Archive for January, 2007

January 23, 2007

Tuesday, January 23rd, 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 4.02% 4.04% 26,599 17.36 1 +0.6036% 1,035.8
Fixed-Floater 4.75% 2.98% 74,615 10.15 7 +0.1118% 1,047.6
Floater 4.56% -20.79% 62,140 8.22 4 -0.0292% 1,044.7
Op. Retract 4.68% 2.24% 79,726 2.01 17 -0.0402% 1,030.9
Split-Share 5.05% 0.82% 382,155 2.83 11 +0.0109% 1,045.3
Interest Bearing 6.70% 5.81% 74,426 2.63 6 +0.0693% 1,035.5
Perpetual-Premium 5.02% 3.78% 230,211 5.40 55 +0.0156% 1,051.9
Perpetual-Discount 4.50% 4.53% 1,476,495 16.35 5 +0.0081% 1,056.2
Major Price Changes
Issue Index Change Notes
CM.PR.H PerpetualPremium +1.0160% Now with a pre-tax bid-YTW of 4.26%, based on a bid of $25.85 and a call 2014-4-29 at $25.00.
Volume Highlights
Issue Index Volume Notes
RY.PR.E PerpetualDiscount 122,710 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.97 and a limitMaturity
NA.PR.K PerpetualPremium 106,900 Desjardins crossed 99,900 at $27.50 … who was the buyer? The pre-tax bid-YTW on this issue is now 1.61% based on a bid of $27.35 and a call 2008-06-14 at $26.00. It will have yielded 3.86% if it makes it to the 2012-6-14 call at $25.00 … but is the risk all that necessary? Look at the other issues, just on this high-volume summary! The issue pays $1.4625 p.a., with a declining call premium of $0.25 p.a.
BMO.PR.J PerpetualDiscount 81,640 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.96 and a limitMaturity.
CM.PR.I PerpetualPremium 64,372 Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.35 and a call 2016-3-1 at $25.00.
GWO.PR.H PerpetualPremium 53,040 TD crossed 50,000 at $25.92. Now with a pre-tax bid-YTW of 4.38% based on a bid of $25.90 and call 2014-10-30 at $25.00

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

HIMI Preferred Indices : April 1997

Tuesday, January 23rd, 2007

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

HIMI Index Values 1997-04-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,480.1 0 0 0 0 0 0
FixedFloater 1,438.8 4 2.00 3.61% 17.1 418M 5.22%
Floater 1,393.7 7 1.71 3.54% 17.9 77M 3.83%
OpRet 1,269.0 32 1.31 4.99% 4.5 97M 6.50%
SplitShare 1,262.2 1 2.00 5.72% 5.4 179M 5.73%
Interest-Bearing 1,269.0 0 0 0 0 0 0
Perpetual-Premium 1,192.0 4 1.00 3.59% 2.2 116M 7.98%
Perpetual-Discount 1,138.0 0 0 0 0 0 0

Index Constitution, 1997-04-30, Pre-Rebalancing

Index Constitution, 1997-04-30, Post-Rebalancing

BC.PR.A, BC.PR.B, BC.PR.C, BC.PR.D, BC.PR.E to be Exchanged for BCE Prefs

Tuesday, January 23rd, 2007

It has been announced that the Bell Canada / BCE Inc. Preferred Share Exchange Offer has been approved:

The face of telecom company BCE Inc. took another step towards being wiped from the Canadian business landscape after Bell Canada shareholders approved exchanging its preferred stock for BCE shares and accepting a one-time payout of 20 cents per share.

Shareholders representing 61.5 per cent of Bell Canada preferred stock voted 95.26 per cent in favour of the moves.
A couple of investors who attended the meeting voted against the motion, but later refused to explain their decision or reveal whom they represented.

According to the DBRS report dated December 12:

DBRS notes that the Company’s announcement to simplify its corporate structure will not result in DBRS consolidating the Bell Canada and BCE Inc. ratings, as the holding company and operating company structure will still exist from a legal perspective. Thus, DBRS will maintain a one notch rating differential reflecting structural subordination. Although DBRS does acknowledge that debt levels at BCE Inc. have decreased substantially, BCE Inc. will continue to be dependent on Bell Canada for the financing of its interest, preferred and common dividends on a go forward basis. Although the level of dividends from Bell Canada that will need to be up streamed to BCE Inc. are expected to decrease, DBRS believes that this will be somewhat offset by Bell Canada absorbing the BCE Inc. corporate expenses.

