Archive for April, 2010

DGS.PR.A Gets Bigger

Friday, April 30th, 2010

Dividend Growth Split Corp. has announced:

that it has completed its treasury offering of 1,115,000 class A shares and 1,115,000 preferred shares for aggregate gross proceeds of $22,021,250. Shares will continue to trade on the Toronto Stock Exchange under the existing symbols DGS (class A shares) and DGS.PR.A (preferred shares).

Dividend Growth Split Corp. invests in a portfolio of common shares of high quality, large capitalization companies, which have among the highest dividend growth rates of those companies included in the S&P/TSX Composite Index.

The preferred shares were offered at a price of $10.00 per share. The investment objectives for the preferred shares are to provide their holders with fixed cumulative preferential quarterly cash distributions in the amount of $0.13125 per preferred share to yield 5.25% per annum on the original issue price, and to return the original issue price at the time of redemption on November 30, 2014.

The class A shares were offered at a price of $9.75 per share. The investment objectives for the class A shares are to provide their holders with regular monthly cash distributions targeted to be $0.10 per class A share, and to provide the opportunity for growth in net asset value per class A share.

The offering was placed through a group of agents co-led by RBC Capital Markets and CIBC World Markets Inc., and included National Bank Financial Inc., TD Securities Inc., BMO Nesbitt Burns Inc., Scotia Capital Inc., HSBC Securities (Canada) Inc., Mackie Research Capital Corporation, Raymond James Ltd., Canaccord Financial Ltd., Dundee Securities Corporation, Desjardins Securities Inc., Macquarie Capital Markets Canada Ltd. and Wellington West Capital Markets Inc.

DGS.PR.A was last mentioned on PrefBlog when the offering was announced. It is not tracked by HIMIPref™ as it is too small an issue to trade efficiently (slightly over 2-million shares outstanding on 2009-12-31, according to the 2009 Annual Report) … but the addition of 1.1-million-odd shares brings it closer!

BSC.PR.A Proposes Term Extension

Thursday, April 29th, 2010

BNS Split Corp. II has announced:

that its Board of Directors has approved a proposal to reorganize the Company. The reorganization will permit holders of Capital Shares to extend their investment in the Company beyond the scheduled redemption date of September 22, 2010 for an additional five years. The Preferred Shares will be redeemed on the same terms originally contemplated in their share provisions. Holders of Capital Shares who do not wish to extend their investment and all holders of Preferred Shares will have their shares redeemed on September 22, 2010.

The reorganization will involve (i) the extension of the originally scheduled redemption date, (ii) a special retraction right to enable holders of Capital Shares to retract their shares as originally contemplated should they not wish to extend their investment and (iii) the issuance of a new class of preferred shares in order to provide continuing leverage for the Capital Shares.

A special meeting of holders of the Capital Shares will be held on July 5, 2010 to consider and vote upon the proposed reorganization. Details of the proposed reorganization will be outlined in an information circular to be prepared and delivered to holders of Capital Shares of record on May 20, 2010 in connection with the special meeting and will be available on www.sedar.com. Implementation of the proposed reorganization will also be subject to applicable regulatory approval including the Toronto Stock Exchange.

BSC.PR.A was last mentioned on PrefBlog when the company announced it was considering extending term. BSC.PR.A is not tracked by HIMIPref™ …. but if they extend term and maybe up the size just a little, its successor might be.

April 29, 2010

Thursday, April 29th, 2010

Interesting mutual fund idea:

BlackRock Inc., the world’s largest asset manager, and Blackstone Group LP’s GSO Capital Partners LP are forming mutual funds to invest in loans as the London interbank offered rate rises to the highest level since August.

Within the past two months, the firms have joined Goldman Sachs Group Inc. in announcing funds that invest in leveraged loans pegged to short-term interest rates. Investors poured more than $2.5 billion into bank loan mutual-funds in March and the first three weeks of April, more than triple the amount for March and April last year, according to Lipper FMI data.

The S&P/LSTA U.S. Leveraged Loan 100 Index has returned 5.68 percent this year, building on last year’s record 52 percent as lending continues to open up. New money “will provide financing, which will help” merger and acquisition deals get done, according to Invesco Ltd.’s Tom Ewald.

This year, $91.6 billion in leveraged loans have been underwritten, more than four times the figure from the same period in 2009, according to data compiled by Bloomberg. The interest charge on leveraged loans is typically tied to Libor.

However, the only term-criteria for inclusion in the index is:

Minimum initial term of one year

… which suggests that – as always – people are so fixated on interest-rate risk that credit risk is forgotten. It brings up a number of issues … we’ve seen (oh boy, have we ever seen) how the redemption on demand nature of mutual funds doesn’t mix too well with borrowers’ desire for long-term funding at short term rates (see Volcker to Regulate Money Market Funds as Banks? and The US Dollar Shortage & Policy Response).

This dichotomy will not play out in precisely the same manner as the USD MMF crisis, of course, since the loans have a contractual term that didn’t begin as money-market …. but a similar crunch could lead to forced selling that that will put the Credit Crunch to shame.

