Index Construction / Reporting

March 2, 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 4.01% 3.88% 84,498 3.90 1 -0.0398% 1,046.9
Fixed-Floater 4.97% 3.53% 112,983 4.61 5 +0.1750% 1,041.4
Floater 4.72% -16.95% 76,631 0.48 3 0.0000% 1,048.1
Op. Retract 4.71% 2.43% 76,314 2.12 17 +0.1821% 1,031.5
Split-Share 5.07% 1.05% 208,754 3.25 15 +0.0439% 1,043.8
Interest Bearing 6.50% 4.11% 63,264 2.33 5 -0.0853% 1,036.9
Perpetual-Premium 5.01% 3.55% 262,920 5.11 53 +0.0725% 1,055.7
Perpetual-Discount 4.54% 4.53% 835,301 14.21 9 +0.0940% 1,064.9
Major Price Changes
Issue Index Change Notes
ACO.PR.A OpRet +1.2887% TD crossed 33,000 at 27.95 and were on the buy side for all other board-lot trades today, four tranches executed immediately prior to the cross at prices from 27.60 to 27.95. At those prices yesterday’s cross at 27.50 was a bargain! At the closing quotation of 27.51-98, the pre-tax YTW quote is 2.29%-1.32%. Too rich for my blood, but quite normal for this issue. However, the graph of Modified-Duration-to-Worst shows the situation to be unsustainable … we will see within two years just whether Atco, with its stellar operating results really wants to pay $1.4375 p.a. for a retractible … even with the redemption cost declining by $0.50 annually.  

The MDTW graph is quite instructive, by the way (one point was killed for being off the curve, but the YTW scenario has been very stable over the past year). See those little jumps interupting a downward line? That’s the dividends being paid.

Hmm … maybe there’s an article in there somewhere …
Volume Highlights
Issue Index Volume Notes
BCE.PR.G FixFloat 506,800 Nesbitt crossed 500,000 at 25.50.
BCE.PR.R FixedFloater 305,600 Nesbitt crossed 50,000 at 25.50, then another 253,500 at the same price. This was also an active trader yesterday.
BCE.PR.H Ratchet 240,000 Nesbitt crossed 240,000 at $25.12
BCE.PR.Z FixFloat 204,435  
BCE.PR.T Scraps (would be FixFloat, but there are volume concerns) 117,450 No volume concerns today! Nesbitt crossed 115,000 at 25.80.
BCE.PR.C FixFloat 102,400 Nesbitt crossed 100,000 at 25.60

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

Poor old BCE.PR.A! The only member of the FixFloat Index not to be traded in size today!

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.

