New Issue: ENB FixedReset 4.00%+212

March 20th, 2012

Enbridge Inc. has announced:

that it has entered into an agreement with a group of underwriters to sell 12 million cumulative redeemable preference shares, series H (the “Series H Preferred Shares”) at a price of $25.00 per share for distribution to the public. Closing of the offering is expected on March 29, 2012.

The holders of Series H Preferred Shares will be entitled to receive fixed cumulative dividends at an annual rate of $1.00 per share, payable quarterly on the 1st day of March, June, September and December, as and when declared by the Board of Directors of Enbridge, yielding 4.00 per cent per annum, for the initial fixed rate period to but excluding September 1, 2018. The first quarterly dividend payment date is scheduled for September 1, 2012. The dividend rate will reset on September 1, 2018 and every five years thereafter at a rate equal to the sum of the then five-year Government of Canada bond yield plus 2.12 per cent. The Series H Preferred Shares are redeemable by Enbridge, at its option, on September 1, 2018 and on September 1 of every fifth year thereafter.

The holders of Series H Preferred Shares will have the right to convert their shares into cumulative redeemable preference shares, series I (the “Series I Preferred Shares”), subject to certain conditions, on September 1, 2018 and on September 1 of every fifth year thereafter. The holders of Series I Preferred Shares will be entitled to receive quarterly floating rate cumulative dividends, as and when declared by the Board of Directors of Enbridge, at a rate equal to the sum of the then 90-day Government of Canada treasury bill rate plus 2.12 per cent.

Enbridge has granted to the underwriters an option, exercisable at any time up to 48 hours prior to the closing of the offering, to purchase up to an additional 2 million Series H Preferred Shares at a price of $25.00 per share.

The offering is being made only in Canada by means of a prospectus. Proceeds will be used to partially fund capital projects, to reduce existing indebtedness and for other general corporate purposes of the Corporation and its affiliates.

The syndicate of underwriters is co-led by RBC Capital Markets, Scotia Capital Inc., and TD Securities Inc.

Update, 2012-3-22: Pfd-2(low), Stable Trend, from DBRS.

March 19, 2012

March 19th, 2012

Greek CDSs are being settled at 21.5%:

Sellers of credit-default swaps on Greece will have to pay as much as $2.5 billion to settle contracts triggered by the nation’s debt restructuring.

The settlement was determined after dealers agreed a final value for Greek bonds of 21.5 percent of face value at an auction, according to administrators Markit Group Ltd. and Creditex Group Inc., and is in line with where the notes have been trading.

Greek credit-default swaps are being settled after investors were forced to exchange their bonds at a loss in the biggest ever debt restructuring. The auction ends more than two years of speculation over whether the derivatives are reliable for insuring sovereign debt after European policy makers sought to prevent payouts on concern they’d worsen the region’s crisis.

OSFI has gone to the unprecedented step of issuing a news release regarding mortgage underwriting guidelines. Naturally, there is no meat at all in the release, but the referenced draft guidelines create the usual paperwork increase.

DBRS has imposed new website conditions:

SITE Lockdown – Public Users must register

So now there will be more moronic spam for me to delete every day. And I just got less inclined to be civil when somebody calls from DBRS. Oh, well.

I wrote a Letter to Toronto City Council regarding the Sheppard Avenue East subway.

It was a quiet day for the Canadian preferred share market, with PerpetualPremiums gaining 1bp, FixedResets flat and DeemedRetractibles losing 19bp. The Performance Highlights table is suitably short; volume was low.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5991 % 2,463.0
FixedFloater 4.54 % 3.93 % 38,170 17.39 1 0.5772 % 3,432.2
Floater 2.93 % 2.93 % 48,264 19.92 3 0.5991 % 2,659.4
OpRet 4.92 % 2.82 % 52,366 1.25 6 -0.0707 % 2,504.5
SplitShare 5.27 % -2.64 % 84,103 0.74 4 0.1994 % 2,680.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0707 % 2,290.1
Perpetual-Premium 5.40 % 2.75 % 100,443 0.12 25 0.0140 % 2,215.1
Perpetual-Discount 5.11 % 5.09 % 189,382 15.25 7 -0.1591 % 2,421.0
FixedReset 5.05 % 2.97 % 194,293 2.19 67 -0.0023 % 2,385.2
Deemed-Retractible 4.96 % 3.93 % 199,262 2.88 46 -0.1884 % 2,301.7
Performance Highlights
Issue Index Change Notes
NA.PR.M Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-15
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : 3.51 %
MFC.PR.C Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 5.31 %
SLF.PR.D Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.86
Bid-YTW : 5.60 %
BAM.PR.C Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-19
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 2.93 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.E FixedReset 105,856 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 2.68 %
BAM.PF.A FixedReset 59,706 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-19
Maturity Price : 23.07
Evaluated at bid price : 24.92
Bid-YTW : 4.46 %
RY.PR.N FixedReset 42,788 Scotia crossed 39,900 at 26.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.71
Bid-YTW : 2.84 %
CM.PR.J Deemed-Retractible 35,156 ITG (who?) bought 19,800 from Nesbitt at 26.22.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-30
Maturity Price : 26.00
Evaluated at bid price : 26.22
Bid-YTW : 2.01 %
BNS.PR.Z FixedReset 26,469 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.27 %
MFC.PR.H FixedReset 25,928 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.55 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.P FixedReset Quote: 27.16 – 27.80
Spot Rate : 0.6400
Average : 0.4320

