Archive for October, 2006

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HIMI Preferred Indices : January 1994

Monday, October 16th, 2006

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

 

HIMI Index Values 1994-1-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,008.1 0 0 0 0 0 0
FixedFloater 1,008.1 0 0 0 0 0 0
Floater 1,008.1 6 1.44 4.36% 16.7 297M 5.10%
OpRet 1,023.4 15 1.19 5.34% 5.90 94M 6.81%
SplitShare 1,023.4 0 0 0 0 0 0
Interest-Bearing 1,023.4 0 0 0 0 0 0
Perpetual-Premium 1,012.3 6 1.16 5.58% 3.67 92M 7.75%
Perpetual-Discount 1,025.0 1 2.0 5.98 13.91 32M 5.90

 

Index Constitution, 1993-12-31

Index Constitution, 1994-1-31, Pre-Rebalancing

Index Constitution, 1994-1-31, Post-Rebalancing

Posted in HIMI Preferred Indices | 1 Comment »

BAM.PR.G Reset Rate Announced

Monday, October 16th, 2006

Brookfield has announced that the rate to be paid from Nov. 1, 2006 to October 31, 2011 on BAM.PR.G will be 4.35%, or $1.0875 per share per annum … something of a haircut from the 5.63% they’ve been paying for the last five years!

As previously noted, this issue is exchangeable into BAM.PR.E. The deadline for converting is Wednesday October 18.

BAM.PR.E closed 10/13 at 25.05-45; BAM.PR.G closed 10/13 at 25.00-15.

Posted in Data Changes, Issue Comments | 1 Comment »

October 13, 2006

Friday, October 13th, 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 4.18% 4.07% 50,066 10.61 2 -0.5541% 1,020.6
Fixed-Floater 4.97% 3.80% 193,704 6.49 7 0.1466% 1,025.7
Floater 4.53% -17.59% 75,582 6.51 5 -0.1661% 1,017.7
Op. Retract 4.68% 2.03% 88,058 2.41 17 0.0353% 1,016.9
Split-Share 4.94% 3.62% 61,976 3.03 10 -0.0652% 1,015.5
Interest Bearing 6.90% 4.87% 55,319 2.02 7 -0.1133% 1,020.3
Perpetual-Premium 5.11% 3.74% 172,686 4.28 46 0.0553% 1,033.1
Perpetual-Discount 4.59% 4.61% 587,236 16.19 7 -0.1495% 1,033.4
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.0870% Pre-tax YTW now 6.10% INTEREST at the current bid of 10.01, based on a maturity in 2015.
Volume Highlights
Issue Index Volume Notes
CM.PR.B PerpetualPremium 107,100 Desjardins crossed 100,000 @ 26.10. This is an interesting issue. It pays $1.50 so one may be sure that it’s on CIBC’s “hated sources of financing” list, with the call schedule beginning in January 2007 at $26.00, declining by $0.25 annually until it reaches $25.00 in 2011+. On a net basis, the cost to CIBC is $1.25 which is at least ballpark to where they could refinance the issue. The pre-tax YTW is 4.58% based on a price of $26.06 and a call in 2007, but if it lasts until 2011, holders will have realized 4.89%. Not much chance of a capital gain with this issue … but yield ain’t bad, provided you can trade cheaply! With such a short expected holding period for the YTW scenario, small price changes and commission payment loom large … the pre-tax YTW based on the ASK price of $26.12 is only 3.97% and all these figures are pre-commission.
PWF.PR.D Scraps 73,000 Desjardins crossed 70,000 at $27.10. Things I Don’t Understand about the Market, Part 493: Why is this stuff trading at such a lofty price? It pays $1.30 and is callable commencing 2007-10-31 at $26.00, the call price declining by $0.20 p.a. until it reaches par 2012-7-31. Ha-ha! says the company! Fooled ya with the short last period! Then it’s retractible as well, commencing 2012-10-31 (they want a three month stub-period so they can remain in control of proceedings). So for those 5 years, there’s a net cost to the company of $1.10 to keep the issue outstanding and it’s retractible. Who knows how things will turn out, but retractibles can be financed for less than $1 – at least, that’s what CGI did earlier this year, and there’s only one index-included operating-retractible issue out there with a YTW in excess of 4%. If the issue is called in 2007, the yield will have been 1.01%; if it survives until 2012, 3.62%. And, of course, there’s not really any chance of any upside with this thing.
BCE.PR.S RatchetRate 27,700 Easy come, easy go – the issue was down 0.7168% on the day. It would seem there is some question in the marketplace as to whether the tender will come to pass.
SLF.PR.C PerpetualDiscount 24,916 Closed at 24.43-64; the extremely similar SLF.PR.D closed at 24.65-89. It would appear the market is prepared to pay a gigantic premium for 9 extra months of non-callability … hmm, let me review my Expectations Theory …
DFN.PR.A SplitShares 24,135 Nice to see one of the little guys make the volume list! This has an entirely reasonable pre-tax YTW of 3.77% based on a bid price of $10.45 and a maturity in December 2009.