Market Action

February 28, 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 4.14% 4.14% 23,614 17.17 1 +0.0000% 1,047.4
Fixed-Floater 4.82% 3.72% 79,765 6.24 7 +0.0304% 1,040.1
Floater 4.47% -21.08% 55,292 0.09 5 +0.2603% 1,049.2
Op. Retract 4.72% 2.36% 74,704 2.05 18 +0.0864% 1,030.8
Split-Share 5.11% 0.23% 231,489 2.79 14 +0.1761% 1,043.4
Interest Bearing 6.49% 4.48% 63,839 2.35 5 -0.0038% 1,039.3
Perpetual-Premium 5.03% 3.59% 212,956 5.06 51 +0.0224% 1,055.2
Perpetual-Discount 4.53% 4.54% 1,048,109 13.79 11 +0.1157% 1,063.6
Major Price Changes
Issue Index Change Notes
BCE.PR.Z FixedFloater -1.0510% Exchangeable with BCE.PR.Y next December 1. In the interim, they will pay about $0.35 more (~$1.00 vs. ~$0.65), so, at a close of $25.42-75 vs $25.02-39, they’re priced about right relative to their twin, anyway. Which is comforting, assuming you think a ratchet-rate is worth holding!
GWO.PR.E OpRet +1.0226% Now with a pre-tax bid-YTW of 2.11% based on a bid of $26.75 and a call 2009-4-30 at $25.50. The pre-tax yield is 2.83% if they last until they’re callable at par, 2011-4-30. And 3.53% if they last until their softMaturity 2014-3-30 ! So place your bets … but remember the issuer bid.
CL.PR.B PerpetualPremium +1.0873% Another issue reliant on the idea that GWO has better things to do with their money than call issued stock! Now with a pre-tax bid-YTW of -27.12% based on a bid of $26.63 and an immediate call at $26.00. It’s really a question of how long the game will last … to get a yield of 3.46%, you have to bet that there will be no call until 2009-1-30 at $25.50. There are a lot of people willing to make that bet, it seems! The issue was a stellar performer in February, with a total return of +2.5451% month/month bid/bid.
PIC.PR.A SplitShare +2.2422% Recovering from yesterday’s swoon, but not by enough extra to overcome a horrible month … the issue is down 1.2987% month/month bid/bid at the closing quote of $15.96-08
Volume Highlights
Issue Index Volume Notes
BCE.PR.H Scraps (will switch to RatchetRate) 370,200 This issue used to be BC.PR.E. Nesbitt crossed 370,000 at $25.12.
NA.PR.K PerpetualPremium 203,800 Desjardins crossed 98,700 at $27.18. Now with a pre-tax bid-YTW of 2.62% based on a bid of $27.05 and a call 2008-06-14 at $26.00.
BAM.PR.B Floater 150,700 Desjardins crossed 30,000 at 24.90, then two tranches of 60,000 each at $24.91.
RY.PR.E PerpetualDiscount 70,755 Recent new issue. Now with a pre-tax bid-YTW of 4.51%, based on a bid of $25.15 and either a call at $25.00 on 2016-3-25, or a limitMaturity – take your pick.
PWF.PR.L PerpetualPremium 57,880 Now with a pre-tax bid-YTW of 4.24% based on a bid of $26.70 and a call 2015-11-30 at $25.00

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

Better Communication, Please!

CCS.PR.A Dividend Dates Unclear

Huh. The Co-operators are not being co-operative.

Nothing about dividends on their website, TSE shows no data, Bloomberg shows no data.

Last year, the March dividend was declared 2/22, ex-date 3/3, record 3/7, pay 3/31.

But in 2005, the declaration date was 3/3, ex 3/3, record 3/7, pay 3/31.

That is not a misprint. The dividend was declared on the ex-date. Thanks, guys!

I will attempt to contact them. In the meantime, dividend dates have been estimated as 2/28, 3/2 & 3/31.

Update & Bump, 2/27: I have received an automated (?) acknowledgement of my query, but no answer as yet. This time, instead of using the generic service on their website, I have sent an eMail to the TSX-listed contact.

In the interim, the date estimate has been changed to 3/2, 3/6, 3/31.

Update & Bump, 2/28 : No response from the company, but the TSX data service now shows a declaration date of 2/27, ex 3/6, record 3/8, pay 3/31.

HIMIPref™ records have been adjusted.

HIMI Preferred Indices

HIMIPref™ Preferred Indices : May, 1998

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

HIMI Index Values 1998-05-29
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,626.8 0 0 0 0 0 0
FixedFloater 1,567.1 8 2.00 4.54% 15.8 208M 5.00%
Floater 1,531.9 5 1.80 0.00% 0.1 143M 5.06%
OpRet 1,351.6 35 1.23 3.88% 3.9 73M 6.09%
SplitShare 1,379.5 4 1.50 5.10% 6.2 111M 5.39%
Interest-Bearing 1,351.6 0 0 0 0 0 0
Perpetual-Premium 1,260.1 5 1.00 5.09% 10.0 306M 6.48%
Perpetual-Discount 1,239.0 0 0 0 0 0 0

Index Constitution, 1998-05-29, Pre-rebalancing

Index Constitution, 1998-05-29, Post-rebalancing

Miscellaneous News

David Berry Saga : McQuillen Settles

Marc McQuillen, who was David Berry’s assistant, has settled with RS regarding the allegations made against him. While I cannot say I have examined every jot and tittle of the document, it appears that the RS allegations were a carbon copy of the Scotia Settlement and allegations against Berry.

The sanction imposed was a fine of $25,000.

