Archive for February, 2012

RY Under Review for Downgrade by Moody's

Thursday, February 16th, 2012

Moody’s Investors Service has announced:

a review of 17 banks and securities firms with global capital markets operations. Underpinning this review is Moody’s view that these firms face challenges that are not fully captured in their current ratings. Capital markets firms are confronting evolving challenges, such as more fragile funding conditions, wider credit spreads, increased regulatory burdens and more difficult operating conditions. These difficulties, together with inherent vulnerabilities such as confidence-sensitivity, interconnectedness, and opacity of risk, have diminished the longer term profitability and growth prospects of these firms.

The rationale behind the review is discussed below and in a report titled “Challenges for Firms with Global Capital Markets Operations: Moody’s Rating Reviews and Rationale,” published today. Today’s announcement also follows the publication on 19 January 2012 of a report titled “Why Global Bank Ratings Are Likely to Decline in 2012.”

LONG-TERM RATINGS AND STANDALONE CREDIT ASSESSMENTS– PLACED UNDER REVIEW

Royal Bank of Canada

During its review Moody’s will consider the structural vulnerabilities in the business models of global investment banks, which include the confidence-sensitivity of customers and funding counterparties, risk-management and governance challenges, as well as a high degree of interconnectedness and opacity. In addition, rapidly changing risk positions expose these firms to unexpected losses that can overwhelm the resources of even the largest, most diversified groups. Such challenges caused several issuers to fail, or to avoid failure only upon the receipt of external support, during the 2008 financial crisis.

Additional challenges have now emerged for banks with significant capital markets activities; these include more fragile funding conditions, higher credit spreads, increased regulatory burdens and very challenging macroeconomic and market environments. Some of these risks have been partly mitigated by changes to business models, and higher regulatory capital and liquidity requirements, but they have not been eliminated. Furthermore, these adverse trends have placed acute pressure on these firms’ profitability and increased the scope of restructuring required in their core businesses to generate the level of return on equities expected by shareholders.

The combination of changed operating conditions and increased regulatory requirements and restrictions has diminished these firms’ longer-term profitability and growth prospects. While we had initially expected their standalone credit profiles to recover once the acute phase of the crisis had passed, we now view these challenges as structural features of global investment banks. Our credit analysis is reflecting these challenges through greater emphasis on certain key rating factors in our methodologies, as discussed in more detail in the report “Challenges for Firms with Global Capital Markets Operations: Moody’s Rating Reviews and Rationale,” published today.

RY has a large number of preferred shares outstanding: RY.PR.A, RY.PR.B, RY.PR.C, RY.PR.D, RY.PR.E, RY.PR.F, RY.PR.G & RY.PR.H (DeemedRetractible) and RY.PR.I, RY.PR.L, RY.PR.N, RY.PR.P, RY.PR.R, RY.PR.T, RY.PR.X & RY.PR.Y (FixedReset) and RY.PR.W (PerpetualPremium). All are tracked by HIMIPref™ and assigned to their respective indices.

Update: RY is irritated:

The announcement — which could result in a downgrade of as much as two notches for the Canadian bank — comes a little over a year after the bank was last cut by Moody’s.

“We are surprised to be included in this review; our inclusion is unwarranted,” RBC said in an emailed statement on Thursday. “This action does nothing to help investors differentiate between strong banks and weak ones. RBC’s credit rating and capital base are among the strongest of all banks globally.”

S&P Downgrades YLO Preferreds to C

Thursday, February 16th, 2012

Standard and Poor’s has announced:

  • Standard & Poor’s is concerned about Montreal-based Yellow Media Inc.’s weakening operating performance, as well as various actions the company has taken recently to deal with refinancing risk.
  • As a result, we are lowering our long-term corporate credit rating on Yellow Media by three notches to ‘B-‘ from ‘BB-‘.
  • At the same time, we are lowering our issue-level rating on the company’s senior secured debt to ‘B-‘ from ‘BB-‘ and lowering our rating on the subordinated debt to ‘CCC’ from ‘B’. The recovery ratings on the debt are
    unchanged.

  • We are also lowering our rating on the company’s preferred shares to ‘C’ from ‘P-4 (Low)’ following the company’s decision to suspend dividends on these securities.
  • Finally, we are keeping all the ratings on the company on CreditWatch with negative implications where they were placed Dec. 5, 2011.The CreditWatch listing reflects our concerns about Yellow Media’s deteriorating cash flows and arguably poor access to the capital markets, which we believe limits its available options for refinancing upcoming debt maturities.

….
Separately, we lowered our Canada scale rating on the company’s preferred shares to ‘C’ from ‘P-4 (Low)’ following Yellow Media’s Feb. 9, 2012, announcement to suspend future dividends on all preferred shares outstanding of the company. We expect to lower the ratings on these securities to ‘D’ upon nonpayment of the dividends on their respective payment dates.

“The downgrade follows Yellow Media’s weak operating performance for the three months ended Dec. 31, 2011, which, combined with several corporate actions the company announced on Feb. 9, materially increase refinancing risk, in our opinion,” said Standard & Poor’s credit analyst Madhav Hari.

