Market Action

April 4, 2007

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 4.14% 4.10% 45,864 17.11 2 +0.0004% 1,050.0
Fixed-Floater 4.95% 3.96% 85,337 17.16 6 -0.4319% 1,033.9
Floater 4.58% -18.22% 61,752 0.26 4 -0.2152% 1,055.0
Op. Retract 4.73% 3.18% 85,831 2.15 17 -0.1758% 1,032.2
Split-Share 5.00% 3.69% 170,502 3.21 12 +0.0333% 1,050.4
Interest Bearing 6.53% 3.04% 63,163 2.29 5 +0.0481% 1,043.0
Perpetual-Premium 5.04% 3.85% 197,137 5.13 53 +0.0202% 1,059.0
Perpetual-Discount 4.53% 4.54% 825,567 16.34 10 +0.0121% 1,067.0
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixedFloater -1.7289% On high volume (for this issue) of 17,277 shares.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 261,200 National Bank crossed 50,000 at 24.95. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.95 and a limitMaturity.
TD.PR.M OpRet 122,100 Went ex-dividend today and Global crossed 60,800 for cash at 27.51 and 60,800 for regular settlement at 27.21. Now with a pre-tax bid-YTW of 3.04% based on a bid of 26.72 and a call 2009-5-30 at 26.00.
BCE.PR.A FixedFloater 100,400 RBC bought two tranches of 10,000 shares each from National Bank at 25.05; Nesbitt crossed 50,000 at 25.06.
RY.PR.W PerpetualPremium 71,340 RBC crossed 60,000 at 26.30. Now with a pre-tax bid-YTW of 4.21% based on a bid of $26.21 and a call 2014-3-26 at $25.00.
SLF.PR.C PerpetualDiscount 40,600 Nesbitt crossed 30,000 at 24.85. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.76 and a limitMaturity.

There were sixteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Issue Comments

DFN.PR.A: Text of Special Resolution Released

As previously noted, shareholders of DFN.PR.A will be meeting on April 24 to consider a special resolution, the text of which has now been released:

BE IT RESOLVED AS A SPECIAL RESOLUTION THAT:
1. The Articles of Dividend 15 Split Corp. (the “Fund”) be amended to extend the termination date of the Fund to December 1, 2014.
2. The directors and officers of the Fund be and they are hereby authorized and directed to take such action and to execute and deliver all such documentation as may be necessary or desirable for the implementation of this special resolution.
3. Notwithstanding the provisions hereof, the directors of the Fund may revoke this special resolution at any time prior to the endorsement by the Director of the Certificate of Amendment under the Business Corporations Act (Ontario) giving effect hereto without further approval of the shareholders of the Fund.

A very good deal for DFN.PR.A shareholders to continue providing financing at 5.25% (as a dividend! Interest-Equivalent of (for rich people in Ontario) of 7.35%! It’s very kind of the Capital Unit holders to give the idea any consideration at all!

Issue Comments

FFN.PR.A : Special Resolution Released

As previously noted, FFN.PR.A shareholders will be meeting on April 24 to vote on a special resolution. The text of this special resolution has now been released:

BE IT RESOLVED AS A SPECIAL RESOLUTION THAT:
1. The Articles of Financial 15 Split Corp. II (the “Fund”) be amended to extend the termination date of the Fund to December 1, 2014.
2. The directors and officers of the Fund be and they are hereby authorized and directed to take such action and to execute and deliver all such documentation as may be necessary or desirable for the implementation of this special resolution.
3. Notwithstanding the provisions hereof, the directors of the Fund may revoke this special resolution at any time prior to the endorsement by the Director of the Certificate of Amendment under the Business Corporations Act (Ontario) giving effect hereto without further approval of the shareholders of the Fund.

This is a great deal for preferred shareholders, since the prefs pay 5.25% of redemption value and are trading at a premium. Votate Si!

Issue Comments

FTN.PR.A Special Resolution Released

As previously noted, FTN.PR.A shareholders will be meeting April 24 to vote on extending term.

The text of the actual resolution has been released:

BE IT RESOLVED AS A SPECIAL RESOLUTION THAT:
1. The Articles of Financial 15 Split Corp. (the “Fund”) be amended to extend the termination date of the Fund to December 1, 2014.
2. The directors and officers of the Fund be and they are hereby authorized and directed to take such action and to execute and deliver all such documentation as may be necessary or desirable for the implementation of this special resolution.
3. Notwithstanding the provisions hereof, the directors of the Fund may revoke this special resolution at any time prior to the endorsement by the Director of the Certificate of Amendment under the Business Corporations Act (Ontario) giving effect hereto without further approval of the shareholders of the Fund.

If passed, this is free money for the Preferred shareholders, given that the prefs yield 5.25% of their redemption value.

