Archive for September, 2010

September 30, 2010

Thursday, September 30th, 2010

Fabulous Fab, the bond salesman scapegoated for personally causing the Panic of 2007, and useful misdirection from the SEC’s incompetence, has claimed the SEC has no jurisdiction anyway:

The Securities and Exchange Commission can’t sue Fabrice Tourre over a Goldman Sachs Group Inc. deal involving collateralized debt obligations because the transaction wasn’t in the U.S., his lawyers told a judge.

The U.S. Supreme Court ruled in June that U.S. securities laws don’t apply to claims of foreign buyers of non-U.S. securities on foreign exchanges, lawyers for the Goldman executive director said in a court filing yesterday. The collateralized debt obligations known as Abacus at issue in the SEC’s complaint weren’t listed on any exchange and the sole investor in the notes was a foreign bank that purchased them overseas, according to the filing.

Another junk fund is starting:

Brompton Advantaged Tactical Yield Fund is an investment fund established under the laws of the Province of Ontario and governed by the Declaration of Trust. See “Overview of the Legal Structure of the Fund”.

Rationale The Fund has been created to provide investors with the opportunity to gain exposure to a diversified Portfolio focused on North American High-Yield Bond and Dividend Paying Equity securities, which offer attractive yields along with upside participation in the ongoing economic recovery. The Portfolio Manager expects that the Portfolio will initially be invested as to approximately 70% in High-Yield Bonds, 20% in Dividend Paying Equity securities, and 10% in Investment Grade Bonds.

This comes after the launch of the nonsensical iShares(R) DEX HYBrid Bond Index Fund, which has nothing to do with hybrid bonds, as the term is understood by the entire world except for the TMX and Blackrock’s marketting team. They just needed a word with HY in it (for High Yield, since “junk” is considered pejoritive) and didn’t want to use “HYacinth” … or “HYundai” … or … um … er … “HYmas” (licencing fees on that one would have been astronomical).

And, of course, all the junk coming out of new preferred issues. This is going to end badly.

Mixed results in the Canadian preferred share market on continued heavy volume, as PerpetualDiscounts were almost precisely flat on the day while FixedResets continued their recent slide by losing 16bp.

PerpetualDiscounts now yield 5.53%, equivalent to 7.74% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 5.15%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 260bp, a meaningless apparent tightening from the 265bp reported September 29.

Long corporates have been on a tear this month:


Click for big

And that’s a wrap for another month and another quarter!

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 1.1681 % 2,144.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1681 % 3,248.0
Floater 2.84 % 3.26 % 77,956 19.07 3 1.1681 % 2,315.0
OpRet 4.89 % 3.21 % 76,290 0.17 9 -0.0258 % 2,371.7
SplitShare 5.96 % -26.36 % 67,588 0.09 2 0.0000 % 2,360.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0258 % 2,168.7
Perpetual-Premium 5.69 % 5.23 % 141,706 5.32 14 -0.1756 % 1,994.6
Perpetual-Discount 5.52 % 5.53 % 206,213 14.53 63 -0.0007 % 1,978.8
FixedReset 5.26 % 3.18 % 323,260 3.27 47 -0.1578 % 2,260.5
Performance Highlights
Issue Index Change Notes
BMO.PR.L Perpetual-Premium -1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.37 %
GWO.PR.I Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-30
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 5.64 %
CM.PR.I Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-30
Maturity Price : 21.39
Evaluated at bid price : 21.68
Bid-YTW : 5.41 %
HSB.PR.D Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-30
Maturity Price : 23.04
Evaluated at bid price : 23.25
Bid-YTW : 5.40 %
PWF.PR.F Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-30
Maturity Price : 23.28
Evaluated at bid price : 23.55
Bid-YTW : 5.66 %
TRI.PR.B Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-30
Maturity Price : 23.11
Evaluated at bid price : 23.37
Bid-YTW : 2.21 %
TD.PR.O Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-30
Maturity Price : 23.64
Evaluated at bid price : 23.89
Bid-YTW : 5.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.C Perpetual-Discount 79,200 RBC crossed 55,100 at 19.37.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-30
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.87 %
RY.PR.X FixedReset 73,636 RBC crossed 49,000 at 28.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-23
Maturity Price : 25.00
Evaluated at bid price : 27.98
Bid-YTW : 3.24 %
MFC.PR.B Perpetual-Discount 68,448 RBC crossed 55,000 at 20.02.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-30
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 5.90 %
RY.PR.Y FixedReset 64,900 RBC crossed 50,000 at 28.07.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-24
Maturity Price : 25.00
Evaluated at bid price : 28.03
Bid-YTW : 3.20 %
CL.PR.B Perpetual-Premium 60,044 Nesbitt crossed 12,300 at 25.51; TD crossed 20,700 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-10-30
Maturity Price : 25.25
Evaluated at bid price : 25.46
Bid-YTW : -3.87 %
RY.PR.I FixedReset 53,945 RBC crossed 50,000 at 26.70.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.15 %
There were 57 other index-included issues trading in excess of 10,000 shares.

