What can I say about this issue that I haven’t already said? The issue still hasn’t traded, despite BCE’s eagerness to get some when-issued trading started … but there will be more than 6-million shares out come November 1, so things should pick up a little!
The HIMIPref™ security code for this issue is A39013. It has also been added to prefInfo.
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.12% | 4.04% | 44,328 | 10.65 | 2 | -0.0796% | 1,019.1 |
| Fixed-Floater | 4.96% | 3.14% | 166,010 | 8.76 | 7 | 0.1406% | 1,026.8 |
| Floater | 4.53% | -14.40% | 76,237 | 6.49 | 5 | -0.1646% | 1,019.1 |
| Op. Retract | 4.68% | 2.05% | 87,212 | 2.39 | 17 | -0.0205% | 1,018.8 |
| Split-Share | 4.94% | 3.78% | 160,188 | 3.27 | 11 | -0.0705% | 1,022.1 |
| Interest Bearing | 6.89% | 5.15% | 56,533 | 2.00 | 7 | -0.0015% | 1,022.7 |
| Perpetual-Premium | 5.09% | 3.94% | 212,455 | 4.27 | 47 | 0.0236% | 1,036.7 |
| Perpetual-Discount | 4.58% | 4.60% | 521,501 | 16.21 | 7 | 0.1488% | 1,037.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | -1.0172% | After yesterday’s huge gain, not entirely unexpected. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.G | PerpetualPremium | 601,400 | An active day! Scotia bought 200,000 from RBC, then RBC crossed 200,000, then Scotia crossed 100,000, then Scotia bought two lots of 50,000 each from RBC. All these trades were done at $26.95. An interesting issue – YTW is 4.17% based on a closing bid of $26.89 and call at $26.00 on 2010-5-31 … but it only increases to 4.25% if it survives until its $25.00 call 2014-5-31. Pays $1.35. |
| POW.PR.D | PerpetualPremium | 404,275 | Lots of blocks in the 50,000 share range at $25.70, with RBC and Desjardins in the thick of things. Another entirely reasonable issue, with a Pre-Tax YTW of 4.65% based on a call 2014-11-30. Pays $1.25, issued almost exactly a year ago. |
| GWO.PR.G | PerpetualPremium | 109,035 | RBC crossed 100,000 @ 26.70. Yields less than the above two active traders, 4.17% based on a call at $25.25 on 2013-1-30 and a closing bid of $26.72. |
| RY.PR.W | PerpetualPremium | 70,488 | Pre-tax YTW of 4.13% based on a closing bid of $26.15 and a call at $25.00 on 2014-3-26. It went ex-dividend today. |
| MFC.PR.C | PerpetualDiscount | 60,350 | |
There were nineteen other index-included issues trading over 10,000 shares today.
All indices were assigned a value of 1000.0 as of December 31, 1993.
| HIMI Index Values 1994-7-29 | |||||||
| Index | Closing Value (Total Return) | Issues | Mean Credit Quality | Median YTW | Median DTW | Median Daily Trading | Mean Current Yield |
| Ratchet | 1,058.3 | 0 | 0 | 0 | 0 | 0 | 0 |
| FixedFloater | 1,058.3 | 0 | 0 | 0 | 0 | 0 | 0 |
| Floater | 998.7 | 5 | 1.36 | 6.26% | 13.6 | 63M | 7.10% |
| OpRet | 946.0 | 18 | 1.32 | 7.22% | 5.5 | 102M | 7.56% |
| SplitShare | 946.0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Interest-Bearing | 946.0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Perpetual-Premium | 969.6 | 6 | 1.16 | 7.37% | 4.2 | 80M | 8.52% |
| Perpetual-Discount | 986.0 | 1 | 1.00 | 7.50% | 12.0 | 65M | 7.48% |
I mention credit ratings a lot on this blog … you have to when writing anything about fixed income! For those in need , I wrote an introductory article:
Look for the Research Link!