Market Action

April 3, 2007

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 4.14% 4.04% 46,177 17.11 2 -0.1585% 1,050.0
Fixed-Floater 4.92% 3.92% 83,859 17.17 6 +0.1393% 1,038.3
Floater 4.57% -20.01% 60,320 0.13 4 +0.1974% 1,057.2
Op. Retract 4.72% 3.12% 85,510 2.15 17 -0.0459% 1,034.0
Split-Share 5.00% 3.74% 174,820 3.29 12 -0.1428% 1,050.0
Interest Bearing 6.54% 3.03% 64,071 2.30 5 +0.0125% 1,042.5
Perpetual-Premium 5.03% 3.84% 197,908 5.12 53 -0.0705% 1,058.8
Perpetual-Discount 4.53% 4.54% 827,894 16.34 10 -0.0158% 1,066.9
Major Price Changes
Issue Index Change Notes
CU.PR.B PerpetualPremium -1.0989% I suppose the new issue announcement has alerted some to the idea that the various high-coupon, high-premium CU issues may be less perpetual than has been assumed! Now with a pre-tax bid-YTW of 3.03% based on a bid of $27.00 and a call 2008-7-1 at $26.00.
Volume Highlights
Issue Index Volume Notes
NA.PR.K PerpetualPremium 129,000 Now with a pre-tax bid-YTW of 3.22% based on a bid of 26.93 and a call 2008-6-14 at $26.00
GWO.PR.I PerpetualDiscount 83,250 Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.00 and a limitMaturity.
WN.PR.B OpRet 26,144 Now with a pre-tax bid-YTW of 3.13% based on a bid of $26.10 and a softMaturity 2009-6-30 at $25.00
SLF.PR.C PerpetualDiscount 22,338 Now with a pre-tax bid-YTW of 4.50% based on a bid of 24.78 and a limitMaturity.
RY.PR.F PerpetualDiscount 18,860 Now with a pre-tax bid-YTW of 4.53% based on a bid of 24.70 and a limitMaturity.

There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

New Issues

New Issue : Canadian Utilities 4.60% Perps

Canadian Utilities has announced an issue of Cumulative (!) Redeemable Preferred Shares Series 1.

Issue size is 4.6-million shares priced at $25.00 for gross proceeds of $115-million.

Dividends are 4.60% per annum ($1.15), payable quarterly, cumulative (!), payable on the first day of March/June/September/December. The initial dividend of $0.13863 will be paid on June 1, based on the anticipated closing date of April 18, 2007.

The call schedule is:

CU 4.60% Redemptions
From To Price
2012-06-01 2013-5-31 $26.00
2013-06-01 2014-05-31 25.75
2014-06-01 2015-05-31 25.50
2015-06-01 2016-05-31 25.25
2016-06-01 Infinite Date 25.00

These are rated at Pfd-2(high) by DBRS and P-2 (high) by S&P.

The material I have indicates that the proceeds will be used to finance capital expenditures and for other general corporate purposes … but I wonder! CU.PR.T is currently callable at $25.00 with a dividend rate of $1.475 p.a. (issue size 2,277,675 according to the TSX) and CU.PR.V is currently callable at $25.00 with a dividend rate of $1.325 p.a. (issue size 2,146,730 : ibid). I have previously complained that these issues appear to be surviving due solely to regulatory boneheadism … but perhaps a ray of sunlight has penetrated Canadian capital markets. However, there is more boneheadism in heaven and earth than is dreamt of in my philosophy. We shall see.

More later.

Update : DBRS has confirmed on their site that the new issue is rated Pfd-2(high).

Interestingly, they have a different understanding of the use of proceeds from the issue than the one I saw (my bolding):

The net proceeds of the Preferred Shares are expected to be used to finance capital expenditures, to repay existing indebtedness, and for other general corporate purposes of CU Inc.’s subsidiaries, ATCO Electric Ltd. and ATCO Gas and Pipelines Ltd.

I don’t think CU.PR.T & CU.PR.V will last very much longer. And, if you look at the issue sizes and account for underwriting fees of about 3%, you might decide that “general corporate purposes” consist largely of buying a new pencil.

