Archive for December, 2006

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MAPF Returns: December 2006

Sunday, December 31st, 2006

The monthly return for Malachite Aggressive Preferred Fund has been calculated.

The unit price as of December 29, 2006, was $9.6213 after distribution of $0.121966 Capital Gains and $0.180846 Dividends.
Returns may therefore be calculated as:

Periods Ending December 29, 2006 Return (see Note)
Month +0.94%
Quarter +3.32%
Year +6.89%
Two Years (Annualized) +6.40%
Three Years (Annualized) +8.69%
Four Years (Annualized) +14.43%
Five Years (Annualized) +11.65%
MAPF returns are shown after expenses, but before fees.

Note that past performance should not be taken as a guarantee of future performance. You can lose money investing in MAPF or any other investment.
“But what about risk?” you ask, and I’m glad you asked that question. The following data is based on the Value Date portfolio.

All issues held in the portfolio are rated Pfd-2(low) or better by DBRS. 45% are rated Pfd-1(low) or better, 53% are rated either  Pfd-2(low) or Pfd-2, 2% of the portfolio is cash.

The composition of the portfolio in terms of the HIMI Preferred Indices is:

Index MAPF Composition
Ratchet 0%
Fixed-Floater 0%
Floating Rate 0%
OpRet 0%
SplitShare 42%
InterestBearing 0%
PerpetualPremium 54%
PerpetualDiscount 2%
Cash 2%

The nice thing about the returns is that they have been virtually entirely dividends and capital gains, resulting in a generally lower tax rate than for interest for most taxable investors.

The fund is now available to investors across Canada, provided they meet the definition of “accredited investors”. This is a new development, requiring a trivial amount of extra disclosure on my part (basically, I have to give you the right to back out of the purchase agreement within a week of subscription AND tell you that you have that right) and I’m very pleased. I’ll be issuing a press release in early January announcing this availability. 

For more information and documents regarding the fund, see the HIMI website

Posted in MAPF | 1 Comment »

December 29, 2006

Friday, December 29th, 2006
Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.10% 4.10% 31,372 17.27 1 +0.0000% 1,036.2
Fixed-Floater 4.78% 3.65% 90,998 8.40 7 +0.1127% 1,038.9
Floater 4.50% -19.07% 59,079 6.61 5 -0.1571% 1,036.7
Op. Retract 4.64% 0.09% 82,567 1.97 17 +0.1159% 1,033.7
Split-Share 5.08% 2.14% 234,234 2.51 9 +0.0496% 1,043.2
Interest Bearing 6.96% 6.12% 79,631 3.38 7 -0.2055% 1,031.4
Perpetual-Premium 5.02% 3.61% 258,326 4.39 52 -0.0373% 1,053.6
Perpetual-Discount 4.54% 4.54% 790,495 13.31 6 -0.1794% 1,057.8
Major Price Changes
Issue Index Change Notes
TD.PR.N OpRet -1.0881% On volume of 26 – count ’em, twenty-six – shares, to close at 27.27-13, 17×11. Now with a pre-tax bid-YTW of 2.65% based on a call 2009-5-30 at $26.00.
ACO.PR.A OpRet +1.0172% I don’t get it. This now has a pre-tax bid-YTW of 0.35% based on a bid of 28.8 and a call 2008-12-31 at $26.00. Even if it makes it to the softMaturity 2011-11-30, it will only have yielded 2.56% (PRE-tax) from these nose-bleed levels … and this latter, generous figure is only 3.58% interest-equivalent with an Ontario Equivalency Factor of 1.40. Three point Five Eight Percent? I can do better than that in Canadas. Retail.
LBS.PR.A SplitShare +1.0195% Still with a pre-tax bid-YTW of 3.75%, based on a bid of 10.90 and a hardMaturity 2013-11-29 at $10.00. An interest-equivalent rate of 5.25% is something I find MUCH more interesting for seven-year money.
BMO.PR.I OpRet +1.1650% Against all odds, this issue has gained in price since I mentioned it in November, to close at 26.05-07 1×50, on frenzied volume of 100 shares. That makes the pre-tax bid-YTW -26.38% (yes, NEGATIVE 26.38%), based on a call 2007-1-28 at 25.25. I can only imagine that people figure that since the issue has survived redemption possibilities since 2005-11-25, it will make it until the softMaturity 2008-11-24 at $25.00 … and they may be right! The issue pays $1.1875 so, by waiting until 2007-11-25 anyway, the bank can save another $0.25 call premium for a net cost of $0.9375 … which is about where BMO could issue new retractible prefs right now, assuming they wanted to. But so what? What’s the point of this analysis and risk-taking? If the things survive a year beyond that, to the softMaturity 2008-11-24, they will have yielded 2.72%, so it’s the same story as ACO.PR.A mentioned above: interest equivalent (factor 1.4) of 3.81% for two-year money? My cat can do better than that with Canadas.
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 46,040 RBC bought 10,000 shares of this recent new issue from Scotia at 10.39. But why wouldn’t the purchaser just set fire to his money instead, and save the aggravation of waiting? The pre-tax bid-YTW is 1.35% based on a call 2008-1-14 at $10.00. They must be hoping for survival until the hardMaturity 2011-12-15, which results in a yield of 3.99%. Some might make it. There will always be some capital unit holders who hang on to their stock and don’t force redemption. But it’s not a bet I would make.
SLF.PR.C PerpetualDiscount 18,500 RBC crossed 10,600 at 24.78, so we know at least one trader showed up for work today. Now with a pre-tax bid-YTW of 4.50% based on a closing bid of $24.79 and a limitMaturity.
CM.PR.I PerpetualPremium 17,075 Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.38 and a call 2016-3-1 at 25.00.
RY.PR.A PerpetualPremium 16,900 Now with a pre-tax bid-YTW of 4.48% based on a bid of 25.10 and a call 2015-6-23 at 25.00

