TCA.PR.X & TCA.PR.Y Under Credit Rating Reviews

April 1st, 2008

TransCanada issued a press release yesterday:

its subsidiary has agreed to acquire from National Grid plc (National Grid), all the outstanding membership interests of KeySpan-Ravenswood, LLC, that directly or indirectly owns or controls the 2,480 megawatt (MW) Ravenswood Generating Facility (Ravenswood) located in Queens, New York for US$2.8 billion plus closing adjustments.

The acquisition will be financed in a manner consistent with TransCanada’s current capital structure and commitment to maintaining its ‘A’ credit rating.

Today, DBRS announced:

DBRS has today placed the Unsecured Debentures & Notes, Preferred Shares – cumulative and Junior Subordinated Notes ratings of TransCanada PipeLines Limited (TCPL or the Company) Under Review with Developing Implications.

The Company’s financial risk will initially rise based on the interim debt financing of the transaction, which will create execution risk, pending permanent financing expected by DBRS to occur within several months after transaction closing. On a fully debt-funded basis, DBRS estimates pro forma debt to capital of approximately 64% and cash flow to debt of 0.15 times based on the December 31, 2007 operating results (60% and 0.17 times respectively). However, TCPL intends to fund the acquisition with components of incremental debt and equity in line with its current capital structure in order to maintain appropriate credit metrics consistent with its current credit ratings.

These two issues were recently highlighted on PrefBlog with the note:

There were some credit worries when they made a big investment in Dec 06, but these were taken care of by an equity issue.

S&P now has these issues at P-2 [Watch Negative], with the comment:

Standard & Poor’s Ratings Services today said it placed its ratings, including its ‘A-‘ long-term corporate credit rating, on TransCanada PipeLines Ltd. on CreditWatch with negative implications.

“Nevertheless, the facility’s returns will likely be more variable and less certain than those of TransCanada’s core pipeline business,” said Standard & Poor’s credit analyst Kenton Freitag. We expect the company to finance the transaction with a significant equity component so as to maintain its credit measures.

We expect that the review will be completed by mid-May. Changes to the ratings, if any, would be limited to one notch.

Alarmist Filler Piece on Prefs

April 1st, 2008

Desperate for copy, the Financial Post published a column titled Banks’ preferred shares not a sure thing today, which was brought to my attention by Assiduous Reader tobyone in the comments to March 31:

In the April 01 edition of the Financial Post freelance financial journalist Hugh Anderson’s article: “Banks’ preferred shares not a sure thing.” Raises the spectre of dividend cuts, failure of trustcos and regional banks in Canada in the past. I thought I had a sure thing once upon a time but I was mistaken.

Hugh Anderson bills himself as “a freelance financial journalist and a former retail investment advisor”. I am unable to ascertain his performance track record as a retail investment advisor.

The introduction to his article was what first aroused my ire:

Time was when selling a Canadian bank preferred share to a conservative client in a taxable account was a no-worries deal, as the Australians say.

You looked for an issue with a reasonable period until first call without much premium and a decent yield, and moved on to the next client.

That’s all it took, eh? “Reasonable”, “much”, “decent” … not even a mention of credit quality … one shudders to think what his performance was like … but as far as preferred share commentary goes, it’s not the worst I’ve ever seen. If that was the only problem with the column, I’d let it go.

The following display of typical retail stockbroker nonsense, though, really makes me angry:

Remember also that a holder gets that yield only while the bank maintains its dividend. Too many investors forget that a preferred share is not a bond or a deposit note, even when issued by a Canadian bank. Dividends on preferred shares are no more guaranteed than dividends on common shares. In extreme circumstances they are much easier to cut or eliminate than interest payments on debt securities.

Unthinkable, you say. Maybe, but I do remember that being said about certain big trust companies in Canada a decade or two ago, before they eliminated dividend payments on their way to collapse or absorption.

A similar fate awaited shareholders in two Canadian regional banks a while ago.

Nothing is absolutely unthinkable at a time when a venerable U.S. investment bank implodes over a weekend, and when the U.S. Federal Reserve is keeping others alive with unlimited credit.

Well, lets look at this step by step:

Dividends on preferred shares are no more guaranteed than dividends on common shares.

