HIMIPref News

New HIMIPref-2005 Release, Dated 2006-08-08

There is a new release available via http://www.prefshares.com/gettingstarted/downloads.php This is not a major release – it just cleans up a few loose ends with the interface that I hope I’m the only one who’s noticed. There have been no changes on the server-side or in the interfaces, so old versions will continue to work.

 If you download and install it, I implore you to remember to back up your userdatabase prior to the uninstallation of the old version. Those who really hate fiddling with re-installation will also want to back up their “userloc” file … this is in the same directory as the programme itself (probably c:Program FilesHymas Investment Management, IncHIMIPref , but the original installation may have put it elsewhere) and the backup-userloc used to over-write the reinstalled-userloc after installation, but prior to running the programme.

MAPF

MAPF, Results for July, 2006

At July 31, 2006, MAPF had a unit value of $9.3608, a return of 0.24% (after expenses, before fees) on the month, vs the BMO-NB50 return of 0.35%

The last three months have been flat against the index – there are, I think, two major sources of this reduction in excess returns:

  • Reduced volatility : the market’s not doing anything! It’s volatility that allows for trading with significant profit.
  • BAM.PR.J The fund has a large holding in BAM.PR.J, which returned -0.51% on the month and is -2.52% YTD (total return). I just don’t understand it – for some insight into just why I don’t understand it, see Operating-Retractible Yield Curve, 2006-07-26. Surely at some point the issue will come more in line with its peers … but I’ve been saying that for a while now …
Index Construction / Reporting

Rebalancing, 2006-08-04

Index Changes
Issue From To Because
PWF.PR.L   PerpetualPremium New Issue

So, today’s new issue, featured in A sparkling debut for PWF.PR.L!, is now incorporated in the index – and has contributed its little share to the gain in today’s PerpetualPremium index

A design consideration for the indices is the desire to capture the performance of new issues, so it’s nice to see a capture take place.

Market Action

August 4, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.33% 4.33% 27,064 16.73 2 0.1808% 996.9
Fixed-Floater 4.94% 4.13% 278,149 6.96 6 +0.2064% 1,003.6
Floater 4.60% -15.74% 59,351 6.50 5 0.2320% 1,006.5
Op. Retract 4.72% 3.04% 77,385 2.71 18 0.0642% 1,001.2
Split-Share 5.01% 3.84% 58,552 2.80 10 -0.087% 1,002.1
Interest Bearing 6.85% 5.15% 62,987 1.94 7 0.0200% 1,010.9
Perpetual-Premium 5.30% 4.41% 178,424 4.06 42 0.0801% 1,007.4
Perpetual-Discount 4.76% 4.80% 367,687 15.14 13 0.0473% 1,006.8
Major Price Changes
Issue Index Change Notes
CM.PR.A OpRet +1.50% No shares traded! The bid is now 27.00-51, 5×12, up from 26.60-58 yesterday. The YTW at the bid is 1.50%
Volume Highlights
Issue Index Volume Notes
PWF.PR.L PerpetualPremium 442,125 Heavy trading on its first day! See A sparkling debut for PWF.PR.L!
ACO.PR.A OpRet 68,686 Global crossed 33,900 @28.60 for delayed delivery; and then 33,900 @28.25 for regular settlement. The ex-date was today, dividend of $0.359375. Clearly some kind of dividend-capture strategy at work here.
SLF.PR.B PerpetualDiscount 31,236 National Bank crossed 10,000 @ $25.00 after selling 8,000 to BMO at $25.03
RY.PR.K OpRet 14,737 BMO crossed 13,500 @ $25.20

Market Action

August 3, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.33% 4.29% 26,812 16.72 2 0% 995.1
Fixed-Floater 4.95% 4.19% 286,504 12.13 6 -0.0913% 1,001.5
Floater 4.61% -14.62% 59,847 6.48 5 0.2939% 1,004.2
Op. Retract 4.72% 3.13% 77,869 2.66 18 0.0487% 1,000.6
Split-Share 5.01% 3.78% 59,091 2.80 10 0.0890% 1,003.0
Interest Bearing 6.85% 5.15% 63,899 2.18 7 0.0697% 1,010.7
Perpetual-Premium 5.30% 4.42% 121,418 4.05 41 -0.0274% 1,006.6
Perpetual-Discount 4.76% 4.80% 375,590 15.83 13 -0.1188% 1,006.3
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater 1.22% Was down 1.62% yesterday
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 75,505 Desjardins crossed 75,000 shares @ 28.25. At this price, they have a YTW of about 2.5%
WN.PR.C PerpetualPremium 22,200 RBC crossed 19,700 shares at 25.35
BMO.PR.I OpRet 18,400 RBC crossed 16,400 shares at 25.50
RY.PR.B PerpetualDiscount 13,200  
Market Action

