The March issue of PrefLetter has just been sent to those who have previously indicated that they would like to see a copy.
I am still on schedule for an official launch in April, but it might be tight! Not everything is under my control and there’s a lot of waiting around to do when starting a new venture.
If any other readers would like to see a free copy of the March prototype, please eMail me. Comments will be greatly appreciated, but are not compulsory.
| 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 | 4.02% | 3.89% | 87,318 | 3.88 | 1 | 0.0000% | 1,047.4 |
| Fixed-Floater | 4.97% | 3.48% | 108,894 | 4.60 | 5 | +0.0951% | 1,041.4 |
| Floater | 4.71% | -17.32% | 71,942 | 11.02 | 3 | +0.0264% | 1,050.1 |
| Op. Retract | 4.70% | 2.65% | 77,098 | 2.15 | 17 | -0.0983% | 1,033.1 |
| Split-Share | 5.07% | 1.31% | 191,061 | 3.23 | 15 | -0.0182% | 1,044.3 |
| Interest Bearing | 6.47% | 3.96% | 67,036 | 2.33 | 5 | +0.1659% | 1,041.9 |
| Perpetual-Premium | 5.00% | 3.56% | 247,963 | 5.39 | 53 | +0.0117% | 1,057.3 |
| Perpetual-Discount | 4.53% | 4.53% | 792,348 | 13.15 | 9 | -0.0040% | 1,066.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| TD.PR.M | OpRet | -1.5659% | On volume of 700 shares – which was enough to knock the quote down to 27.03-59, 55×4. Now with a pre-tax bid-YTW of 2.90% based on the bid and a call 2009-5-30 at $26.00. If it survives until its softMaturity 2013-10-30 at $25.00, it will have yielded 3.42% |
| BAM.PR.I | OpRet | +1.3011% | An issue with similar terms to the TD.PR.M – the main difference is the credit. It pays $1.375 p.a., as opposed $1.175 for TD.PR.M. It did not trade today, despite the efforts of the bidders to attract attention. Now with a pre-tax bid-YTW of 3.25% based on a bid of $27.25 and a call 2009-7-30 at $25.75 … it if makes it to its softMaturity 2013-12-30, the yield will have been 4.17% |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| PWF.PR.K | PerpetualPremium | 142,950 | RBC crossed 139,000 at 26.20. Now with a pre-tax bid-YTW of 4.34% based on a bid of $26.16 and a call 2014-11-30 at 4.34%. |
| BAM.PR.M | PerpetualPremium | 116,200 | Desjardins crossed 108,400 at $25.20. Now with a pre-tax bid-YTW of 4.77% based on a bid of $25.25 and a call 2016-03-01 at $25.00. |
| BCE.PR.S | Scraps (would be “ratchet” with more volume) | 102,500 | Nesbitt crossed 100,000 at $25.20. |
| WN.PR.E | PerpetualDiscount | 62,359 | Still on credit watch negative. Now with a pre-tax bid-YTW of 4.81% based on a bid of 25.08 and a limitMaturity |
| TD.PR.N | OpRet | 50,000 | Nesbitt crossed 50,000 at 27.40. Now with a pre-tax bid-YTW of 2.37% based on a bid of $27.28 and a call 2009-5-30 at $26.00. Big Deal. Even if it survives until its softMaturity 2014-1-30, its yield will have been only 3.21% … basically a corporate bond, in fact, after taking account of the Ontario Equivalency Factor of 1.40. |
There were twelve 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 | 4.01% | 3.88% | 90,918 | 3.89 | 1 | 0.0000% | 1,047.4 |
| Fixed-Floater | 4.98% | 3.60% | 110,307 | 4.61 | 5 | -0.2041% | 1,040.4 |
| Floater | 4.71% | -16.84% | 73,207 | 11.03 | 3 | +0.1310% | 1,049.8 |
| Op. Retract | 4.69% | 2.37% | 77,791 | 2.11 | 17 | +0.0822% | 1,034.1 |
| Split-Share | 5.07% | 1.13% | 192,781 | 3.23 | 15 | +0.0956% | 1,044.5 |
| Interest Bearing | 6.48% | 3.55% | 65,505 | 2.33 | 5 | +0.1826% | 1,040.2 |
| Perpetual-Premium | 5.00% | 3.67% | 250,940 | 5.18 | 53 | +0.0132% | 1,057.2 |
| Perpetual-Discount | 4.53% | 4.53% | 810,417 | 13.16 | 9 | +0.0358% | 1,066.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no issues with notable performance today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| YPG.PR.A | Scraps | 181,300 | Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.71 and a softMaturity 2012-12-30. |