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

Posted in Market Action | No Comments »

HIMIPref™ PWF.PR.L Dividend Correction

Friday, October 13th, 2006

The recent dividend ex-date was in the database as 10/6 – this has now been corrected to 10/5.

The record date was listed as 10/8, which has been corrected to 10/10.

 Corrections were made as per the company website

Posted in Data Changes | 1 Comment »

October 12, 2006

Thursday, October 12th, 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 4.17% 4.01% 47,673 10.63 2 0.0991% 1,026.2
Fixed-Floater 4.97% 3.93% 198,305 6.68 7 -0.0321% 1,024.2
Floater 4.52% -19.20% 76,168 6.50 5 0.1038% 1,019.4
Op. Retract 4.68% 2.17% 88,174 2.41 17 0.0331% 1,016.6
Split-Share 4.94% 3.60% 62,132 3.03 10 0.0645% 1,016.1
Interest Bearing 6.90% 4.92% 55,243 2.03 7 -0.4305% 1,021.4
Perpetual-Premium 5.11% 3.94% 173,378 4.30 46 0.0653% 1,032.5
Perpetual-Discount 4.58% 4.61% 598,845 16.20 7 0.1916% 1,035.0
Major Price Changes
Issue Index Change Notes
STW.PR.A InterestBearing -1.1628% Pre-tax YTW now 5.35% at the current bid of 10.20, based on a maturity at the end of 2009.
Volume Highlights
Issue Index Volume Notes
AL.PR.F Scraps 193,850 Global crossed 95,000 for cash at $26.16, then 95,000 for regular settlement at 25.87. More fun and games! The issue closed at $25.22-49 and went ex-dividend today.
W.PR.J PerpetualPremium 41,300 Desjardins crossed 40,000 @ 25.36. This is a fairly attractive issue, with a pre-tax YTW of 4.80% based on a bid of 25.35 and a call in 2008.
WN.PR.A PerpetualPremium 31,040 Desjardins crossed 30,100 @ 26.10. This issue has a pre-tax YTW of 4.79% based on a bid price of $26.10 and a call in 2009. It becomes callable at the end of this year at $26.00, with the premium declining by $0.25 annually until 2010 when it will be callable at 25.00. It pays $1.45, so since Weston is only Pfd-2(low) (DBRS) it makes sense for them to keep the issue going until they reach the par-redemption period.
RY.PR.A PerpetualDiscount 22,150  
PWF.PR.L PerpetualPremium 21,560 I still like this issue, with its pre-tax YTW of 4.49% based on a bid of $26.12 and a call in 2015. The modified duration of its YTW scenario is 7.34 years, the highest in the PerpetualPremium index.

There were nineteen other index-included issues trading over 10,000 shares today.

Posted in Market Action | 5 Comments »

BCE.PR.T Reset Rate Announced

Thursday, October 12th, 2006

BCE has announced that the dividend rate on BCE.PR.T will be reset to 4.502% (or $1.1255 p.a. on a $25 par value share).

This issue is not currently outstanding, but is being offered in exchange for BCE.PR.S, a ratchet-rate issue.

BCE is currently contemplating reorganizing into an income trust and in connection with this is offering to purchase all outstanding preferred shares. They are offering $25.60 for BCE.PR.S and $25.75 for BCE.PR.T.

 BCE.PR.S closed on October 11 at $25.10-15. From a strictly yield-curve-comparative perspective, this issue is considered expensive by HIMIPref™ but, of course, it’s awfully tempting to buy all one can at these levels, convert to BCE.PR.T and await execution of all of BCE’s plans. Given that all this is event-driven, however, I will not state my views publicly at this time.

Posted in Issue Comments | 2 Comments »

