Archive for October, 2013

October 22, 2013

Tuesday, October 22nd, 2013

Buffet is discussing regulation again following the latest round of regulatory extortion:

Warren Buffett, the billionaire chairman of Berkshire Hathaway Inc. (BRK/A), said JPMorgan Chase & Co. (JPM) Chief Executive Officer Jamie Dimon has little room to bargain as regulators probe the sale of faulty mortgage bonds.

“If you’re a financial institution and you’re threatened with criminal prosecution, you have no ability to negotiate,” Buffett told Bloomberg Television’s Betty Liu in an interview today. “Basically, you’ve got to be like a wolf that bares its throat, you know, when it gets to the end. You cannot win.”

Dimon reached a tentative $13 billion settlement to resolve civil disputes between JPMorgan and the U.S. government. The bank won’t be released from criminal liabilities, according to a person familiar with the talks who asked not to be identified because they were private. Some of the practices under the probe relate to Bear Stearns Cos. and Washington Mutual, which JPMorgan bought in 2008 as the housing bubble burst.

The delayed September jobs number was anemic:

Employers in the U.S. added fewer workers to payrolls than projected in September, indicating the world’s largest economy had little momentum leading up to the federal government shutdown.

The addition of 148,000 workers followed a revised 193,000 gain in August that was larger than initially estimated, Labor Department figures showed today in Washington. The median forecast of 93 economists surveyed by Bloomberg called for a 180,000 advance. Unemployment fell to 7.2 percent, the lowest level since November 2008.

Stocks and Treasuries climbed as the report supported expectations that the Federal Reserve won’t hurry to reduce the monthly bond purchases aimed at spurring growth and employment. Progress in the labor market depends on how quickly the economy can bounce back from the loss of business and confidence caused by the budget battles in Washington.

Mark Zelmer of OSFI gave a speech titled Simplicity and Supervision: Rules are not enough in New York today. Not very interesting; there may be some nuances about modelling that will be of interest to specialists. It will be remembered that OSFI has no expertise in critiquing models whatsoever. Tim Kiladze of the Globe claims it’s a regulatory scuffle:

Canada’s top banking watchdog is pushing back against a growing chorus of global regulators who want to simplify the way that banks calculate their capital cushions.

Now the Basel Committee is considering proposals to monitor simple metrics such as non-performing assets to total assets, historical profit volatility and the leverage ratio. But while OSFI, the top Canadian regulator, agrees that it can be hard to compare risk models across banks, it is strongly urging its peers not to undo a good chunk of the past five years of work. “Simplifying the rule book will not change the game,” deputy superintendent Mark Zelmer said at a conference Tuesday.

The regulator may have been keeping mum on the issue because Canada’s banks capital levels arguably don’t look as strong under the leverage ratio. Now that other major countries, like the United States, are floating ideas to surpass the Basel III minimums under the leverage ratio, OSFI is speaking up in favour of its preferred method of regulation

There is muttering about a possible Global Housing Bubble Redux:

In Germany, the Bundesbank has warned about rising prices that are “difficult to justify based on fundamental factors,” like demographics or economic expansion. The central bank observed that apartment prices in key urban centres have jumped by more than 25 per cent in the past three years – and a whopping 80 per cent in Berlin – which could spark “fears of a broad-based property price boom.”

In China, concerted government efforts to take the air out of the bubble have largely been ineffective, as witnessed by the 9.1 per cent rise in new home prices, the biggest jump in three years. In the largest cities, the increases were in the double digits.

In Britain, which is still digging its way out of recession, average prices climbed the most in three years, as mortgage lending reached levels not seen in five years. But there was Jon Cunliffe, newly appointed deputy governor of the Bank of England, telling a parliamentary committee not to worry that the government’s popular Help to Buy mortgage loan scheme might inflate a bubble.

The problem is that so many people consider housing investment to be the sure ticket to riches – and stock market investment to be the road to ruin. Here in Canada, the feds pour fuel on the fire with there reckless expansion of CHMC insurance.

Part of the solution is to make it easier to go public, with the object of allowing people to buy pieces of local business that they recognize; that means decreasing regulation.

Of course, in some cases it’s a simple case of supply and demand:

The number of new homes sold in September in the Greater Toronto Area was up four per cent from the same month last year, but 2013 is shaping up to be the weakest year in a decade, according to industry figures.

In the first nine months of this year, there were 19,327 new homes sold in the GTA – 44 per cent below the 10-year average, according RealNet Canada figures released by the Building Industry and Land Development Association.

BILD attributes the weak sales activity to a significant reduction in the supply of land for building, which has pushed up prices.

And I don’t see much hope any time soon for decreased regulation, as extra-judicial punishments increase in popularity:

The yakuza, Japan’s organized-crime syndicates that have reaped billions from activities ranging from extortion to human trafficking, are finding their ranks decimated by authorities employing methods similar to those used to jail Al Capone: going after their money.

Japan’s Financial Services Agency delivered the latest blow, last month ordering Mizuho Financial Group Inc. (8411) to improve compliance and then demanding that top executives report by Oct. 28 what they knew and when about a consumer-credit affiliate found making loans to crime groups.

While the gangs themselves aren’t illegal in Japan, violating the exclusion ordinances — which also require customers seeking financial and other services to attest to non-association with a criminal enterprise — could come with a fine of 500,000 yen ($5,080) or a year in jail.

