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.

HIMI Preferred Indices

HIMIPref™ Indices : November, 1998

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

HIMI Index Values 1998-11-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,530.0 0 0 0 0 0 0
FixedFloater 1,585.6 9 2.00 4.97% 15.2 189M 5.13%
Floater 1,440.6 5 1.80 5.16% 14.5 43M 5.71%
OpRet 1,365.7 34 1.27 4.42% 3.6 79M 6.13%
SplitShare 1,365.2 6 1.49 5.43% 6.8 68M 5.53%
Interest-Bearing 1,365.7 0 0 0 0 0 0
Perpetual-Premium 1,229.9 8 1.37 5.21% 14.4 130M 6.52%
Perpetual-Discount 1,247.5 1 1.0 5.24% 14.8 1,148M 5.26%

Index Constitution, 1998-11-30, Pre-rebalancing

Index Constitution, 1998-11-30, Post-rebalancing

Market Action

March 29, 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 4.20% 4.02% 69,626 3.83 1 +0.1992% 1,052.5
Fixed-Floater 5.00% 3.91% 97,951 17.22 5 -0.2827% 1,036.6
Floater 4.72% -19.05% 77,179 0.51 3 -0.0524% 1,054.2
Op. Retract 4.71% 2.99% 85,619 2.16 17 -0.0569% 1,034.8
Split-Share 5.01% 3.13% 162,104 3.32 14 -0.1366% 1,052.6
Interest Bearing 6.52% 5.03% 64,879 2.32 5 +0.0890% 1,044.9
Perpetual-Premium 5.02% 3.55% 221,447 5.21 53 -0.0492% 1,059.8
Perpetual-Discount 4.53% 4.54% 774,284 15.38 10 +0.1090% 1,067.0
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.0000% On slightly below-average volume, but with a good-sized (for this issue!) bid at the close. Now with a pre-tax bid-YTW of 5.92% (as INTEREST) based on a bid of $10.00 and a hardMaturity 2015-3-31 at $10.00.
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 58,550  
MFC.PR.A OpRet 56,210 Now with a pre-tax bid-YTW of 3.31% based on a bid of $26.54 and a softMaturity 2015-12-18 at $25.00. Early calls don’t make a lot of difference to the yield on this thing (i.e., it’s expected to lose $1.54 over about 7.75 years ANYWAY, so a call premium that declines at $0.25 p.a. is not a huge change) but do make it hard to set duration … and place bets on interest-rate moves. 

Um … I didn’t mean “place bets”. I meant “act prudently in accordance with forecasts”.
BAM.PR.H OpRet 55,913 Desjardins crossed 50,000 at $27.03. Now with a pre-tax bid-YTW of 2.66% based on a bid of $26.91 and a call 2008-10-30 at $25.75. If it doesn’t make it to its softMaturity 2012-3-30 to yield 4.07%, there will be a very disappointed buyer!
SLF.PR.D PerpetualDiscount 29,338 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.81 and a limitMaturity.
BAM.PR.M PerpetualPremium 24,865 Now with a pre-tax bid-YTW of 4.75% based on a bid of $25.05 and either a call 2016-3-1 at $25.00, or a limitMaturity. Take your pick.

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

HIMI Preferred Indices

HIMIPref™ Indices : October, 1998

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

HIMI Index Values 1998-10-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,528.2 0 0 0 0 0 0
FixedFloater 1,565.0 9 2.00 5.13% 14.5 257M 5.17%
Floater 1,439.0 5 1.80 5.37% 14.2 57M 5.90%
OpRet 1,342.9 34 1.27 4.66% 3.6 89M 6.27%
SplitShare 1,345.3 6 1.49 5.54% 6.9 95M 5.61%
Interest-Bearing 1,342.9 0 0 0 0 0 0
Perpetual-Premium 1,216.9 6 1.16 5.26% 14.4 118M 6.53%
Perpetual-Discount 1,235.0 2 1.5 5.24% 14.5 1,414M 5.41%

Index Constitution, 1998-10-30, Pre-rebalancing

Index Constitution, 1998-10-30, Post-rebalancing

HIMIPref News

HIMIPref™ : Tweak of Server Settings

There are occasional problems with internet connections while the server is performing its calculations. These derive largely from the fact that the calculations are relatively lengthy and the client-side programme will not get a response from server-side for over five minutes.

This can particularly lead to “Gateway” problems when proxy-servers are involved in the client connection, as many gateways will drop a connection after five minutes by default.

I have adjusted some server settings that appear to have resolved a problem that may be related (perhaps by making the connection more sensitive?), using a suggestion from Denis Pitcher’s Blog. The problem was an error message received by HIMIPref™ from the .NET framework System.Net.WebException: The underlying connection was closed: An unexpected error occurred on a receive.

I have changed settings on the IIS administrator server-side: The “Connection time-out” has been changed from 900 seconds to 15; and HTTP keep-alives have been disabled. This matches settings I use when running the server-side locally, but have never before considered necessary when running remotely.

Should any change in behaviour be noted in the next few days, please let me know all the particulars.

Market Action

March 28, 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 4.20% 4.06% 72,492 3.83 1 +0.1740% 1,050.4
Fixed-Floater 4.98% 3.90% 97,086 14.51 5 +0.0635% 1,039.5
Floater 4.72% -19.29% 76,130 0.32 3 -0.0262% 1,054.7
Op. Retract 4.71% 2.95% 85,049 2.16 17 +0.0158% 1,035.4
Split-Share 5.00% 3.01% 165,343 3.32 14 -0.1296% 1,054.0
Interest Bearing 6.53% 4.75% 64,821 2.31 5 +0.2126% 1,044.0
Perpetual-Premium 5.01% 3.63% 223,986 5.37 53 +0.0625% 1,060.4
Perpetual-Discount 4.54% 4.55% 797,066 15.38 10 -0.1122% 1,065.8
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.4481% On ZERO volume! Hard to calculate the YTW on this issue … should one use the extant maturity of 2009-12-1 for a pre-tax bid-YTW of 2.90% … or should one assume that the the upcoming meeting will extend maturity to 2014-12-1 with no other changes, which will increase YTW to 4.41%? It makes quite a difference! As does, incidentally, not making the proper allowance for monthly dividends using Kieth Betty’s on-line calculator, so watch it!
POW.PR.D PerpetualPremium +1.0840% On volume of 10,235, about average for this issue. Now with a pre-tax bid-YTW of 4.30% based on a bid of 26.11 and a call 2014-11-30 at 25.00
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 497,745 Nesbitt crossed 400,000 at 25.50, then RBC crossed 90,800 at 25.40.
BCE.PR.A FixedFloater 305,345 Nesbitt crossed 300,000 at 25.30.
MFC.PR.A OpRet 143,245 Desjardins crossed 30,000 at 26.55, Scotia crossed 25,000 at 26.55. Now with a pre-tax bid-YTW of 3.31% based on a bid of 26.54 and a softMaturity 2015-12-18. The price is such that early calls don’t (much) affect yields (relatively speaking!). Bond-equivalent of 4.63% at the Ontario Fat-Cat Factor of 1.4x. Better than bonds … but at least you know when a bond will mature!
SLF.PR.D PerpetualDiscount 91,355 Now with a pre-tax bid-YTW of 4.49% based on a bid of 24.81 and a limitMaturity.
TD.PR.M OpRet 51,420 Desjardins crossed 49,100 at 27.26. Now with a pre-tax bid-YTW of 2.58% based on a bid of 27.25 and a call 2009-5-30 at 26.00 … will be 3.31% if it makes it to the softMaturity 2013-10-30. Somebody’s willing to take that bet. I’ll pass.

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