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-15
Maturity Price : 25.00
Evaluated at bid price : 27.16
Bid-YTW : 2.29 %

FBS.PR.C SplitShare Quote: 10.56 – 10.93
Spot Rate : 0.3700
Average : 0.2357

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-12-15
Maturity Price : 10.00
Evaluated at bid price : 10.56
Bid-YTW : -2.64 %

NA.PR.M Deemed-Retractible Quote: 26.80 – 27.10
Spot Rate : 0.3000
Average : 0.2250

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-15
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : 3.51 %

IAG.PR.E Deemed-Retractible Quote: 25.80 – 26.30
Spot Rate : 0.5000
Average : 0.4265

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.43 %

PWF.PR.P FixedReset Quote: 25.77 – 26.04
Spot Rate : 0.2700
Average : 0.1967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-19
Maturity Price : 23.50
Evaluated at bid price : 25.77
Bid-YTW : 3.22 %

RY.PR.I FixedReset Quote: 26.10 – 26.36
Spot Rate : 0.2600
Average : 0.1882

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 2.84 %

March 16, 2012

March 16th, 2012

BCE is buying Astral Media:

BCE Inc.’s (BCE-T39.64-0.42-1.05%) massive bet on media is going truly national, as the communications giant makes a $3-billion play for Astral Media Inc. (ACM.A-T48.5512.3033.93%)to shore up its broadcasting business in the one province where it was weak: Quebec.

The deal, announced Friday, gives the country’s largest communications firm a stable of French-language television and radio stations to compete with rival Quebecor Inc. It also cements BCE’s position as the leading force of consolidation in Canada’s media industry: Since 2010, it has announced deals worth nearly $7-billion to buy control of CTV Inc., Maple Leafs Sports and Entertainment Ltd., and now Montreal-based Astral.

DBRS considers it a non-event for credit:

DBRS has today confirmed the long- and short-term ratings of BCE Inc. (BCE) and its wholly-owned operating subsidiary, Bell Canada (the Company), at BBB (high)/R-1 (low) and A (low)/R-1 (low), respectively, following BCE Inc. and Bell Canada’s announcement today that they have entered into a definitive agreement to purchase the shares of Astral Media Inc. (Astral Media) for roughly $3 billion (valuing Astral Media at a total enterprise value of roughly $3.4 billion). The trend on all ratings is Stable.

With an EBITDA multiple of roughly 10 times (x) Astral Media’s F2012 EBITDA, DBRS notes that this transaction is reasonable and consistent with other recent media transactions in Canada. BCE/Bell Canada plans to fund the acquisition of the equity purchase price with cash/debt (for roughly three-quarters) and BCE Inc. common shares (for the remaining quarter, or $750 million). As part of the transaction, Ian Greenberg – one of the co-founders of Astral Media – will join the board of BCE Inc. upon closure of the acquisition.

From a financial perspective, DBRS notes that leverage is expected to increase for Bell Canada with the addition of Astral Media, from approximately 1.8x gross debt-to-EBITDA expected at the end of 2011 to roughly 2.0x expected at the end of 2013. However, the Company’s commitment to deleverage within 24 months of the close of the transaction gives DBRS greater comfort that Bell Canada’s leverage will improve to more historical levels (and back within its own target range).