It was a good day for the Canadian preferred share market, with PerpetualDiscounts up 21bp, FixedResets gaining 7bp and DeemedRetractibles winning 24bp. A fairly lengthy performance highlights table is dominated by winners. Volume was above average.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.7449 % 2,473.0
FixedFloater 4.28 % 3.55 % 26,818 18.32 1 0.2708 % 3,926.0
Floater 2.73 % 2.97 % 63,787 19.79 5 0.7449 % 2,670.1
OpRet 4.62 % 2.34 % 64,854 0.43 3 0.0000 % 2,643.2
SplitShare 4.77 % 5.25 % 66,127 3.98 6 0.0206 % 2,942.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,417.0
Perpetual-Premium 5.81 % 3.76 % 108,652 0.08 7 0.1594 % 2,286.9
Perpetual-Discount 5.54 % 5.58 % 167,442 14.36 30 0.2074 % 2,350.2
FixedReset 4.98 % 3.66 % 231,275 3.39 85 0.0697 % 2,443.9
Deemed-Retractible 5.14 % 4.36 % 188,983 6.70 43 0.2350 % 2,384.6
Performance Highlights
Issue Index Change Notes
FTS.PR.H FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-22
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 4.11 %
GWO.PR.N FixedReset -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 4.75 %
MFC.PR.B Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 6.51 %
PWF.PR.K Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-22
Maturity Price : 22.03
Evaluated at bid price : 22.39
Bid-YTW : 5.53 %
RY.PR.F Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.33 %
TRI.PR.B Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-22
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 2.63 %
SLF.PR.E Deemed-Retractible 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 6.44 %
MFC.PR.F FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.49
Bid-YTW : 4.74 %
CIU.PR.C FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-22
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.29 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.L Perpetual-Discount 90,279 Desjardins bought blocks of 17,200 and 54,400 from National, both at 22.65.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-22
Maturity Price : 22.39
Evaluated at bid price : 22.68
Bid-YTW : 5.63 %
ENB.PR.T FixedReset 70,418 RBC crossed 50,000 at 23.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-22
Maturity Price : 22.43
Evaluated at bid price : 23.33
Bid-YTW : 4.55 %
PWF.PR.O Perpetual-Premium 67,469 Scotia crossed 60,000 at 25.35.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 5.51 %
MFC.PR.E FixedReset 64,475 Nesbitt crossed two blocks of 25,000 each, both at 25.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.50 %
TD.PR.R Deemed-Retractible 55,033 Nesbitt crossed two blocks of 25,000 each, both at 26.05.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-11-21
Maturity Price : 26.00
Evaluated at bid price : 26.08
Bid-YTW : 0.02 %
SLF.PR.D Deemed-Retractible 44,206 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 6.58 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.H FixedReset Quote: 20.86 – 21.30
Spot Rate : 0.4400
Average : 0.2844

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-22
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 4.11 %

TRP.PR.B FixedReset Quote: 20.13 – 20.51
Spot Rate : 0.3800
Average : 0.2459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-22
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 4.01 %

IAG.PR.E Deemed-Retractible Quote: 25.38 – 25.74
Spot Rate : 0.3600
Average : 0.2751

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 5.90 %

CIU.PR.C FixedReset Quote: 19.45 – 19.79
Spot Rate : 0.3400
Average : 0.2595

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-22
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.29 %

BMO.PR.K Deemed-Retractible Quote: 25.98 – 26.20
Spot Rate : 0.2200
Average : 0.1516

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-25
Maturity Price : 25.50
Evaluated at bid price : 25.98
Bid-YTW : 4.17 %

RY.PR.B Deemed-Retractible Quote: 25.23 – 25.42
Spot Rate : 0.1900
Average : 0.1264

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 3.97 %

TD.PR.Y / TD.PR.Z Conversion Results Announced

Tuesday, October 22nd, 2013

The Toronto-Dominion Bank has announced:

that 4,518,147 of its 10 million Non-Cumulative 5-Year Rate Reset Preferred Shares, Series Y (the “Series Y Shares”) will be converted on October 31, 2013, on a one-for-one basis, into Non-Cumulative Floating Rate Preferred Shares, Series Z (the “Series Z Shares”) of TD. As a result, on October 31, 2013, TD will have 5,481,853 Series Y Shares and 4,518,147 Series Z Shares issued and outstanding. The Series Y Shares and the Series Z Shares will be listed on the Toronto Stock Exchange under the symbols TD.PR.Y and TD.PR.Z, respectively.

TD.PR.Y will reset at 3.5595%. I recommended conversion to TD.PR.Z.

DGS.PR.A Gets Bigger

Tuesday, October 22nd, 2013

Brompton Group has announced:

) Dividend Growth Split Corp. is pleased to announce that it has completed a treasury offering of 3,130,000 class A shares and 3,130,000 preferred shares for aggregate gross proceeds of approximately $60 million. Shares will continue to trade on the Toronto Stock Exchange under the existing symbols DGS (class A shares) and DGS.PR.A (preferred shares).

Dividend Growth Split Corp. invests in a portfolio of common shares of high quality, large capitalization companies, which have among the highest dividend growth rates of those companies included in the S&P/TSX Composite Index. Currently, the portfolio consists of common shares of the following 20 companies:

Great-West Lifeco Inc. The Bank of Nova Scotia AGF Management Limited Shaw Communications Inc.
Industrial Alliance Insurance
and Financial Services Inc.
Canadian Imperial Bank of
Commerce
IGM Financial Inc. TELUS Corporation
Manulife Financial Corporation National Bank of Canada Power Corporation of Canada Canadian Utilities Limited
Sun Life Financial Inc. Royal Bank of Canada Manitoba Telecom Services Enbridge Inc.
Bank of Montreal The Toronto-Dominion Bank Rogers Communications Inc. TransCanada Corporation

The class A shares were offered at a price of $9.10 and the preferred shares were offered at a price of $10.07. The final class A and preferred share offering prices were determined so as to be non-dilutive to the most recent calculated net asset value per unit of the Company prior to the filing of the prospectus.

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

The investment objectives for the preferred shares are to provide holders with fixed cumulative preferential quarterly cash distributions currently in the amount of $0.13125 per preferred share, representing a yield on the offer price of 5.2% per annum, and to return the original issue price to holders of preferred shares on the maturity date.

On October 1, 2013, the Company announced an extension of the maturity date of the class A and preferred shares of the Company for an additional 5 year term to November 28, 2019, subject to extension for successive terms of up to 5 years. The preferred share dividend rate for the extended term will be announced at least 60 days prior to the original November 30, 2014 maturity date. The new dividend rate will be determined based on then-current market yields for preferred shares with similar terms.

