Archive for April, 2009

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MAPF Performance: March 2009

Monday, April 6th, 2009

The fund performed well in a volatile month, in which a sharp early drop in values was overtaken by a slow and steady gain:

And … the end of this month marked the eighth full year of operation for Malachite Aggressive Preferred Fund. Since its inception in March, 2001, it has delivered a cumulative return of +100.38% (after expenses, before fees), doubling its money, while the benchmark index has returned a cumulative total of +4.92%.

The fund’s Net Asset Value per Unit as of the close March 31 was $8.8317 after giving effect to a distribution of $0.191322 per unit.

Returns to March 31, 2009
Period MAPF Index CPD
according to
Claymore
One Month +3.00% +0.31% N/A
Three Months +12.14% +2.72% N/A
One Year +7.65% -13.88% N/A
Two Years (annualized) +2.93% -10.54%  
Three Years (annualized) +3.77% -5.86%  
Four Years (annualized) +4.76% -3.20%  
Five Years (annualized) +5.00% -2.17%  
Six Years (annualized) +10.18% -0.10%  
Seven Years (annualized) +8.11% +0.51%  
Eight Years (annualized) +9.08% +0.60%  
The Index is the BMO-CM “50”
CPD Returns are for the NAV and are after all fees and expenses.
Figures for Omega Preferred Equity (which are after all fees and expenses) for 1-, 3- and 12-months are +0.5%, +2.4% and -13.9%, respectively, according to Morningstar after all fees & expenses
Figures for Jov Leon Frazer Preferred Equity Fund (which are after all fees and expenses) for 1-, 3- and 12-months are N/A, N/A & N/A, respectively, according to Morningstar

Returns assume reinvestment of dividends, and are shown after expenses but before fees. Past performance is not a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund. For more information, see the fund’s main page.

The yields available on high quality preferred shares remain elevated, which is reflected in the current estimate of sustainable income.

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW		 Leverage
Divisor		 Securities
Average
YTW		 Sustainable
Income
June, 2007 9.3114 5.16% 1.03 5.01% 0.4665
September 9.1489 5.35% 0.98 5.46% 0.4995
December, 2007 9.0070 5.53% 0.942 5.87% 0.5288
March, 2008 8.8512 6.17% 1.047 5.89% 0.5216
June 8.3419 6.034% 0.952 6.338% $0.5287
September 8.1886 7.108% 0.969 7.335% $0.6006
December, 2008 8.0464 9.24% 1.008 9.166% $0.7375
March 2009 $8.8317 8.60% 0.995 8.802% $0.7633
NAVPU is shown after quarterly distributions.
“Portfolio YTW” includes cash (or margin borrowing), with an assumed interest rate of 0.00%
“Securities YTW” divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
“Sustainable Income” is the resultant estimate of the fund’s dividend income per unit, before fees and expenses.

As discussed in the post MAPF Portfolio Composition: March 2009, the fund has positions in splitShares (almost all BNA.PR.C) and an operating retractible (YPG.PR.B), both of which skew the calculation. Since the yield on thes positions is higher than that of the perpetuals despite the fact that the term is limited, the sustainability of the calculated “sustainable yield” is suspect, as discussed in August.

Additionally, the calculated yield for the fixed-floater in the portfolio, BCE.PR.I, depends on the presumed value of Canada Prime (3.00%) and the percentage of Canada Prime paid on par value (100%); both of these figures may change. Prime is, in fact, now only 2.50% – while this change will affect the calculation of sustainable yield, this issue has a fixed yield until August 1, 2011.

And finally, the yield calculations with respect to FixedReset issues is dependent upon a constant yield of the 5-Year Canada bonds whence the reset rate is calculated. Calculations include the contemporary yield on 5-Year Canada’s; if this value were to be increased, the calculated yield-to-worst on the Fixed-Reset issues held would also increase.

However, if the entire portfolio except for the PerpetualDiscounts were to be sold and reinvested in these issues, the yield of the portfolio would be the 7.60% shown in the March 31 Portfolio Composition analysis (which is in excess of the 7.29% index yield on March 31). Given such reinvestment, the sustainable yield would be 8.8317 * 0.0760 = $0.6712., an slight decrease from the $0.6850 derived by a similar calculation last month; the decline may be attributed to the increase in credit quality over the month.

