BMO.PR.G

We’ve had a look at RY.PR.K … now let’s have a look at the other constituent of the HIMI OperatingRetractible Index with a negative Yield-to-Worst: BMO.PR.G. The option schedule is:

         

  • Redemption      2005-08-25      2006-08-24  25.500000
  • Redemption      2006-08-25      2007-08-24  25.250000
  • Redemption      2007-08-25   INFINITE DATE  25.000000
  • Retraction      2008-05-25   INFINITE DATE  26.040000

Which, when analyzed with the 2006-10-24 closing bid of $25.59 results in the optionCalculationList:

        

  • Call  2006-11-23 YTM: -2.10 % [Restricted: -0.17 %] (Prob: 28.69 %)
  • Soft Maturity  2008-05-24 YTM: 3.78 % [Restricted: 3.78 %] (Prob: 71.31 %)

These bonds are not recommended by HIMIPref™ as their Eligible For Purchase (Code) has a numerical result of “14” : “pseudoModifiedDuration (Worst) of buy side less than minimum setting”. The pseudoModifiedDurationWorstBid of this issue is 0.11 based on the following calculation:

Calculation of pseudoModifiedDurationWorstBid for BMO.PR.G
Price Yield-to-Worst
25.3341 4.45%
25.59 -2.10%
25.8459 -13.73%
Summary
Price of Instrument measured 25.5900
Percent Price Difference 2.0000 %
Yield Difference (Worst Method) -18.1862 %
PseudoModified Duration (Worst) 0.1100

These data are taken from the pseudoModifiedDurationCalculationBox and pseudoPortfolioReportBox.

The analyticalParametersReportBox shows that the value of minWorstBidPseudoModifiedDurationBuy is an optimizableParameter with a value currently set to 2.481. Thus, we can infer that HIMIPref™ analysis has been found to work better on a long-term portfolio basis when issues with such imminent callability are excluded from consideration.

This entry was posted on Wednesday, October 25th, 2006 at 12:21 pm and is filed under Issue Comments. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

2 Responses to “BMO.PR.G”

  1. PrefBlog » Blog Archive » BMO.PR.I says:
    November 8, 2006 at 3:23 pm

    […] We’ve looked at BMO.PR.G (YTW at the 11/7 closing bid of $25.48 is -9.24%) and at RY.PR.K (YTW at the 11/7 closing bid of $25.52 is -10.64%), but there is another member of the OperatingRetractible Index that has a negative Yield-to-Worst. […]

  2. PrefBlog » Blog Archive » BMO.PR.G Called for Redemption says:
    July 24, 2007 at 6:59 pm

    […] This issue has been included in the HIMIPref™ “Operating Retractible” index. It was highlighted 2006-10-25 for having a negative Yield-to-Worst […]

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