Market Action

December 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 4.16% 4.19% 35,352 17.07 1 +0.0403% 1,024.8
Fixed-Floater 4.78% 3.74% 99,889 8.36 7 -0.0053% 1,034.9
Floater 4.48% -21.70% 62,865 0.34 5 +0.0480% 1,042.0
Op. Retract 4.64% 1.02% 84,391 2.19 17 +0.0047% 1,031.8
Split-Share 5.06% 1.63% 247,660 2.51 9 -0.0408% 1,042.2
Interest Bearing 6.96% 5.84% 81,930 2.34 7 -0.0672% 1,026.2
Perpetual-Premium 5.00% 3.47% 289,050 4.19 52 +0.0026% 1,054.9
Perpetual-Discount 4.52% 4.50% 899,077 11.75 6 +0.0334% 1,061.2
Major Price Changes
Issue Index Change Notes
MFC.PR.B PerpetualPremium -1.0832% Now with a pre-tax bid-YTW of 4.31% based on a bid of 25.57 and a call 2014-4-18 at 25.00.
Volume Highlights
Issue Index Volume Notes
GWO.PR.F PerpetualPremium 401,887 The highest priced index-included perpetual, at 28.07b. Nesbitt crossed 100,000 at 28.10. Now with a pre-tax bid-YTW of 1.28% based on a bid of 28.06 and a call 2008-10-30 at 26.00. It might last a while and get called 2012-10-30 at 25.00, but with an annual dividend of 1.475 and a call schedule declining by 0.25 annually, I don’t like its chances. You can get better than 3.57% without the risk of an early, horrid call anyway.
TD.PR.M OpRet 381,850 Royal processed an internal cross at 27.78. Now with a pre-tax bid-YTW of 2.18% based on a call 2009-5-30 at $26.00, but it would appear some people are confident it will last until a call at $25.00 2013-10-30, to yield 3.12%
CM.PR.D PerpetualPremium 312,702 Another very-high-priced perpetual, at 27.51b. Nesbitt crossed 100,000 at 27.68. Now with a pre-tax bid-YTW of 1.91% based on a bid of 27.54 and a call 2008-5-31 at $26.00. It might last until 2012-5-30, to have yielded 3.86%. With an annual dividend of 1.4375, it might not!
PWF.PR.I PerpetualPremium 304,010 Nesbitt crossed 200,000 at 27.50, then another 100,000 at the same price three hours later. Now with a pre-tax bid-YTW of 2.44% based on a bid of 27.43 and a call 2008-5-30 at $26.00. Pays 1.50, so is there really a competent and confident school of thought that thinks it will last until a call at 25.00 2012-5-30, yielding 4.19%? The relatively recent PWF.PR.L pays 1.275.
NA.PR.K PerpetualPremium 202,815 The second-highest-priced index-included perpetual, at 27.90b. Nesbitt crossed 200,000 at 27.98. Now with a pre-tax bid-YTW of 1.03% based on a bid of 27.90 and a call 2008-6-14 at 26.00. It will yield 3.64% if it lasts until a 25.00 call 2012-6-14. Too chancy for me! Pays 1.4625.
PWF.PR.A Scraps 200,000 Royal processed an internal cross of 200,000 at 25.45. A floating rate issue, currently out of the index due to insufficient volume.
CM.PR.B PerpetualPremium 198,945 Called for redemption.
ACO.PR.A OpRet 115,349 Royal processed an internal cross of 115,000 shares at 28.25. Now with a pre-tax bid-YTW of 1.57% based on a bid of 28.13 and a call 2008-12-31 at 26.00. It pays 1.4375 and has a very steeply declining call premium (0.50 p.a.), so it might make last longer.
GWO.PR.X OpRet 108,897 Nesbitt crossed 100,000 at 27.50. Pre-tax bid-YTW now 2.49% based on a bid of 27.50 and a call 2009-10-30 at 26.00. It might last longer – the call premium declines by 0.33 p.a. – but I’ll let other people bet on that one.
NSI.PR.D Scraps 101,100 Royal processed an internal cross of 100,000 at 30.00. Not the biggest trader in the world, which is why it’s not in the OpRet index … at a bid of 29.62, it has a pre-tax bid-YTW of 3.62% based on a call 2015-11-14 at 25.00. This compares to 3.15% at the ask price of 30.61.

