Month: January 2007

Market Action

January 4, 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% 4.08% 30,988 17.28 1 -0.0799% 1,035.8
Fixed-Floater 4.79% 3.63% 85,715 10.69 7 +0.1012% 1,037.2
Floater 4.58% -21.16% 66,971 8.25 4 0.1697% 1,039.4
Op. Retract 4.66% 1.41% 82,149 2.05 17 +0.0670% 1,033.3
Split-Share 5.11% 1.10% 194,528 2.27 10 +0.2282% 1,044.7
Interest Bearing 6.70% 5.35% 73,379 2.39 6 +0.3886% 1,035.0
Perpetual-Premium 4.99% 3.54% 265,397 4.36 55 +0.1153% 1,055.1
Perpetual-Discount 4.48% 4.50% 793,720 16.41 3 -0.0890% 1,060.8
Major Price Changes
Issue Index Change Notes
MST.PR.A InterestBearing +1.3834% Still with an attactive pre-tax bid-YTW of 5.44%, based on a price of 10.26 and a hardMaturity 2009-09-30 at $10.00
IAG.PR.A PerpetualPremium +1.3917% Now with a pre-tax bid-YTW of 4.34% based on a bid of $25.50 and a call 2015-04-30 at $25.00.
Volume Highlights
Issue Index Volume Notes
TD.PR.M OpRet 345,600 Global crossed 171,400 for cash at $28.28, then crossed 171,400 for regular settlement at $27.98 in with the same timestamp. This issue went ex-Dividend
PWF.PR.A Scraps 56,600 RBC crossed 35,000 at 25.50, then Scotia bought 11,000 from Desjardins, then crossed 10,000 all at the same price. I only just moved this from “Floaters” to “Scraps” on volume considerations. This trading is clearly a conspiracy to make me look silly.
RY.PR.A PerpetualPremium 25,600 Now with a pre-tax bid-YTW of 4.46%, based on a bid of 25.15 and a call 2015-6-23 at $25.00. The yield for the limitMaturity is the same, so take your pick.
SLF.PR.D PerpetualDiscount 24,988 Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.82 and a limitMaturity
GWO.PR.I PerpetualDiscount 18,180 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.93 and a limitMaturity

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

Index Construction / Reporting

December 2006 : The Month in Review

Index December Total Return
Ratchet +1.56%
FixedFloater +0.85%
Floater -0.21%
OpRet +0.08%
SplitShare +0.32%
InterestBearing +0.99%
PerpetualPremium +0.34%
PerpetualDiscount +1.08%

 

The indices have now been rebalanced. Changes are

Ticker From Index To Index Reason
PWF.PR.A Floater Scraps Volume
PWF.PR.D OpRet Scraps Volume
BAM.PR.I Scraps OpRet Volume
SXT.PR.A Scraps SplitShare Volume
RY.PR.A PerpetualDiscount PerpetualPremium Price
BAM.PR.M PerpetualDiscount PerpetualPremium Price
IAG.PR.A PerpetualDiscount PerpetualPremium Price
RY.PR.D – PerpetualPremium New Issue, 12/13
FBS.PR.B – SplitShares New Issue, 12/15
FBS.PR.A Scraps – Redeemed, 12/15

More details will be added to this post shortly.

Update : Notable performances in December were:

Issue Index Performance
TCA.PR.X PerpetualPremium -1.5349%
WN.PR.B OpRet -1.5298%
WN.PR.C PerpetualPremium -1.2424%
WN.PR.D PerpetualPremium -1.2314%
BMO.PR.G OpRet -1.2002%
…
BSD.PR.A InterestBearing +2.1407%
SLF.PR.D PerpetualDiscount +2.2634%
PWF.PR.K PerpetualPremium +2.3561%
CM.PR.G PerpetualPremium +2.3605%
STW.PR.A InterestBearing +2.4835%

Not a very pleasant month for the Weston issues, presumably due to the 9-figure charge against inventory.

Update & Bump: The rebalanced indices have been uploaded here.