| SLF.PR.E | PerpetualDiscount | 116,800 | RBC crossed 100,000 at 24.95. Now with a pre-tax bid-YTW of 4.50% based on a bid of $24.95 and a limitMaturity. |
| TD.PR.O | PerpetualPremium | 111,100 | TD crossed 100,000 at $26.40. Now with a pre-tax bid-YTW of 4.13% based on a bid of $26.34 and a call 2014-11-30 at 25.00 |
| DIV.PR.A | SplitShare | 79,800 | Dundee crossed 75,200 at $25.40. This issue will be redeemed March 20 for a total of $25.51071. |
| BCE.PR.Z | FixedFloater | 72,169 | Nesbitt crossed 70,000 at $25.50. |
There were twenty 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 | 4.01% | 3.88% | 94,665 | 3.89 | 1 | +0.0398% | 1,047.4 |
| Fixed-Floater | 4.96% | 3.47% | 108,528 | 4.62 | 5 | +0.0394% | 1,042.5 |
| Floater | 4.71% | -16.38% | 73,769 | 11.02 | 3 | +0.0787% | 1,048.4 |
| Op. Retract | 4.70% | 2.31% | 76,165 | 2.11 | 17 | +0.1976% | 1,033.3 |
| Split-Share | 5.07% | 1.29% | 196,780 | 3.24 | 15 | -0.0002% | 1,043.5 |
| Interest Bearing | 6.49% | 3.46% | 64,876 | 2.33 | 5 | +0.0789% | 1,038.3 |
| Perpetual-Premium | 5.00% | 3.52% | 254,148 | 5.34 | 53 | +0.0674% | 1,057.0 |
| Perpetual-Discount | 4.53% | 4.54% | 821,217 | 13.16 | 9 | +0.0091% | 1,066.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.I | OpRet | +1.2898% | On volume of 454 shares, so perhaps not the most significant move ever recorded! But even after today’s move, it has a pre-tax bid-YTW of 4.17% based on a bid of $26.70 and a call 2009-7-30 at 25.75, which ain’t bad! It’s certainly the best in the Operating Retractible index! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BCE.PR.H | RatchetRate | 703,000 | Wow! Nesbitt crossed 350,000, then Scotia crossed 150,000, and Nesbitt closed the trading with a cross of 200,000 – all crosses done at 25.12. |
| BCE.PR.A | FixedFloater | 417,780 | Nesbitt crossed 417,300 at 25.30. Then another 80 as an odd-lot trade. |
| RY.PR.B | PerpetualPremium | 203,050 | Nesbitt crossed 200,000 at 25.65. Now with a pre-tax bid-YTW of 4.38% based on a bid of $25.65 and a call 2015-9-23 at $25.00 |
| BAM.PR.H | OpRet | 163,586 | Nesbitt crossed 162,600 at 27.40. Now with a pre-tax bid-YTW of 2.27% based on a bid of $27.39 and a call 2008-10-30 at 25.75. It pays $1.4375, which is a whole big pile of money for a retractible, so I’m a little dubious about its chances of making it to the softMaturity 2012-3-30 at $25.00. Compare these yields with the BAM.PR.I … SAME issuer SAME index … and see why sometimes I despair of this market. Sure, the H is more liquid than the I – about three times more liquid, according to the averageTradingValue. But is there absolutely nobody out there holding H and prepared to chip away at the differential piecewise? |
| YPG.PR.A | Scraps | 157,010 | Recent new issue. Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.75 and a softMaturity 2012-12-30. |
| SLF.PR.E | PerpetualDiscount | 122,660 | Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $24.91 and a limitMaturity. |
| PWF.PR.K | PerpetualPremium | 113,912 | RBC crossed 50,000 at 26.25, the TD crossed the same number at the same price. Now with a pre-tax bid-YTW of 4.31% based on a bid of $26.20 and a call 2014-11-30 at $25.00. |
| CM.PR.J | PerpetualPremium | 111,330 | Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.96 and a limitMaturity. |
| BCE.PR.S | Scraps (would be Ratchet Rate, but there are liquidity concerns) | 100,000 | Nesbitt crossed 100,000 at $25.20 |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
There doesn’t appear to be anything on the xstrata website to indicate the dividend dates for FAL.PR.H. I’ve sent them an inquiry as to whether they’ll be publicizing this information via their contact form.