It was another quiet day for the Canadian preferred share market, with PerpetualPremiums down 5bp, FixedResets gaining 7bp and DeemedRetractibles off 5bp. The Performance Highlights table is suitably short. Volume was quite low.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2440 % 2,448.3
FixedFloater 4.57 % 3.96 % 38,510 17.35 1 -0.0961 % 3,412.5
Floater 2.95 % 2.93 % 48,666 19.91 3 0.2440 % 2,643.6
OpRet 4.92 % 2.64 % 54,511 1.25 6 0.3805 % 2,506.2
SplitShare 5.28 % -2.61 % 83,675 0.75 4 -0.1195 % 2,675.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3805 % 2,291.7
Perpetual-Premium 5.40 % 0.77 % 100,944 0.21 25 -0.0529 % 2,214.8
Perpetual-Discount 5.10 % 5.07 % 189,730 15.28 7 0.1239 % 2,424.8
FixedReset 5.05 % 3.00 % 193,724 2.22 67 0.0658 % 2,385.2
Deemed-Retractible 4.95 % 3.92 % 200,489 2.89 46 -0.0511 % 2,306.0
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 3.55 %
NA.PR.M Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-15
Maturity Price : 26.00
Evaluated at bid price : 27.21
Bid-YTW : 2.12 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.A FixedReset 292,467 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-16
Maturity Price : 23.05
Evaluated at bid price : 24.87
Bid-YTW : 4.33 %
MFC.PR.A OpRet 90,266 RBC crossed blocks of 50,000 and 36,300 shares, both at 25.75.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 3.30 %
MFC.PR.H FixedReset 54,219 RBC crossed 37,000 shares at 25.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.53 %
RY.PR.F Deemed-Retractible 53,270 TD crossed 50,000 at 25.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.02 %
ENB.PR.D FixedReset 46,165 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-16
Maturity Price : 23.26
Evaluated at bid price : 25.48
Bid-YTW : 3.67 %
TD.PR.R Deemed-Retractible 43,187 RBC crossed 20,700 at 26.80.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-04-30
Maturity Price : 26.00
Evaluated at bid price : 26.82
Bid-YTW : 3.11 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Y FixedReset Quote: 25.28 – 25.59
Spot Rate : 0.3100
Average : 0.2150

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 2.87 %

BMO.PR.M FixedReset Quote: 25.91 – 26.16
Spot Rate : 0.2500
Average : 0.1629

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 2.64 %

FTS.PR.G FixedReset Quote: 25.50 – 25.83
Spot Rate : 0.3300
Average : 0.2501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-16
Maturity Price : 23.92
Evaluated at bid price : 25.50
Bid-YTW : 3.53 %

CU.PR.B Perpetual-Premium Quote: 25.45 – 25.65
Spot Rate : 0.2000
Average : 0.1336

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -1.34 %

CIU.PR.A Perpetual-Premium Quote: 25.21 – 25.49
Spot Rate : 0.2800
Average : 0.2212

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-16
Maturity Price : 24.92
Evaluated at bid price : 25.21
Bid-YTW : 4.58 %

PWF.PR.F Perpetual-Premium Quote: 25.25 – 25.52
Spot Rate : 0.2700
Average : 0.2120

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.77 %

March 15, 2012

March 15th, 2012

It seems that BAM will spin out some real estate:

Now the company’s largest division by far, its $83-billion collection of real estate, is about to receive the spin-out treatment. And therein lies the potential opportunity for investors. The move to create the new venture, to be known as Brookfield Property Partners, could be a catalyst to move the share price higher.

The company states:

“As long-term, value-oriented real estate investors, we believe this is an excellent time to selectively build a portfolio of high-quality industrial properties, and we look forward to expanding our relationship with Hillwood,” said David Arthur, Managing Partner at Brookfield Asset Management. “This initiative expands the scope of our real estate platform in an exciting asset class, strengthening our global property operations in line with the expected launch later this year of our flagship property vehicle, Brookfield Property Partners.”

