Archive for November, 2006

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November 30, 2006

Thursday, November 30th, 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 4.25% 4.18% 31,759 10.44 2 -0.0592% 1,020.3
Fixed-Floater 4.80% 3.83% 102,080 8.43 7 +0.0284% 1,030.1
Floater 4.46% -23.39% 62,948 6.59 5 +0.0863% 1,038.9
Op. Retract 4.65% -0.83% 81,579 2.24 18 +0.1305% 1,032.8
Split-Share 4.96% 2.89% 142,601 3.31 9 +0.4596% 1,039.8
Interest Bearing 6.92% 5.91% 70,697 3.87 7 -0.0537% 1,021.2
Perpetual-Premium 5.04% 3.41% 207,761 4.06 48 +0.1714% 1,050.0
Perpetual-Discount 4.60% 4.61% 1,094,641 14.20 9 +0.0318% 1,046.4
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.1089% Still bouncing around. It will be most interesting to see what has happened with respect to the annual redemption feature.
FFN.PR.A SplitShare +1.4164% Add this one to the list of Issues I Don’t Understand. At the closing bid of $10.74, this issue has a YTW of 2.66% based on its maturity 2009-12-01 at $10.00. Bond-equivalent is 3.72%, you can do better than that with a three-year Canada.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 96,275 Recent new issue.
SLF.PR.D PerpetualDiscount 51,020 Recent blue-light special.
GWO.PR.I PerpetualDiscount 38,150 Closed at $24.66-69 for a YTW of 4.55% based on a limitMaturity.
BAM.PR.M PerpetualDiscount 25,570 Recent New Issue.
ELF.PR.G PerpetualPremium 25,500 Nesbitt bought every share traded, in six tranches. At the closing bid of $25.41, YTW is 4.63% based on a call at par 2015-11-16.

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

Posted in Market Action | 2 Comments »

HIMI Preferred Indices : February, 1996

Thursday, November 30th, 2006

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

HIMI Index Values 1996-02-29
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,341.7 2 1.00 5.52 13.5 25M 5.86%
FixedFloater 1,340.4 0 0 0 0 0 0
Floater 1,264.9 7 1.55 5.54% 14.4 99M 5.82%
OpRet 1,142.1 29 1.33 5.88% 5.6 96M 6.77%
SplitShare 1,142.1 0 0 0 0 0 0
Interest-Bearing 1,142.1 0 0 0 0 0 0
Perpetual-Premium 1,145.2 5 1.00 4.70% 2.0 71M 7.88%
Perpetual-Discount 1,093.3 0 0 0 0 0 0

Index Constitution, 1996-02-29, Pre-Rebalancing

Index Constitution, 1996-02-29, Post-Rebalancing

Posted in HIMI Preferred Indices | No Comments »

November 29, 2006

Wednesday, November 29th, 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 4.24% 4.20% 32,632 16.91 2 -0.4784% 1,020.9
Fixed-Floater 4.81% 3.88% 102,696 8.44 7 -0.0333% 1,029.8
Floater 4.47% -22.93% 63,072 6.59 5 +0.0377% 1,038.0
Op. Retract 4.65% -0.58% 81,650 2.24 18 +0.0284% 1,031.5
Split-Share 4.98% 3.15% 144,077 3.32 9 -0.1287% 1,035.0
Interest Bearing 6.91% 5.87% 70,291 3.88 7 -0.1749% 1,021.8
Perpetual-Premium 5.05% 3.44% 209,930 4.11 48 +0.0539% 1,048.2
Perpetual-Discount 4.60% 4.61% 1,101,304 14.22 9 +0.1964% 1,046.1
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.9444% Now with a pre-tax bid-YTW of 3.16%, based on a bid of $10.59 and a maturity 2009-12-01.
CL.PR.B PerpetualPremium +1.4467% Not a big trader, but enough to make it into the index! This now has a pre-tax bid-YTW of -3.63, based on a bid of $26.30 and a call 2007-1-30 at $26.00, which would seem to limit the upside considerably! Buyers appear to be hoping it will last longer, say to a $25.00 call 2011-1-30, which results in a +4.76%, but come on, now! The thing pays $1.5625 – what treasurer will let it live? Canada Life is owned by Great-West Lifeco, who are not known for their complete lack of knowledge regarding the preferred share market.
Volume Highlights
Issue Index Volume Notes
CM.PR.I PerpetualDiscount 193,952 Recent new issue.
ACO.PR.A OperatingRetractible 150,294 This has been showing up a lot lately, on both price and volume counts. Today Nesbitt crossed 150,000 at $28.26 and it closed at 28.10 bid, for a pre-tax YTW of 1.58% based on a call 2008-12-31 at $26.00. Is somebody trying to sell an elephant?
WN.PR.E PerpetualDiscount 125,311 Maybe a PerpetualDiscount now, but not for long, maybe! RBC crossed 100,000 at $25.15 and it closed at $25.15 bid for a limitMaturity of 4.78%.
RY.PR.C PerpetualPremium 102,736 Recent new issue
MFC.PR.C PerpetualDiscount 65,955 Closed at $24.96 bid for a pre-tax YTW of 4.50% based on a limit maturity.