Yes they are, in so far as one can use the word “guarantee” (which isn’t very far). Every preferred share prospectus I’ve ever seen has included the provision that dividends on common cannot be paid unless the company is paying dividends on the preferreds. If a company wants to save some money on its dividend payments, the common will get hit first.

In extreme circumstances they are much easier to cut or eliminate than interest payments on debt securities.

This part is true.

I do remember that being said about certain big trust companies in Canada a decade or two ago, before they eliminated dividend payments on their way to collapse or absorption.

Everything else said in this column is forgivable. This isn’t. Mr. Anderson provides no analysis or comparatives to show that these are, or could be, related events. What’s the point here? That it is possible for companies to default? We know that, Mr. Anderson – what we’re concerned about, first, last and always, is the probability of default.

This sentence shows Mr. Anderson’s experience as a retail stockbroker: no analysis, no perspective, nothing but the airy whipping up of fear in order to appear wise – with just barely enough factual backup to provide plausible excuses for underperformance.

Assiduous Reader kaspu in the previously mentioned comments said it best:

“I thought I had a sure thing once upon a time but I was mistaken.”

With respect, there is never, ever, EVER, a sure thing.

Quite right. There is never, ever, EVER a sure thing. So you do your homework, in order to tilt the odds in your favour; and you diversify – because even if your analysis is perfect today (which it won’t be … all we can ever hope for is an analysis that’s pretty good), something might happen tomorrow.

In his efforts to cause alarm amongst his readers, Mr. Anderson has done them a grave disservice. Risk should never be discussed without attention paid to its minimization, especially in an article targetted towards inexperienced investors. What mother, for instance, would send a child to school with the warning that a car might hit them? Wouldn’t most mothers, at their most explicit, say “Look both ways before crossing, because a car might hit you”?

Best & Worst Performers: March 2008

April 1st, 2008

These are total returns, with dividends presumed to have been reinvested at the bid price on the ex-date. The list has been restricted to issues in the HIMIPref™ indices.

Issue Index DBRS Rating Monthly Performance Notes (“Now” means “March 31”)
SLF.PR.C PerpetualDiscount Pfd-1(low) -10.82% A rebound from excellent performance in February. Now with a pre-tax bid-YTW of 5.74% based on a bid of 19.53 and a limitMaturity.
SLF.PR.D PerpetualDiscount Pfd-1(low) -10.71% Now with a pre-tax bid-YTW of 5.74% based on a bid of 19.50 and a limitMaturity.
FTU.PR.A SplitShare Pfd-2
[Review Developing]
-10.25% Volatile! Performed well in January, poorly in February. Asset coverage of just under 1.4:1 as of March 14 according to the company. Now with a pre-tax bid-YTW of 9.29% based on a bid of 8.52 and a hardMaturity 2012-12-1 at 10.00. Given the relatively low asset coverage, deep discount to par and the DBRS Review of the sector, it might be wise to view these as an equity substitute rather than as a preferred issue.
BMO.PR.K PerpetualDiscount Pfd-1 -9.77% Now with a pre-tax bid-YTW of 5.98% based on a bid of 22.25 and a limitMaturity.
BNA.PR.B SplitShare Pfd-2(low) -9.20% Asset coverage of 2.8+:1 as of February 29, according to the company. Now with a pre-tax bid-YTW of 8.86% based on a bid of 19.65 and a hardMaturity 2016-3-25 at 25.00. Compare with BNA.PR.A (6.47% to 2010-9-30) and BNA.PR.C (7.57% to 2019-1-10).
CL.PR.B PerpetualPremium Pfd-1(low) +1.32% Now with a pre-tax bid-YTW of -7.53% (that’s right, negative) based on a bid of 26.04 and a call 2008-4-30 at 25.75. Even the call 2011-1-30 at 25.00 gives rise to a yield of 4.69% … this issue looks rich.
FIG.PR.A InterestBearing Pfd-2 +1.37% Now with a pre-tax bid-YTW of 6.12% based on a bid of 10.00 and a call 2008-4-30 at 10.00.
BCE.PR.B Ratchet Pfd-2(low)
[Review Negative]
+1.49%  
BAM.PR.I OpRet Pfd-2(low) +1.78% Now with a pre-tax bid-YTW of 4.96% based on a bid of 25.71 and a softMaturity 2013-12-30 at 25.00. Compare with the other BAM OpRets: BAM.PR.H (5.37% to 2012-3-30) and BAM.PR.J (5.25% to 2018-3-30).
BCE.PR.G FixFloat Pfd-2(low)
Review Negative
+2.20%  

