As a result of continuing optimization of parameters, the following optimizableParameters have been changed:
| Parameter | Old Value | New Value |
| riskPseudoModifiedDurationPort | 0.059 | 0.060 |
| riskPseudoConvexityPort | 0.014 | 0.012 |
| instrumentYieldDisparityValuation | 0.360 | 0.358 |
I do not consider any of these changes to be particularly earth-shaking (although every little bit helps!) and do not anticipate that any users will find that a slew of trades has suddenly been recommended.
In the interests of completeness, I will advise that I have just added data to HIMIPref™ for DJN.PR.A for the period 1993-11-30 to 1993-12-31, inclusive. This was a Pfd-3(low) issue, long since redeemed, for which date was not available from the TSX.
| 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 | 4.33% | 4.34% | 50,151 | 16.80 | 1 | -0.2004% | 1,016.7 |
| Fixed-Floater | 4.90% | 3.93% | 261,902 | 9.03 | 6 | 0.1192% | 1,016.1 |
| Floater | 4.62% | -19.97% | 96,194 | 8.12 | 4 | 0.0899% | 1,019.7 |
| Op. Retract | 4.68% | 2.21% | 85,108 | 2.21 | 18 | 0.0106% | 1,017.6 |
| Split-Share | 4.98% | 3.00% | 60,250 | 2.67 | 10 | -0.0640% | 1,014.4 |
| Interest Bearing | 6.88% | 4.61% | 54,719 | 1.82 | 7 | -0.0892% | 1,023.4 |
| Perpetual-Premium | 5.14% | 3.93% | 174,623 | 4.12 | 48 | 0.1131% | 1,028.9 |
| Perpetual-Discount | 4.58% | 4.60% | 331,188 | 16.23 | 6 | -0.0938% | 1,038.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no major price changes in index-included issues today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.B | PerpetualPremium | 39,735 | A weak end to a great month – it gained almost exactly 1.75% on the month. |
| FTS.PR.F | Scraps | 33,885 | 2nd day of trading! Closed at 25.01-05, 10×50 |
| MFC.PR.C | PerpetualDiscount | 29,060 | National bought 10,200 from DS @ 24.92, then another 10,600 @ 24.87 an hour and a half later. |
| BC.PR.C | FixedFloater | 28,336 | |
| BNS.PR.J | PerpetualPremium | 17,500 | Nesbitt bought 15,000 from CIBC at 27.00. With a 1.313 coupon and no redemption possible until 2013, this one has a lot of protection against market yield increases, perpetual or no perpetual! The YTW is 3.92% at the closing bid of $27.00 |
There were nine other index-included issues trading over 10,000 shares today.
Readers will have noticed the occasional reference to Financial Webring Forum in this blog – I’ve been participating there for almost as long as it’s been around.
I have now joined the Webring itself and the Webring Navigation bar to …
http://www.financialwebring.com/
will now displayed at the footer of this page. I can’t show the navigation bar in this post … it’s a Javascript and my poor little blogging software gets confused … so to see the actual image, you’ll have to skip down to the footer.
I can’t say I agree with all participants in the Webring … not even some of the people all of the time! … but I strongly agree with the ideals!