Market Action

January 3, 2007

Major Price Changes
Issue Index Change Notes
MST.PR.A InterestBearing -1.3645% Now with a pre-tax bid-YTW of 5.99% based on a bid of $10.12 and a hardMaturity 2009-09-30 at $10.00.
CM.PR.E PerpetualPremium -1.2668% Now with a pre-tax bid-YTW of 4.15% based on a bid of $26.50 and a call 2008-11-30 at $26.00.
FFN.PR.A SplitShare -1.2322% Now with a pre-tax bid-YTW of 3.72% based on a bid of $10.42 and a hardMaturity 2009-12-01 at $10.00
BMO.PR.I OpRet -1.1937% Still has a negative pre-tax bid-YTW! It now stands at -8.95% (annualized – the gross return is -0.73%) based on a bid of $25.66 and an immediate call at $26.00.
Volume Highlights
Issue Index Volume Notes
BAM.PR.K Floater 41,600 Scotia crossed 32,000 at 24.75 and was the seller for each of today’s six trades.
MFC.PR.A OpRet 38,410 Now with a pre-tax bid-YTW of 2.99% based on a bid of $27.10 and a call 2011-7-19 at $26.00. Will have yielded 3.06% if it lasts until its softMaturity 2015-12-18, so it hardly seems worthwhile. Even the latter figure, at an equivalency factor of 1.40, is equivalent to only 4.28% interest – you can do better with bonds.
TD.PR.O PerpetualPremium 37,600 Nesbitt processed an internal cross of 30,600 at $26.30. Now with a pre-tax bid-YTW of 4.16% based on a bid of $26.40 and a call 2014-11-30 at $25.00. Now that’s more like it!
BAM.PR.M PerpetualPremium 24,000 RBC crossed 10,700 at 25.10. Now with a pre-tax bid-YTW of 4.75% based on a bid of $25.06 and a call 2016-3-1 at $25.00.
CM.PR.I PerpetualPremium 18,542 Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.32 and a call 2016-3-1 at $25.00

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

I know, I know … the indices still haven’t been updated. I’ll get to it, all right? Slavedrivers…

Update 2007-01-04 :

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% 4.08% 32,259 17.28 1 +0.0400% 1,036.7
Fixed-Floater 4.79% 3.72% 87,027 10.70 7 -0.3509% 1,036.2
Floater 4.59% -18.67% 67,520 8.28 4 0.0000% 1,037.6
Op. Retract 4.66% 1.42% 82,398 2.05 17 +0.0077% 1,032.6
Split-Share 5.12% 1.32% 199,563 2.27 10 +0.0757% 1,042.3
Interest Bearing 6.73% 5.77% 72,434 2.39 6 -0.1845% 1,031.0
Perpetual-Premium 5.00% 3.76% 271,477 4.61 55 -0.0667% 1,053.9
Perpetual-Discount 4.46% 4.50% 800,671 16.42 3 +0.2019% 1,060.7

Market Action

January 2, 2007

Not a good start to the new year!

There was a strange data problem with the TSX feed today … a missing line-break caused problems! The HIMIPref™ database has been updated, but there’s no time to do the daily report.

The redemptions of TA.PR.C and BAM.PR.S have been processed and reorgDataEntries processed. Now, there’s just time before I knock off to have a quick look at the interface to that !*%*#$ feed and see if I can set things up to capture a similar error in a more timely fashion next time …

Update : Mea culpa. It wasn’t the TSX’s fault – it was mine, revising the raw feed to remove the TA.PR.C redemption and not doing it right. Still … the programming has been revised so that the same problem will be caught much more efficiently and similar problems will be reported much better (to me, I mean). Just another day in the software-bulletproofing department.

Update 2007-01-04 :

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 4.09% 4.09% 31,372 17.27 1 +0.0000% 1,036.2
Fixed-Floater 4.78% 3.63% 88,427 8.39 7 +0.0843% 1,039.8
Floater 4.59% -18.56% 66,915 8.28 4 0.0899% 1,037.6
Op. Retract 4.66% 1.01% 82,278 2.05 17 -0.1087% 1,032.5
Split-Share 5.13% 1.47% 206,173 2.27 10 -0.1565% 1,041.5
Interest Bearing 6.72% 5.79% 72,617 2.40 6 +0.1486% 1,032.9
Perpetual-Premium 4.99% 3.56% 276,408 4.60 55 +0.0933% 1,054.6
Perpetual-Discount 4.49% 4.51% 812,110 16.40 3 +0.0811% 1,058.6

Another Update, 2007-01-04 :

Major Price Changes
Issue Index Change Notes
ELF.PR.G PerpetualPremium -1.1328%  
LBS.PR.A SplitShares -1.0092%  
W.PR.H PerpetualPremium +1.0558%  
Volume Highlights
Issue Index Volume Notes
NA.PR.L PerpetualPremium 36,000  
NA.PR.K PerpetualPremium 30,937  
CM.PR.I PerpetualPremium 18,940  

There were no other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.

Publications

Research : Split Shares

As many will have noticed, Operating Retractibles, as a group, are getting more expensive all the time. In many cases, they are trading with a negative yieldToWorst and even when these worst-case-scenarios are positive, they yield less than Canadas after tax while retaining all their corporate risk.

The preferred shares issued by split-share corporations may be of interest to many who want a retractible investment … and I’ve written an introduction to this type of preferred share:

Look for the Research Link!

The cogniscenti will have noticed that Malachite Aggressive Preferred Fund has been known to hold a lot of these.

I have uploaded portfolio evaluations for the draft HIMI Preferred Indices for December 29, 2006, for the Operating Retractible and Split Share indices.

Update 2007-11-22: See Split Share and OpRet Yields for some updated yield numbers and a fascinating discussion in the comments.