 14.04 6 -0.0913% 1,002.9
Floater 4.60% -17.08% 57,608 6.46 5 0.1122% 1,006.1
Op. Retract 4.72% 3.13% 76,205 2.70 18 -0.0493% 1,001.5
Split-Share 5.01% 3.79% 57,912 2.78 10 0.0158% 1,002.2
Interest Bearing 6.85% 5.29% 62,051 2.16 7 -0.0111% 1,019.9
Perpetual-Premium 5.29% 4.38% 174,083 4.09 42 0.1007% 1,008.2
Perpetual-Discount 4.75% 4.79% 360,131 15.14 13 0.0851% 1,009.2
Major Price Changes
Issue Index Change Notes
W.PR.H PerpetualPremium +1.0121%  
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 25,459  
PWF.PR.L PerpetualPremium 20,145  
SLF.PR.B PerpetualDiscount 15,300  
RY.PR.K OpRet 14,739 BMO bought 12,500 from anonymous @ 25.16
CM.PR.C PerpetualPremium 12,380  
Issue Comments

IQW.PR.C / IQW.PR.D Downgraded by DBRS

DBRS has announced that they have downgraded all series of the Quebecor World Inc. preferred shares to Pfd-4 with a negative trend (it was previously Pfd-4(high) with a negative trend.

DBRS cited a “greater than expected weakening of the financial profile”.

 HIMIPref subscribers will not be too concerned about this downgrade, as Hymas Investment Management does not recommend the purchase of anything that’s rated Pfd-4(high) or lower, and will only recommend Pfd-3 issues (of any sub-grade) in certain circumstances and in small amounts relative to portfolio size.

HIMIPref does, however, maintain the Quebecor World preferreds in its database: symbols IQW.PR.C and IQW.PR.D. These issues are recorded solely for the sake of continuity and have no influence on the calculation of yield curves.

Market Action

August 8, 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 4.33% 4.29% 26,039 16.72 2 -0.0800% 996.1
Fixed-Floater 4.94% 4.06% 269,384 8.87 6 +0.0012% 1,003.6
Floater 4.61% -15.40% 58,621 6.47 5 -0.1508% 1,005.0
Op. Retract 4.72% 3.03% 76,844 2.70 18 0.0755% 1,002.0
Split-Share 5.02% 3.83% 57,898 2.79 10 -0.0122% 1,002.0
Interest Bearing 6.85% 5.26% 62,835 2.16 7 -0.0886% 1,010.0
Perpetual-Premium 5.30% 4.43% 176,716 4.12 42 -0.0183% 1,007.2
Perpetual-Discount 4.75% 4.80% 366,161 15.14 13 0.1545% 1,008.3
Major Price Changes
Issue Index Change Notes
No major price changes of issues included in indices!
Volume Highlights
Issue Index Volume Notes
IAG.PR.A PerpetualDiscount 207,160 RBC crossed 100,000 @ 24.75, then Scotia did the same. The YTW is 4.69% at the closing bid of $24.73
SLF.PR.C PerpetualDiscount 203,700  
SLF.PR.A PerpetualDiscount 157,575 RBC crossed 150,000 @ 24.95
MFC.PR.B PerpetualDiscount 155,500 RBC crossed 150,000 @ 24.70
CM.PR.C PerpetualPremium 24,407 YTW 3.17% at closing bid of $26.75

HIMIPref News

New HIMIPref-2005 Release, Dated 2006-08-08

There is a new release available via http://www.prefshares.com/gettingstarted/downloads.php This is not a major release – it just cleans up a few loose ends with the interface that I hope I’m the only one who’s noticed. There have been no changes on the server-side or in the interfaces, so old versions will continue to work.

 If you download and install it, I implore you to remember to back up your userdatabase prior to the uninstallation of the old version. Those who really hate fiddling with re-installation will also want to back up their “userloc” file … this is in the same directory as the programme itself (probably c:Program FilesHymas Investment Management, IncHIMIPref , but the original installation may have put it elsewhere) and the backup-userloc used to over-write the reinstalled-userloc after installation, but prior to running the programme.

MAPF

MAPF, Results for July, 2006

At July 31, 2006, MAPF had a unit value of $9.3608, a return of 0.24% (after expenses, before fees) on the month, vs the BMO-NB50 return of 0.35%

The last three months have been flat against the index – there are, I think, two major sources of this reduction in excess returns:

  • Reduced volatility : the market’s not doing anything! It’s volatility that allows for trading with significant profit.
  • BAM.PR.J The fund has a large holding in BAM.PR.J, which returned -0.51% on the month and is -2.52% YTD (total return). I just don’t understand it – for some insight into just why I don’t understand it, see Operating-Retractible Yield Curve, 2006-07-26. Surely at some point the issue will come more in line with its peers … but I’ve been saying that for a while now …
Index Construction / Reporting

Rebalancing, 2006-08-04

Index Changes
Issue From To Because
PWF.PR.L   PerpetualPremium New Issue

So, today’s new issue, featured in A sparkling debut for PWF.PR.L!, is now incorporated in the index – and has contributed its little share to the gain in today’s PerpetualPremium index

A design consideration for the indices is the desire to capture the performance of new issues, so it’s nice to see a capture take place.

Market Action

August 4, 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 4.33% 4.33% 27,064 16.73 2 0.1808% 996.9
Fixed-Floater 4.94% 4.13% 278,149 6.96 6 +0.2064% 1,003.6
Floater 4.60% -15.74% 59,351 6.50 5 0.2320% 1,006.5
Op. Retract 4.72% 3.04% 77,385 2.71 18 0.0642% 1,001.2
Split-Share 5.01% 3.84% 58,552 2.80 10 -0.087% 1,002.1
Interest Bearing 6.85% 5.15% 62,987 1.94 7 0.0200% 1,010.9
Perpetual-Premium 5.30% 4.41% 178,424 4.06 42 0.0801% 1,007.4
Perpetual-Discount 4.76% 4.80% 367,687 15.14 13 0.0473% 1,006.8
Major Price Changes
Issue Index Change Notes
CM.PR.A OpRet +1.50% No shares traded! The bid is now 27.00-51, 5×12, up from 26.60-58 yesterday. The YTW at the bid is 1.50%
Volume Highlights
Issue Index Volume Notes
PWF.PR.L PerpetualPremium 442,125 Heavy trading on its first day! See A sparkling debut for PWF.PR.L!
ACO.PR.A OpRet 68,686 Global crossed 33,900 @28.60 for delayed delivery; and then 33,900 @28.25 for regular settlement. The ex-date was today, dividend of $0.359375. Clearly some kind of dividend-capture strategy at work here.
SLF.PR.B PerpetualDiscount 31,236 National Bank crossed 10,000 @ $25.00 after selling 8,000 to BMO at $25.03
RY.PR.K OpRet 14,737 BMO crossed 13,500 @ $25.20