Market Action

February 23, 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 4.11% 4.13% 25,807 17.16 1 +0.0797% 1,044.4
Fixed-Floater 4.82% 3.67% 82,206 8.11 7 -0.1619% 1,038.9
Floater 4.47% -21.65% 55,328 0.09 5 +0.2472% 1,050.2
Op. Retract 4.71% 2.20% 74,930 2.06 18 +0.1107% 1,031.6
Split-Share 5.09% 0.69% 243,722 2.79 14 -0.0904% 1,044.7
Interest Bearing 6.45% 4.20% 61,918 2.36 5 -0.0854% 1,041.7
Perpetual-Premium 5.03% 3.83% 215,324 4.99 51 +0.0169% 1,053.8
Perpetual-Discount 4.53% 4.55% 1,093,810 16.31 11 -0.0946% 1,059.9
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater +1.3303%  
Volume Highlights
Issue Index Volume Notes
CM.PR.G PerpetualPremium 55,655 Now with a pre-tax bid-YTW of 4.31% based on a bid of 26.80 and a call either 2011-5-31 at $25.75, or 2012-5-31 @ $25.50. Take your pick, it’s on the bubble and the yields are identical (well … to two decimal places, anyway).
CM.PR.D PerpetualPremium 51,800 Desjardins crossed 50,000 at $27.00. Now with a pre-tax bid-YTW of 3.15% based on a bid of $26.87 and a call 2008-5-30 at $26.00. This is the Commerce issue with the second-highest dividend (after CM.PR.C, which I consider a lock to be called in the summer)
BAM.PR.H OpRet 50,552 Scotia crossed 50,000 at $27.30. Who would buy at this level? The pre-tax bid-YTW is 2.54% based on a bid of $27.25 and a call 2008-10-30 at $25.75 … maybe, just maybe, it will make it to its soft maturity 2012-3-30 at $25.00, to have yielded 3.99%, but even then, the equivalency factor of 1.4 translates to a 5.60% interest-equivalent … OK, but is it really worth the risk? I’ve seen some dealer commentary to the effect that, sure, opRets are too expensive for individuals, but they’re fine for corporations that don’t pay tax on the dividends. Well, perhaps.
SLF.PR.E PerpetualDiscount 46,148 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.85 and a limitMaturity.
BMO.PR.J PerpetualDiscount 43,280 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.11 and either a call 2016-3-26 at $25.00, or a limitMaturity, take your pick.

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

Better Communication, Please!

BNA.PR.C Dividend Status Still Mysterious

I have not yet been able to determine the status of the “current” dividend.

As I intended yesterday, I attempted to make contact with the company today (via both eMail and telephone), but was unsuccessful.

The TSE and Bloomberg are both still not showing any trace of the dividend. Checking the TSE data, by the way, costs me a buck a throw, so I hope you guys are grateful!

I will continue checking.

BNA.PR.C had a busy day today, perhaps a little inventory clean-out, perhaps just happenstance. Last night’s close was 24.91-95, but it traded as low as $24.68. Not many changed hands at that price, but the market was thin! In the afternoon National sold two lots of 10,000 shares apiece to RBC, the first one at $24.90, the second at $24.80, which knocked the closing quote down to $24.68-85.

So the bid’s off $0.23 on the day! It’s certainly behaving as if it has just gone ex-dividend, anyway!

HIMI Preferred Indices

HIMIPref™ Indices : February 1998

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

HIMI Index Values 1998-02-27
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,588.4 0 0 0 0 0 0
FixedFloater 1,537.4 9 2.00 4.53% 15.7 312M 5.10%
Floater 1,495.7 5 1.80 4.73% 15.4 169M 5.13%
OpRet 1,318.9 31 1.22 4.45% 4.1 89M 6.01%
SplitShare 1,350.4 3 1.66 5.13% 7.3 202M 5.42%
Interest-Bearing 1,318.9 0 0 0 0 0 0
Perpetual-Premium 1,239.1 5 1.00 3.90% 1.6 120M 7.17%
Perpetual-Discount 1,197.9 1 1.00 5.29% 14.8 848M 5.33%

Index Constitution, 1998-02-27, Pre-rebalancing

Index Constitution, 1998-02-27, Post-rebalancing

Issue Comments

GWO.PR.E / GWO.PR.X : Issuer Bid Update

With the release of the Great-West Lifeco full year financials we can have a look at the progress of the issuer bid on their retractible preferreds – a bid which, I repeat ad nauseum, casts considerable doubt as to whether these issues will survive past their first redemption date.