That’s it! There were no other index-included issues with over 10,000 shares traded today. Happy New Year!

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HIMI Preferred Indices : October 1996

Friday, December 29th, 2006

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

HIMI Index Values 1996-10-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,448.3 0 0 0 0 0 0
FixedFloater 1,431.0 1 2.00 4.50% 15.7 175M 5.20%
Floater 1,363.7 7 1.55 3.66% 17.4 86M 3.99%
OpRet 1,239.4 26 1.30 4.71% 4.8 77M 6.54%
SplitShare 1,250.6 1 2.00 5.39% 5.7 3,085M 5.61%
Interest-Bearing 1,239.4 0 0 0 0 0 0
Perpetual-Premium 1,183.9 5 1.00 3.65% 2.6 127M 7.93%
Perpetual-Discount 1,130.3 0 0 0 0 0 0

Index Constitution, 1996-10-31, Pre-Rebalancing

Index Constitution, 1996-10-31, Post-Rebalancing

Posted in HIMI Preferred Indices | No Comments »

STW.PR.A : Stealth Redemption?

Friday, December 29th, 2006

I praised this issue as recently as yesterday:

This interest-bearing split-share is an attractive issue for RRSP-buyers: a call premium (currently callable at 10.60; declines by $0.20 at the beginning of every calendar year) ensures that if you do get called due to capital unit retractions, at least you get paid for your trouble.

I am now given to understand that this issue was partially called on December 19, with about one-eighth of the issue redeemed at the very nice price (for pref holders!) of $10.60. I have a high degree of confidence in this information.

This is very strange.

There’s no press release.

There’s nothing on their website.

There’s not even anything on SEDAR.

Those who have recently purchased the issue (it has rarely closed above $10.30 since mid-October) will be rather pleased – but really, the company could do a better job of communication.

 Update : There was an error in the HIMIPref™ database for the last dividend: the ex-Date should have been 12/27, not 12/28, which will have affected the reported daily return for 12/27 and 12/28. This has now been fixed. My apologies.

Posted in Data Changes, Issue Comments | 2 Comments »

December 28, 2006

Thursday, December 28th, 2006

Data has been input to the HIMIPref™ database but commentary will not be ready until tomorrow. My apologies.

Update (finally!)

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.10% 4.10% 32,656 17.26 1 +0.0000% 1,036.2
Fixed-Floater 4.78% 3.71% 94,105 6.54 7 +0.0567% 1,037.8
Floater 4.49% -19.48% 60,693 6.63 5 -0.0156% 1,038.3
Op. Retract 4.65% 0.74% 84,850 2.17 17 +0.1165% 1,032.5
Split-Share 5.08% 2.06% 238,695 2.50 9 -0.1115% 1,042.7
Interest Bearing 6.94% 5.62% 80,252 1.60 7 +0.9179% 1,033.5
Perpetual-Premium 5.02% 3.56% 266,101 4.41 52 -0.0054% 1,054.0
Perpetual-Discount 4.53% 4.52% 810,985 11.74 6 -0.0986% 1,059.6
Major Price Changes
Issue Index Change Notes
DFN.PR.A SplitShare -1.3084%  
ELF.PR.G PerpetualPremium -1.0054%  
BSD.PR.A InterestBearing +1.0101%  
CM.PR.P PerpetualPremium +1.0101%  
MST.PR.A InterestBearing +1.4808%  
STW.PR.A InterestBearing +3.4619%  
Volume Highlights
Issue Index Volume Notes
TD.PR.N OpRet 115,700  
MIC.PR.A Scraps 90,000  
TD.PR.M OpRet 50,000  
GWO.PR.I PerpetualDiscount 15,665  
SLF.PR.D PerpetualDiscount 14,402  

There were two other index-included issues with over 10,000 shares traded today.