At any rate, the record date is 3/15, it pays 4/1.
| 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 | 4.01% | 3.88% | 87,652 | 3.89 | 1 | -0.2384% | 1,046.9 |
| Fixed-Floater | 4.97% | 3.52% | 109,049 | 4.62 | 5 | +0.0399% | 1,042.1 |
| Floater | 4.72% | -16.37% | 74,473 | 0.63 | 3 | +0.0131% | 1,047.6 |
| Op. Retract | 4.71% | 2.37% | 76,191 | 2.11 | 17 | -0.0342% | 1,031.2 |
| Split-Share | 5.07% | 1.01% | 201,948 | 3.24 | 15 | -0.0020% | 1,043.5 |
| Interest Bearing | 6.50% | 4.33% | 65,008 | 2.33 | 5 | -0.3239% | 1,037.5 |
| Perpetual-Premium | 5.01% | 3.58% | 256,382 | 5.18 | 53 | +0.0815% | 1,056.3 |
| Perpetual-Discount | 4.53% | 4.53% | 821,376 | 13.16 | 9 | +0.2016% | 1,066.2 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| GWO.PR.E | OpRet | -1.0033% | Strange trading near the close – possibly an error, although not in and of itself enough to explain the sharply lower closing bid. HSBC bought 105 shares at 26.96 from “Anonymous” and Jones Gable (the odd lot) at 3:54pm, then sold 155 shares at 26.65 to Anonymous and Jones Gable (again the odd-lot). Huh. I wonder if there’s a story there … but there was a block trade and a bunch of odd lots trading at 26.65 prior to this, with lots of time for anyone to put in a better bid, so it doesn’t seem that the error (if that’s what it was) affected the price. Now with a pre-tax bid-YTW of 2.33% based on a bid of 26.64 and a call 2009-04-30 at $26.00. The yield is 2.95% if it survives until 2011-4-30 @ $25.00! Woo-hoo! Interest equivalent of almost a bond! This issue is on Credit Watch Developing and GWO has an issuer bid in place. |
| ELF.PR.F | PerpetualPremium | +1.0534% | On volume of 1,001 shares. Now with a pre-tax bid-YTW of 4.08% based on a bid of $26.86 and a call 2009-11-16 at $26.00. The issue pays $1.325 p.a. – good downside protection here! |
| GWO.PR.H | PerpetualPremium | +1.2086 | On strong volume of 46,646 shares … RBC crossed 40,000 at $26.05. A nice up-move, just to make sure GWO still felt loved. Now with a pre-tax bid-YTW of 4.23% based on a bid of 25.96 and a call 2014-10-30 at $25.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| YPG.PR.A | Scraps | 757,556 | Today’s new issue. |
| CM.PR.J | PerpetualPremium | 181,075 | Recent new issue. Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.93 and a limitMaturity. |
| BCE.PR.H | RatchetRate | 152,000 | Nesbitt crossed 100,000 at 25.12, then Scotia crossed 50,000 at the same price. |
| BCE.PR.T | Scraps (Would be FixedFloater, but there are volume concerns) | 151,700 | No volume concerns today, as Nesbitt crossed 150,000 at 25.80. |
| CM.PR.R | OpRet | 112,201 | RBC crossed 61,000 at 26.75, then Scotia crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 2.46% based on a bid of 26.61 and a call 2008-5-30 at $25.75. The redemption premium only declines by $0.15 p.a. while paying $1.238 dividend on a retractible … so whether it makes it to the softMaturity 2013-4-29 at $25.00 to yield 3.96% is not as easy a question as it might appear. I wouldn’t bet on it! |
| NA.PR.K | PerpetualPremium | 104,601 | Desjardins crossed 100,000 at $27.18. Now with a pre-tax bid-YTW of 2.51% (yech!) based on a bid of $27.10 and a call 2008-6-14 at $26.00. Holy smokes! Sure, there’s a lot of downside protection, given that it pays $1.4625. But 2.51%? With a bond-equivalency factor of 1.40 in Ontario, that comes to 3.51% interest-equivalent. My granny can do better with GICs. |
| BCE.PR.Y | Scraps (Would be Ratchet but there are volume concerns) | 100,300 | Nesbitt crossed 100,000 at 25.30 |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.