The syndicate of agents for the offering was led by RBC Capital Markets and CIBC and includes Scotiabank, TD Securities Inc., BMO Capital Markets, National Bank Financial Inc., GMP Securities L.P., Raymond James Ltd., Canaccord Genuity Corp., Desjardins Securities Inc., Dundee Securities Ltd., Mackie Research Capital Corporation, and Macquarie Private Wealth Inc.

The company’s intent to proceed with the Treasury Offering was previously reported on PrefBlog.

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

October 21, 2013

Tuesday, October 22nd, 2013

There’s an interesting battle shaping up for control of the Republican party:

A battle for control of the Republican Party has erupted as an emboldened Tea Party moved to oust senators who voted to reopen the government while business groups mobilized to defeat allies of the small-government movement.

“We are going to get engaged,” said Scott Reed, senior political strategist for the U.S. Chamber of Commerce. “The need is now more than ever to elect people who understand the free market and not silliness.” The chamber spent $35.7 million on federal elections in 2012, according to the Center for Responsive Politics, a Washington-based group that tracks campaign spending.

I remain a conservative, but I ended my involvement with the Conservative party when it became apparent that it was no longer the party of fiscal restraint and realism, but had morphed into a Junior Republican party.

Brian Milner of the Globe reminds us that, for all the talk of rising interest rates, the economy really needs stimulus rather than restraint:

The latest Canadian inflation figures inspire descriptions like benign, subdued, tepid and tame. Consumer price inflation remained steady in September at an annual rate of 1.1 per cent. The core price index, which excludes more volatile food and energy costs, also didn’t budge from the previous level of 1.3 per cent. With inflation essentially a non-factor, the conventional wisdom is that the Bank of Canada can afford to leave monetary policy untouched.

Right now, although prices have been rising slightly in most categories (led by booze and tobacco), the inflation rate sits perilously close to the bottom end of the bank’s target range of 1 to 3 per cent, well below the mid-point of 2 per cent the bank and its counterparts in other developed countries regard as ideal. Now, 1 per cent would be welcomed in deflation-ravaged Japan, which hasn’t posted a level that high since 2008. But it ought to be setting off warning bells here.

Isn’t market timing wonderful?

Hedge-fund manager John Paulson’s PFR Gold Fund fell 16 percent in September after bullion and related stocks declined, according to a report to investors obtained by Bloomberg News.
Last month’s loss brings the 2013 decline in the $350 million fund, which invests in gold stocks and derivatives, to 62 percent, according to the report. Bullion producers fell 9.4 percent and the metal dropped 5 percent in September after a Federal Reserve policy maker said a small reduction in bond purchases may occur in October and the threat of a U.S. attack on Syria eased.

Paulson, 57, is known for making $15 billion for his investors in 2007 by betting against subprime mortgages before the housing collapse.

Towers Perrin reports:

A strong equity market drove September financial results. The benchmark asset portfolio earned almost 3% for the month, driving the Towers Watson Pension Index up 2.6% to 74.7. With this increase the index is now up almost 20% for the year.


Click for Big

It was a slightly positive day for the Canadian preferred share market, with PerpetualDiscounts gaining 6bp, FixedResets up 7bp and DeemedRetractibles flat. The Performance Highlights Table is surprisingly lengthy considering the modest overall changes and is dominated by winners. Volume was above average; block trading data is not available.

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 0.5804 % 2,454.7
FixedFloater 4.29 % 3.56 % 27,926 18.30 1 0.2715 % 3,915.4
Floater 2.75 % 3.00 % 63,507 19.73 5 0.5804 % 2,650.4
OpRet 4.62 % 2.33 % 65,123 0.44 3 0.0642 % 2,643.2
SplitShare 4.77 % 5.25 % 63,297 3.98 6 -0.0718 % 2,942.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0642 % 2,417.0
Perpetual-Premium 5.82 % 4.96 % 108,543 0.08 7 -0.0797 % 2,283.3
Perpetual-Discount 5.55 % 5.59 % 166,612 14.37 30 0.0623 % 2,345.3
FixedReset 4.97 % 3.70 % 232,582 3.57 85 0.0695 % 2,442.2
Deemed-Retractible 5.14 % 4.44 % 188,641 6.84 43 0.0000 % 2,379.0
Performance Highlights
Issue Index Change Notes
ENB.PR.P FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 22.33
Evaluated at bid price : 23.12
Bid-YTW : 4.61 %
CIU.PR.C FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.37 %
ENB.PR.Y FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 22.27
Evaluated at bid price : 23.05
Bid-YTW : 4.52 %
BAM.PR.C Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.01 %
ENB.PR.N FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 22.92
Evaluated at bid price : 24.35
Bid-YTW : 4.45 %
BMO.PR.Q FixedReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.58
Bid-YTW : 3.67 %
BAM.PR.M Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.02 %
BAM.PF.C Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 6.16 %
BNS.PR.Y FixedReset 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 3.79 %
TRP.PR.C FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 22.09
Evaluated at bid price : 22.36
Bid-YTW : 3.91 %
IFC.PR.A FixedReset 1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.49
Bid-YTW : 4.12 %
Volume Highlights
Issue Index Shares
Traded
Notes
CIU.PR.B FixedReset 169,394 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 3.56 %
TD.PR.S FixedReset 157,774 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.67 %
BMO.PR.M FixedReset 69,493 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 3.74 %
BNS.PR.P FixedReset 64,837 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-25
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 3.69 %
CU.PR.C FixedReset 46,756 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.80 %
BMO.PR.R FixedReset 33,910 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 2.49 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRI.PR.B Floater Quote: 19.80 – 20.23
Spot Rate : 0.4300
Average : 0.3135

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 2.66 %

TD.PR.R Deemed-Retractible Quote: 26.06 – 26.33
Spot Rate : 0.2700
Average : 0.1539

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-11-20
Maturity Price : 26.00
Evaluated at bid price : 26.06
Bid-YTW : 0.78 %

IAG.PR.G FixedReset Quote: 25.55 – 25.90
Spot Rate : 0.3500
Average : 0.2363

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.75 %

MFC.PR.K FixedReset Quote: 23.45 – 23.90
Spot Rate : 0.4500
Average : 0.3517

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 4.72 %

CU.PR.F Perpetual-Discount Quote: 21.26 – 21.59
Spot Rate : 0.3300
Average : 0.2363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.38 %

ENB.PR.F FixedReset Quote: 23.37 – 23.70
Spot Rate : 0.3300
Average : 0.2374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 22.50
Evaluated at bid price : 23.37
Bid-YTW : 4.57 %

VSN.PR.C Soft On Good Volume

Tuesday, October 22nd, 2013

Veresen Inc. has announced:

that it has closed its previously announced bought deal offering of 6,000,000 Cumulative Redeemable Preferred Shares, Series C (the “Series Preferred Shares”) at a price of $25.00 per share representing aggregate gross proceeds of $150,000,000 (the “Offering”).

