There’s a story about preferreds in the Mid-February 2007 Investment Executive, titled A new belle at the investment ball?
I was quoted a bit.
February 20, 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 | 4.09% | 4.10% | 27,210 | 17.22 | 1 | +0.0398% | 1,044.9 |
| Fixed-Floater | 4.80% | 3.54% | 86,257 | 8.17 | 7 | -0.2344% | 1,044.0 |
| Floater | 4.48% | -20.31% | 55,682 | 3.35 | 5 | -0.0219% | 1,047.6 |
| Op. Retract | 4.70% | 2.15% | 74,116 | 2.06 | 18 | -0.0035% | 1,031.9 |
| Split-Share | 5.09% | 0.42% | 257,600 | 2.69 | 14 | +0.0871% | 1,045.8 |
| Interest Bearing | 6.47% | 3.29% | 59,424 | 2.35 | 5 | -0.0189% | 1,039.0 |
| Perpetual-Premium | 5.03% | 3.75% | 221,519 | 4.90 | 51 | +0.1008% | 1,054.6 |
| Perpetual-Discount | 4.53% | 4.55% | 1,142,956 | 15.49 | 11 | +0.0914% | 1,060.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BNA.PR.A | SplitShare | +1.4853% | Well … the issue did, after all, go ex-dividend today … but the price didn’t budge. So the pre-tax bid-YTW went from -4.59% yesterday to -21.46% today, based on a bid of $26.30 and a call 2007-3-22 at $25.75. But who knows? Maybe the issue will survive until its hardMaturity 2010-09-30 at $25.00 to have yielded 4.62% … but why BAM Split would allow an issue paying $1.56 to remain outstanding (OK, so they save $0.25 p.a. on that with the declining call premium. It’s still a lot!) when they’ve just proved they can issue with a $1.0875 pay-out is beyond me. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.A | PerpetualDiscount | 172,835 | Now with a pre-tax bid-YTW of 4.30% based on a bid of $25.60 and a call 2014-4-30 at $25.00 |
| CM.PR.I | PerpetualPremium | 165,024 | Nesbitt crossed 156,300 at 25.50. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.41 and a call 2016-3-1 at $25.00 |
| CM.PR.H | PerpetualPremium | 130,975 | Now with a pre-tax bid-YTW of 4.23% based on a bid of $25.99 and a call 2014-4-29 at $25.00 |
| WN.PR.B | OpRet | 80,065 | Desjardins crossed 79,300 at $25.95. Now with a pre-tax bid-YTW of 3.88% based on a bid of $25.90 and softMaturity 2009-6-30 at $25.00. |
| CM.PR.J | PerpetualDiscount | 71,905 | Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity |
There were twenty other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
HIMIPref™ Indices : November, 1997
All indices were assigned a value of 1000.0 as of December 31, 1993.
| HIMI Index Values 1997-11-28 | |||||||
| Index | Closing Value (Total Return) | Issues | Mean Credit Quality | Median YTW | Median DTW | Median Daily Trading | Mean Current Yield |
| Ratchet | 1,568.9 | 0 | 0 | 0 | 0 | 0 | 0 |
| FixedFloater | 1,542.6 | 8 | 2.00 | 3.69% | 16.9 | 548M | 5.10% |
| Floater | 1,477.3 | 5 | 1.80 | 3.97% | 16.9 | 129M | 4.35% |
| OpRet | 1,327.8 | 33 | 1.27 | 3.98% | 4.3 | 98M | 6.06% |
| SplitShare | 1,361.6 | 2 | 1.50 | 4.76% | 5.0 | 79M | 5.30% |
| Interest-Bearing | 1,327.8 | 0 | 0 | 0 | 0 | 0 | 0 |
| Perpetual-Premium | 1,233.7 | 5 | 1.00 | 2.54% | 1.8 | 104M | 7.54% |
| Perpetual-Discount | 1,177.9 | 0 | 0 | 0 | 0 | 0 | 0 |
ABK.PR.C Declares Dividends
In a press release today, it was announced that:
The Board of Directors of AllBanc Split Corp. (the “Company”) has today declared a capital gains dividend of $0.76 per Class A Preferred Share and a capital gains dividend of $0.66 per Class A Capital Share, payable on March 9, 2007 to holders of record at the close of business on March 8, 2007.