The market appeared to disdain the Yellow Pages Group new issue, as it dropped well below the issue to close at 24.63-65, 50×14, on heavy volume of 757,556 shares. The YPG bonds, 5.25% of Feb 2016 are now indicated at Canada 4.5/15 + 146bp, call it about 5.44% at last night’s close. So the bonds have improved since announcement date – even though they’ve widened. Can’t blame the bond market for this one!
| Curve Price & Comparables for YPG.PR.A | ||||
| Item | YPG.PR.A | BNA.PR.C | BAM.PR.J | CFS.PR.A |
| Price due to base-rate | 24.11 | 23.85 | 26.53 | 9.89 |
| Price due to short-term | -0.39 | -0.47 | -0.50 | -0.14 |
| Price due to long-term | 1.41 | 1.70 | 1.79 | 0.52 |
| Price to to Cumulative Dividends | 0.00 | 0.00 | 0.00 | 0.00 |
| Price due to SplitShareCorp | 0.00 | -1.21 | 0.00 | -0.22 |
| Price due to Retractibility | 0.73 | 1.34 | 1.33 | 0.25 |
| Price due to Liquidity | 0.49 | 0.90 | -0.13 | 0.17 |
| Price due to Credit Spread (2) | 0.00 | -0.32 | -0.32 | 0.00 |
| Price due to Credit Spread (3) | -0.54 | 0.00 | 0.00 | 0.00 |
| Price due to Credit Spread (High) | 0.00 | 0.00 | 0.00 | 0.00 |
| Price due to Credit Spread (Low) | 0.00 | 0.00 | -0.30 | 0.00 |
| Price due to error | 0.01 | 0.07 | 0.04 | 0.00 |
| Curve Price (Taxable Curve) | $25.80 | $25.84 | $28.44 | $10.47 |
| DBRS Credit Rating | Pfd-3(high) | Pfd-2 | Pfd-2(low) | Pfd-1 |
| Quote, 3/6 | $24.63-65 | 24.77-84 | 27.96-12 | $10.15-25 |
| YTW (After Tax – bid) | 3.62% | 3.56% | 3.29% | 3.19% |
| Modified Duration (YTW – after tax) | 5.22 | 9.61 | 6.13 | 4.47 |
| Pseudo-Convexity (YTW – after tax) | 0.38 | 0.40 | -10.95 | 0.47 |
| YTW (Pre-tax) | 4.56% | 4.47% | 4.14% | 4.01% |
Naturally, this issue is more attractive at 24.65 than it was at 25.00 … but I’ll remind potential purchasers again: it’s only a Pfd-3(high) credit, so it should be included in portfolios only as spice, not as core!
The issue has been added to the HIMIPref™ database with the securityCode A56000. A reorgDataEntry has been input to record the transition from the preIssue code of P50011.
As a Pfd-3(high) issue by DBRS, this issue is not eligible for inclusion in the HIMIPref™ indices.
STRATA Income Fund has announced:
its intention to make a normal course issuer bid for its Capital Units and Preferred Securities through the facilities of the Toronto Stock Exchange (the “TSX”). This normal course issuer bid is intended to commence on March 8, 2007 and will terminate on March 7, 2008. In accordance with the Declaration of Trust by which STRATA is governed, market purchases pursuant to its normal course issuer bid may be effected by the Fund.
At February 27, 2007 there were 9,215,056 Capital Units and 6,214,711 Preferred Securities issued and outstanding including 9,211,056 Capital Units and 6,209,696 Preferred Securities in the public float. STRATA may, during the 12 month period commencing March 8, 2007 purchase on the TSX up to 921,105 Capital Units and 620,969 Preferred Securities, being 10% of the respective public floats. Since March 8, 2006, STRATA has purchased 6,100 Capital Units at an average price of $8.40 per Capital Unit under its previously approved normal course issuer bid. STRATA believes that its Capital Units and Preferred Securities represent good value for the Fund and purchases under the normal course issuer bid may serve to enhance returns to securityholders.