Brookfield has announced the results of the BAM.PR.E (Series 8 ) / BAM.PR.G (Series 9 ) conversion privilege, last discussed in this blog here.
Holders of 272,614 Series 8 Preferred Shares have elected to convert these shares into an equivalent number of Series 9 Preferred Shares, and holders of 1,028,770 Series 9 Preferred Shares have elected to convert these shares into an equivalent number of Series 8 Preferred Shares.
These conversions will be effective on November 1, 2006. Following these conversions, there will be 1,805,948 Series 8 Preferred Shares and 6,194,052 Series 9 Preferred Shares issued and outstanding.
So the Series 9, the fixed-reset issue paying 4.35% commencing with the Feb. 1, 2007, payment, will be much more liquid than the ratchet-floaters … on the other hand, there will be more of the ratchets than there were before, so perhaps they’ll make it into the HIMI Index!
Nortel has announced the dividend rate payable for the next five years on the Series 6 shares to which holders of Series 5 shares (NTL.PR.F) are entitled to convert. If they do not convert (or should conversion be cancelled due to insufficient orders), holders will retain their NTL.PR.F shares under the existing terms and conditions.
Nortel Networks Limited announced that the fixed dividend rate for its Cumulative Redeemable Class A Preferred Shares Series 6 will be equal to 80% of the yield on five-year non-callable Government of Canada bonds to be determined on November 10, 2006.
Pretty skimpy! Especially for an issue rated Pfd-5(low) by DBRS! I rather suspect that there will be no conversions.
| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.12% | 4.04% | 44,080 | 10.66 | 2 | 0.0000% | 1,019.9 |
| Fixed-Floater | 4.97% | 3.95% | 169,309 | 8.89 | 7 | -0.0387% | 1,025.4 |
| Floater | 4.53% | -15.87% | 75,475 | 6.50 | 5 | 0.2737% | 1,020.8 |
| Op. Retract | 4.67% | 1.84% | 86,195 | 2.39 | 17 | 0.0329% | 1,019.0 |
| Split-Share | 4.93% | 3.73% | 160,544 | 3.28 | 11 | 0.0472% | 1,022.8 |
| Interest Bearing | 6.89% | 5.02% | 56,033 | 2.00 | 7 | 0.0450% | 1,022.7 |
| Perpetual-Premium | 5.08% | 3.94% | 212,471 | 4.30 | 47 | 0.0305% | 1,036.4 |
| Perpetual-Discount | 4.58% | 4.61% | 527,274 | 16.18 | 7 | -0.0631% | 1,035.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | +1.4657% | Went ex-dividend today (see Company Website, but not only did nobody notice (it closed at 25.56-80 today, compared to 25.44-55 yesterday), but it closed at $26.00 (!) pumped up by an anonymous buy of 2,000 shares at 12:57pm that sailed through several offers … six of them, in fact, ranging from 25.70 to 26.00. Ouch. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| WN.PR.B | OpRet | 100,368 | Desjardins opened the day’s trading with a cross of 75,000 at $26.60, and closed it with a cross of 25,000 at the same price. Niggardly pre-tax YTW of 2.93% (mind you, reasonable for an operating retractible) based on a call 2009-6-30, one day ahead of retraction. |
| GWO.PR.H | PerpetualPremium | 59,400 | Scotia crossed 58,000 @ 25.50. Not a bad issue, pre-tax YTW 4.68% based on a bid of $25.41 and a call 2014-10-30 at $25.00 |
| NA.PR.L | PerpetualPremium | 44,100 | Scotia crossed 42,800 @ 25.70. What buyer were they acting for? I want to sell them a really good bridge I happen to have won in a lottery! This thing pays $1.2125 and has a pre-tax YTW of 4.42% based on a bid of $25.66 and a call at $25.00 on 2014-6-14. Rated Pfd-1(low) by DBRS. Given the coupon, downside protection on interest rate moves is minimal. |
| CM.PR.H | PerpetualPremium | 43,250 | Desjardins crossed 23,400 @ 25.65, then another 15,000 at the same price. Another mystery … this has a pre-tax YTW of 4.41%, based on a closing bid of $25.65 and a call at $25.00 2014-4-29. |
| RY.PR.B | PerpetualPremium | 38,648 | The volume – and the price drop, it returned -0.3497% on the day – may have been due to players making room for the new issue. Why not, provided you can trade cheaply? RY.PR.B has a pre-tax YTW of 4.54% based on a closing bid of $25.65 and a call 2015-9-23 at $25.00 … which still makes it better yielding than some of those with higher volume today! This goes ex-dividend tomorrow, Tuesday, October 24, A.D. 2006, so be careful! |
There were twenty-five other index-included issues trading over 10,000 shares today.