 Update: There was an error in the calculation of returns for ELF.PR.G – it went ex-dividend on 12/28 and the dividend was improperly recorded in HIMIPref™. This error has now been corrected.

Posted in Data Changes, Market Action | 1 Comment »

HIMI Preferred Indices : September, 1996

Thursday, December 28th, 2006

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

HIMI Index Values 1996-09-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,407.9 0 0 0 0 0 0
FixedFloater 1,405.0 0 0 0 0 0 0
Floater 1,325.7 6 1.65 4.36% 16.4 76M 4.81%
OpRet 1,202.9 24 1.28 5.43% 5.1 80M 6.74%
SplitShare 1,202.9 0 0 0 0 0 0
Interest-Bearing 1,202.9 0 0 0 0 0 0
Perpetual-Premium 1,167.7 5 1.00 4.41% 1.6 110M 8.01%
Perpetual-Discount 1,114.8 0 0 0 0 0 0

Index Constitution, 1996-09-30, Pre-Rebalancing

Index Constitution, 1996-09-30, Post-Rebalancing

Posted in HIMI Preferred Indices | 4 Comments »

December 27, 2006

Wednesday, December 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 4.11% 4.11% 33,993 17.25 1 +0.3449% 1,036.2
Fixed-Floater 4.79% 3.78% 96,608 6.56 7 +0.1201% 1,037.2
Floater 4.49% -19.67% 62,459 6.63 5 -0.1167% 1,038.5
Op. Retract 4.65% 1.41% 85,715 2.17 17 -0.1333% 1,031.3
Split-Share 5.07% 2.06% 242,391 2.51 9 0.0689% 1,043.8
Interest Bearing 6.99% 6.22% 81,563 1.83 7 -0.2637% 1,024.1
Perpetual-Premium 5.02% 3.71% 273,892 4.23 52 -0.0809% 1,054.1
Perpetual-Discount 4.53% 4.51% 828,112 11.73 6 +0.0202% 1,060.7
Major Price Changes
Issue Index Change Notes
CM.PR.R OpRet -1.6760% Now with a pre-tax bid-YTW of 2.70% based on a bid of 26.40 and a call at 25.75 on 2008-5-30. Yields 3.97% if it lasts until the softMaturity at par 2013-4-29, but given that it pays $1.238 (probably more than CIBC would have to pay on a new perpetual) I doubt it – especially since the call premium declines by only $0.15 annually.
WN.PR.C PerpetualPremium -1.4460% Now with a pre-tax bid-YTW of 4.65% based on a bid of 25.90 and a call at 25.00 on 2014-7-31.
CM.PR.P PerpetualPremium -1.3653% Now with a pre-tax bid-YTW of 4.11% based on a bid of 26.73 and a call 2012-11-28 at 25.00.
STW.PR.A InterestBearing -1.1730% Now with a pre-tax bid-YTW of 6.08% (mainly as interest!) based on a bid 10.11 and a hardMaturity 2009-12-31 at $10.00. This interest-bearing split-share is an attractive issue for RRSP-buyers: a call premium (currently callable at 10.60; declines by $0.20 at the beginning of every calendar year) ensures that if you do get called due to capital unit retractions, at least you get paid for your trouble.
TCA.PR.X PerpetualPremium -1.0939% Feeling the effects of the credit review? Now has a pre-tax bid-YTW of 4.34% based on a bid of 53.55 and a call 2013-11-14 at 50.00. Now trading with an enormous spread: the quote is 53.55-54.61.
W.PR.J PerpetualPremium +1.0148% Now with a pre-tax bid-YTW of 0.58% based on a bid of 25.53 and a call 2007-1-26 at 25.50. Obviously, there are some who believe it will last longer, despite its rich $1.40 p.a. dividend.
BC.PR.C FixedFloater +1.3617% ex-Dividend today, but it doesn’t look as if anybody noticed!
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 77,368 Recent new issue, now with a pre-tax bid-YTW of 1.63% based on a bid of 10.34 and a call 2008-1-14 at $10.00. I’m avoiding it!
PWF.PR.K PerpetualPremium 31,190 Scotia crossed 30,000 at 26.55. Now with a pre-tax bid-YTW of 4.19% based on a bid of 26.50 and a call 2014-11-30 at 25.00
CM.PR.H PerpetualPremium 16,695 Now with a pre-tax bid-YTW of 4.34% based on a bid of $25.65 and a call 2014-4-29 at 25.00
PWF.PR.F PerpetualPremium 14,300 Now with a pre-tax bid-YTW of 4.40% based on a bid of 26.00 and a call 2010-12-30 at 25.00. I call it somewhat expensive, for all that it will earn a dividend early in the new year.
GWO.PR.I PerpetualDiscount 13,430 Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.95 and a limitMaturity