September 29, 2010

Wednesday, September 29th, 2010

Germany will make its final Great War reparations payment on the weekend:

West Germany, formed after defeat in 1945, took on responsibility for most of the outstanding principle and interest, settling the bill in 1983.

But there was a clause in the so-called London Debt Agreement of 1953 that interest on multi-million pound foreign loans taken out in the Weimar Republic era, to pay off the reparations bill, should themselves be repaid if Germany were ever reunited.

Payments on this interest began again in 1996.

‘On Sunday the last bill is due and the First World War finally, financially at least, terminates for Germany,’ said Bild, the country’s biggest selling newspaper.

Most of the money goes to private individuals, pension funds and corporations holding debenture bonds as agreed under the Treaty of Versailles.

The German government did not reveal how the money will be disbursed but it is understood that it is transferred to a holding account before being sent to the relevant bond and debt holders.
Most of these are American and French.

The Ontario prostitution ruling is on-line. The judge’s opinion of the experts (paras 352-358) is hiliarious.

The Canadian preferred share market slid again today, with PerpetualDiscounts losing 10bp and FixedResets down 11bp. After the redemption of CM.PR.R and CM.PR.A was announced, I wondered what would happen to TD.PR.M and TD.PR.N. Well … they’re both on the unpleasant side of the performance highlights table, but nothing too terrible has happened … yet.

PerpetualDiscounts now yield 5.54%, equivalent to 7.76% interest at the standard equivalency factor of 1.4x. Long corporates now yield about 5.1% (!) so the pre-tax interest-equivalent spread (also called the Seniority Spread) now stands at about 265bp, a sharp increase from the 245bp reported September 22, as long corporate yields have plummetted about 20bp while PerpetualDiscount yields are unchanged.

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 -0.3275 % 2,119.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3275 % 3,210.5
Floater 2.87 % 3.29 % 78,023 19.00 3 -0.3275 % 2,288.3
OpRet 4.89 % 3.29 % 76,058 0.17 9 -0.1672 % 2,372.3
SplitShare 5.96 % -27.35 % 64,383 0.09 2 -0.3688 % 2,360.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1672 % 2,169.3
Perpetual-Premium 5.68 % 5.08 % 140,758 5.33 14 -0.2869 % 1,998.1
Perpetual-Discount 5.52 % 5.54 % 205,447 14.53 63 -0.1031 % 1,978.8
FixedReset 5.26 % 3.16 % 324,180 3.27 47 -0.1061 % 2,264.1
Performance Highlights
Issue Index Change Notes
HSB.PR.C Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-29
Maturity Price : 23.26
Evaluated at bid price : 23.50
Bid-YTW : 5.45 %
TD.PR.N OpRet -1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-05-30
Maturity Price : 25.50
Evaluated at bid price : 25.86
Bid-YTW : 3.50 %
NA.PR.K Perpetual-Premium -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.97 %
BAM.PR.R FixedReset -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-30
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.25 %
TD.PR.M OpRet -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-10-29
Maturity Price : 25.75
Evaluated at bid price : 26.15
Bid-YTW : -5.09 %
BMO.PR.P FixedReset -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-03-27
Maturity Price : 25.00
Evaluated at bid price : 27.51
Bid-YTW : 3.08 %
BMO.PR.L Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 5.08 %
GWO.PR.J FixedReset 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 27.14
Bid-YTW : 3.29 %
BAM.PR.O OpRet 1.49 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 2.72 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.A OpRet 413,500 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.29 %
BNS.PR.P FixedReset 353,300 Nesbitt crossed blocks of 250,000 and 100,000, both at 26.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.71
Bid-YTW : 2.59 %
BNS.PR.R FixedReset 63,880 Nesbitt bought four blocks from anonymous: 10,000 at 26.85, two blocks of 11,000 each, both at 26.89, and 11,000 at 26.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.03 %
TD.PR.P Perpetual-Discount 60,528 Nesbitt crossed 50,000 at 24.75.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-29
Maturity Price : 24.43
Evaluated at bid price : 24.66
Bid-YTW : 5.40 %
HSB.PR.E FixedReset 52,185 RBC crossed 24,200 at 28.15.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 28.03
Bid-YTW : 3.26 %
IGM.PR.B Perpetual-Discount 47,000 Desjardins crossed 38,400 at 25.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 5.83 %
There were 59 other index-included issues trading in excess of 10,000 shares.

