Archive for March, 2007

March 30, 2007

Friday, March 30th, 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 4.21% 4.03% 67,370 3.82 1 +0.0000% 1,052.5
Fixed-Floater 5.00% 3.90% 96,811 17.23 5 +0.0874% 1,037.5
Floater 4.72% -20.06% 74,500 0.32 3 +0.1313% 1,055.6
Op. Retract 4.72% 3.04% 85,479 2.16 17 -0.0828% 1,034.0
Split-Share 5.01% 3.14% 158,951 3.31 14 +0.0234% 1,052.8
Interest Bearing 6.51% 5.36% 64,757 2.32 5 +0.0934% 1,045.9
Perpetual-Premium 5.02% 3.56% 219,123 5.15 53 -0.0031% 1,059.8
Perpetual-Discount 4.53% 4.54% 762,721 15.37 10 -0.0157% 1,066.8
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.5109% May be extending term soon, which will be really good for the issue’s fundamentals as long as there is nothing horrible in the as-yet-unreleased details. Now with a pre-tax bid-YTW of 3.52% based on a bid of $10.43 and a hardMaturity 2009-12-1 at $10.00.
Volume Highlights
Issue Index Volume Notes
PWF.PR.F PerpetualPremium 51,950 Now with a pre-tax bid-YTW of 4.47% based on a bid of 25.90 and a call 2010-12-30 at $25.00
BCE.PR.Z FixedFloater 33,021  
RY.PR.F PerpetualDiscount 32,681 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.68 and a limitMaturity.
GWO.PR.I PerpetualDiscount 31,950 RBC crossed 25,000 at $25.00. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.87 and a limitMaturity.
CM.PR.J PerpetualDiscount 23,245 Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.81 and a limitMaturity.

Kudos to TD, who crossed 50,000 CCS.PR.A, a Pfd-3 floater with the agonizing combination of fat coupon and current, long-standing, call. The volume-average is 324.5 shares per day. And, if truth be known, if it had sufficient credit quality & volume to index-included, it would be deemed a “PerpetualPremium” … the yield has a floor, which is now in operation [It pays 5.5%, NOT 90% of Canadian Prime.] and I refuse to call things floaters if they don’t actually float.

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

And that’s it for another month, quarter, and sixth full year of operation of MAPF.

HIMIPref™ Indices : November, 1998

Friday, March 30th, 2007

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

HIMI Index Values 1998-11-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,530.0 0 0 0 0 0 0
FixedFloater 1,585.6 9 2.00 4.97% 15.2 189M 5.13%
Floater 1,440.6 5 1.80 5.16% 14.5 43M 5.71%
OpRet 1,365.7 34 1.27 4.42% 3.6 79M 6.13%
SplitShare 1,365.2 6 1.49 5.43% 6.8 68M 5.53%
Interest-Bearing 1,365.7 0 0 0 0 0 0
Perpetual-Premium 1,229.9 8 1.37 5.21% 14.4 130M 6.52%
Perpetual-Discount 1,247.5 1 1.0 5.24% 14.8 1,148M 5.26%

Index Constitution, 1998-11-30, Pre-rebalancing

Index Constitution, 1998-11-30, Post-rebalancing

March 29, 2007

Thursday, March 29th, 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 4.20% 4.02% 69,626 3.83 1 +0.1992% 1,052.5
Fixed-Floater 5.00% 3.91% 97,951 17.22 5 -0.2827% 1,036.6
Floater 4.72% -19.05% 77,179 0.51 3 -0.0524% 1,054.2
Op. Retract 4.71% 2.99% 85,619 2.16 17 -0.0569% 1,034.8
Split-Share 5.01% 3.13% 162,104 3.32 14 -0.1366% 1,052.6
Interest Bearing 6.52% 5.03% 64,879 2.32 5 +0.0890% 1,044.9
Perpetual-Premium 5.02% 3.55% 221,447 5.21 53 -0.0492% 1,059.8
Perpetual-Discount 4.53% 4.54% 774,284 15.38 10 +0.1090% 1,067.0
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.0000% On slightly below-average volume, but with a good-sized (for this issue!) bid at the close. Now with a pre-tax bid-YTW of 5.92% (as INTEREST) based on a bid of $10.00 and a hardMaturity 2015-3-31 at $10.00.
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 58,550  
MFC.PR.A OpRet 56,210 Now with a pre-tax bid-YTW of 3.31% based on a bid of $26.54 and a softMaturity 2015-12-18 at $25.00. Early calls don’t make a lot of difference to the yield on this thing (i.e., it’s expected to lose $1.54 over about 7.75 years ANYWAY, so a call premium that declines at $0.25 p.a. is not a huge change) but do make it hard to set duration … and place bets on interest-rate moves. 