The Offering was first announced by Veresen on October 9, 2013 when Veresen entered into an agreement with a syndicate of underwriters co-lead by Scotiabank, TD Securities Inc. and CIBC.

Proceeds from the Offering will be used to reduce indebtedness and for general corporate purposes.

The Series C 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.

The Series C Preferred Shares will begin trading on the Toronto Stock Exchange today under the symbol “VSN.PR.C”.

VSN.PR.C is a FixedReset, 5.00%+301 announced October 9. It has been rated Pfd-3(high) [Stable] by DBRS; it will be tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

The issue traded 259,016 shares today in a range of 24.60-88 before closing at 24.70-82, 4×48.

Vital statistics are:

VSN.PR.C FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-21
Maturity Price : 23.03
Evaluated at bid price : 24.70
Bid-YTW : 4.89 %

October 18, 2013

Friday, October 18th, 2013

The New York Times touts an online personal finance video series:

After all, there are few entirely conflict-free places where investors can educate themselves on the topic, and there’s little to no money-related guidance offered within the public school system, which is where the financial groundwork should really be laid.

Joshua Rauh, a finance professor at the Stanford Graduate School of Business, is acutely aware of that. And it’s why he felt compelled to open his graduate-level course on the finance of retirement and pensions to the masses. “My goal is to try to empower people to make better decisions about their finances with an eye toward retirement and for retirees who are thinking about managing their money,” Professor Rauh said, “whether it is buying an annuity or having a spending rule.”

The course, which is offered free online, begins on Monday. I sat for nearly half of his online video lectures — on topics like “saving for retirement” and “making smart decisions as a stock market investor” — earlier this week. Watching remotely means you won’t be party to the discussion that will emerge from the Socratic method Professor Rauh uses in his traditional classroom on campus. And there are already 13,000 students, so it’s hard to expect any personal attention.

DBRS confirmed Advantaged Preferred Share Trust at STA-2 (middle):

Since October 2012, the performance of the Portfolio has been fairly stable. The weighted-average yield of the Portfolio is approximately 5.18%, as of September 30, 2013. The Trust’s current net income (including a regular additional payment under the forward agreement to offset operating expenses) covers the full distribution paid out to Unitholders. As a result, the rating of STA-2 (middle) on the Units has been confirmed. The main constraints to the rating are the interest rate risk of the Portfolio and the potential for capital losses and reductions in income resulting from underlying securities being called for redemption by their respective issuers.

DBRS confirmed TDS.PR.C at Pfd-2:

On October 18, 2012, DBRS upgraded the ratings on the Class C Preferred Shares to Pfd-2 from Pfd-2 (low), due to a steady increase in downside protection in the months leading up to the rating action, as well as a greatly improved dividend coverage ratio. Since then, performance has been generally positive, with the net asset value (NAV) of the Company fluctuating around $30.00 before increasing to $33.51 as of October 10, 2013. Downside protection available to holders of the Class C Preferred Shares increased to 70.2% as of October 2013, compared with 66.1% in October 2012. As a result, the rating of the Class C Preferred Shares has been confirmed at Pfd-2.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 6bp, FixedResets off 7bp and DeemedRetractibles up 8bp. A surprisingly lengthy performance highlights table was dominated by FixedResets, both winners and losers. Volume was enormous.

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 -0.3470 % 2,440.5
FixedFloater 4.30 % 3.57 % 28,862 18.28 1 0.0000 % 3,904.8
Floater 2.77 % 3.02 % 64,031 19.68 5 -0.3470 % 2,635.1
OpRet 4.62 % 2.72 % 64,291 0.60 3 0.0257 % 2,641.5
SplitShare 4.77 % 5.23 % 63,249 3.99 6 0.2071 % 2,944.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0257 % 2,415.4
Perpetual-Premium 5.82 % -0.07 % 108,543 0.08 7 0.2167 % 2,285.1
Perpetual-Discount 5.56 % 5.57 % 168,410 14.47 30 0.0624 % 2,343.8
FixedReset 4.98 % 3.78 % 235,758 3.40 85 -0.0656 % 2,440.5
Deemed-Retractible 5.14 % 4.40 % 187,794 6.85 43 0.0822 % 2,379.0
Performance Highlights
Issue Index Change Notes
ENB.PR.D FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 22.44
Evaluated at bid price : 23.22
Bid-YTW : 4.53 %
BNS.PR.Y FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 4.02 %
TRP.PR.A FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 22.97
Evaluated at bid price : 23.47
Bid-YTW : 4.11 %
BAM.PR.K Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.05 %
BAM.PR.B Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 3.02 %
MFC.PR.F FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.02
Bid-YTW : 5.00 %
HSB.PR.D Deemed-Retractible 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.38 %
PWF.PR.A Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 22.50
Evaluated at bid price : 22.76
Bid-YTW : 2.30 %
IFC.PR.C FixedReset 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 3.28 %
SLF.PR.G FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 4.35 %
FTS.PR.H FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.08 %
CU.PR.C FixedReset 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 3.60 %
BAM.PR.X FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 21.67
Evaluated at bid price : 21.96
Bid-YTW : 4.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
CIU.PR.B FixedReset 193,575 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 3.52 %
TD.PR.S FixedReset 168,183 I assume the index weight changed, due to partial conversion to TD.PR.T, which has been added to TXPR.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.69 %
W.PR.H Perpetual-Discount 166,758 Added to TXPR.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 5.65 %
BMO.PR.R FixedReset 147,381 Added to TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 2.48 %
FTS.PR.K FixedReset 130,701 Added to TXPR.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 22.99
Evaluated at bid price : 24.58
Bid-YTW : 3.96 %
PWF.PR.L Perpetual-Discount 124,494 National sold 10,000 to TD at 22.70, then crossed 12,300 at 22.65. Anonymous crossed 10,000 at 22.66, then sold 45,000 to Desjardins at the same price and 15,000 to National at the same price again.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 22.37
Evaluated at bid price : 22.66
Bid-YTW : 5.64 %
BMO.PR.M FixedReset 122,454 TD crossed blocks of 44,800 and 20,000 at 24.58. Nesbitt crossed 50,000 at 24.57.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 3.78 %
CM.PR.M FixedReset 101,430 RBC crossed two blocks of 50,000 each, both at 25.82.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 2.63 %
There were 77 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ENB.PR.Y FixedReset Quote: 22.80 – 23.14
Spot Rate : 0.3400
Average : 0.1960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 22.13
Evaluated at bid price : 22.80
Bid-YTW : 4.61 %