September 28, 2010

Tuesday, September 28th, 2010

John Hempton of Bronte Capital is keeping the Universal Travel Group pot boiling:

The only communication I have had from Universal Travel Group was a kind email from the acting Chief Financial Officer saying that I needed to provide proof that I was a shareholder to participate in the conference call that they are having on Wednesday, September 29, 2010, to discuss and answer any questions investors may have regarding the Company’s business and financial statements.

I have some questions and I forwarded them in advance to the company as requested.

The purpose of this post is to put the questions on the record in the hope that they are answered and not to entertain my regular readers.

The Fed’s Shared National Credit Review was positive:

Reasons for improvement included improved borrower operating performance, debt restructurings and bankruptcy resolutions, and improved borrower access to bond and equity markets. Industries contributing to improvement in credit quality included automotive, materials and commodities, and finance and insurance. The volume of poorly underwritten credits originated in 2006 and 2007 continued to adversely affect the overall credit quality of the portfolio. Refinancing risk within the portfolio is significant, with nearly 67 percent of criticized assets maturing between 2012 and 2014

I see that the prostitution laws have been struck down, which is a very good thing (unless, of course, you believe that morality can be legistlated). In an amazingly intelligent remark, the judge said:

Judge Himel also said that pimps who threaten or commit violence against prostitutes can still be prosecuted using other sections of the Criminal Code.

When defenders of the faith law wring their hands about human trafficking (it used to be called white slavery), they never explain why such actions don’t fall under the heading of extortion.

However, Judge Himel gave the Crown a 30-day window in which to make arguments against legalizing bawdy houses on account of a concern that “unlicenced brothels may be operated in a way that may not be in the public interest.”

You want to see a bawdy house? Go peek at any of the downtown hotels.

“Any time you are alone with a john, it is dangerous,” federal Crown Michael Morris told Judge Himel. “There is no safe haven when you are involved in prostitution. There is overwhelming evidence that johns can become violent at any moment.”

However, Mr. Young countered that prohibiting communication renders prostitutes unable to “screen” potential clients, hire security or move behind the relative safety of closed doors.

I supposed that somewhere in Canada there is someone who thought Morris’ argument was the killer line, and whose faith in justice would have been shaken if the lawyers had not dutifully plodded through it and its obvious refutation … but it horrifies me to learn I’m paying for the Crown to spout such nonsense, and for the court reporter to write it down, and for courtroom rental while the argument is made, and for the judge to listen to it and note it in her ruling… That’s what’s wrong with the justice system: its being smothered in trivia. Used to be that a murder trial took two days – now it might take two years and I’m not convinced the justice dispensed is commensuraly more just.

The Canadian preferred share market slid again today, with PerpetualDiscounts losing 17bp and FixedResets down 31bp – the median wieghted average yield to worst on the latter index is back up to 3.09%.

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 0.1275 % 2,126.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1275 % 3,221.0
Floater 2.87 % 3.30 % 77,354 18.99 3 0.1275 % 2,295.8
OpRet 4.88 % -2.32 % 75,765 0.17 9 -0.0771 % 2,376.3
SplitShare 5.94 % -31.40 % 63,847 0.09 2 -0.4284 % 2,369.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0771 % 2,172.9
Perpetual-Premium 5.65 % 5.03 % 141,885 5.33 14 0.0389 % 2,003.8
Perpetual-Discount 5.51 % 5.55 % 205,648 14.54 63 -0.1667 % 1,980.9
FixedReset 5.25 % 3.09 % 324,943 3.28 47 -0.3142 % 2,266.5
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 25.55
Evaluated at bid price : 25.60
Bid-YTW : 3.79 %
BAM.PR.J OpRet -1.94 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 26.28
Bid-YTW : 4.61 %
RY.PR.F Perpetual-Discount -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 5.27 %
GWO.PR.I Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.61 %
GWO.PR.J FixedReset -1.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.81
Bid-YTW : 3.69 %
BNS.PR.L Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 21.41
Evaluated at bid price : 21.71
Bid-YTW : 5.25 %
BNS.PR.M Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 21.40
Evaluated at bid price : 21.71
Bid-YTW : 5.25 %
BNS.PR.K Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 22.60
Evaluated at bid price : 22.80
Bid-YTW : 5.35 %
SLF.PR.E Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.66 %
ELF.PR.G Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 5.93 %
CM.PR.H Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 21.89
Evaluated at bid price : 22.26
Bid-YTW : 5.37 %
BMO.PR.M FixedReset -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-24
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 2.88 %
SLF.PR.G FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 23.43
Evaluated at bid price : 25.85
Bid-YTW : 3.38 %
W.PR.J Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.68 %
BAM.PR.I OpRet 1.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-10-28
Maturity Price : 25.50
Evaluated at bid price : 26.25
Bid-YTW : -28.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.E FixedReset 61,151 Desjardins bought 25,000 from anonymous at 28.12, then crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 28.06
Bid-YTW : 3.22 %
BMO.PR.J Perpetual-Discount 58,691 RBC crossed 25,000 at 22.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 21.54
Evaluated at bid price : 21.88
Bid-YTW : 5.18 %
TD.PR.K FixedReset 48,350 RBC crossed 15,000 at 28.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 28.16
Bid-YTW : 3.10 %
BNS.PR.M Perpetual-Discount 47,030 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 21.40
Evaluated at bid price : 21.71
Bid-YTW : 5.25 %
CM.PR.H Perpetual-Discount 31,198 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 21.89
Evaluated at bid price : 22.26
Bid-YTW : 5.37 %
BNS.PR.K Perpetual-Discount 29,195 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-28
Maturity Price : 22.60
Evaluated at bid price : 22.80
Bid-YTW : 5.35 %
There were 60 other index-included issues trading in excess of 10,000 shares.

