Archive for January, 2007

New Issue : NB Split Corp 4.75% Retractible

Wednesday, January 31st, 2007

NB Split Corp. announced today (via CCN Matthews) that “it has filed and received a receipt dated January 30, 2007, from the securities regulators of all the Canadian provinces, for the final prospectus for the initial public offering of Capital Shares and Preferred Shares of the Company”.

This is not an issue that I intend to add to the HIMIPref™ database as I do not think the preferred shares will be tradeable for long. This is irritation, because NB Split has a spiffy website, but the terms of the prefs are not quite so spiffy.

They carry a 4.75% annual dividend and have been provisionally rated Pfd-2(low) by DBRS. Closing of the offering should be on or about February 22, 2007, and the company intends to wind up Feb 15, 2012. So far so good.

BUT there is an annual redemption at par in order to match the number of Capital Units retracted as a “Special Annual Retraction”. And there are no provisions to halt (admittedly skimpy) distributions to the Capital Unitholder Scum if asset coverage declines below a threshold.

Given the high coupon attached to these things, I suggest that immediately upon issue they will rise in price to a premium above par that will leave the currentYield at an attractive level while leaving the yieldToWorst at an unattractive level. They will, at such levels, contain a huge amount of call risk – great to hold, as long as they don’t get called!

Mind you, anybody able to sweet-talk their broker into giving them an allocation of the prefs at par without having to buy Capital Units should make some good money from the flip. Send me the name of your broker!

So, unless captured by a band of marauding clients and tortured, I do not intend to add these shares to the HIMIPref™ database.

New Symbols for BC.PR.A / BC.PR.B / BC.PR.C / BC.PR.D / BC.PR.E

Wednesday, January 31st, 2007

As noted in this Blog and on the BCE Website, all the captioned Bell Canada preferreds will be exchanged for BCE Inc. Preferreds. The only thing you don’t know is the effective date and new symbols. Until now.

BC / BCE Ticker Change
Series Old Ticker Old Security Code New Ticker New Security Code
15 BC.PR.A BCE.PR.E
17 BC.PR.B A38006 BCE.PR.G A39014
19 BC.PR.C A38005 BCE.PR.I A39016
16 BC.PR.D BCE.PR.F
18 BC.PR.E A38007 BCE.PR.H A39015

The new symbols are effective for trading Thursday February 1, 2007.

I’ll add columns for the old and new securityCodes later, when I process the reorgDataEntries.

Update 2007-02-01 : Table has been  updated.

New Issue: Canadian Financials & Utilities Split Corp. 4.25% Retractible

Wednesday, January 31st, 2007

This is a new split share sponsored by Connor, Clark & Lunn Capital Markets that invests mainly in … Financials & Utilities! Mind you, about one-quarter of the indicative portfolio is REITs, but the sponsor considers them to be financial issuers and notes that they are part of the S&P/TSX Financial Sub-Index.

This split has an innovative Leveraging/De-Leveraging mechanism. If they make all kinds of money in the investment portfolio, leverage will necessarily decline. To counteract this they will, “subject to confirmation at the time from DBRS that the Pfd-1 rating of the Preferred Shares will not be impacted”, go out and borrow money to restore their leveraging factor. Conversely, if they don’t do so well, they will sell off securities so that the portfolio has cash & equivalents equal to the redemption value of the Preferred Shares.

For example, if the value of the Portfolio were to fall to approximately $15.50 per Unit … the Leverage Agent would proceed to sell Portfolio Securities having a value of $10 (for each Unit) and would invest the proceeds in cash and cash equivalents. At such time, the aggregate NAV of the Class A Shares (approximately $5.50 per Class A Share) would continue to be fully invested in the Portfolio. If the NAV per Class A Share thereafter grew to approximately $7.37, the Leverage Agent would, upon instructions from the Manager, sell the cash equivalents and the Manager would re-invest the cash and proceeds from the sale of cash equivalents in securities of the Portfolio.

A de-leveraging event will also occur in the event that the Interest Coverage Ratio is less than 1.5 for any calendar quarter. The estimated Interest Coverage Ratio at inception is approximately 1.64

As noted above, the Preferred Shares have been provisionally rated Pfd-1 by DBRS. 

There are the usual provisions for Monthly Retraction (very expensive, for idiots only) and Annual Concurrent Retraction (get the NAV for each unit [Capital Unit & Preferred] submitted, less costs). The preferreds are not callable – Capital Unit Holders wishing to redeem must either buy one themselves or get the company to do it in the marketplace for them. This is a very good feature – even better than declining call premia – and I like it!

The Preferred Shares will be redeemed by the Company on January 31, 2012. 

Anticipated closing is February 6, or a later date to be agreed by the Company and Agents that is on or before February 28.