Um … I didn’t mean “place bets”. I meant “act prudently in accordance with forecasts”.

BAM.PR.H OpRet 55,913 Desjardins crossed 50,000 at $27.03. Now with a pre-tax bid-YTW of 2.66% based on a bid of $26.91 and a call 2008-10-30 at $25.75. If it doesn’t make it to its softMaturity 2012-3-30 to yield 4.07%, there will be a very disappointed buyer!
SLF.PR.D PerpetualDiscount 29,338 Now with a pre-tax bid-YTW of 4.49% based on a bid of $24.81 and a limitMaturity.
BAM.PR.M PerpetualPremium 24,865 Now with a pre-tax bid-YTW of 4.75% based on a bid of $25.05 and either a call 2016-3-1 at $25.00, or a limitMaturity. Take your pick.

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

HIMIPref™ Indices : October, 1998

Thursday, March 29th, 2007

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

HIMI Index Values 1998-10-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,528.2 0 0 0 0 0 0
FixedFloater 1,565.0 9 2.00 5.13% 14.5 257M 5.17%
Floater 1,439.0 5 1.80 5.37% 14.2 57M 5.90%
OpRet 1,342.9 34 1.27 4.66% 3.6 89M 6.27%
SplitShare 1,345.3 6 1.49 5.54% 6.9 95M 5.61%
Interest-Bearing 1,342.9 0 0 0 0 0 0
Perpetual-Premium 1,216.9 6 1.16 5.26% 14.4 118M 6.53%
Perpetual-Discount 1,235.0 2 1.5 5.24% 14.5 1,414M 5.41%

Index Constitution, 1998-10-30, Pre-rebalancing

Index Constitution, 1998-10-30, Post-rebalancing

HIMIPref™ : Tweak of Server Settings

Thursday, March 29th, 2007

There are occasional problems with internet connections while the server is performing its calculations. These derive largely from the fact that the calculations are relatively lengthy and the client-side programme will not get a response from server-side for over five minutes.

This can particularly lead to “Gateway” problems when proxy-servers are involved in the client connection, as many gateways will drop a connection after five minutes by default.

I have adjusted some server settings that appear to have resolved a problem that may be related (perhaps by making the connection more sensitive?), using a suggestion from Denis Pitcher’s Blog. The problem was an error message received by HIMIPref™ from the .NET framework System.Net.WebException: The underlying connection was closed: An unexpected error occurred on a receive.

I have changed settings on the IIS administrator server-side: The “Connection time-out” has been changed from 900 seconds to 15; and HTTP keep-alives have been disabled. This matches settings I use when running the server-side locally, but have never before considered necessary when running remotely.

Should any change in behaviour be noted in the next few days, please let me know all the particulars.