Index Performance : March 2008

April 1st, 2008

Performance of the HIMIPref™ Indices for March, 2008, was:

Total Return
Index Performance
March 2008
Three Months
to
March 31, 2008
Ratchet +0.79% +2.84%
FixFloat +0.64% +1.31%
Floater -1.09% +2.37%
OpRet -0.10% +0.74%
SplitShare -2.60% -0.63%
Interest +0.25% +3.26%
PerpetualPremium -1.57% -0.14%
PerpetualDiscount -4.93% -1.65%
Funds (see below for calculations)
CPD -2.90% -1.23%
DPS.UN -2.26% -0.79%
Index
BMO-CM 50 N/A
-2.79%
N/A
-0.31%

Claymore has published NAV data and Distribution Data for its exchange traded fund (CPD) and I have derived the following table:

CPD Return, 1- & 3-month, to March, 2008
Date NAV Distribution Return for Sub-Period Monthly Return
December 31, 2007 17.95      
January 31, 2008 17.95   0.00% 0.00%
February 29 18.34   +2.17% +2.17%
March 26 17.64 0.2082 -2.68% -2.90%
March 31, 2008 17.60   -0.23%
Quarterly Return -0.79%

The DPS.UN NAV for March 26 has been published so we may calculate the March returns (approximately!) for this closed end fund:

DPS.UN NAV Return, March-ish 2008
Date NAV Distribution Return for period
February 27, 2008 $21.47    
March 26, 2008 $21.00 $0.00 -2.19%
Adjustment for February stub-period +0.16%
Adjustment for March stub-period -0.23%
Estimated March Return -2.26%
CPD had a NAV of $18.37 on February 27 and $18.34 on February 29. The estimated February end-of-month stub period return for CPD was therefore -0.16%, which is subtracted from to the DPS.UN total return when estimating the return for March.
CPD had a NAV of $17.64 on March 26 and $17.60 on March 31. The estimated March end-of-month stub period return for CPD was therefore -0.23%, which is added to the DPS.UN total return when estimating the return for March.
Note that the DPS.UN distribution for March was done with a March 31 Record Date, therefore a March 27 Ex-Date

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for January and February:

DPS.UN NAV Returns, three-month-ish to end-March-ish, 2008
January-ish -0.97%
February-ish +2.04%
March-ish -2.26%
Three-months-ish -1.23%

Update, 2008-4-2: BMOCM-50 Index updated. The March index was 0.35% above its November trough.

HIMIPref™ Index Rebalancing : March 2008

April 1st, 2008
HIMI Index Changes, March 31, 2008
Issue From To Because
CM.PR.D PerpetualPremium PerpetualDiscount Price
ENB.PR.A PerpetualPremium PerpetualDiscount Price
PWF.PR.E PerpetualPremium PerpetualDiscount Price
PWF.PR.H PerpetualPremium PerpetualDiscount Price
NA.PR.K PerpetualPremium PerpetualDiscount Price
BNS.PR.O PerpetualPremium PerpetualDiscount Price
POW.PR.C PerpetualPremium PerpetualDiscount Price
TCA.PR.X PerpetualPremium PerpetualDiscount Price
PWF.PR.G PerpetualPremium PerpetualDiscount Price
TCA.PR.Y PerpetualPremium PerpetualDiscount Price
BCE.PR.Y Scraps Ratchet Volume
BCE.PR.B Ratchet Scraps Volume

There were the following intra-month changes:

HIMI Index Changes during March 2008
Issue Action Index Because
AR.PR.B Delete Scraps Coverage Discontinued
TFS.PR.A Delete Scraps Redemption
ABK.PR.C Delete Scraps Redemption
BCE.PR.D Add Scraps Conversion

March 31, 2008

March 31st, 2008

A good article on VoxEU today by Xavier Vives of the CEPR. He looks at policy responses to the credit crunch:

An old-fashioned bank run happened if enough people tried to withdraw their funds from a bank; even if the bank was solvent, it might not be able to meet all the withdrawals and thus the fear of bank failure could become a self-fulfilling prophecy. In the current crisis, participants in the interbank market take the place of long queues of withdrawers. They have stopped extending credit to other banks that they suspect to have been contaminated by the subprime loans and which therefore may face solvency problems. The commercial bond market and structured investment vehicles are facing similar trouble.

