Some documentation has been added to the user manual on the captioned issues:
Archive for January, 2007
User Manual : Deleting Account & Deleting Transaction
Thursday, January 18th, 2007HIMI Preferred Indices : February, 1997
Thursday, January 18th, 2007All indices were assigned a value of 1000.0 as of December 31, 1993.
| HIMI Index Values 1997-02-28 | |||||||
| Index | Closing Value (Total Return) | Issues | Mean Credit Quality | Median YTW | Median DTW | Median Daily Trading | Mean Current Yield |
| Ratchet | 1,492.3 | 0 | 0 | 0 | 0 | 0 | 0 |
| FixedFloater | 1,492.1 | 3 | 2.00 | 3.12% | 17.9 | 1,145M | 5.01% |
| Floater | 1,405.2 | 7 | 1.71 | 3.45% | 18.1 | 83M | 3.77% |
| OpRet | 1,282.9 | 27 | 1.25 | 4.57% | 4.6 | 84M | 6.37% |
| SplitShare | 1,273.1 | 1 | 2.00 | 5.39% | 5.5 | 370M | 5.60% |
| Interest-Bearing | 1,282.9 | 0 | 0 | 0 | 0 | 0 | 0 |
| Perpetual-Premium | 1,201.8 | 4 | 1.00 | 3.26% | 2.4 | 108M | 7.84% |
| Perpetual-Discount | 1,147.4 | 0 | 0 | 0 | 0 | 0 | 0 |
January 17, 2007
Wednesday, January 17th, 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 | 4.07% | 4.09% | 24,015 | 17.27 | 1 | -0.1609% | 1,028.4 |
| Fixed-Floater | 4.75% | 3.11% | 76,886 | 10.73 | 7 | +0.3083% | 1,046.9 |
| Floater | 4.57% | -25.47% | 63,673 | 8.20 | 4 | +0.1674% | 1,044.8 |
| Op. Retract | 4.68% | 2.10% | 78,584 | 2.02 | 17 | +0.0116% | 1,031.5 |
| Split-Share | 5.05% | 0.81% | 410,266 | 2.85 | 11 | -0.1176% | 1,044.8 |
| Interest Bearing | 6.70% | 5.64% | 75,192 | 2.81 | 6 | +0.1281% | 1,036.6 |
| Perpetual-Premium | 5.02% | 3.68% | 237,619 | 5.43 | 55 | -0.0062% | 1,052.2 |
| Perpetual-Discount | 4.51% | 4.53% | 1,221,325 | 16.34 | 4 | -0.0805% | 1,054.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.Z | FixedFloater | +1.0417% | What’s up with FixedFloaters and specifically this issue? The index has gained a total of 0.75% in the last three days. This particular issue is callable at $25.00 on 2007-12-1 and becomes exchangeable into a ratchet-rate preferred at that point … and if BCE feels like it, BCE can put such a crummy rate on the reset option that conversion is almost forced. So, who would put a closing bid of $26.19 on this stuff? Even more mysteriously, who would pay $28.00 for it? TD Securities bought 122 shares at $28.00 and CIBC bought 388 shares at the same price today. ???? That makes two poor retail suckers who have just overpaid big time. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BMO.PR.J | PerpetualDiscount | 371,320 | Today’s new issue settlement brings lots of lovely commissions to the Street! Now with a pre-tax bid-YTW of 4.52% based on a limitMaturity. |
| FBS.PR.B | SplitShare | 265,850 | Recent new issue continues to trade frantically. But why? Why why why? Now with a pre-tax bid-YTW of 1.93% based on a bid of $10.32 and a call 2008-1-14 at $10.00. Many are obviously betting that it will last until the hardMaturity 2011-12-15 … that will be a first, if it happens to a large extent. |
| BNS.PR.K | PerpetualPremium | 72,431 | Scotia crossed 70,100 at $26.00. Now with a pre-tax bid-YTW of 4.18%, based on a bid of 25.97 and a call 2014-5-28 at $25.00. |
| CM.PR.I | PerpetualPremium | 54,742 | Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.42 and a call 2016-3-1 at $25.00. Getting to be a tad expensive, I’d say. |
| BNA.PR.C | SplitShare | 53,075 | Recent New Issue. Now with a pre-tax bid-YTW of 4.46% based on a bid of $24.81 and a hardMaturity 2019-1-10 at $25.00 |
There were ten other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
HIMI Preferred Indices : January, 1997
Wednesday, January 17th, 2007All indices were assigned a value of 1000.0 as of December 31, 1993.