GWO Retractible Shares Outstanding
Issue 4Q05 1Q06 2Q06 3Q06 4Q06
GWO.PR.E 7,978,900 7,978,900 7,978,900 7,978,900 7,978,900
GWO.PR.X 23,499,915 23,499,915 23,022,915 22,422,215 22,282,215

…which allows us to calculate the changes…

GWO Changes in Retractible Shares Outstanding
Issue 4Q05 1Q06 2Q06 3Q06 4Q06
GWO.PR.E N/A 0 0 0 0
GWO.PR.X N/A 0 -477,000 -600,700 -140,000

We can also look at some graphs of GWO.PR.X data over the past year:

These shares pay $1.20 p.a.; if we assume that the average “accrued dividend” was $0.15, then the average price Great-West actually paid ($27.39) can be reduced to $27.24 flat-bid-price equivalent – which I find surprisingly high, given that the FBP was well below this level from about May 15 to August 31, as shown on the FBP graph. This was the same period in which average volume declined from its high for the year of about 8,000 shares per day to about 4,000.

All that aside, it seems that GWO has shown a clear intention to get these shares off its books at the first opportunity – the only surprise is that they are willing to buy them at such a paltry YTW. Why not stick the money in something else and save it for the (extremely big!) redemption at $26.00?  

Update : I forgot the links to aid navigation! The issuer bid was last discussed January 25; it remains to be seen how the cash required for the Putnam Purchase will affect the buyback.

Programme Changes

HIMIPref™ Programming Change : Error Code #4644

In response to a complaint from an extremely annoying person (and you know who you are!), reporting has been enhanced for Error Code #4644.

This error arises when the user attempts to run a trade report for a portfolio that should include some actual value (which is to say, any portfolio that is not using the issueMethod with desiredSwapIssues set to zero; such a portfolio should have zero value, as its purpose in life is to form a grid of all trading possibilities in the HIMIPref™ universe, with no regard for other holdings).

The error message connected with code #4644 was, admittedly, a little obscure. The message has now been upgraded to specify the accountName, accountNumber and other information similar to that provided on the portfolioReportBox. It is anticipated that this detail will make it more clear to the user what is to be done; the new error code for this condition is #5419.

The error most often arises when the portfolio has been set up improperly, or if the holdings file has been inadverdantly wiped. The portfolio settings may be edited via the portfolioListReport, or the holdings file may be mainMenu|File|Holdings File|Synchronize With Transactions, which (alas) is not yet documented in the glossary or the User Manual. *sigh*

This programming change is not considered significant enough to warrant the upload of a new HIMIPref™ version; it will be available when the next version is uploaded.

Issue Comments

DBRS Confirms TCA.PR.X / TCA.PR.Y at Pfd-2(low)

DBRS today confirmed that TransCanada Pipeline’s preferred issues will remain rated Pfd-2(low), as foreshadowed when equity financing was announced.

The rating confirmations reflect the realization of TCPL’s intention as stated at the time of the proposal to finance the acquisitions with substantial amount of equity to maintain its current credit standing. The recent subscription receipt issuance of C$1.5 billion will result in TCPL’s key credit metrics being maintained at similar levels as at December 31, 2006. DBRS estimates consolidated debt-to-capital ratio of approximately 63% to 64% and cash flow debt ratio of 0.17 times on a pro-forma basis (DBRS adjusted). These credit ratios are based on TC Pipe being consolidated into TCPL as in the prior year. The equity issuance removes the previous concern of potential weakening of TCPL’s financial profile during the interim debt financing of the acquisitions at closing.