There are rumours that regulatory extortion works as well as ever:

After 11 hours of accusations by members of the Senate Subcommittee on Permanent Investigations, people close to the bank said Goldman is mulling closing the SEC fraud-case chapter on the belief the firm’s reputation, already damaged, might not endure a street fight with the Wall Street watchdog.

“It’s almost a certainty that there will be a settlement,” said a source.

As another person put it, the SEC has an “unlimited supply of ammunition” in the form of e-mails and records that it could release, and Goldman officials would like to avoid having those documents fired back at them the way they were on Tuesday.

Predictably, the boo-hoo-hoo brigade is in full cry. For example, there are reports that Basis Yield Alpha Fund is claiming that it did not independently analyze its investment and simply bought whatever their salesman offered:

Citing several people familiar with the matter, The FT said Basis Yield Alpha Fund was seeking compensation over its $100 million investment in Timberwolf, a so-called hybrid collateralized debt obligation that Goldman took to market in March 2007, Reuters reported.

As far as I can tell, Basis Yield Alpha Fund was run by Basis Capital. It is worthwhile to note the company’s Executive Team page; the proprietors, Steven Howell and Stuart Fowler tout their experience but not their results.

There is pressure to use German banks as a political tool:

German lawmakers considering a bill to aid Greece challenged Chancellor Angela Merkel to involve banks in the rescue, refusing to back down after her government said that would send a “fatal signal” to markets.

The main opposition Social Democratic Party threatened to withhold support for aid next week when the bill is fast-tracked through parliament unless banks are asked to contribute. Members of Merkel’s Christian Democrats said the government should ask banks to voluntarily accept losses on their investments.

After having been hammered by dumb investments in CDOs, the banks should be grateful to the politicians for pointing out better investments, eh?

So-called “Strategic Mortgage Defaults” in the States are increasing:

Decisions by U.S. homeowners to walk away from mortgages they can afford account for an increasing share of defaults, according to Morgan Stanley.

About 12 percent of all mortgage defaults in February were “strategic,” up from 4 percent in mid-2007, New York-based Morgan Stanley analysts led by Vishwanath Tirupattur wrote in a report today. Borrowers are more likely to stop paying their mortgages the higher their credit scores and the larger their loans, the analysts said.

Defaults by borrowers who owe more than their homes’ values are among the biggest risks for the housing market, according to analysts including Zelman & Associates’ Ivy Zelman and Amherst Securities Group LP’s Laurie Goodman. Last month, the Obama administration said it would adjust its anti-foreclosure program to encourage reductions to borrowers’ principal amounts, instead of just the payments they make, to address the issue.

The importance of asset-ratio relative to income-ratio in mortgage default analysis was discussed in the post Redefault on Modified Mortgages

You knew this was coming, didn’t you? The US Senate financial regulation bill says that pension fund managers are too dumb to act as principal or, to put it another way, only the sell-side has the ability to analyze financial instruments:

Fannie Mae, Freddie Mac and Harvard University are among public and private entities that could be shut out of the $605 trillion privately negotiated derivatives market they use to manage risks under legislation being debated in the U.S. Senate, according to an industry group.

The bill would impose a fiduciary duty on swaps dealers doing business with cities, states, government agencies, pension plans and endowments, applying standards that would require banks such as JPMorgan Chase & Co. and Goldman Sachs Group Inc. to put the interest of those entities ahead of their own.

But I guess it all makes sense, eh? The politicians have to do something to show they are Responding To The Credit Crunch and since the buy side was (approximately, more or less, give or take) unscathed by the horror, the sell side (which nearly destroyed itself) must take on responsibility for advising it.

A mixed day on continued heavy volume for the Canadian preferred share market, as PerpetualDiscounts were able to record a gain of 9bp, while FixedResets continued their descent, losing 17bp to bring the median average yield-to-worst up to 4.56%. That’s a point more than their yield on March 31. A full point!

