There’s not much that I can say that isn’t in the headline!
The MAPF Main Page has been updated to incorporate links to the 2006 Financial Statements and to the 2006 Portfolio Transactions.
I eagerly await criticism for my bloated Trading Expense Ratio that everybody seems so concerned about nowadays – even when talking about fixed income – to which I have only one thing to say.
| 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 | 4.15% | 4.03% | 77,474 | 3.83 | 1 | 0.0000% | 1,049.0 |
| Fixed-Floater | 4.98% | 3.85% | 98,668 | 7.91 | 5 | +0.0243% | 1,039.7 |
| Floater | 4.73% | -18.34% | 76,144 | 0.51 | 3 | -0.1702% | 1,052.4 |
| Op. Retract | 4.70% | 2.87% | 79,747 | 2.15 | 17 | -0.0829% | 1,035.1 |
| Split-Share | 4.98% | 2.74% | 169,788 | 3.32 | 14 | +0.0984% | 1,054.5 |
| Interest Bearing | 6.50% | 4.76% | 64,621 | 2.31 | 5 | -0.0977% | 1,041.1 |
| Perpetual-Premium | 5.01% | 3.84% | 226,067 | 5.05 | 53 | +0.0194% | 1,058.9 |
| Perpetual-Discount | 4.53% | 4.54% | 843,055 | 14.41 | 10 | +0.0204% | 1,066.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BMO.PR.G | OpRet | -1.0265% | Nesbitt crossed 42,700 at 25.20 and it closed at 25.07-20. Is this finally capitulation (by one player, anyway!) or is it just a noisy flash in the pan? Now with a pre-tax bid-YTW of 4.86% based on a softMaturity 2008-5-24 at $25.00. Note that yesterday, the bid-YTW was 2.83% based on the bid of $25.33. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| PWF.PR.I | PerpetualPremium | 214,600 | Desjardins had a buyer for this issue today and were on the buy-side for the last ten trades, which totalled 208,400 shares including a cross of 200,000 at 27.03. Looks like their buyer was motivated, because their trading took the price up from 26.74 to the cross level. Closed at 26.71-98; pre-tax bid-YTW is 4.13% based on a call 2008-5-30 at $26.00; pre-tax ask-YTW is 3.24%. |
| CM.PR.R | OpRet | 203,800 | Desjardins crossed 200,000 at 26.85. Now with a pre-tax bid-YTW of 2.38% based on a bid of $26.67 and a call 2008-5-30 at $25.75. The buyer appears to be desperately hoping for the softMaturity 2013-4-29 at $25.00, which will have given a yield of 3.96%, and who am I to say he shouldn’t? James Hymas, that’s who. |
| GWO.PR.X | OpRet | 65,418 | Desjardins crossed 58,000 at 27.65, in a blatant attempt to capture the coveted “Biggest trades is low-yielding securities” trophy for March. Now with a pre-tax bid-YTW of 2.14% based on a bid of $27.60 and a call 2009-10-30 at $26.00. This is an interesting issue, with the issuer bid and Putnam financing to be considered. |
| CM.PR.D | PerpetualPremium | 63,200 | TD crossed 60,000 at $26.99. Now with a pre-tax bid-YTW of 3.19% based on a bid of $26.93 and a call 2008-5-30 at $26.00 … which basically means it’s yielding not much more than a corporate bond. Maybe CIBC won’t call it! Maybe pigs will fly! You can never tell. |
| BMO.PR.G | OpRet | 47,708 | Discussed as a Big Mover. |
There were nine other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
| 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% | 80,670 | 3.84 | 1 | -0.1983% | 1,049.0 |
| Fixed-Floater | 4.98% | 3.85% | 100,115 | 7.84 | 5 | -0.3063% | 1,039.4 |
| Floater | 4.72% | -18.75% | 75,630 | 0.32 | 3 | +0.0000% | 1,054.2 |
| Op. Retract | 4.70% | 2.78% | 79,019 | 2.14 | 17 | +0.0907% | 1,035.9 |
| Split-Share | 4.99% | 2.83% | 173,289 | 3.32 | 14 | +0.1537% | 1,053.5 |
| Interest Bearing | 6.50% | 4.91% | 65,174 | 2.31 | 5 | +0.1303% | 1,042.1 |
| Perpetual-Premium | 5.01% | 3.81% | 230,216 | 5.22 | 53 | -0.0304% | 1,058.7 |
| Perpetual-Discount | 4.53% | 4.54% | 865,516 | 14.41 | 10 | -0.0954% | 1,066.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with notable performances today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| RY.PR.A | PerpetualDiscount | 358,978 | TD crossed 100,000 at 25.05, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.00 and a limitMaturity. |
| FAL.PR.H | Scraps ( would be PerpetualPremium, but there are credit concerns) | 106,300 | Scotia crossed 53,800 at $25.91; Desjardins crossed 50,000 at $25.95. Now with a pre-tax bid-YTW of 3.17% based on a bid of $25.86 and a call 2008-4-30. I can only assume that the market is assuming the call is a lead-pipe cinch and is trading the issue as a retractible – a hard conclusion to argue against, since it pays at a rate of 6.5% of par. But still… |
| MFC.PR.A | OpRet | 86,380 | Desjardins crossed 50,000 at 26.50. Now with a pre-tax bid-YTW of 3.37% based on a bid of $26.40 and a softMaturity 2015-12-18 at $25.00 |