March 28, 2007

Wednesday, March 28th, 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 4.20% 4.06% 72,492 3.83 1 +0.1740% 1,050.4
Fixed-Floater 4.98% 3.90% 97,086 14.51 5 +0.0635% 1,039.5
Floater 4.72% -19.29% 76,130 0.32 3 -0.0262% 1,054.7
Op. Retract 4.71% 2.95% 85,049 2.16 17 +0.0158% 1,035.4
Split-Share 5.00% 3.01% 165,343 3.32 14 -0.1296% 1,054.0
Interest Bearing 6.53% 4.75% 64,821 2.31 5 +0.2126% 1,044.0
Perpetual-Premium 5.01% 3.63% 223,986 5.37 53 +0.0625% 1,060.4
Perpetual-Discount 4.54% 4.55% 797,066 15.38 10 -0.1122% 1,065.8
Major Price Changes
Issue Index Change Notes
FFN.PR.A SplitShare -1.4481% On ZERO volume! Hard to calculate the YTW on this issue … should one use the extant maturity of 2009-12-1 for a pre-tax bid-YTW of 2.90% … or should one assume that the the upcoming meeting will extend maturity to 2014-12-1 with no other changes, which will increase YTW to 4.41%? It makes quite a difference! As does, incidentally, not making the proper allowance for monthly dividends using Kieth Betty’s on-line calculator (broken link redirected 2024-2-1), so watch it!
POW.PR.D PerpetualPremium +1.0840% On volume of 10,235, about average for this issue. Now with a pre-tax bid-YTW of 4.30% based on a bid of 26.11 and a call 2014-11-30 at 25.00
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 497,745 Nesbitt crossed 400,000 at 25.50, then RBC crossed 90,800 at 25.40.
BCE.PR.A FixedFloater 305,345 Nesbitt crossed 300,000 at 25.30.
MFC.PR.A OpRet 143,245 Desjardins crossed 30,000 at 26.55, Scotia crossed 25,000 at 26.55. Now with a pre-tax bid-YTW of 3.31% based on a bid of 26.54 and a softMaturity 2015-12-18. The price is such that early calls don’t (much) affect yields (relatively speaking!). Bond-equivalent of 4.63% at the Ontario Fat-Cat Factor of 1.4x. Better than bonds … but at least you know when a bond will mature!
SLF.PR.D PerpetualDiscount 91,355 Now with a pre-tax bid-YTW of 4.49% based on a bid of 24.81 and a limitMaturity.
TD.PR.M OpRet 51,420 Desjardins crossed 49,100 at 27.26. Now with a pre-tax bid-YTW of 2.58% based on a bid of 27.25 and a call 2009-5-30 at 26.00 … will be 3.31% if it makes it to the softMaturity 2013-10-30. Somebody’s willing to take that bet. I’ll pass.

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

HIMIPref™ Preferred Indices : September, 1998

Wednesday, March 28th, 2007

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

HIMI Index Values 1998-09-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,550.6 0 0 0 0 0 0
FixedFloater 1,570.0 9 2.00 5.08% 3.48 217M 5.14%
Floater 1,460.0 5 1.79 5.46% 13.8 87M 5.99%
OpRet 1,331.0 34 1.26 4.79% 3.7 74M 6.30%
SplitShare 1,314.3 5 1.60 6.77% 6.9 112M 5.76%
Interest-Bearing 1,331.0 0 0 0 0 0 0
Perpetual-Premium 1,212.7 4 1.00 5.21% 1.09 114M 6.98%
Perpetual-Discount 1,229.5 3 1.33 5.42 14.64 2,548M 5.45%

Index Constitution, 1998-09-30, Pre-rebalancing

Index Constitution, 1998-09-30, Post-rebalancing

March 27, 2007

Tuesday, March 27th, 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 4.18% 4.08% 75,403 3.82 1 -0.1984% 1,048.6
Fixed-Floater 4.98% 3.90% 95.692 11.14 5 +0.0246% 1,038.9
Floater 4.72% -19.45% 77,169 0.14 3 +0.1322% 1,055.0
Op. Retract 4.71% 2.95% 83,144 2.16 17 +0.0775% 1,035.3
Split-Share 4.98% 2.97% 166,457 3.31 14 +0.2290% 1,055.4
Interest Bearing 6.50% 5.03% 64,622 2.30 5 -0.2258% 1,041.8
Perpetual-Premium 5.01% 3.72% 226,066 5.06 53 +0.0964% 1,059.7
Perpetual-Discount 4.53% 4.54% 809,167 15.39 10 -0.0432% 1,067.0
Major Price Changes
Issue Index Change Notes
There were no major price changes in index-included issues today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.H PerpetualPremium 262,753 TD crossed 100,000 at 26.00, then 50,000 at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $25.90 and a call 2014-10-30 at $25.00.
MFC.PR.A OpRet 155,870 Scotia crossed 60,000 at 26.55, National Bank crossed 32,500 at 26.50 and Desjardins crossed 50,000 at 26.55. Now with a pre-tax bid-YTW of 3.33% based on a bid of 26.49 and a softMaturity 2015-12-18 at 25.00. Well … the interest-equivalent (at Ontario’s factor of 1.4x) is at least a small spread over bonds!
PWF.PR.K PerpetualPremium 106,800 Desjardins crossed 100,000 at $26.35. Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.32 and a call 2014-11-30 at $25.00
BMO.PR.G OpRet 78,218 Now with a pre-tax bid-YTW of 3.73% based on a bid of 25.23 and a call 2007-9-24 at $25.00. I’ll bet not just a nickel, but a whole dime that it gets called ASAP and that BMO won’t wait for the softMaturity 2008-5-24. The interest-equivalent to the September call is 5.22% – money-market almost-equivalents could get a lot worse … provided, of course, that you can buy at the bid and not pay commission. At the ask of 25.28, the YTW is 3.32% … still not bad, but it takes a lot of the fun out of it.
BNS.PR.K PerpetualPremium 56,575 RBC crossed 50,000 at 26.25. Now with a pre-tax bid-YTW of 4.14% based on a bid of $26.25 and a call 2014-5-28 at $25.00.

