{"id":11600,"date":"2010-07-23T23:25:37","date_gmt":"2010-07-24T03:25:37","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=11600"},"modified":"2010-07-23T23:25:37","modified_gmt":"2010-07-24T03:25:37","slug":"bmo-pr-n-bid-through-3-00","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=11600","title":{"rendered":"BMO.PR.N Bid Through 3.00%"},"content":{"rendered":"

About four months ago, on March 26, I noted that RY.PR.R was bid at under 3.00%<\/a>. It turns out that that was a significant date: March 26 marked a peak in the FixedReset market, which then entered a slump period that I analyzed extensively in the May edition of PrefLetter<\/a>.<\/p>\n

So now BMO.PR.N is bid through 3.00%. This is an interesting issue: it was announced 2008-11-25, very close to the all time low in the PerpetualDiscount market (BMO PerpetualDiscounts were at 8.50%!), and settled in December 2008<\/a>; it’s a FixedReset, 6.50%+383bp<\/a>. It closed today bid at 28.30 and is callable at 25.00 on February 25, 2014.<\/p>\n

We plug the following data into the Yield-to-Call calculator<\/a>:
\nCurrent Price 28.30
\nCall Price 25.00
\nSettlement Date 2010-7-23 (easily disputable – so sue me)
\nQuarterly Dividend 0.40625
\nCycle 2 (FMAN)
\nPay Date 25
\nInclude First Dividend 1 = yes (goes ex 7\/28; the proximity of the ex-Date might be influencing the price)<\/p>\n

And we get IRR = 2.95%, Quarterly compounded yield 2.91%. HIMIPref™ reports 2.98% yield – the difference is due to the month’s grace period that is a bug<\/s> feature<\/s> idiosyncracy in the system; of very little import since it’s small AND consistent across issues, but it’s embarrassing because it has to be disclosed every time I discuss yields. One day I’ll change it, never fear.<\/p>\n

Another notable fact regarding BMO.PR.N is that it has just been added to TXPR<\/a> which may be exerting a little upwards pressure on the price.<\/p>\n

Two charts have been uploaded for your edification and amusement: <\/p>\n