We also note that Yellow Media’s limited financial flexibility to invest in growth initiatives will affect its ability to increase its online revenue more materially in the near term. While we believe that the company should be able to generate meaningful discretionary cash flow, at least in the next couple of years, we note that internal cash flow might not be sufficient to fully repay the sizable amount of debt maturing in the next couple of years. Given arguably poor access to capital markets (as evidenced by the price of the company’s securities relative to book value), we feel that Yellow Media will be challenged to refinance its debt obligations.

YLO was last mentioned on PrefBlog in the post DBRS Downgrades YLO to Pfd-5(low) Trend Negative.

YLO has four series of public preferred shares outstanding: YLO.PR.A and YLO.PR.B (OperatingRetractible), YLO.PR.C and YLO.PR.D (FixedReset). The company’s operating performance and prospects were reviewed in the February, 2012, edition of PrefLetter.

February 15, 2012

Thursday, February 16th, 2012

A Bloomberg editorial states:

Should European leaders fail in this endeavor, the danger is that they will be blamed if the austerity medicine fails, regardless of whether many of Greece’s troubles are self- inflicted. Already, hyperbolic analogies between Nazi and current Germany are creeping into public discussion. The politics of anger can quickly overtake rational economic debate. How that would unfold is impossible to predict, but it is unwise to assume that Greeks would never decide to roll the dice on a euro exit, putting to the test assurances that contagion won’t follow.

I’m a lot more concerned about analogies between Weimar Germany and current Greece.

One difficulty is that the gun held to Europe’s head might not be loaded:

Greece said that Europe’s wealthier countries are “playing with fire” by toying with the idea of expelling it from the 17-nation euro area as talks over a second aid program ran into new obstacles.

Finance Minister Evangelos Venizelos leveled the accusation after a decision slated for tonight on aid totaling 130 billion euros ($171 billion) was postponed until at least Feb. 20 and possibly until after a full-time Greek government emerges from elections later in the year.

“We are continually faced with new terms,” Venizelos told reporters in Athens today. “In the euro area, there are plenty who don’t want us anymore. There are some playing with fire, domestically and abroad. Some are playing with torches and some are playing with matches. But the risk is equally great.”

For example, here’s some tough talk:

The chief executive of one of Germany’s most respected manufacturers and an advisor to Chancellor Angela Merkel has called for Greece to be kicked out of the European Union because it is an “unbearable” burden.

“This state with its phantom pensioners and rich people that don’t pay taxes, a state without a functioning administration, has no place in the European Union,” Bosch CEO Franz Fehrenbach told Manager Magazin, according to a transcript of an interview to be published on Friday.

He is the latest in a number of senior German business figures to lash out at Greece over its role in the EU and a second eurozone bailout. A survey of over 300 managers in the magazine shows roughly 57% want Greece to drop out of the euro and reintroduce the drachma.

And things are getting a little testy:

Greek President Karolos Papoulias slammed Germany’s finance minister for recent comments about his country as stalled bailout talks stoked tensions between Greece and the northern European countries funding its rescue.

“I don’t accept insults to my country by Mr. Schaeuble,” Papoulias, who fought in the resistance against the Nazis during World War II, said in a speech today. “I don’t accept it as a Greek. Who is Mr. Schaeuble to ridicule Greece? Who are the Dutch? Who are the Finns? We always had the pride to defend not just our own freedom, not just our own country, but the freedom of all of Europe.”

As far as I can tell, though, he will accept a welfare cheque.

But don’t worry! Europe is saved!

China is ready to be more involved in resolving the crisis through the European Financial Stability Facility and European Stability Mechanism, said People’s Bank of China Governor Zhou Xiaochuan in a speech, echoing comments made yesterday by Premier Wen Jiabao.

Oh, and by the way … that human rights stuff is getting pretty old, you know? And the Dalai Lama should be arrested.

Canada – the land where investors are so smart, they never lose money:

Investors who were caught up in the asset-backed commercial paper freeze in 2007 may be in line for a big cheque, as regulators are hoping to distribute as much as $60-million they collected from banks who sold the money market paper.

The Investment Industry Regulatory Organization of Canada and the Ontario Securities Commission will apply to the judge who oversaw the restructuring of the ABCP for permission to distribute the money, which would go to individual and institutional investors who were affected. An announcement is expected as early as Thursday morning, said two people familiar with the plan.

Whoosh! Another nasty day for the Canadian preferred share market, with PerpetualPremiums down 25bp, FixedResets off 11bp and DeemedRetractibles losing 34bp. Lots of volatility, heavily skewed towards losers. Volume was high.

PerpetualDiscounts now yield 4.98%, equivalent to 6.47% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.5%, so the pre-tax interest-equivalent spread (which in this context is the Seniority Spread) is now about 195bp, a sharp increase from the 165 bp reported February 8.