Both the old and new forms of crisis have at their heart a coordination problem. In the current one, participants in the interbank market and in the commercial bond market do not renew their credit because of fear others will not either.

Bagehot advocated in 1873 that a Lender of Last Resort in a crisis should lend at a penalty rate to solvent but illiquid banks that have adequate collateral.

Central banks, because of information limitations, are bound to make mistakes, losing face and money in the process. This doesn’t mean they should not try.

The collateral should be valued under “normal circumstances”, that is, in a situation where the coordination failure of investors does not occur. This involves a judgment call in which the central bank values the illiquid assets. A central bank that only takes high quality collateral will be safe, but will have to inject much more liquidity and/or set lower interest rates to stabilise the market. This may fuel future speculative behavior.

The problem is that central banks are extending the lender of last resort facility outside the realm of traditional banks to entities, like Bear Stearns, that they do not supervise and, therefore, over which they do not have first hand information. How does the Fed know whether Bear Stearns or other similar institutions are solvent? It seems that the Fed is not following Bagehot’s doctrine here.

Finally, if banks and investors are bailed out now, why should they be careful next time? This is the moral hazard problem: help to the market that is optimal once the crisis starts has perverse effects in the incentives of market players at the investment stage. The issue is that only when the moral hazard problem is moderate does it pay to eliminate completely the coordination failure of investors with central bank help. When the moral hazard problem is severe, a certain degree of coordination failure of investors – that is, allowing some crises – is optimal to maintain discipline when investing and, amending Bagehot, some barely solvent institutions should not be helped.

I will take a certain amount of issue with the idea that there is a major problem with central banks lending to institutions they don’t supervise … most central banks, including the Canadian and UK institutions, have no supervisory powers. While I feel it is preferrable for them to supervise the banks, I am not prepared to agree that this is a necessary condition for lending.

The Fed / JPM / BSC situation is clearly a special case, with Bernanke using his discretion to address a problem that he felt had the potential for contagion – with the agreement of the other Fed governors. That’s fine with me. Why hire a smart guy and pay him well if you’re not going to allow him to exercise discretion? As far as solvency goes … JPM is prepared to take on risk and he’s got (surely!) reports from the SEC on BSC’s capital adequacy, as well as some collateral. The internuts are screaming that the collateral is all worthless, but I continue to believe that regulation – via the SEC – is good enough that prices have been marked down to some plausible estimate based on ultimate recovery and influenced by market value.

There is a danger in throwing out the baby with the bathwater here. I believe that Investment Banks should be regulated, but not in the same way and not by the same people as regular banks.

Of most interest, however, is Dr. Vive’s assertion that targetting the “bad collateral” that is the source of the problem, the Fed is acting to minimize the amount of more general liquidity injection that will be necessary to surmount the crunch. That seems eminently sensible to me.

There was some more capital-raising today, with a National Bank preferred issue and a Lehman preferred issue in the States. The reporting of the latter is illuminating:

Lehman Brothers Holdings Inc., which has dropped 42 percent this year in New York trading, is selling at least $3 billion of new shares to U.S. institutions to reassure investors it has ample access to capital.

“We still maintain that we don’t need capital, but we’ve realized that perception is the dominant issue in today’s markets,” Chief Financial Officer Erin Callan said in an interview. “This is an endorsement of our balance sheet by investors.”

Merrill Lynch raised $6.6 billion in January by selling preferred shares to a group including the Kuwaiti Investment Authority and Japan’s Mizuho Financial Group Inc.

Today’s motto is “Strong Balance Sheets Are Good”. I’ve just read a history of the Overend & Gurney collapse which drives this home – I’ll be reviewing the book here shortly, to add to the PrefBlog Museum of Catastrophe.

It looks like CPD managed to arrest its fall and remain very slightly above its historical low point (in terms of total return) to close the month. This won’t be much consolation for holders, though, as their total return will have been minimal over the past four months since November 30. It’s close enough to the trough that I will not speculate on whether the BMOCM-50 was also able to eke out a gain. MAPF did not do well on the month, ending its streak of three superb months with a rather poor one – but will have outperformed CPD handsomely on the quarter.

