MAPF

MAPF Portfolio Characteristics, 2007-4-30

For reasons that will become clear with the release of the June edition of Canadian Moneysaver, I thought I would disclose the broad characteristics of the MAPF Portfolio as of last month end:

MAPF Sectoral Analysis 2007-4-30
HIMI Indices Sector Weighting YTW ModDur
Ratchet  0% N/A  N/A
FixFloat  0% N/A N/A 
Floater  0% N/A  N/A 
OpRet  0% N/A  N/A 
SplitShare  78% 4.38%  6.08 
Interest Rearing  0% N/A  N/A 
PerpetualPremium  28% 4.94%  4.43 
PerpetualDiscount  3% 4.59%  16.21
Scraps  1% 3.86%  5.86 
Cash  -11% N/A N/A
Total  100% 4.52% 5.93 

Sharp-eyed readers will observe that the “total” reflects the un-leveraged total portfolio, and may make their own adjustments to reflect interest costs incurred on the cash debit. MAPF will often have relatively large cash balances to facilitate trading.

They will also note, with a certain amount of glee, that the percentages do not add up to exactly 100% in this or the following tables. This is due to rounding. You know something? Sharp-eyed readers really bug me.

Credit distribution is:

MAPF Credit Analysis 2007-4-30
DBRS Rating Weighting
Pfd-1 16%
Pfd-1(low) 2%
Pfd-2 78%
Pfd-2(low) 14%
Cash -11%

Liquidity Distribution is:

MAPF Liquidity Analysis 2007-4-30
Average Daily Trading Weighting
<$50,000 1%
$50,000 – $100,000 0%
$100,000 – $200,000 50%
$200,000 – $300,000 19%
>$300,000 40%
Cash -11%

Just in case anybody’s interested! Incidentally … cash, calculated on a trade-date basis on 2007-5-11, is basically as close to zero as it ever will be. But who knows? I might get half a trade done on Monday!

Market Action

May 11, 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 4.80% 4.82% 44,115 15.86 2 -0.5248% 978.5
Fixed-Floater 5.45% 4.74% 134,397 16.06 6 -0.3694% 948.6
Floater 4.78% -5.63% 75,502 0.72 3 0.1997% 1,051.9
Op. Retract 4.74% 3.31% 84,129 2.35 17 -0.0270% 1,033.1
Split-Share 4.97% 4.36% 163,814 4.01 12 +0.0906% 1,044.8
Interest Bearing 6.52% 5.41% 62,608 2.22 5 +0.0646% 1,045.7
Perpetual-Premium 5.13% 4.36% 170,085 5.23 48 -0.0242% 1,050.5
Perpetual-Discount 4.62% 4.65% 794,916 16.10 19 -0.0077% 1,052.3
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixFloat -2.1538% Exchange/Reset Date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 22.26-73, 1×8.
BCE.PR.S Ratchet -1.4862% Exchange/Reset date is 2011-11-1 (Exchanges with BCE.PR.T, which pays 4.502% until then). Closed at 23.20-50, 1×2; Ts closed at 22.00-49, 5×1.
BCE.PR.A FixFloat -1.0634% Exchange/Reset date is 2007-9-1 (Exchanges with series ‘AB’, not issued); until then pays 5.03% of par. Closed at 23.26-47, 3×5.
NA.PR.K PerpetualPremium -1.0586% The bid just disappeared! Now with a pre-tax bid-YTW of 4.82% based on a bid of 26.17 and (i) a call 2010-6-14 at 25.50, or (ii) a call 2011-6-14 at 25.25, or (iii) a call 2012-6-14 at 25.00. Each scenario gives the same yield, to two decimal places.
MFC.PR.A OpRet -1.0582% Now with a pre-tax bid-YTW of 3.56% based on a bid of 26.18 and a softMaturity 2015-12-18 at 25.00.
MFC.PR.C PerpetualDiscount -1.0459% Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.60 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
TOC.PR.B Scraps (Would be Floater, but there are volume concerns) 113,910 Desjardins crossed 100,000 at 25.40. This issue is currently on Credit Watch Negative by DBRS & Moodys.
WN.PR.D PerpetualPremium 94,425 Scotia crossed 80,000 at 25.00. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.95 and a limitMaturity. This issue has been recently downgraded by S&P to P-3(High) and is the subject of a Credit Watch Negative by DBRS.
WN.PR.C PerpetualPremium 90,732 Scotia crossed 82,100 at 25.00. Now with a pre-tax bid-YTW of 5.27% based on a bid of 24.95 and a limitMaturity. Credit-wise, in the same boat as WN.PR.D, above.
RY.PR.B PerpetualPremium 29,140 Nesbitt crossed 14,300 at 25.50. Now with a pre-tax bid-YTW of 4.43% based on a bid of 25.47 and a call 2015-9-23 at 25.00.
BNS.PR.M PerpetualDiscount 25,175 Scotia crossed 12,800 at 24.89. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.90 and a limitMaturity.