Different assumptions lead to different calculations, but the overall positive trend is apparent. I’m very pleased with the results! It will be noted that if there was no trading in the portfolio, one would expect the sustainable yield to be constant (before fees and expenses). The success of the fund’s trading is showing up in

  • the very good performance against the index
  • the long term increases in sustainable income per unit

As has been noted, the fund has maintained a credit quality equal to or better than the index; outperformance is due to constant exploitation of trading anomalies.

Again, there are no predictions for the future! The fund will continue to trade between issues in an attempt to exploit market gaps in liquidity, in an effort to outperform the index and keep the sustainable income per unit – however calculated! – growing.

Posted in MAPF | 1 Comment »

HIMIPref™ Preferred Indices: March 2009

Monday, April 6th, 2009
HIMI Index Values 2009-3-31
These values reflect the December 2008 Revision
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 870.3 0 N/A N/A N/A N/A N/A
FixedFloater 1,407.4 0 N/A N/A N/A N/A N/A
Floater 1,087.2 2 2.00 5.49% 14.7 76M 5.61%
OpRet 2,073.3 15 1.37 4.76% 3.87 131M 5.23%
SplitShare 1,644.0 3 2.00 10.61% 5.67 47M 7.03%
Interest-Bearing 1,927.6 1 2.00 9.96% 0.7 33M 6.19%
Perpetual-Premium 1,516.3 0 N/A N/A N/A N/A N/A
Perpetual-Discount 1,396.5 71 1.24 7.29% 12.2 154M 7.16%
FixedReset 1,825.0 32 1.06 5.86% 13.7 569M 6.10%

For Index Revisions during February 2009, see the post HIMIPref™ Index Rebalancing: March 2009.

Publication of index details is embargoed for six months following index date.

Posted in HIMI Preferred Indices | No Comments »

Index Performance: March 2009

Monday, April 6th, 2009

Performance of the HIMIPref™ Indices for March, 2009, was:

Total Return
Index Performance
March 2009		 Three Months
to
March 31, 209
Ratchet -2.67% * +5.00% *
FixFloat +5.00% ** +12.41% **
Floater +5.00% +10.19%
OpRet +1.27% +5.36%
SplitShare +0.00% -6.53%
Interest -0.11% +4.98%
PerpetualPremium +1.05%*** +3.33%***
PerpetualDiscount +1.05% +3.33%%
FixedReset +1.93% +1.77%
* The last member of the RatchetRate index was transferred to Scraps at the February, 2009, rebalancing; subsequent performance figures are set equal to the Floater index
** The last member of the FixedReset index was transferred to Scraps at the February, 2009, rebalancing; subsequent performance figures are set equal to the PerpetualDiscount index
*** The last member of the PerpetualPremium index was transferred to PerpetualDiscount at the October, 2008, rebalancing; subsequent performance figures are set equal to the PerpetualDiscount index
Funds (see below for calculations)
CPD +0.63% +2.69%
DPS.UN -0.23% +3.58%
Index
BMO-CM 50 +0.31% +2.72%

Claymore has published NAV and distribution data for its exchange traded fund (CPD) and I have derived the following table:

CPD Return, 1- & 3-month, to March 31, 2009
Date NAV Distribution Return for Sub-Period Monthly Return
December 31, 2008 14.11 0.00    
January 30, 2009 14.57 0.00   +3.26%
February 27, 2009 14.40 0.00   -1.17%
March 26 14.19 0.2100 0.00% +0.63%
March 31, 2009 14.28   +0.63%
Quarterly Return +2.69%

The DPS.UN NAV for April 1 has been published so we may calculate the March returns (approximately!) for this closed end fund.

DPS.UN NAV Return, March-ish 2009
Date NAV Distribution Return for period
Estimated February Ending Stub +0.21%
February 25, 2009 16.27    
March 25, 2009 16.11   -0.98%
March 27, 2009 15.81* 0.30 0.00%*
April 1, 2009 16.02 0.00 +1.33%
Estimated April Beginning Stub -0.77%
Estimated March Return -0.23%
** CPD had a NAV of $14.43 on February 25 and $14.40 on February 27. Return for this period for CPD was therefore -0.21%, which is subtracted from the DPS period return.
* CPD had a NAV of $14.40 on March 25 and $14.19 on March 26 after a $0.21 distribution. The NAV was 14.19 on March 27. Therefore, the total return on CPD for this full period was 0.00%. This has been used to estimate a post-distribution NAV for DPS.UN on March 27..
** CPD had a NAV of $14.39 on April 1 and a NAV of $14.28 on March 31. The return for the day was therefore 0.77%. This figure is subtracted from the DPS.UN period return to arrive at an estimate for the calendar month.
The April return for DPS.UN’s NAV is therefore the product of four period returns, +0.21, -0.98%, +1.33 and -0.77%, to arrive at an estimate for the calendar month of -0.23%