Perpetuals got smacked today by the new National Bank issue; volume was good.

Major Price Changes
Issue Index Change Notes
SLF.PR.C PerpetualDiscount -3.3168% Now with a pre-tax bid-YTW of 5.74% based on a bid of 19.53 and a limitMaturity.
HSB.PR.D PerpetualDiscount -2.8251% Now with a pre-tax bid-YTW of 5.79% based on a bid of 21.67 and a limitMaturity.
NA.PR.L PerpetualDiscount -1.9524% Now with a pre-tax bid-YTW of 5.99% based on a bid of 20.59 and a limitMaturity.
BNA.PR.B SplitShare -1.8972% Asset coverage of 2.8+:1 as of February 29, according to the company. Now with a pre-tax bid-YTW of 8.86% based on a bid of 19.65 and a hardMaturity 2016-3-25 at 25.00. Compare with BNA.PR.A (6.47% to 2010-9-30) and BNA.PR.C (7.57% to 2019-1-10).
BNS.PR.K PerpetualDiscount -1.8577% Now with a pre-tax bid-YTW of 5.53% based on a bid of 21.66 and a limitMaturity.
RY.PR.A PerpetualDiscount -1.8447% Now with a pre-tax bid-YTW of 5.58% based on a bid of 20.22 and a limitMaturity.
PWF.PR.L PerpetualDiscount -1.8365% Now with a pre-tax bid-YTW of 5.78% based on a bid of 22.45 and a limitMaturity.
MFC.PR.C PerpetualDiscount -1.8233% Now with a pre-tax bid-YTW of 5.40% based on a bid of 21.00 and a limitMaturity.
RY.PR.W PerpetualDiscount -1.7652% Now with a pre-tax bid-YTW of 5.57% based on a bid of 22.26 and a limitMaturity.
SLF.PR.A PerpetualDiscount -1.5603% Now with a pre-tax bid-YTW of 5.57% based on a bid of 21.45 and a limitMaturity.
BAM.PR.G FixFloat -1.5471%  
BAM.PR.N PerpetualDiscount -1.3815% Now with a pre-tax bid-YTW of 6.45% based on a bid of 18.56 and a limitMaturity.
PWF.PR.K PerpetualDiscount -1.3778% Now with a pre-tax bid-YTW of 5.67% based on a bid of 22.19 and a limitMaturity.
PWF.PR.E PerpetualPremium
(until after rebalancing!)
-1.2914% Now with a pre-tax bid-YTW of 5.65% based on a bid of 24.46 and a limitMaturity.
PWF.PR.H PerpetualPremium
(until after rebalancing!)
-1.2846% Now with a pre-tax bid-YTW of 5.94% based on a bid of 24.59 and a limitMaturity.
PWF.PR.F PerpetualDiscount -1.2733% Now with a pre-tax bid-YTW of 5.73% based on a bid of 23.26 and a limitMaturity.
GWO.PR.I PerpetualDiscount -1.2285% Now with a pre-tax bid-YTW of 5.64% based on a bid of 20.10 and a limitMaturity.
PWF.PR.I PerpetualPremium -1.2152% Now with a pre-tax bid-YTW of 6.06% based on a bid of 25.20 and a limitMaturity.
RY.PR.E PerpetualDiscount -1.1594% Now with a pre-tax bid-YTW of 5.58% based on a bid of 20.46 and a limitMaturity.
RY.PR.D PerpetualDiscount -1.1143% Now with a pre-tax bid-YTW of 5.59% based on a bid of 20.41 and a limitMaturity.
SLF.PR.D PerpetualDiscount -1.0654% Now with a pre-tax bid-YTW of 5.74% based on a bid of 19.50 and a limitMaturity.
BCE.PR.Z FixFloat -1.0522%  
FTU.PR.A SplitShare -1.0453% Asset coverage of just under 1.4:1 as of March 14, according to the company. Now with a pre-tax bid-YTW of 9.29% based on a bid of 8.52 and a limitMaturity.
ENB.PR.A PerpetualPremium
(Until After Rebalancing!)
-1.0204% Now with a pre-tax bid-YTW of 5.73% based on a bid of 24.25 and a limitMaturity.
BNS.PR.L PerpetualDiscount -1.0135% Now with a pre-tax bid-YTW of 5.49% based on a bid of 20.51 and a limitMaturity.
POW.PR.D PerpetualDiscount +1.0638% Now with a pre-tax bid-YTW of 5.50% based on a bid of 22.80 and a limitMaturity.
LBS.PR.A SplitShare +1.1940% Asset coverage of just under 2.1:1 as of March 27, according to Brompton Group. Now with a pre-tax bid-YTW of 4.89% based on a bid of 10.17 and a hardMaturity 2013-11-29 at 10.00.
DFN.PR.A SplitShare +1.2795% Now with a pre-tax bid-YTW of 4.76% based on a bid of 10.29 and a hardMaturity 2014-12-1 at 10.00.
ELF.PR.G PerpetualDiscount -1.8980% Now with a pre-tax bid-YTW of 6.15% based on a bid of 19.40 and a limitMaturity.
CL.PR.B PerpetualPremium +2.0776% Now with a pre-tax bid-YTW of -7.63% (negative!) based on a bid of 26.04 and a call 2008-4-30 at 25.75.
Volume Highlights
Issue Index Volume Notes
RY.PR.K PerpetualPremium 1,372,231 Nesbitt crossed 200,000 at 25.15, then CIBC crossed the same amount at the same price. Nesbitt then crossed 170,000 at the same price. Somebody’s looking for short stuff! Now with a pre-tax bid-YTW of 4.98% based on a bid of 25.10 and a softMaturity 2008-8-23 at 25.00.
GWO.PR.I PerpetualDiscount 154,235 Nesbitt crossed 149,500 at 20.15. Now with a pre-tax bid-YTW of 5.64% based on a bid of 20.10 and a limitMaturity.
RY.PR.G PerpetualDiscount 56,250 Now with a pre-tax bid-YTW of 5.57% based on a bid of 20.50 and a limitMaturity.
TD.PR.R PerpetualDiscount 24,790 Now with a pre-tax bid-YTW of 5.68% based on a bid of 24.87 and a limitMaturity.
NA.PR.L PerpetualDiscount 24,250 Now with a pre-tax bid-YTW of 5.99% based on a bid of 20.59 and a limitMaturity.