I have not yet subjected this issue to a thorough analysis, but will post such analysis when I have done so. However, the preferred shares look very attractive at the offer price of $10.00 … 4.25% is hard to come by for any retractible, and these are Pfd-1. At the Ontario Equivalency Factor (Fat Cat Version) of 1.4, this is equivalent to a five year bond paying 5.95%.

The only downside is liquidity: A maximum of 5-million shares at $10 is being issued, so it’s not the biggest gorilla in the zoo. Still, given the redemption provisions, there should be sufficient liquidity for reasonable and patient investors for the term of the shares.

A hat-tip to the reader who brought this to my attention!

Update, 2007-02-05 According to the TSX, this will commence trading 2007-02-06 with the symbol CFS.PR.A

January 30, 2007

Tuesday, January 30th, 2007

Technical difficulties (like mainly the fact that I have no brains at all and wiped out a few records in files that now have to be rebuilt … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!

Major Price Changes
Issue Index Change Notes
TOC.PR.B Floater -2.3853% The trading range today was 27.00-25 (which is reasonable) on volume of 2,884. Closed at 26.60-25, 2×17. Today continues the gyrations that began January 26.
AL.PR.E Floater -1.2222%  
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 1,688,894 Wow! Scotia crossed 1,370,000 for cash at 26.20, then another 214,000 at the same price and terms. The issue is between dividends right now, so it’s difficult to tell what’s going on here. The close was 25.65-79, 10×1, so $26.20 is a pretty rich price (although if somebody really wanted to put $25-million to work in fixed-floaters in a hurry, then it’s more understandable). I wonder … I think doing it for cash bypasses the market, so it might be possible that it was done this way to avoid icebergs and other unpleasantness on the regular trading book. That probably breaks about 27 different trading regulations with which I have very little familiarity … so I’ll just toss the (insulting?) idea out and hope somebody explains!
BC.PR.B FixedFloater 948,500 Wow! Scotia crossed 947,700 for cash at $25.70. This issue is also well inside its dividend period. The close was 25.21-35, 5×8. Patterns and conspiracy theories, anyone?
SLF.PR.A PerpetualPremium 542,650 Wow! Nesbitt crossed 50,000 at $25.75; Scotia crossed 480,000 at $25.80 (everything regular this time!). Now with a pre-tax bid-YTW of 4.39% based on a bid of $25.70 and a call 2014-4-30 at $25.00. Perhaps this is related to Friday’s new issue settlement?
GWO.PR.H PerpetualPremium 374,444 Scotia crossed 370,100 at $25.70. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.70 and a call 2014-10-30 at $25.00. Same yield as the new Sunlifes, rated Pfd-1(low) by DBRS, same as the new Sunlifes, better interest-rate protection due to the $1.2125 annual dividend … what’s not to like?
MFC.PR.C PerpetualDiscount 308,075 Scotia crossed 300,000 at $25.00. Now with a pre-tax bid-YTW of 4.55% based on a bid of $24.94 and a limitMaturity.
PWF.PR.H PerpetualPremium 283,150 Now with a pre-tax bid-YTW of 4.72% based on a call 2011-1-9 at $25.25. An attractive issue, not usually quite so liquid.
BMO.PR.H PerpetualPremium 257,900 Scotia crossed 250,000 at $27.13. Now with a pre-tax bid-YTW of 4.03% based on a bid of $26.98 and a call 2013-3-27 at $25.00.
RY.PR.A PerpetualPremium 172,725 Scotia crossed 150,000 at $24.89. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.72 and a limitMaturity. This will almost certainly be moved into the PerpetualDiscount index at month-end.
SLF.PR.C PerpetualDiscount 125,950 Scotia crossed 112,000 at $24.85. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.78 and a limitMaturity.
BAM.PR.M PerpetualPremium 110,323 Now with a pre-tax bid-YTW of 4.80% based on a bid of $24.96 and a limitMaturity.
WFS.PR.A SplitShare 148,100 OK, so maybe this doesn’t belong in such exalted company due to the $10 par value on the shares … but it does seem a little hard for a seasoned split-share to trade more than $1-million worth and not get mentioned! Now with a pre-tax bid-YTW of 3.71% based on a bid of $10.68 and a hardMaturity.

There were twenty-three other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

A busy day for Scotia! Just like December 20 … or maybe December 6. It’s days like this that embarrass those who claim the pref market is totally illiquid. Just because the average is low doesn’t mean you can’t find liquidity if you look for it patiently!

