Better Communication, Please!

BNA.PR.A / BNA.PR.B / BNA.PR.C Dividend Estimate

As previously noted, there seems to be a little difficulty this quarter getting dividend information from BAM Split Corp. No data is available from press releases, their website, or TSX data services.

Accordingly, dividend dates for these issues have been re-estimated as being 2/26, 2/28 and 3/7.

The following table shows the last eight dividends for BNA.PR.A

Recent Dividends, BNA.PR.A
Ex-Date Record Date Pay Date Amount
2005-02-18 2005-02-22 2005-03-07 0.390625
2005-05-18 2005-05-20 2005-06-07 0.390625
2005-08-18 2005-08-22 2005-09-07 0.390625
2005-11-18 2005-11-22 2005-12-07 0.390625
2006-02-20 2006-02-22 2006-03-07 0.390625
2006-05-19 2006-05-24 2006-06-07 0.390625
2006-08-18 2006-08-22 2006-09-07 0.390625
2006-11-20 2006-11-22 2006-12-07 0.390625

HIMI Preferred Indices

HIMIPref Indices : October, 1997

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 1997-10-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,547.7 0 0 0 0 0 0
FixedFloater 1,551.5 6 2.00 3.45% 17.4 272M 5.10%
Floater 1,457.3 5 1.80 3.84% 17.2 127M 4.20%
OpRet 1,324.6 31 1.25 3.76% 4.3 113M 6.04%
SplitShare 1,356.0 2 1.50 4.82% 5.1 87M 5.32%
Interest-Bearing 1,324.6 0 0 0 0 0 0
Perpetual-Premium 1,233.6 4 1.00 1.94% 1.80 106M 7.95%
Perpetual-Discount 1,177.8 0 0 0 0 0 0

Index Constitution, 1997-10-31, Pre-rebalancing

Index Constitution, 1997-10-31, Post-rebalancing

Market Action

February 16, 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 4.06% 4.08% 29,489 17.29 1 0.3584% 1,047.8
Fixed-Floater 4.81% 3.59% 88,954 6.38 7 +0.0129% 1,042.9
Floater 4.47% -23.24% 55,666 3.33 5 -0.0622% 1,050.6
Op. Retract 4.70% 2.28% 75,887 2.07 18 +0.0615% 1,031.6
Split-Share 5.09% 1.78% 267,398 2.64 14 -0.0028% 1,044.6
Interest Bearing 6.49% 3.58% 59,106 2.35 5 -0.1837% 1,035.5
Perpetual-Premium 5.03% 3.70% 225,523 5.11 51 +0.0090% 1,053.1
Perpetual-Discount 4.52% 4.56% 1,178,685 16.27 11 +0.0621% 1,059.4
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet +1.4177% Traded as high as $28.40 today and closed at 27.90-06, 3×10. The buyers are obviously sanguine about the potential for a redemption at $26.00, 2008-12-31, which results in the YTW scenario yielding 1.45% pre-tax … they seem to be hoping for the softMaturity 2011-11-30, which will yield 3.09%. Of course, that’s still only the equivalent of a bond paying 4.33% for rich Ontario investors, but that doesn’t seem to matter much!
Volume Highlights
Issue Index Volume Notes
BMO.PR.J PerpetualDiscount 227,100 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.05 and a limitMaturity.
CM.PR.H PerpetualPremium 167,740 Now with a pre-tax bid-YTW of 4.18% based on a bid of $26.05 and a call 2014-4-29 at $25.00.
CM.PR.J PerpetualDiscount 166,075 Recent New Issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.91 and a limitMaturity.
PWF.PR.I PerpetualPremium 30,750 Desjardins bought 12,700 from National Bank in 7 tranches at $26.77 commencing 11:40am, and crossed 10,000 at the same price. It seems awfully brave – the pre-tax bid-YTW is 3.53% based on a bid of $26.80 and a call 2008-5-30 at $26.00. They would appear to be hoping for the call 2012-5-30 at $25.00, which will result in a much more attractive yield of 4.54%. I’d prefer to do that without quite so much risk, though!
BNS.PR.L PerpetualPremium 28,115 Recent New Issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of 25.07 and a limitMaturity.

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

Better Communication, Please!