CM.PR.R & CM.PR.A To Be Redeemed

Tuesday, September 28th, 2010

The Canadian Imperial Bank of Commerce has announced:

its intention to redeem all of its issued and outstanding Non-cumulative Class A Preferred Shares, Series 19 and all of its issued and outstanding Non-cumulative Class A Preferred Shares Series 23, for cash. The redemptions will occur on October 31, 2010. The redemption price is $25.45 per Series 19 share and $25.00 per Series 23 share.

The final quarterly dividend of $0.309375 per Series 19 share and $0.331250 dividend per Series 23 share for the period from August 1, 2010 to October 31, 2010 will be paid in the usual manner on October 28, 2010 to holders of record on September 28, 2010.

Beneficial holders who are not directly the registered holder of these shares should contact the financial institution, broker or other intermediary through which they hold their shares to confirm how they will receive their redemption proceeds. Formal notices and instructions for the redemption of Series 19 shares and Series 23 shares will be forwarded to registered shareholders.

Series 19 is CM.PR.R, which was listed 1998-03-26 and closed at 26.05-24 on September 27, is an OperatingRetractible with the option schedule:

Retraction 2013-04-30 INFINITE DATE 26.040000
Redemption 2008-04-30 2009-04-29 25.750000
Redemption 2009-04-30 2010-04-29 25.600000
Redemption 2010-04-30 2011-04-29 25.450000
Redemption 2011-04-30 2012-04-29 25.300000
Redemption 2012-04-30 2013-04-29 25.150000
Redemption 2013-04-30 2999-12-29 25.000000

The YTW Scenario as of last night’s close was for an immediate call at 25.45 to yield -27.01% … and that’s what happened. Investors were presumably counting on it to last until its softMaturity 2013-4-29 to yield 3.29%. This issue was relegated to the Scraps index on volume concerns.

Series 23 is CM.PR.A, which was listed 2001-02-06 and closed at 25.10-29 on September 27, is an OperatingRetractible with the option schedule:

Redemption 2007-10-31 2008-10-30 25.750000
Redemption 2008-10-31 2009-10-30 25.500000
Redemption 2009-10-31 2010-10-30 25.250000
Redemption 2010-10-31 INFINITE DATE 25.000000
Retraction 2011-07-31 INFINITE DATE 26.040000

The YTW scenario as of the close last night was for a call 2010-11-30 at 25.25 to yield 0.20% … pretty close! Investors were presumably counting on it to last until its softMaturity 2011-7-30 to yield 4.25%.

DBRS comments that it:

has reviewed the announcement by Canadian Imperial Bank of Commerce (CIBC or the Bank) to redeem all of the outstanding Non-Cumulative Class A Preferred Shares, Series 19 and Series 23. The redemption has no rating implications for CIBC at this time.

DBRS believes this transaction will reduce the Bank’s Tier 1 capital ratio by approximately 50 basis points (bps), which still leaves the ratio at the top end of its Canadian peer group range. At the end of Q3 2010, CIBC’s Tier 1 capital ratio was 14.2%. No impact is expected on the tangible common equity to risk-weighted assets ratio, which was 9.0% at the end of Q3 2010, as DBRS already excludes preferred shares from this calculation.

Given changes in Basel capital requirements and international accounting standards, the redemption of these two series of preferred shares is not unexpected.

After these redemptions, there will be only eight members left in the OperatingRetractible index. It will be interesting to see what happens to TD.PR.M and TD.PR.N tomorrow!

PrefLetter Site Access Restored

Tuesday, September 28th, 2010

The PrefLetter website was inaccessible for a day, but all has now been restored. There was nothing wrong with the site itself, but there was a DNS problem that meant that only the IP address was recognized – not the domain name.