The dividends previously estimated have been adjusted on HIMIPref™ to reflect the announcement.
BNA.PR.A / BNA.PR.B Dividends Confirmed; BNA.PR.C unconfirmed
According to both Bloomberg & the TSX, dividends for BNA.PR.A and BNA.PR.B have been declared and both these issues are ex-Dividend today, February 20. According to Bloomberg, the declaration date was 12/5; the TSX shows the declaration date as 12/4.
The HIMIPref™ data changes previously announced have been reversed for these two issues.
BNA.PR.C is a little trickier; the prospectus states that the expected record date for the first dividend will be 2/22, which implies an ex-dividend date of today; but neither Bloomberg nor the TSX are showing it.
I have sent an inquiry to the company.
February 19, 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 | 4.08% | 4.10% | 28,327 | 17.23 | 1 | -0.3175% | 1,044.4 |
| Fixed-Floater | 4.79% | 3.36% | 86,996 | 6.36 | 7 | +0.3377% | 1,046.5 |
| Floater | 4.48% | -21.55% | 55,437 | 6.59 | 5 | -0.2655% | 1,047.8 |
| Op. Retract | 4.70% | 2.37% | 75,401 | 2.07 | 18 | +0.0357% | 1,032.0 |
| Split-Share | 5.09% | 1.28% | 260,867 | 2.63 | 14 | +0.0197% | 1,044.9 |
| Interest Bearing | 6.47% | 3.95% | 59,409 | 2.36 | 5 | +0.3539% | 1,039.2 |
| Perpetual-Premium | 5.03% | 3.90% | 222,165 | 4.91 | 51 | +0.0438% | 1,053.6 |
| Perpetual-Discount | 4.53% | 4.55% | 1,159,789 | 16.30 | 11 | +0.0479% | 1,059.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| SXT.PR.A | SplitShare | +1.1623% | I don’t get it. How about a word from the sponsor? “The special annual retraction date occurs on March 15th of each year. … The Company may redeem Preferred Shares on any annual retraction date at a price per share equal to $25.00 to the extent that Capital Shares are retracted under a special annual retraction.” I’ve brought this up before, but no one pays attention. Now with a pre-tax bid-YTW of -16.14% (NEGATIVE 16.14%) based on a bid of $26.11 and a call 2007-4-14 at $25.00. It will be most interesting to learn the percentage retraction this time ’round. |
| BSD.PR.A | InterestBearing | +1.6000% | This one makes more sense. Now with a pre-tax bid-YTW of 5.97% (as interest) based on a bid of $10.16 and a hardMaturity 2015-3-31 at $10.00 |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.D | PerpetualDiscount | 56,437 | Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.65 and a limitMaturity. |
| AL.PR.E | Floater | 51,125 | TD crossed 44,300 at $26.50. |
| CM.PR.J | PerpetualDiscount | 50,430 | Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.90 and a limitMaturity. |
| BNS.PR.L | PerpetualPremium | 36,100 | Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.10 and either a call 2016-5-27 at $25.00, or a limitMaturity. Take your pick. |
| SLF.PR.E | PerpetualDiscount | 23,900 | Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.76 and a limitMaturity. |
There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
New Issue : YPG Holdings 4.25% 6-Year Retractible
Yellow Pages Income Fund (the “Fund”) (TSX:YLO.UN) announced today that its subsidiary, YPG Holdings Inc. (the “Issuer”), will be issuing 12,000,000 cumulative redeemable preferred shares, series 1 (the “Series 1 Shares”) for aggregate gross proceeds of $300 million on a bought deal basis to a syndicate of underwriters led by Scotia Capital Inc., CIBC World Markets Inc., RBC Capital Markets and BMO Capital Markets, acting as joint book-runners.
The issue price is $25.00 and the dividend is 4.25% p.a., payable quarterly. Issue size is 12-million shares ($300-million) and the underwriters have the option until March 31 to purchase an additionaly 1.8-million shares ($45-million).
The initial dividend will be $0.32894, payable June 27 based on a closing date of March 6, 2007.