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 -0.4663 % 2,442.8
FixedFloater 4.55 % 3.92 % 38,089 17.47 1 0.3362 % 3,428.9
Floater 2.73 % 3.00 % 62,070 19.70 3 -0.4663 % 2,637.6
OpRet 4.88 % 2.44 % 59,269 1.32 6 -0.3563 % 2,502.0
SplitShare 5.28 % -0.99 % 82,214 0.82 4 -0.2534 % 2,649.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3563 % 2,287.8
Perpetual-Premium 5.41 % 3.81 % 117,119 0.89 26 -0.2518 % 2,191.9
Perpetual-Discount 5.10 % 4.98 % 201,534 15.44 4 -0.6120 % 2,423.4
FixedReset 5.05 % 2.79 % 212,274 2.30 65 -0.1079 % 2,380.4
Deemed-Retractible 4.95 % 3.83 % 202,012 2.83 45 -0.3428 % 2,289.7
Performance Highlights
Issue Index Change Notes
POW.PR.D Perpetual-Premium -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-15
Maturity Price : 23.75
Evaluated at bid price : 24.25
Bid-YTW : 5.19 %
FTS.PR.C OpRet -2.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-03-16
Maturity Price : 25.50
Evaluated at bid price : 25.66
Bid-YTW : -4.89 %
BAM.PR.M Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-15
Maturity Price : 23.85
Evaluated at bid price : 24.14
Bid-YTW : 4.97 %
SLF.PR.C Deemed-Retractible -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.44
Bid-YTW : 5.93 %
BAM.PR.N Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-15
Maturity Price : 23.58
Evaluated at bid price : 24.06
Bid-YTW : 4.98 %
IAG.PR.F Deemed-Retractible -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 5.41 %
GWO.PR.I Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.36 %
POW.PR.B Perpetual-Premium -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-15
Maturity Price : 24.47
Evaluated at bid price : 24.71
Bid-YTW : 5.47 %
TD.PR.R Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-04-30
Maturity Price : 26.00
Evaluated at bid price : 27.02
Bid-YTW : 2.25 %
FTS.PR.G FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-15
Maturity Price : 23.89
Evaluated at bid price : 25.50
Bid-YTW : 3.48 %
MFC.PR.E FixedReset 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-19
Maturity Price : 25.00
Evaluated at bid price : 26.24
Bid-YTW : 3.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.F Perpetual-Premium 111,000 Desjardins crossed 100,000 at 25.05.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-15
Maturity Price : 24.54
Evaluated at bid price : 25.03
Bid-YTW : 4.88 %
PWF.PR.I Perpetual-Premium 104,920 Nesbitt crossed 93,700 at 25.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : -1.23 %
BNS.PR.Z FixedReset 86,630 Desjardins bought blocks of 16,900 and 40,000 from anonymous, both at 25.10.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 3.16 %
TD.PR.G FixedReset 85,045 TD crossed 49,600 at 27.05; Scotia crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.06
Bid-YTW : 2.51 %
TD.PR.K FixedReset 76,406 National bought 13,300 from TD at 27.31; RBC crossed 50,000 at 27.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.26
Bid-YTW : 2.56 %
ENB.PR.D FixedReset 66,675 Nesbitt crossed 55,000 at 25.34.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-15
Maturity Price : 23.19
Evaluated at bid price : 25.26
Bid-YTW : 3.67 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 22.51 – 24.70
Spot Rate : 2.1900
Average : 1.7609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-15
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 2.30 %

FTS.PR.C OpRet Quote: 25.66 – 26.20
Spot Rate : 0.5400
Average : 0.3080

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-03-16
Maturity Price : 25.50
Evaluated at bid price : 25.66
Bid-YTW : -4.89 %

IAG.PR.F Deemed-Retractible Quote: 26.20 – 26.62
Spot Rate : 0.4200
Average : 0.2846

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 5.41 %

SLF.PR.G FixedReset Quote: 24.26 – 24.65
Spot Rate : 0.3900
Average : 0.2731

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 3.82 %

POW.PR.B Perpetual-Premium Quote: 24.71 – 25.01
Spot Rate : 0.3000
Average : 0.1899

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-15
Maturity Price : 24.47
Evaluated at bid price : 24.71
Bid-YTW : 5.47 %

RY.PR.G Deemed-Retractible Quote: 25.66 – 25.90
Spot Rate : 0.2400
Average : 0.1523

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-05-24
Maturity Price : 25.25
Evaluated at bid price : 25.66
Bid-YTW : 3.91 %

New Issue: POW 5.60% Straight

Wednesday, February 15th, 2012

And thick and fast they came at last, and more and more and more!

Power Corporation has announced:

that it has agreed to issue 6,000,000 Non-Cumulative First Preferred Shares, Series G (the “Series G Shares”) on a bought deal basis, for gross proceeds of $150 million. The Series G Shares will be priced at $25.00 per share and will carry an annual dividend yield of 5.60%. Closing is expected on or about February 28, 2012. The issue will be underwritten by a syndicate of underwriters led by BMO Capital Markets, RBC Capital Markets and Scotiabank.