BCE has announced that, of the 8-million BCE.PR.S shares currently outstanding, 5,918,209 will be converted to BCE.PR.T on November 1.
BCE.PR.T has commenced trading on the TSX today, quoted at $24.75-25, 5×5, zero volume. This issue will be added to the HIMIPref™ database shortly. As previously noted, the BCE.PR.T will pay $1.1255 per $25 p.v. share. There is an offer for both issues that is conditional upon the BCE / Bell Canada Income Trust Conversion proceeding.
All indices were assigned a value of 1000.0 as of December 31, 1993.
| HIMI Index Values 1994-6-30 | |||||||
| Index | Closing Value (Total Return) | Issues | Mean Credit Quality | Median YTW | Median DTW | Median Daily Trading | Mean Current Yield |
| Ratchet | 1,062.8 | 0 | 0 | 0 | 0 | 0 | 0 |
| FixedFloater | 1,062.8 | 0 | 0 | 0 | 0 | 0 | 0 |
| Floater | 1,002.9 | 6 | 1.47 | 6.54% | 13.1 | 95M | 7.21% |
| OpRet | 943.2 | 18 | 1.32 | 7.31% | 5.4 | 134M | 7.52% |
| SplitShare | 943.2 | 0 | 0 | 0 | 0 | 0 | 0 |
| Interest-Bearing | 943.2 | 0 | 0 | 0 | 0 | 0 | 0 |
| Perpetual-Premium | 970.0 | 6 | 1.16 | 7.21% | 4.2 | 69M | 8.49% |
| Perpetual-Discount | 973.3 | 1 | 0 | 0 | 0 | 0 | 0 |
Royal Bank has announced a new issue of perpetual preferred shares, Series AC. The issue size is smaller than their previous issues, only 8 million shares ($200-million p.v.)
Pays $1.15 p.a., quarterly. Initial dividend (if declared) $0.362329 payable Feb 24, 2007, based on a closing date of Nov 1, 2006.
Redemption Schedule is:
DBRS rates Royal preferreds as Pfd-1. The information I have indicates this issue is rated Pfd-1(low), but I suspect that this is a misprint – especially since there is at least one other obvious misprint in the term sheet I have.
I will calculate a preliminary valuation of these shares later today.
Update : The new issue (in the table as RY.PR.?) looks quite reasonable:
| Curve Price Components (Taxable Curve) | |||
| Issue | RY.PR.A | RY.PR.B | RY.PR.? |
| Dividend | $1.1125 | $1.1750 | $1.1500 |
| Price due to base-rate | 23.01 | 23.90 | 23.39 |
| Price due to short-term | 0.09 | 0.09 | 0.09 |
| Price due to long-term | 0.54 | 0.56 | 0.52 |
| Price due to error | -0.03 | -0.03 | 0 |
| Intrinsic Value | 23.61 | 24.52 | 24.00 |
| Liquidity | 1.45 | 1.51 | ~1.45 |
| Total Value (rounding) | 25.06 | 26.02 | 25.45 |