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for January and February

DPS.UN NAV Returns, three-month-ish to end-March-ish, 2009
January-ish +5.71%
February-ish -1.79%
March-ish -0.23%
Three-months-ish +3.58%

Posted in Index Construction / Reporting | 2 Comments »

MAPF Portfolio Composition: March 2009

Friday, April 3rd, 2009

Trading eased off a little in March, with portfolio turnover of about 80%, in a market notable for its volatility – PerpetualDiscounts were down 5.28% at the nadir on March 10, but recovered to post a return of +1.05% for the month. There was continued huge issuance of Fixed-Resets during the month, with over $1.2-billion hitting the streets.

Trades were, as ever, triggered by a desire to exploit transient mispricing in the preferred share market (which may the thought of as “selling liquidity”), rather than any particular view being taken on market direction, sectoral performance or credit anticipation.

MAPF Sectoral Analysis 2009-3-31
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 9.7% (-0.6) 15.86% 6.56
Interest Rearing 0% N/A N/A
PerpetualPremium 0.0% N/A N/A
PerpetualDiscount 73.8% (+1.0) 7.60% 12.03
Fixed-Reset 10.0% (+0.7) 6.39% 13.28
Scraps (FixFloat) 1.6% (-2.6) 6.53% 14.74
Scraps (OpRet) 3.7% (-0.4) 17.67% 5.69
Scraps (SplitShare) 0.5% (+0.2) 6.40% 4.35
Cash +0.5% (+1.5) 0.00% 0.00
Total 100% 8.60% 11.23
Totals and changes will not add precisely due to rounding. Bracketted figures represent change from February month-end. Cash is included in totals with duration and yield both equal to zero.

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2009-3-31
DBRS Rating Weighting
Pfd-1 49.9% (+17.2)
Pfd-1(low) 16.5% (-14.8)
Pfd-2(high) 8.9% (-0.4)
Pfd-2 0% (0)
Pfd-2(low) 18.7% (-0.4)
Pfd-3(high) 5.3% (-3.0)
Pfd-3(low) 0.0% (-0.3)
Cash +0.5% (+1.5)
Totals will not add precisely due to rounding. Bracketted figures represent change from February month-end.

The fund does not set any targets for overall credit quality; trades are executed one by one. Variances in overall credit will be constant as opportunistic trades are executed. The overall credit quality of the portfolio is now superior to the credit quality of CPD at August month-end (when adjusted for the downgrade of BCE).

Claymore provides the following ratings breakdown:

Ratings Breakdown
as of 12/31/08
Pfd-1 61.15%
Pfd-2 23.26%
Pfd-3 15.60%

Two events have occurred since the Dec. 31 calculation date of CPD’s credit quality:

As was the case with the February Composition Report, the changes in MAPF’s credit quality defy simple explanation; there were simply too many trades to allow for one or two trades to be highlighted as the source of the change. In sum however, the major changes were:

  • In the FixedReset Sector, IAG.PR.C (Pfd-2(high)) was sold and BMO.PR.O (Pfd-1) was purchased,
  • In the PerpetualDiscounts sector, several SLF issues (Pfd-1(low)) were sold and CU.PR.B (Pfd-2(high)) was purchased.

A plot of the Yields-to-Worst of SLF.PR.A (the most liquid SLF issue) and CU.PR.B is instructive. The peak in SunLife yields was enormous – and sadly, the fund got in too early to realize the full benefit of the return to more normal levels, having topped up its position in the week of February 13-17. However, the need to act quickly is well illustrated by CU.PR.B, for which it appears that a large sale order was executed in pieces over a two week period, driving the pre-tax bid-YTW to an elevated plateau. The fund was able to take advantage of the market impact of this trade, supplying liquidity to the seller at what appears – so far! – to have been a very nice price.

Trade details will be published with the semi-annual report to unitholders, due in July.