| HIMI Index Values 1997-01-31 | |||||||
| Index | Closing Value (Total Return) | Issues | Mean Credit Quality | Median YTW | Median DTW | Median Daily Trading | Mean Current Yield |
| Ratchet | 1,483.7 | 0 | 0 | 0 | 0 | 0 | 0 |
| FixedFloater | 1,478.7 | 3 | 2.00 | 3.44% | 17.3 | 2,140M | 5.03% |
| Floater | 1,397.0 | 7 | 1.71 | 3.43% | 18.1 | 76M | 3.78% |
| OpRet | 1,267.3 | 27 | 1.29 | 4.88% | 4.7 | 73M | 6.44% |
| SplitShare | 1,260.7 | 1 | 2.00 | 5.50% | 5.6 | 534M | 5.66% |
| Interest-Bearing | 1,267.3 | 0 | 0 | 0 | 0 | 0 | 0 |
| Perpetual-Premium | 1,195.3 | 4 | 1.00 | 3.25% | 2.4 | 88M | 7.84% |
| Perpetual-Discount | 1,141.2 | 0 | 0 | 0 | 0 | 0 | 0 |
BMO.PR.J : First Day Uneventful
Wednesday, January 17th, 2007The BMO New Issue settled today and there wasn’t much of a surprise. The trading range was 24.90-98 on volume of 371,320 shares; the closing quote was 25.96-98, 25×35.
This issue has been fully entered into the HIMIPref™ database – the securityCode is A40006, and a reorgDataEntry has been posted to reflect the change from the preIssue code of P25004.
Update : The issue has been added to the PerpetualDiscount Index.
January 16, 2007
Wednesday, January 17th, 2007Sorry! No time to do the indices just now! I will update them tom… er, later today.
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with major price moves today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| FBS.PR.A | SplitShare | 678,160 | Recent new issue. Now with a pre-tax bid-YTW of 1.82% based on a bid of $10.33 and a call 2008-1-14 at $10.00, so why bother? There would seem to be a lot of money being bet that it will make it to its hardMaturity 2011-12-15 at $10.00, which yields 4.12%. I’ll take the other side of that bet! |
| BNA.PR.C | SplitShare | 69,331 | Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.77 and a hardMaturity 2019-01-10 at $25.00. Now, that’s more like it! |
| PWF.PR.L | PerpetualPremium | 52,500 | Now with a pre-tax bid-YTW of 4.20% based on a bid of $26.65 and a call 2015-11-30 at $25.00. |
| GWO.PR.G | PerpetualPremium | 51,495 | Now with a pre-tax bid-YTW of 4.09% based on a call 2010-01-30 at $26.00 … or 2011-1-30 at $25.75 … or 2012-1-30 at $25.50! Even if it lasts until the call 2014-1-30 at $25.00, the yield only increases to 4.11%! Pays $1.30, for those who are interested. |
| SLF.PR.B | PerpetualPremium | 47,555 | Now with a pre-tax bid-YTW of 4.34% based on a call 2014-10-30 at $25.00. |
There were twelve other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
Update:
| 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 | 4.07% | 4.09% | 23,999 | 17.28 | 1 | +0.1208% | 1,030.0 |
| Fixed-Floater | 4.77% | 3.35% | 77,555 | 12.53 | 7 | +0.2349% | 1,043.7 |
| Floater | 4.56% | -24.21% | 62,783 | 8.21 | 4 | +0.2170% | 1,043.0 |
| Op. Retract | 4.68% | 2.05% | 79,258 | 2.02 | 17 | +0.0597% | 1,031.4 |
| Split-Share | 5.05% | 0.51% | 408,981 | 2.85 | 11 | +0.0490% | 1,046.0 |
| Interest Bearing | 6.70% | 5.68% | 75,169 | 2.64 | 6 | +0.0930% | 1,035.2 |
| Perpetual-Premium | 5.02% | 3.65% | 241,089 | 5.44 | 55 | -0.0087% | 1,052.3 |
| Perpetual-Discount | 4.51% | 4.53% | 767,953 | 16.33 | 3 | +0.0539% | 1,055.4 |
HIMI Preferred Indices : December, 1996
Tuesday, January 16th, 2007All indices were assigned a value of 1000.0 as of December 31, 1993.
