PrefBlog

Market Action

August 2, 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%	26,351	16.71	2	0%	993.9
Fixed-Floater	4.94%	4.13%	295,668	6.94	6	-0.0065%	1,002.4
Floater	4.61%	-11.68%	59,896	6.48	5	-0.2258%	1,001.3
Op. Retract	4.72%	3.06%	78,096	2.71	18	0.1003%	1,000.09
Split-Share	5.01%	3.58%	59,589	2.76	10	-0.0170%	1,002.1
Interest Bearing	6.85%	5.21%	65,069	2.18	7	-0.0916%	1,010.0
Perpetual-Premium	5.30%	4.36%	122,782	3.94	41	-0.0028%	1,006.8
Perpetual-Discount	4.76%	4.80%	385,848	15.84	13	0.0725%	1,007.5

Major Price Changes
Issue	Index	Change	Notes
AL.PR.E	Floater	-1.62%	Volume of 13,375 shares
POW.PR.D	PerpetualPremium	-1.48%	Volume of 11,980 shares

Volume Highlights
Issue	Index	Volume	Notes
TCA.PR.Y	PerpetualPremium	45,894
SLF.PR.B	PerpetualDiscount	19,370
POW.PR.B	PerpetualPremium	13,600
AL.PR.E	Floater	13,375	Lost 1.62% on day
BMO.PR.H	PerpetualPremium	13,040 shares

There were five other index-included issues with volume in excess of 10,000 shares.

Issue Comments

A sparkling debut for PWF.PR.L!

Well – sometimes I get things right! In the post Power Financial Series L, I made the prediction that “I think it will go to an immediate premium over issue price”.

So far, so good! The issue traded 442,125 shares today (a value of over $11-million) and closed with a quote of 25.30-35. I suspect that there’s more to come, but I’ll wait until I’ve updated HIMIPref with the full universe of prices for August 4 before I start flapping my yap.

Market Action

August 1, 2006

Index	Current Yield (at bid)	YTW	Average Trading Value	Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	4.57%	4.53%	26,925	16.76	2	-0.1002%	993.9
Fixed-Floater	4.94%	4.21%	305,581	6.85	6	0.00%	1,002.5
Floater	4.60%	-14.72%	59,050	6.45	5	0.0085%	1,003.5
Op. Retract	4.72%	2.95%	78,843	2.66	18	0.3122%	999.1
Split-Share	5.01%	3.70%	59,815	2.74	10	0.0457%	1,002.3
Interest Bearing	6.86%	5.15%	65,327	2.19	7	0.1094%	1,010.9
Perpetual-Premium	5.30%	4.33%	123,416	3.98	41	0.0887%	1,006.9
Perpetual-Discount	4.77%	4.80%	392,028	15.84	13	0.1289%	1,006.8

Major Price Changes
Issue	Index	Change	Notes
None!

Volume Highlights
Issue	Index	Volume	Notes
CM.PR.A	OpRet	176,467
BMO.PR.I	OpRet	75,517	Anonymous internal cross, 74,500 @ 25.79
BC.PR.C	FixedFloater	58,669	See the Change in Terms
BNS.PR.K	PerpetualPremium	55,350	RBC crossed 50,000 @ 25.20
TD.PR.M	OpRet	49,250	Anonymous internal cross @ 27.55

There were seven other index-included issues with volume in excess of 10,000 shares.

Note that there were changes in index construction today.

Index Construction / Reporting

Rebalancing, 2006-08-01

Index Changes
Issue	From	To	Because
BC.PR.B	Ratchet	Fixed-Floater	Error Correction
BC.PR.E	Scraps	Ratchet	Error Correction

*sigh*. An error is not a happy thing to admit, but it’s always best to get it over with. As detailed in the post BC.PR.B / BC.PR.E, some of the BC.PR.B fixed/floater issue was exchanged into the BC.PR.E Ratchet Rate issue.

Taxation

Ontario boosts dividend tax credit

In very good news for preferred share investors, Ontario increased the dividend tax credit from 5.13% to 6.5%. The tax credit will rise in stages over the next four years, reaching 7.7 per cent in 2010.

There is nothing in the Official Press Release that indicates the dollars-and-cents value of this increase, but doubtless the accounting firms are working it out now and I’ll post updates when I get them.

Added 2006-09-06 : Note that Ernst & Young has a very good online tax calculator but it is currently updated only to June 16, 2006

HIMIPref News

HIMIPref Data Update Delay, 2006-08-02

Uploading of the prices for 2006-08-02 will be delayed. At time of writing, 9:45pm EDT, prices were not available from the Toronto Exchange. Assuming system problems are not unduly severe, prices will be uploaded in the morning of 2006-08-03.

And I’m going home.

Update, 2006-08-03, 9:30am EDT The prices have been recovered and the system is ready to go. Disregard the valuation assigned to the BC.PR.C – this is higher than it should be for technical reasons related to the change of terms

Data Changes

BC.PR.B / BC.PR.E

The terms of BC.PR.B changed effective 2006-05-01 with the annual dividend declining from $1.3125 to $1.0875. There’s a haircut for you!

Holders had the option to convert to the Ratchet Rate issue, BC.PR.E, and a little bit more than a quarter of the issue was converted. These issues become convertable into each other again on May 1, 2011 (although you may need to contact the company earlier!).

Changes have been put through on HIMIPref to reflect this conversion. Security codes are:

Issue	Code
BC.PR.B (old)	A38003
BC.PR.B (new)	A38006
BC.PR.E	A38007

Data Changes

BC.PR.C

The terms of this issue have changed, effective 2006-08-01, in accordance with the prospectus and the resetting of the coupon.

The coupon rate is now 4.65% until 2011-08-01. HIMIPref assumes that on that date it will become a Ratchet-Rate issue, since the company has discretion as to the fixed rate to which the issue will be reset.

No shares were converted to the Ratchet-Rate preferreds, since the holders of less than 2-million shares wished to exercise that privilege.

The old HIMIPref security code for this issue was A38004; following a “term change” reorganization, the new code is A38005.