Power Corporation of Canada has also granted the underwriters an option to purchase an additional 2,000,000 Series G Shares at the same offering price. Should the underwriters’ option be exercised fully, the total gross proceeds of the Series G Share offering will be $200 million.

Proceeds from the issue will be used to supplement the Corporation’s financial resources and for general corporate purposes.

ALB.PR.B: Partial Call for Redemption

Wednesday, February 15th, 2012

Allbanc Split Corp. II (sponsored by Scotia Managed Companies) has announced:

that it has called 556,939 Preferred Shares for cash redemption on February 28, 2012 (in accordance with the Company’s Articles) representing approximately 26.2009537% of the outstanding Preferred Shares as a result of the special annual retraction of 1,113,878 Capital Shares by the holders thereof. The Preferred Shares shall be redeemed on a pro rata basis, so that each holder of Preferred Shares of record on February 24, 2012 will have approximately 26.2009537% of their Preferred Shares redeemed. The redemption price for the Preferred Shares will be $21.80 per share.

In addition, holders of a further 100,000 Capital Shares and 50,000 Preferred Shares have deposited such shares concurrently for retraction on February 28, 2012. As a result, a total of 1,213,878 Capital Shares and 606,939 Preferred Shares, or approximately 27.8970% of both classes of shares currently outstanding, will be redeemed.

Holders of Preferred Shares that are on record for dividends but have been called for redemption will be entitled to receive dividends thereon which have been declared but remain unpaid up to but not including February 28, 2012.

Payment of the amount due to holders of Preferred Shares will be made by the Company on February 28, 2012. From and after February 28, 2012 the holders of Preferred Shares that have been called for redemption will not be entitled to dividends or to exercise any right in respect of such shares except to receive the amount due on redemption.

Allbanc Split Corp. II is a mutual fund corporation created to hold a portfolio of publicly listed common shares of selected Canadian chartered banks. Capital Shares and Preferred Shares of Allbanc Split Corp. II are listed for trading on The Toronto Stock Exchange under the symbols ALB and ALB.PR.B respectively.

ALB.PR.B was last mentioned on PrefBlog when warrants were issued in May, 2011. ALB.PR.B is tracked by HIMIPref™ but is relegated to the Scraps index on volume concerns.

February 14, 2012

Tuesday, February 14th, 2012

Greece is unloved:

European officials jacked up the pressure on the Greek government to deliver budget cuts in exchange for a second bailout as they insisted that default is not an option.

Finance ministers canceled a Brussels meeting slated for tomorrow and will hold a teleconference instead to prod Greece to do more to clinch an aid package worth 130 billion euros ($170 billion) along with roughly 100 billion euros of debt relief from private bondholders.

“I did not yet receive the required political assurances from the leaders of the Greek coalition parties on the implementation of the program,” Luxembourg Prime Minister Jean- Claude Juncker, chairman of the euro finance panel [and liar – JH], said in a statement today.

Surprise, surprise:

Antonis Samaras, leader of Greece’s conservative New Democracy party and early favourite to win the next election in the spring, told party members to approve the budget cuts in a parliamentary vote on the weekend. But he angered the Europeans by signalling his intention to renegotiate the terms after voters replace the current caretaker government.

“I want to avoid jumping over the cliff today, to buy time, and to go to elections tomorrow,” he said.

Mr. Samaras at first refused to commit to the budget cuts in writing, a condition demanded of all the Greek party leaders by Brussels. But he is now expected to sign and deliver the necessary letter on Wednesday, clearing one more obstacle to the rescue.

Maybe he should bring in the Canadian defense minister as a consultant on signing the letter!

There were big losses in the Canadian preferred share market today – perhaps the recent spate of new issues has made the cunning folk nervous! PerpetualPremiums were down 59bp, FixedResets were off 44bp and DeemedRetractibles lost 64bp. The Performance Highlights table was not only very lengthy, but comprised entirely of losers, with insurance issues dominating the list. The volume table was similarly dominated by insurers – only one bank! Volume was high.