There were nineteen other index-included $25-pv-equivalent issues trading over 10,000 shares today.
Update, 2008-4-1:

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 5.36% 5.37% 30,758 14.91 2 0.0000% 1,089.2
Fixed-Floater 4.80% 5.43% 61,411 14.97 8 -0.4292% 1,039.7
Floater 4.90% 4.91% 77,452 15.66 2 +0.3766% 849.5
Op. Retract 4.85% 4.29% 78,901 3.26 15 -0.1305% 1,047.3
Split-Share 5.40% 6.04% 92,590 4.11 14 +0.0229% 1,023.0
Interest Bearing 6.20% 6.24% 65,650 2.10 3 +0.2045% 1,093.0
Perpetual-Premium 5.82% 4.91% 239,582 10.51 17 -0.2698% 1,017.2
Perpetual-Discount 5.68% 5.72% 286,732 14.33 52 -0.5210% 912.8

New Issue : NA 6.00% Perps

March 31st, 2008

National Bank has announced:

that it has entered into an agreement with a group of underwriters led by National Bank Financial Inc. to sell an issue of 6 million Non-Cumulative Fixed Rate First Preferred Shares, Series 20 (the “Preferred Shares”), carrying a face value of $25 per share, to raise gross proceeds of $150 million. Holders will be entitled to receive non-cumulative preferential quarterly dividends in the amount of $0.375 per share, to yield 6.00% annually.

National Bank has also granted the underwriters an option to purchase, on the same terms, up to an additional 900,000 Preferred Shares. This option is exercisable in whole or in part by the underwriters at any time up to 30 days after closing of the offering. The maximum gross proceeds raised under the offering will be $172.5 million should this option be exercised in full.

National Bank may redeem the Preferred Shares, subject to regulatory approval, in whole or in part, at a declining premium after five years.

The net proceeds of this offering will be used for general corporate purposes and will qualify as Tier 1 capital for National Bank. The expected closing date is April 16, 2008.

Issue: National Bank of Canada 6.00% Non-Cumulative Fixed Rate First Preferred Shares Series 20

Size: 6-million shares @ $25.00 = $150-million; Greenshoe for 900,000 shares = $22.5-million

Dividend: $0.375 Quarterly; Long first dividend of $0.494178 payable August 15 based on April 16 Closing.