Liquidity Distribution is:

MAPF Liquidity Analysis 2009-3-31
Average Daily Trading Weighting
<$50,000 0.5% (0)
$50,000 – $100,000 37.6% (+18.2)
$100,000 – $200,000 14.8% (-1.9)
$200,000 – $300,000 23.8% (-7.4)
>$300,000 22.6% (-10.6)
Cash +0.5% (+1.5)
Totals will not add precisely due to rounding. Bracketted figures represent change from February month-end.

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. A “unit trust” is like a regular mutual fund, but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission) and those who subscribe for $150,000+. Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on The Claymore Preferred Share ETF (symbol CPD) as of August 29. When comparing CPD and MAPF:

  • MAPF credit quality is better
  • MAPF liquidity is similar
  • MAPF Yield is higher
  • Weightings in
    • MAPF weighting in PerpetualDiscounts is higher
    • MAPF is much less exposed to Operating Retractibles
    • MAPF is more exposed to SplitShares
    • FixFloat / Floater / Ratchet is similar
    • MAPF is slightly less exposed to Fixed-Resets

Posted in MAPF | 1 Comment »

April 3, 2009

Friday, April 3rd, 2009

Bernanke gave a speech today on the Federal Reserve’s Balance Sheet (hat tip: Across the Curve). I have updated the post Fed to Open Spigots Further.

It looks like Short-Sellers will join the politically inspired list of Designated Villains for the financial crisis. The SEC is under pressure and voices of reason will – as usual, when political grandstanding becomes paramount – be ignored.

The OSC has published the first edition of OSC Investor News. Investors may obtain a subscription by eMailing the OSC.

Another day of good performance from the PerpetualDiscounts; Fixed-Resets were more mixed but were able to eke out a gain.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.8323 % 878.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8323 % 1,420.0
Floater 5.56 % 5.45 % 72,197 14.79 2 0.8323 % 1,097.0
OpRet 5.18 % 4.72 % 136,035 3.86 15 0.2836 % 2,093.4
SplitShare 7.06 % 12.90 % 46,807 5.65 3 0.0909 % 1,637.2
Interest-Bearing 6.15 % 9.34 % 29,981 0.72 1 -0.5102 % 1,937.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3057 % 1,557.8
Perpetual-Discount 6.98 % 7.09 % 152,151 12.43 71 0.3057 % 1,434.7
FixedReset 6.05 % 5.74 % 713,144 13.71 34 0.0692 % 1,845.5
Performance Highlights
Issue Index Change Notes
BMO.PR.M FixedReset -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 22.09
Evaluated at bid price : 22.15
Bid-YTW : 4.25 %
RY.PR.B Perpetual-Discount -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.62 %
POW.PR.D Perpetual-Discount -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 7.49 %
CIU.PR.B FixedReset -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-01
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 5.52 %
GWO.PR.H Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 7.50 %
GWO.PR.F Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.35 %
SLF.PR.D Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 7.43 %
BAM.PR.I OpRet 1.12 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-12-30
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 8.04 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 8.09
Evaluated at bid price : 8.09
Bid-YTW : 5.45 %
NA.PR.L Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 6.94 %
BAM.PR.N Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 13.44
Evaluated at bid price : 13.44
Bid-YTW : 8.94 %
BNA.PR.C SplitShare 1.29 % Asset coverage of 1.7-:1 as of February 28 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 11.75
Bid-YTW : 15.00 %
RY.PR.F Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 6.59 %
SLF.PR.B Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 7.41 %
CM.PR.K FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 22.51
Evaluated at bid price : 22.55
Bid-YTW : 4.78 %
PWF.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.37 %
HSB.PR.D Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.40 %
BMO.PR.L Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.96 %
ELF.PR.G Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 8.70 %
TD.PR.O Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 6.57 %
CIU.PR.A Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.67 %
PWF.PR.K Perpetual-Discount 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 7.25 %
BMO.PR.J Perpetual-Discount 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 6.64 %
CU.PR.A Perpetual-Discount 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 6.65 %
BAM.PR.J OpRet 3.78 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 9.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PR.K FixedReset 832,732 New issue settled today.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 25.12
Evaluated at bid price : 25.17
Bid-YTW : 6.10 %
RY.PR.X FixedReset 334,190 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 23.19
Evaluated at bid price : 25.17
Bid-YTW : 6.07 %
BAM.PR.K Floater 73,700 TD crossed 37,400 at 7.60.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 7.66
Evaluated at bid price : 7.66
Bid-YTW : 5.75 %
BMO.PR.K Perpetual-Discount 53,400 TD crossed 39,500 at 18.96.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 7.06 %
BMO.PR.L Perpetual-Discount 52,385 RBC bought two blocks from Nesbitt, 10,000 at 21.00 and 13,400 at 21.20.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.96 %
TD.PR.I FixedReset 50,030 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 25.35
Evaluated at bid price : 25.40
Bid-YTW : 5.96 %
There were 29 other index-included issues trading in excess of 10,000 shares.