Finally, DBRS notes that the Company has indicated that under a plan of arrangement, holders of Bell Canada preferred shares will be asked to exchange their shares for BCE Inc. preferred shares with the same series rights. The arrangement must be approved by the holders of common and preferred shares of Bell Canada, each voting as a separate class, at a special meeting to be held on January 23, 2007. As previously stated, BCE Inc.’s preferred shares are rated one notch lower, reflecting structural subordination.

So: the Bell Canada pref holders have given up a notch of credit rating for a one-time payment and no extra dividend. Let’s hope it works out well for them.

Preferred Shares (and me!) Praised in Globe & Mail

Tuesday, January 23rd, 2007

Rob Carrick has a piece in today’s Globe, Two words for investors stung by the trust crackdown: preferred shares, in which he points out the enormous tax advantage provided by the Dividend Tax Credit and has some nice things to say about me.

Documentation : Analytical Universe Selection

Tuesday, January 23rd, 2007

Drew’s comments and queries have, as always, pointed out some deficiencies and, as is not quite so often the case, have led to an improvement in my documentation.

There is a new page in the User Manual: Analytical Universe, that basically restates my responses to the original query. Please – don’t be shy about asking questions and telling me that something’s not clear! I’ll always listen – it’s getting me to do anything useful that’s hard!

January 22, 2007

Monday, January 22nd, 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 4.05% 4.07% 24,908 17.30 1 0.0000% 1,029.6
Fixed-Floater 4.75% 3.06% 74,733 6.58 7 0.0957% 1,046.4
Floater 4.56% -20.97% 62,305 4.16 4 +0.1081% 1,045.0
Op. Retract 4.68% 2.24% 78,176 2.04 17 -0.0106% 1,031.3
Split-Share 5.05% 0.26% 387,796 2.84 11 -0.0147% 1,045.2
Interest Bearing 6.71% 5.88% 74,199 2.63 6 -0.0617% 1,034.8
Perpetual-Premium 5.02% 3.71% 230,448 5.35 55 -0.0086% 1,051.8
Perpetual-Discount 4.50% 4.52% 1,480,658 16.35 5 +0.0806% 1,056.1
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes (bid/bid) today.
Volume Highlights
Issue Index Volume Notes
RY.PR.E PerpetualDiscount 185,599 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.94 and a limitMaturity
MFC.PR.C PerpetualPremium 177,475 RBC crossed 50,000 at 24.99; Scotia crossed 11,500 at the same price. Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.01 and optionCertainty 2037-1-22 at $25.00.
BMO.PR.J PerpetualDiscount 101,300 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.95 and a limitMaturity.
FBS.PR.B SplitShare 255,990 Recent new issue. CIBC crossed 217,000 at $10.30. I don’t understand why anybody would buy it at such a price – the pre-tax bid-YTW is 2.16% based on a bid of $10.30 and a call 2008-1-14 at $10.00. Buyers must be looking at the yield of 4.20% based on a hardMaturity 2011-12-15 at $10.00, but I consider the chance of a large proportion of extant shares surviving that long to be fairly slim.
RY.PR.A PerpetualPremium 74,325 Scotia crossed 17,300 at 25.00. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.99 and a limitMaturity.

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

HIMI Preferred Indices : March 1997

Monday, January 22nd, 2007

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

HIMI Index Values 1997-03-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,481.7 0 0 0 0 0 0
FixedFloater 1,446.8 4 2.00 3.34% 17.6 798M 5.19%
Floater 1,395.1 8 1.74 3.47% 18.5 48M 3.77%
OpRet 1,266.8 28 1.24 4.88% 4.6 91M 6.42%
SplitShare 1,252.4 1 2.00 5.78% 5.4 238M 5.69%
Interest-Bearing 1,266.8 0 0 0 0 0 0
Perpetual-Premium 1,193.5 4 1.00 3.46% 2.3 123M 7.93%
Perpetual-Discount 1,139.4 0 0 0 0 0 0

Index Constitution, 1997-03-31, Pre-Rebalancing

Index Constitution, 1997-03-31, Post-Rebalancing

No Surprises on RY.PR.E First Day of Trading

Friday, January 19th, 2007

This was pretty much a carbon copy of the BMO.PR.J opening last Wednesday. Volume was 313,249 trading in a range of 24.85-95 – which was below the issue price, which is eventually going to annoy the buyers of these new issues!

It closed at 24.90-92, 17×338, and looks reasonably attractive there. When I look at the curvePrice according to the yieldCurve calculated for taxable accounts, I get:

RY.PR.E Taxable Curve Price
Component Value
Price due to base-rate 23.30
Price due to short-term 0.04
Price due to long-term 0.49
Price due to Liquidity 1.48
Price due to error -0.03
Total 25.28

At the closing bid of $24.90, the issue has a pre-tax bid-yieldToWorst of 4.53%, based on a limitMaturity.