Market Action

April 2, 2007

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 4.14% 4.05% 47,109 10.57 2 -0.0794% 1,051.7
Fixed-Floater 4.93% 3.95% 85,569 17.17 6 -0.0586% 1,036.9
Floater 4.58% -18.57% 61,156 0.40 4 -0.0393% 1,055.1
Op. Retract 4.72% 3.08% 85,331 2.15 17 +0.0494% 1,034.5
Split-Share 4.99% 3.61% 179,325 3.21 12 -0.1228% 1,051.5
Interest Bearing 6.54% 3.18% 64,163 2.30 5 -0.3411% 1,042.4
Perpetual-Premium 5.02% 3.64% 200,132 5.13 53 -0.0299% 1,059.5
Perpetual-Discount 4.52% 4.54% 839,017 16.35 10 +0.0204% 1,067.1
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.8627% TD did a little selling late in the day that appears to have taken the bid out. Probably just noise. Now with a pre-tax bid-YTW of 6.08% (INTEREST!) based on a bid of $10.01 and a hardMaturity 2015-3-31.
TD.PR.N OpRet +1.0636% On volume of 100 shares. Now with a pre-tax bid-YTW of 2.38% based on a bid of $27.03 and a call 2009-5-30 at $26.00. If it makes it to its softMaturity 2014-01-30 at $25.00, it will have yielded 3.23%. If.
TD.PR.M OpRet +1.3073% Now with a pre-tax bid-YTW of 2.31% based on a bid of $27.12 and a call 2009-5-30 at $26.00. It will have yielded 3.22% if it makes it to its softMaturity 2013-10-30 at $25.00. Again … I’m not holding my breath.
TD.PR.O PerpetualPremium +1.3351% TD common stock went ex-Dividend today. Did everybody re-invest in prefs? Now with a pre-tax bid-YTW of 3.90% based on a bid of $26.50 and a call 2014-11-30 at $25.00
See “Update”, below, re shaded elements of this table
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 40,400 National Bank bought 37,100 from Nesbitt at $25.90. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.87 and a call 2010-12-30 at $25.00.
BMO.PR.G OpRet 37,523 Now with a pre-tax bid-YTW of 4.12% based on a bid of $25.20 and a call 2007-9-24 at $25.00.
SLF.PR.D PerpetualDiscount 29,238 RBC bought 10,000 from Scotia at $24.87. Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.85 and a limitMaturity.
RY.PR.F PerpetualDiscount 24,243 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.70 and a limitMaturity.
BAM.PR.M PerpetualPremium 21,177 Now with a pre-tax bid-YTW of 4.75% based on a bid of $25.05 and a call 2016-3-1 at $25.00.

There were ten other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Update : TD dividends were inaccurately recorded. The ex-date was 4/4 for this dividend, not 4/2; hence, performance is shown here including a dividend that did not, in fact, become receivable.

Index Construction / Reporting

Index Changes : March 30, 2007

The following changes were made to the HIMIPref™ Indices (temporary version) on the March month-end rebalancing:

 

Index Changes 2007-03-30
Ticker From To Because
IAG.PR.A PerpetualDiscount PerpetualPremium Price
BNS.PR.L PerpetualPremium PerpetualDiscount Price
SXT.PR.A SplitShare Scraps Volume
BNA.PR.B SplitShare Scraps Volume
BCE.PR.I Scraps FixFloat Volume
BCE.PR.S Scraps Ratchet Volume
PWF.PR.A Scraps Floater Volume

Two new issues were added to “Scraps” during the month since they did not qualify for the indices due to credit concerns: DW.PR.A on 3/13 and YPG.PR.A on 3/6.

MAPF

MAPF Results : March, 2007

Malachite Aggressive Preferred Fund has been valued for March, 2007, month-end. The unit value is $9.5292 after a distribution of $0.103149 dividend income. Returns over various periods are:

MAPF Returns to March 30, 2007
One Month +0.42%
Three Months +0.11%
One Year +5.48%
Two Years (annualized) +5.48%
Three Years (annualized) +6.41%
Four Years (annualized) +14.00%
Five Years (annualized) +10.26%
Six Years (annualized) +11.21%

Returns assume reinvestment of dividends, and are shown after expenses but before fees. Past performance is not  a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund.
For more information, see the fund’s main page.

Market Action

March 30, 2007

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 4.21% 4.03% 67,370 3.82 1 +0.0000% 1,052.5
Fixed-Floater 5.00% 3.90% 96,811 17.23 5 +0.0874% 1,037.5
Floater 4.72% -20.06% 74,500 0.32 3 +0.1313% 1,055.6
Op. Retract 4.72% 3.04% 85,479 2.16 17 -0.0828% 1,034.0
Split-Share 5.01% 3.14% 158,951 3.31 14 +0.0234% 1,052.8
Interest Bearing 6.51% 5.36% 64,757 2.32 5 +0.0934% 1,045.9
Perpetual-Premium 5.02% 3.56% 219,123 5.15 53 -0.0031% 1,059.8
Perpetual-Discount 4.53% 4.54% 762,721 15.37 10 -0.0157% 1,066.8
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.5109% May be extending term soon, which will be really good for the issue’s fundamentals as long as there is nothing horrible in the as-yet-unreleased details. Now with a pre-tax bid-YTW of 3.52% based on a bid of $10.43 and a hardMaturity 2009-12-1 at $10.00.
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 51,950 Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.90 and a call 2010-12-30 at $25.00
BCE.PR.Z FixedFloater 33,021  
RY.PR.F PerpetualDiscount 32,681 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.68 and a limitMaturity.
GWO.PR.I PerpetualDiscount 31,950 RBC crossed 25,000 at $25.00. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.87 and a limitMaturity.
CM.PR.J PerpetualDiscount 23,245 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.81 and a limitMaturity.

Kudos to TD, who crossed 50,000 CCS.PR.A, a Pfd-3 floater with the agonizing combination of fat coupon and current, long-standing, call. The volume-average is 324.5 shares per day. And, if truth be known, if it had sufficient credit quality & volume to index-included, it would be deemed a “PerpetualPremium” … the yield has a floor, which is now in operation [It pays 5.5%, NOT 90% of Canadian Prime.] and I refuse to call things floaters if they don’t actually float.

There were eleven other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

And that’s it for another month, quarter, and sixth full year of operation of MAPF.