HIMI Preferred Indices

HIMI Preferred Indices : July 29, 1994

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

HIMI Index Values 1994-7-29
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,058.3 0 0 0 0 0 0
FixedFloater 1,058.3 0 0 0 0 0 0
Floater 998.7 5 1.36 6.26% 13.6 63M 7.10%
OpRet 946.0 18 1.32 7.22% 5.5 102M 7.56%
SplitShare 946.0 0 0 0 0 0 0
Interest-Bearing 946.0 0 0 0 0 0 0
Perpetual-Premium 969.6 6 1.16 7.37% 4.2 80M 8.52%
Perpetual-Discount 986.0 1 1.00 7.50% 12.0 65M 7.48%

Index Constitution, 1994-07-29, Pre-Rebalancing

Index Constitution, 1994-07-29, Post-Rebalancing

Issue Comments

BAM.PR.E / BAM.PR.G Conversion Count Announced

Brookfield has announced the results of the BAM.PR.E (Series 8 ) / BAM.PR.G (Series 9 ) conversion privilege, last discussed in this blog here.

Holders of 272,614 Series 8 Preferred Shares have elected to convert these shares into an equivalent number of Series 9 Preferred Shares, and holders of 1,028,770 Series 9 Preferred Shares have elected to convert these shares into an equivalent number of Series 8 Preferred Shares.

These conversions will be effective on November 1, 2006. Following these conversions, there will be 1,805,948 Series 8 Preferred Shares and 6,194,052 Series 9 Preferred Shares issued and outstanding.

So the Series 9, the fixed-reset issue paying 4.35% commencing with the Feb. 1, 2007, payment, will be much more liquid than the ratchet-floaters … on the other hand, there will be more of the ratchets than there were before, so perhaps they’ll make it into the HIMI Index!

Issue Comments

NTL.PR.F Conversion Terms Set

Nortel has announced the dividend rate payable for the next five years on the Series 6 shares to which holders of Series 5 shares (NTL.PR.F) are entitled to convert. If they do not convert (or should conversion be cancelled due to insufficient orders), holders will retain their NTL.PR.F shares under the existing terms and conditions.

Nortel Networks Limited announced that the fixed dividend rate for its Cumulative Redeemable Class A Preferred Shares Series 6 will be equal to 80% of the yield on five-year non-callable Government of Canada bonds to be determined on November 10, 2006.

Pretty skimpy! Especially for an issue rated Pfd-5(low) by DBRS! I rather suspect that there will be no conversions.

Market Action

October 23, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.12% 4.04% 44,080 10.66 2 0.0000% 1,019.9
Fixed-Floater 4.97% 3.95% 169,309 8.89 7 -0.0387% 1,025.4
Floater 4.53% -15.87% 75,475 6.50 5 0.2737% 1,020.8
Op. Retract 4.67% 1.84% 86,195 2.39 17 0.0329% 1,019.0
Split-Share 4.93% 3.73% 160,544 3.28 11 0.0472% 1,022.8
Interest Bearing 6.89% 5.02% 56,033 2.00 7 0.0450% 1,022.7
Perpetual-Premium 5.08% 3.94% 212,471 4.30 47 0.0305% 1,036.4
Perpetual-Discount 4.58% 4.61% 527,274 16.18 7 -0.0631% 1,035.7
Major Price Changes
Issue Index Change Notes
PWF.PR.A Floater +1.4657% Went ex-dividend today (see Company Website, but not only did nobody notice (it closed at 25.56-80 today, compared to 25.44-55 yesterday), but it closed at $26.00 (!) pumped up by an anonymous buy of 2,000 shares at 12:57pm that sailed through several offers … six of them, in fact, ranging from 25.70 to 26.00. Ouch.
Volume Highlights
Issue Index Volume Notes
WN.PR.B OpRet 100,368 Desjardins opened the day’s trading with a cross of 75,000 at $26.60, and closed it with a cross of 25,000 at the same price. Niggardly pre-tax YTW of 2.93% (mind you, reasonable for an operating retractible) based on a call 2009-6-30, one day ahead of retraction.
GWO.PR.H PerpetualPremium 59,400 Scotia crossed 58,000 @ 25.50. Not a bad issue, pre-tax YTW 4.68% based on a bid of $25.41 and a call 2014-10-30 at $25.00
NA.PR.L PerpetualPremium 44,100 Scotia crossed 42,800 @ 25.70. What buyer were they acting for? I want to sell them a really good bridge I happen to have won in a lottery! This thing pays $1.2125 and has a pre-tax YTW of 4.42% based on a bid of $25.66 and a call at $25.00 on 2014-6-14. Rated Pfd-1(low) by DBRS. Given the coupon, downside protection on interest rate moves is minimal.
CM.PR.H PerpetualPremium 43,250 Desjardins crossed 23,400 @ 25.65, then another 15,000 at the same price. Another mystery … this has a pre-tax YTW of 4.41%, based on a closing bid of $25.65 and a call at $25.00 2014-4-29.
RY.PR.B PerpetualPremium 38,648 The volume – and the price drop, it returned -0.3497% on the day – may have been due to players making room for the new issue. Why not, provided you can trade cheaply? RY.PR.B has a pre-tax YTW of 4.54% based on a closing bid of $25.65 and a call 2015-9-23 at $25.00 … which still makes it better yielding than some of those with higher volume today! This goes ex-dividend tomorrow, Tuesday, October 24, A.D. 2006, so be careful!

There were twenty-five other index-included issues trading over 10,000 shares today.

Issue Comments

BCE.PR.S / BCE.PR.T Conversion Count Announced

BCE has announced that, of the 8-million BCE.PR.S shares currently outstanding, 5,918,209 will be converted to BCE.PR.T on November 1.