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 2.53 % 2.56 % 50,886 21.06 1 0.2247 % 2,191.2
FixedFloater 4.94 % 3.01 % 45,316 20.36 1 -0.4525 % 3,237.9
Floater 1.92 % 1.67 % 46,102 23.43 4 0.2685 % 2,409.7
OpRet 4.91 % 3.79 % 103,181 1.05 10 -0.1871 % 2,301.8
SplitShare 6.38 % 6.44 % 137,077 3.57 2 0.7542 % 2,137.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1871 % 2,104.8
Perpetual-Premium 5.91 % 4.77 % 26,181 15.86 2 0.1641 % 1,823.1
Perpetual-Discount 6.28 % 6.35 % 218,797 13.40 76 0.0944 % 1,699.2
FixedReset 5.57 % 4.56 % 512,068 3.60 44 -0.1721 % 2,127.4
Performance Highlights
Issue Index Change Notes
IAG.PR.C FixedReset -3.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 5.66 %
ELF.PR.G Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-29
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 7.13 %
BNS.PR.P FixedReset -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.73 %
BAM.PR.J OpRet -1.17 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.31 %
BNA.PR.D SplitShare 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-07-09
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 6.44 %
POW.PR.B Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-29
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.L FixedReset 111,305 Nesbitt crossed 50,000 at 26.05; RBC crossed blocks of 34,600 and 15,400 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.28 %
TD.PR.N OpRet 105,800 RBC crossed blocks of 50,400 shares, 27,500 and 25,000, all at 25.78.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-05-30
Maturity Price : 25.75
Evaluated at bid price : 25.77
Bid-YTW : 3.43 %
TD.PR.O Perpetual-Discount 102,357 TD crossed blocks of 50,000 and 25,000, both at 20.15.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-29
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.03 %
RY.PR.P FixedReset 96,325 Nesbitt crossed 75,000 at 26.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.46 %
TD.PR.R Perpetual-Discount 73,425 TD crossed 70,000 at 23.05.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-29
Maturity Price : 22.85
Evaluated at bid price : 23.00
Bid-YTW : 6.12 %
NA.PR.P FixedReset 72,798 TD bought 12,500 from anonymous at 26.55, followed by blocks of 11,000 and 12,000 at 26.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-17
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 5.12 %
There were 62 other index-included issues trading in excess of 10,000 shares.

Bank Capital Surcharge Proposals Gaining Ground

Thursday, April 29th, 2010

Bank capital surcharges have long been advocated by PrefBlog; with the idea, for instance, that Risk-Weighted Assets in excess of – say – $250-billion should attract a progressively higher surcharge. There are other proposals around, naturally, many of them dependent upon a regulatory evaluation of linkages between banks on the grounds that RWA is not an ideal proxy for systemic importance.

One way or another, the idea seems to be achieving at least some degree of consensus. Professor Axel A Weber, President of the Deutsche Bundesbank, delivered a speech at the International Capital Markets and Emerging Markets Roundtable, Institute of International Finance (IIF), Washington DC, 25 April 2010:

Other major elements of reform centre on the problem of systemically important financial institutions. Here, the reform of the Basel framework is part of the solution, too, as it will help to improve the capacity of such institutions to absorb losses. However, what is required is a more comprehensive approach which specifically ensures that accountability is brought back into the game. Necessary proposals that go beyond the reformed capital and liquidity framework include capital surcharges for systemically important institutions, better resolution regimes and a strengthening of the financial infrastructure. Commissioned by the G20, the FSB is already working towards that goal. Nevertheless, some thorny issues are still waiting to be resolved, such as the calibration of measures to assess systemic relevance.

This builds on a paper by Hervé Hannoun Deputy General Manager, Bank for International Settlements, TOWARDS A GLOBAL FINANCIAL STABILITY FRAMEWORK:

Asian central banks have taken the lead in implementing various macroprudential tools before and following the experience of the 1997 crisis, as can be seen in Table 6. Their knowledge of these tools is particularly rich compared with that of other regions, and their experience provides interesting lessons for other countries.

For example, Asian countries are using countercyclical provisioning, loan-to-value ratios and direct controls on lending to specific sectors to manage procyclicality in their financial systems. They are also addressing aggregate risk in the financial system through capital surcharges and liquidity requirements.

These comments are somewhat more approving than those quoted in the post BIS Schedule for Regulatory Reform

OSFI's Dickson Highlights Insurance Holding Company Regulation

Thursday, April 29th, 2010

In a speech delivered to the Canadian Reinsurance Conference, Julie Dickson, head of the Office of the Superintendent of Financial Institutions, remarked on insurance holding company regulation:

Another example of how life insurance and life reinsurance regulation is changing is evidenced by recent announcements by the Australian Prudential Regulatory Authority (APRA). APRA has made it clear that non-operating holding companies of life insurers should be subject to a similar regime to that which applies to life insurers themselves, and to banks and Property and Casualty (P&C) insurers. This means that the holding company is subject to some of the same regulatory requirements as the underlying risk-taking institution or institutions.

This is a significant change, as this approach is not the norm in many countries.

We think OSFI’s risk based capital rules are ahead of many existing systems in Europe but Solvency 2 is staking out new ground and we are watching it, as well as what other regulators are doing, like Australia.

… which is somewhat less emphatic than her statement on the issue last November.

She also mentioned accounting standards:

Finally, major accounting changes are also in the works. The International Financial Reporting Standards (IFRS) Phase II is not yet finalized but there is already considerable discussion of the potential impacts. One theme I see developing internationally seems to argue that if we can’t all agree on accounting changes, then there should be two sets of books – one that pleases the accounting standard setters and one that pleases everyone else (regulators and companies, assuming they can agree).

Historically there have been instances of having two sets of books – a statutory set and a GAAP set. This is a backwards step in OSFI’s view. A key aspect of the Canadian system is that all financial institutions report based on GAAP, and OSFI uses those same reports. Without such a system, how does management know what they are managing to? Why should regulators use different statements than shareholders and policyholders, when our interests ultimately converge? Will there be less transparency rather than more if two sets of statements are produced and used?