Redemption: Redeemable commencing 2013-5-15 @ $26.00; Redemption price declines by $0.25 annually until 2017-5-15; Redeemable at $25.00 thereafter. [nb: “Redemption” means at the bank’s option]

Priority: Parri Passu with all other 1st Preferred Shares, senior to Second Preferred Shares, Senior to Common shares, junior to everything else.

Provisional Ratings: Pfd-1(low) by DBRS; P-2(high) by S&P; A1 by Moody’s

Closing: April 16, 2008

More Later.

Later, More: Some comparables:

NA Perps 3/28
Issue Quote
3/28
Dividend Curve
Price
Pre-tax
Bid-YTW
NA.PR.K 24.83-99 1.4625 25.00 5.97%
NA.PR.L 21.00-24 1.2125 21.86 5.86%
NA.PR.? Issue
Price
25.00
1.50 25.35 6.00%

Update, 2008-3-31: After the carnage of March 31 – almost certainly brought about by retail looking at the handle on this coupon – the curvePrice is $25.21.

HIMIPref™ Preferred Indices : Pending Revisions

March 29th, 2008

The first run-through for the HIMIPref™ Preferred Indices has been completed and I am now in the joyous phase of hunting down and killing errors.

Due to errors in cash-flow characterization, the following monthly results will have to be recomputed:

October 1997 / OpRet
November 1999 / PerpetualDiscount
November 1999 / FixedFloater
March 2000 / OpRet
January 2005 / PerpetualDiscount

Making these changes will also change subsequent index levels. No errors have yet been found in the characterizations of the indices (e.g., reported yields).

The checking process continues.

March 28, 2008

March 28th, 2008

No commentary today, I’m afraid! Month-end calls, with a shrill, unpleasant, voice!

Besides, I’m sulking. All those comments for March 27 and nobody explained to me why, given prices for all the other instruments, CIT CDSs have to be so expensive. Feh.

Apolcalyptionists will be thrilled to learn that we are within a whisker of deepening the peak-to-trough poor performance that I noted had set a record, March-November 2007. From November 30 to February 29, CPD returned +3.33% … month to date it has returned -2.96%. Mind you, the peak-to-trough referred to the BMOCM-50 Index, which is not the same as the S&P/TSX index referenced by CPD … but a bad day on Monday could make the Official Pain a year-long event.

Overall, a down day on the market, but with lots of outliers. Volume was low.

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 5.37% 5.38% 31,478 14.89 2 -0.7049% 1,089.2
Fixed-Floater 4.77% 5.41% 61,930 14.99 8 -0.4357% 1,044.2
Floater 4.92% 4.93% 77,480 15.63 2 +0.9826% 846.3
Op. Retract 4.84% 4.14% 77,540 3.01 15 +0.0473% 1,048.7
Split-Share 5.40% 5.98% 93,141 4.11 14 -0.1498% 1,022.8
Interest Bearing 6.21% 6.31% 65,274 3.93 3 +0.0349% 1,090.8
Perpetual-Premium 5.81% 5.65% 244,637 10.13 17 -0.0048% 1,020.0
Perpetual-Discount 5.65% 5.69% 288,609 14.38 52 -0.1327% 917.6
Major Price Changes
Issue Index Change Notes
BAM.PR.M PerpetualDiscount -2.7979% Now with a pre-tax bid-YTW of 6.38% based on a bid of 18.76 and a limitMaturity.
BCE.PR.B Ratchet -1.6563%  
BCE.PR.Z FixFloat -1.6556%  
FTU.PR.A SplitShare -1.6000% Asset coverage of just under 1.4:1 as of March 14, according to the company. Now with a pre-tax bid-YTW of 9.00% based on a bid of 8.61 and a hardMaturity 2012-12-1 at 10.00. Seems to me that at these kinds of discounts to NAV, you can start analyzing the issue as an equity substitute and probably come out pretty well on the deal.
HSB.PR.D PerpetualDiscount -1.5453% Now with a pre-tax bid-YTW of 5.63% based on a bid of 22.30 and a limitMaturity.
WFS.PR.A SplitShare -1.5045% Asset coverage of 1.7+:1 as of March 20, according to Mulvihill. Now with a pre-tax bid-YTW of 5.89% based on a bid of 9.82 and a hardMaturity 2011-6-30 at 10.00.
BCE.PR.G FixFloat -1.4523%  
GWO.PR.H PerpetualDiscount -1.3825% Now with a pre-tax bid-YTW of 5.70% based on a bid of 21.40 and a limitMaturity.
CM.PR.D PerpetualDiscount -1.1350% Now with a pre-tax bid-YTW of 5.89% based on a bid of 24.39 and a limitMaturity.
FBS.PR.B SplitShare +1.0695% Asset coverage of just under 1.6:1 as of March 27 according to TD Securities. Now with a pre-tax bid-YTW of 6.53% based on a bid of 9.45 and a hardMaturity 2011-12-15 at 10.00.
BAM.PR.B Floater +1.9737%  
Volume Highlights
Issue Index Volume Notes
FAL.PR.H PerpetualPremium 200,800 Nesbitt crossed 150,000 at 25.10, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 5.32% based on a bid of 25.01 and a call 2008-4-30 at 25.00.
FBS.PR.B SplitShare 165,140 CIBC crossed 150,000 at 9.30, then sold 10,000 to Scotia at 9.35. See above.
TD.PR.R PerpetualDiscount 40,847 Now with a pre-tax bid-YTW of 5.67% based on a bid of 24.89 and a limitMaturity.
TD.PR.Q PerpetualDiscount 39,800 National Bank crossed 20,000 at 25.20. Now with a pre-tax bid-YTW of 5.65% based on a bid of 25.15 and a limitMaturity.
BAM.PR.M PerpetualDiscount 31,270 Now with a pre-tax bid-YTW of 6.38% based on a bid of 18.76 and a limitMaturity.