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 4.04% 4.04% 30,285 17.39 1 -0.1999% 1,037.9
Fixed-Floater 4.82% 3.46% 82,196 8.37 7 +0.0852% 1,040.4
Floater 4.51% -28.23% 64,284 0.13 4 -0.8643% 1,055.5
Op. Retract 4.69% 2.26% 79,685 2.18 17 -0.0304% 1,028.3
Split-Share 5.07% 0.00% 352,103 2.81 11 -0.1662% 1,043.2
Interest Bearing 6.71% 5.98% 71,630 4.47 6 +0.0067% 1,034.9
Perpetual-Premium 5.02% 4.06% 264,226 5.77 56 +0.0543% 1,050.2
Perpetual-Discount 4.51% 4.53% 1,367,720 16.31 5 -0.0557% 1,053.8

HIMI Preferred Indices : August, 1997

Tuesday, January 30th, 2007

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

HIMI Index Values 1997-08-29
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,529.5 0 0 0 0 0 0
FixedFloater 1,530.2 6 2.00 3.25% 17.7 565M 5.13%
Floater 1,440.2 6 1.66 3.45% 18.3 92M 3.75%
OpRet 1,332.8 29 1.24 4.19% 4.3 95M 6.21%
SplitShare 1,340.3 2 1.51 4.80% 5.2 85M 5.35%
Interest-Bearing 1,332.8 0 0 0 0 0 0
Perpetual-Premium 1,222.8 4 1.00 2.12% 1.97 121M 7.94%
Perpetual-Discount 1,167.5 0 0 0 0 0 0

Index Constitution, 1997-08-29, Pre-Rebalancing

Index Constitution, 1997-08-29, Post-Rebalancing

FIG.PR.A / FCI.PR.A / FCF.PR.A / FCN.PR.A to Merge

Tuesday, January 30th, 2007

After their initial attempt to make quorum failed, Faircourt tried again and was able to get approval from the preferred security holders and the Capital Unitholders.

The merger is expected to close on or about January 31, 2007, and the continuing security will be FIG.PR.A.

Update 2007-1-31 : Yet another press release! Everything has been completed.

January 29, 2007

Monday, January 29th, 2007

Technical difficulties (like mainly the fact that I have no brains at all and wiped out some files … if this gets any worse I’m going to condemned to analyzing equities) preclude preparation of the Index Reports for the next few days. This post will be updated in due course. Sorry!

 

Major Price Changes
Issue Index Change Notes
HSB.PR.D PerpetualPremium +1.4165% National Bank bought 9,600 in the last ten trades of the day from various sellers, taking the price from $26.25 to $26.70 in very short order. Now with a pre-tax bid-YTW of 4.20% based on a bid of $26.49 and a call 2015-1-30 at $25.00
Volume Highlights
Issue Index Volume Notes
POW.PR.C PerpetualPremium 212,700 RBC crossed 100,000 at $26.33 to close the day’s trading. Now with a pre-tax bid-YTW of 4.54% based on a call 2008-1-5 … an attractive issue, although the pseudoModifiedDuration-WorstBid is less than minWorstBid-PseudoModifiedDurationBuy, precluding investment by those of us who like capital gain. With an annual dividend of $1.45, this looks like a good candidate for the early call, but I’d feel much more confident in this statement if CL.PR.B was called!
BC.PR.C FixedFloater 163,969 Desjardins crossed 61,000 for cash.
SLF.PR.A PerpetualPremium 55,250 Nesbitt crossed 50,000 at $25.75. Now with a pre-tax bid-YTW of 4.36% based on a bid of $25.75 and a call 2014-4-30 at $25.00.
BNS.PR.L PerpetualPremium 37,140 Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.00 and a limitMaturity.
RY.PR.E PerpetualDiscount 19,775 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.99 and a limitMaturity.

There were sixteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Update: Before all confidence in me is lost, I should note that the missing files are really just missing records in files, and require mere computer time to replace. If they were more difficult to replace, they’d have been much more impressively backed up!

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 4.03% 4.03% 28,261 17.40 1 +0.1496% 1,039.9
Fixed-Floater 4.79% 3.63% 78,774 10.79 7 -0.2776% 1,040.4
Floater 4.48% -36.04% 63,643 4.11 4 -0.1991% 1,064.7
Op. Retract 4.69% 2.30% 80,167 2.22 17 -0.1309% 1,028.6
Split-Share 5.06% -0.24% 358,948 2.81 11 -0.0783% 1,044.9
Interest Bearing 6.71% 5.99% 71,628 4.48 6 -0.0520% 1,034.8
Perpetual-Premium 5.02% 4.06% 262,441 5.96 56 -0.0885% 1,049.7
Perpetual-Discount 4.51% 4.52% 1,391,156 16.32 5 -0.0479% 1,054.4

HIMIPref™ Portfolio Method : Recommended Constraints

Monday, January 29th, 2007

systemConstants for the portfolioMethod of trade optimization are availble to subscribers on the HIMIPref™ server.

