Party Like It's 1999!

June 18th, 2008

I don’t, as a rule, like pseudo-analytical notes such as this post. Historical plots implicitly assume that the anything not intrinisic to the plot is constant; and in plotting historical yields there’s an entire economy being ignored which is most emphatically not constant.

But some people like them; I got curious; and Assiduous Readers (after yesterday‘s collapse) will want something cheerful to look at.

So … without further ado, here’s a plot of yields, going back 10 years. PerpetualDiscount yields are from the HIMIPref™ Index; other yields are courtesy of the Bank of Canada. The graphs get cut off at the end of March, 2008, because that’s the data I have convenient for the HIMIPref™ indices; Long Corporates get cut off in mid-2007, because that’s when the Bank stopped getting bond data with permission to redistribute freely.

… and the Perpetual Discount Interest Equivalent Spread against Long Corporates (using a constant equivalency of 1.4x, which is fishy in the extreme):

So folks … we’re bloodied but unbowed! Spreads are (roughly) near a ten year high … recall my note of yesterday that PerpetualDiscounts now have an average yield of 6.00%; interest-equivalent (at 1.4x) of 8.40%; vs. Long Corporates of just under 6.2%.

Posted in Index Construction / Reporting, Spreads to Bonds | 8 Comments »

June 17, 2008

June 17th, 2008

Again, busy!

I did come up with another rationale for the current … drop, shall we say? … and have updated the Negative Convexity? Negative Schmonvexity! post.

Today was a horrible, horrible day for preferreds, with the market down sharply (as noted by Assiduous Reader lystgl in the comments to “New Trough for Preferreds?”) on sharply increased volume.

For those keeping track, today wasn’t even the worst day this year for the PerpetualDiscount sector … that honour belongs to January 17. Hmmm … 17th both times, eh? I wonder what a technical analyst would make of that?

This drop is preferred-specific: the yield on the PerpetualDiscount index today was 6.00%, equivalent to 8.40% interest using a 1.4x conversion factor. Long Corporates continue to yield a shade under 6.2%; the 220bp spread is out of the 190-210bp range that has been recently established.