There were nineteen other index-included issues with over 10,000 shares traded today.

Data Changes

BAM Split Corp.: New Issue 4.35% Retractibles

I have been advised of a new issue by the recently renamed BAM Split Corp. A press release is available via CCN Matthews.

This is a bought issue, with closing scheduled for January 10, 2007. Issue size is $200-million, very nice for a split-share corporation.

 Dividends are cumulative and quarterly, 4.35% p.a. on the par value of $25.00.

The embeddedOptions are:

BAM Split 4.35% Ret. Options
Redemption 2007-1-10 2016-1-9 $26.00
Redemption 2016-1-10 2017-1-9 $25.75
Redemption 2017-1-10 2018-1-9 $25.50
Redemption 2018-1-10 2019-1-9 $25.25
Maturity 2019-1-10 2019-1-10 $25.00

The first record date is projected to be February 22, 2007, for the first (short) dividend of $0.1460 payable March 7, 2007.

The material I have isn’t entirely clear, but it appears that the bought deal is conditional upon DBRS assigning a rating of Pfd-2 to the issue and reconfirming the Pfd-2 ratings outstanding on BNA.PR.A and BNA.PR.B

Update & Bump: The issue has been added to the HIMIPref™ database with a preIssue securityCode of P50009.

An analysis of curvePrice has been prepared, with some comparatives:

Curve Price Components using taxable Curve
Component BNA.PR.? PIC.PR.A LBS.PR.A
Price due to base-rate 24.02 15.80 10.53
Price due to short-term 0.04 0.12 0.03
Price due to long-term 0.81 0.38 0.34
Price to to Cumulative Dividends 0.00 0.00 0.00
Price due to SplitShareCorp -0.96 -0.22 -0.25
Price due to Retractibility 1.72 0.40 0.47
Price due to Credit Spread (2) -0.28 -0.06 -0.08
Price due to error 0.06 -0.00 -0.00
Price due to Credit Spread (High) 0.00 0.00 0.00
Price due to Credit Spread (Low) 0.00 0.00 0.00
Intrinsic Price 25.41 16.43 11.03
Price due to Liquidity ? 0.03 0.23
Curve Price ? 16.46 11.26
Quotation, 12/20 25.00 Issue 16.06-15 10.82-89
Yield-To-Worst (taxable) 3.45% 3.20% 3.20%
Modified Duration To Worst (taxable) 9.79 3.50 5.97
Yield-To-Worst (non-taxable)  4.34%  4.01% 4.03% 
Modified Duration To Worst (non-taxable)  9.38  3.45  5.81

The portfolio evaluation of the experimental SplitShare Index is here.

HIMI Preferred Indices

HIMI Preferred Indices, August 1996

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

HIMI Index Values 1996-08-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,405.6 0 0 0 0 0 0
FixedFloater 1,402.7 0 0 0 0 0 0
Floater 1,323.6 7 1.56 4.41% 16.3 64M 4.69%
OpRet 1,188.4 23 1.30 5.67% 5.3 80M 6.75%
SplitShare 1,188.4 0 0 0 0 0 0
Interest-Bearing 1,188.4 0 0 0 0 0 0
Perpetual-Premium 1,168.0 4 1.00 4.47% 2.8 131M 8.01%
Perpetual-Discount 1,115.1 0 0 0 0 0 0