Market Action

February 22, 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 4.11% 4.13% 25,821 17.17 1 -0.0398% 1,043.6
Fixed-Floater 4.82% 3.75% 83,765 6.25 7 -0.1339% 1,040.6
Floater 4.48% -19.51% 55,890 3.36 5 -0.0621% 1,047.6
Op. Retract 4.71% 2.21% 75,053 2.06 18 -0.0521% 1,030.5
Split-Share 5.09% 0.56% 247,360 2.68 14 +0.0424% 1,045.6
Interest Bearing 6.45% 3.27% 61,399 2.36 5 +0.2939% 1,042.6
Perpetual-Premium 5.03% 3.89% 217,077 5.02 51 -0.0622% 1,053.6
Perpetual-Discount 4.53% 4.55% 1,110,515 16.32 11 -0.0140% 1,060.9
Major Price Changes
Issue Index Change Notes
CM.PR.P PerpetualPremium -1.1735% Now with a pre-tax bid-YTW of 4.07% based on a bid of $26.95 and a call 2012-11-28 at $25.00.
Volume Highlights
Issue Index Volume Notes
MFC.PR.C PerpetualDiscount 80,725 Scotia crossed 50,000 at 24.90. This issue went ex-dividend today. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.85 and a limitMaturity.
GWO.PR.F PerpetualPremium 53,285 TD crossed 47,800 at $28.10. This is the highest priced issue in the PerpetualPremium index and helps to justify a prejudice against premia by sporting a pre-tax bid-YTW of 1.84% based on a bid of $27.87 and a call 2008-10-30 at $26.00. Obviously, there are people who are prepared to slap their money down and bet on a call 2012-10-30 at $25, which will yield 3.84% (pre-tax) … but I’m not one of them! At an annual dividend of $1.475, there’s just too much chance GWO will refinance … but as I’ve said before, I’d be a lot happier if I knew exactly why CL.PR.B still exists!
CM.PR.J PerpetualDiscount 100,455 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity.
BAM.PR.K Floater 40,333 Scotia crossed 40,000 at $24.95.
GWO.PR.X Retractible 39,759 Desjardins crossed 13,000 at $27.55, Scotia crossed 25,000 at $27.57. This is one of the issues subject to the issuer bid, which may (MAY!) have been de-railed by Great-West’s Putnam Purchase. Now with a pre-tax bid-YTW of 2.59% based on a bid of $27.55 and a call 2009-10-30 at $26.00 … buyers are hoping for a softMaturity 2013-09-29 at $25.00, yielding 3.21%. The latter figure is the interest-equivalent for Ontario fat cats of a whopping 4.49%. I note that Great-West LIFE (which is GWL, the insurance company, not GWO, the parent, so this is not a precise comparison) has some 5.995% 12/31/12 Tier 1 paper outstanding, indicated at 49bp over Canadas, or about 4.53%, so I fail to see any great attraction in this (preferred) issue, which is one step further away from the actual cash coming in the door.

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

New Issues

New Issue : Dundee Wealth Management, Pfd-3, 4.75%

Dundee Wealth Management has announced (via CCN Matthews) that:

it has entered into a “bought deal” agreement to sell to a syndicate of underwriters led by Scotia Capital Inc. and Dundee Securities Corporation, 6,000,000 4.75% Cumulative Redeemable First Preference Shares, Series 1 (the “Series 1 Shares”) at a price of $25.00 per Series 1 Share for gross proceeds to Dundee Wealth of $150 million. The underwriters also have an over-allotment option, exercisable at any time prior to 30 days after the closing date, to acquire an additional 900,000 Series 1 Shares at the issue price of $25.00 per Series 1 Share. The offering is expected to close on or about March 13, 2007.

DBRS has rated this issue Pfd-3.

I am advised that this issue is a 10-year retractible – but I have not yet been advised in writing! This issue is of sufficient size to be added to the HIMIPref™ database. I will provide more details and analysis when it becomes available.

Update & Bump : I have received a term sheet.

Annual dividends are $1.1875 per share per annum. The first dividend is intended to be payable June 30, 2007 and be $0.35625, based on the anticipated closing date of March 13, 2007.

The redemption schedule is:

 
If called during the 12 months commencing March 13, Redemption Price
2007 27.25
2008 27.00
2009 26.75
2010 26.50
2011 26.25
2012 26.00
2013 25.75
2014 25.50
2015 25.25
Or any time after March 13, 2016 $25.00

Any redemption before March 13, 2012 is limited to circumstances where the Series 1 Shares are entitled to vote separately as a class or series by law.