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 4.17% 4.18% 51,736 17.00 1 +0.1180% 1,115.5
Fixed-Floater 4.94% 4.69% 61,769 16.01 7 +0.4675% 1,013.5
Floater 4.08% 4.07% 68,873 17.28 2 -0.4366% 939.7
Op. Retract 4.84% 2.46% 86,284 2.63 15 -0.1184% 1,056.5
Split-Share 5.30% 5.62% 68,991 4.16 15 +0.4487% 1,050.0
Interest Bearing 6.10% 4.67% 48,570 2.03 3 +0.4202% 1,123.4
Perpetual-Premium 5.92% 4.85% 375,476 11.13 13 -0.5984% 1,012.0
Perpetual-Discount 5.93% 6.00% 220,738 13.88 59 -1.2649% 885.3
Major Price Changes
Issue Index Change Notes
PWF.PR.F PerpetualDiscount -4.3290% Now with a pre-tax bid-YTW of 6.04% based on a bid of 22.10 and a limitMaturity.
ELF.PR.F PerpetualDiscount -4.0211% Now with a pre-tax bid-YTW of 6.75% based on a bid of 20.05 and a limitMaturity.
MFC.PR.C PerpetualDiscount -3.7981% Now with a pre-tax bid-YTW of 5.66% based on a bid of 20.01 and a limitMaturity.
BMO.PR.H PerpetualDiscount -3.1390% Now with a pre-tax bid-YTW of 6.21% based on a bid of 21.60 and a limitMaturity.
CM.PR.J PerpetualDiscount -2.8342% Now with a pre-tax bid-YTW of 6.30% based on a bid of 18.17 and a limitMaturity.
GWO.PR.G PerpetualDiscount -2.6063% Now with a pre-tax bid-YTW of 6.13% based on a bid of 21.30 and a limitMaturity.
BAM.PR.M PerpetualDiscount -2.2530% Now with a pre-tax bid-YTW of 7.06% based on a bid of 16.92 and a limitMaturity.
NA.PR.L PerpetualDiscount -2.2157% Now with a pre-tax bid-YTW of 6.19% based on a bid of 19.86 and a limitMaturity.
POW.PR.B PerpetualDiscount -2.1983% Now with a pre-tax bid-YTW of 5.99% based on a bid of 22.69 and a limitMaturity.
BAM.PR.N PerpetualDiscount -2.1277% Now with a pre-tax bid-YTW of 7.02% based on a bid of 17.02 and a limitMaturity.
CM.PR.I PerpetualDiscount -2.0113% Now with a pre-tax bid-YTW of 6.30% based on a bid of 19.00 and a limitMaturity.
RY.PR.A PerpetualDiscount -1.3514% Now with a pre-tax bid-YTW of 5.71% based on a bid of 19.71 and a limitMaturity.
HSB.PR.D PerpetualDiscount -1.9422% Now with a pre-tax bid-YTW of 6.07% based on a bid of 20.70 and a limitMaturity.
GWO.PR.H PerpetualDiscount -1.9139% Now with a pre-tax bid-YTW of 5.94% based on a bid of 20.50 and a limitMaturity.
BNS.PR.N PerpetualDiscount -1.9015% Now with a pre-tax bid-YTW of 5.87% based on a bid of 22.70 and a limitMaturity.
RY.PR.G PerpetualDiscount -1.8849% Now with a pre-tax bid-YTW of 5.91% based on a bid of 19.26 and a limitMaturity.
CM.PR.P PerpetualDiscount -1.7857% Now with a pre-tax bid-YTW of 6.18% based on a bid of 22.55 and a limitMaturity.
ELF.PR.G PerpetualDiscount -1.6912% Now with a pre-tax bid-YTW of 6.73% based on a bid of 18.02 and a limitMaturity.
IAG.PR.A PerpetualDiscount -1.6658% Now with a pre-tax bid-YTW of 5.93% based on a bid of 19.48 and a limitMaturity.
TD.PR.P PerpetualDiscount -1.6456% Now with a pre-tax bid-YTW of 5.71% based on a bid of 23.31 and a limitMaturity.
BNS.PR.M PerpetualDiscount -1.6040% Now with a pre-tax bid-YTW of 5.83% based on a bid of 19.63 and a limitMaturity.
BNS.PR.L PerpetualDiscount -1.6032% Now with a pre-tax bid-YTW of 5.83% based on a bid of 19.64 and a limitMaturity.
CM.PR.E PerpetualDiscount -1.6003% Now with a pre-tax bid-YTW of 6.26% based on a bid of 22.75 and a limitMaturity.
RY.PR.B PerpetualDiscount -1.5834% Now with a pre-tax bid-YTW of 5.98% based on a bid of 19.89 and a limitMaturity.
RY.PR.A PerpetualDiscount -1.5728% Now with a pre-tax bid-YTW of 5.80% based on a bid of 19.40 and a limitMaturity.