Posted in Market Action | No Comments »

TD.PR.K Closes at Solid Premium on Heavy Volume

Friday, April 3rd, 2009

TD.PR.K, the 6.25%+433 FixedReset announced last week closed today – all $350-million of it – and traded 832,732 shares in a range of 24.98-20 before closing at 25.17-22, 12×2.

Its vital statistics are:

TD.PR.K FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-03
Maturity Price : 25.12
Evaluated at bid price : 25.17
Bid-YTW : 6.10 %

Posted in Issue Comments | 3 Comments »

April 2, 2009

Thursday, April 2nd, 2009

No commentary today! It must be quarter-end, or something!

Whoosh-a-rama! PerpetualDiscounts rocketted up today and Fixed-Resets put up a very good show. CIU.PR.B at 26.75 bid, with a 5.22% YTW? The PerpetualDiscount CIU.PR.A closed at 17.21-18.25 today, yielding 6.78%-6.33% and I can no longer say (as I said when CIU.PR.B closed) that the Fixed-Reset issue is still cheap! However, some may still be attracted by the now legitimate expectation of a five-year call.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1658 % 870.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1658 % 1,408.3
Floater 5.60 % 5.51 % 72,628 14.70 2 1.1658 % 1,087.9
OpRet 5.19 % 4.73 % 135,395 3.87 15 0.3503 % 2,087.5
SplitShare 7.07 % 13.01 % 47,274 5.66 3 -0.8114 % 1,635.7
Interest-Bearing 6.12 % 8.58 % 31,203 0.72 1 0.9269 % 1,947.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 1.4848 % 1,553.1
Perpetual-Discount 6.99 % 7.13 % 152,913 12.42 71 1.4848 % 1,430.4
FixedReset 6.04 % 5.79 % 741,277 13.57 33 0.5187 % 1,844.2
Performance Highlights
Issue Index Change Notes
BNA.PR.A SplitShare -2.51 % Asset coverage of 1.7-:1 as of February 28 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2010-09-30
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 13.01 %
ACO.PR.A OpRet -1.66 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-12-31
Maturity Price : 25.50
Evaluated at bid price : 26.11
Bid-YTW : 3.05 %
W.PR.J Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 7.09 %
TCA.PR.X Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 45.01
Evaluated at bid price : 46.75
Bid-YTW : 5.95 %
IAG.PR.C FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 22.21
Evaluated at bid price : 22.25
Bid-YTW : 6.11 %
BNS.PR.Q FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 22.01
Evaluated at bid price : 22.06
Bid-YTW : 4.36 %
BAM.PR.K Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 7.62
Evaluated at bid price : 7.62
Bid-YTW : 5.78 %
CM.PR.K FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 22.21
Evaluated at bid price : 22.25
Bid-YTW : 4.85 %
BNS.PR.R FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 22.37
Evaluated at bid price : 22.41
Bid-YTW : 4.47 %
TD.PR.A FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 22.96
Evaluated at bid price : 23.00
Bid-YTW : 4.44 %
BNS.PR.K Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.74 %
BMO.PR.K Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 7.03 %
GWO.PR.G Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 7.36 %
HSB.PR.D Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 7.51 %
BAM.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.51 %
CM.PR.I Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 7.22 %
GWO.PR.I Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 7.44 %
IAG.PR.A Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 7.76 %
HSB.PR.C Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.17 %
BAM.PR.J OpRet 1.37 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 9.90 %
CM.PR.P Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 7.22 %
MFC.PR.D FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 24.85
Evaluated at bid price : 24.90
Bid-YTW : 6.48 %
NA.PR.L Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 7.02 %
CM.PR.H Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 7.17 %
RY.PR.G Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 6.68 %
CM.PR.G Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 7.19 %
BNS.PR.O Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.71 %
MFC.PR.B Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 7.32 %
BAM.PR.O OpRet 1.58 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 8.67 %
BNS.PR.L Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.68 %
RY.PR.D Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 6.68 %
BMO.PR.L Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 7.06 %
TD.PR.P Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.69 %
BMO.PR.H Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.77 %
PWF.PR.F Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 7.30 %
ELF.PR.F Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 8.84 %
SLF.PR.B Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 16.14
Evaluated at bid price : 16.14
Bid-YTW : 7.51 %
GWO.PR.H Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 7.40 %
CM.PR.E Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 7.23 %
RY.PR.H Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 22.02
Evaluated at bid price : 22.11
Bid-YTW : 6.49 %
POW.PR.C Perpetual-Discount 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.56 %
RY.PR.E Perpetual-Discount 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.65 %
BNA.PR.C SplitShare 2.11 % Asset coverage of 1.7-:1 as of February 28 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 11.60
Bid-YTW : 15.19 %
BNS.PR.M Perpetual-Discount 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 6.69 %
CM.PR.J Perpetual-Discount 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.14 %
SLF.PR.E Perpetual-Discount 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 7.47 %
PWF.PR.L Perpetual-Discount 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 7.47 %
BAM.PR.M Perpetual-Discount 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 8.98 %
CIU.PR.B FixedReset 2.45 % At these prices, holders are justified in assigning a high probability to a five-year call!
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-01
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 5.22 %
BAM.PR.I OpRet 2.52 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-12-30
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 8.31 %
PWF.PR.H Perpetual-Discount 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.45 %
RY.PR.C Perpetual-Discount 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.61 %
POW.PR.A Perpetual-Discount 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 7.41 %
SLF.PR.A Perpetual-Discount 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.38 %
RY.PR.B Perpetual-Discount 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.49 %
PWF.PR.E Perpetual-Discount 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.35 %
GWO.PR.F Perpetual-Discount 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.26 %
POW.PR.B Perpetual-Discount 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 7.43 %
SLF.PR.D Perpetual-Discount 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 15.28
Evaluated at bid price : 15.28
Bid-YTW : 7.35 %
SLF.PR.C Perpetual-Discount 3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 7.36 %
POW.PR.D Perpetual-Discount 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.36 %
RY.PR.A Perpetual-Discount 4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.28 %
MFC.PR.C Perpetual-Discount 7.30 % Not a lot of volume, but those who bought were highly motivated! Traded 6,897 shares in a range of 15.35-20 before closing at 16.16-20, 1×8.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 7.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.X FixedReset 301,086 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 23.16
Evaluated at bid price : 25.07
Bid-YTW : 6.10 %
TD.PR.I FixedReset 68,965 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 25.27
Evaluated at bid price : 25.32
Bid-YTW : 5.98 %
MFC.PR.D FixedReset 46,255 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 24.85
Evaluated at bid price : 24.90
Bid-YTW : 6.48 %
BNS.PR.O Perpetual-Discount 39,109 TD crossed 25,100 at 21.25.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.71 %
CIU.PR.B FixedReset 35,502 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-01
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 5.22 %
ELF.PR.F Perpetual-Discount 35,100 Desjardins sold 10,000 to Bolder Investment Partners (who?) at 15.00, then crossed 20,200 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-02
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 8.84 %
There were 30 other index-included issues trading in excess of 10,000 shares.