ABK.PR.C Dividend Estimate

Dividends have not yet been declared for this issue. On the basis of past history:

Recent Dividends, ABK.PR.C
Ex-Date Record Date Pay Date Amount
2005-03-07 2005-03-09 2005-03-10 0.760000
2005-06-07 2005-06-09 2005-06-10 0.760000
2005-08-22 2005-08-24 2005-09-10 0.760000
2005-11-22 2005-11-24 2005-12-09 0.760000
2006-03-07 2006-03-09 2006-03-10 0.760000
2006-05-19 2006-05-24 2006-06-09 0.760000
2006-08-22 2006-08-24 2006-09-08 0.760000
2006-11-22 2006-11-24 2006-12-08 0.760000

… it appears that this company enjoys playing games with the first dividend in each calendar year.

Why, I couldn’t begin to guess. However, the dividend dates have been estimated as 3/7, 3/9, 3/12; this will be checked in due course.

HIMI Preferred Indices

HIMI Preferred Indices : September 1997

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 1997-09-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,536.0 0 0 0 0 0 0
FixedFloater 1,544.9 6 2.00 3.05% 18.0 516M 5.10%
Floater 1,446.3 6 1.83 3.48% 18.0 154M 3.80%
OpRet 1,352.1 29 1.24 3.88% 4.3 107M 6.16%
SplitShare 1,357.4 2 1.51 4.57% 5.1 87M 5.28%
Interest-Bearing 1,352.1 0 0 0 0 0 0
Perpetual-Premium 1,226.3 4 1.00 2.04% 1.88 120M 7.96%
Perpetual-Discount 1,170.8 0 0 0 0 0 0
Market Action

February 15, 2007

Hell. I have just realized that instead of copying February 14 as a template, I have instead over-written it. All that deathless prose, gone! Sorry.

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 4.07% 4.08% 28,150 17.28 1 0.0000% 1,044.0
Fixed-Floater 4.81% 3.47% 89,478 8.17 7 +0.0339% 1,042.8
Floater 4.46% -24.20% 55,828 3.32 5 +0.0315% 1,051.3
Op. Retract 4.71% 2.28% 77,183 2.08 18 -0.0268% 1,031.0
Split-Share 5.09% 1.70% 273,487 2.64 14 -0.0213% 1,044.7
Interest Bearing 6.48% 3.47% 58,743 2.36 5 +0.2675% 1,037.4
Perpetual-Premium 5.06% 3.76% 227,505 5.06 51 +0.0312% 1,053.0
Perpetual-Discount 4.52% 4.56% 1,178,412 16.27 11 +0.0693% 1,058.8
Major Price Changes
Issue Index Change Notes
There were no index-included issues with significant price moves today.
Volume Highlights
Issue Index Volume Notes
GWO.PR.I PerpetualDiscount 84,315 Nesbitt crossed 75,000 at $25.00. Now with a pre-tax bid-YTW of 4.55% based on a bid of $25.01 and a limitMaturity.
WFS.PR.A SplitShare 163,312 Scotia crossed 100,000 @ 10.70, then Desjardins bought 25,000 from RBC in two tranches at the same price. Desjardins then crossed 25,000 at $10.70. Nice to see some action in this issue … it’s a perennial favourite of mine. Now with a pre-tax bid-YTW of 3.70% based on a bid of $10.70 and a hardMaturity 2011-6-30 at $10.00. That’s an interest-equivalent of nearly 5.2% at the Ontario Equivalency … not bad for a Pfd-2 (DBRS) with a known maturity of less than five years!
GWO.PR.X OpRet 51,974 I’m not such a big fan of this one … pre-tax bid-YTW of 2.57% based on a bid of $27.55 and a call 2009-10-30 at $26.00. Given the issuer bid, it doesn’t seem likely to me that it will survive to its softMaturity 2013-9-29 to yield 3.20% (especially considering that one can buy GWL bonds maturiting in 2018 to yield about 4.75% – do the math, people!) … but it takes two to make a market!
CM.PR.J PerpetualDiscount 50,480 Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.90 and a limitMaturity.
WN.PR.E PerpetualPremium (but not for long, I suspect!) 43,178 Credit Watch Negative! Nesbitt crossed 11,500 at $24.65, CIBC bought 14,500 from Nesbitt at the same price. Now with a pre-tax bid-YTW of 4.88% based on a bid of $24.61 and a limitMaturity. Weston bonds maturing in 2031 are now trading to yield about maybe 5.85% (interest) Make of that what you will.

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

Data Changes

ENB.PR.D Redemption Completed

ENB.PR.D, an interest bearing preferred security, was redeemed today as previously noted. They had, presumably, no difficulty in finding the money for the redemption, what with their recent equity issue and my January gas bill.

This leaves the interestBearing index bereft of all operating companies; it is now populated solely by split-share corporations.

