Issue Comments

ENB.PR.D to be Redeemed

Well, it’s not exactly the biggest surprise in the world … Enbridge announced today (via CCN Matthews) that:

Enbridge Inc. (TSX:ENB)(NYSE:ENB) announced today its intention to redeem all 8,000,000 of its outstanding 7.80% preferred securities, at a price of $25.00 each plus accrued interest of $0.2458 per security, for the period following the previously announced December 31, 2006 interest payment date. The redemption date is February 15, 2007, for all of the 7.80% preferred securities, originally issued in February 2002.

So there goes another one of the lovely high-coupon preferred securities!

 

Market Action

December 15, 2006

 

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 4.20% 4.22% 33,370 17.01 1 -0.0404% 1,020.7
Fixed-Floater 4.79% 3.81% 100,905 8.38 7 +0.1629% 1,033.1
Floater 4.46% -25.29% 63,178 3.47 5 +0.6029% 1,044.9
Op. Retract 4.64% 0.86% 82,781 2.19 17 +0.0569% 1,032.2
Split-Share 5.10% 2.27% 138,530 2.72 8 +0.4143% 1,045.0
Interest Bearing 6.95% 5.09% 79,009 2.35 7 +0.2087% 1,027.6
Perpetual-Premium 5.00% 3.71% 291,647 4.30 52 +0.1269% 1,052.3
Perpetual-Discount 4.55% 4.50% 928,803 11.74 6 +0.1675% 1,056.0

 

Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare +1.2903% Now with a pre-tax bid-YTW of 3.75% based on a bid of $10.99 and a hardMaturity 2013-11-29 at $10.00. It is interesting to compare this with the FBS.PR.B new issue, which finished its opening data at 10.38-bid for a pre-tax YTW of 1.21% based on a call 2008-1-14 at $10.00, or 3.93% if it lasts until its hardMaturity 2011-12-15 at $10.00.
TOC.PR.B Floater +1.8010% What makes this large gain even more odd than it is already, is that it is based on a closing price of $26.00-bid. Global crossed 80,900 for cash at $26.56, then the same number for regular settlement at $26.29.
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 2,347,825 New issue closed today. Volume was about one-sixth of the issue size!
GWO.PR.F PerpetualPremium 305,245 This has been a heavy trader recently. Desjardins crossed 89,600 at 28.15, then after a few hours, crossed 85,400 at the same price
BC.PR.B FixedFloater 212,900 Scotia crossed 100,000 at 25.40, then Nesbitt crossed 112,000 at the same price.
TOC.PR.B Floater 166,500 See the “performance” table, above.
RY.PR.D PerpetualPremium 68,240 Recent new issue.

There were fourteen other index-included issues with over 10,000 shares traded today.

Market Action

Strange Stability in Credit Spreads

I’m not too sure what to make of this.

As readers of the glossary know:

The values of all three of these parameters has been oddly stable since early October – I have uploaded graphs for the taxable curve and for the non-taxable curve.

Frankly, I’m not too sure what the implications of such stability are, but I’m pointing it out as an interesting feature of the current market.

Data Changes

FBS.PR.B Closes; FBS.PR.A Redeemed

5Banc Split Inc. has announced (via CCN Matthews) that its new issue of preferreds, FBS.PR.B, has closed.

14-million shares priced at $10.00 were sold, compared to the initial issue 3.25-million of the old shares, FBS.PR.A, the last of which have been redeemed at $25.00. That’s a nice increase of 72% in initial issue size, so I will speculate that TD Bank, the sponsor, is happy!

The new securityCode for FBS.PR.B is A29001, which replaces the preIssue code of P50008. A reorgDataRecord has been added to the HIMIPref™ database.

A reorg entry has also been put through to reflect the redemption of FBS.PR.A (securityCode A29000) and the instrumentDataRecord changed to reflect the delisting.

More, later. Probably much later, as I don’t think I will be able to update the prices tonight and will have to leave it ’till later in the weekend.

New Issues

Sentry Select 40 Split Income Trust : New issue of preferred securities

Sentry Select has just filed a prospectus for a new fund with some interesting twists.

The fund is based on Income Trusts and will turn into an open-ended mutual fund in two years. The preferred securities are non-callable and will mature in two years – or, to be precise, December 1, 2008 – from the expected closing date of January 5, 2007 … which is just in time to mop up some RRSP money!