There were two other index-included issues with over 10,000 shares traded today.

Posted in Market Action | 2 Comments »

December 22, 2006

Friday, December 22nd, 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 4.12% 4.14% 35,385 17.16 1 +0.4014% 1,032.7
Fixed-Floater 4.78% 3.67% 96,817 8.36 7 -0.0103% 1,035.0
Floater 4.49% -19.21% 63,418 0.23 5 +0.0255% 1,039.7
Op. Retract 4.65% 0.71% 85,770 1.99 17 +0.0007% 1,032.6
Split-Share 5.06% 2.26% 246,599 2.52 9 -0.1957% 1,043.1
Interest Bearing 6.96% 5.83% 82,895 1.84 7 -0.1042% 1,026.8
Perpetual-Premium 5.01% 3.53% 280,147 4.21 52 -0.0056% 1,054.9
Perpetual-Discount 4.53% 4.50% 854,997 11.75 6 -0.0066% 1,060.5
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing -2.4704% Giving up yesterday’s gains and more! Closed at 9.87-17, with a single trade of 2,900 shares at $10.10 – Christmas break! Now with a pre-tax bid-YTW of 6.27% (mostly interest!) based on the 9.87 bid and a hardMaturity 2015-3-31 at 10.00
LBS.PR.A SplitShare -1.3587% This one merely gave up a lot of yesterday’s gains. Now with a pre-tax bid-YTW of 3.92% based on a bid of $10.89 and a hardMaturity 2013-11-29 at 10.00.
MST.PR.A InterestBearing +1.3659% Now with a pre-tax bid-YTW of 5.49% based on a bid of 10.39 and a hardMaturity 2009-9-30.
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 518,756 Now with a pre-tax bid-YTW of 2.79% based on a bid of 26.18 and a call 2007-11-30 at 25.75. It pays a whopping 1.325 p.a., so I’ll go out on a limb and suggest it won’t make it to the 2011-7-30 softMaturity, which would yield 4.07%
FBS.PR.B SplitShare 114,900 Recent new issue. Now with a pre-tax bid-YTW of 1.61% based on a bid of 10.34 and a call 2008-1-14 at 10.00. Too much call-risk for my blood.
LBS.PR.A SplitShare 56,150 Scotia crossed 46,300 at $11.00. Now with a pre-tax bid-YTW of 3.92% based on a bid of $10.89 – way down from yesterday! – and a hardMaturity 2013-11-29 at 10.00
MFC.PR.A OpRet 22,755 Scotia crossed 18,500 at 26.91. Now with a pre-tax bid-YTW of 3.10% based on a bid of 26.95 and a call 2011-7-19 at $26.00. Neatly, the yield until its softMaturity 2015-12-18 is 3.12%, so take your pick.
CM.PR.I PerpetualPremium 22,479 Now with a pre-tax bid-YTW of 4.50% based on a bid of $25.30 and a call 2016-3-1 at 25.00

There were ten other index-included issues with over 10,000 shares traded today.

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TCA.PR.X and TCA.PR.Y Credit Review : Developing Implications

Friday, December 22nd, 2006

Transcanada Pipelines did a deal!

TransCanada Corporation (TransCanada) today announced plans to significantly expand its continental natural gas pipeline and storage operations by acquiring ANR Pipeline Company and ANR Storage Company (collectively, ANR) and an additional 3.55 per cent interest in Great Lakes Gas Transmission Limited Partnership (Great Lakes) from El Paso Corporation. The total purchase price is US$3.4 billion, subject to certain closing adjustments, and includes US$457 million of assumed debt.

