Archive for November, 2006

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HIMI Preferred Indices : February, 1995

Monday, November 13th, 2006

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

HIMI Index Values 1995-2-28
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,095.9 0 0 0 0 0 0
FixedFloater 1,095.9 0 0 0 0 0 0
Floater 1,034.1 4 1.44 7.78% 11.5 98M 8.65%
OpRet 983.8 20 1.29 7.21% 5.1 81M 7.34%
SplitShare 983.8 0 0 0 0 0 0
Interest-Bearing 983.8 0 0 0 0 0 0
Perpetual-Premium 1,021.5 6 1.16 6.93% 3.8 54M 8.42%
Perpetual-Discount 1,004.8 1 1.00 7.45% 12.0 52M 7.39%

Index Constitution, 1995-2-28, Pre-Rebalancing

Index Constitution, 1995-2-28, Post-Rebalancing

Posted in HIMI Preferred Indices | No Comments »

November 10, 2006

Monday, November 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 4.15% 4.10% 35,185 10.58 2 -0.0600% 1,018.3
Fixed-Floater 4.81% 3.96% 129,240 13.41 7 +0.0623% 1,028.2
Floater 4.51% -20.34% 67,182 6.51 5 +0.1193% 1,028.5
Op. Retract 4.67% 0.50% 80,537 2.28 18 -0.0129% 1,026.4
Split-Share 5.01% 3.54% 170,350 3.34 9 0.0137% 1,027.8
Interest Bearing 6.92% 5.32% 62,737 2.39 7 -0.3642% 1,017.9
Perpetual-Premium 5.07% 3.85% 236,060 3.85 49 -0.0161% 1,043.2
Perpetual-Discount 4.58% 4.61% 580,187 16.18 7 +0.1522% 1,037.5
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -1.2109% Plunges again! Sure has been volatile, lately.
FCN.PR.A InterestBearing -1.0837% What goes up, must come down! Sometimes, anyway.
Volume Highlights
Issue Index Volume Notes
BCE.PR.Z FixedFloater 225,763  
SLF.PR.C PerpetualDiscount 144,610  
GWO.PR.X OpRet 104,531  
SLF.PR.D PerpetualDiscount 41,700 Up a lot today! Gained 0.8717% (bid/bid); recovering from the sale.
CM.PR.B PerpetualPremium 27,180 Will be redeemed in January.

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

Posted in Market Action | 1 Comment »

Data Delay : 2006-11-10

Friday, November 10th, 2006

I’ve waited a while, but it’s time for supper! The TSX has not yet made available the closing quotations via my standard pipeline, so HIMIPref™ will not be updated at this time. I’m sure everything will be in order long before Monday’s opening, but will update this post when prices are updated.

No Market Action report until I’ve got my prices!

Mind you, though, SLF.PR.D moved up today, closing at 24.30-33, 24×6, up from 24.09-14 yesterday. A nice move, which although not worthy of a mention in “Major Price Changes”, will be very gratifying to those who bought during the sale. The virtually identical SLF.PR.C (which should be always priced equal-to-slightly-lower in price, according to the Efficient Market Hypowhatsit) closed at $24.51-65, 4×20, on volume of 144,610 shares. RBC crossed 90,000 shares, Nesbitt crossed 50,000. Has it truly become that difficult to buy SLF.PR.D in size? Doesn’t seem reasonable, somehow…

Update, 2006-11-11 : OK, prices are in. It’s not something I normally look at, but I did see that the spread between BBD.PR.B & BBD.PR.D seems a little wide … perhaps that’s something for me to write about next week …

Posted in HIMIPref News | 1 Comment »

HIMI Preferred Indices : January, 1995

Friday, November 10th, 2006

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

HIMI Index Values 1995-1-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,108.0 0 0 0 0 0 0
FixedFloater 1,108.0 0 0 0 0 0 0
Floater 1,045.6 4 1.44 7.36% 12.1 108M 8.40%
OpRet 955.6 19 1.30 7.65% 5.8 67M 7.50%
SplitShare 955.6 0 0 0 0 0 0
Interest-Bearing 955.6 0 0 0 0 0 0
Perpetual-Premium 1,003.0 5 1.19 7.60% 3.9 50M 8.56%
Perpetual-Discount 972.8 1 1.00 7.65% 11.8 40M 7.63%

Index Constitution, 1995-1-31, Pre-Rebalancing

Index Constitution, 1995-1-31, Post-Rebalancing

Posted in HIMI Preferred Indices | No Comments »

ENB.PR.A

Friday, November 10th, 2006

This member of the premiumPerpetual index slid into negative YTW territory, so let’s have a look at it.