BAM.PR.C Floater Quote: 17.35 – 17.75
Spot Rate : 0.4000
Average : 0.2707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 3.04 %

BNA.PR.C SplitShare Quote: 24.16 – 24.46
Spot Rate : 0.3000
Average : 0.1902

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.16
Bid-YTW : 5.23 %

BNS.PR.Y FixedReset Quote: 23.35 – 23.62
Spot Rate : 0.2700
Average : 0.1673

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 4.02 %

CU.PR.G Perpetual-Discount Quote: 21.10 – 21.49
Spot Rate : 0.3900
Average : 0.2927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-18
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.41 %

CGI.PR.D SplitShare Quote: 23.80 – 24.07
Spot Rate : 0.2700
Average : 0.1899

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 4.43 %

October 17, 2013

Friday, October 18th, 2013

It appears that some people are ecstatic that Armageddon has been delayed by three months:

U.S. stocks rose, sending the Standard & Poor’s 500 Index to a record, as speculation grew that the Federal Reserve will maintain the pace of stimulus after Congress ended the budget standoff.

The S&P 500 rose 0.7 percent to 1,733.15 at 4 p.m. in New York, surpassing the previous record of 1,725.52 from Sept. 18. The Dow Jones Industrial Average fell 2.18 points to 15,371.65, held down by IBM and Goldman Sachs. About 6.6 billion shares changed hands on U.S. exchanges, 12 percent above the three-month average.

“The taper seems a little bit further out, certainly than anybody expected eight weeks ago and maybe even just a couple of weeks ago,” Walter Todd, chief investment officer at Greenwood Capital Inc., said in a phone interview from Greenwood, South Carolina. He helps manage $950 million. “It keeps a lid on rates and provides more liquidity for risk assets like stocks. People are back to focusing on the individual company dynamics that occur during earnings season.”

The S&P 500 gained 2.4 percent during the 16-day government closure that ended yesterday after President Barack Obama signed a bill to fund the government through Jan. 15 and extend the borrowing authority through Feb. 7.

My favourite Fed President, Richard Fisher, has some interesting views on US housing:

A top Federal Reserve official said on Thursday he is seeing fresh signs of a U.S. “housing bubble” and warned about the central bank’s ongoing purchases of mortgage-based bonds.

“I’m beginning to see signs not just in my district but across the country that we are entering, once again, a housing bubble,” Dallas Fed President Richard Fisher told reporters after a speech in New York. “So that leads me … to be very cautious about our mortgage-backed securities purchase program.”

Fisher, a vocal hawk on monetary policy, repeated he would not support a reduction in the quantitative easing (QE) program at a Fed meeting later this month in large part because of the fiscal “mess” in Washington.

But citing rising year-on-year house prices in Texas cities, and elsewhere in the country, he warned that the central bank’s hyper-accommodative policies could be inflating dangerous asset price bubbles.

It was a fine day for the Canadian preferred share market, with PerpetualDiscounts winning 42bp, FixedResets gaining 5bp and DeemedRetractibles up 20bp. The Performance Highlights table is heavily skewed towards the two better classes. Volume was high, with the Volume Highlights table comprised entirely of FixedResets.

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 0.1896 % 2,449.0
FixedFloater 4.30 % 3.57 % 27,863 18.29 1 0.4089 % 3,904.8
Floater 2.76 % 2.98 % 64,182 19.78 5 0.1896 % 2,644.3
OpRet 4.62 % 2.59 % 65,012 0.61 3 -0.0642 % 2,640.8
SplitShare 4.78 % 5.28 % 61,734 3.99 6 -0.3308 % 2,938.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0642 % 2,414.8
Perpetual-Premium 5.83 % 4.16 % 108,489 0.08 7 -0.0228 % 2,280.2
Perpetual-Discount 5.56 % 5.59 % 158,504 14.46 30 0.4166 % 2,342.4
FixedReset 4.97 % 3.79 % 233,547 3.41 85 0.0460 % 2,442.1
Deemed-Retractible 5.14 % 4.45 % 190,418 6.85 43 0.1963 % 2,377.0
Performance Highlights
Issue Index Change Notes
IAG.PR.E Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 5.90 %
FTS.PR.J Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 22.33
Evaluated at bid price : 22.65
Bid-YTW : 5.30 %
CIU.PR.C FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.31 %
SLF.PR.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 4.47 %
CU.PR.F Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.35 %
TRP.PR.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 23.27
Evaluated at bid price : 23.77
Bid-YTW : 4.06 %
SLF.PR.B Deemed-Retractible 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 6.35 %
CIU.PR.A Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.66 %
SLF.PR.A Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 6.40 %
BAM.PF.D Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.11 %
BAM.PR.N Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset 107,851 Scotia crossed 100,000 at 24.87.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 23.03
Evaluated at bid price : 24.71
Bid-YTW : 4.14 %
TD.PR.S FixedReset 106,062 Scotia crossed 37,300 at 24.50; Nesbitt crossed 63,800 at 24.50.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.47
Bid-YTW : 3.71 %
BMO.PR.M FixedReset 93,020 Nesbitt crossed blocks of 25,000 and 50,000, both at 24.58. According to TMXMoney, anyway. The Financial Post report is difficult to make out.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 3.79 %
MFC.PR.J FixedReset 73,976 Scotia crossed 70,500 at 25.17.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.07 %
IAG.PR.G FixedReset 63,749 Scotia crossed 56,500 at 25.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 3.79 %
BAM.PF.A FixedReset 63,545 Scotia crossed 50,000 at 24.33.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 4.82 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNA.PR.E SplitShare Quote: 24.47 – 24.87
Spot Rate : 0.4000
Average : 0.2807