The prefs will pay 5.25% and are provisionally rated Pfd-2(low) by DBRS. There will be no distribution to the capital units if this would leave the prefs with asset coverage of less than 1.5:1.

Not the worst issue I’ve ever seen in my life, but 5.25% sounds pretty skimpy compared with what’s already out there – see the current ‘Interest Bearing’ Index for comparisons. Trouble is, of course, there just plain ain’t that many preferred securities around any more, and somebody who wants to buy a hatful … through a full-service brokerage and paying commissions through the nose … might well be pleased to get a big fill.

Due to the short term-to-maturity on these things, I will not be adding them to the HIMIPref™ database – unless forced to do so by outraged hue-and-cry!

Market Action

December 14, 2006

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 4.21% 4.23% 34,748 17.00 1 +0.1215% 1,021.1
Fixed-Floater 4.80% 3.87% 101,228 8.38 7 +0.2368% 1,031.4
Floater 4.48% -19.95% 62,955 3.47 5 +0.1340% 1,038.6
Op. Retract 4.64% 1.00% 81,973 2.20 17 -0.0475% 1,031.6
Split-Share 5.12% 2.41% 140,006 2.71 8 +0.2179% 1,040.6
Interest Bearing 6.95% 5.31% 78,518 2.34 7 -0.0019% 1,025.5
Perpetual-Premium 5.01% 3.73% 294,853 4.29 52 +0.0288% 1,052.0
Perpetual-Discount 4.55% 4.54% 946,271 13.31 6 +0.1151% 1,054.2
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.4006% Now with an entirely reasonably pre-tax bid-YTW of 3.31% based on a bid of $10.56 and a hardMaturity at $10.00 on 2009-12-1
GWO.PR.G PerpetualPermium +1.1949% Now with a pre-tax bid-YTW of 3.51% based on a bid of $27.10 and a call 2010-1-30 at $26.00. If it makes it to the $25.00 call 2014-1-30, it will have yielded 3.83%. I call it expensive.
WFS.PR.A SplitShare +1.2299% Now with a pre-tax bid-YTW of 3.54% based on a bid of $10.70 and a hard maturity 2011-6-30 at $10.00. An entirely reasonably priced issue.
BSD.PR.A InterestBearing +1.4199% Now with a pre-tax bid-YTW of 6.05% (as interest!) based on a bid of $10.00 and a hard maturity 2015-3-31 at $10.00
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualPremium 102,755 Recent new issue. Now with a pre-tax bid-YTW of 4.57% based on a bid of $25.40 and a call 2016-3-1 at $25.00
BCE.PR.R FixedFloater 148,375 Maple crossed 140,000 on a cash basis at $25.36.
BCE.PR.T Scraps 141,000 Maple crossed 139,000 for cash at $25.40. They were busy today!
GWO.PR.F PerpetualPremium 136,245 Also a heavy trader yesterday. Pre-tax bid-YTW of 1.21% based on a bid of $28.09 and a call 2008-10-30 at $26.00. Even more expensive than the GWO.PR.G mentioned above, if you want to listen to me.
BAM.PR.M PerpetualDiscount 106,390 Recent new issue. Now with a pre-tax bid-YTW of 4.65% based on a bid of $25.19 and a call 2016-3-1 at $25.00.

There were eighteen other index-included issues with over 10,000 shares traded today.

HIMI Preferred Indices

HIMI Preferred Indices: June, 1996

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

HIMI Index Values 1996-06-28
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,375.5 0 0 0 0 0 0
FixedFloater 1,372.6 0 0 0 0 0 0
Floater 1,295.2 8 1.61 5.02% 15.3 77M 5.34%
OpRet 1,168.9 24 1.24 5.71% 5.5 96M 6.79%
SplitShare 1,168.9 0 0 0 0 0 0
Interest-Bearing 1,168.9 0 0 0 0 0 0
Perpetual-Premium 1,157.9 4 1.00 4.64% 2.9 96M 8.00%
Perpetual-Discount 1,105.5 0 0 0 0 0 0