It now remains to be seen whether they will also redeem ENB.PR.A, a perpetual that is currently part of the PerpetualPremium index. This issue has been mentioned as occasionally drifting into negative YTW territory; it’s currently redeemable at $25.25, but will be redeemable at par in December.

Oops! There is actually one remaining operating company issue left in the interestBearing index … BAM.PR.T. However, it is virtually certain that BAM.PR.T will be redeemed in June, so I was only off by five months!

Miscellaneous News

David Berry Saga Continues

The story so far … David Berry was an extremely successful preferred share trader at Scotia, made all kinds of money for them and took a large chunk of it home.

Then things went sour and you can take your choice of stories:

(i) Scotia found out that he was being naughty and fired him

(ii) Scotia decided they were paying him too much and made mountains out of regulatory molehills to avoid paying severance when they fired him

Berry now has a $100-million-plus lawsuit outstanding against the bank, which has now filed a statement of defense:

The 18-page statement said “Berry engaged in serious misconduct in his trading, including violating securities rules.”

“He successfully hid his conduct from Scotia for a period of time. His misconduct breached fundamental terms of his employment with Scotia and was just cause for his termination.”
…
It also says that from “June, 2004, through April, 2005, RS requested that Scotia provide information to it in respect of specific trades Berry had made.”

In May, 2005, the statement said RS issued a “warning letter to Berry in respect of the specific trading it had reviewed. While RS determined at that point that there was insufficient evidence to support breaches and so no formal proceedings were commenced, RS specifically warned Berry that it was concerned about a particular instance of trading ‘as it contains elements of manipulative and deceptive trading …’ “

Mr. Berry was suspended on June 20. The statement said that on that day there were “18 trading transactions that did not comply with UMIR [uniform market integrity rules].”
…
RS has yet to file any allegations against Mr. Berry.

Today’s Financial Post has a summary of the differences between the parties.

I have no idea where the truth lies. It would not surprise me to learn that a trader bloated with hubris and a desire to execute his clients’ wishes to earn a fat fee would break some rules. It would also not surprise me to learn that Scotia put an army of lawyers on the paperwork and ecstatically screamed “Gotcha!” when it found an uncrossed T.

For the duration of his tenure as King of Pref Traders, Berry was blessed with huge amounts of capital. You could call Scotia at any time of the trading day and ask to know a price for any block of any size of any preferred and a price would be put on it. An extremely lousy price, way off market, to be sure, but a price at which you could trade – instantly.

Data Changes

BNA.PR.A / BNA.PR.B / BNA.PR.C : Feb '07 Dividend Dates Estimated

BAM Split Corp. has joined Manulife on this month’s lengthy list of irritations by not having declared their dividends as yet.

On the basis of recent dividends I am currently assuming that the relevant dates are 2/20, 2/22 and 3/7 but these dates should be considered tentative in the extreme.

I will confirm these dates when available from either the company or the TSX.

Data Changes

CM.PR.J : Not as Bad as Expected

The new issue from CIBC commenced trading today and on heavy volume of 807,580 shares closed at $24.87-88, 30×100.

CIBC announced that

Following the successful sale of the initially announced
10 million Series 32 Shares, the underwriters exercised an option to purchase
an additional 2 million shares.

The securityCode for this issue is A42019, replacing the preIssue code of P25005. A reorgDataEntry has been input to reflect the change.

curvePrice calculations for it and the comparables previously examined are:

Curve Prices (and other info) on CM.PR.J and comparables
Data CM.PR.J CM.PR.I CM.PR.H RY.PR.D
Price due to base-rate 23.05 23.72 23.95 23.17
Price due to short-term -0.47 -0.48 -0.50 -0.48
Price due to long-term 1.23 1.26 1.30 1.25
Price due to Liquidity 1.43 1.48 1.49 1.48
Price due to error 0.04 0.04 0.04 -0.02
Price due to Credit Spread (Low) -0.54 -0.55 -0.56 NA
Curve Price $24.75 $25.46 $25.72 $25.40
Quote 2/14 $24.87-88 25.50-52 25.86-98 25.01-08
Annual Dividend $1.125 $1.175 $1.20 $1.125
After-Tax YTW 3.61% 3.56% 3.42% 3.62%
Pre-Tax YTW 4.54% 4.48% 4.30% 4.56%

Note that due to recalculation of the yield curve, the values for the components of the curve price are not directly comparable to the components previously reported; but, of course, each reported calculation is internally consistent.

This issue has been added to the PerpetualDiscount index – the current composition of this index has been uploaded.