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

HIMIPref™ Preferred Indices : February 2007

March 28th, 2008

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 2007-2-28
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,370.3 1 2.00 3.89% 3.9 81M 4.05%
FixedFloater 2,359.2 7 2.00 3.47% 1.1 64M 4.98%
Floater 2,216.5 3 2.00 1.46% 0.1 54M 4.71%
OpRet 1,935.4 17 1.36 2.48% 2.1 65M 4.70%
SplitShare 2,029.6 17 1.94 3.97% 2.6 78M 5.01%
Interest-Bearing 2,404.8 5 2.00 5.43% 2.6 64M 6.49%
Perpetual-Premium 1,556.0 53 1.32 4.33% 5.9 135M 5.01%
Perpetual-Discount 1,661.8 9 1.22 4.51% 16.4 436M 4.54%

 

HIMI Index Changes, February 28, 2007
Issue From To Because
ASC.PR.A Scraps SplitShare Volume
BNA.PR.B Scraps SplitShare Volume
BCE.PR.S Ratchet Scraps Volume
BCE.PR.H Scraps Ratchet Volume
BCE.PR.I FixFloat Scraps Volume
BMO.PR.J PerpetualDiscount PerpetualPremium Price
BAM.PR.G FixFloat Scraps Volume
BAM.PR.M PerpetualDiscount PerpetualPremium Price
PWF.PR.D OpRet Scraps Volume
PWF.PR.A Floater Scraps Volume
RY.PR.E PerpetualDiscount PerpetualPremium Price
PAY.PR.A SplitShare Scraps Volume
TOC.PR.B Floater Scraps Volume
WN.PR.E PerpetualPremium PerpetualDiscount Price

There were the following intra-month changes:

HIMI Index Changes during February 2007
Issue Action Index Because
CM.PR.B Delete PerpetualPremium Redemption
BCE.PR.H Add Scraps Exchange
BC.PR.E Delete Scraps Exchange
BCE.PR.I Add FixFloat Exchange
BC.PR.C Delete FixFloat Exchange
BCE.PR.G Add FixFloat Exchange
BC.PR.B Delete FixFloat Exchange
SLF.PR.E Add PerpetualDiscount New Issue
FCI.PR.A Delete Scraps Exchange
FCF.PR.A Delete Scraps Exchange
FCN.PR.A Delete Scraps Exchange
CFS.PR.A Add SplitShare New Issue
CM.PR.J Add PerpetualDiscount New Issue
ENB.PR.D Delete InterestBearing Redemption
CVF.PR.A Delete Scraps Redemption

Index Composition 2007-2-28, Post-Rebalancing