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

March 26, 2007

Monday, March 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 4.14% 4.01% 76,329 3.82 1 +0.1590% 1,050.7
Fixed-Floater 4.98% 3.92% 96,841 13.92 5 -0.1026% 1,038.6
Floater 4.72% -19.27% 76,950 5.58 3 +0.1188% 1,053.6
Op. Retract 4.71% 2.99% 81,686 2.13 17 -0.0575% 1,034.5
Split-Share 4.99% 3.24% 167,810 3.31 14 -0.1482% 1,053.0
Interest Bearing 6.48% 4.86% 64,960 2.31 5 +0.2968% 1,044.2
Perpetual-Premium 5.02% 3.83% 226,236 5.24 53 -0.0203% 1,058.7
Perpetual-Discount 4.53% 4.53% 827,401 14.43 10 +0.0924% 1,067.5
Major Price Changes
Issue Index Change Notes
BSD.PR.A InterestBearing +1.0945% A burst of afternoon buying from TD Securities and Scotia took the price up as high as 10.25, to close at 10.16-31. Pre-tax bid-YTW now 5.82% based on a hardMaturity 2015-3-31 at $10.00.
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 513.626 Global seems to have made a specialty out of dividend capture strategies – they crossed 254,700 for cash at 26.33, and the same number for regular at 25.99. The issue went ex-Dividend today for $0.33125 and now has a pre-tax bid-YTW of 3.68% based on a bid of $25.89 and a call 2007-11-30 at $25.75.
BNS.PR.L PerpetualPremium 139,700 Virtually the same terms as the new issue, so it’s interesting to see this one closing at 25.14-17 on good volume. Note, however, that this issue has an initial dividend of $0.28125 and goes ex-dividend prior to settlement of the new issue. I wonder if they do this type of thing on purpose, as a snare for the unwary, who might think it marvellous that such a close comparable is trading at a premium? Now with a pre-tax bid-YTW of 4.53% based on a limitMaturity.
TD.PR.M OpRet 78,650 Desjardins crossed 55,000 at $27.25, then 20,000 at the same price. Now with a pre-tax bid-YTW of 2.82% based on a bid of $27.11 and a call 2009-5-30 at $26.00. The chances of it surviving to its softMaturity 2013-10-30, to have yielded 3.40% are just what, exactly?
RY.PR.B PerpetualPremium 77,200 RBC crossed 70,000 at 25.65. Now with a pre-tax bid-YTW of 4.42% based on a bid of 25.65 and a call 2015-9-23 at $25.00.
CM.PR.I PerpetualPremium 61,320 National Bank crossed 20,000 at 25.35. Now with a pre-tax bid-YTW of 4.45% based on a bid of $25.40 and a call 2016-3-1 at 4.45%.

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

HIMIPref™ Indices : August, 1998

Monday, March 26th, 2007

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

HIMI Index Values 1998-08-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,560.1 0 0 0 0 0 0
FixedFloater 1,486.9 9 2.00 5.16% 15.1 184M 5.41%
Floater 1,469.0 5 1.80 4.95% 15.1 95M 5.33%
OpRet 1,283.8 33 1.24 5.46% 4.0 79M 6.47%
SplitShare 1,256.0 5 1.58 7.01% 6.9 209M 6.01%
Interest-Bearing 1,283.8 0 0 0 0 0 0
Perpetual-Premium 1,200.1 2 1.00 5.51% 1.17 88M 8.65%
Perpetual-Discount 1,180.0 4 0 0 0 0 0

Index Constitution, 1998-08-31, Pre-rebalancing

Index Constitution, 1998-08-31, Post-rebalancing