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

Posted in Market Action | 3 Comments »

Yield on Retractibles Index Goes Negative!

Wednesday, November 29th, 2006

Well, it had to happen sometime … the headline event has occurred.

It is, I admit, a bit of a crock – only three of the 18 members of the index have negative yields-to-worst. Due to the very short term-to-worst for these three issues (BMO.PR.G, RY.PR.K and BMO.PR.I) it doesn’t take very much of a price change to change the yield drastically. Since the averages I’m currently reporting are the means, this means that a few large negatives can drag down the whole index. The HIMI Preferred Indices, currently only compiled until January 1996 (but gaining fast!) will report the median averages.

Still, it’s a landmark! Those who like preferreds, but are not so fond of sub-zero yields, may wish to consider buying high-premium perpetuals … the high coupon on these makes it more likely they will be called, mitigating (but not eliminating!) the risk of having to hold a perpetual when you don’t want to. See How Long is Forever?, where I introduce some arithmetic to the question.

To get you started, I’m attaching “Portfolio Evaluations” of three of the indices:

OpRet

SplitShare

PerpetualPremium

Posted in Index Construction / Reporting | No Comments »

November 28, 2006

Wednesday, November 29th, 2006

Huh.

Past 11pm and I’ve only just found an internet connection that will allow me to update the prices … somebody’s been improving things again!

Prices have been updated on HIMIPref™ for November 28 but the daily report, I’m afraid, will have to wait. I’ll just quickly note that the volume leaders were BAM.PR.M, CM.PR.I, POW.PR.D, SLF.PR.D & CM.PR.G. Bad performance was registered by AL.PR.F; good performance by BSD.PR.A (which went ex-dividend today).

Update, 2006-11-29

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 4.22% 4.10% 32,977 10.48 2 +0.4921% 1,025.8
Fixed-Floater 4.80% 3.85% 105,137 6.68 7 +0.0341% 1,030.2
Floater 4.47% -22.96% 63,379 6.59 5 +0.0393% 1,037.6
Op. Retract 4.65% -0.23% 81,911 2.24 18 +0.1564% 1,031.2
Split-Share 4.98% 3.10% 144,946 3.32 9 +0.0806% 1,036.4
Interest Bearing 6.90% 5.62% 68,806 3.88 7 +0.2576% 1,023.6
Perpetual-Premium 5.05% 3.69% 211,468 4.13 48 +0.1393% 1,047.7
Perpetual-Discount 4.60% 4.62% 1,095,008 15.11 9 +0.0902% 1,044.0
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.7000%  
Volume Highlights
Issue Index Volume Notes
BAM.PR.M PerpetualDiscount 360,925  
CM.PR.I PerpetualDiscount 187,383  
POW.PR.D PerpetualPremium 118,855  
SLF.PR.D PerpetualDiscount 79,783  
CM.PR.G PerpetualPremium 75,900  

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

Posted in Market Action | 1 Comment »

HIMI Preferred Indices : January 1996

Tuesday, November 28th, 2006

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

HIMI Index Values 1996-01-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,328.0 1 0 0 0 0 0
FixedFloater 1,328.0 0 0 0 0 0 0
Floater 1,253.1 7 1.56 5.76% 14.2 76M 6.07%
OpRet 1,142.8 29 1.34 5.80% 5.7 89M 6.76%
SplitShare 1,142.8 0 0 0 0 0 0
Interest-Bearing 1,142.8 0 0 0 0 0 0
Perpetual-Premium 1,134.5 5 1.00 4.93% 2.1 83M 7.93%
Perpetual-Discount 1,083.2 0 0 0 0 0 0

Index Constitution, 1996-01-31, Pre-Rebalancing

Index Constitution, 1996-01-31, Post-Rebalancing

Posted in HIMI Preferred Indices | No Comments »