August 2, 2006

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version
Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.34% 4.30% 26,351 16.71 2 0% 993.9
Fixed-Floater 4.94% 4.13% 295,668 6.94 6 -0.0065% 1,002.4
Floater 4.61% -11.68% 59,896 6.48 5 -0.2258% 1,001.3
Op. Retract 4.72% 3.06% 78,096 2.71 18 0.1003% 1,000.09
Split-Share 5.01% 3.58% 59,589 2.76 10 -0.0170% 1,002.1
Interest Bearing 6.85% 5.21% 65,069 2.18 7 -0.0916% 1,010.0
Perpetual-Premium 5.30% 4.36% 122,782 3.94 41 -0.0028% 1,006.8
Perpetual-Discount 4.76% 4.80% 385,848 15.84 13 0.0725% 1,007.5
Major Price Changes
Issue Index Change Notes
AL.PR.E Floater -1.62% Volume of 13,375 shares
POW.PR.D PerpetualPremium -1.48% Volume of 11,980 shares
Volume Highlights
Issue Index Volume Notes
TCA.PR.Y PerpetualPremium 45,894  
SLF.PR.B PerpetualDiscount 19,370  
POW.PR.B PerpetualPremium 13,600  
AL.PR.E Floater 13,375 Lost 1.62% on day
BMO.PR.H PerpetualPremium 13,040 shares  

There were five other index-included issues with volume in excess of 10,000 shares.

Issue Comments

A sparkling debut for PWF.PR.L!

Well – sometimes I get things right! In the post Power Financial Series L, I made the prediction that “I think it will go to an immediate premium over issue price”.

 So far, so good! The issue traded 442,125 shares today (a value of over $11-million) and closed with a quote of 25.30-35. I suspect that there’s more to come, but I’ll wait until I’ve updated HIMIPref with the full universe of prices for August 4 before I start flapping my yap.

Market Action

August 1, 2006

Index Current Yield (at bid) YTW Average Trading Value Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.57% 4.53% 26,925 16.76 2 -0.1002% 993.9
Fixed-Floater 4.94% 4.21% 305,581 6.85 6 0.00% 1,002.5
Floater 4.60% -14.72% 59,050 6.45 5 0.0085% 1,003.5
Op. Retract 4.72% 2.95% 78,843 2.66 18 0.3122% 999.1
Split-Share 5.01% 3.70% 59,815 2.74 10 0.0457% 1,002.3
Interest Bearing 6.86% 5.15% 65,327 2.19 7 0.1094% 1,010.9
Perpetual-Premium 5.30% 4.33% 123,416 3.98 41 0.0887% 1,006.9
Perpetual-Discount 4.77% 4.80% 392,028 15.84 13 0.1289% 1,006.8
Major Price Changes
Issue Index Change Notes
None!
Volume Highlights
Issue Index Volume Notes
CM.PR.A OpRet 176,467  
BMO.PR.I OpRet 75,517 Anonymous internal cross, 74,500 @ 25.79
BC.PR.C FixedFloater 58,669 See the Change in Terms
BNS.PR.K PerpetualPremium 55,350 RBC crossed 50,000 @ 25.20
TD.PR.M OpRet 49,250 Anonymous internal cross @ 27.55

There were seven other index-included issues with volume in excess of 10,000 shares.

Note that there were changes in index construction today.

Index Construction / Reporting

Rebalancing, 2006-08-01

Index Changes
Issue From To Because
BC.PR.B Ratchet Fixed-Floater Error Correction
BC.PR.E Scraps Ratchet Error Correction

 

*sigh*. An error is not  a happy thing to admit, but it’s always best to get it over with. As detailed in the post BC.PR.B / BC.PR.E, some of the BC.PR.B fixed/floater issue was exchanged into the BC.PR.E Ratchet Rate issue.

Taxation

Ontario boosts dividend tax credit

In very good news for preferred share investors, Ontario increased the dividend tax credit from 5.13% to 6.5%. The tax credit will rise in stages over the next four years, reaching 7.7 per cent in 2010.

There is nothing in the Official Press Release that indicates the dollars-and-cents value of this increase, but doubtless the accounting firms are working it out now and I’ll post updates when I get them.

Added 2006-09-06 : Note that Ernst & Young has a very good online tax calculator but it is currently updated only to June 16, 2006