September 27, 2010

Monday, September 27th, 2010

Nothing has happened since Friday.

Oh, well, I might as well mention Universal Travel Group, a story brought to my attention by the Divestor. It was savaged by John Hempton of Bronte Capital in a September 15 post … Mr. Hempton makes some very interesting points, which should be trivially easy to refute by a clean company:

It is pretty clear from this analysis that the main reason for owning the stock of Universal Travel Group is dubious. The online booking engine is dysfunctional – and the massive margins that it claims (84 percent for plane tickets) are thus also dubious.

All the profits that the company claimed it made out of the travel booking business (by far the bulk of its claimed profits) are similarly dubious – though there is a real travel company which might be making some profits.

The company claims in its most recent quarterly balance sheet to be carrying 43 million in cash and accounts receivable of almost 20 million. If the airline and hotel business are dubious then the profits generated that cash are dubious. In that case the cash itself is dubious.

I know people will buy this as Ben Graham net-net stock if it collapses. Unless this company can get a big four audit firm to sign-off for them I think you can – at least for the moment question the entire balance sheet.

What makes it interesting is the weakness of the response. On the day the blog post appeared, they issued a press release:

Universal Travel Group (NYSE: UTA) (“Universal Travel Group” or the “Company”), a leading travel services provider in China, today responded to allegations that appeared in the online blog by Bronte Capital. Universal Travel categorically denies all the allegations contained in the blog. The Company is consulting with its legal counsel as to the legal options available to it and will be aggressively pursuing all legal remedies against Bronte Capital and John Hempton for the damages caused to the Company and its shareholders.

“Categorically denies all the allegations”, eh? Very nice. Where’s the detail? Maybe there will be something in the conference call:

Universal Travel Group (NYSE: UTA) (“Universal Travel Group” or the “Company”), a leading travel services provider in China, today announced that it will hold a conference call at 9:00 a.m. ET on Wednesday, September 29, 2010, to discuss and answer any questions investors may have regarding the Company’s business and financial statements.

To participate in the call, please dial (877) 779-7834 five minutes prior to the 9:00 a.m. start time and reference conference ID number 12534724. International callers should dial +1 (706) 902-2087.

A replay of the call will be available for 14 days beginning Wednesday, September 29, 2010, at 10:00 a.m. Eastern Time. To listen to the replay, dial (800) 642-1687 and enter the conference ID number 12534724. International callers should dial +1 (706) 645-9291. An audio recording will also be available on the Company’s website at http://us.cnutg.com .

The Company’s headquarters and main base of operations is in Shenzhen in the Pearl River Delta region of China. More recently, Universal Travel Group has expanded its business into Western China, opening a second home base in the Chongqing Delta region, and other attractive, under-penetrated tier-two travel markets throughout the country.

C”mon, now! Shenzhen is not exactly the end of the earth any more. It’s basically next door to Hong Kong. And they couldn’t even get one western business reporter to walk around their headquarters and meet some of their “more than 200 professional staff”? Even Enron managed a better Potemkin village than that!

What gets me, though, is the complete lack of analysis I’ve been able to find. It has been over a week since the post appeared – and the stock took a big hit – but representative analysis is:

Universal Travel (NYSE: UTA): This is the latest casualty of a short attack based on rumor in innuendo this week. The free fall was precipitated by a professional short seller- John Hempton of Bronte Capital wrote a scathing “expose” wherein he demonstrated the company’s web sites didn’t provide him with Western style online travel services. He concluded the company is nothing but a phone in travel service, and claimed their numbers must be fraudulent based on their labor overhead vs their revenues. Conveniently, Hempton is located in Australia, and therefore enjoys a level of insulation from both civil law suit and SEC investigation.

There’s a few more examples of companies falling victim to either their own self induced foibles or fabricated attacks from those standing to gain. It’s the perfect storm for the short sellers to have their way with the public- the market environment is one in which investors will sell first to preserve capital, and find out the truth later. This group of short sellers is extremely well organized and knows how to work the media to their benefit.

Not a single point is addressed other than the condescending (and puzzling, considering their bias) sneer that we can’t judge Chinese web design by western standards. Just an ad hominem attack on short-sellers and vagueness.

I take no view on this stock. Before I took a view I would get my guy in Hong Kong to go across the border for an afternoon and knock on their door, among many other things. But the weakness of the management response is … interesting.