There were eleven other $25-equivalent index-included issues trading over 10,000 shares today.

Miscellaneous News

TV Appearance: Stars, Dogs & Perps

As mentioned earlier, I was on BNN’s “Stars & Dogs” programme tonight.

It went reasonably well but, alas, I don’t think I’ll ever be one of those guys who can smoothly chatter about complex things in simple ways!

For those interested, BNN has posted the video and I think it will be on their site for the next week. The archived show for May 11, I come on at about the 20 minute mark.

Market Action

May 10, 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 4.74% 4.80% 43,199 16.02 2 0.0000% 983.7
Fixed-Floater 5.43% 4.69% 136,206 16.14 6 -0.3453% 952.1
Floater 4.79% -3.66% 77,599 5.62 3 -0.1723% 1,049.8
Op. Retract 4.74% 3.26% 84,254 2.35 17 -0.0109% 1,033.4
Split-Share 4.97% 4.37% 167,000 4.01 12 -0.2354% 1,043.8
Interest Bearing 6.52% 6.07% 62,837 3.39 5 -0.1457% 1,045.1
Perpetual-Premium 5.13% 4.35% 170,483 5.16 48 +0.0188% 1,050.8
Perpetual-Discount 4.62% 4.65% 815,775 16.11 19 -0.1083% 1,052.4
Major Price Changes
Issue Index Change Notes
BCE.PR.R FixFloat -1.1106% Exchange/Reset Date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. Closed at 22.26-74, 7×2.
BCE.PR.G FixFloat -1.0667% Exchange/Reset date is 2011-05-01 (Exchanges with BCE.PR.H); until then, pays 4.35% of par. Closed at 22.26-60, 2×8; Hs closed at 23.26-49, 8×49.
WFS.PR.A SplitShare -1.0427% Now with a pre-tax bid-YTW of 4.26% based on a bid of 10.44 and a hardMaturity 2011-6-30 at $10.00. Asset coverage is about 2.3:1, based on April 30 NAV.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 55,438 Recent new issue. Now with a pre-tax bid-YTW of 4.63% based on a bid of 24.45 and a limitMaturity.
BAM.PR.K Floater 54,850 TD bought a total of 50,000 from RBC in three tranches, each at 24.90.
CM.PR.I PerpetualPremium 43,165 Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.17 and a call 2016-3-1 at 25.00
BNS.PR.M PerpetualDiscount 24,620 Recent new issue. Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.87 and a limitMaturity.
SLF.PR.A PerpetualPremium 18,080 Now with a pre-tax bid-YTW of 4.46% based on a bid of 25.60 and a call 2014-4-30 at 25.00.

There were four other $25-equivalent index-included issues trading over 10,000 shares today.