| CM.PR.R | OpRet | 83,020 | Scotia crossed 14,000 at $26.75, then another 65,000 at $26.83. Now with a pre-tax bid-YTW of 2.67% based on a bid of $26.58 and a call 2008-5-30 at $25.75. This YTW is only the bond-equivalent of 3.74% at the Ontario Equivalency Factor of 1.4, so the market seems to be hoping it lasts until the softMaturity 2013-4-29 at $25.00, which results in a pre-tax bid-Yield of 4.03%. I have my doubts! |
| GWO.PR.X | OpRet | 54,558 | Now with a pre-tax bid-YTW of 2.07% based on a bid of $27.65 and a call 2009-10-30 at 26.00. Again, the market is hoping for the softMaturity, this one 2013-9-29 to yield 3.00% … but that’s still only bond-equivalent of 4.2%, which is less than corporate bonds of that tenor, so why? Note that this still has the Issuer Bid and Putnam financing to be considered. |
| RY.PR.F | PerpetualDiscount | 49,230 | Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.72 and a limitMaturity. |
There were fourteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
I have just had the disclaimer of PrefLetter (Coming Soon!) prepared. Everybody will be familiar with these things – I needed to ensure that the work was clearly labelled as generic and that there were prohibitions against redistribution or other abuse.
Very disappointing. Not only did counsel cross out EVERY SINGLE MENTION of “thumbscrews” in the prohibition, but I am advised that “evisceration” is no longer considered a legal remedy. Hell.
And I’ve learnt about the subscription restrictions. As I am licensed in Ontario, I am able to sell subscriptions to any Ontario resident; there are also exemptions in place such that I can sell subscriptions to Quebec residents who are registered in Quebec. But nobody else, not unless I get registered in other provinces. I will, however, maintain a list of the business I’m losing due to these restrictions and will apply for registration anywhere I think I can at least break even.
The various levels of restriction seem a little strange to me:
I find it most peculiar, really. Especially the part about being able to offer a registered financial advisor in, say, Saskatchewan, a license for my software but not a subscription to my newsletter.
First day of spring and in celebration I went out with an industry buddy for a very good dinner.
I then returned to the grindstone to find that I had some kind of strange internet connectivity problem … I’ve worked around it (different ISP, different geographical location) and HIMIPref™ has been updated with today’s closing quotes & volumes and a few dividend records … but I’ve run out of time!
I will review the day on the 22nd.
| 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% | 3.94% | 74,695 | 3.84 | 1 | 0.0000% | 1,051.1 |
| Fixed-Floater | 4.96% | 3.64% | 99,900 | 4.64 | 5 | -0.1729% | 1,042.6 |
| Floater | 4.72% | -18.92% | 76,868 | 0.32 | 3 | +0.0262% | 1,054.2 |
| Op. Retract | 4.70% | 2.75% | 76,919 | 2.11 | 17 | +0.0333% | 1,035.0 |
| Split-Share | 5.00% | 3.50% | 177,651 | 3.36 | 14 | -0.1166% | 1,051.9 |
| Interest Bearing | 6.51% | 4.99% | 65,453 | 2.31 | 5 | -0.0706% | 1,040.7 |
| Perpetual-Premium | 5.01% | 3.74% | 233,255 | 5.22 | 53 | +0.0078% | 1,059.0 |
| Perpetual-Discount | 4.52% | 4.53% | 879,379 | 14.48 | 10 | -0.1637% | 1,067.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BNA.PR.A | SplitShare | -1.9011% | On relatively heavy volume of 12,238 shares (volume-average is 1,538) to close at 25.80-25, pre-tax bid-YTW of 4.55% based on a call 2007-10-31 at $25.50 |
| FFN.PR.A | SplitShare | +1.0368% | Now with a pre-tax bid-YTW of 2.55% based on a bid of $10.72 and a hardMaturity 2009-12-1 at $10.00. It would seem the market is expecting the upcoming meeting to extend term. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| FAL.PR.H | Scraps (Would be perpetualPremium, but there are yield concerns) | 402,000 | Now with a pre-tax bid-YTW of 3.02% based on a bid of $25.90 and a call 2008-4-30 at $25.00 |
| RY.PR.A | PerpetualDiscount | 206,500 | With a pre-tax bid-YTW of 4.48% based on a bid of $25.00 and a limitMaturity. |
| RY.PR.F | PerpetualDiscount | 120,775 | Pre-tax bid-YTW of 4.51% based on a bid of $24.75 and a limitMaturity. |
| NTL.PR.F | Scraps (Would be ratchet rate, but there are extreme credit concerns) | 107,295 | |
| BAM.PR.M | PerpetualPremium | 105,300 | With a pre-tax bid-YTW of 4.72% based on a bid of $25.08 and a call 2016-3-1 at $25.00 |
| PWF.PR.K | PerpetualPremium | 104,920 | Pre-tax bid-YTW of 4.31% based on a bid of $26.25 and a call 2014-11-30 at $25.00. |
There were twenty-six other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
There is no information on the website and there has been no press release.