November 27, 2006

Monday, November 27th, 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 4.22% 4.18% 34,341 16.90 2 +0.1415% 1,020.8
Fixed-Floater 4.81% 3.89% 107,367 6.69 7 +0.1592% 1,029.8
Floater 4.47% -22.97% 64,012 6.58 5 +0.2759% 1,037.2
Op. Retract 4.65% 0.26% 81,492 2.24 18 +0.0992% 1,029.6
Split-Share 4.97% 3.22% 146,951 3.31 9 +0.0790% 1,035.5
Interest Bearing 6.90% 5.87% 67,940 3.87 7 +0.2321% 1,020.9
Perpetual-Premium 5.05% 3.74% 211,983 4.32 48 +0.1154% 1,046.2
Perpetual-Discount 4.60% 4.63% 1,072,456 16.17 9 +0.2252% 1,043.1
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet -1.8169% Losing some of Friday’s move, but still with a pre-tax YTW of only 1.57% based on a bid of $28.10 and a call 2008-12-31 at $26.00.
BSD.PR.A InterestBearing +1.0101% Whereas this one is building on Friday’s gains! Pre-tax YTW of 6.24%, based on a bid of $10.00 and a maturity 2015-3-31 at par. It goes ex-dividend tomorrow, Nov. 28, for those who are wondering how an issue with a 6.00% coupon priced at par can have a YTW of 6.24%.
RY.PR.B PerpetualPremium +1.0526% Huh! The day after I called it a shade expensive, it skyrockets. But I mean, holy smokes, look at the pre-tax YTWs:  

  • RY.PR.A 4.47%
  • RY.PR.B 4.23%
  • RY.PR.C 4.55%
  • RY.PR.W 4.21%

Someday, I’m sure, I’ll understand this market. But not just yet.
BC.PR.C FixedFloater +1.0950% This one now recovering somewhat from yesterday’s drop.
CM.PR.H PerpetualPremium +1.3774% Now has a pre-tax YTW of 4.41% based on a call 2014-4-29 at $25.00 and a bid of $25.76. Still, I call it a little expensive … not much, just a little, mainly because of optionDoubt.
Volume Highlights
Issue Index Volume Notes
BAM.PR.M PerpetualDiscount 283,500 Recent new issue
CM.PR.I PerpetualDiscount 212,142 Another recent new issue.
GWO.PR.X OpRet 52,393 Scotia crossed 50,000 at $27.53. Closed at $27.50-55 for a pre-tax bid-YTW of 2.83%, based on a call 2009-10-30 at $26.00. If it survives until its softMaturity 2013-9-29, it will have yielded 3.30% pre-tax … it’s basically bond-equivalent at the soft-maturity … with extra risk if they call it … why buy?
SLF.PR.D PerpetualDiscount 36,578 Continues the high-volume tradition that started with the clearance sale
CM.PR.B PerpetualPremium 34,245 This has been trading quite a bit since called for redemption.

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

Posted in Market Action | 1 Comment »

HIMI Preferred Indices : December, 1995

Monday, November 27th, 2006

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

HIMI Index Values 1995-12-29
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,307.0 0 0 0 0 0 0
FixedFloater 1,307.0 0 0 0 0 0 0
Floater 1,233.3 8 1.48 5.98% 13.9 74M 6.26%
OpRet 1,119.6 29 1.37 6.02% 5.5 84M 6.89%
SplitShare 1,119.6 0 0 0 0 0 0
Interest-Bearing 1,119.6 0 0 0 0 0 0
Perpetual-Premium 1,126.9 5 1.00 4.79% 2.2 67M 7.95%
Perpetual-Discount 1,075.9 0 0 0 0 0 0

Index Constitution, 1995-12-29, Pre-Rebalancing

Index Constitution, 1995-12-29, Post-Rebalancing

Posted in HIMI Preferred Indices | No Comments »

Research : Closed-End Preferred Funds : Effects of Calls

Saturday, November 25th, 2006

There are three major Preferred Share funds currently trading on the Toronto Stock Exchange : DPS.UN, PFD.PR.A and PFR.UN
There was an indication on the Financial Webring Forum that some people, at any rate, thought the dividends paid on these funds were secure and sustainable … so I wrote an article calculating just what would happen to the pay-outs on these funds as the underlying portfolios got called away and replaced with current-coupon issues.

Look for the Research Link!