Market Action

May 9, 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 4.71% 4.76% 44,233 16.08 2 -0.1915% 983.7
Fixed-Floater 5.41% 4.64% 136,343 16.23 6 -0.0197% 955.4
Floater 4.78% -5.14% 77,128 0.72 3 -0.1416% 1,051.7
Op. Retract 4.74% 3.24% 84,671 2.36 17 +0.0515% 1,033.5
Split-Share 4.96% 4.25% 169,759 4.01 12 +0.0111% 1,046.3
Interest Bearing 6.51% 6.02% 63,426 3.40 5 -0.1526% 1,046.6
Perpetual-Premium 5.13% 4.33% 171,967 5.17 48 +0.0328% 1,050.6
Perpetual-Discount 4.62% 4.65% 835,451 16.12 19 -0.0274% 1,053.5
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater -1.0089% More apparent fallout from the proposed acquisition.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualPremium 128,120 Now with a pre-tax bid-YTW of 4.64% based on a bid of 25.20 and a call 2016-3-1.
BMO.PR.J PerpetualDiscount 77,570 Now with a pre-tax bid-YTW of 4.56% based on a bid of 24.66 and a limitMaturity.
TD.PR.O PerpetualPremium 64,885 Now with a pre-tax bid-YTW of 4.29% based on a bid of 25.97 and a call 2014-11-30 at 25.00
CM.PR.H PerpetualPremium 55,555 Now with a pre-tax bid-YTW of 4.42% based on a bid of 25.65 and a call 2014-4-29 at 25.00
NA.PR.L PerpetualPremium 29,198 Now with a pre-tax bid-YTW of 4.37% based on a bid of 25.74 and a call 2014-6-14 at 25.00.

There were thirteen other $25-equivalent index-included issues trading over 10,000 shares today.

Data Changes

BAM.PR.N : A Ticking Time-Bomb?

The previously announced new issue of BAM 4.75% Perpetuals started trading today under the symbol BAM.PR.N … and I can’t believe my eyes!

I was expecting it to trade in the $24.50 area, simply because that’s where the BAM.PR.M issue promptly slumped to immediately after the new issue was announced … the price level is not a surprise.

The surprise is that it’s now 1:30 pm, only 5,500 shares have traded, and the market is quoted at 24.60-64, 3×7. 3×7? On a new issue? 5,500 shares?

Together with the drop in price being so pre-ordained by the behaviour of BAM.PR.M, what this is telling me is that the underwriters haven’t sold a whole lot of shares. I can’t state that as a definite fact and I’m not the Oracle of Delphi, but that’s my interpretation and I’ll bet anybody who likes an entire dime that I’m right.

I suspect that this one will have an Inventory Blow-Out Sale, just like SLF.PR.D did last fall. Maybe early June, but I won’t bet any money on that part of the prediction. In the mean-time, I urge extreme caution when buying both BAM.PR.N and its twin sister BAM.PR.M … at least until the situation clarifies.

The HIMIPref™ database has been updated with the new issue information – BAM.PR.N has been assigned the securityCode A41223, replacing the preIssue code of P43000. A reorgDataEntry has been processed to reflect the change.

Update: Closed at 24.50-60, 3×19, on volume of 9,400 in a trading range of 24.50-75.

At some point, I’m going to do some research on “First Trading Days”. This must be some kind of record.

tick … tick … tick …

Update: This issue has been added to the PerpetualDiscount Index.

Market Action

May 8, 2007

Up to my old tricks! Instead of using the May 7 report as a template for the May 8 report, I over-wrote it … so the May 7 report is gone forever. Sorry!