BNS.PR.O PerpetualPremium (for now!) -1.5206% Now with a pre-tax bid-YTW of 5.77% based on a bid of 24.61 and a limitMaturity.
PWF.PR.K PerpetualDiscount -1.4967% Now with a pre-tax bid-YTW of 5.98% based on a bid of 21.06 and a limitMaturity.
BMO.PR.J PerpetualDiscount -1.4646% Now with a pre-tax bid-YTW of 5.83% based on a bid of 19.51 and a limitMaturity.
RY.PR.C PerpetualDiscount -1.4536% Now with a pre-tax bid-YTW of 5.92% based on a bid of 19.66 and a limitMaturity.
POW.PR.C PerpetualPremium (for now!) -1.4286% Now with a pre-tax bid-YTW of 6.11% based on a bid of 24.15 and a limitMaturity.
TD.PR.Q PerpetualPremium (for now!) -1.4056% Now with a pre-tax bid-YTW of 5.79% based on a bid of 24.55 and a limitMaturity.
RY.PR.E PerpetualDiscount -1.3205% Now with a pre-tax bid-YTW of 5.86% based on a bid of 19.43 and a limitMaturity.
RY.PR.F PerpetualDiscount -1.2807% Now with a pre-tax bid-YTW of 5.84% based on a bid of 19.27 and a limitMaturity.
BNS.PR.J PerpetualDiscount -1.2579% Now with a pre-tax bid-YTW of 5.61% based on a bid of 23.55 and a limitMaturity.
CM.PR.D PerpetualDiscount -1.1910% Now with a pre-tax bid-YTW of 6.07% based on a bid of 24.06 and a limitMaturity.
POW.PR.A PerpetualDiscount -1.1097% Now with a pre-tax bid-YTW of 5.92% based on a bid of 24.06 and a limitMaturity.
CM.PR.G PerpetualDiscount -1.1086% Now with a pre-tax bid-YTW of 6.16% based on a bid of 22.30 and a limitMaturity.
W.PR.J PerpetualDiscount -1.0748% Now with a pre-tax bid-YTW of 6.19% based on a bid of 23.01 and a limitMaturity.
W.PR.H PerpetualDiscount -1.0323% Now with a pre-tax bid-YTW of 6.06% based on a bid of 23.01 and a limitMaturity.
WFS.PR.A SplitShare -1.0309% Asset coverage of just under 1.7:1 as of June 12 according to the company. Now with a pre-tax bid-YTW of 6.71% based on a bid of 9.60 and a hardMaturity 2011-6-30 at 10.00.
SLF.PR.D PerpetualDiscount +1.0265% Now with a pre-tax bid-YTW of 5.98% based on a bid of 18.70 and a limitMaturity.
FIG.PR.A InterestBearing +1.0562% Asset coverage of just under 1.5:1 as of June 16, according to the company. Now with a pre-tax bid-YTW of 2.33% (as interest) based on a bid of 10.01 and a call 2008-7-17 at 10.00.
BCE.PR.C FixFloat +1.0615%  
BCE.PR.R FixFloat +2.2222%  
BNA.PR.C SplitShare +5.2493% Asset coverage of just under 3.6:1 as of May 30, according to the company. Now with a pre-tax bid-YTW of 7.10% based on a bid of 20.05 and a hardMaturity 2019-1-10 at 25.00. This is just a reversal of yesterday‘s plunge, which overstated due to being calculated bid/bid on a day on which bids evaporated. Compare with BNA.PR.A (6.17% to 2010-9-30) and BNA.PR.B (8.40% to 2016-3-25).
BNA.PR.B SplitShare +6.46% See BNA.PR.C, above.
Volume Highlights
Issue Index Volume Notes
BMO.PR.I OpRet 187,486 CIBC crossed 50,000 at 25.18, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 0.4398% based on a bid of 25.16 and a call 2008-7-17 at 25.00.
NTL.PR.F Scraps (would be Ratchet Rate, but there are credit concerns) 153,675  
BMO.PR.J PerpetualDiscount 134,200 Now with a pre-tax bid-YTW of 5.83% based on a bid of 19.51 and a limitMaturity.
NTL.PR.G Scraps (would be Ratchet Rate, but there are credit concerns) 106,060  
BCE.PR.G FixFloat 92,500 CIBC crossed 90,000 in two tranches at 22.34.
BCE.PR.C FixFloat 71,650 CIBC crossed 70,300 at 22.85.
BMO.PR.L PerpetualPremium 57,549 Now with a pre-tax bid-YTW of 5.92% based on a bid of 25.00 and a limitMaturity.