The issue has been added to the PerpetualDiscount index.

The securityCode for this issue is A45014 and a reorgDataEntry has been processed to reflect the change from the preIssue code of P87000.

Update (for linking!) 2007-01-27 : This issue was announced on January 10.

January 19, 2007

Friday, January 19th, 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 4.06% 4.08% 24,910 17.30 1 -0.0804% 1,029.6
Fixed-Floater 4.76% 3.18% 75,254 10.73 7 -0.2642% 1,045.4
Floater 4.56% -23.76% 63,524 8.23 4 +0.0688% 1,043.8
Op. Retract 4.68% 2.09% 78,173 2.01 17 -0.0479% 1,031.4
Split-Share 5.05% 0.37% 393,412 2.84 11 +0.1033% 1,045.4
Interest Bearing 6.70% 5.50% 74,192 2.63 6 -0.1111% 1,035.4
Perpetual-Premium 5.02% 3.65% 230,544 5.37 55 -0.0461% 1,051.8
Perpetual-Discount 4.50% 4.53% 1,482,997 16.36 5 -0.0077% 1,055.3
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
RY.PR.E PerpetualDiscount 313,249 New issue settled today. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.90 and a limitMaturity
PIC.PR.A SplitShare 77,623 It’s not often a seasoned splitShare makes it to the volume list! Desjardins bought 15,000 from RBC at $16.15, then crossed 60,000 at the same price. Now with a pre-tax bid-YTW of 3.63% based on a bid of $16.10 and a hardMaturity 2010-11-01 at $15.00. That’s an interest-equivalent for high-bracket Ontarians of 5.08% … not bad for a less than three year term!
BMO.PR.J PerpetualDiscount 29,375 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.93 and a limitMaturity.
PWF.PR.K PerpetualPremium 20,500 RBC bought a total of 14,600 from Scotia in four tranches [2,000 at $26.15, the rest at $26.10] and 1,300 in two other trades at $26.05. Now with a pre-tax bid-YTW of 4.32% based on a bid of $26.05 and a call 2014-11-30 at $25.00.
LBS.PR.A SplitShare 48,720 Now with a pre-tax bid-YTW of 3.93%, based on a bid of $10.81 and a hardMaturity 2013-11-29 at $10.00. Interest equivalent for rich people in Ontario of 5.50% … not bad for investment-grade 7-year paper!

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

January 18, 2007

Friday, January 19th, 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 4.06% 4.08% 25,937 17.30 1 +0.2015% 1,030.4
Fixed-Floater 4.75% 2.98% 75,444 10.72 7 +0.1230% 1,048.2
Floater 4.56% -23.86% 64,020 8.22 4 +0.1556% 1,043.1
Op. Retract 4.67% 2.19% 78,460 2.02 17 +0.0402% 1,031.9
Split-Share 5.06% 1.12% 402,233 2.85 11 -0.0443% 1,044.3
Interest Bearing 6.70% 5.58% 74,501 2.64 6 +0.0033% 1,036.6
Perpetual-Premium 5.02% 3.70% 234,728 5.14 55 +0.0085% 1,052.3
Perpetual-Discount 4.51% 4.53% 1,218,255 16.35 4 +0.0807% 1,055.4
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price moves today.
Volume Highlights
Issue Index Volume Notes
BNS.PR.K PerpetualPremium 202,800 TD crossed 100,000 at 26.00, then another 100,000 at the same price 90 minutes later. Now with a pre-tax bid-YTW of 4.20% based on a bid of 25.95 and a call 2014-05-28 at $25.00
BMO.PR.J PerpetualDiscount 131,233 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.94 and a limitMaturity.
GWO.PR.X OpRet 108,160 Nesbitt crossed 85,000 at $27.51; Desjardins crossed 18,500 at 27.56. Now with a pre-tax bid-YTW of 2.48% based on a bid of $27.56 and a call 2009-10-30 at $26.00.
GWO.PR.H PerpetualPremium 58,860 RBC crossed 50,000 at 26.00. Now with a pre-tax bid-YTW of 4.41% based on a bid of $25.82 and a call 2014-10-31 at $25.00.
RY.PR.D PerpetualPremium 34,440 RBC bought a 19,800 from Scotia in three successive trades at 25.01. Now with a pre-tax bid-YTW of 4.54% based on a limitMaturity.

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

Updated 2007-1-24 … Correction of some trading information