Posted in Market Action | No Comments »

HSB.PR.E to Settle April 8; Terms Unchanged

Thursday, April 2nd, 2009

HSBC Bank of Canada has announced:

HSBC Bank Canada (the “Bank”) intends to file an amended and restated prospectus supplement for the previously announced offering of Non-Cumulative 5-Year Rate Reset Class 1 Preferred Shares Series E (the “Preferred Shares Series E”). The amendment is a result of ratings action announced on 31 March 2009 by Standard and Poor’s (“S&P”) on the hybrid capital securities of over 60 European financial institutions, including the Bank’s parent company, HSBC Holdings plc. The S&P ratings of the Preferred Shares Series E of ‘P-1(Low)’ and ‘A’ under S&P’s Canadian and Global Preferred Share Rating scales, respectively, are among the highest of the major Canadian banks.

The Bank and a syndicate of investment dealers led by HSBC Securities (Canada) Inc. and Scotia Capital Inc. (the “Underwriters”) intend to enter into an agreement that will amend in certain respects the underwriting agreement they signed on 24 March 2009 (the “Underwriting Agreement” and together with the amending agreement, the “Amended Underwriting Agreement”). The size of the offering will be unchanged at 7 million shares at a price of $25.00 per share, for gross proceeds of C$175 million. The expected closing date for the offering, previously scheduled for 31 March 2009, will be amended to 8 April 2009.