The listing date was 1998-12-01 and it pays $1.375 annually on a par value of $25: 5.5%. The option schedule (as shown on the embeddedOptionsBox) is:

  • Redemption      2003-12-02      2004-12-01  26.000000
  • Redemption      2004-12-02      2005-12-01  25.750000
  • Redemption      2005-12-02      2006-12-01  25.500000
  • Redemption      2006-12-02      2007-12-01  25.250000
  • Redemption      2007-12-02   INFINITE DATE  25.000000

which at the 2006-11-09 quotation of $25.72-95 leads to the following call scenarios, reported on the pseudoPortfolioReportBox:

  • Call  2006-12-09 YTM: 7.42 % [Restricted: 0.61 %] (Prob: 25.91 %)
  • Call  2007-01-01 YTM: -0.26 % [Restricted: -0.04 %] (Prob: 13.07 %)
  • Call  2007-10-05 YTM: 4.53 % [Restricted: 4.09 %] (Prob: 5.00 %)
  • Call  2008-01-01 YTM: 3.87 % [Restricted: 3.87 %] (Prob: 5.43 %)
  • Limit Maturity  2036-11-09 YTM: 5.44 % [Restricted: 5.44 %] (Prob: 50.59 %)

One feature of the calculations is the fact that the issue goes ex-Dividend TODAY, November 10, and at time of writing is quoted at 25.46-57 on volume of 2,100 shares. It doesn’t look as if anybody got caught on the ex-Dividend, with the odd skip-day of November 13 (odd because the TSX is open, but banks are closed): the day’s range is 25.46-55. So it’s lost $0.26 (bid/bid) on the day, having gone ex a dividend of $0.34375. Which means it’s actually up!

I’ve attached some graphs, prepared by the graphDocument:

 

Posted in Issue Comments | 2 Comments »

November 9, 2006

Thursday, November 9th, 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 4.14% 4.08% 35,174 10.59 2 0.2612% 1,018.9
Fixed-Floater 4.82% 3.98% 131,337 15.27 7 +0.6388% 1,027.6
Floater 4.51% -19.47% 67,819 6.52 5 -0.0711% 1,027.3
Op. Retract 4.66% 0.73% 80,953 2.28 18 -0.0132% 1,026.5
Split-Share 5.01% 3.51% 172,327 3.51 9 0.1017% 1,027.7
Interest Bearing 6.90% 4.93% 61,925 1.93 7 +0.2434% 1,021.7
Perpetual-Premium 5.07% 3.91% 240,929 3.91 49 +0.0461% 1,043.4
Perpetual-Discount 4.58% 4.62% 581,675 16.15 7 +0.1101% 1,036.0
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.0194% Continues to recover from the November 7 plunge, closing at $9.91-99, 3×3
BCE.PR.Z FixedFloater +2.9857% Recovers most of the ground lost yesterday, closing at $25.18-25, 5×10 on volume of 2,690 shares. The low for the day was $25.10.
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 207,380 Nesbitt crossed 200,000 at 25.90 just before 10am, leading one to suspect that these were the same 200,000 shares as they crossed yesterday.
MFC.PR.C PerpetualDiscount 75,800 Don’t let its index assignment fool you! These closed today at 25.05-09, 19×10, but aren’t as close to inclusion in PerpetualPremium as you might think. YTW is 4.54% based on a limitMaturity, 2036-11-09. “Huh?” you inquire? These things are full of dividend, having a record date of November 15, and therefore go ex-dividend tomorrow (Rememberance Day).
BAM.PR.K Floater 50,000 On one trade, a cross by Scotia at $24.55.
SLF.PR.D PerpetualDiscount 46,515 Up a bit today. Volume continues to be heavy after the clearance sale.
HSB.PR.D PerpetualPremium 45,800 National crossed 37,100 at 26.65; they closed at $26.64-78, 3×9. YTW is 4.16% based on a call 2015-1-30, which seems pretty skimpy.

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

Posted in Market Action | 1 Comment »

HIMI Preferred Indices : December, 1994

Thursday, November 9th, 2006

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

HIMI Index Values 1994-12-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,106.9 0 0 0 0 0 0
FixedFloater 1,106.9 0 0 0 0 0 0
Floater 1,044.5 4 1.45 6.33% 13.4 97M 7.55%
OpRet 975.3 20 1.29 7.19% 5.2 71M 7.35%
SplitShare 975.3 0 0 0 0 0 0
Interest-Bearing 975.3 0 0 0 0 0 0
Perpetual-Premium 1,028.1 5 1.19 6.84% 3.9 53M 8.32%
Perpetual-Discount 1,011.2 1 1.00 7.46% 11.9 39M 7.34%

Index Constitution, 1994-12-30, Pre-Rebalancing

Index Constitution, 1994-12-30, Post-Rebalancing

Posted in HIMI Preferred Indices | No Comments »

Brookfield Asset New Issue : Perp, 4.75%

Thursday, November 9th, 2006

I have been advised that there is a new issue contemplated: Brookfield Asset Management, 4.75%, Perpetual.

8-million shares at $25.00 : $200-million issue.