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 0.4685 % 2,454.3
FixedFloater 4.56 % 3.93 % 37,842 17.44 1 0.0000 % 3,417.4
Floater 2.72 % 2.98 % 62,861 19.75 3 0.4685 % 2,650.0
OpRet 4.87 % 0.65 % 59,578 1.26 6 -0.1905 % 2,510.9
SplitShare 5.27 % -0.64 % 81,242 0.82 4 0.1643 % 2,655.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1905 % 2,296.0
Perpetual-Premium 5.39 % 3.14 % 115,974 0.21 26 -0.5938 % 2,197.4
Perpetual-Discount 5.07 % 4.90 % 197,351 15.57 4 -0.8638 % 2,438.4
FixedReset 5.05 % 2.80 % 219,693 2.29 65 -0.4387 % 2,383.0
Deemed-Retractible 4.93 % 3.67 % 225,073 2.62 45 -0.6422 % 2,297.6
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -2.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.09
Bid-YTW : 4.02 %
SLF.PR.D Deemed-Retractible -2.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.69
Bid-YTW : 5.79 %
MFC.PR.E FixedReset -2.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 4.49 %
SLF.PR.E Deemed-Retractible -2.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.78 %
MFC.PR.D FixedReset -2.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 4.12 %
RY.PR.H Deemed-Retractible -2.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-24
Maturity Price : 26.00
Evaluated at bid price : 26.69
Bid-YTW : 3.18 %
SLF.PR.C Deemed-Retractible -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.72 %
PWF.PR.K Perpetual-Premium -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 23.75
Evaluated at bid price : 24.25
Bid-YTW : 5.12 %
IAG.PR.A Deemed-Retractible -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.36 %
PWF.PR.L Perpetual-Premium -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 24.05
Evaluated at bid price : 24.56
Bid-YTW : 5.21 %
SLF.PR.B Deemed-Retractible -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.74 %
SLF.PR.G FixedReset -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 3.78 %
TRP.PR.C FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 23.47
Evaluated at bid price : 25.71
Bid-YTW : 2.96 %
MFC.PR.C Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.49 %
SLF.PR.A Deemed-Retractible -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 5.68 %
TRP.PR.B FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 23.52
Evaluated at bid price : 25.60
Bid-YTW : 2.68 %
MFC.PR.G FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.57 %
FTS.PR.H FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 23.50
Evaluated at bid price : 25.51
Bid-YTW : 2.85 %
BAM.PR.M Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 24.10
Evaluated at bid price : 24.55
Bid-YTW : 4.88 %
POW.PR.D Perpetual-Premium -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 24.33
Evaluated at bid price : 24.85
Bid-YTW : 5.06 %
BAM.PR.N Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 23.93
Evaluated at bid price : 24.43
Bid-YTW : 4.90 %
MFC.PR.A OpRet -1.12 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 3.69 %
BMO.PR.L Deemed-Retractible -1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-25
Maturity Price : 26.00
Evaluated at bid price : 26.93
Bid-YTW : 2.58 %
ELF.PR.F Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 24.11
Evaluated at bid price : 24.42
Bid-YTW : 5.47 %
BAM.PR.T FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 23.32
Evaluated at bid price : 25.53
Bid-YTW : 3.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.G FixedReset 235,627 Nesbitt sold 10,300 to RBC at 25.05 and 14,100 to anonymous at 25.00. RBC crossed blocks of 10,000 and 34,800 at 25.00. Scotia crossed 25,000 at 24.85. TD crossed 26,200 at 24.86.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.57 %
BNS.PR.Z FixedReset 205,390 Desjardins crossed blocks of 20,400 shares, 12,000 and 45,700 at 25.10, and bought blocks of 42,700 and 18,000 from Nesbitt and 24,000 from TD at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.12 %
GWO.PR.N FixedReset 138,466 TD crossed 120,000 at 24.87.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.28 %
PWF.PR.L Perpetual-Premium 102,698 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 24.05
Evaluated at bid price : 24.56
Bid-YTW : 5.21 %
SLF.PR.H FixedReset 84,366 RBC crossed 40,000 at 24.35; TD crossed 28,000 at 24.40.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 4.20 %
PWF.PR.K Perpetual-Premium 53,077 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 23.75
Evaluated at bid price : 24.25
Bid-YTW : 5.12 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 22.70 – 25.00
Spot Rate : 2.3000
Average : 1.2904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 2.28 %

TCA.PR.Y Perpetual-Premium Quote: 52.55 – 52.94
Spot Rate : 0.3900
Average : 0.2525

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-05
Maturity Price : 50.00
Evaluated at bid price : 52.55
Bid-YTW : 3.14 %

MFC.PR.D FixedReset Quote: 26.65 – 26.99
Spot Rate : 0.3400
Average : 0.2080

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 4.12 %

FTS.PR.H FixedReset Quote: 25.51 – 25.88
Spot Rate : 0.3700
Average : 0.2488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 23.50
Evaluated at bid price : 25.51
Bid-YTW : 2.85 %

IGM.PR.B Perpetual-Premium Quote: 26.49 – 26.86
Spot Rate : 0.3700
Average : 0.2615

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.49
Bid-YTW : 4.94 %

GWO.PR.F Deemed-Retractible Quote: 25.60 – 25.85
Spot Rate : 0.2500
Average : 0.1578

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-03-15
Maturity Price : 25.25
Evaluated at bid price : 25.60
Bid-YTW : -2.23 %

Fitch Puts Outlook-Negative on MFC

Tuesday, February 14th, 2012

Fitch Ratings has announced:

Fitch Ratings has affirmed Manulife Financial Corporation (MFC) and its primary insurance related operating subsidiaries’ ratings, including The Manufacturer’s Life Insurance Company (MLI) and John Hancock Life Insurance Company (U.S.A.) (JHUSA). At the same time Fitch assigned a ‘A-‘ rating to MLI CAD550m 4.21% fixed/floating subordinated debentures due 2021 (Manulife Finance Corp. guarantor), and a ‘BBB’ rating to MFC’s CAD200m offering of Non-cumulative Rate Reset Class 1, Series 5 preferred shares, both completed in Q411. A complete list of ratings actions is at the end of this release. The Outlook has been revised to Negative for all ratings.
Fitch’s rationale for the ratings includes MFC’s strong capital position, below-average exposure to credit-related risk, good liquidity and strong business profile with significant geographic and product diversity. Additional positive considerations include MFC’s progress in the effective hedging of volatility of earnings and capital related to interest rate and equity market risks.