Pursuant to the Amended Underwriting Agreement, HSBC Bank Canada will grant the Underwriters the option (the “Underwriters’ Option”), exercisable in whole or in part at any time up to two business days prior to closing, to purchase up to an additional 3 million Preferred Shares Series E at the issue price. Should the Underwriters’ Option be fully exercised, the total gross proceeds of the financing will be C$250 million.

The Preferred Shares Series E will entitle the holders to receive non-cumulative preferential fixed quarterly cash dividends if, as and when declared by the board of directors of the Bank, of C$0.4125 per share, to yield 6.60 per cent annually for the initial period ending 30 June 2014. Thereafter, the dividend rate will reset every five years at a rate equal to 4.85 per cent over the then five-year Government of Canada Bond Yield. Subject to regulatory approval, on 30 June 2014 and on 30 June every five years thereafter, the Bank may redeem the Preferred Shares Series E in whole or in part at par.

Based on the anticipated closing date of 8 April 2009, the first dividend on the Preferred Shares Series E will be payable on 30 June 2009 in the amount of C$0.3762 per share.

This resolves the confusion previously noted on PrefBlog. The issue was announced on March 23, with size bumped from $125-million to $175-million same-day.

The release on Newswire is timestamped 8:14 pm, for those who are interested.

Update, 2009-4-6: S&P has released a commentary on HSBC Canada:

Standard & Poor’s Ratings Services today commented on the March 31, 2009, downgrade of the rating on the preferred shares of HSBC Bank Canada (HSBC Canada; AA/Negative/A-1+). On that date, the global scale rating on HSBC Canada’s preferred shares was lowered to ‘A’ from ‘A+’, and the Canada scale rating on these instruments was lowered to ‘P-1(Low)’ from ‘P-1’.

This rating action was a direct consequence of a review of the ratings on the hybrid capital securities of various European banks (see “Hybrid Securities Of Over 60 European Financial Institutions Downgraded Following S&P Review”, published March 31, 2009, on RatingsDirect). One of the groups included in this review was HSBC Canada’s ultimate parent, HSBC Holdings PLC (HSBC Group; AA-/Negative/A-1+), which is U.K.-incorporated.
…
The hybrid capital-related ratings downgrades on HSBC Canada were not related to the previously planned closing date for HSBC Canada’s preferred share issuance on March 31, 2009.

I have communicated my displeasure to HSBC Canada regarding its delay in issuing a press release on this matter. While I am very well aware that it was a nightmarish occurance for them, I think that a March 31 press release to the effect that “Due to S&P’s rating action this morning the issue did not close as planned. HSBC Canada is in discussions with the underwriters to resolve this situation” should have been issued.

Posted in Issue Comments | No Comments »

Video of PerpetualDiscounts Seminar Now Available

Thursday, April 2nd, 2009

The February 26 Seminar on PerpetualDiscounts has been described before, and now, as promised, the video is on-line.

You may subscribe for a week via the PrefLetter Website; you will receive a password that remains valid for one week’s access to the seminar page.

This page contains Flash Video of the seminar (if you can watch YouTube, you can watch the video), or you may download the seminar to your own machine in QuickTime format.

In addition to the video, there are a host of links to articles I have written regarding various elements of the seminar; to the slides used in the seminar; and even to a handy spreadsheet or two.

This access is priced at $100 + tax, with a 50% discount to those with an active year-long subscription to PrefLetter.

Posted in Seminars | No Comments »

April 1, 2009

Wednesday, April 1st, 2009

Thornburg Mortgage has been a fascinating continuing saga and I have referred to it frequently in conversation over the past six months – it was last mentioned on PrefBlog on August 22. It is the only example I know of in which preferred shareholders were the target of a partial cram-down: reorganizations and bankruptcies are usually an all-or-nothing affair for preferred shareholders, but in this instance they got partial value.

All for naught! Thornburg Mortgage is going bust.

In a startling development some US investors in AIG have been able to figure out who the villains might be (assuming there are villains) when considering excessive bonuses (assuming bonuses are excessive) and are going after the chairman of the board’s compensation committee. A Nobel prize in economics can’t be far behind.