| 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 | 4.33% | 4.34% | 50,761 | 16.79 | 1 | 0.6048% | 1,018.7 |
| Fixed-Floater | 4.91% | 3.90% | 263,184 | 9.00 | 6 | 0.1844% | 1,014.9 |
| Floater | 4.62% | -18.77% | 98,080 | 8.13 | 4 | 0.0100% | 1,018.8 |
| Op. Retract | 4.68% | 2.11% | 85,380 | 2.11 | 18 | 0.0902% | 1,017.4 |
| Split-Share | 4.98% | 2.98% | 60,740 | 2.67 | 10 | -0.0723% | 1,015.1 |
| Interest Bearing | 6.88% | 4.45% | 55,267 | 1.83 | 7 | -0.0915% | 1,024.4 |
| Perpetual-Premium | 5.15% | 3.92% | 175,684 | 4.33 | 48 | 0.0310%* | 1,027.7* |
| Perpetual-Discount | 4.58% | 4.60% | 331,283 | 16.24 | 6 | 0.0403% | 1,039.9 |
| * Corrected due to error on ELF.PR.F | |||||||
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ELF.PR.F | PerpetualPremium | -1.3268% | Volume of 4,750 shares. Perhaps this price move is a result of the new issue? This issue now has a pre-tax YTW of 4.82%, based on a bid price of 26.03 and a call in 2013. They still look expensive to me. Note added 2006-09-29 : Mea Culpa. They went ex-dividend on 9/28, not 9/29 as I had originally recorded. So: the 9/28 total return wasn’t as exciting as first thought … but that just makes them more expensive |
| ACO.PR.A | OpRet | +2.3542% | Vaults 3 places in the rankings to become the highest priced Operating Retractible! At the bid of $28.26, it has a pre-tax YTW of 1.78% based on a call in December 2008, but will have achieved 3.11% if it survives ’til its ‘Soft Maturity’ in 2011. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| ACO.PR.A | OpRet | 550,790 | Desjardins bought 275,000 from ‘Anonymous’ at $28.10, then crossed 275,000 at $28.13 a minute (or so) later. |
| FTS.PR.F | Scraps | 152,035 | Sure, it’s only rated Pfd-3(high), but it’s its first day of trading, after all! Every issue should have one day in the sun! |
| BC.PR.C | FixedFloater | 64,427 | |
| MFC.PR.C | PerpetualDiscount | 34,700 | |
| FTN.PR.A | SplitShare | 29,900 | Anonymous bought 10,000 from Nesbitt at $10.50. Closed at $10.42-49 |
There were fourteen other index-included issues trading over 10,000 shares today.
The Fortis perpetuals, mentioned earlier as a new issue seemed determined to prove me wrong on their opening day: 152,035 shares traded at prices between $25.05 and $25.25, closing at $25.10-14.
This comes on top of the news that Sunlife is bringing out another new issue, paying 4.45% compared to Fortis’ 4.90%. The funny thing is, I think the Sunlife new issue is also expensive. And I think – on the other hand – that 45bp is actually a pretty reasonable spread between issues with these two credit ratings.
But look, for instance, at the PerpetualDiscount index (as it stands today! Rebalancing is tomorrow, and there may be changes!)
| Issue | Pre-Tax YTW |
| SLF.PR.C | 4.52% |
| WN.PR.E | 4.82% |
| GWO.PR.I | 4.56% |
| IAG.PR.A | 4.64% |
| MFC.PR.C | 4.54% |
| RY.PR.A | 4.50% |
These are good traders and accumulating a stake would certainly take more than a day, but work pays off! These things have an average Modified Duration (of their YTW scenario, which is the 30-year HIMIPref™ limit) of about 16.25 years. Which means that every basis-point of yield is worth 16 basis-points of price … and 16bp on $25 is four cents.
It doesn’t sound like much, I know … but this is FIXED-INCOME analysis! This is the site where we CARE about our pennies … because four cents is nearly two week’s coupon.
I have just learned that Sunlife is coming out with a new issue of preferreds, Series 4.
They are perpetual and pay $1.1125 p.a. Closing is expected to be 2006-10-10.
The redemption schedule is:
If we compare this issue with
, using the yield curve as derived for taxable clients:
| SLF.PR.? | RY.PR.A | SLF.PR.C | |
| Price due to base-rate | 22.69 | 22.77 | 22.70 |
| Price due to short-term | 0.08 | 0.08 | 0.08 |
| Price due to long-term | 0.58 | 0.61 | 0.62 |
| Price due to error | 0.01 | -0.01 | -0.01 |
| Price due to Credit Spread (Low) | -0.29 | -0.31 | -0.31 |
| Intrinsic Curve Price | 23.07 | 23.14 | 23.08 |
| Price due to Liquidity | 1.32 (?) | 1.32 | 1.32 |
| Total Curve Price | 24.39 (?) | 24.46 | 24.40 |
| Closing Quote, 2006-09-28 | N/A | 24.93-94 | 24.65-79 |
Well, I’m going to reserve judgement until I’ve received the prospectus! But this doesn’t look like a very attractive issue at all, given that even after allowing over $1.00 for the privilege of trading a million shares at a time it STILL looks over-valued at the issue price of $25.
