Month: March 2007

Index Construction / Reporting

Index Changes, 2007-02-28

The following changes were made to the HIMIPref™ Indices (temporary version) on the February month-end rebalancing:
 

Index Changes 2007-02-28
Ticker From To Because
 ASC.PR.A Scraps  SplitShare  Volume 
 BNA.PR.B Scraps   SplitShare Volume 
 BCE.PR.S Ratchet  Scraps  Volume 
 BCE.PR.H Scraps  Ratchet  Volume 
 BCE.PR.I FixFloat  Scraps  Volume 
BMO.PR.J  PerpetualDiscount  PerpetualPremium  Price 
 BAM.PR.G FixFloat  Scraps  Volume 
BAM.PR.M  PerpetualDiscount  PerpetualPremium  Price 
PWF.PR.D  OpRet  Scraps  Volume 
PWF.PR.A  Floater  Scraps  Volume 
RY.PR.E  PerpetualDiscount  PerpetualPremium  Price 
PAY.PR.A  SplitShare  Scraps  Volume 
TOC.PR.B  Floater  Scraps  Volume 
WN.PR.E  PerpetualPremium  PerpetualDiscount  Price 

Market Action

March 1, 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 3.87% 3.87% 78,237 3.91 1 +0.0000% 1,047.4
Fixed-Floater 4.98% 3.64% 105,993 4.61 5 -0.0465% 1,039.6
Floater 4.72% -18.56% 76,399 0.09 3 -0.1043% 1,048.1
Op. Retract 4.71% 2.35% 76,706 2.12 17 -0.1150% 1,029.6
Split-Share 5.07% 1.12% 213,826 3.25 15 -0.0033% 1,043.3
Interest Bearing 6.50% 4.82% 63,313 2.34 5 -0.1451% 1,037.8
Perpetual-Premium 5.01% 3.58% 266,194 5.49 53 -0.0218% 1,055.0
Perpetual-Discount 4.54% 4.54% 844,780 14.21 9 0.0226% 1,063.9
Major Price Changes
Issue Index Change Notes
BAM.PR.I OpRet -1.2336% This doesn’t seem like a nice way for the market to greet Moodys’ upgrade of senior unsecured debt (from Baa3 to Baa2)! But, as far as I can make out from today’s trades, somebody at RBC really wanted to sell their 1,100 shares in a hurry, so it was done all at once, starting with 100 at 26.76 and continuing until 400 at 26.32. Now with a pre-tax bid-YTW of 4.61% based on a bid of $26.42 and a call 2009-7-30 at 25.75. It looks attractive at this price, provided you get filled!
FBS.PR.B SplitShare +1.1563% Now with a pre-tax bid-YTW of 1.41% based on a bid of $10.27 and a call 2008-1-14 at $10.00.
Volume Highlights
Issue Index Volume Notes
BCE.PR.C FixedFloater 370,200 Nesbitt crossed 511,600 at $25.60. That’s a nice ticket to write, especially if they earned a nickel per share from each side!
BCE.PR.R FixedFloater 362,150 Nesbitt crossed 360,000 at $25.50.
ACO.PR.A OpRet 32,852 TD crossed 25,000 at $27.50 … and swept up a lot of offers on their way to that price! I can only assume they were working for somebody who had an urgent need to buy an issue with a yield to worst of 3.02% based on a bid of 27.16 and a call 2008-12-31 (at the ask of 27.64, the pre-tax YTW is 2.01%).
CM.PR.I PerpetualPremium 31,500 Now with a pre-tax bid-YTW of 4.53% based on a bid of $25.47 and a call 2016-3-1 at $25.00.
WN.PR.D PerpetualPremium 21,600 RBC bought 15,000 from CIBC in two tranches at $25.80. Now with a pre-tax bid-YTW of 4.84% based on a bid of $25.83 and a call 2014-10-31 at $25.00. But remember … Credit Watch Negative!

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

The rebalancing of the HIMIPref™ indices was quite extensive. I’ll try to report on it tomorrow.

Issue Comments

SXT.PR.A Partial Call for Redemption

Sixty-Split Corp announced today :

that it has called 638,503 Preferred Shares for cash redemption on March 15, 2007 (in accordance with the Company’s Articles) representing approximately 41.578% of the outstanding Preferred Shares as a result of the special annual retraction of 1,277,422 Capital Shares by the holders thereof. The Preferred Shares shall be redeemed on a pro rata basis, so that each holder of Preferred Shares of record on March 14, 2007 will have approximately 41.578% of their Preferred Shares redeemed. The redemption price for the Preferred Shares will be $25.00 per share.
    Holders of Preferred Shares that are on record for the dividend but have been called for redemption will be entitled to receive dividends thereon which have been declared but remain unpaid up to but not including March 15, 2007.

I highlighted the possibility some time ago and warned again, but the price just stayed high. The issue closed today at 25.93-15, 10×3; dividends paid 3/15 will be $0.3563. So there’s a loss coming in two weeks of nearly $0.60 on nearly half the holdings. Ouch.

Issue Comments

CM.PR…. : DBRS says "Credit Watch Positive"

DBRS has announced:

DBRS has today placed all the long and short-term ratings of Canadian Imperial Bank of Commerce (CIBC or the Bank) Under Review with Positive Implications. The Under Review with Positive Implications status reflects ongoing actions CIBC has taken to address DBRS’s concerns regarding capital levels and the Bank’s ability to manage reputation-related risk which had caused rating pressure in 2005.

DBRS’s preliminary view is that the Bank has raised capital ratios to levels comparable to peers as a result of growth in retained earnings, increase in the amount of preferred shares allowed to be included in Tier 1 capital and management of risk-weighted assets.

See Preferreds & Tier 1 Capital (Part 3) for a very brief discussion of CIBC’s Tier 1 capital in relation to its peers.

Meanwhile S&P said:

Standard & Poor’s Ratings Services today said it revised its outlook on Canadian Imperial Bank of Commerce (CIBC) and selected subsidiaries to stable from negative. At the same time, Standard & Poor’s affirmed all ratings on CIBC and its subsidiaries, including the ‘A+’ long-term counterparty credit rating on CIBC. (A full report on CIBC will be published on RatingsDirect following this media release.)

The affected issues are: CM.PR.A / CM.PR.C / CM.PR.D / CM.PR.E / CM.PR.G / CM.PR.H / CM.PR.I / CM.PR.J / CM.PR.P / CM.PR.R.