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

Posted in Market Action | 1 Comment »

June 16, 2008

June 16th, 2008

The OSFI/ABCP post has been updated with news of remarks by Supt. Dixon to the Commons Finance Committee.

Another very – very – poor day in the market. Volume, though, was relatively light. Now, this is getting a whole lot closer to Technical Analysis than I like, but this does lend some credence to my speculation that this downdraft is retail-driven. Whether or not that actually means anything in terms of future performance is, of course, another matter. entirely.

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 4.16% 4.18% 49,571 17.09 1 +0.0000% 1,114.1
Fixed-Floater 4.96% 4.72% 59,877 15.98 7 -0.7863% 1,008.8
Floater 4.06% 4.06% 69,576 17.32 2 +1.7552% 943.8
Op. Retract 4.84% 2.38% 85,107 2.40 15 +0.0235% 1,057.8
Split-Share 5.32% 5.62% 68,502 4.14 15 -0.5980% 1,045.3
Interest Bearing 6.09% 6.05% 45,812 3.77 3 +0.0003% 1,118.6
Perpetual-Premium 5.89% 4.98% 377,190 9.56 13 -0.1597% 1,018.1
Perpetual-Discount 5.85% 5.92% 219,683 13.99 59 -0.6834% 896.6
Major Price Changes
Issue Index Change Notes
BNA.PR.B SplitShare -6.0711% Asset coverage of just under 3.6:1 as of May 30, according to the company. Now with a pre-tax bid-YTW of 9.43% based on a bid of 19.03 and a hardMaturity 2016-3-25 at 25.00. Amusingly (or not, depending on your point of view), the price was actually UP on a close/close basis, as all three board-lot trades on the day were executed at 20.75. Closed at 19.03-20-49, 12×4, in an impressive display of market-making. Compare with BNA.PR.A (6.18% to 2010-9-30) and BNA.PR.C (7.75% to 2019-1-10).
BNA.PR.C SplitShare -5.4591% It did this on NO volume, closing at 19.05-20.25, 22×6. See BNA.PR.B, above.
BMO.PR.H PerpetualDiscount -3.2538% Now with a pre-tax bid-YTW of 5.99% based on a bid of 22.30 and a limitMaturity.
BCE.PR.C FixFloat -3.0446%  
PWF.PR.L PerpetualDiscount -2.2978% Now with a pre-tax bid-YTW of 6.10% based on a bid of 21.26 and a limitMaturity.
SLF.PR.A PerpetualDiscount -2.1869% Now with a pre-tax bid-YTW of 6.06% based on a bid of 19.68 and a limitMaturity.
SLF.PR.B PerpetualDiscount -1.4342% Now with a pre-tax bid-YTW of 6.05% based on a bid of 19.93 and a limitMaturity.
POW.PR.C PerpetualDiscount -1.8036% Now with a pre-tax bid-YTW of 6.02% based on a bid of 24.50 and a limitMaturity.
POW.PR.A PerpetualDiscount -1.5378% Now with a pre-tax bid-YTW of 5.85% based on a bid of 24.33 and a limitMaturity.
RY.PR.B PerpetualDiscount -1.4627% Now with a pre-tax bid-YTW of 5.88% based on a bid of 20.21 and a limitMaturity.
TD.PR.O PerpetualDiscount -1.4078% Now with a pre-tax bid-YTW of 5.66% based on a bid of 21.71 and a limitMaturity.
RY.PR.A PerpetualDiscount -1.3514% Now with a pre-tax bid-YTW of 5.71% based on a bid of 19.71 and a limitMaturity.
SLF.PR.D PerpetualDiscount -1.0155% Now with a pre-tax bid-YTW of 6.03% based on a bid of 18.52 and a limitMaturity.
BNS.PR.J PerpetualDiscount -1.3240% Now with a pre-tax bid-YTW of 5.53% based on a bid of 23.85 and a limitMaturity.
GWO.PR.G PerpetualDiscount -1.2641% Now with a pre-tax bid-YTW of 5.95% based on a bid of 21.87 and a limitMaturity.
TD.PR.P PerpetualDiscount -1.2500% Now with a pre-tax bid-YTW of 5.62% based on a bid of 23.70 and a limitMaturity.
PWF.PR.K PerpetualDiscount -1.2471% Now with a pre-tax bid-YTW of 5.88% based on a bid of 21.38 and a limitMaturity.
ELF.PR.G PerpetualDiscount -1.2392% Now with a pre-tax bid-YTW of 6.61% based on a bid of 18.33 and a limitMaturity.
BAM.PR.M PerpetualDiscount -1.1986% Now with a pre-tax bid-YTW of 6.90% based on a bid of 17.31 and a limitMaturity.
HSB.PR.D PerpetualDiscount -1.1704% Now with a pre-tax bid-YTW of 5.95% based on a bid of 21.11 and a limitMaturity.
BCE.PR.Z FixFloat -1.1550%  
GWO.PR.I PerpetualDiscount -1.1213% Now with a pre-tax bid-YTW of 5.82% based on a bid of 19.40 and a limitMaturity.
RY.PR.G PerpetualDiscount -1.1083% Now with a pre-tax bid-YTW of 5.80% based on a bid of 19.63 and a limitMaturity.
BCE.PR.R FixFloat -1.0989%  
SLF.PR.E PerpetualDiscount -1.0256% Now with a pre-tax bid-YTW of 5.86% based on a bid of 19.30 and a limitMaturity.
BAM.PR.B Floater +3.0348%  
Volume Highlights
Issue Index Volume Notes
BAM.PR.K Floater 45,600  
CM.PR.D PerpetualDiscount 27,000 Desjardins bought 10,000 from Anonymous at 24.60, then 10,000 from Bolder (who?) at 24.57. Now with a pre-tax bid-YTW of 5.99% based on a bid of 24.35 and a limitMaturity.
CM.PR.I PerpetualDiscount 20,735 Now with a pre-tax bid-YTW of 6.17% based on a bid of 19.39 and a limitMaturity.
RY.PR.W PerpetualDiscount 17,902 Now with a pre-tax bid-YTW of 5.58% based on a bid of 22.16 and a limitMaturity.
SLF.PR.A PerpetualDiscount 17,220 Now with a pre-tax bid-YTW of 6.06% based on a bid of 19.68 and a limitMaturity.