It was a poor day for the Canadian preferred share market, with PerpetualPremiums down 13bp, PerpetualDiscounts off 4bp and DeemedRetractibles losing 18bp. The Performance Highlights table is short, but comprised entirely of losers. Volume was pathetically, Christmasally low.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.8006 % 2,442.4
FixedFloater 4.57 % 3.95 % 39,826 17.36 1 -0.8576 % 3,415.8
Floater 2.96 % 2.94 % 50,519 19.88 3 -0.8006 % 2,637.1
OpRet 4.93 % 3.06 % 55,353 1.26 6 -0.0258 % 2,496.7
SplitShare 5.28 % -2.61 % 84,838 0.75 4 -0.0348 % 2,678.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0258 % 2,283.0
Perpetual-Premium 5.40 % -1.12 % 101,771 0.13 25 -0.1298 % 2,216.0
Perpetual-Discount 5.10 % 5.09 % 186,555 15.26 7 -0.0413 % 2,421.8
FixedReset 5.05 % 2.92 % 196,701 2.22 67 -0.1149 % 2,383.7
Deemed-Retractible 4.94 % 3.84 % 199,902 2.96 46 -0.1760 % 2,307.2
Performance Highlights
Issue Index Change Notes
IGM.PR.B Perpetual-Premium -2.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 5.01 %
IAG.PR.E Deemed-Retractible -2.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : 5.55 %
SLF.PR.H FixedReset -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 4.26 %
BAM.PR.K Floater -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 2.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Z FixedReset 259,685 Lots of blocks, all at 25.25: TD crossed 25,000 and 65,000. RBC crossed four blocks: 25,000 shares, 50,000 and two of 10,000 each. Desjardins crossed 10,000 and 35,000.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.15 %
BAM.PF.A FixedReset 125,794 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-15
Maturity Price : 23.04
Evaluated at bid price : 24.85
Bid-YTW : 4.34 %
MFC.PR.H FixedReset 40,321 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.52 %
CM.PR.L FixedReset 39,959 RBC crossed 30,000 at 27.21.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.16
Bid-YTW : 2.70 %
FTS.PR.F Perpetual-Premium 33,200 Desjardins crossed 25,000 at 25.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-01
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 4.56 %
BAM.PR.M Perpetual-Discount 27,676 RBC crossed 19,400 at 23.75.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-15
Maturity Price : 23.45
Evaluated at bid price : 23.72
Bid-YTW : 5.01 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.E Deemed-Retractible Quote: 25.72 – 26.30
Spot Rate : 0.5800
Average : 0.3416

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : 5.55 %

IGM.PR.B Perpetual-Premium Quote: 26.50 – 27.20
Spot Rate : 0.7000
Average : 0.4648

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 5.01 %

SLF.PR.H FixedReset Quote: 24.00 – 24.25
Spot Rate : 0.2500
Average : 0.1563

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 4.26 %

IAG.PR.A Deemed-Retractible Quote: 23.72 – 24.20
Spot Rate : 0.4800
Average : 0.4032

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.27 %

BAM.PR.G FixedFloater Quote: 20.81 – 21.19
Spot Rate : 0.3800
Average : 0.3047

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-15
Maturity Price : 21.71
Evaluated at bid price : 20.81
Bid-YTW : 3.95 %

BAM.PR.Z FixedReset Quote: 25.42 – 25.65
Spot Rate : 0.2300
Average : 0.1560

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-15
Maturity Price : 23.25
Evaluated at bid price : 25.42
Bid-YTW : 4.33 %

Thoughts on a Potential YLO Preferred / Common Conversion

March 15th, 2012

As we all know, YLO.PR.A is convertible at the option of the company into common commencing March 31. We also know that YLO.PR.B is similarly convertible (with a premium) commencing June 30.

But Assiduous Reader JY tells me:

The other bigger issue is that it appears to us that they cannot convert the preferred series 1 to either common or a similar financial instrument (IR’s words and as of a few weeks ago this was still on the table according to [redacted]). The roadblock is that they have to pay at least the one dividend on the preferred A’s either in cash or shares. The issue then becomes since the preferreds are pari-pasu or equal then pay one, you have to pay all 4 series. As you are probably aware they have to do this before the end of the year. The one possible way out is if they can somehow say that the dividend is not a dividend but additional shares. Our feeling is that is a bit of a stretch but given how this situation has gone; perhaps a sharp lawyer can get them around this.

So the idea is: the conversion value of the preferreds includes accrued but unpaid dividends; therefore, conversion of YLO.PR.A will involve giving value for the accrued but unpaid dividends; therefore, they won’t be able to convert YLO.PR.A or YLO.PR.B without bringing the dividends on YLO.PR.C and YLO.PR.D up to date.

However, there’s a section in the 2009-9-15 prospectus for YLO.PR.D (and probably the others as well – I didn’t check) that states:

Unless all accrued and unpaid dividends on outstanding Series 3 Preferred Shares and Series 4 Preferred Shares and all accrued and unpaid dividends on all other outstanding shares ranking senior to or on parity with the Series 3 Preferred Shares and Series 4 Preferred Shares have been declared and paid or set apart for payment, YPG Holdings will not, without the approval of the holders of outstanding Series 3 Preferred Shares and Series 4 Preferred Shares, in each case voting as a series: … declare, pay or set apart for payment any dividends on any of its shares ranking as to dividends on parity with or junior to the Series 3 Preferred Shares or Series 4 Preferred Shares, as applicable (other than stock dividends payable in shares of YPG Holdings ranking as to dividends and capital junior to the Series 3 Preferred Shares or Series 4 Preferred Shares, as applicable);

So … given that there’s an exemption available for “stock dividends”, which is not a defined term, could YLO claim that paying the conversion price in common shares make the dividend count as a stock dividend, which will not trigger mandatory payment of the other outstanding dividends? I will leave that one for the lawyers.