The debate over which set of books get used is something of a red herring – I don’t care which set is used for the media to report headline number, as long as there are adequate disclosures in the notes. All the good stuff’s in the notes anyway – to the occasional chagrin of pseudo-quants who pick all their numbers off Compustat!

There are also hints of a new regulatory regime for reinsurance:

The aim of the proposed regulatory changes is to better align the risk charges in capital between the P&C sector and the Life sector. Currently, the Life sector has a minimum capital charge based on gross requirements to account for the fact that a company could cede all its business and end up with no capital to cover its operational risk, whereas the P&C sector has a charge for counterparty credit risk. As transactions taking place between ceding and assuming companies are similar in nature (although the risks are different) OSFI is proposing to have similar risk charges for the two industries.

As a result, the P&C sector can expect to bear a minimum capital charge on the MCT, whereas the Life sector can expect to see the introduction of counterparty risk charge in the MCCSR. The scope and scale of the charges will be discussed with industry over the course of the year.

There are also changes coming with reinsurance credits:

As a result of the global financial crisis, one of the key lessons learned for regulators was that the amount and quality of collateral are very important to reflect the risk in financial transactions. As OSFI is an integrated regulator, this is our perspective and we will apply the same thought process to insurance.

From OSFI’s point of view, we can understand how lifting collateral requirements would be a benefit to certain global reinsurers, but we believe that regulators and supervisors would need to be assured that the security offered by a strong financial institution at the time of signing of the treaty would still be there to meet the obligations of the policyholders many years in the future. Consequently, we are still of the strong opinion that collateral must be posted by non-registered reinsurers to secure the benefits of the Canadian ceding company and its Canadian policyholders.

It should be noted that, to the extent that insurers do not meet OSFI’s minimum expectations on sound reinsurance practices and procedures, capital credit for reinsurance arrangements may not be granted.

And at the same time, reinsurance of longevity risk got a boost:

We understand that insurers have assumed both mortality risk and longevity risk to meet the needs of their clients, however, until recently reinsurers have chosen not to reinsure longevity risk in a material way.

We understand that reinsurers have argued that there is not enough tangible evidence of the predictability of longevity risk to mirror the experience which the reinsurers have had with mortality risk. Up to now, that has been the prevailing view of reinsurers, especially in North America. However, as a regulator, we are watching with interest the developments in Europe with respect to the reinsurance of longevity risk. In its simplest form, we can see how longevity risk serves as a natural, if imperfect, hedge to mortality risk.

We can see that there is clearly a need for longevity reinsurance, especially when that longevity risk is sourced from private pension plans.

That’s good news for JPMorgan – they’ve been flogging LifeMetrics for years.

She mentioned adverse selection as an element in the pricing of annuities:

OSFI is weighing the merits of these potential longevity transactions, but this growth opportunity for reinsurers comes with significant risk management challenges:
  • Annuities are particularly prone to the risk of mis-pricing and uncertainty regarding adverse selection (that is, annuitants living longer than their life expectancy).
  • Asset/liability mismatch is difficult considering the long term nature of this business, and these risks.

Adverse selection as it relates to annuities was discussed in the April 2010 PrefLetter, on sale now at a selected high-end website near you!

April 28, 2010

Wednesday, April 28th, 2010

Spain’s been downgraded:

Spain had its credit rating cut one step by Standard & Poor’s to AA, putting it on a par with Slovenia, as contagion from Greece’s debt crisis spreads through the euro region.

S&P said in a statement today that the outlook on Spain is negative, reflecting the chance of a possible further downgrade if the “budgetary position underperforms to a greater extent than we currently anticipate.” Spain was last cut by S&P in January 2009.

The risk premium investors demand to hold Spanish bonds surged to the highest in more than a year today and the price of insuring Spanish bonds against default reached a record as doubts about Greece’s ability to pay its debt spilled over into Spanish and Portuguese markets.

… and S&P is making recovery-on-default estimates for Greece:

The ratings firm yesterday cut Greece three steps to BB+, or below investment grade, and said bondholders may recover only 30 percent to 50 percent of their investments if the nation fails to make debt payments. Europe’s most-indebted country relative to the size of its economy has about 296 billion euros of bonds outstanding, according to data compiled by Bloomberg.

OSFI’s Assia Billig gave a presentation on the Canada Pension Plan. Real returns on the fund’s portfolio are estimated to be 4.2% +/- 1.5% with 95% confidence. It won’t be holding a lot of government bonds!

Senator Levin is doing some more grandstanding:

Levin, who questioned Goldman Sachs executives during a hearing in Washington yesterday, said the regulatory reform bill being weighed in the Senate will address conflicts where companies have undisclosed interest in betting against clients.

Today’s FOMC statement was encouraging for fixed-income investors:

Although the pace of economic recovery is likely to be moderate for a time, the Committee anticipates a gradual return to higher levels of resource utilization in a context of price stability.

With substantial resource slack continuing to restrain cost pressures and longer-term inflation expectations stable, inflation is likely to be subdued for some time.