There are call privileges on the issue, which are exercisable only in circumstances in which the Series 1 shares are entitled to vote separately as a class or series by law. This “special call privilege” has the following schedule:
| Special Call, if redeemed during the 12 months | |
| Commencing March 31, | Redemption Price |
| 2007 | $26.25 |
| 2008 | 26.00 |
| 2009 | 25.75 |
| 2010 | 25.50 |
| 2011 | 25.25 |
There is a normal call, exercisable on and after March 31, 2012 at the corporation’s whim, to call at $25.00 cash.
The corporation can force conversion in to Trust Units of Yellow Pages Income Fund at the greater of (i) $2, or (ii) 95% of the Trust Units’ trading price at any time at which it could redeem the shares (including the special call).
The shares are retractible to cash on and after Dec 31, 2012 at $25.00.
This issue has ratings (provisional, presumably) of :
| DBRS | Pfd-3(high) |
| S&P | P-3 |
More later.
Update & Bump: The issue has been entered into the HIMIPref™ database on a preIssue basis, with the securityCode P50011.
There aren’t too many comparables for this issue, but I’ll do what I can!
| Curve Price & Comparables for YPG.PR.? | ||||
| Item | YPG.PR.? | BNA.PR.C | BAM.PR.J | CFS.PR.A |
| Price due to base-rate | 24.15 | 24.00 | 26.57 | 9.89 |
| Price due to short-term | -0.51 | -0.61 | -0.65 | -0.19 |
| Price due to long-term | 1.40 | 1.67 | 1.78 | 0.52 |
| Price to to Cumulative Dividends | 0.00 | 0.00 | 0.00 | 0.00 |
| Price due to SplitShareCorp | 0.00 | -1.19 | 0.00 | -0.22 |
| Price due to Retractibility | 0.84 | 1.52 | 1.52 | 0.29 |
| Price due to Liquidity | 0.46 | 0.85 | -0.09 | 0.16 |
| Price due to Credit Spread (2) | 0.00 | -0.39 | -0.39 | 0.00 |
| Price due to Credit Spread (3) | -0.60 | 0.00 | 0.00 | 0.00 |
| Price due to Credit Spread (High) | 0.00 | 0.00 | 0.00 | 0.00 |
| Price due to Credit Spread (Low) | 0.00 | 0.00 | -0.29 | 0.00 |
| Price due to error | 0.02 | 0.09 | 0.05 | 0.01 |
| Curve Price (Taxable Curve) | $25.76 | $25.94 | $28.50 | $10.46 |
| DBRS Credit Rating | Pfd-3(high) | Pfd-2 | Pfd-2(low) | Pfd-1 |
| Quote, 2/19 | $25.00 (Issue Price) | 24.91-95 | 27.86-97 | $10.20-23 |
| YTW (After Tax) | 3.36% | 3.54% | 3.32% | 3.07% |
| Modified Duration (YTW – after tax) | 5.27 | 9.61 | 6.16 | 5.40 |
| Pseudo-Convexity (YTW – after tax) | 0.38 | 0.42 | -12.44 | 0.47 |
| YTW (Pre-tax) | 4.24% | 4.46% | 4.17% | 3.86% |
Update 2007-02-20 : I note that the YPG bonds, 5.25% of Feb. 2016 are indicated at Canada 4.5/15 + 143bp, call it 5.51% at last night’s close. So, at a pre-tax YTW of 4.24%, interest equivalent (for rich Ontario residents) to 5.94%, the new prefs are trading at a reasonable spread to bonds.
Mind you, these are only Pfd-3(high). As credit quality decreases, so does the quality of HIMIPref™’s yield curve analysis. I do not recommend that these prefs be considered for more than 5% of a diversified preferred share portfolio.
BNA.PR.A / BNA.PR.B / BNA.PR.C Dividend Estimate
As previously noted, there seems to be a little difficulty this quarter getting dividend information from BAM Split Corp. No data is available from press releases, their website, or TSX data services.
Accordingly, dividend dates for these issues have been re-estimated as being 2/26, 2/28 and 3/7.