The YLO preferreds (YLO.PR.A, YLO.PR.B, YLO.PR.C & YLO.PR.D) were last mentioned on PrefBlog when S&P downgraded them to C. All the issues are tracked by HIMIPref™ but are relegated to the Scraps index on credit concerns.

RBS.PR.A Called For Redemption

March 15th, 2012

R Split III Corp. has announced:

that holders of its Class A Capital Shares (“Capital Shares”) have overwhelmingly approved a share capital reorganization (the “Reorganization”) allowing holders of Capital Shares, at their option, to retain their investment in the Company after the scheduled redemption date of May 31, 2012. The Reorganization will permit holders of Capital Shares to extend their investment in the Company beyond the redemption date of May 31, 2012 for up to an additional 5 years. The Class A Preferred Shares will be redeemed on the same terms originally contemplated in their share provisions and have been called for redemption on May 31, 2012. In order to maintain the leveraged “split share” structure of the Company, the Company expects to create and issue a new series of Class B preferred shares on or about May 31, 2012.

Holders of Capital Shares electing to retain their investment in the Company will continue to enjoy the benefit of a leveraged participation in the capital appreciation of the Company’s portfolio of common shares (the ‘‘Royal Bank Shares’’) of Royal Bank of Canada (‘‘Royal Bank’’).

Holders of Capital Shares who do not wish to continue their investment in the Company after May 31, 2012 must give notice that they wish to exercise their special retraction right and how they wish to be paid for their shares on or prior to April 3, 2012. Holders of Capital Shares who retract their Capital Shares will be paid on May 31, 2012. The Reorganization will become effective provided that holders of at least 1,405,000 Capital Shares retain their Capital Shares and do not exercise the special retraction right.

RBS.PR.A was last mentioned on PrefBlog when the reorganization proposal was announced. RBS.PR.A is not tracked by HIMIPref™.

March 14, 2012

March 14th, 2012

Nice story about technological disruption – a big change from The Diving Bell & the Butterfly:

Edwards, who suffered brain damage in 2001, can write e- mails, though, and she’s revisiting a favorite pastime, sketching, for the first time in a decade, thanks to her iPad and software applications that can cost as little as $7.

That’s a switch from the $15,000 communication device she had tried, a 9-pound machine approved by her insurer that tracks eye movement on a special grid corresponding to the alphabet. That device kept her tied to those in the room around her. The iPad, along with several other consumer-driven apps, has reopened the world to her.

Fitch has indicated a negative outlook on UK debt:

Fitch Ratings said Britain risks losing its top investment grade because of its limited ability to deal with shocks, days before Chancellor of the Exchequer George Osborne will present his annual budget.

Fitch changed the outlook on Britain to “negative” from “stable,” indicating a “slightly greater” than 50 percent chance that the AAA rating will be reduced within two years, the company said in a statement in London late yesterday, citing the weak economic recovery, high debt levels and threats from Europe’s debt crisis. Osborne will meet coalition partners later this week to agree on a budget he will present on March 21.

It was a quiet day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets up 1bp and DeemedRetractibles off 1bp. There were no entries on the Performance Highlights table. Volume returned to average levels.

PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.60%, so the pre-tax interest-equivalent spread (which in this context is the Seniority Spread) is now about 205bp, a slight tightening from the 210bp reported March 7.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2044 % 2,462.1
FixedFloater 4.53 % 3.91 % 41,112 17.43 1 0.0477 % 3,445.3
Floater 2.93 % 2.92 % 50,831 19.94 3 -0.2044 % 2,658.4
OpRet 4.93 % 2.96 % 54,307 1.26 6 -0.2444 % 2,497.4
SplitShare 5.28 % -2.72 % 85,943 0.75 4 0.0897 % 2,679.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2444 % 2,283.6
Perpetual-Premium 5.39 % -1.86 % 105,774 0.13 25 0.0327 % 2,218.8
Perpetual-Discount 5.10 % 5.07 % 176,953 15.29 7 0.1063 % 2,422.8
FixedReset 5.05 % 2.86 % 197,185 2.21 67 0.0097 % 2,386.4
Deemed-Retractible 4.93 % 3.80 % 201,107 2.58 46 -0.0136 % 2,311.3
Performance Highlights
Issue Index Change Notes
No individual gains or losses exceeding 1%!
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.H FixedReset 135,321 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.59 %
TD.PR.G FixedReset 123,244 TD crossed 50,000 at 27.05; then blocks of 21,300 and 13,700 at 27.04; and finally 10,800 at 27.03. Dejsardins bought 17,000 from TD at 27.04.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.04
Bid-YTW : 2.65 %
TD.PR.I FixedReset 93,390 TD crossed one block of 20,900 and two blocks of 13,700 each, all at 27.20; then 25,000 at 27.16. Anonymous bought 10,000 from TD at 27.18.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.19
Bid-YTW : 2.77 %
BAM.PF.A FixedReset 88,947 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-14
Maturity Price : 23.04
Evaluated at bid price : 24.86
Bid-YTW : 4.33 %
GWO.PR.J FixedReset 83,229 TD crossed 80,000 at 26.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 3.27 %
PWF.PR.F Perpetual-Premium 82,760 RBC crossed 80,000 at 25.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-13
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -6.68 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSB.PR.D Deemed-Retractible Quote: 25.52 – 25.94
Spot Rate : 0.4200
Average : 0.2531

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.52
Bid-YTW : 4.21 %

IAG.PR.A Deemed-Retractible Quote: 23.76 – 24.20
Spot Rate : 0.4400
Average : 0.3190

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 5.25 %

PWF.PR.P FixedReset Quote: 25.82 – 26.10
Spot Rate : 0.2800
Average : 0.1715

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-14
Maturity Price : 23.51
Evaluated at bid price : 25.82
Bid-YTW : 3.05 %

IAG.PR.C FixedReset Quote: 26.39 – 26.74
Spot Rate : 0.3500
Average : 0.2453

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.39
Bid-YTW : 2.85 %

CM.PR.M FixedReset Quote: 27.11 – 27.40
Spot Rate : 0.2900
Average : 0.1921

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.11
Bid-YTW : 3.17 %

GWO.PR.F Deemed-Retractible Quote: 25.40 – 25.67
Spot Rate : 0.2700
Average : 0.1738

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-13
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : -4.82 %

March 13, 2012

March 14th, 2012

The FOMC Statement was released:

To support a stronger economic recovery and to help ensure that inflation, over time, is at the rate most consistent with its dual mandate, the Committee expects to maintain a highly accommodative stance for monetary policy. In particular, the Committee decided today to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that economic conditions–including low rates of resource utilization and a subdued outlook for inflation over the medium run–are likely to warrant exceptionally low levels for the federal funds rate at least through late 2014.

Voting against the action was Jeffrey M. Lacker, who does not anticipate that economic conditions are likely to warrant exceptionally low levels of the federal funds rate through late 2014.

Due to the inability of the Toronto Stock Exchange to maintain a simple on-line database in a competent manner, today’s report is based on Yahoo! data, which at times can contain … interesting errors.

It was a mostly-down day for the Canadian preferred share market, with PerpetualPremiums gaining 2bp, FixedResets down 6bp and DeemedRetractibles losing 11bp. The Performance Highlights table is suitably short. Volume was a little below average.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6194 % 2,467.1
FixedFloater 4.53 % 3.91 % 40,841 17.43 1 0.1432 % 3,443.7
Floater 2.93 % 2.92 % 49,898 19.95 3 0.6194 % 2,663.9
OpRet 4.92 % 2.92 % 54,317 1.26 6 0.4103 % 2,503.5
SplitShare 5.28 % -2.71 % 86,445 0.75 4 0.0249 % 2,676.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4103 % 2,289.2
Perpetual-Premium 5.39 % -0.79 % 102,414 0.13 25 0.0187 % 2,218.1
Perpetual-Discount 5.11 % 5.09 % 177,161 15.25 7 0.1554 % 2,420.3
FixedReset 5.05 % 2.86 % 199,519 2.23 67 -0.0613 % 2,386.2
Deemed-Retractible 4.93 % 3.81 % 208,351 2.89 46 -0.1120 % 2,311.6
Performance Highlights
Issue Index Change Notes
GWO.PR.G Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.65 %
BAM.PR.K Floater 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-13
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 2.91 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.A FixedReset 487,690 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-13
Maturity Price : 23.04
Evaluated at bid price : 24.85
Bid-YTW : 4.34 %
SLF.PR.F FixedReset 257,380 Nesbitt crossed two blocks of 100,000 each and one of 50,000, all at 26.40.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 3.37 %
MFC.PR.H FixedReset 135,321 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.59 %
RY.PR.B Deemed-Retractible 103,150 RBC crossed 100,000 at 25.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.68 %
BMO.PR.P FixedReset 96,400 RBC crossed 93,000 at 26.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.91
Bid-YTW : 2.80 %
CM.PR.E Perpetual-Premium 87,015 Desjardins crossed 30,000 at 25.94; RBC crossed 49,900 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-12
Maturity Price : 25.25
Evaluated at bid price : 25.96
Bid-YTW : -19.68 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.M Perpetual-Discount Quote: 23.70 – 24.20
Spot Rate : 0.5000
Average : 0.3362