The Committee will maintain the target range for the federal funds rate at 0 to 1/4 percent and continues to anticipate that economic conditions, including low rates of resource utilization, subdued inflation trends, and stable inflation expectations, are likely to warrant exceptionally low levels of the federal funds rate for an extended period.

Another day of poor performance on high volume for the Canadian preferred share market, as PerpetualDiscounts lost 16bp while FixedResets were down 12bp.

PerpetualDiscounts now yield 6.35%, equivalent to 8.89% interest at the standard equivalency factor of 1.4x. Long corporates (which are up 0.70% on the month-to-date and +5.76% year-to-date) now yield about 5.7% (edging towards 5.6%!) so the pre-tax interest-equivalent spread is now about 320bp, a significant widening from the 305bp reported April 22, above the recent high of +310bp reported April 7 and a big move wider than the +285bp reported on March 31.

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 2.53 % 2.57 % 52,850 21.05 1 0.0309 % 2,186.3
FixedFloater 4.92 % 2.99 % 45,873 20.39 1 -0.4504 % 3,252.7
Floater 1.92 % 1.67 % 47,982 23.43 4 -0.0488 % 2,403.2
OpRet 4.90 % 3.87 % 137,138 1.20 10 0.0507 % 2,306.1
SplitShare 6.43 % 6.75 % 138,950 3.57 2 -0.4857 % 2,121.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0507 % 2,108.7
Perpetual-Premium 5.92 % 4.77 % 27,264 15.86 2 -0.0615 % 1,820.2
Perpetual-Discount 6.28 % 6.35 % 215,937 13.41 76 -0.1609 % 1,697.6
FixedReset 5.55 % 4.49 % 517,506 3.61 44 -0.1169 % 2,131.1
Performance Highlights
Issue Index Change Notes
GWO.PR.M Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-28
Maturity Price : 23.01
Evaluated at bid price : 23.15
Bid-YTW : 6.38 %
CM.PR.D Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-28
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 6.35 %
POW.PR.D Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.56 %
BMO.PR.N FixedReset -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-27
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 4.60 %
IAG.PR.F Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-28
Maturity Price : 23.13
Evaluated at bid price : 23.28
Bid-YTW : 6.46 %
GWO.PR.I Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-28
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 6.47 %
CM.PR.G Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-28
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 6.36 %
ELF.PR.G Perpetual-Discount 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-28
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.E FixedReset 144,405 RBC crossed blocks of 50,000 and 82,000, both at 27.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 4.68 %
PWF.PR.J OpRet 125,828 RBC crossed blocks of 91,500 and 30,000, both at 25.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-05-30
Maturity Price : 25.25
Evaluated at bid price : 25.47
Bid-YTW : 3.83 %
BNS.PR.O Perpetual-Discount 125,080 Nesbitt crossed blocks of 70,000 and 40,000, both at 23.10.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-28
Maturity Price : 22.89
Evaluated at bid price : 23.05
Bid-YTW : 6.11 %
BNS.PR.M Perpetual-Discount 78,874 Nesbitt crossed 60,000 at 18.58.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-28
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 6.11 %
TD.PR.N OpRet 78,430 RBC crossed blocks of 50,000 and 25,000, both at 25.78.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-05-30
Maturity Price : 25.75
Evaluated at bid price : 25.77
Bid-YTW : 3.32 %
RY.PR.X FixedReset 54,830 TD bought 10,000 from Scotia at 26.56 and crossed 25,000 at 26.62.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-23
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 4.62 %
There were 51 other index-included issues trading in excess of 10,000 shares.

BSD.PR.A Extraordinary Motion Passes

Wednesday, April 28th, 2010

Brascan SoundVest Rising Distribution Split Trust has announced (April 20, Material Change Report, via SEDAR):

On April 20, 2010, at an extraordinary meeting of unitholders of the Fund (the “Meeting”), the unitholders of the Fund approved resolutions with respect to a proposal (the “Proposal”) to amend the existing investment strategy and to change the fund manager for the Fund. The amendments and change of Manager included in the Proposal are expected to be completed on or about April 30, 2010.

At the Meeting on April 20, 2010, unitholders of Brascan SoundVest Rising Distribution Split Trust approved the Proposal by approximately 95%. Pursuant to the Proposal, the manager of the Fund will change to Brookfield Soundvest Capital Management Ltd. on or about April 30, 2010 (the “Effective Date”). Also on the Effective Date, the investment mandate of the Fund will be expanded to allow investment in a broader set of primarily high yielding equity securities. The investment objectives will remain the same: with respect to the preferred securities, (i) to provide securityholders with fixed quarterly interest payments in the amount of $0.15 per preferred security ($0.60 per annum to yield 6% per annum on the original subscription price of $10.00); and (ii) to repay the original subscription price at maturity on March 31, 2015; and with respect to the capital units, (i) to provide unitholders with regular distributions and (ii) to maximize long term total return with the Fund’s portfolio. Further amendments to be made to the declaration of trust of the Fund on the Effective Date include eliminating the fixed termination date of the Fund, and permitting the manager, in its sole discretion to wind-up the Fund should its net asset value fall below $15 million, subject to compliance with the trust indenture between the Fund and CIBC Mellon Trust Company dated March 16, 2005 governing the 6% Preferred Securities.