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.47
Bid-YTW : 5.61 %

GCS.PR.A SplitShare Quote: 24.73 – 25.00
Spot Rate : 0.2700
Average : 0.1632

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 4.24 %

MFC.PR.K FixedReset Quote: 23.45 – 23.85
Spot Rate : 0.4000
Average : 0.3032

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 4.73 %

BAM.PR.M Perpetual-Discount Quote: 19.65 – 19.92
Spot Rate : 0.2700
Average : 0.1842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.11 %

TRP.PR.C FixedReset Quote: 22.01 – 22.34
Spot Rate : 0.3300
Average : 0.2478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.00 %

W.PR.J Perpetual-Discount Quote: 24.71 – 24.98
Spot Rate : 0.2700
Average : 0.1894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-17
Maturity Price : 24.47
Evaluated at bid price : 24.71
Bid-YTW : 5.70 %

GWO Seeks "Greater Flexibility To Manage Its Capital Structure"

Thursday, October 17th, 2013

Great-West Lifeco has announced:

that it will seek the consent of the holders of its 6.67% Debentures due March 21, 2033 (the “2033 Debentures”) to amend the trust indenture dated as of March 21, 2003, between Great-West Lifeco and Computershare Trust Company of Canada, as trustee, as amended and supplemented. The consent will eliminate the replacement capital covenants and related provisions applicable to certain of Great-West Lifeco’s preferred shares, the 5.691% Subordinated Debentures due June 21, 2067 issued by Great-West Lifeco Finance (Delaware) LP and the 7.127% Subordinated Debentures due June 26, 2068 issued by Great-West Lifeco Finance (Delaware) LP II.

Great-West Lifeco is seeking to remove the replacement capital covenants in order to have greater flexibility to manage its capital structure. Removal of the replacement capital covenants would provide Great-West Lifeco with the ability to be responsive to credit rating agency considerations and emerging regulatory capital developments. The proposed changes do not imply that Great-West Lifeco intends to take any future action with respect to the redemption of any of the securities currently subject to the replacement capital covenants.

Great-West Lifeco will solicit consents from holders of record of the 2033 Debentures as of 5:00 p.m., Toronto time, on October 11, 2013. The proposed amendments require the consent of holders of not less than 66 2/3% of the outstanding principal amount of the 2033 Debentures. The terms and conditions of the consent solicitation will be included in the consent solicitation statement and the accompanying form of consent.

Certain information regarding the 2033 Debentures and the terms of the offer and the consent solicitation is summarized in the table below:

Debentures CUSIP No. Principal Amount Outstanding Consent Fee (per $1,000
principal amount)
6.67% Debentures due March 21, 2033 39138CAD8 $400,000,000 $12.50

Great-West Lifeco will pay a consent fee of $12.50 in cash for each $1,000 in principal amount of 2033 Debentures for which Great-West Lifeco has received a valid (and unrevoked) consent prior to the expiration of the solicitation, subject to the conditions of the solicitation. Assuming receipt of the requisite 66 2/3% consent, payments of the consent fee are anticipated to be made to holders of the 2033 Debentures that provide valid (and unrevoked) consents on the third business day following the expiration of the solicitation. If the proposed amendments are approved, the amendments will bind all holders of the 2033 Debentures, including those that did not provide a consent.

The solicitation will expire at 5:00 p.m. (Toronto time) on October 30, 2013, unless extended by Great-West Lifeco at its discretion (such time on such date, as the same may be extended, the “Expiration Date”).

Great-West Lifeco will make an announcement by press release of any extension of the Expiration Date prior to 9:00 a.m. (Toronto time), on the next business day after the previously scheduled Expiration Date. Holders may deliver their consents with respect to the solicitation at any time prior to the Expiration Date. Holders may revoke their consents until the earlier of the Expiration Date and the date that the proposed amendment to the trust indenture is executed and becomes effective. Any holder who validly revokes a consent will not be eligible to receive the consent fee, unless such consent is redelivered and accepted by Great-West Lifeco prior to the Expiration Date.

Great-West Lifeco has retained RBC Dominion Securities Inc. to serve as the solicitation agent for the solicitation, Georgeson Shareholder Communications Canada Inc. to serve as the information agent and Computershare Trust Company of Canada to serve as the tabulation agent. Questions regarding the solicitation may be directed to RBC Dominion Securities Inc. at (416) 842-6311.

This is rather interesting – a vote to change a bond indenture doesn’t come up very often and the consent fee – of over a dollar a bond – is quite attractive.

According to the Consent Solicitation Statement:

The principal effect of the replacement capital covenant is to require that a specified portion of any funds used to repurchase, redeem or repay the Preferred Stock, GWL-LP Subordinated Debentures and GWL-LP II Subordinated Debentures must be obtained by the Corporation through the issuance of common shares or other equity or equity-like securities, in each case within a specified time period prior to the applicable repurchase, redemption or repayment.

The replacement capital covenants were provided by the Corporation voluntarily. For that reason, consent of the Holders of the 2033 Debentures was not required under the Indenture. The replacement capital covenants afforded Great-West Lifeco enhanced credit rating agency capital treatment. Subsequent changes to credit rating methodology means this benefit is no longer available to Great-West Lifeco. Accordingly, Great-West Lifeco is seeking to remove the replacement capital covenants in order to have greater flexibility to manage its capital structure without being subject to the restrictions and constraints of the replacement capital covenants.