The shares are retractible for cash at the option of the holder on and after March 13, 2017 at $25.00.

Another Update & Bump!

I have prepared the following table with some comparatives:

Dundee Wealth New Issue & Comparitives
Data DW.PR.? BAM.PR.J DC.PR.A
Price due to base-rate 24.63  26.51  25.17
Price due to short-term -0.55  -0.57  -0.53
Price due to long-term 1.71  1.77  1.64
Price to to Cumulative Dividends 0.00  0.00  0.00
Price due to SplitShareCorp 0.00  0.00  0.00
Price due to Retractibility 1.26  1.40  1.16
Price due to Liquidity 0.77  -0.11  0.03
Price due to Floating Rate 0.00  0.00  0.00
Price due to Credit Spread (2) 0.00  -0.33  0.00
Price due to Credit Spread (3) -0.94  0.00  -0.86
Price due to Credit Spread (High) 0.00  0.00  0.00
Price due to Credit Spread (Low) 0.00  -0.29  -0.24
Price due to error 0.02  0.04  0.07
Curve Price (Taxable Curve)  26.90  28.42  26.44
Quote 2/22  25.00
Issue
 27.82-86  25.55-70
YTW (after tax)  3.77%  3.34%  3.84%
YTW Date  2017-3-12  2014-4-30  2016-6-29
Credit Rating (DBRS)  Pfd-3  Pfd-2(low)  Pfd-3(low)
YTW (Pre-Tax) 4.75% 4.20% 4.83%
YTW Modified Duration (Pre-Tax) 7.98 5.98 7.40
YTW Pseudo-Convexity (Pre-Tax) 0.2 -11.9 0.2

Note that the BAM.PR.J has a soft-maturity 2018-3-30 at $25.00 to yield 3.35% – it’s right on the bubble, which is why the pseudoConvexityWorst is both large and negative.

This new issue looks attractive when valued in strict accordance to the yield curve. But as I warned in my post about the YPG New Issue:

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.

HIMI Preferred Indices

HIMIPref™ Indices : January 1998

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

HIMI Index Values 1998-01-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,584.6 0 0 0 0 0 0
FixedFloater 1,535.3 9 2.00 4.47% 15.8 280M 5.08%
Floater 1,492.1 5 1.80 4.35% 16.2 134M 4.73%
OpRet 1,316.3 30 1.26 4.31% 4.1 88M 6.08%
SplitShare 1,364.5 2 1.50 4.84% 4.9 60M 5.32%
Interest-Bearing 1,316.3 0 0 0 0 0 0
Perpetual-Premium 1,234.3 5 1.00 5.30% 1.7 133M 7.16%
Perpetual-Discount 1,192.8 0 0 0 0 0 0

Index Constitution, 1998-01-30, Pre-rebalancing

Index Constitution, 1998-01-30, Post-rebalancing

Better Communication, Please!

BNA.PR.C : First Dividend Still Unconfirmed

As previously noted, I’m having difficulties with this dividend! Dividend dates for this issue have been estimated as 2/26, 2/28, 3/7, even though the BNA.PR.A / BNA.PR.B dates are 2/20, 2/22, 3/7.

However, neither Bloomberg nor the TSX Data service are showing the BNA.PR.C dividend.

I don’t know what to do about this. The company has responded to my initial query about the dividend itself (which they say is the same as the other two) but not (as yet) to my follow-up, asking when the dividend on BNA.PR.C was declared. This is something of a  point (in terms of checking for possible administrative foul-ups) because BNA.PR.C did not exist when the other dividends were declared (December 4 or 5, take your pick).

I’ll try again tomorrow, February 23, to get some answers.

Until then (at least!), the dividend dates on HIMIPref™ will remain as 2/26, 2/28, 3/7, but it’s only a guess! Since HIMIPref™ will evaluate the issue on a cum-dividend basis, whereas it might be ex-dividend, I recommend that any HIMIPref™ valuation leading to a purchase of BNA.PR.C be ignored until this matter is cleared up.