According to the press release, Kevin Charlebois (who has overseen the vapourization of client money in the fund) is the new president of the new manager.

BSD.PR.A was last mentioned on PrefBlog when the extraordinary resolution paperwork was mailed. BSD.PR.A is tracked by HIMIPref™, but is relegated to the Scraps index on credit concerns.

Sympatico Spam Filters Out of Control

Wednesday, April 28th, 2010

Assiduous Reader PB informs me:

Totally irrelevant, but your reply got caught in the spam filter that the Microsoft mail servers curse Bell Sympatico users with. It has become wildly over-aggressive of late, and there is no way to turn the !@#$% thing off. I have to visit their webmail site periodically and retrieve missing messages before they get flushed.

That was a normal reply to his eMail, sent without attachments.

Sympatico users are urged to contact the company and complain; this has highly annoying repercussions on the distribution of PrefLetter.

Additionally, subscribers should add the two eMail addresses used for distribution, jiHymas@himivest.com and jiHymas@prefLetter.com to their Sympatico on-line list of “Trusted Senders”.

Update: Assiduous Reader NS comments:

I think you can turn the sympatico email filter off for a particular email address / domain. It’s just not easy for non-tech types.

1. They’ve got to login to webmail.
2. Select “Options”, then “More options”
3. Select “safe and blocked senders”
4. Select “safe senders”
5. Add the email address you use to send out the letters to the safe senders list.

They may also have a separate spam filter on their local machine (i.e. via the email reader / antivirus) that also has to be trained properly.

The anti-spam stuff is frustrating for legit businesses. 🙁

Yes, it is frustrating for legit businesses – especially since the spam problem is so easy to fix: Sending an eMail should cost a penny. Receiving an eMail should earn a penny. ISPs should neither pay nor collect amounts of less than $10/month.

Normal users will never notice this, since they will rarely send 1,000 more eMails than they receive. Malware can be guarded against by setting an account limit: requre specific authorization once X emails have been sent. X is set separately by the client (so they don’t have to pay a huge amount by surprise) and by the ISP (as part of their credit policy). The counters get reset to zero monthly. eMails sent in excess of either limit get bounced back with a message.

Is Very Nice ISP transmitting 10-million eMails from Nigerian Spam ISP Inc.? They’ll bill NSISP $100,000 and pay it when the eMails are forwarded along the Internet backbone. NSISP didn’t pay? Well, golly, VNISP has gone bankrupt, and good riddance.

There were thoughts of something along these lines at one point, but the boohoohoo brigade insisted that everything about the Internet should be free. HIPPIES RUINED THE INTERNET!

Update: Assiduous Reader PB comes back with:

Thanks for the tip. It turns out that marking mail as “not junk” in the webmail spam folder automatically populates the safe sender list and when I checked, your email address was already in the safe list.

Update, 2010-4-29: Most readers will be sheltered behind ISP, corporate, or home-made spam filters and may have no real idea of just how much spam there is. I have several domains, and all of them forward all eMail to my single eMail account. There’s no filtering, because I have a horror of filtering out a genuine communication from a genuine prospect (note to geeks: yes, I could probably do this better. But I don’t.). In the last week, I have deleted 3,169 spam eMails.

April 27, 2010

Tuesday, April 27th, 2010

Nomura is finding out that rainmakers are mobile:

Nomura has been hitting turbulence. At least 12 senior former Lehman managers, including Nomura’s deputy investment banking chief, have defected since the firm began paying out guaranteed bonuses last month, casting doubt on Watanabe’s efforts to bridge cultural gaps. Japan’s largest brokerage is struggling to match a rebound in profit at Morgan Stanley, Goldman Sachs Group Inc. and Citigroup Inc.

“Investment banking is ferociously competitive,” said Giorgio Questa, a finance professor at London’s Cass Business School. “I strongly doubt Nomura can develop a strong international investment banking business” because it will struggle to integrate Lehman’s culture, he said.

In shocking news, it appears that Goldman personnel discussed which asset management firms might have wanted to sell what other clients wanted to buy:

Newly disclosed Goldman Sachs Group Inc. internal e-mails cast light on how the investment bank devised collateralized debt obligations called Abacus, including one at the center of a U.S. Securities and Exchange Commission fraud lawsuit.

The e-mails show employees discussed which outside firms would be “easiest” to work with while creating Abacus CDOs to bet against the housing market.

The e-mails were released yesterday by Senator Carl Levin, the Michigan Democrat who leads the Senate’s Permanent Subcommittee on Investigations, as the panel prepares to question Goldman Sachs executives today. In one message, a Goldman Sachs worker asked which outside firm would most likely approve assets that hedge fund Paulson & Co. wanted to include in a CDO and bet against.

“The way I look at it, the easiest manager to work with should be used for our own axes,” the author wrote in December 2006, using industry jargon that can refer the firm’s financial interest in a deal. The writer also expressed concern that two firms being considered weren’t likely to sign off on Paulson’s suggested assets. “They will never agree to the type of names [P]aulson want to use[.]”