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

Posted in Market Action | No Comments »

Negative Convexity? Negative Schmonvexity!

June 16th, 2008

In the comments to another post, Assiduous Reader mpisni asks:

Hi James, Recently we have seen issues rated at lower ratings take some big hits ( FTS, SLF, ) but the recent issues in the 5.6% to 6 % range have remained relatively unaffected.

Is this because of the dividend rate, higher ratings ?

How will these issues prices be effected down the road and how much will rates have to increase to see negative effects on their prices

Thanks James

I don’t really have a LOT of time to deal with this right now, but …

I’ve uploaded an Excel Spreadsheet showing the following data:

  • ticker
  • 5/30 YTW
  • 5/30 Price
  • DBRS Rating
  • Total Return 5/30-6/13 (bid side)

The spreadsheet includes a graph!

You can play with these data as much as you like … and if anybody can answer any of mpisni‘s questions (particularly the implicit “When will this be over?” part) … let me know!

If I had to give an answer and if my answer had to assume rationality of the market over any given two-week period (both of these are rather big ifs), I’d suggest that one hypothesis to test would be that

  • The market is anticipating further increases in long yields
  • Therefore, it is marking the “negative convexity” yield-premium down really low, since it assumes that there is no potential for capital gains being given up

See my article on convexity if you don’t have a clue what I’m blathering about.

Update: Note that this is a hot issue because it appears the preferred share market has hit a new 15-month trough … particularly, I think, when today is finally over!

Update: OK, there are two more possibilities:

  • The price paid for convexity was too much on 5/30; the market’s just readjusting … well … all I can say is: I don’t buy it.
  • Brokers are dumping their losers. Retail stockbrokers seek to avoid criticism. They’ve been getting worried calls from unsophisticated clients all year about ‘How come that new issue you sold me is down so much?’ They’re making the judgement that, at the very least, recovery is not imminent and simply dumping it. The near-par stuff isn’t getting dumped because they’re not getting any calls about that stuff.

Update: Yet another possibility! I know of at least one stockbroker who, last November, was aggressively getting his clients into preferreds on the grounds that when the BCE issues got redeemed, a tsunami of money would boost prices of existing issues.

Some such clients might be getting a little dubious about the “when”.

Posted in Index Construction / Reporting | 6 Comments »

New Issue: BAM 5.00% 5-Year Retractible

June 16th, 2008

It’s been a long time since an investment grade Operating Retractible issue came out!

Issue: Brookfield Asset Management 5.00% Cumulative Class A Preference Shares, Series 21

Size: 6-million shares @ $25.00 (= $150-million); Greenshoe for 1-million shares (= $25-million) exercisable prior to closing.

Dividends: $1.25 p.a.; Long first dividend of $0.3299 planned for September 30

Redemption: Redeemable at $25.00 on and after 2013-6-30; Company may substitute common shares at greater 95% of market or $2

Retraction: Retractible into common at greater of 95% of market and $2. Company may elect to substitute cash.

Ratings: S&P: P-2; DBRS: Pfd-2(low)

Closing: 2008-6-25

Other BAM retractibles are BAM.PR.H, BAM.PR.I and BAM.PR.J

More later.

Later, More: Comparables – at intra-day prices – are:

BAM Retractibles
Issue Quote
6/16
Intraday		 Bid
Yield
to
Worst		 End-Date
BAM.PR.H 25.82-29 4.26% Call
2008-10-30
BAM.PR.I 25.60-75 4.99% SoftMaturity
2013-12-30
BAM.PR.J 25.00-29 5.41% SoftMaturity
2018-3-30
BAM.PR.? 25.00
Issue
Price		 5.01% SoftMaturity
2013-6-30

The BAM.PR.H are interesting … callable at 25.75 commencing 2008-9-30, redemption price declines by $0.25 annually until 2011-9-30, callable at $25.00 thereafter; retractible into shares commencing 2012-3-31; yield until the softMaturity 2012-3-30 is 4.76%.