Index Constitution, 1996-06-28, Pre-Rebalancing

Index Constitution, 1996-06-28, Post-Rebalancing

Market Action

December 13, 2006

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 4.22% 4.24% 36,183 16.98 1 -0.0405% 1,019.9
Fixed-Floater 4.81% 3.89% 100,950 10.63 7 -0.1006% 1,028.9
Floater 4.49% -18.73% 63,688 3.47 5 +0.2245% 1,037.2
Op. Retract 4.64% +0.63% 81,563 2.20 17 -0.0691% 1,032.0
Split-Share 5.14% 2.48% 139,550 2.71 8 -0.0321% 1,038.4
Interest Bearing 6.95% 5.00% 76,607 2.33 7 +0.1522% 1,025.5
Perpetual-Premium 5.01% 3.49% 294,576 4.31 52 +0.0504% 1,051.7
Perpetual-Discount 4.56% 4.56% 941,546 13.14 6 +0.0274% 1,053.0
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
BCE.PR.T Scraps 425,300 Scotia crossed 425,000 at $25.40 in Cash trade. About time someone traded this recent conversion in size!
RY.PR.D PerpetualPremium 249,115 New Issue. Pre-tax bid-YTW of 4.47% based on a bid of $25.10 and a call at $25.00 on 2016-3-25
WN.PR.C PerpetualPremium 160,500 Global crossed 80,000 for cash at 27.08, then 80,000 regular settlement at 26.75. Went ex-dividend today for $0.325. Pre-tax bid-YTW now 4.20% based on a bid of 26.60 and a call 2014-7-31 at $25.00 (but 2013-7-31 at 25.25 gives the same yield … and 2012-7-31 at 25.50 outputs 4.21%, so take your pick).
CM.PR.I PerpetualPremium 102,755 Recent new issue. Pre-tax bid-YTW of 4.61% based on a bid of 25.31 and a call on 2016-3-1 at 25.00
GWO.PR.F PerpetualPremium 101,070 Scotia crossed 68,400 at 27.91, then another 31,600 at the same price. Now with a pre-tax bid-YTW of 1.53% based on a bid of 27.93 and a call 2008-10-30 at $26.00. Pays $1.475, so an early call seems likely even given the declining premium, but somebody obviously disagrees and is betting on 2012-10-30 at $25.00 to yield 3.64% … which is still no great shakes, according to me!

There were thirty other index-included issues with over 10,000 shares traded today.

Data Changes

A Solid Start for RY.PR.D

The Royal Bank new issue got off to a solid start today, trading 249,115 shares and closing above the issue price at 25.10-11, 84×10.

Comparables after the first day, with changes from the announcement date in brackets, are:

Royal Bank Perpetuals    

Analysis Using AFTER-TAX Curve (except as noted)
Curve price Component RY.PR.A RY.PR.B RY.PR.C RY.PR.W RY.PR.D
Price due to base-rate 23.07
(-0.05)		 23.87
(-0.04)		 23.65
(-0.04)		 24.41
(-0.03)		 23.24
(-0.05)
Price due to short-term 0.04
Unch		 0.04
(-0.01)		 0.04
(-0.01)		 0.04
(Unch)		 0.04
(-0.01)
Price due to long-term 0.61
(+0.05)		 0.63
(+0.04)		 0.62
(+0.05)		 0.66
(+0.05)		 0.62
(+0.08)
Price to to Cumulative Dividends 0.00 0.00 0.00 0.00 0.00
Price due to Liquidity 1.47
(+0.01)		 1.52
(+0.02)		 1.50
(+0.01)		 0.80
(+0.14)		 1.48
(-0.01?)
Price due to error -0.03
(Unch)		 -0.04
(-0.01)		 -0.03
(Unch)		 -0.02
(Unch)		 -0.03
(-0.03)
CurvePrice 25.16
(Unch)		 26.03
(+0.02)		 25.78
(+0.01)		 25.89
(+0.15)		 25.34
(-0.02)
Annual Dividend 1.1125 1.1750 1.1500 1.2250 1.1250
2006-12-13 Quote 25.14-20
(+0.14b)		 25.76-80
(-0.14b)		 25.51-63
(+0.11b)		 26.47-57
(+0.02b)		 25.10-11
(+0.10b)
After-tax Bid YTW 3.52%
(-0.03)		 3.45%
(+0.08)		 3.51%
(-0.03)		 3.19%
(Unch)		 3.55%
(-0.03)
Pre-Tax Bid YTW 4.43%
(-0.04)		 4.34%
(+0.10)		 4.42%
(-0.04)		 4.02%
(+0.01)		 4.47%
(-0.03)

Tax has been included in the calculation of the elements of the above table in accordance with the Ontario Highest Marginal Rate.

This issue has been added to the HIMIPref™ database with the securityCode A45013, replacing the preIssue code of P75000