  • Note: The “Y” axes of the two charts at the bottom left of the first page were mislabelled.
    • The “Y” axis of the chart “Projected Absolute Net Dividends” should be labelled “Projected Annual Dividend (dollars)”
    • The “Y” axis of the chart “Projected Relative Gross Dividends” should be labelled “Projected Relative Dividend (Current = 100)”
  • The following “extras” are provided here:

Posted in Publications | 10 Comments »

November 24, 2006

Friday, November 24th, 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 4.23% 4.13% 32,051 16.87 2 -0.1961% 1,019.3
Fixed-Floater 4.81% 3.88% 107,918 8.98 7 -0.0933% 1,028.2
Floater 4.48% -21.11% 63,591 6.58 5 +0.1580% 1,034.3
Op. Retract 4.66% 0.98% 80,778 2.25 18 +0.0209% 1,028.6
Split-Share 4.97% 3.14% 148,136 3.32 9 +0.0298% 1,034.7
Interest Bearing 6.92% 5.87% 66,915 3.87 7 +0.1651% 1,018.6
Perpetual-Premium 5.06% 3.81% 211,330 4.13 49 +0.0852% 1,045.0
Perpetual-Discount 4.61% 4.63% 1,059,606 15.09 9 +0.3749% 1,040.7
Major Price Changes
Issue Index Change Notes
CM.PR.R OpRet -1.8048% Ha! Yesterday I said “This issue simply looks expensive”, and look what happens! I swing a pretty big stick around here, eh? Either that or I’m simply spouting the obvious. The pre-tax bid-YTW is now 2.68%, based on a price of $26.66 and a call at $25.75 2008-05-30.
BC.PR.C FixedFloater -1.2360% Despite this drop, it remains the issue in the FixedFloater index with the lowest bid-YTW, based on a price of $25.57 and a call 2011-8-31 at $25.00.
RY.PR.A PerpetualDiscount +1.0200% Impressive performance with impressive volume of 90,550 shares! Pre-tax bid-YTW now relatively low in the PerpetualDiscount index (only MFC.PR.C is lower) at 4.50% based on a price of $24.76 and a limitMaturity.
BSD.PR.A InterestBearing +1.0204% On no trading! This one has been bouncing around a lot lately.
ACO.PR.A OpRet +2.0321% It seems like only yesterday I was calling this thing expensive, but it  was Wednesday. Shows how big a stick I swing around here. Still, with the pre-tax YTW now 0.65% based on a bid of $28.62 and a call 2008-12-31 at $26.00 (the buyers appear to be hoping it makes it to the day-before-retraction, so it will have earned a princely 2.64%), I’m sure the oblivious ingrates will get their come-uppance soon. In the medium term? Eventually? Please?
PAY.PR.A Scraps +2.28% I wrote about this one recently: the credit looks OK but I kept my mouth shut about valuation. Today’s massive gain was only a reversal of interim movement, because it closed with the same bid as the post mentioned: $25.57, for a pre-tax bid YTW of 4.06% based on a maturity 2008-7-31 at par.
Volume Highlights
Issue Index Volume Notes
BAM.PR.M PerpetualDiscount 338,043 Recent new issue, and a nice move on the day, closing at 24.75-88 for a pre-tax bid-YTW of 4.82%
SLF.PR.D PerpetualDiscount 187,657 Is everybody else as tired of the constant references to the clearance sale as I am? The blow-out sale was October 25; in the month since then it has returned 2.18%, with the help of an intervening dividend. The only index-included issues to have done better between October 25 & November 24 are: GWO.PR.H (PerpetualPremium), BAM.PR.B (huh? – Floater), POW.PR.D (PerpetualPremium), HSB.PR.D (PerpetualPremium), HPF.PR.B (Not in the indices, but I posted about it lately … it’s doing well just to spite me), LBS.PR.A (SplitShare) and … wait for it … the grand champion, ACO.PR.A, discussed above (OpRet). Still and all, SLF.PR.D’s performance has been quite good. Pre-tax bid-YTW is now 4.57%, based on a bid of $24.27 and a limitMaturity.
RY.PR.A PerpetualDiscount 90,550 Pre-tax bid-YTW of 4.50% based on a bid of $24.76 and a limit maturity.
RY.PR.B PerpetualPremium 59,350 Pre-tax Bid YTW of 4.37% based on a call at par 2015-9-23 and a bid of $25.65. Is the call protection really worth 13bp of yield? Nesbitt processed an internal cross of 55,000 shares at $25.61. I think it’s a shade expensive here, but what do I know?
CM.PR.I PerpetualDiscount 53,481 Recent new issue, now has a pre-tax bid-YTW of 4.73% based on a bid of $24.96.

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

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