The Negative Outlook is driven by Fitch’s concerns about negative trends in adjusted earnings and the company’s financial leverage, which is at the high end of rating expectations. MFC’s run rate profitability has been negatively affected by the unfavourable reserve adjustments for product-related experience and policyholder behaviour. Over the near term, Fitch expects reported profitability to be negatively impacted by an extended period of lower interest rates.

Fitch estimates financial leverage increased to 25.8% at year-end 2011 versus 21.0% at 31 December 2010 due in part to a change in Fitch’s hybrid rating criteria in 2011.

Fitch considers MFC’s debt service capacity as below average for the rating and expects earnings based, fixed charge coverage to range between 5 times (x) and 7x in a generally flat equity market scenario in 2012.

Key rating triggers for MFC that could lead to a downgrade include:
–Shortfall in adjusted earnings to below CAD2.5bn for 2012
–Fixed Charge coverage below 5.5x on a 12-month basis
–Financial leverage notably increases from current levels on Fitch’s equity-adjusted leverage basis
–Operating company MCCSR ratio below 190%

Key ratings triggers for MFC that could lead to a revision of the Outlook to Stable include:
–Improved profitability and related fixed charge coverage to 8X
–Significant reduction in earnings volatility on a sustained basis
–Significant reduction in capital and earnings sensitivity to equity markets on a sustained basis
–A decrease in financial leverage to 25%

Manulife Financial Corporation
–CAD250m 4.40% non-cumulative rate reset, preferred class 1, series 5 stock – ‘BBB’

Meanwhile DBRS commented on MFC’s 11Q4:

DBRS has reviewed Manulife Financial Corporation’s (MFC or the Company) Q4 2011 results, released on February 8, 2012, and believes there were no surprises. There are therefore no rating implications at this time.

For the year, the Company’s earnings before goodwill impairments yielded a return on equity (ROE) of 3.2% in 2011. This remains below the Company’s targeted 12% ROE but also includes a number of notable non-cash items related to market movements which, if excluded, would have produced an ROE of 11.5%.

The Company’s weak reported earnings have prevented an accumulation of retained earnings in recent years as dividend payout ratios remain elevated. Correspondingly, even though the Company’s debt levels have remained flat, the erosion of shareholder equity from $27.5 billion at the end of 2009 to $22.6 billion at the end of 2011 has caused the Company’s total debt ratio to increase to 32.9% from 25.2%. Broader financial leverage, as measured by average assets to common equity, has increased to 10.0 times from below 7.5 times. Although reported earnings coverage is adequate to meet fixed-charge obligations, the earnings, excluding notable items coverage (largely non-cash adjustments), is in excess of 6.0 times.

MFC has many preferred share issues outstanding: MFC.PR.A (OperatingRetractible), MFC.PR.B & MFC.PR.C (DeemedRetractible), MFC.PR.D, MFC.PR.E, MFC.PR.F, MFC.PR.G and the new issue announced today, (FixedReset).

VSN.PR.A Achieves Small Premium on Good Volume

Tuesday, February 14th, 2012

Veresen Inc. has announced:

it has closed its previously announced bought deal offering of 8,000,000 Cumulative Redeemable Preferred Shares, Series A (“Series A Preferred Shares”) at a price of $25.00 per share (the “Offering”) for aggregate gross proceeds of $200 million. The previously announced underwriters’ option was exercised in full. The Series A Preferred Shares were offered to the public through a syndicate of underwriters with Scotiabank and TD Securities Inc. having been appointed as the bookrunners and including CIBC, RBC Capital Markets, BMO Capital Markets, National Bank Financial Inc., Canaccord Genuity Corp. and HSBC Securities (Canada) Inc.

The holders of Series A Preferred Shares will be entitled to receive fixed cumulative dividends at an annual rate of 4.40%, payable quarterly for an initial period up to but excluding September 30, 2017, as and when declared by the Board of Directors of Veresen. The first quarterly dividend of $0.4117 is scheduled for June 30, 2012. The dividend rate will reset on September 30, 2017 and every five years thereafter at a rate equal to the sum of the then five-year Government of Canada bond yield plus 2.92%. The Series A Preferred Shares are redeemable by Veresen, at its option, on September 30, 2017 and on September 30 of every fifth year thereafter.

Holders of Series A Preferred Shares will have the right to convert all or any part of their shares into Cumulative Redeemable Preferred Shares, Series B (“Series B Preferred Shares”), subject to certain conditions, on September 30, 2017, and on September 30 of every fifth year thereafter. The holders of Series B Preferred Shares will be entitled to receive quarterly floating rate cumulative dividends, as and when declared by the Board of Directors of Veresen, at a rate equal to the sum of the then 90-day Government of Canada treasury bill rate plus 2.92%.