An inquiry has been sent via http://www.duke-energy.com/investors/contact/addresses.asp.
Dates are:
Ex-Date : 3/28
Record Date: 3/30
PayDate : 4/15
Update, 2007-03-27 : Actually, this is kind of funny. Duke Energy at first denied any knowledge of any preferred shares whatsoever. When advised that the TSX listed their website as being the official source for information on these two issues, they said :
These issues are paid by Westcoast Energy Inc, through Spectra Energy. The information would be provided by Spectra Energy. I know that there is a press release available on their website, if you search their website for “dividends.” The press release was issued on March 5 or March 6, but it will only provide the recently declared dividends. You will need to contact Spectra Energy directly for this information.
Spectra? Who the hell is Spectra?
Anyway, I did find the relevant press release There is no indication that is was distributed via any industry-standard conduits, such as CCN Matthews or Canada Newswire
These are not listed on the website and there is no press release.
An inquiry has been sent to webmaster-e@transcanada.com.
The information is:
Ex-Date : 3/28
Record Date : 3/30
Pay Date : 4/30 (TCA.PR.X) and 5/1 (TCA.PR.Y)
Update, 2007-3-22 Investor Relations has responded with a link to the press release, which I presume is not picked up by the “News” link on the TSX quotes for the prefs since the press release was coded only for the common, TRP.
I have replied to IR asking if they will report the dividend information in the Investor Centre, similarly to the common share dividends.
Scotiabank has announced (via CCN Matthews)
a domestic public offering of 12 million, 4.50% non-cumulative preferred shares Series 15 (the “Preferred Shares Series 15”) at a price of $25.00 per share, for an aggregate amount of $300 million.
The Bank has agreed to sell the Preferred Shares Series 15 to a syndicate of underwriters led by Scotia Capital Inc. on a bought deal basis. The Bank has granted to the underwriters an over-allotment option to purchase up to an additional $45 million of the Preferred Shares Series 15. This over-allotment option is exercisable at any time up to 30 days after closing.
Closing is expected to occur on or after April 5, 2007.
I have no details on the call schedule as yet, but will post more, later, when I do.
I’m pleased to see this! Scotiabank has lots of Tier 1 Capital room for new issuance!
Update & Bump 3/21 : The redemption schedule is
| BNS Ser 15 Embedded Options | |||
| Option | From | To | Price |
| Redemption | 2012-07-27 | 2013-07-26 | 26.000000 |
| Redemption | 2013-07-27 | 2014-07-26 | 25.750000 |
| Redemption | 2014-07-27 | 2015-07-26 | 25.500000 |
| Redemption | 2015-07-27 | 2016-07-26 | 25.250000 |
| Redemption | 2016-07-27 | INFINITE DATE | 25.000000 |
and some comparatives are:
| Scotia Bank 4.45% Perp New Issue & Comparatives | |||
| Data | BNS.PR.? | BNS.PR.L | RY.PR.E |
| Price due to base-rate | 22.80 | 22.93 | 22.92 |
| Price due to short-term | -0.32 | -0.32 | -0.32 |
| Price due to long-term | 1.28 | 1.28 | 1.28 |
| Price to to Cumulative Dividends | 0.00 | 0.00 | 0.00 |
| Price due to Liquidity | 1.67 | 1.67 | 1.68 |
| Price due to error | -0.05 | -0.05 | -0.05 |
| Curve Price (Taxable Curve) | 25.38 | 25.51 | 25.50 |
| Dividend Rate | $1.125 | $1.125 | $1.125 |
| Quote 3/20 | 25.00 Issue | 25.10-19 | 25.20-24 |
| YTW (after tax) | 3.58% | 3.60% | 3.58% |
| YTW Date | 2016-8-26 / Infinite | Infinite | 2016-3-25 / Infinite |