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-13
Maturity Price : 23.43
Evaluated at bid price : 23.70
Bid-YTW : 5.01 %

IAG.PR.A Deemed-Retractible Quote: 23.90 – 24.20
Spot Rate : 0.3000
Average : 0.1863

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.17 %

GWO.PR.J FixedReset Quote: 26.01 – 26.28
Spot Rate : 0.2700
Average : 0.1701

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.51 %

BNS.PR.R FixedReset Quote: 26.22 – 26.43
Spot Rate : 0.2100
Average : 0.1275

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 2.64 %

HSB.PR.E FixedReset Quote: 27.21 – 27.48
Spot Rate : 0.2700
Average : 0.1947

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-30
Maturity Price : 25.00
Evaluated at bid price : 27.21
Bid-YTW : 2.49 %

BAM.PR.O OpRet Quote: 25.60 – 25.99
Spot Rate : 0.3900
Average : 0.3169

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 2.92 %

BAM.PF.A Soft on Good Volume

March 14th, 2012

Brookfield Asset Management has announced:

the completion of its previously announced Class A Preference Shares, Series 32 issue in the amount of CDN$300,000,000. The offering was underwritten by a syndicate led by RBC Dominion Securities Inc., CIBC World Markets Inc., Scotia Capital Inc. and TD Securities Inc.

Brookfield issued 12,000,000 Series 32 Shares at a price of CDN$25.00 per share, for aggregate gross proceeds of CDN$300,000,000. Holders of the Series 32 Shares will be entitled to receive a cumulative quarterly fixed dividend yielding 4.50% annually for the initial period ending September 30, 2018. Thereafter, the dividend rate will be reset every five years at a rate equal to the 5-year Government of Canada bond yield plus 2.90%. The Series 32 Shares will commence trading on the Toronto Stock Exchange this morning under the ticker symbol BAM.PF.A.

Brookfield intends to use the net proceeds of the issue of Series 32 Shares to redeem its Class A Preference Shares, Series 10 and for general corporate purposes.

Doubtless you are wondering: What’s all this “.PF” guff? I wondered too:

In response to your inquiry – Brookfield Asset Management has issued so many pref share series that they had to use the “PF.A” extension. The Company could have re-used some old extensions for series that are no longer listed but decided to use the new extension to prevent confusion with the old series.

I have a vague recollection that at one time there was an explicit rule at the Toronto Exchange that you couldn’t have a “.PR” extension unless staff had determined to its satisfaction that the issue was, in fact, preferred over common. Now, while I wish to make it clear that there is no doubt whatsoever in my mind that these shares are ‘preferred’, I’m just wondering if the same policy or rule is still in place.

Now, as far as I’m concerned, it’s not really a big deal. When I buy something, I like to know what I’m buying and I don’t rely on the TMX’s “.PR.” extension, or the IOSCO “(sf)” or “(hyb)” suffix on credit ratings to give me an excuse not to look at the prospectus. But … if I am remembering correctly, there was at one time a formal commitment from the Exchange that they wouldn’t just go around slapping a “.PR” extension on just anything. I don’t know if this still applies, or if it now applies to the brand-new “.PF” extension. I can’t find anything relevant in the Company Handbook or TMX Rulebook.

To tell you the truth, I’m rather annoyed by this. I’m tracking 265 preferred shares. I’m sure there are at least 35 more that are too small for me, or otherwise not tracked. So that’s at least 300 preferred share issues trading on the Exchange. Until yesterday, every single one had a “.PR” extension. So they add a new extension – that’s OK, times change, I can deal with that. But does it occur to anybody – the company, the Exchange, anybody at all, to make a note of that and add a brief explanation? Anything at all, just to let the ultimate customers – that’s you and me, buddies – know what’s going on? Hell no, this is Canada. Fuck the customer, we’re in a meeting.

