Month: August 2006

Market Action

August 1, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.57% 4.53% 26,925 16.76 2 -0.1002% 993.9
Fixed-Floater 4.94% 4.21% 305,581 6.85 6 0.00% 1,002.5
Floater 4.60% -14.72% 59,050 6.45 5 0.0085% 1,003.5
Op. Retract 4.72% 2.95% 78,843 2.66 18 0.3122% 999.1
Split-Share 5.01% 3.70% 59,815 2.74 10 0.0457% 1,002.3
Interest Bearing 6.86% 5.15% 65,327 2.19 7 0.1094% 1,010.9
Perpetual-Premium 5.30% 4.33% 123,416 3.98 41 0.0887% 1,006.9
Perpetual-Discount 4.77% 4.80% 392,028 15.84 13 0.1289% 1,006.8
Major Price Changes
Issue Index Change Notes
None!
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 176,467  
BMO.PR.I OpRet 75,517 Anonymous internal cross, 74,500 @ 25.79
BC.PR.C FixedFloater 58,669 See the Change in Terms
BNS.PR.K PerpetualPremium 55,350 RBC crossed 50,000 @ 25.20
TD.PR.M OpRet 49,250 Anonymous internal cross @ 27.55

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

Note that there were changes in index construction today.

Index Construction / Reporting

Rebalancing, 2006-08-01

Index Changes
Issue From To Because
BC.PR.B Ratchet Fixed-Floater Error Correction
BC.PR.E Scraps Ratchet Error Correction

 

*sigh*. An error is not  a happy thing to admit, but it’s always best to get it over with. As detailed in the post BC.PR.B / BC.PR.E, some of the BC.PR.B fixed/floater issue was exchanged into the BC.PR.E Ratchet Rate issue.

Taxation

Ontario boosts dividend tax credit

In very good news for preferred share investors, Ontario increased the dividend tax credit from 5.13% to 6.5%. The tax credit will rise in stages over the next four years, reaching 7.7 per cent in 2010.

There is nothing in the Official Press Release that indicates the dollars-and-cents value of this increase, but doubtless the accounting firms are working it out now and I’ll post updates when I get them.

Added 2006-09-06 : Note that Ernst & Young has a very good online tax calculator but it is currently updated only to June 16, 2006

HIMIPref News

HIMIPref Data Update Delay, 2006-08-02

Uploading of the prices for 2006-08-02 will be delayed. At time of writing, 9:45pm EDT, prices were not available from the Toronto Exchange. Assuming system problems are not unduly severe, prices will be uploaded in the morning of 2006-08-03.

 And I’m going home.

 

Update, 2006-08-03, 9:30am EDT The prices have been recovered and the system is ready to go. Disregard the valuation assigned to the BC.PR.C – this is higher than it should be for technical reasons related to the change of terms

Data Changes

BC.PR.B / BC.PR.E

The terms of BC.PR.B changed effective 2006-05-01 with the annual dividend declining from $1.3125 to $1.0875. There’s a haircut for you!

Holders had the option to convert to the Ratchet Rate issue, BC.PR.E, and a little bit more than a quarter of the issue was converted. These issues become convertable into each other again on May 1, 2011 (although you may need to contact the company earlier!).

Changes have been put through on HIMIPref to reflect this conversion. Security codes are:

Issue Code
BC.PR.B (old) A38003
BC.PR.B (new) A38006
BC.PR.E A38007
Data Changes

BC.PR.C

The terms of this issue have changed, effective 2006-08-01, in accordance with the prospectus and the resetting of the coupon.

The coupon rate is now 4.65% until 2011-08-01. HIMIPref assumes that on that date it will become a Ratchet-Rate issue, since the company has discretion as to the fixed rate to which the issue will be reset.

No shares were converted to the Ratchet-Rate preferreds, since the holders of less than 2-million shares wished to exercise that privilege.

The old HIMIPref security code for this issue was A38004; following a “term change” reorganization, the new code is A38005.

Index Construction / Reporting

July 31, 2006 (After Rebalancing)

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.24% 4.25% 91,756 16.95 2 N/A 994.9
Fixed-Floater 5.23% 4.10% 98,940 8.30 5 N/A 1,002.5
Floater 4.60% -15.57% 59,854 4.60 5 N/A 1,003.4
Op. Retract 4.74% 3.05% 78,683 2.75 18 N/A 996.0
SplitShare 5.02 3.64 60,673 2.81 10 N/A 1,001.8
Interest Bearing 6.86% 5.26% 65,738 2.19 7 N/A 1,009.8
Perpetual Premium 5.30% 4.40% 124,309 3.97 41 N/A 1,006.0
Perpetual Discount 4.77% 4.80% 401,377 15.83 13 N/A 1,005.5
Index Changes
Issue From To Because
PWF.PR.A Floater Scraps Volume
CVF.PR.A SplitShare Scraps Volume
MUH.PR.A SplitShare Scraps Volume
BNA.PR.B SplitShare Scraps Volume
BNA.PR.A SplitShare Scraps Volume
NA.PR.L PerpetualDiscount PerpetualPremium Price
AL.PR.F Scraps Floater Volume

Market Action

July 31, 2006 (Before Rebalancing)

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.24% 4.25% 91,756 16.95 2 -0.3005% 994.9
Fixed-Floater 5.23% 4.10% 98,940 8.30 5 -0.2289% 1,002.5
Floater 4.54% -15.03% 58,437 6.43 5 0.0000% 1,003.4
Op. Retract 4.74% 3.05% 78,683 2.75 18 0.0333% 996.0
Split-Share 5.17% 4.00% 47,359 2.77 14 0.1627% 1,001.8
Interest Bearing 6.86% 5.26% 65,738 2.19 7 0.0429% 1,009.8
Perpetual-Premium 5.31% 4.39% 123,668 3.86 40 0.0121% 1,006.0
Perpetual-Discount 4.77% 4.81% 383,145 15.15 14 -0.0314% 1,005.5
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet +1.28% 13,777 shares traded
DFN.PR.A SplitShare +1.25% 7,165 shares traded
Volume Highlights
Issue Index Volume Notes
HSB.PR.D PerpetualPremium 53,000  
SLF.PR.C PerpetualDiscount 45,100  
WN.PR.E PerpetualDiscount 24,270  
BNS.PR.K PerpetualPremium 17,825  
GWO.PR.X OpRet 15,192  

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