Even more horrifically, Senator Levin has learned that Goldman was acting as principal:

In another December 2006 e-mail, Tourre discussed other business opportunities for Abacus, outlining a strategy in which Goldman Sachs would “‘rent’ our Abacus platform to counterparties” that wanted to short the market. The messages show “Goldman repeatedly put its own interest and profit ahead of the interests of its clients,” Levin said.

Can you imagine? Putting a trade in front of an asset manager, just as if they were adults? The mind boggles!

In the actual hearing, Senator Levin stated that in the future, institutional clients will not be allowed to take views on the market that are contrary to those of their broker’s research department:

“Goldman Sachs didn’t just make money, it profited by taking advantage of its clients’ reasonable expectation that it would not sell products that it did not want to succeed and that there was no conflict of economic interest between the firm and its customers,” Levin said today in his opening remarks. “Its conduct brings into question the whole conduct of Wall Street.”

The political rhetoric is getting a little wearisome. Senator Levin is, I am quite confident, a knowledgable and intelligent man with a knowledgable and intelligent staff and access to knowledgable and intelligent Treasury / Fed / private analysts. So I can only find solace in the idea that it’s just political breast-beating with the aim of passing his favoured legislation and extorting a little fuck-off money from Goldman to highlight in his next re-election brochures.

There’s nothing on the the company website, no press releases I can find and nothing on SEDAR … but Canadian Banc Recovery Corp. had a footer ad on the front page of the Globe & Mail Report on Business today touting their “Attractive Distribution” … and the PrefBlog Forecasting Department thinks this means that a treasury offering will be forthcoming soon for BK and BK.PR.A.

Another rough day for the Canadian preferred share market, with PerpetualDiscounts down 21bp while FixedResets lost 27bp. Volume continued heavy.

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 2.53 % 2.57 % 53,293 21.00 1 1.3182 % 2,185.6
FixedFloater 4.90 % 2.97 % 46,093 20.42 1 0.4525 % 3,267.4
Floater 1.92 % 1.67 % 47,355 23.44 4 -0.2069 % 2,404.4
OpRet 4.90 % 3.79 % 100,035 0.50 10 0.1484 % 2,304.9
SplitShare 6.40 % 6.53 % 137,778 3.57 2 0.0000 % 2,131.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1484 % 2,107.7
Perpetual-Premium 5.92 % 4.77 % 28,392 15.86 2 -0.1024 % 1,821.3
Perpetual-Discount 6.27 % 6.31 % 215,424 13.45 76 -0.2137 % 1,700.4
FixedReset 5.54 % 4.49 % 516,713 3.61 44 -0.2694 % 2,133.6
Performance Highlights
Issue Index Change Notes
GWO.PR.H Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-27
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.53 %
PWF.PR.H Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-27
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 6.55 %
BMO.PR.P FixedReset -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-03-27
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.49 %
RY.PR.X FixedReset -1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-23
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 4.64 %
BMO.PR.K Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-27
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 6.15 %
TD.PR.I FixedReset -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 4.67 %
BAM.PR.J OpRet -1.01 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.24 %
BAM.PR.O OpRet 1.01 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.79 %
HSB.PR.C Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-27
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 6.39 %
CM.PR.K FixedReset 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.50 %
BAM.PR.E Ratchet 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-27
Maturity Price : 22.53
Evaluated at bid price : 22.29
Bid-YTW : 2.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.L FixedReset 122,657 RBC bought blocks of 15,000 and 20,000 from Scotia, both at 26.62, then crossed 50,000 at 26.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 4.69 %
CM.PR.A OpRet 114,200 Nesbitt crossed 110,000 at 25.55.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-05-27
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : -7.15 %
RY.PR.H Perpetual-Discount 96,275 Nesbitt crossed 60,000 at 23.35; National crossed 20,000 at 23.32.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-27
Maturity Price : 23.08
Evaluated at bid price : 23.25
Bid-YTW : 6.08 %
BNS.PR.T FixedReset 88,650 National crossed 49,600 at 26.89.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.85
Bid-YTW : 4.33 %
MFC.PR.D FixedReset 87,149 National crossed 30,000 at 26.85; RBC crossed 35,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 4.96 %
SLF.PR.B Perpetual-Discount 67,680 RBC crossed 48,800 at 18.75.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-27
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 6.50 %
There were 57 other index-included issues trading in excess of 10,000 shares.

April 26, 2010

Monday, April 26th, 2010

IIROC has announced that downtown Toronto will be safe and accessible under any conceivable conditions:

IIROC recently decided to cancel the industry business continuity planning test that was scheduled for June 26, 2010 due to complications associated with the G20 meeting which is now scheduled in Toronto for June 26-27, 2010. IIROC considered rescheduling the test for the latter part of 2010 but that again proved to be impractical considering the length of time utilities require for participation in such tests.

As a result we have rescheduled the industry test to September 10, 2011. Subsequent business continuity planning tests will be conducted on a bi-annual basis thereafter.