BAM.PF.A is a FixedReset, 4.50%+290, announced March 5. The issue will be tracked by HIMIPref™ and assigned to the FixedReset index. The issue is rated Pfd-2(low) by DBRS.

BAM.PF.A traded 487,690 shares today in a range of 24.90-05 before closing at 24.85-90, 50×4. Vital statistics are:

BAM.PF.A FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-13
Maturity Price : 23.04
Evaluated at bid price : 24.85
Bid-YTW : 4.34 %

March 12, 2012

March 12th, 2012

Are the European dominoes falling?

The good news is Greece won’t default on March 20, and 10-year borrowing costs for Spain and Italy have dropped below 5 percent. The bad news is similar- maturity Portuguese bonds still yield more than 13 percent.

Unlimited European Central Bank loans to banks have halted a bond-market rout that prompted investors to drive German yields to record lows and yield premiums on the securities of its regional peers to euro-era highs. The Italian 10-year yield has dropped more than 150 basis points and the rate on similar- maturity Spanish debt is about 80 basis points lower since the ECB announced Dec. 8 it would offer loans to financial institutions through two longer-term refinancing operations.

It was another quiet day for the Canadian preferred share market, with PerpetualPremiums gaining 6bp, FixedResets exactly flat, and DeemedRetractibles winning 10bp. There was an appropriately small Performance Highlights table generated; volume was a little below average.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.8800 % 2,451.9
FixedFloater 4.53 % 3.92 % 40,938 17.42 1 -0.9924 % 3,438.8
Floater 2.92 % 2.94 % 49,891 19.79 3 0.8800 % 2,647.5
OpRet 4.91 % 3.51 % 53,067 1.24 6 0.2187 % 2,493.3
SplitShare 5.28 % -2.58 % 89,255 0.76 4 -0.0299 % 2,676.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2187 % 2,279.9
Perpetual-Premium 5.39 % 0.65 % 101,298 0.14 25 0.0568 % 2,217.7
Perpetual-Discount 5.10 % 5.09 % 178,569 15.26 7 -0.2645 % 2,416.5
FixedReset 5.04 % 2.83 % 194,348 2.23 66 0.0000 % 2,387.6
Deemed-Retractible 4.93 % 3.81 % 210,067 2.80 46 0.0986 % 2,314.2
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.94 %
MFC.PR.C Deemed-Retractible 1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 5.22 %
FTS.PR.E OpRet 1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-01
Maturity Price : 25.75
Evaluated at bid price : 26.54
Bid-YTW : 2.33 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.G Perpetual-Premium 85,130 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 5.24 %
MFC.PR.D FixedReset 78,734 Nesbitt crossed 70,000 at 26.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 3.63 %
TD.PR.G FixedReset 75,236 TD crossed 70,600 at 27.05.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 2.62 %
RY.PR.Y FixedReset 75,100 Scotia crossed blocks of 49,900 and 20,000, both at 27.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-24
Maturity Price : 25.00
Evaluated at bid price : 27.22
Bid-YTW : 2.80 %
BAM.PR.T FixedReset 61,611 CIBC crossed 12,800 at 25.08.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-12
Maturity Price : 23.19
Evaluated at bid price : 25.11
Bid-YTW : 3.87 %
CM.PR.J Deemed-Retractible 59,746 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-30
Maturity Price : 26.00
Evaluated at bid price : 26.22
Bid-YTW : 1.54 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.G Perpetual-Discount Quote: 22.50 – 22.97
Spot Rate : 0.4700
Average : 0.3111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-12
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 5.35 %

CU.PR.A Perpetual-Premium Quote: 25.67 – 26.05
Spot Rate : 0.3800
Average : 0.2647

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-11
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : -22.88 %

RY.PR.W Perpetual-Premium Quote: 25.53 – 25.74
Spot Rate : 0.2100
Average : 0.1294

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.91 %

BAM.PR.C Floater Quote: 18.00 – 18.40
Spot Rate : 0.4000
Average : 0.3238

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.94 %

NA.PR.P FixedReset Quote: 27.15 – 27.50
Spot Rate : 0.3500
Average : 0.2797

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-15
Maturity Price : 25.00
Evaluated at bid price : 27.15
Bid-YTW : 2.29 %

ELF.PR.F Perpetual-Discount Quote: 24.40 – 24.74
Spot Rate : 0.3400
Average : 0.2741

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-12
Maturity Price : 24.10
Evaluated at bid price : 24.40
Bid-YTW : 5.51 %