Archive for August, 2006

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August 9, 2006

Wednesday, August 9th, 2006
Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.32% 4.28% 25,766 16.72 2 0.1003% 997.1
Fixed-Floater 4.94% 4.11% 266,895 14.04 6 -0.0913% 1,002.9
Floater 4.60% -17.08% 57,608 6.46 5 0.1122% 1,006.1
Op. Retract 4.72% 3.13% 76,205 2.70 18 -0.0493% 1,001.5
Split-Share 5.01% 3.79% 57,912 2.78 10 0.0158% 1,002.2
Interest Bearing 6.85% 5.29% 62,051 2.16 7 -0.0111% 1,019.9
Perpetual-Premium 5.29% 4.38% 174,083 4.09 42 0.1007% 1,008.2
Perpetual-Discount 4.75% 4.79% 360,131 15.14 13 0.0851% 1,009.2
Major Price Changes
Issue Index Change Notes
W.PR.H PerpetualPremium +1.0121%  
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 25,459  
PWF.PR.L PerpetualPremium 20,145  
SLF.PR.B PerpetualDiscount 15,300  
RY.PR.K OpRet 14,739 BMO bought 12,500 from anonymous @ 25.16
CM.PR.C PerpetualPremium 12,380  

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IQW.PR.C / IQW.PR.D Downgraded by DBRS

Wednesday, August 9th, 2006

DBRS has announced that they have downgraded all series of the Quebecor World Inc. preferred shares to Pfd-4 with a negative trend (it was previously Pfd-4(high) with a negative trend.

DBRS cited a “greater than expected weakening of the financial profile”.

 HIMIPref subscribers will not be too concerned about this downgrade, as Hymas Investment Management does not recommend the purchase of anything that’s rated Pfd-4(high) or lower, and will only recommend Pfd-3 issues (of any sub-grade) in certain circumstances and in small amounts relative to portfolio size.

HIMIPref does, however, maintain the Quebecor World preferreds in its database: symbols IQW.PR.C and IQW.PR.D. These issues are recorded solely for the sake of continuity and have no influence on the calculation of yield curves.

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August 8, 2006

Tuesday, August 8th, 2006
Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.33% 4.29% 26,039 16.72 2 -0.0800% 996.1
Fixed-Floater 4.94% 4.06% 269,384 8.87 6 +0.0012% 1,003.6
Floater 4.61% -15.40% 58,621 6.47 5 -0.1508% 1,005.0
Op. Retract 4.72% 3.03% 76,844 2.70 18 0.0755% 1,002.0
Split-Share 5.02% 3.83% 57,898 2.79 10 -0.0122% 1,002.0
Interest Bearing 6.85% 5.26% 62,835 2.16 7 -0.0886% 1,010.0
Perpetual-Premium 5.30% 4.43% 176,716 4.12 42 -0.0183% 1,007.2
Perpetual-Discount 4.75% 4.80% 366,161 15.14 13 0.1545% 1,008.3
Major Price Changes
Issue Index Change Notes
No major price changes of issues included in indices!
Volume Highlights
Issue Index Volume Notes
IAG.PR.A PerpetualDiscount 207,160 RBC crossed 100,000 @ 24.75, then Scotia did the same. The YTW is 4.69% at the closing bid of $24.73
SLF.PR.C PerpetualDiscount 203,700  
SLF.PR.A PerpetualDiscount 157,575 RBC crossed 150,000 @ 24.95
MFC.PR.B PerpetualDiscount 155,500 RBC crossed 150,000 @ 24.70
CM.PR.C PerpetualPremium 24,407 YTW 3.17% at closing bid of $26.75

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New HIMIPref-2005 Release, Dated 2006-08-08

Tuesday, August 8th, 2006

There is a new release available via http://www.prefshares.com/gettingstarted/downloads.php This is not a major release – it just cleans up a few loose ends with the interface that I hope I’m the only one who’s noticed. There have been no changes on the server-side or in the interfaces, so old versions will continue to work.

 If you download and install it, I implore you to remember to back up your userdatabase prior to the uninstallation of the old version. Those who really hate fiddling with re-installation will also want to back up their “userloc” file … this is in the same directory as the programme itself (probably c:Program FilesHymas Investment Management, IncHIMIPref , but the original installation may have put it elsewhere) and the backup-userloc used to over-write the reinstalled-userloc after installation, but prior to running the programme.

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MAPF, Results for July, 2006

Tuesday, August 8th, 2006

At July 31, 2006, MAPF had a unit value of $9.3608, a return of 0.24% (after expenses, before fees) on the month, vs the BMO-NB50 return of 0.35%

The last three months have been flat against the index – there are, I think, two major sources of this reduction in excess returns:

  • Reduced volatility : the market’s not doing anything! It’s volatility that allows for trading with significant profit.
  • BAM.PR.J The fund has a large holding in BAM.PR.J, which returned -0.51% on the month and is -2.52% YTD (total return). I just don’t understand it – for some insight into just why I don’t understand it, see Operating-Retractible Yield Curve, 2006-07-26. Surely at some point the issue will come more in line with its peers … but I’ve been saying that for a while now …

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Rebalancing, 2006-08-04

Friday, August 4th, 2006
Index Changes
Issue From To Because
PWF.PR.L   PerpetualPremium New Issue

So, today’s new issue, featured in A sparkling debut for PWF.PR.L!, is now incorporated in the index – and has contributed its little share to the gain in today’s PerpetualPremium index

A design consideration for the indices is the desire to capture the performance of new issues, so it’s nice to see a capture take place.