There is a little more information in the settlement agreement that I consider particularly interesting:

In addition, solely for the purpose of this Settlement, McQuillen relies upon the following facts:

  • (a) Berry’s supervisor during the period 1999 to October 2002 has stated that he was aware of certain aspects of the Trading (as described in paragraph 22 of the Statement of Allegations), as follows, but he did not appreciate that it resulted in clients receiving secondary market shares in the new issue:
    • (i) Berry and/or McQuillen took orders from clients for shares in a new issue during the selling period and filled these orders through sales from the 08 account when the new issue began trading on the TSX.
    • (ii) In some instances, the 08 account would receive an allocation of new issue shares but ultimately incur a short position in the shares of the new issue through sales with clients.

      • (iii) In other cases, a swap transaction with a client’s existing position was involved.

  • (b) The supervisor has stated that he was not aware of instances in which the 08 account sold short shares in the new issue to clients without taking an allocation in the new issue.

As far as I can make out, the supervisor has not been named or been the subject of disciplinary hearings. These are murky waters … I suspect that the significance of the above extract will emerge as the legal struggle continues. We already know that one element of Berry’s lawsuit for wrongful dismissal is that he was not trained or supervised properly (or words to that effect) and hence cannot be nailed for doing his job in the best way he knew how.

Market Action

February 27, 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 4.13% 4.13% 24,583 17.19 1 +0.0000% 1,047.4
Fixed-Floater 4.82% 3.63% 80,292 8.11 7 -0.1727% 1,039.8
Floater 4.48% -18.48% 53,918 3.36 5 -0.2812% 1,046.5
Op. Retract 4.72% 2.38% 74,446 2.05 18 -0.0727% 1,029.9
Split-Share 5.11% 0.47% 234,389 2.78 14 -0.2838% 1,041.5
Interest Bearing 6.49% 4.69% 63,531 2.35 5 -0.0195% 1,039.4
Perpetual-Premium 5.03% 3.84% 213,338 5.02 51 +0.0276% 1,055.0
Perpetual-Discount 4.52% 4.55% 1,062,839 15.44 11 +0.0731% 1,062.4
Major Price Changes
Issue Index Change Notes
PIC.PR.A SplitShare -2.4375% Those poor guys at Raymond James! As far as I can make out from the trades, all they wanted to do was sell a lousy 268 shares. Less than $5,000 worth. So the first 100 gets sold to TD at $15.96. That’s OK. That trade is stamped 3:33pm. But … the next 100 shares is timestamped 3:34pm! And sold to “Anonymous”! At $15.46! Sometimes huge trades like this can really move the market, you know? The issue closed at 15.61-00, 10×3.
ACO.PR.A OpRet -1.506% Gets hit again, to close at $26.80-00, on volume of 1,405 shares, which traded in a range of $26.69-01. Actually, at the bid level of $26.80, it starts to look reasonable, with a pre-tax bid-YTW of 3.78% based on a call at $26.00 2008-12-31.
Volume Highlights
Issue Index Volume Notes
GWO.PR.F PerpetualPremium 206,323 Just like yesterday, lots of action with Desjardins in the thick of things. They crossed 175,000 at $28.11, then another 25,000 at the same price. Now with a pre-tax bid-YTW of 1.44%, based on a bid of $28.05 and a call 2008-10-30 at $26.00.
SLF.PR.E PerpetualDiscount 76,285 Recent new issue. Now with a pre-tax bid-YTW of 4.52% based on a bid of $24.84 and a limitMaturity.
BNS.PR.L PerpetualPremium 40,400 Recent new issue. Now with a pre-tax bid-YTW of 4.49% based on a bid of 25.15 and a call 2016-5-27 at 4.49%.
SLF.PR.D PerpetualDiscount 32,767 Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.80 and a limitMaturity.
RY.PR.E PerpetualDiscount 32,150 Recent new issue. Now with a pre-tax bid-YTW of 4.52%, based on a bid of $25.12 and either a call at $25.00 on 2016-3-25, or a limitMaturity – take your pick.

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

If you want to read about all the excitement on the stock markets today, go read an equities blog!

Update : An equities blog like this one, for instance. Now, that’s funny! JH