The Series A Preferred Shares have been rated Pfd-3 (High) by DBRS Limited and P-3 (High) by Standard & Poor’s, a division of The McGraw Hill Companies, Inc. Net proceeds from the Offering will be used to reduce indebtedness, partially fund capital expenditures and for other general corporate purposes.

The Series A Preferred Shares are listed on the Toronto Stock Exchange under the symbol “VSN.PR.A”.

As noted, DBRS rates this Pfd-3(high).

VSN.PR.A is a FixedReset, 4.40%+292 announced February 3.

The issue traded 532,720 shares in a tight range of 25.05-14 today before closing at 25.05-07, 44×39. Vital statistics are:

VSN.PR.A FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-14
Maturity Price : 23.14
Evaluated at bid price : 25.05
Bid-YTW : 4.24 %

VSN.PR.A will be tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

New Issue: MFC FixedReset 4.60%+313

Tuesday, February 14th, 2012

Manulife Financial has announced:

a Canadian public offering of Non-cumulative Rate Reset Class 1 Shares Series 7 (“Series 7 Preferred Shares”). Manulife will issue 10 million Series 7 Preferred Shares priced at $25 per share to raise gross proceeds of $250 million. The offering will be underwritten by a syndicate of investment dealers co-led by Scotia Capital Inc., RBC Capital Markets and TD Securities and is anticipated to qualify as Tier 1 capital for Manulife. The expected closing date for the offering is February 22, 2012. Manulife intends to file a prospectus supplement to its September 3, 2010 base shelf prospectus in respect of this issue.

“Our capital raising activity takes into account our expected refinancing requirements and recognizes that, while our capital position remains strong, there could be pressure on our common share price and bond spreads if our capital ratios decline. We see this action as prudent when faced with uncertain market and economic conditions.” said Donald Guloien, President and CEO of Manulife.

Holders of the Series 7 Preferred Shares will be entitled to receive a non-cumulative quarterly fixed dividend yielding 4.60% annually, as and when declared by the Board of Directors of Manulife, for the initial period ending March 19, 2017. Thereafter, the dividend rate will be reset every five years at a rate equal to the 5-year Government of Canada bond yield plus 3.13%.

Holders of Series 7 Preferred Shares will have the right, at their option, to convert their shares into Non-cumulative Rate Reset Class 1 Shares Series 8 (“Series 8 Preferred Shares”), subject to certain conditions, on March 19, 2017 and on March 19 every five years thereafter. Holders of the Series 8 Preferred Shares will be entitled to receive non-cumulative quarterly floating dividends, as and when declared by the Board of Directors of Manulife, at a rate equal to the three-month Government of Canada Treasury Bill yield plus 3.13%.

The net proceeds from the offering will be utilized for general corporate purposes, which may include investments in subsidiaries.

Manulife’s Canadian life insurance company subsidiary, The Manufacturers Life Insurance Company, also intends to issue $500 million principal amount of fixed/floating subordinated debentures. The debentures will be fully and unconditionally guaranteed on a subordinated basis by Manulife.

I am fascinated by the rationale for the issue: “Our capital raising activity takes into account our expected refinancing requirements and recognizes that, while our capital position remains strong, there could be pressure on our common share price and bond spreads if our capital ratios decline. We see this action as prudent when faced with uncertain market and economic conditions.” said Donald Guloien, President and CEO of Manulife.

That seems like an incredibly defensive thing to say and to put into the official press release.

Update: Rating affirmed in the DBRS comment on year-end.

Update: Fitch rates the Series 5 prefs BBB.

February 13, 2012

Tuesday, February 14th, 2012

The Greek austerity measures passed:

Greek Prime Minister Lucas Papademos won parliamentary approval for austerity measures to secure an international bailout after rioters protesting the measures battled police and set fire to buildings in downtown Athens.

A total of 199 lawmakers voted in favor and 74 against, Parliament Speaker Filippos Petsalnikos said in remarks carried live on state-run Vouli TV. When, on Nov. 16, Papademos won a mandate from the Parliament to implement budget measures and secure the bailout of 130 billion euros ($172 billion) he received the support of 255 lawmakers in the 300-strong chamber.

“It is up to us, our vote, whether the country will remain in the euro or be led to a disorderly default,” Papademos told parliament. “Voting for the economic program and opening the road for a loan accord sets the basis for the modernization and recovery of the economy.”

OK, so parliament’s voted for it and all the senior party leaders are on board. So what? There will be elections soon – will any of the major parties now be major parties in June? There really needs to be a referendum on this, because I’m not convinced the political class can deliver.

Meanwhile Moody’s used its knife:

Moody’s Investors Service cut the debt ratings of six European countries including Italy, Spain and Portugal and revised its outlook on the U.K.’s and France’s top Aaa rating to “negative.”

Spain was downgraded to A3 from A1 with a negative outlook, Italy was downgraded to A3 from A2 with a negative outlook and Portugal was downgraded to Ba3 from Ba2 with a negative outlook, Moody’s said. It also cut Slovakia’s, Slovenia’s and Malta’s ratings.