Posted in Index Construction / Reporting | No Comments »

August 4, 2006

Friday, August 4th, 2006
Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.33% 4.33% 27,064 16.73 2 0.1808% 996.9
Fixed-Floater 4.94% 4.13% 278,149 6.96 6 +0.2064% 1,003.6
Floater 4.60% -15.74% 59,351 6.50 5 0.2320% 1,006.5
Op. Retract 4.72% 3.04% 77,385 2.71 18 0.0642% 1,001.2
Split-Share 5.01% 3.84% 58,552 2.80 10 -0.087% 1,002.1
Interest Bearing 6.85% 5.15% 62,987 1.94 7 0.0200% 1,010.9
Perpetual-Premium 5.30% 4.41% 178,424 4.06 42 0.0801% 1,007.4
Perpetual-Discount 4.76% 4.80% 367,687 15.14 13 0.0473% 1,006.8
Major Price Changes
Issue Index Change Notes
CM.PR.A OpRet +1.50% No shares traded! The bid is now 27.00-51, 5×12, up from 26.60-58 yesterday. The YTW at the bid is 1.50%
Volume Highlights
Issue Index Volume Notes
PWF.PR.L PerpetualPremium 442,125 Heavy trading on its first day! See A sparkling debut for PWF.PR.L!
ACO.PR.A OpRet 68,686 Global crossed 33,900 @28.60 for delayed delivery; and then 33,900 @28.25 for regular settlement. The ex-date was today, dividend of $0.359375. Clearly some kind of dividend-capture strategy at work here.
SLF.PR.B PerpetualDiscount 31,236 National Bank crossed 10,000 @ $25.00 after selling 8,000 to BMO at $25.03
RY.PR.K OpRet 14,737 BMO crossed 13,500 @ $25.20

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August 3, 2006

Friday, August 4th, 2006
Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.33% 4.29% 26,812 16.72 2 0% 995.1
Fixed-Floater 4.95% 4.19% 286,504 12.13 6 -0.0913% 1,001.5
Floater 4.61% -14.62% 59,847 6.48 5 0.2939% 1,004.2
Op. Retract 4.72% 3.13% 77,869 2.66 18 0.0487% 1,000.6
Split-Share 5.01% 3.78% 59,091 2.80 10 0.0890% 1,003.0
Interest Bearing 6.85% 5.15% 63,899 2.18 7 0.0697% 1,010.7
Perpetual-Premium 5.30% 4.42% 121,418 4.05 41 -0.0274% 1,006.6
Perpetual-Discount 4.76% 4.80% 375,590 15.83 13 -0.1188% 1,006.3
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater 1.22% Was down 1.62% yesterday
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 75,505 Desjardins crossed 75,000 shares @ 28.25. At this price, they have a YTW of about 2.5%
WN.PR.C PerpetualPremium 22,200 RBC crossed 19,700 shares at 25.35
BMO.PR.I OpRet 18,400 RBC crossed 16,400 shares at 25.50
RY.PR.B PerpetualDiscount 13,200  

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August 2, 2006

Friday, August 4th, 2006
Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.34% 4.30% 26,351 16.71 2 0% 993.9
Fixed-Floater 4.94% 4.13% 295,668 6.94 6 -0.0065% 1,002.4
Floater 4.61% -11.68% 59,896 6.48 5 -0.2258% 1,001.3
Op. Retract 4.72% 3.06% 78,096 2.71 18 0.1003% 1,000.09
Split-Share 5.01% 3.58% 59,589 2.76 10 -0.0170% 1,002.1
Interest Bearing 6.85% 5.21% 65,069 2.18 7 -0.0916% 1,010.0
Perpetual-Premium 5.30% 4.36% 122,782 3.94 41 -0.0028% 1,006.8
Perpetual-Discount 4.76% 4.80% 385,848 15.84 13 0.0725% 1,007.5
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater -1.62% Volume of 13,375 shares
POW.PR.D PerpetualPremium -1.48% Volume of 11,980 shares
Volume Highlights
Issue Index Volume Notes
TCA.PR.Y PerpetualPremium 45,894  
SLF.PR.B PerpetualDiscount 19,370  
POW.PR.B PerpetualPremium 13,600  
AL.PR.E Floater 13,375 Lost 1.62% on day
BMO.PR.H PerpetualPremium 13,040 shares  

There were five other index-included issues with volume in excess of 10,000 shares.

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A sparkling debut for PWF.PR.L!

Friday, August 4th, 2006

Well – sometimes I get things right! In the post Power Financial Series L, I made the prediction that “I think it will go to an immediate premium over issue price”.

 So far, so good! The issue traded 442,125 shares today (a value of over $11-million) and closed with a quote of 25.30-35. I suspect that there’s more to come, but I’ll wait until I’ve updated HIMIPref with the full universe of prices for August 4 before I start flapping my yap.

Posted in Issue Comments | 4 Comments »

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