October 11, 2006

Wednesday, October 11th, 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 4.18% 4.04% 46,829 10.62 2 0.9604% 1,025.2
Fixed-Floater 4.97% 3.85% 201,040 6.66 7 0.6456% 1,024.6
Floater 4.53% -18.28% 77,160 6.51 5 0.0718% 1,018.3
Op. Retract 4.69% 2.09% 88,814 2.42 17 -0.0501% 1,016.2
Split-Share 4.93% 3.69% 62,648 3.03 10 -0.2360% 1,015.5
Interest Bearing 6.87% 4.56% 54,878 2.04 7 0.1576% 1,025.8
Perpetual-Premium 5.11% 3.91% 173,541 4.30 46 0.0939% 1,031.8
Perpetual-Discount 4.59% 4.61% 608,834 16.19 7 0.0009% 1,033.0
Major Price Changes
Issue Index Change Notes
PIC.PR.A SplitShares -1.1077% Goes ex on 10/12 … I suspect that nobody bothered to put in a cum-dividend bid on the last cum-dividend day
BCE.PR.S Ratchet +1.0060% Closed at 25.10-15, 4×10. The potential tender is at $25.60
BAM.PR.G FixedFloater +1.0454% Scarcity Value? If the BCE transaction closes, these may be the only liquid issue that converts (and will by that time have converted) to Ratchets
BC.PR.B FixedFloater +1.8327% Closed at 25.56-84, 5×5. The potential tender is at $25.95
BCE.PR.Y Scraps +3.2787% Closed at 25.20-50, 10×5. The potential tender is at $25.60
Volume Highlights
Issue Index Volume Notes
BC.PR.E Ratchet 82,000 Mr. “Anonymous” sold a lot of shares today! RBC bought 25,000 @ 25.31 and two tranches of 10,000 each at 25.32; Scotia bought 15,000 @ 25.31 in two lots, then another 15,000 @ 25.32 in another two lots. Closed at 25.36-54, 20×10. The potential tender is at $25.60
POW.PR.A PerpetualPremium 34,133 National crossed 32,100 @ 25.72. Currently callable at $25.50, declining by $0.25 every June. It pays $1.40 … therefore the company has a net cost per annum of $1.15 to keep it outstanding, so that’s what they’re doing and saving issuance costs. YTW is currently negative, but will have been 3.99% if the issue remains alive until a call at $25.00 in 2008. This is an expensive perpetual, but a cheap retractible! Somebody’s betting on low rates continuing for another two years!
GWO.PR.I PerpetualDiscount 19,335 Comparable quality to SLF.PR.C and SLF.PR.D, but pays a little more!
SLF.PR.D PerpetualDiscount 15,800 Holding its own, anyway!
MFC.PR.B PerpetualPremium 11,750  

There was only one other index-included issue trading over 10,000 shares today.

Posted in Market Action | 2 Comments »

Effect of BCE / BC offer on indices

Wednesday, October 11th, 2006

As noted earlier in the post BCE to Make Offer for All BCE / BC Preferred Shares, there is a distinct possibility that a large number of preferred share issues will disappear in a few months’ time:

Indices Affected by BCE / BC Plan
Index Number of Issues Currently Included Number of Included Issues Affected Issues
RatchetRate 2 2 BCE.PR.S, BC.PR.E
FixedFloater 7 6 BC.PR.B, BCE.PR.A, BCE.PR.R, BC.PR.C, BCE.PR.Z, BCE.PR.C

Even if the offers don’t succeed totally, sufficient shares may be taken up and cancelled that any given issue may shrivel away and be eliminated from the index on volume considerations.

Should all current constituents of an index suffer such a fate (so that there are no issues in the HIMIPref™ universe that meet the conditions for inclusion), then performance numbers for each of these two indices will be computed from the “FloatingRate” index.

Posted in Index Construction / Reporting | No Comments »

HIMIPref™ Release : 2006-10-11

Wednesday, October 11th, 2006

There’s a new release of HIMIPref™ available for download at the usual place.

If you choose to install this upgrade, please, PLEASE remember to back-up your user data prior to re-installation!

This isn’t a very exciting upgrade, frankly – it is only made available to ensure that the Institutional and Administrative versions of the programme are kept synchronized – the major part of the upgrade was to the Administrative version and now, thanks to the miracle of modern automation, I will be able to commence a systematic computation of my FINAL preferred share indices!

There is no absolute necessity for Institutional users to install the new version – any old version that worked yesterday will continue to work today. There is the consideration that, in the unlikely event that (i) You find a bug, and (ii) the effect of this bug is different in the two versions, it will be much easier track down the error if we’re all singing from the same hymnbook.

Update, an hour later : Well, you’ll all be thrilled to know, I did remember an upgrade that will be noticable by institutional users: the appearance of the portfolioEvaluationReportContextMenu|Columns has been improved, with the choices organized a little more logically than “the order I did the programming” and separator lines. How’s that for vital?

Posted in Programme Changes | 1 Comment »

Index Changes Processed 2006-10-10

Wednesday, October 11th, 2006

There were two changes (intra-month changes!) in the indices on October 10:

Index Changes 2006-10-10
Issue From To Because
RY.PR.S PerpetualPremium N/A Redeemed
SLF.PR.D N/A PerpetualDiscount New Issue

Posted in Index Construction / Reporting | No Comments »

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