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 4.66% 4.68% 45,424 16.12 2 +0.1068% 985.6
Fixed-Floater 5.41% 4.61% 137,569 16.28 6 -1.5764% 955.6
Floater 4.77% -8.72% 73,508 6.22 3 +0.0405% 1,053.1
Op. Retract 4.74% 3.23% 84,913 2.54 17 +0.0093% 1,033.0
Split-Share 4.96% 4.22% 171,492 3.88 12 -0.1230% 1,046.2
Interest Bearing 6.50% 5.88% 63,129 2.24 5 +0.0395% 1,048.2
Perpetual-Premium 5.13% 4.31% 170,070 5.15 48 +0.0446% 1,050.2
Perpetual-Discount 4.61% 4.64% 766,146 16.14 18 +0.0523% 1,053.8
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixFloat -3.2609% Exchange/Reset date is 2007-12-1 (exchanges with BCE.PR.Y); until then, pays 5.319% of par. Closed at 23.26-56, 2×1; the Ys closed at 23.10-67, 3×2.
BCE.PR.R FixFloat -2.1730% Exchange/Reset date is 2010-12-1 (Exchanges with Series ‘Q’, not issued); until then pays 4.54% of par. Closed at 22.51-00, 5×3.
BCE.PR.C FixFloat -1.9665% Exchange/Reset date is 2008-3-1 (exchanges with Series ‘AD’, not issued); until then pays 5.54% of par. Closed at 23.43-73, 1×5.
Volume Highlights
Issue Index Volume Notes
RY.PR.G PerpetualDiscount 189,850 Recent new issue. Now with a pre-tax bid-YTW of 4.62% based on a bid of 24.48 and a limitMaturity.
BNS.PR.L PerpetualDiscount 115,154 Now with a pre-tax bid-YTW of 4.55% based on a bid of 24.84 and a limitMaturity.
AL.PR.E Floater 103,100 Presumably due to uncertainty regarding the Credit-Watch: Developing.
POW.PR.D PerpetualPremium 58,420 Scotia crossed 56,000 at 25.80. Now with a pre-tax bid-YTW of 4.62% based on a bid of 25.72 and a call 2014-11-30 at 25.00.
CM.PR.H PerpetualPremium 57,895 Now with a pre-tax bid-YTW of 4.41% based on a bid of 25.65 and a call 2014-4-29 at 25.00.

There were seventeen other $25-equivalent index-included issues trading over 10,000 shares today.

Issue Comments

TOC.PR.B Under Credit Review Negative by DBRS

DBRS has announced it has:

placed the ratings of The Thomson Corporation (Thomson or the Company) – long-term debt rated A (low), Commercial Paper rated R-1 (low) and Preferred Shares rated Pfd-2 (low) – Under Review with Negative Implications following the Company’s announcement today that it has initiated discussions which are expected to lead to a transaction to acquire Reuters Group PLC (Reuters) in a cash and equity transaction (50%/50%) for roughly $19 billion ($14.09 or £7.05 per Reuters share).

…

DBRS expects to finalize the ratings of Thomson once its review has been completed, with the final rating expected to remain within the investment-grade range.

The Thomson 7-year bonds, mentioned in the previous post on this issue, have rebounded to +85bp after spiking to +110bp when the rumours started.

Thomson preferreds continue to be rated P-2 with a developing outlook by S&P.

Update : Moodys has joined in:

Moody’s Investors Service placed The Thomson Corporation’s (“Thomson”) A3 senior unsecured ratings on review for possible downgrade following the company’s announcement that it is in merger discussions with Reuters Group PLC (“Reuters”) for a combination of the two businesses for an approximate $19.4 billion purchase price, including assumed debt.

Note that Moodys does not explicitly rate the prefs, just the Senior Unsecured Regular Bond/Debenture (and associated shelf), which they currently rate A3 ((P) A3)

Update, 2007-09-14: Moody’s has downgrade the USD debt from A3 to Baa1

Update, 2007-11-15: DBRS has affirmed the preferreds at Pfd-2(low) because:

During the course of the review, Thomson announced that the proceeds from the sale of its Learning division would exceed previously expected levels by more than $1 billion and that these proceeds would be used to reduce the incremental debt taken on by the Company to complete the Reuters acquisition. DBRS now expects net debt-to-EBITDA to increase from just over 2.0 times in 2006 to approximately 2.5 times (pro forma 2007), a range that is within DBRS’s expectations for an A (low) rating.