So why don’t they just redeem these sub-debs, with their enormous (by current standards) coupon? A look at the prospectus (available on SEDAR, dated March 14, 2003; I am not allowed to link to this prospectus due to the bank-owned CDS’ abuse of the monopoly granted to it by the regulators) reveals:

The Corporation may, at its option, redeem Debentures on not less than 30 nor more than 60 days’ prior notice to the registered holder, in whole at any time or in part from time to time, at a redemption price equal to the greater of the Canada Yield Price and par, together in each case with accrued and unpaid interest to the date fixed for redemption. In cases of partial redemption of Debentures issued under a Trust Indenture, the Debentures to be redeemed will be selected by the Trustee pro rata or in such manner as it shall deem equitable. Any Debentures that are redeemed by the Corporation will be cancelled and will not be reissued.

‘‘Canada Yield Price’’, shall mean a price which, if the Debentures were to be issued at such price on the redemption date, would provide a yield thereon from the redemption date to March 21, 2018 in the case of 2018 Debentures and March 21, 2033 in the case of 2033 Debentures, equal to the Government of Canada Yield, plus 24 basis points for the 2018 Debentures and 30 basis points for the 2033 Debentures, compounded semi-annually and calculated on the day that is three business days prior to the date of redemption.

So say that 20-year Canadas are now at 3.00% (approximately) then the Canada Yield is 3.30% and the Canada Price is around $148 per $100 bond – a pretty fat premium and illustrative of just how wonderful Canada Calls are, as opposed to regular calls. Paying a premium of $1.25 (plus expenses) to change the indenture is a lot cheaper.

But just why they are doing this is a little mysterious. Given that 400-million par value of these things is outstanding, GWO is prepared to spend $5-million (plus expenses of … what? half a million?) to get this flexibility. While this is hardly crippling to a company the size of GWO, it’s not pocket change either. While they say The proposed changes do not imply that Great-West Lifeco intends to take any future action with respect to the redemption of any of the securities currently subject to the replacement capital covenants that’s a little bit of a fuzzy statement, if you look at it carefully … and besides, a contingency plan with a 99.999% chance of being executed is still only a contingency.

They have a few Straight Perpetuals with fat coupons outstanding, led by GWO.PR.F at 5.9% which is currently callable at par. Of more immediate interest is GWO.PR.J, a FixedReset, 6.00%+307, which has its first Exchange Date on 2013-12-31. This certainly looks like it should be called on economic grounds, but they may not wish to issue new securities to replace the capital; and it may be worth $5.5-million to them to avoid the necessity. In addition:

The Canada Life Assurance Company has one subordinated debenture outstanding with a face amount of $100 million. Great-West Lifeco Finance (Delaware) LP has one subordinated debenture outstanding with a face amount of $1 billion. Great-West Lifeco Finance (Delaware) LP II has one subordinated debenture outstanding with a face amount of $500 million. Great-West Life & Annuity Insurance Capital, LP has one subordinated debenture outstanding with a face amount of US$175 million, and Great-West Life & Annuity Insurance Capital, LP II has one subordinated debenture outstanding with a face amount of US$300 million.

From the 2012 Annual Report:

The Company regards the Series F, G, H, I, L, M, P, Q and R preferred shares as part of its core or permanent capital. The Series F, G, H, I, L and M preferred shares have a replacement capital covenant, the Company only intends to redeem these shares with proceeds raised from new capital instruments representing equal or greater benefit than the shares currently outstanding. The Series P, Q and R preferred shares do not have a replacement capital covenant. The Company regards the two series of subordinated debentures totaling $1,500 million issued by two subsidiary companies, Great-West Lifeco Finance (Delaware) LP and LPII, as comprising part of its core or permanent capital. As such the Company only intends to redeem the subordinated debentures prior to maturity with new capital instruments with a similar or more junior ranking security. The terms and conditions of the $1,000 million subordinated debentures due June 21, 2067 bear interest at a rate of 5.691% until 2017 and, thereafter at a rate equal to the Canadian 90-day Bankers’ Acceptance rate plus 1.49%, unsecured. The terms of the $500 million subordinated debentures due June 26, 2068 bear interest at a rate of 7.127% until 2018 and, thereafter, at a rate equal to the Canadian 90-day Bankers’ Acceptance rate plus 3.78%, unsecured.

I consider it rather odd that the Series J preferreds are not regarded as core capital, but this – contrary to my initial expectations – is not a new thing: they are omitted from the list in each of the past four Annual Reports. None of the words “permanent”, “replacement” or “indenture” occurs anywhere in the Series J prospectus, dated Nov 13 2008, but there’s nothing of interest in the Series M prospectus dated February 24, 2010, either, so that doesn’t mean much.

So anyway, I will admit that I am perplexed by this solicitation. The most facile answer is that they want to redeem GWO.PR.F (with its 5.9% coupon) and don’t want to issue replacement capital (or want to have the option to do this), but I wouldn’t place any large bets on that possibility.

Another possibility is that the covenant somehow violates OSFI rules and they have to get rid of it in order to qualify the preferreds, or perhaps even the sub-debs themselves, as quality – or consider that there is a high enough probability of this being a requirement that they want to get it out of the way.

Any opinions on possible motivations for this action will be most welcome!

GWO has the following preferred shares outstanding: GWO.PR.F, GWO.PR.G, GWO.PR.H, GWO.PR.I, GWO.PR.J, GWO.PR.L, GWO.PR.M, GWO.PR.N, GWO.PR.P, GWO.PR.Q and GWO.PR.R.

Update, 2013-11-7: GWO increased the consent fee

Great-West Lifeco Inc. is amending the terms of its consent solicitation of the holders of its 6.67% Debentures due March 21, 2033 (the “2033 Debentures”) to eliminate the replacement capital covenants and related provisions applicable to certain of Great-West Lifeco’s preferred shares, the 5.691% Subordinated Debentures due June 21, 2067 issued by Great-West Lifeco Finance (Delaware) LP and the 7.127% Subordinated Debentures due June 26, 2068 issued by Great-West Lifeco Finance (Delaware) LP II.