| Credit Rating (DBRS) | Pfd-1 | Pfd-1 | Pfd-1 |
| YTW (Pre-Tax) | 4.50% | 4.53% | 4.51% |
| YTW Modified Duration (Pre-Tax) | 7.67 | 16.29 | 7.33 |
| YTW Pseudo-Convexity (Pre-Tax) | -61.97 | -52.65 | -61.67 |
| 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% | 3.92% | 77,563 | 3.85 | 1 | -0.3557% | 1,051.1 |
| Fixed-Floater | 4.96% | 3.47% | 98,961 | 4.64 | 5 | +0.0395% | 1,044.4 |
| Floater | 4.72% | -18.72% | 78,534 | 0.32 | 3 | +0.0394% | 1,053.9 |
| Op. Retract | 4.71% | 2.66% | 75,429 | 2.12 | 17 | -0.0210% | 1,034.6 |
| Split-Share | 4.99% | 2.04% | 180,075 | 3.33 | 14 | +0.1509% | 1,053.1 |
| Interest Bearing | 6.50% | 4.70% | 66,284 | 2.32 | 5 | -0.0077% | 1,041.5 |
| Perpetual-Premium | 5.00% | 3.82% | 234,024 | 5.15 | 53 | +0.0229% | 1,058.9 |
| Perpetual-Discount | 4.52% | 4.52% | 891,025 | 11.62 | 10 | +0.0164% | 1,069.1 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| GWO.PR.E | OpRet | -1.0409% | Still on credit watch by DBRS as the market awaits information regarding their financing of the Putnam purchase. This issue has an issuer bid outstanding, although no shares were purchased under last year’s plan. Now with a pre-tax bid-YTW of 2.41% based on a bid of 26.62 and a call 2009-4-30 at $25.50 … if the company waits until the first possible par-value call, 2011-4-30, it will have yielded 3.00%; and if the issue lasts until its softMaturity 2014-3-30, it will have yielded 3.64%. Take your pick! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.D | PerpetualPremium | 507,468 | The last two trades of note were a Desjardins cross of 50,000 at 27.07 and a TD cross of 50,000 at 27.08. Now with a pre-tax bid-YTW of 2.90% based on a bid of $27.01 and a call 2008-5-30 at $26.00. Sounds pricy to me! |
| BNS.PR.K | PerpetualPremium | 263,800 | The closing trade was RBC’s cross of 100,000 at $26.18. Now with a pre-tax bid-YTW of 4.12% based on a bid of $26.25 and a call 2014-5-28 at $25.00. Note that Scotiabank has announced a new issue. |
| CM.PR.H | PerpetualPremium | 203,250 | RBC crossed 100,000 at $26.18, then National Bank crossed 90,000 at $26.15. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.15 and a call 2014-4-29 at $25.00. |
| PWF.PR.J | OpRet | 156,649 | Desjardins crossed 150,000 at $27.00. Now with a pre-tax bid-YTW of 2.10% based on a bid of 26.90 and a call 2008-5-30 at $26.00. I discussed earlier the chances of it getting redeemed before its time. And I haven’t changed my mind since then! |
| SLF.PR.E | PerpetualDiscount | 115,418 | Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.91 and a limitMaturity. |
| BAM.PR.B | FloatingRate | 102,050 | Nesbitt crossed 100,000 at 24.90. |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
All indices were assigned a value of 1000.0 as of December 31, 1993.
| HIMI Index Values 1998-07-31 | |||||||
| Index | Closing Value (Total Return) | Issues | Mean Credit Quality | Median YTW | Median DTW | Median Daily Trading | Mean Current Yield |
| Ratchet | 1,637.1 | 0 | 0 | 0 | 0 | 0 | 0 |
| FixedFloater | 1,584.1 | 9 | 2.00 | 4.59% | 3.9 | 271M | 5.05% |
| Floater | 1,541.6 | 5 | 1.80 | 4.61% | 0.7 | 115M | 5.08% |
| OpRet | 1,353.8 | 33 | 1.24 | 4.16% | 3.8 | 70M | 6.15% |
| SplitShare | 1,389.8 | 5 | 1.59 | 5.49% | 7.1 | 352M | 5.43% |
| Interest-Bearing | 1,353.8 | 0 | 0 | 0 | 0 | 0 | 0 |
| Perpetual-Premium | 1,272.9 | 6 | 1.00 | 5.07% | 10.0 | 207M | 6.28% |
| Perpetual-Discount | 1,251.6 | 0 | 0 | 0 | 0 | 0 | 0 |