Index Constitution, 1996-08-30, Pre-Rebalancing

Index Constitution, 1996-08-30, Post-Rebalancing

Market Action

December 19, 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 4.17% 4.20% 32,732 17.06 1 +0.3235% 1,024.4
Fixed-Floater 4.78% 3.76% 101,817 8.37 7 +0.1236% 1,035.0
Floater 4.48% -22.00% 63,265 3.48 5 -0.3826% 1,041.5
Op. Retract 4.64% 0.78% 82,577 2.19 17 -0.0512% 1,031.8
Split-Share 5.06% 2.12% 248,989 2.52 9 -0.1149% 1,042.6
Interest Bearing 6.96% 5.80% 80,991 1.86 7 -0.0968% 1,026.8
Perpetual-Premium 4.99% 3.61% 291,270 4.18 52 +0.1171% 1,054.8
Perpetual-Discount 4.52% 4.49% 916,896 11.75 6 +0.0807% 1,060.8
Major Price Changes
Issue Index Change Notes
ENB.PR.D InterestBearing -1.1811% Called yesterday. I guess it was a surprise to some people!
PWF.PR.L PerpetualPremium +1.1240% Now with a pre-tax bid-YTW of 4.14% based on a bid of 26.99 and a call at $25.00, 2015-11-30.
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 288,977 Recent New Issue. Now with a pre-tax bid-YTW of 1.23% based on a bid of $10.38 and a call at $10.00 2008-1-14.
BC.PR.C FixedFloater 59,073 Nesbitt crossed 23,000 at $25.80.
CM.PR.I PerpetualPremium 55,140 New Issue November 15, continues to trade heavily. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.50 and a call 2016-3-1 at 4.52%
CM.PR.B PerpetualPremium 48,026 Basically a money market instrument, since it is being called Jan. 31.
RY.PR.D PerpetualPremium 45,045 Recent New Issue, now with a pre-tax bid-YTW of 4.41% based on a bid of $25.22 and a call 2016-3-25 at $25.00

There were seventeen other index-included issues with over 10,000 shares traded today.

HIMI Preferred Indices

HIMI Preferred Indices : July 1996

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

HIMI Index Values 1996-07-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,393.8 0 0 0 0 0 0
FixedFloater 1,390.9 0 0 0 0 0 0
Floater 1,312.5 7 1.55 4.77% 15.6 82M 5.14%
OpRet 1,172.9 23 1.25 5.86% 5.5 81M 6.80%
SplitShare 1,172.9 0 0 0 0 0 0
Interest-Bearing 1,172.9 0 0 0 0 0 0
Perpetual-Premium 1,162.7 4 1.00 4.47% 2.8 98M 8.01%
Perpetual-Discount 1,110.1 0 0 0 0 0 0

Index Constitution, 1996-07-31, Pre-Rebalancing

Index Constitution, 1996-07-31, Post-Rebalancing

Market Action

December 18, 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 4.19% 4.22% 33,096 17.02 1 +0.0405% 1,021.1
Fixed-Floater 4.79% 3.79% 98,800 8.38 7 +0.0617% 1,033.7
Floater 4.46% -25.23% 62,871 0.34 5 +0.0550% 1,045.5
Op. Retract 4.64% 0.87% 81,879 2.19 17 +0.0137% 1,032.3
Split-Share 5.05% 2.11% 247,111 2.52 9 -0.1056% 1,043.8
Interest Bearing 6.95% 5.11% 79,449 1.86 7 +0.0229% 1,027.8
Perpetual-Premium 5.00% 3.56% 293,584 4.24 52 +0.1269% 1,053.6
Perpetual-Discount 4.53% 4.50% 922,402 13.33 6 +0.3778% 1,060.0
Major Price Changes
Issue Index Change Notes
ELF.PR.G PerpetualPremium +1.0993% Now with a pre-tax bid-YTW of 4.48% based on a bid of $25.75 and a call 2015-11-16 at $25.00
IAG.PR.A PerpetualDiscount +1.3944% This one looks like it will be moving to “PerpetualPremium” pretty promptly! Now with a pre-tax bid-YTW of 4.34%, based on a bid of $25.45 and a call 2015-4-30 at $25.00
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 499,712 Recent New issue. Now with a bid-YTW of 1.41% based on a bid of $10.36 and a call 2008-1-14 at $10.00
CM.PR.I PerpetualPremium 358,090 New issue closed Nov. 15, continues to trade heavily. Now with a pre-tax bid-YTW of 4.52% based on a bid of $25.51 and a call 2016-3-1 at $25.00
CL.PR.B PerpetualPremium 302,635 RBC crossed 150,000 at $26.15, then Nesbitt crossed the same number at the same price 13 minutes later. I last mentioned this November 29 and, well, at least the pre-tax bid-YTW’s not negative any more! It’s 1.20% based on a bid of $26.10 and a call 2007-1-30 at $26.00.
CM.PR.B PerpetualPremium 211,820 Basically a money market instrument, since it is being called Jan. 31.
RY.PR.C PerpetualPremium 147,825 National crossed 125,000, then 10,000, then 5,000, all at $25.55. Now with a pre-tax bid-YTW of 4.42% based on a bid of $25.53 and a call 2015-12-24 at $25.00
BAM.PR.M PerpetualDiscount 108,300 RBC crossed 100,000 at $25.10. Now with a pre-tax bid-YTW of 4.70% based on a bid of $25.10 and a call 2016-3-1 at $25.00

There were fourteen other index-included issues with over 10,000 shares traded today.