Wonder of wonders, the Canadian preferred share market actually fell today, with PerpetualDiscounts down 18bp and FixedResets losing 27bp – taking the median weighted-average yield of the latter back up to 3.00%. Volume continued to be 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 0.00 % 0.00 % 0 0.00 0 -0.0546 % 2,123.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0546 % 3,216.9
Floater 2.87 % 3.28 % 77,922 19.03 3 -0.0546 % 2,292.9
OpRet 4.88 % 0.20 % 76,105 0.17 9 0.1158 % 2,378.1
SplitShare 5.92 % -32.35 % 62,609 0.09 2 -0.2645 % 2,379.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1158 % 2,174.6
Perpetual-Premium 5.66 % 5.03 % 141,991 5.33 14 -0.0278 % 2,003.1
Perpetual-Discount 5.50 % 5.51 % 203,842 14.59 63 -0.1757 % 1,984.2
FixedReset 5.23 % 3.00 % 326,029 3.28 47 -0.2676 % 2,273.7
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-27
Maturity Price : 25.45
Evaluated at bid price : 25.50
Bid-YTW : 3.61 %
TRP.PR.B FixedReset -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-27
Maturity Price : 25.11
Evaluated at bid price : 25.16
Bid-YTW : 3.48 %
POW.PR.C Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-27
Maturity Price : 24.36
Evaluated at bid price : 24.65
Bid-YTW : 5.89 %
CM.PR.K FixedReset -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 2.98 %
SLF.PR.C Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.60 %
BAM.PR.J OpRet 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : 4.28 %
GWO.PR.H Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-27
Maturity Price : 21.72
Evaluated at bid price : 22.05
Bid-YTW : 5.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Q FixedReset 76,625 Scotia crossed 30,000 at 26.70; TD crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-11-24
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.99 %
TD.PR.G FixedReset 51,698 TD crossed 20,000 at 28.21.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 28.15
Bid-YTW : 2.93 %
RY.PR.I FixedReset 49,999 RBC crossed 40,000 at 26.70.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.08 %
SLF.PR.C Perpetual-Discount 45,657 Nesbitt crossed 32,000 at 20.21.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.60 %
RY.PR.R FixedReset 45,040 RBC crossed 25,000 at 27.85; Desjardins crossed 11,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 27.79
Bid-YTW : 3.07 %
RY.PR.A Perpetual-Discount 34,540 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-27
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 5.13 %
There were 53 other index-included issues trading in excess of 10,000 shares.

FIG.PR.A To Merge into FCS

Monday, September 27th, 2010

Faircourt Asset Management has announced:

The adjourned special meeting of unitholders of Faircourt Income & Growth Split Trust (“FIG”) which was originally held on September 13, 2010 but was adjourned for lack of quorum, was held today at which the unitholders of FIG approved the merger (the “Merger”) of FIG into and Faircourt Split Trust (“FCS”), as the continuing fund, as described in the joint management information circular dated August 13, 2010 (the “Circular”). The Merger is expected to occur on or about September 30, 2010.

The Merger is, in part, a response to expected changes in the taxation of income funds. As a result of these changes, there are now an insufficient number of “income funds” for FIG to continue to meet its investment restrictions. Concurrent with the Merger, the investment mandate of FCS, as the continuing trust, will be expanded to remedy this situation and FCS will be able to invest in a broader range of securities and adjust its portfolio in the future as and when required to respond to market movements, as described in the Circular.

The prior stage in this process was the approval by FIG.PR.A holders; today’s approval was by holders of FIG.UN.

FIG.PR.A is tracked by HIMIPref™ but is relegated to the Scraps index on credit concerns.

New Issue: FFH FixedReset 5.00%+285

Monday, September 27th, 2010

Fairfax Financial Holdings Limited has announced:

that it will issue in Canada 8 million Preferred Shares, Series I at a price of $25.00 per share, for aggregate gross proceeds of $200 million, on a bought deal basis to a syndicate of Canadian underwriters.

Holders of the Preferred Shares, Series I will be entitled to receive a cumulative quarterly fixed dividend yielding 5.0% annually for the initial five year period ending December 31, 2015. Thereafter, the dividend rate will be reset every five years at a rate equal to the then current 5-year Government of Canada bond yield plus 2.85%.

Holders of Preferred Shares, Series I will have the right, at their option, to convert their shares into Preferred Shares, Series J, subject to certain conditions, on December 31, 2015, and on December 31 every five years thereafter. Holders of the Preferred Shares, Series J will be entitled to receive cumulative quarterly floating dividends at a rate equal to the then current three-month Government of Canada Treasury Bill yield plus 2.85%.

Fairfax has granted the underwriters an option, exercisable in whole or in part at any time up to 9:00 am on the date that is two business days prior to the closing date, to purchase an additional 2 million Preferred Shares, Series I at the same offering price for additional gross proceeds of $50 million.

Fairfax intends to use the net proceeds of the offering to augment its cash position, to increase short term investments and marketable securities held at the holding company level, to retire outstanding debt and other corporate obligations from time to time, and for general corporate purposes. The offering is expected to close on or about October 5, 2010.