The new issue is nice – it’s very nice to see a new issue eligible for the OpRet index! – but appears to be no more than fairly priced relative to the extant BAM retractibles.

Posted in New Issues | 7 Comments »

June, 2008, Edition of PrefLetter Released!

June 15th, 2008

The June, 2008, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”.

Until further notice, the “Previous Edition” will refer to the June, 2008, issue, while the “Next Edition” will be the July, 2008, issue, scheduled to be prepared as of the close July 11 and eMailed to subscribers prior to market-opening on July 14.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: PrefLetter, being delivered to clients as a large attachment by eMail, sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository. If it’s not there, contact me and I’ll get you your copy … somehow!

Posted in PrefLetter | No Comments »

June 13, 2008

June 13th, 2008

No time! Those whose days are incomplete without PrefBlog’s commentary are urged to send me Deep Thoughts that I can pass off as my own.

Yet another crummy day in the preferred share market and yet again the SunLife issues got hammered.

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 4.15% 4.06% 49,490 0.16 1 +0.0000% 1,114.1
Fixed-Floater 4.92% 4.67% 59,975 16.05 7 -0.2005% 1,016.7
Floater 4.13% 4.12% 66,527 17.19 2 -0.9244% 927.5
Op. Retract 4.84% 2.53% 85,391 2.40 15 +0.0629% 1,057.5
Split-Share 5.29% 5.50% 69,003 4.17 15 +0.1134% 1,051.6
Interest Bearing 6.09% 6.02% 46,529 3.77 3 +0.0335% 1,118.6
Perpetual-Premium 5.88% 4.97% 384,454 9.64 13 -0.1614% 1,019.8
Perpetual-Discount 5.81% 5.87% 221,373 14.06 59 -0.4128% 902.8
Major Price Changes
Issue Index Change Notes
BNS.PR.N PerpetualDiscount -3.0808% Now with a pre-tax bid-YTW of 5.72% based on a bid of 23.28 and a limitMaturity.
SLF.PR.C PerpetualDiscount -2.8647% Now with a pre-tax bid-YTW of 6.10% based on a bid of 18.31 and a limitMaturity.
MFC.PR.B PerpetualDiscount -2.8302% Now with a pre-tax bid-YTW of 5.68% based on a bid of 20.60 and a limitMaturity.
BNS.PR.K PerpetualDiscount -2.1364% Now with a pre-tax bid-YTW of 5.66% based on a bid of 21.53 and a limitMaturity.
BAM.PR.B Floater -1.9512%  
RY.PR.B PerpetualDiscount -1.9130% Now with a pre-tax bid-YTW of 5.79% based on a bid of 20.51 and a limitMaturity.
SLF.PR.B PerpetualDiscount -1.4342% Now with a pre-tax bid-YTW of 6.05% based on a bid of 19.93 and a limitMaturity.
GWO.PR.H PerpetualDiscount -1.4078% Now with a pre-tax bid-YTW of 5.79% based on a bid of 21.01 and a limitMaturity.
BMO.PR.K PerpetualDiscount -1.3650% Now with a pre-tax bid-YTW of 5.92% based on a bid of 22.40 and a limitMaturity.
TD.PR.O PerpetualDiscount -1.2999% Now with a pre-tax bid-YTW of 5.58% based on a bid of 22.02 and a limitMaturity.
BMO.PR.H PerpetualDiscount -1.1578% Now with a pre-tax bid-YTW of 5.77% based on a bid of 23.05 and a limitMaturity.
GWO.PR.G PerpetualDiscount -1.0277% Now with a pre-tax bid-YTW of 5.89% based on a bid of 22.15 and a limitMaturity.
SLF.PR.D PerpetualDiscount -1.0155% Now with a pre-tax bid-YTW of 6.03% based on a bid of 18.52 and a limitMaturity.
BAM.PR.J OpRet +1.0509% Now with a pre-tax bid-YTW of 5.40% based on a bid of 25.00 and a softMaturity 2018-3-30 at 25.00.
HSB.PR.D PerpetualDiscount +1.3283% Now with a pre-tax bid-YTW of 5.88% based on a bid of 21.36 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
TCA.PR.Y PerpetualDiscount 62,176 CIBC crossed 59,300 at 49.01. Now with a pre-tax bid-YTW of 5.72% based on a bid of 49.00 and a limitMaturity.
BMO.PR.J PerpetualDiscount 112,500 Nesbitt crossed 100,000 at 20.00, after clearing out 8,300 shares offered in four tranches from 19.94 to 19.97. Now with a pre-tax bid-YTW of 5.71% based on a bid of 19.90 and a limitMaturity.
CM.PR.D PerpetualDiscount 36,694 Now with a pre-tax bid-YTW of 5.94% based on a bid of 24.55 and a limitMaturity.
GWO.PR.I PerpetualDiscount 29,100 Now with a pre-tax bid-YTW of 5.76% based on a bid of 19.62 and a limitMaturity.
BMO.PR.L PerpetualPremium 27,060 Now with a pre-tax bid-YTW of 5.91% based on a bid of 25.00 and a limitMaturity.