| HIMI Index Values 1996-12-31 | |||||||
| Index | Closing Value (Total Return) | Issues | Mean Credit Quality | Median YTW | Median DTW | Median Daily Trading | Mean Current Yield |
| Ratchet | 1,483.1 | 0 | 0 | 0 | 0 | 0 | 0 |
| FixedFloater | 1,472.0 | 3 | 2.00 | 3.82% | 16.7 | 4,418M | 5.06% |
| Floater | 1,396.5 | 8 | 1.74 | 3.45% | 18.5 | 61M | 3.74% |
| OpRet | 1,257.1 | 27 | 1.29 | 4.80% | 4.7 | 69M | 6.44% |
| SplitShare | 1,230.3 | 1 | 2.00 | 5.85% | 5.6 | 838M | 5.71% |
| Interest-Bearing | 1,257.1 | 0 | 0 | 0 | 0 | 0 | 0 |
| Perpetual-Premium | 1,194.1 | 4 | 1.00 | 3.28% | 2.5 | 98M | 7.81% |
| Perpetual-Discount | 1,140.1 | 0 | 0 | 0 | 0 | 0 | 0 |
ROB-TV Appearance : Jan 16, 10:40am
Tuesday, January 16th, 2007Gee … I guess all the information is in the headline!
I’ll be talking about … preferred shares, just as a change of pace.
Update and bump: I thought it went pretty well. There should be a link to the video for another week here.
January 15, 2007
Monday, January 15th, 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 | 4.08% | 4.10% | 24,988 | 17.26 | 1 | +0.0403% | 1,028.8 |
| Fixed-Floater | 4.78% | 3.40% | 79,069 | 12.51 | 7 | +0.2188% | 1,041.2 |
| Floater | 4.57% | -22.20% | 62,349 | 8.22 | 4 | +0.0591% | 1,040.8 |
| Op. Retract | 4.68% | 2.07% | 79,896 | 2.02 | 17 | -0.0751% | 1,030.8 |
| Split-Share | 5.05% | 0.55% | 402,952 | 2.85 | 11 | -0.0468% | 1,045.5 |
| Interest Bearing | 6.71% | 5.64% | 74,560 | 2.64 | 6 | -0.1106% | 1,034.3 |
| Perpetual-Premium | 5.02% | 3.64% | 242,646 | 5.26 | 55 | +0.0184% | 1,052.4 |
| Perpetual-Discount | 4.51% | 4.54% | 773,725 | 16.33 | 3 | -0.0132% | 1,054.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.J | OpRet | -1.5575% | Huh. I like this issue – and it has a horrible day! Such is life. Now with a pre-tax bid-YTW of 4.14%, based on a bid of $27.81 and a call 2014-4-30 at $25.00. And 4.14% dividends is worth 5.80% interest, at the Ontario Equivalency Factor of 1.4. Try getting that from a seven-year (OK, maybe eleven if there’s no early call) bond! |
| LBS.PR.A | SplitShare | -1.2727% | Another issue I like has a lousy day. Huh. It gave up yesterday’s gains. Now with a pre-tax bid-YTW of 3.84% based on a bid of $10.86 and a hardMaturity 2013-11-29 at $10.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BNA.PR.C | SplitShare | 203,480 | Recent New Issue. CIBC crossed 95,000 at $24.70. Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.72 and a hardMaturity 2019-1-10. |
| BAM.PR.M | PerpetualPremium | 29,270 | RBC crossed 25,000 at $25.05. Now with a pre-tax bid-YTW of 4.76% based on a bid of $25.07 and a limitMaturity |
| CM.PR.D | PerpetualPremium | 27,190 | RBC crossed 15,000 at $26.85. Now with a pre-tax bid-YTW of 3.06% based on a bid of $26.81 and a call 2008-05-30 at $26.00. It may make it to its optionCertainty 2034-3-6 at $25.00, to yield 5.27%, but that seems highly unlikely given that it pays $1.4375, $0.30 more p.a. than perpetuals are paying now. But a pre-tax bid-YTW of only 3.06%? The interest-equivalent is comparable with bonds, with more risk (call-risk and interest-rate-risk) on the preferred issue. |