Fairfax intends to file a prospectus supplement to its short form base shelf prospectus dated September 25, 2009, in respect of this offering with the applicable Canadian securities regulatory authorities. Details of this offering will be set out in the prospectus supplement, which will be available on the SEDAR website for the Company at www.sedar.com.

It is my understanding that the deal has been biggie-sized to $250-million, with a $50-million greenshoe. The junk just keeps coming!

Update: Fairfax has announced:

that as a result of strong investor demand for its previously announced offering of Preferred Shares, Series I, the size of the offering has been increased to 10 million shares. The aggregate gross proceeds will now be $250 million. The offering will be underwritten on a bought deal basis to a syndicate of Canadian underwriters.

Fairfax has granted the underwriters an option, exercisable in whole or in part at any time up to 9:00 am on the date that is two business days prior to the closing date, to purchase an additional 2 million Preferred Shares, Series I at the same offering price for additional gross proceeds of $50 million.

Server & eMail Problems

Monday, September 27th, 2010

The power supply on my offsite server failed at 2am last night, resulting in my various websites being down for about eight hours.

Things are now back to normal, but all eMail directed to me during the period was bounced. If you sent me anything between, say, 2am and 10am on Monday September 27, please resend it!

September 24, 2010

Friday, September 24th, 2010

I speculated in the post Alpha Trading Systems to Offer Dark Pegged Orders:

I do not profess to be an expert on ATS marketting practices, but this appears to be an attempt by Alpha Group to forestall the creation of internal dark pools by its members (or pool the cost of such systems; Alpha is owned by the major dealers) by offering a sub-pennying mechanism in a manner that is smoothly integrated with extant trading systems.

The Alpha / TMX competition has now attracted some press notice and I am pleased to see that CIBC agrees:

We believe that, as described, the facility will operate more as a third party internalization engine rather than a proper dark pool, and do not have any concerns around this. We believe that the internalization activity enabled by this facility is common practice today, and that Alpha is simply commoditizing technology to offer dealers an alternative to building and operating their own costly internalization systems.

The TMX opposes sub-pennying:

To reiterate our position as outlined in TMX Group’s submission in response to CSA Consultation Paper 23-404, we believe that any dark trading, including internalizing features and practices, whether through a marketplace such as Alpha’s proposed facility, or through a dealer’s own systems, must provide meaningful price improvement over the displayed national best bid or offer (NBBO). It is critical that regulation encourages and supports the continued integrity and value of the visible market and price formation process by providing an incentive for the public display of liquidity. This requires internalized and non-displayed trading to provide meaningful price improvement over the displayed NBBO. Sub-penny price improvement is not adequate improvement to justify the yielding of priority of a previously posted visible quote. A minimum full cent price improvement is meaningful and should be required and enforced by regulators.

Other comments have been published.

Global hysteria over derivatives may engulf European property funds:

Europe’s commercial real estate owners, saddled with 1.9 trillion euros ($2.5 trillion) of debt, may be forced to make billions of euros in cash payments under planned laws that would treat them like hedge funds.

Property fund managers could face demands for cash collateral to cover bets on interest-rate movements, under European Commission proposals to regulate the derivatives industry. Interest-rate swaps were attached to about 130 billion pounds ($204 billion) of U.K. real estate debt at the end of 2009, according to a De Montfort University study. Most would be subject to such a payment.

Real-estate buyers use swaps to secure a fixed interest rate when taking out a floating-rate loan to buy a building. That helps ensure that the property’s rental income will be enough to service the loan, even if rates rise unexpectedly. Under the EU plan, a demand for payment, or margin call, could result if rates go the opposite way than the swap anticipates. Businesses unable to pay could be declared to be in default.

If the proposed regulations had been in place, U.K. borrowers would have needed to put up collateral of about 10 billion pounds to cover swaps that moved the wrong way, William Newsom, head of valuation at Savills Plc, estimated in June.

Now, all by itself, this isn’t a big deal. What will hapen is that the investment companies will take out a credit line at the same time as entering the swap; any demands for collateralization of the swap will be met by drawing down the credit facility. But it’s just another piece of regulatory garbage – lots of extra paperwork for zero net benefit.

There’s an amusing complication in the US adoption of Basel 3:

A 24-line section of the 848-page Dodd-Frank Act is delaying U.S. implementation of international rules for how much capital banks need to hold against securitized assets.

The financial-overhaul legislation, signed by President Barack Obama in July, requires regulators to remove all references to credit ratings of securities from their rules. Revised standards on how much capital banks need to hold against such assets in their trading books, approved by the Basel Committee on Banking Supervision in 2009, rely on such ratings.