Another banner day for preferreds, with PerpetualDiscounts leading the way and FixedResets not far behind. PerpetualDiscounts now yield 7.26%, equivalent to 10.16% interest at the standard 1.4x equivalency factor; long corporates are now at 7.4% (maybe a tad higher) for a pre-tax interest-equivalent spread of 276bp.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.0890 % 860.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0890 % 1,392.1
Floater 5.67 % 5.56 % 75,671 14.57 2 -1.0890 % 1,075.4
OpRet 5.21 % 4.78 % 136,820 3.87 15 0.3322 % 2,080.2
SplitShare 7.01 % 11.10 % 46,959 5.67 3 0.3075 % 1,649.1
Interest-Bearing 6.18 % 9.85 % 31,631 0.72 1 0.1031 % 1,929.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.9255 % 1,530.4
Perpetual-Discount 7.09 % 7.26 % 154,345 12.29 71 0.9255 % 1,409.4
FixedReset 6.09 % 5.83 % 769,743 13.72 34 0.5379 % 1,834.7
Performance Highlights
Issue Index Change Notes
PWF.PR.E Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.57 %
BAM.PR.B Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 7.90
Evaluated at bid price : 7.90
Bid-YTW : 5.56 %
W.PR.H Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 7.26 %
TD.PR.Q Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 6.74 %
BNS.PR.O Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 6.82 %
GWO.PR.F Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.48 %
SLF.PR.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 7.61 %
RY.PR.L FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 24.28
Evaluated at bid price : 24.33
Bid-YTW : 4.89 %
POW.PR.B Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 7.69 %
GWO.PR.I Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 7.54 %
SLF.PR.A Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.59 %
RY.PR.R FixedReset 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 5.83 %
HSB.PR.C Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 7.26 %
RY.PR.H Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 6.60 %
BMO.PR.L Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.18 %
TD.PR.R Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 6.74 %
BAM.PR.H OpRet 1.25 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2012-03-30
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 8.10 %
BMO.PR.J Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 6.76 %
CM.PR.E Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 7.35 %
BNS.PR.L Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 6.79 %
MFC.PR.B Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 7.44 %
CM.PR.I Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 7.32 %
RY.PR.F Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 6.74 %
BAM.PR.I OpRet 1.40 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-12-30
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 8.93 %
CM.PR.G Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 7.30 %
BNS.PR.K Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 6.82 %
TD.PR.S FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 21.80
Evaluated at bid price : 21.86
Bid-YTW : 4.31 %
HSB.PR.D Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.60 %
W.PR.J Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 6.99 %
TD.PR.C FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 24.63
Evaluated at bid price : 24.68
Bid-YTW : 4.91 %
NA.PR.K Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.10 %
TD.PR.Y FixedReset 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 22.05
Evaluated at bid price : 22.10
Bid-YTW : 4.39 %
BNS.PR.J Perpetual-Discount 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.79 %
ELF.PR.G Perpetual-Discount 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 8.85 %
PWF.PR.K Perpetual-Discount 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.47 %
POW.PR.C Perpetual-Discount 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 7.70 %
BNA.PR.C SplitShare 2.25 % Asset coverage of 1.7-:1 as of February 28 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 11.36
Bid-YTW : 15.51 %
NA.PR.M Perpetual-Discount 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 7.19 %
RY.PR.B Perpetual-Discount 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.67 %
BMO.PR.K Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.12 %
PWF.PR.G Perpetual-Discount 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.51 %
NA.PR.N FixedReset 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 23.79
Evaluated at bid price : 23.86
Bid-YTW : 4.38 %
CM.PR.P Perpetual-Discount 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 7.32 %
IAG.PR.A Perpetual-Discount 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 7.87 %
PWF.PR.H Perpetual-Discount 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.65 %
PWF.PR.L Perpetual-Discount 4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 7.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.X FixedReset 725,748 New issue settled today.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 23.14
Evaluated at bid price : 25.02
Bid-YTW : 6.11 %
BMO.PR.O FixedReset 117,942 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 25.07
Evaluated at bid price : 25.12
Bid-YTW : 6.38 %
BMO.PR.K Perpetual-Discount 81,775 Nesbitt crossed 16,000 at 18.50 and sold two blocks to Scotia at the same price, 25,000 & 12,500 shares.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.12 %
TD.PR.R Perpetual-Discount 54,500 TD crossed two blocks at 21.19: 11,000 & 38,600 shares.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 6.74 %
MFC.PR.D FixedReset 53,614 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-01
Maturity Price : 24.50
Evaluated at bid price : 24.55
Bid-YTW : 6.58 %
GWO.PR.X OpRet 53,161 TD crossed two blocks at 25.05: 25,000 & 14,000 shares.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-09-29
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.78 %
There were 39 other index-included issues trading in excess of 10,000 shares.

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