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

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XCM.PR.A Back in Protection Programme

June 13th, 2008

Commerce Split has announced:

When the fund was launched on February 16, 2007 the price of CIBC common shares was $102.15. As of June 12, 2008 the price of CIBC commons shares has declined to $62.54 or a drop of 38% since the inception of the fund.

This sharp decline has resulted in the fund’s net asset value being reduced significantly and has required the Company to implement the Priority Equity Protection Plan in accordance with the prospectus. This plan was implemented to maintain a preferred share coverage ratio of 125% as defined in the prospectus. The Company has executed trades to remain in compliance with the Protection Plan by purchasing permitted repayment securities.

Currently, the portfolio has over $2.45 in notional value of permitted repayment securities per unit (a unit being 1 Priority Equity Share plus 1 Class A Share) thereby reducing the risk to Priority Equity shareholders to any further declines in the price of CIBC common shares.

The Company’s investment portfolio also has approximately $10.57 in CIBC exposure per unit ($9.49 per unit in CIBC common shares and the equivalent of $1.08 per unit in exposure through long CIBC call options) which provides exposure to any potential upside in the value of CIBC common shares. The Company has call options written on a portion of these positions at higher levels.

The Company’s portfolio is continually rebalanced and adjusted based on market conditions to provide both security for Priority Equity shareholders and upside potential for Class A shareholders. The Company may buy or sell additional shares of CIBC, the permitted repayment securities, and or option positions based on market conditions and provided that the Company remains in compliance with the Priority Equity Protection Plan.

The company is a little shy about providing details on its website regarding historical NAVs and precise dates of Protection Plan enforcement. The last instance of PEPP invocation was reported on PrefBlog and appears to have lasted only a week. CM shares closed today at $63.45, a loss of over 9% month-to-date. The unit NAV on May 31 was $12.62, and it was 92% invested … call it $11.60-worth of CM. A nine percent loss on that is worth $1.04 … so it seems reasonable to assume that the XCM unit value is now about $11.60.

XCM.PR.A is not rated by any rating agency and is not tracked by HIMIPref™.

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NEW.PR.B Tiny Call for Redemption

June 13th, 2008

NewGrowth Corp. has announced:

it has called 2,960 Preferred Shares for cash redemption on June 26, 2008 (in accordance with the Company’s Articles) representing approximately 0.127% of the outstanding Preferred Shares as a result of the special annual retraction of 62,860 Capital Shares by the holders thereof. The Preferred Shares shall be redeemed on a pro rata basis, so that each holder of Preferred Shares of record on June 25, 2008 will have approximately 0.127% of their Preferred Shares redeemed. The redemption price for the Preferred Shares will be $18.25 per share.

Holders of Preferred Shares that are on record for dividends but have been called for redemption will be entitled to receive dividends thereon which have been declared but remain unpaid up to but not including June 26, 2008.

Payment of the amount due to holders of Preferred Shares will be made by the Company on June 26, 2008. From and after June 26, 2008 the holders of Preferred Shares that have been called for redemption will not be entitled to dividends or to exercise any right in respect of such shares except to receive the amount due on redemption.

NEW.PR.B is not tracked by HIMIPref™.

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PrefLetter : June Edition Now in Preparation

June 13th, 2008

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

PrefLetter is the monthly newsletter recommending individual issues of preferred shares to subscribers. There is at least one recommendation from every major type of preferred share; the recommendations are taylored for “buy-and-hold” investors.

The June issue 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 the new issue has been uploaded to the server … so watch this space carefully if you intend to order “Next Issue” or “Previous Issue”!

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