We can only hope that when Al-Quaeda decides to nuke Toronto, they give the utilities proper notice. It is of interest to learn that firms must, by regulatory decree, prepare for fire, famine, earthquakes, terrorism, tornados and plagues of frogs; but that G-20 meetings are considered Acts of God. Our glorious Finance Minister will be pleased!

Senator Carl Levin is shocked at Goldman Sachs’ attitude:

“Investment banks such as Goldman Sachs were not simply market-makers, they were self-interested promoters of risky and complicated financial schemes that helped trigger the crisis,” Levin, 75, said in a statement released with the e-mails.

Self-interest? Promotion? In the co-operative game that is the financial world? Oh, the horror!

At least Fabulous Fab writes entertaining eMails:

The so-called ABX index is “the type of thing which you invent telling yourself: ‘Well, what if we created a ‘thing,’ which has no purpose, which is absolutely conceptual and highly theoretical and which nobody knows how to price?’” [Goldman Sachs executive director Fabrice] Tourre said in a Jan. 29, 2007, e-mail released yesterday by Goldman Sachs. Watching the index fall is “a little like Frankenstein turning against his own inventor.”

The shortcomings – well, they’re more like odd nuances, actually – of the ABX index have been discussed on PrefBlog throughout the Credit Crunch.

DBRS has commented on the Bank of Ireland capital raise:

Today’s comment follows Bank of Ireland’s announcement of a fully underwritten proposal to raise EUR 3.421 billion equity tier 1 capital. This proposal includes a EUR 0.5 billion institutional placing of ordinary shares, a partial conversion of the Irish Government’s preference shares of EUR 1.036 billion to ordinary shares, and a rights issue of up to EUR 1.885 billion. The latter rights issue may be reduced by the equity generation and profits from the also just announced debt for equity exchange offer.

Importantly, the completion of the proposed actions will allow Bank of Ireland to fulfil its obligation to raise an additional EUR 2.7 billion of equity capital to meet the requirement established as part of the completion of the Financial Regulator’s Prudential Capital Assessment Review for the Irish banking sector. As a result of these actions and the expected National Asset Management Agency (NAMA) transfers, the Group’s equity tier 1 capital ratio, on a pro-forma basis, at 31 December 2009, will increase to 8.0% and the Group will be able to maintain a minimum equity tier 1 ratio of greater than 7% going forward. Moreover, the announcement includes the full cancellation of the Government’s warrants in the Group in return for a cash payment of EUR 491 million, reducing the potential for the Government to increase its holdings in the Group. As a result, the Irish Government’s maximum ownership will be 36% that compares to a current fully diluted ownership of 34%, prior to completion of this transaction.

The Irish bank capital requirements have been previously discussed.

PerpetualDiscounts were hit hard today, losing 26bp on heavy volume while FixedResets lost a mere 4bp,

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 2.56 % 2.63 % 52,706 20.93 1 1.8519 % 2,157.2
FixedFloater 4.92 % 2.99 % 45,504 20.40 1 -0.4504 % 3,252.7
Floater 1.92 % 1.67 % 49,284 23.43 4 0.0122 % 2,409.4
OpRet 4.91 % 3.86 % 136,725 1.21 10 -0.0078 % 2,301.5
SplitShare 6.40 % 6.53 % 139,614 3.58 2 -0.2642 % 2,131.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0078 % 2,104.5
Perpetual-Premium 5.91 % 4.77 % 29,566 15.86 2 0.0410 % 1,823.1
Perpetual-Discount 6.26 % 6.32 % 215,287 13.47 76 -0.2620 % 1,704.0
FixedReset 5.53 % 4.39 % 522,550 3.61 44 -0.0371 % 2,139.4
Performance Highlights
Issue Index Change Notes
BNS.PR.R FixedReset -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.49 %
GWO.PR.G Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-26
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.50 %
HSB.PR.C Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-26
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.46 %
PWF.PR.E Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-26
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 6.51 %
SLF.PR.B Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-26
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 6.47 %
BAM.PR.E Ratchet 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-26
Maturity Price : 22.49
Evaluated at bid price : 22.00
Bid-YTW : 2.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.X FixedReset 286,007 Desjardins crossed blocks of 249,900 and 25,000, both at 26.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 4.29 %
BMO.PR.J Perpetual-Discount 103,663 Desjardins crossed 50,000 at 19.11.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-26
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 6.01 %
BMO.PR.L Perpetual-Discount 69,393 Desjardins crossed 50,000 at 24.05.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-26
Maturity Price : 23.80
Evaluated at bid price : 24.00
Bid-YTW : 6.15 %
GWO.PR.L Perpetual-Discount 54,612 TD crossed 32,700 at 22.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-26
Maturity Price : 22.07
Evaluated at bid price : 22.16
Bid-YTW : 6.45 %
CM.PR.L FixedReset 51,655 TD crossed 20,000 at 26.95.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 4.46 %
TRP.PR.A FixedReset 51,505 RBC crossed 20,000 at 25.19.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.47 %
There were 64 other index-included issues trading in excess of 10,000 shares.