Issue Comments

ENB.PR.D to be Redeemed

Well, it’s not exactly the biggest surprise in the world … Enbridge announced today (via CCN Matthews) that:

Enbridge Inc. (TSX:ENB)(NYSE:ENB) announced today its intention to redeem all 8,000,000 of its outstanding 7.80% preferred securities, at a price of $25.00 each plus accrued interest of $0.2458 per security, for the period following the previously announced December 31, 2006 interest payment date. The redemption date is February 15, 2007, for all of the 7.80% preferred securities, originally issued in February 2002.

So there goes another one of the lovely high-coupon preferred securities!

 

Market Action

December 15, 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 4.20% 4.22% 33,370 17.01 1 -0.0404% 1,020.7
Fixed-Floater 4.79% 3.81% 100,905 8.38 7 +0.1629% 1,033.1
Floater 4.46% -25.29% 63,178 3.47 5 +0.6029% 1,044.9
Op. Retract 4.64% 0.86% 82,781 2.19 17 +0.0569% 1,032.2
Split-Share 5.10% 2.27% 138,530 2.72 8 +0.4143% 1,045.0
Interest Bearing 6.95% 5.09% 79,009 2.35 7 +0.2087% 1,027.6
Perpetual-Premium 5.00% 3.71% 291,647 4.30 52 +0.1269% 1,052.3
Perpetual-Discount 4.55% 4.50% 928,803 11.74 6 +0.1675% 1,056.0

 

Major Price Changes
Issue Index Change Notes
LBS.PR.A SplitShare +1.2903% Now with a pre-tax bid-YTW of 3.75% based on a bid of $10.99 and a hardMaturity 2013-11-29 at $10.00. It is interesting to compare this with the FBS.PR.B new issue, which finished its opening data at 10.38-bid for a pre-tax YTW of 1.21% based on a call 2008-1-14 at $10.00, or 3.93% if it lasts until its hardMaturity 2011-12-15 at $10.00.
TOC.PR.B Floater +1.8010% What makes this large gain even more odd than it is already, is that it is based on a closing price of $26.00-bid. Global crossed 80,900 for cash at $26.56, then the same number for regular settlement at $26.29.
Volume Highlights
Issue Index Volume Notes
FBS.PR.B SplitShare 2,347,825 New issue closed today. Volume was about one-sixth of the issue size!
GWO.PR.F PerpetualPremium 305,245 This has been a heavy trader recently. Desjardins crossed 89,600 at 28.15, then after a few hours, crossed 85,400 at the same price
BC.PR.B FixedFloater 212,900 Scotia crossed 100,000 at 25.40, then Nesbitt crossed 112,000 at the same price.
TOC.PR.B Floater 166,500 See the “performance” table, above.
RY.PR.D PerpetualPremium 68,240 Recent new issue.

There were fourteen other index-included issues with over 10,000 shares traded today.

Market Action

Strange Stability in Credit Spreads

I’m not too sure what to make of this.

As readers of the glossary know:

The values of all three of these parameters has been oddly stable since early October – I have uploaded graphs for the taxable curve and for the non-taxable curve.

Frankly, I’m not too sure what the implications of such stability are, but I’m pointing it out as an interesting feature of the current market.

Data Changes

FBS.PR.B Closes; FBS.PR.A Redeemed

5Banc Split Inc. has announced (via CCN Matthews) that its new issue of preferreds, FBS.PR.B, has closed.

14-million shares priced at $10.00 were sold, compared to the initial issue 3.25-million of the old shares, FBS.PR.A, the last of which have been redeemed at $25.00. That’s a nice increase of 72% in initial issue size, so I will speculate that TD Bank, the sponsor, is happy!

The new securityCode for FBS.PR.B is A29001, which replaces the preIssue code of P50008. A reorgDataRecord has been added to the HIMIPref™ database.

A reorg entry has also been put through to reflect the redemption of FBS.PR.A (securityCode A29000) and the instrumentDataRecord changed to reflect the delisting.

More, later. Probably much later, as I don’t think I will be able to update the prices tonight and will have to leave it ’till later in the weekend.