A reasonable course of action, given that the capital units’ NAV is $9.30 and the capital units closed on the TSX at $8.00!
We shall see how far (if at all!) the price of preferred securities goes up in response to the bid … the recent partial redemption at $10.60 has already been a windfall to holders!
In my last PrefLetter update I indicated:
The other legal issue is where I can sell it. I know I can offer this product for sale to Ontario residents – my existing registrations (corporate and personal) with the OSC allow me to do that. I’m not licensed in other provinces, however, so I’ve asked counsel to determine how to get the newsletter class of registration in other provinces. If it’s easy and doesn’t cost too much, I’ll do it as a speculation. Otherwise, I’ll have to get a better idea of the demand for the product before doing this.
Counsel advises that getting newsletter-eligible registration status has the same cost and headache quotient as getting Investment Counsellor / Portfolio Manager (ICPM) status. So I’m not going to do it! It seems that I can offer my fund nationally, but not my newsletter. Anybody who thinks this is ridiculous red tape and “Gotcha Regulation” is welcome to contact their local regulator and say so.
As always, I will be very happy to apply for registration in any province as soon as I have some kind of reasonable expectation of breaking even on the venture … just covering my regulatory & legal fees will be enough to start with! So I’ll be accepting expressions of interest from those Canadians not fortunate enough to live in Ontario, in the hopes of accumulating enough requests to make the headaches worthwhile.
| 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 | 4.00% | 3.82% | 81,158 | 3.90 | 1 | +0.2389% | 1,049.4 |
| Fixed-Floater | 4.97% | 3.46% | 110,378 | 4.61 | 5 | +0.0241% | 1,041.7 |
| Floater | 4.72% | -16.25% | 76,368 | 0.67 | 3 | -0.0654% | 1,047.5 |
| Op. Retract | 4.71% | 2.40% | 75,554 | 2.12 | 17 | +0.0099% | 1,031.6 |
| Split-Share | 5.07% | 1.25% | 204,335 | 3.24 | 15 | -0.0273% | 1,043.5 |
| Interest Bearing | 6.48% | 1.67% | 64,473 | 2.33 | 5 | +0.3755% | 1,040.8 |
| Perpetual-Premium | 5.01% | 3.62% | 259,811 | 5.40 | 53 | -0.0284% | 1,055.4 |
| Perpetual-Discount | 4.54% | 4.54% | 823,574 | 14.20 | 9 | -0.0754% | 1,064.1 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| FIG.PR.A | InterestBearing | +1.0891% | Traded as high as $10.37 before closing at $10.21-35, 5×10, on volume of 17,679 shares with a burst of activity (6,538 shares) in the last few minutes before the close. Now with a pre-tax bid-YTW of -13.62 based on a call 2007-04-04 at $10.00, which really sent the average YTW of the InterestBearing index for a loop. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| PIC.PR.A | SplitShare | 210,473 | Nice volume for a seasoned split share! Scotia crossed 70,000 at 16.00. Now with a pre-tax bid-YTW of 3.94% based on a bid of $16.01 and a hardMaturity 2010-11-01 at $15.00 |
| PWF.PR.K | PerpetualPremium | 96,000 | RBC crossed 37,200 at $26.25, then another 40,000 at the same price, then sold 15,000 to Desjardins at the $26.25 mark. Now with a pre-tax bid-YTW of 4.28% based on a bid of $26.25 and a call 2014-11-30 at $25.00. |
| CM.PR.J | PerpetualDiscount | 52,307 | Recent new issue on credit watch positive. Now with a pre-tax bid-YTW of 4.54% based on a bid of $24.93 and a limitMaturity. |
| MFC.PR.C | PerpetualDiscount | 50,995 | Now with a pre-tax bid-YTW of 4.47% based on a bid of $25.05 and a call 2015-4-18 at $25.00. |
| BNS.PR.K | PerpetualPremium | 45,820 | RBC crossed 40,000 at $26.25. Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.11 and a call 2014-5-28 at 25.00. |
There were thirteen other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.