“The uncertainty over the euro area’s prospects for institutional reform of its fiscal and economic framework” and the resources that will be made available to deal with the crisis, are among the main drivers of Moody’s action, the ratings company said.

“Europe’s increasingly weak macroeconomic prospects, which threaten the implementation of domestic austerity programs and the structural reforms that are needed to promote competitiveness,” are also factors, it said. These factors will continue to affect market confidence, “which is likely to remain fragile, with a high potential for further shocks to funding conditions for stressed sovereigns and banks.”

Call the papers! There’s been an outbreak of common sense in Europe!

The European Parliament may scrap plans to force firms that use algorithmic-trading programs to continue trading throughout the day, said Markus Ferber, the lawmaker writing the assembly’s response to the proposals. The measure was meant to prevent them creating volatility by diving in and out of the markets.

“We are really rethinking on the whole approach the European Commission has proposed,” Ferber said in an interview. The all-day trading rule was intended to promote market liquidity by ensuring a steady supply of buyers and sellers. “No one can answer me” why such firms should be expected to provide liquidity throughout the trading day, Ferber said.

Sorry, folks, but PrefLetter Weekend knocked me for a loop this time ’round. I’ll update with Monday’s performance when I get a chance.

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 -0.1040 % 2,442.8
FixedFloater 4.56 % 3.93 % 39,291 17.45 1 -0.3828 % 3,417.4
Floater 2.73 % 2.99 % 62,283 19.72 3 -0.1040 % 2,637.6
OpRet 4.86 % 2.46 % 60,536 1.32 6 0.0423 % 2,515.7
SplitShare 5.28 % -0.53 % 81,644 0.82 4 0.0448 % 2,651.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0423 % 2,300.4
Perpetual-Premium 5.36 % -0.19 % 119,357 0.21 26 -0.5674 % 2,210.6
Perpetual-Discount 5.03 % 4.85 % 197,597 15.70 4 0.0926 % 2,459.6
FixedReset 5.02 % 2.68 % 217,220 2.29 65 -0.0838 % 2,393.5
Deemed-Retractible 4.90 % 3.54 % 225,355 1.77 45 -0.0959 % 2,312.5
Performance Highlights
Issue Index Change Notes
PWF.PR.K Perpetual-Premium -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-13
Maturity Price : 24.21
Evaluated at bid price : 24.73
Bid-YTW : 5.02 %
PWF.PR.O Perpetual-Premium -2.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.99 %
PWF.PR.L Perpetual-Premium -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-13
Maturity Price : 24.50
Evaluated at bid price : 25.02
Bid-YTW : 5.11 %
POW.PR.D Perpetual-Premium -1.76 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.95 %
PWF.PR.F Perpetual-Premium -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-13
Maturity Price : 24.67
Evaluated at bid price : 24.93
Bid-YTW : 5.30 %
GWO.PR.I Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 5.14 %
FTS.PR.E OpRet -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-01
Maturity Price : 25.75
Evaluated at bid price : 27.01
Bid-YTW : 0.80 %
IAG.PR.A Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 5.10 %
PWF.PR.E Perpetual-Premium -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.14 %
FTS.PR.C OpRet 1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-03-14
Maturity Price : 25.50
Evaluated at bid price : 26.16
Bid-YTW : -26.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Z FixedReset 342,950 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.12 %
CU.PR.C FixedReset 85,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 3.23 %
ENB.PR.F FixedReset 80,046 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.75 %
BNS.PR.K Deemed-Retractible 41,770 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-28
Maturity Price : 25.50
Evaluated at bid price : 25.89
Bid-YTW : -1.95 %
GWO.PR.M Deemed-Retractible 35,466 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-03-31
Maturity Price : 26.00
Evaluated at bid price : 26.75
Bid-YTW : 4.83 %
BNS.PR.Y FixedReset 34,975 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.80 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.L Deemed-Retractible Quote: 26.08 – 26.48
Spot Rate : 0.4000
Average : 0.2803

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 5.05 %

BAM.PR.X FixedReset Quote: 25.18 – 25.44
Spot Rate : 0.2600
Average : 0.1695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-13
Maturity Price : 23.20
Evaluated at bid price : 25.18
Bid-YTW : 3.44 %

RY.PR.C Deemed-Retractible Quote: 25.78 – 25.96
Spot Rate : 0.1800
Average : 0.1009

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 3.69 %

BMO.PR.L Deemed-Retractible Quote: 27.22 – 27.44
Spot Rate : 0.2200
Average : 0.1480

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-25
Maturity Price : 26.00
Evaluated at bid price : 27.22
Bid-YTW : 1.71 %

BAM.PR.B Floater Quote: 17.70 – 17.91
Spot Rate : 0.2100
Average : 0.1383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-13
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 2.99 %

SLF.PR.G FixedReset Quote: 24.76 – 24.97
Spot Rate : 0.2100
Average : 0.1394

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 3.57 %