The following table shows the last eight dividends for BNA.PR.A
| Recent Dividends, BNA.PR.A | |||
| Ex-Date | Record Date | Pay Date | Amount |
| 2005-02-18 | 2005-02-22 | 2005-03-07 | 0.390625 |
| 2005-05-18 | 2005-05-20 | 2005-06-07 | 0.390625 |
| 2005-08-18 | 2005-08-22 | 2005-09-07 | 0.390625 |
| 2005-11-18 | 2005-11-22 | 2005-12-07 | 0.390625 |
| 2006-02-20 | 2006-02-22 | 2006-03-07 | 0.390625 |
| 2006-05-19 | 2006-05-24 | 2006-06-07 | 0.390625 |
| 2006-08-18 | 2006-08-22 | 2006-09-07 | 0.390625 |
| 2006-11-20 | 2006-11-22 | 2006-12-07 | 0.390625 |
HIMIPref Indices : October, 1997
All indices were assigned a value of 1000.0 as of December 31, 1993.
| HIMI Index Values 1997-10-31 | |||||||
| Index | Closing Value (Total Return) | Issues | Mean Credit Quality | Median YTW | Median DTW | Median Daily Trading | Mean Current Yield |
| Ratchet | 1,547.7 | 0 | 0 | 0 | 0 | 0 | 0 |
| FixedFloater | 1,551.5 | 6 | 2.00 | 3.45% | 17.4 | 272M | 5.10% |
| Floater | 1,457.3 | 5 | 1.80 | 3.84% | 17.2 | 127M | 4.20% |
| OpRet | 1,324.6 | 31 | 1.25 | 3.76% | 4.3 | 113M | 6.04% |
| SplitShare | 1,356.0 | 2 | 1.50 | 4.82% | 5.1 | 87M | 5.32% |
| Interest-Bearing | 1,324.6 | 0 | 0 | 0 | 0 | 0 | 0 |
| Perpetual-Premium | 1,233.6 | 4 | 1.00 | 1.94% | 1.80 | 106M | 7.95% |
| Perpetual-Discount | 1,177.8 | 0 | 0 | 0 | 0 | 0 | 0 |
February 16, 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 | 4.06% | 4.08% | 29,489 | 17.29 | 1 | 0.3584% | 1,047.8 |
| Fixed-Floater | 4.81% | 3.59% | 88,954 | 6.38 | 7 | +0.0129% | 1,042.9 |
| Floater | 4.47% | -23.24% | 55,666 | 3.33 | 5 | -0.0622% | 1,050.6 |
| Op. Retract | 4.70% | 2.28% | 75,887 | 2.07 | 18 | +0.0615% | 1,031.6 |
| Split-Share | 5.09% | 1.78% | 267,398 | 2.64 | 14 | -0.0028% | 1,044.6 |
| Interest Bearing | 6.49% | 3.58% | 59,106 | 2.35 | 5 | -0.1837% | 1,035.5 |
| Perpetual-Premium | 5.03% | 3.70% | 225,523 | 5.11 | 51 | +0.0090% | 1,053.1 |
| Perpetual-Discount | 4.52% | 4.56% | 1,178,685 | 16.27 | 11 | +0.0621% | 1,059.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ACO.PR.A | OpRet | +1.4177% | Traded as high as $28.40 today and closed at 27.90-06, 3×10. The buyers are obviously sanguine about the potential for a redemption at $26.00, 2008-12-31, which results in the YTW scenario yielding 1.45% pre-tax … they seem to be hoping for the softMaturity 2011-11-30, which will yield 3.09%. Of course, that’s still only the equivalent of a bond paying 4.33% for rich Ontario investors, but that doesn’t seem to matter much! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BMO.PR.J | PerpetualDiscount | 227,100 | Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.05 and a limitMaturity. |
| CM.PR.H | PerpetualPremium | 167,740 | Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.05 and a call 2014-4-29 at $25.00. |
| CM.PR.J | PerpetualDiscount | 166,075 | Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity. |
| PWF.PR.I | PerpetualPremium | 30,750 | Desjardins bought 12,700 from National Bank in 7 tranches at $26.77 commencing 11:40am, and crossed 10,000 at the same price. It seems awfully brave – the pre-tax bid-YTW is 3.53% based on a bid of $26.80 and a call 2008-5-30 at $26.00. They would appear to be hoping for the call 2012-5-30 at $25.00, which will result in a much more attractive yield of 4.54%. I’d prefer to do that without quite so much risk, though! |
| BNS.PR.L | PerpetualPremium | 28,115 | Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of 25.07 and a limitMaturity. |
There were eight other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.