| CM.PR.H | PerpetualPremium | 23,690 | Now with a pre-tax bid-YTW of 4.42%, based on a bid of $25.58 and a call 2014-4-29 at $25.00. |
| TD.PR.O | PerpetualPremium | 19,740 | Is all this activity the result of Carrick’s article? Now with a pre-tax bid-YTW of 4.11% based on a bid of $26.22 and a call 2014-11-30 at $25.00 |
There were four other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
BCE.PR.Y / BCE.PR.Z
Thursday, January 18th, 2007I mentioned one half of this pairing in the January 17, 2007 report and I’ll just make things more explicit here.
This pair is very similar to the BBD.PR.B / BBD.PR.D pair that has been discussed previously. They are convertable into each other on December 1, 2007, just over ten months off, but are trading at prices that are very different.
At the moment, for instance, BCE.PR.Z is quoted at 26.38-75, 1×9, and BCE.PR.Y is quoted at 24.86-90, 4×9. Between now and December 1, 2007, when they can convert into each other, the former issue may be expected to pay dividends at a fixed rate totalling $1.3298, while the Ys, paying a ratchetFloatingRate based on Canadian Prime will pay somewhere around 0.92125. Therefore, the price differential, in the absence of liquidity premia, should be in the neighborhood of $0.40 … but it ain’t. The differential bid/bid is more like $1.50, implying (in this very simple analysis) that there is $1.10 just lying around waiting to be scooped up.
I recognize that the BCE.PR.Y (the cheap ones) are relatively illiquid, due to their float of only 1.1-million-odd shares. The Zs (the expensive ones) have a float of 8.8-million-odd shares. So, there will be problems exploiting this inefficiency for those who care to try it.
But … what I can’t understand is: why would anybody hold the Zs? Even if they’re unable to buy sufficient Ys to replace them? BCE can put an extremely low rate on the “Z” dividend payout commencing December 1, 2007, all but forcing conversion. Surely nobody seriously believes that BCE will leave the rate as it was set five years ago, at 5.319%. In BCE’s last ratchet/reset, the BCE.PR.S / BCE.PR.T the rate was reset to 4.502% … and I certainly wouldn’t bet on this very generous payout being offered again on the Y/Z reset date.
Update: The Zs actually went up in price today (2007-1-18) (bid/bid), closing at 26.39-75, 3×8. Why? Surely there will be few who disagree that the projected price as of the Dec. 1 conversion date is $25.00 … and if you do disagree, please leave a comment, because I’m interest. So the projected capital loss (from the bid price) exceeds the intervening dividends – expected total return over the next 10 months is negative. I don’t understand ….
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