Current Basel trading-book rules treat all top-rated bonds the same, allowing banks to hold as little capital against AAA rated mortgage-backed securities as they do against Treasuries. The trading book is a subset of the balance sheet where banks park assets they intend to trade in markets, as opposed to the banking book where assets are meant to be held until maturity or at least for a longer period.

The new rules require higher capital charges for securitized bonds than for corporate or sovereign debt, bringing the trading-book standards in line with the banking book. Ratings scales of outside firms are used to calculate how much capital is required for different securities. The change will increase banks’ capital charges by as much as 4 percentage points, according to a Basel study.

It’s kind of nuts to use credit ratings with no qualifications. It was CDOs that sank the investment banks; say, f’rinstance, you have 10 “normal” securitizations. Each one has a senior tranche of $80-million rated AAA, and junior tranche of $15-million rated BBB, and an equity tranche of $5-million, unrated. You put together a CDO comprised of all the junior tranches, $150-million, and divide that up into a senior tranche of $115-million, rated AAA, a junior tranche of $15-million, rated BBB, and an equity tranche, unrated.

Now, the senior tranche may well be legitimately AAA, in that it has a 0.1% chance of defaulting. But if economic conditions change, you’ve got exposure to the fastest defaulting mortgages in a $1-billion pool (of the original mortgages). The rating is much more volatile, and loss given default is much more severe. See Hull & White on AAA Tranches of Subprime for more discussion.

The moral of the story is: You cannot describe any security, particularly not highly structured securities, with a single number. Credit risk is a vector quantity, not a scalar, no matter how much easier assuming the latter makes life for banks and their regulators

Even credit unions are being consumed by the commercial real estate vortex:

Credit unions in the U.S. may absorb as much as $9.2 billion in losses over the next decade as the industry strives to recover from sour investments in real estate and consumer loans, U.S. regulators said today.

Part of the plan to resolve the credit unions’ financial problems includes the National Credit Union Administration packaging $50 billion in distressed securities for sale as $35 billion in bonds carrying government guarantees, the agency said today. The debt will be backed primarily by bonds tied to home loans, with the first sale scheduled for next month.

The NCUA already sold more liquid securities from two credit unions that failed last year: U.S. Central Federal Credit Union in Lenexa, Kansas and Western Corporate Federal Credit Union in San Dimas, California. The administration said today that it assumed control of Members United Corporate Federal Credit Union of Warrenville, Illinois; Southwest Corporate Federal Credit Union of Plano, Texas; and Constitution Corporate Federal Credit Union of Wallingford, Connecticut.

There was continued heavy volume in the Canadian preferred share market today as the two major classes took divergent paths: PerpetualDiscounts gained 9bp while FixedResets were down 8bp.

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 0.3471 % 2,124.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3471 % 3,218.7
Floater 2.87 % 3.28 % 78,722 19.03 3 0.3471 % 2,294.1
OpRet 4.88 % -0.89 % 78,587 0.18 9 -0.0765 % 2,375.4
SplitShare 5.90 % -37.74 % 65,161 0.09 2 0.3676 % 2,386.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0765 % 2,172.1
Perpetual-Premium 5.66 % 5.02 % 140,513 5.34 14 -0.0556 % 2,003.6
Perpetual-Discount 5.49 % 5.51 % 203,896 14.59 63 0.0901 % 1,987.7
FixedReset 5.22 % 2.93 % 301,805 3.29 47 -0.0785 % 2,279.8
Performance Highlights
Issue Index Change Notes
MFC.PR.E FixedReset -1.87 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-19
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.23 %
CM.PR.D Perpetual-Premium -1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-05-30
Maturity Price : 25.25
Evaluated at bid price : 25.35
Bid-YTW : 4.28 %
TRP.PR.C FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-24
Maturity Price : 23.49
Evaluated at bid price : 26.25
Bid-YTW : 3.53 %
CM.PR.J Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-24
Maturity Price : 21.44
Evaluated at bid price : 21.76
Bid-YTW : 5.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset 232,320 RBC crossed blocks of 185,000 and 40,000, both at 26.70.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.07 %
TD.PR.G FixedReset 131,135 Desjardins bought 12,900 from Canaccord at 28.19; TD crossed 100,000 at 28.22.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 28.20
Bid-YTW : 2.87 %
TD.PR.I FixedReset 110,365 TD crossed 100,000 at 28.42.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 28.35
Bid-YTW : 2.89 %
BAM.PR.M Perpetual-Discount 94,430 RBC crossed 63,300 at 20.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-09-24
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.94 %
BMO.PR.L Perpetual-Premium 70,011 RBC crossed 35,000 at 26.54, then 15,000 at 26.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 4.95 %
BNS.PR.T FixedReset 62,675 National crossed 25,000 at 28.29.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 28.27
Bid-YTW : 2.78 %
There were 56 other index-included issues trading in excess of 10,000 shares.