BCE.PR.T has commenced trading on the TSX today, quoted at $24.75-25, 5×5, zero volume. This issue will be added to the HIMIPref™ database shortly. As previously noted, the BCE.PR.T will pay $1.1255 per $25 p.v. share. There is an offer for both issues that is conditional upon the BCE / Bell Canada Income Trust Conversion proceeding.

HIMI Preferred Indices

HIMI Preferred Indices : June 30, 1994

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

HIMI Index Values 1994-6-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,062.8 0 0 0 0 0 0
FixedFloater 1,062.8 0 0 0 0 0 0
Floater 1,002.9 6 1.47 6.54% 13.1 95M 7.21%
OpRet 943.2 18 1.32 7.31% 5.4 134M 7.52%
SplitShare 943.2 0 0 0 0 0 0
Interest-Bearing 943.2 0 0 0 0 0 0
Perpetual-Premium 970.0 6 1.16 7.21% 4.2 69M 8.49%
Perpetual-Discount 973.3 1 0 0 0 0 0

Index Constitution, 1994-06-30, Pre-Rebalancing

Index Constitution, 1994-06-30, Post-Rebalancing

New Issues

Royal Bank New Issue : 4.60% Perp

Royal Bank has announced a new issue of perpetual preferred shares, Series AC. The issue size is smaller than their previous issues, only 8 million shares ($200-million p.v.)

Pays $1.15 p.a., quarterly. Initial dividend (if declared) $0.362329 payable Feb 24, 2007, based on a closing date of Nov 1, 2006.

Redemption Schedule is:

  • Nov 24, 2011 – Nov 23, 2012 : $26.00
  • Nov 24, 2012 – Nov 23, 2013 : $25.75
  • Nov 24, 2013 – Nov 23, 2014 : $25.50
  • Nov 24, 2014 – Nov 23, 2015 : $25.25
  • On and after Nov 24, 2015 : $25.00

DBRS rates Royal preferreds as Pfd-1. The information I have indicates this issue is rated Pfd-1(low), but I suspect that this is a misprint – especially since there is at least one other obvious misprint in the term sheet I have.

I will calculate a preliminary valuation of these shares later today.

 Update : The new issue (in the table as RY.PR.?) looks quite reasonable:

Curve Price Components (Taxable Curve)
Issue RY.PR.A RY.PR.B RY.PR.?
Dividend $1.1125 $1.1750 $1.1500
Price due to base-rate 23.01 23.90 23.39
Price due to short-term 0.09 0.09 0.09
Price due to long-term 0.54 0.56 0.52
Price due to error -0.03 -0.03 0
Intrinsic Value 23.61 24.52 24.00
Liquidity 1.45 1.51 ~1.45
Total Value (rounding) 25.06 26.02 25.45
Market Action

October 20, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
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% 4.05% 45,792 10.66 2 0.0000% 1,019.9
Fixed-Floater 4.97% 3.92% 172,087 8.72 7 0.0003% 1,025.8
Floater 4.53% -15.72% 76,426 6.50 5 0.0159% 1,018.0
Op. Retract 4.67% 1.89% 86,957 2.39 17 0.0504% 1,018.7
Split-Share 4.94% 3.73% 161,563 3.29 11 0.1058% 1,022.4
Interest Bearing 6.89% 5.02% 56,288 2.00 7 -0.0132% 1,022.2
Perpetual-Premium 5.09% 3.91% 213,242 4.23 47 0.0082% 1,036.1
Perpetual-Discount 4.57% 4.61% 535,810 16.19 7 -0.0229% 1,036.4
Major Price Changes
Issue Index Change Notes
There were no index-included issues with major price changes today.
Volume Highlights
Issue Index Volume Notes
LBS.PR.A SplitShare 122,500 Recent new issue, tops the charts for the fourth straight day despite being a split share – even accounting for the lower price per share, dollar volume is still impressive. And this note is getting boring, although it’s easy to write.
SLF.PR.C PerpetualDiscount 19,500 A narrow range, as befits a sleepy day … it closed at 24.50-55, 19×17, with a high-price of 24.55 and a low price of 24.50.
CM.PR.P PerpetualPremium 15.700 Pays $1.375 and isn’t callable until 2012 – and there’s no declining call period on this one. YTW is 3.92%, based on the bid price of $27.13 and a call in November, 2012. A little expensive, I say … but there’s a lot of interest-rate-protection that comes with the high dividend, so pays yer money and takes yer chances!
RY.PR.A PerpetualDiscount 14,150 Another issue trading in a narrow range, with the closing quote of $24.85-90 also representing the high and low.
GWO.PR.I PerpetualDiscount 13,420 Shockingly, the closing quote of 24.66-74 was inside the day’s high & low (24.75 & 24.63).

There were two other index-included issues trading over 10,000 shares today.

Doesn’t anybody ever take a view any more?

HIMI Preferred Indices

HIMI Preferred Indices : May 31, 1994

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

HIMI Index Values 1994-5-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,067.0 0 0 0 0 0 0
FixedFloater 1,067.0 0 0 0 0 0 0
Floater 1,006.8 6 1.48 5.41% 14.7 125M 6.10%
OpRet 968.9 18 1.32 6.76% 5.6 105M 7.26%
SplitShare 968.9 0 0 0 0 0 0
Interest-Bearing 968.9 0 0 0 0 0 0
Perpetual-Premium 993.4 7 1.14 7.07% 4.3 73M 8.12%
Perpetual-Discount 996.8 0 0 0 0 0 0

Index Constitution, 1994-05-31, Pre-Rebalancing

IndexConstitution, 1994-05-31, Post-Rebalancing