Recommended constraints are:

Constraints Identifier : 3
description : Portfolio: >$5-Million
maxWeight : 10.00 %
minWeight : 0.1000 %
maxWeightRetractible : 100.00 %
maxWeightIssuerClass2 : 10.00 %
maxWeightSplitShareCorp : 100.00 %
maxWeightInterestPay : 100.00 %
maxWeightCumulativeDividends : 100.00 %
maxWeightCreditClass2 : 100.00 %
tradingMaxDays : 0.50
Optimization Type : Portfolio Method
IndexID : 1
maxWeightIssuerClass3 : 5.00 %
maxWeightFloatingRate : 50.00 %
maxWeightCreditClass3 : 10.00 %

See the Constraints page of the User Manual for an explanation of the various parameters.

January 26, 2007

Friday, January 26th, 2007
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 4.00% 4.01% 29,417 17.40 1 +0.1999% 1,038.3
Fixed-Floater 4.77% 3.50% 76,322 8.39 7 -0.7113% 1,042.4
Floater 4.47% -37.25% 61,636 4.10 4 +1.7363% 1,066.8
Op. Retract 4.69% 2.29% 79,444 2.23 17 -0.1133% 1,029.9
Split-Share 5.05% -0.05% 366,656 2.82 11 +0.0170% 1,045.7
Interest Bearing 6.70% 5.96% 71,628 4.49 6 -0.0129% 1,035.4
Perpetual-Premium 5.02% 3.87% 264,083 5.76 56 -0.1128% 1,050.6
Perpetual-Discount 4.51% 4.52% 1,426,872 16.33 5 -0.0480% 1,054.9
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater -1.7464% Closed at $25.88-00, 2×17. Looks like the BCE.PR.Y / BCE.PR.Z mis-match is beginning to unravel … especially as BCE.PR.Y closed at 25.06-40, 3×20. Or, should I say, my recommendation is paying off? The pre-tax bid-YTW on BCE.PR.Z is now 2.04%, based on a bid of $25.88 and a call 2007-12-31 at $25.00, so at least it’s moved to the right side of zero.
BC.PR.C FixedFloater -1.3657% Giving up most of yesterday’s gains.
ELF.PR.F PerpetualPremium -1.039% On volume of 1,200 shares, below average even for this issue. Now with a pre-tax bid-YTW of 4.19% based on a call at … um … $26.00 on 2009-11-16; $25.75 on 2010-11-16; and $25.50 on 2011-11-16 all work out to pretty much the same thing.
TOC.PR.B Floater +6.1366% I hope the market maker for this issue has the pleasure of answering some very detailed questions about this from the TSX. It’s absolutely ridiculous. This happened on frenzied trading of eight transactions (seven of them between 3pm and 3:45pm) involving a crushing 3,554 shares. The price popped from $27.25 to $28.80 when National Bank bought 185 shares (100 from “Anonymous”, the odd lot from RBC) at 3:26pm; then at 3:45 pm TD Securities bought 1,500 shares in two tranches from RBC at $28.09. The issue closed at $27.50-$28.50, 1×1. Super. A nice tight market in size. My grandmother can do better than that.
Volume Highlights
Issue Index Volume Notes
BC.PR.C FixedFloater 604,572 Desjardins crossed 197,400 at $26.00; closed at 26.00-05, 6×49.
RY.PR.W PerpetualPremium 213,800 Scotia crossed 200,000 at $26.15. Now with a pre-tax bid-YTW of 4.20% based on a bid of $26.02 and a call at $25.00 on 2014-3-26. I thought they were expensive on the 24th and I think they’re expensive now.
RY.PR.A PerpetualPremium 210,998 Scotia crossed 207,600 at $24.90. Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.85 and a limitMaturity.
CM.PR.I PerpetualPremium 57,834 Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.31 and a call 2016-3-1 at $25.00.
PWF.PR.K PerpetualPremium 51,400 Scotia crossed 48,000 at $26.10. Now with a pre-tax bid-YTW of 4.30% based on a bid of $26.10 and a call 2014-11-30 at $25.00.

There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

HIMI Preferred Indices : July, 1997

Friday, January 26th, 2007

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

HIMI Index Values 1997-07-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,521.7 0 0 0 0 0 0
FixedFloater 1,529.5 6 2.00 3.46% 17.3 460M 5.12%
Floater 1,432.8 7 1.70 3.54% 17.9 95M 3.77%
OpRet 1,330.5 28 1.21 4.07% 4.4 104M 6.18%
SplitShare 1,341.1 2 1.50 4.85% 5.3 94M 5.35%
Interest-Bearing 1,330.5 0 0 0 0 0 0
Perpetual-Premium 1,221.0 4 1.00 2.27% 2.0 122M 7.91%
Perpetual-Discount 1,165.8 0 0 0 0 0 0

Index Constitution, 1997-07-31, Pre-Rebalancing

Index Constitution, 1997-07-31, Post-Rebalancing