Closing Nov. 20, 2006

Options:

  • Redemption      2012-01-31      2013-01-30  26.000000
  • Redemption      2013-01-31      2014-01-30  25.750000
  • Redemption      2014-01-31      2015-01-30  25.500000
  • Redemption      2015-01-31      2016-01-30  25.250000
  • Redemption      2016-01-31   INFINITE DATE  25.000000

Initial reaction:

More or less fairly priced, if it stays highly liquid. Compare it with the WN.PR.E, which has the same coupon and credit rating; the call schedule commences 6 months earlier; and it closed last night at $24.98-04.

Comparison using “Taxable Curve”
Component of Curve Price BAM.PR.? WN.PR.E
Price due to base-rate 24.03 24.14
Price due to short-term 0.09 0.09
Price due to long-term 0.46 0.49
Price to to Cumulative Dividends 0.05 0.05
Price due to Credit Spread (2) -0.48 -0.52
Price due to Credit Spread (Low) -0.48 -0.52
Price due to error 0.00 0.06
Intrinsic Value 23.67 23.79
Price due to Liquidity 1.49? 1.49
Curve Price 25.16 25.28

Posted in New Issues | 1 Comment »

November 8, 2006

Wednesday, November 8th, 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 4.15% 4.09% 35,862 10.58 2 -0.1001% 1,016.2
Fixed-Floater 4.85% 4.03% 134,147 16.96 7 -0.6917% 1,021.0
Floater 4.51% -19.81% 66,942 6.52 5 -0.1258% 1,028.0
Op. Retract 4.66% 0.81% 81,840 2.28 18 0.0150% 1,026.6
Split-Share 5.01% 3.54% 174,440 3.54 9 0.0878% 1,026.6
Interest Bearing 6.92% 5.03% 61,985 1.92 7 +0.2520% 1,019.2
Perpetual-Premium 5.07% 3.92% 243,551 3.92 49 +0.0430% 1,042.9
Perpetual-Discount 4.59% 4.63% 584,513 16.14 7 +0.0871% 1,034.8
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater -3.7780% Closed at $24.45-13, 13×7. A few shares actually traded as low as $23.72; total volume was 5,681 shares, a little above average for this issue but not remarkably so. I guess a few investors have decided that the offer at $25.75 just ain’t gonna happen!
BCE.PR.R FixedFloater -1.1346% Closed at $25.27-55, 7×3 on highish-but-not-extremely-so volume of 6,300 shares. Just as above: maybe retail now figures that offer at $26.05 just ain’t gonna happen!
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 206,220 Nesbitt crossed 200,000 at $25.90. At the closing bid of $25.87, this issue has a pre-tax YTW of 4.38% based on a call at $25.00 2010-12-30.
RY.PR.C PerpetualDiscount 132,200 Recent new issue
CU.PR.T Scraps 110,000 Nesbitt crossed 110,000 at $25.60 and it closed at 25.28-77. This is a silly issue. It is currently redeemable at $25.00, pays $1.475, and has a pre-tax YTW of -11.82% based on an immediate call. There are 2,277,675 shares outstanding, for a quoted market value of just over $58-million. So it pays a lot, attracts listing fees and is generally a prime candidate for being called. But it isn’t called! According to the company’s third-quarter statement “on October 11, 2006, the AEUB issued a decision which resulted in no significant impact on earnings. Among other things, the decision upheld ATCO’s treatment of pension costs and approved the continued use of preferred shares. In addition, the decision approved minimal changes to head office rent expense and executive compensation.” When we look at the actual decision, we find “CG submitted that the Board should address what proportion of the capital structure, if any,equity preferred shares should constitute. CG further submitted that the Board should direct AU to redeem the series Q, R and S preferred shares which are open for redemption and that this would result in the preferred share level falling to a more appropriate level of about 3%.” In other words, these things only exist due to regulatory boneheadism and game-playing thereof. Too risky. Ick.
CU.PR.V Scraps 100,000 Nesbitt crossed 100,000 at $25.40 – it closed at 25.26-42. Currently callable at $25.00, pays $1.325, CU is a Pfd-2(high) issuer by DBRS. See above discussion of CU.PR.T. Ah, the joys of regulated cost-plus financing!
W.PR.H PerpetualPremium 69,300 Scotia crossed 68,500 at $26.50. At the closing bid of $26.49, this has a YTW of 4.49% based on a call 2013-2-14. It pays $1.375 and has no declining-call-premium period to complicate things, so one could regard this as a reasonably defensive perpetual issue (in that rates will have to go up substantially before it trades below par). But I think its expensive.

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

Posted in Market Action | 3 Comments »

HIMIPref™ Data Changes : FAL.PR.F, FAL.PR.G, BMO.PR.I

Wednesday, November 8th, 2006

As noted in an earlier post, Falconbridge’s new owners redeemed the issues FAL.PR.F (securityCode A36042) and FAL.PR.G (security code A36043). These entries have now been processed to the HIMIPref™ database, delistingDate 2006-11-02.

A rounding error was discovered in the instrumentDataRecord for BMO.PR.I, which has been recently discussed. The dividendRate had been recorded as $1.188 and has now been corrected to $1.1875.

Posted in Data Changes | No Comments »

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