Once I’ve seen a prospectus I’ll be issuing a press release. The issue has been added to the HIMIPref™ database and full pre-issue analytics are available to subscribers.
| 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 | 4.38% | 4.39% | 49,358 | 16.71 | 1 | -0.1204% | 1,012.6 |
| Fixed-Floater | 4.91% | 3.93% | 263,462 | 8.97 | 6 | -0.1269% | 1,013.1 |
| Floater | 4.63% | -18.77% | 97,969 | 8.13 | 4 | 0.1497% | 1,018.7 |
| Op. Retract | 4.68% | 2.15% | 84,413 | 2.15 | 18 | 0.1372% | 1,016.5 |
| Split-Share | 4.97% | 2.90% | 60,207 | 2.68 | 10 | 0.1851% | 1,015.8 |
| Interest Bearing | 6.87% | 4.40% | 56,038 | 1.83 | 7 | 0.1814% | 1,025.3 |
| Perpetual-Premium | 5.15% | 3.89% | 177,127 | 4.35 | 48 | 0.0354% | 1,027.4 |
| Perpetual-Discount | 4.58% | 4.60% | 329,911 | 16.24 | 6 | 0.0951% | 1,039.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BC.PR.C | FixedFloater | -1.3255% | Volume of 7,240 shares. |
| STW.PR.A | InterestBearing | +1.0536% | |
| CAC.PR.A | SplitShare | +1.2549% | Still attractive at the bid price of 25.28, with a pre-tax YTW of 3.88% based on a maturity in July 2007. It went ex-dividend today … maybe somebody forgot! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| HSB.PR.C | PerpetualPremium | 94,285 | Scotia crossed 89,500 @ 26.26 |
| BNS.PR.K | PerpetualPremium | 58,700 | Internal cross of 51,900 @ 26.20 by Nesbitt. |
| RY.PR.W | PerpetualPremium | 46,990 | |
| POW.PR.D | PerpetualPremium | 29,650 | Closed at 25.31-49; the bid price gives a pre-tax YTW of 4.81% based on a call in November 2014. It traded as low as $25.15 today. |
| CM.PR.G | PerpetualPremium | 23,725 | Pre-tax YTW of 4.61% at the bid price of $26.20, based on a call in 2014. |
There were fourteen other index-included issues trading over 10,000 shares today.
This article was in the August, 2006 edition of Advisors’ Edge Report.
The short answer to the title question is “NO!”. For the reasons …. click the link!
Hat tip to Financial Webring Forum for providing rationales for floating pref investment!
Note added 2006-10-04: There is a typographical error in the table “DBRS Downgrades”: the issues GT.PR.A, STQ.E and SXT.PR.A should be in the “Split-share” column – they are not perpetuals.
NA.PR.K / NA.PR.L Dividend Timing
Friday, September 29th, 2006Those fun-loving directors at the National Bank! Always joking around!
I looked up their Dividend Calendar today in order to update the HIMIPref™ database and there is little, if any, consideration shown for consistency in dividend declaration.
I’ll reproduce their table here:
SHARES
BOARD APPROVAL
RECORD DATE
EX-DIVIDEND DATE
DIVIDEND PAYMENT DATE
Common
2005-12-08
2005-12-29
2005-12-23
2006-02-01
Series 15
2005-12-08
2006-01-13
2006-01-11
2006-02-15
Series 16
2005-12-08
2006-01-13
2006-01-11
2006-02-15
Common
2006-03-02
2006-03-30
2006-03-28
2006-05-01
Series 15
2006-03-02
2006-04-17
2006-04-12
2006-05-15
Séries 16
2006-03-02
2006-04-17
2006-04-12
2006-05-15
Common
2006-05-25
2006-06-22
2006-06-20
2006-08-01
Series 15
2006-05-25
2006-07-07
2006-07-05
2006-08-15
Series 16
2006-05-25
2006-07-07
2006-07-05
2006-08-15
Common
2006-08-31
2006-09-28
2006-09-26
2006-11-01
Series 15
2006-08-31
2006-10-13
2006-10-11
2006-11-15
Series 16
2006-08-31
2006-10-13
2006-10-11
2006-11-15
Just because the ex-Date was on July 5 doesn’t mean that the October ex-Date will be anywhere near the 5th! Be careful! When I look at the past 14 dividends for NA.PR.K (not including the next one) I get the following frequency of ex-date-day-of-the-month:
The 11th and 12th are novel ex-dates, having been introduced only this year.
Yes, I know, it’s a small point. But I see strange trades going through all the time, with some poor retail guy putting through a trade where it’s obvious he hasn’t paid any attention to the ex-date. And by me, when somebody is kind enough to trade your debt on the secondary market, you try to keep things simple for them.
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