… 

TransCanada intends to fund the acquisition in a manner consistent with maintaining its strong financial position and TransCanada PipeLines Limited’s ‘A’ credit ratings recognizing the solid strategic fit and business fundamentals of the acquired assets. In addition to the assumption of existing debt, the acquisition will be financed with components of incremental debt as well as a significant amount of new equity. TransCanada expects the transaction to be accretive to earnings and cash flow in the first full year of ownership. Pending regulatory approvals, the acquisition is expected to close in the first quarter of 2007.

We will see what they have in mind! DBRS has reacted:

Dominion Bond Rating Service (DBRS) has today placed the following ratings of TransCanada PipeLines Limited (TCPL or the Company) Under Review with Developing Implications”: First Mortgage Bonds, Unsecured Debentures & Notes, Preferred Securities (COPrS) and Preferred Shares – cumulative. Concurrently, DBRS has confirmed TCPL’s Commercial Paper rating at R-1 (low) with a Stable trend.

 

Posted in Market Action | 4 Comments »

December 21, 2006

Thursday, December 21st, 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% 4.16% 36,631 17.12 1 +0.3626% 1,028.6
Fixed-Floater 4.78% 3.70% 98,254 8.37 7 +0.1069% 1,036.0
Floater 4.49% -19.12% 62,973 0.34 5 -0.2412% 1,039.4
Op. Retract 4.64% 0.83% 85,845 1.99 17 +0.0792% 1,032.6
Split-Share 5.05% 1.59% 247,470 2.52 9 +0.2801% 1,045.2
Interest Bearing 6.95% 6.06% 83,034 2.34 7 +0.1688% 1,027.9
Perpetual-Premium 5.00% 3.57% 284,961 4.21 52 +0.0139% 1,055.0
Perpetual-Discount 4.53% 4.50% 879,559 11.75 6 -0.0598% 1,060.6
Major Price Changes
Issue Index Change Notes
TOC.PR.B Floater -1.6026% Nesbitt was on the sell side for every trade, starting in the morning at 25.77 and ending with a cross of 12,400 at 25.50.
FFN.PR.A SplitShare -1.1278% Now with a pre-tax bid-YTW of 3.48% based on a price of $10.52 and a hardMaturity 2009-12-01 at 10.00
BSD.PR.A InterestBearing +1.0989% Now with a pre-tax bid-YTW of 5.88% (as interest!) based on a bid of $10.12 and a hardMaturity 2015-3-31 at 10.00
LBS.PR.A SplitShare +2.0333% Now with a pre-tax bid-YTW of 3.68%, based on a bid of $11.04 and a hardMaturity 2013-11-29 at 10.00
Volume Highlights
Issue Index Volume Notes
CL.PR.B PerpetualPremium 300,000 Not usually much of a trader, but RBC crossed 150,000 at 26.15 for cash and Nesbitt crossed the same amount at 25.97 for delayed delivery … very similar to the trading on December 18! Hmmmm….. I pontificated November 29 that this was a prime candidate for redemption, but there’s been no news yet. The pre-tax bid-YTW is now 1.65% based on a bid of $26.09 and a call 2007-1-30 at 26.00. The next ex-date is 2007-3-1, so if the funny settlements are a dividend capture/avoidance game, it’s a deep one!
GWO.PR.X OpRet 188,968 Yesterday’s heavy trading continues. Now with a pre-tax bid-YTW of 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00 … but given that it’s a retractible paying 1.20, with the call premium declining at 0.33 p.a., it might make it to the softMaturity 2013-9-29, yielding 3.15%.
CM.PR.D PerpetualPremium 312,702 Another very-high-priced perpetual, at 27.51b. Nesbitt crossed 100,000 at 27.68. Now with a pre-tax bid-YTW of 1.91% based on a bid of 27.54 and a call 2008-5-31 at $26.00. It might last until 2012-5-30, to have yielded 3.86%. With an annual dividend of 1.4375, it might not!
PWF.PR.J OpRet 81,463 TDSecurities processed an internal cross of 75,000 shares at 27.03. Now with a pre-tax bid-YTW of 2.30% based on a bid of 26.98 and a call 2008-5-30 at 26.00. It might make it to the soft maturity 2013-7-30, yielding 3.48%. Might.
GWO.PR.I PerpetualDiscount 56,685 National processed an internal cross of 20,000 at 24.92. Now with a pre-tax bid-YTW of 4.52% based on a bid of 24.92 and a limitMaturity.
CM.PR.I PerpetualPremium 46,391 Now with a pre-tax bid-YTW of 4.57% based on a bid of 25.42 and a call 2016-3-1 at 25.00.

There were twenty-three other index-included issues with over 10,000 shares traded today.

Posted in Market Action | 1 Comment »

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