The consent solicitation is amended to provide that Great-West Lifeco will pay a consent fee of $17.50 in cash for each $1,000 in principal amount of 2033 Debentures to all holders of 2033 Debentures provided that it has received the requisite consent from 66 2/3% of the holders of the 2033 Debentures. If the proposed amendments are approved, the amendments will bind all holders of the 2033 Debentures, including those that did not provide a consent.

All other terms of the solicitation remain in effect unamended including the expiration of the solicitation at 5:00 p.m. (Toronto time) on Wednesday, October 30, 2013.

… and obtained consent:

Great-West Lifeco Inc. successfully completed its consent solicitation of the holders of its 6.67% Debentures due March 21, 2033 (the “2033 Debentures”). The holders of the 2033 Debentures approved the elimination of the replacement capital covenants and related provisions applicable to certain of Great-West Lifeco’s preferred shares, the 5.691% Subordinated Debentures due June 21, 2067 issued by Great-West Lifeco Finance (Delaware) LP and the 7.127% Subordinated Debentures due June 26, 2068 issued by Great-West Lifeco Finance (Delaware) LP II.

October 16, 2013

Wednesday, October 16th, 2013

The GSE debate is resurfacing, just like all the other Hallowe’en zombies:

President Barack Obama and lawmakers from both parties have called for the two mortgage-finance companies to be replaced by a new U.S. housing system. While the official position hasn’t changed, a bipartisan group of U.S. senators writing legislation is grappling with how to ensure that changes to Fannie Mae and Freddie Mac don’t disrupt the recovering housing market.

Some Democrats said they are leery of engineering a switch that would liquidate the government-sponsored enterprises, or GSEs, leaving it to private entities to risk their own capital on home loans.

Since they nearly collapsed during the 2008 credit crisis, the two companies have drawn $187.5 billion from taxpayers and have been considered too politically toxic to be preserved. While the U.S. holds controlling stakes, the outcome will affect private investors including hedge funds Perry Capital and Paulson and Co., which have accumulated preferred shares and have spent months lobbying for Fannie Mae and Freddie Mac to be recapitalized.

Driving investor hopes and the change in tone are the record profits Fannie Mae and Freddie Mac (FMCC) have been posting as the housing market rebounds from the worst recession since the 1930s. The companies are required to send almost all of those profits back to the Treasury. So far, they’ve remitted about $146 billion, which under terms of the bailout counts as a return on the U.S. investment rather than a repayment.

Shareholders including Perry Capital and Fairholme Funds Inc. have sued the U.S., charging that Treasury is expropriating the value of its investors’ preferred shares in Fannie Mae and Freddie Mac. Those suits are adding urgency to lawmakers’ efforts.

James Hamilton of Econbrowser commented in August:

I have not seen the details of the specific proposals favored by Senators Corker and Warner or President Obama. If the suggestion is to return Fannie and Freddie to the status of supposedly non-governmental entities, insisting that this time the government really, truly would not bail them out if they get into trouble, I would not support the plan. We tried that idea, and it’s just not operational. The notion that a truly private company could plausibly earn its profit by guaranteeing trillions of dollars in mortgages is on its face implausible, because there is no private strategy that could truly diversify or hedge away the risk associated with major aggregate disruptions. What Fannie or Freddie really did was “guarantee” the loans as long as times were good, and count on federal assistance when times were bad.

If instead the proposal is to keep Fannie and Freddie in government receivership, and with that authority gradually slow and eventually stop the GSEs’ issuance of new debt and guarantees, then I am all on board.

The Tea Party is in a tizzy about China:

The U.S. must “shoulder its responsibility” as the world’s biggest economy and holder of the main reserve currency and “take concrete measures before Oct. 17 to avoid a default,” Deputy Finance Minister Zhu Guangyao said at a briefing with reporters yesterday in Beijing in which he referred to “the attitude of the Tea Party.”

Lawmakers tied to the Tea Party didn’t appreciate the advice, even from a nation that holds almost a quarter of foreign-owned Treasuries — $1.28 trillion as of July.

“They need to stay out of our politics,” Representative Blake Farenthold, a Tea Party-backed Texas Republican, said in an interview. China’s criticism “almost sounds like a threat,” said Representative Ted Yoho, a Florida Republican. “For them to say something derogatory about the Tea Party, I take offense to that.”

It would appear that the Tea Party needs remedial education about the relationship between “paying the piper” and “calling the tune”. But they may have actually gone too far this time:

But some of them had to be queasy when they saw an NBC News-Wall Street Journal poll last week: Only 24 percent of Americans had a favorable view of the Republican Party, the lowest ever. By eight points, the public said it preferred a Congress controlled by the Democrats over one in Republican hands. Positive feelings toward the Tea Party fell to an all-time low.

Meanwhile, fear is taking its toll:

Investors pulled $41.6 billion from U.S. money-market mutual funds in the past week, or 1.6 percent of total assets, as concern grew over lawmakers’ inability to strike a budget deal that would avert a default on Treasury securities.

The exodus in the seven days through yesterday was punctuated by the withdrawal of $21.6 billion on Oct. 11, according to research firm Crane Data LLC in Westborough, Massachusetts. Investors pulled $15.7 billion in the preceeding seven days.

While the spike appeared connected to the approaching debt ceiling, it was exacerbated by companies moving cash to make bi-monthly payroll and meet a quarterly tax payment deadline on the next business day, Peter Crane, president of Crane Data, said in an interview.

The capitalist folk hero has commented on US bank regulation:

Billionaire investor Warren Buffett said JPMorgan Chase & Co. (JPM) Chief Executive Officer Jamie Dimon will withstand litigation and legal probes that led his bank to take a $7.2 billion charge in the third quarter.

“If a cop follows you for 500 miles (800 kilometers), you’re going to get a ticket,” Buffett, the chairman and CEO of Berkshire Hathaway Inc. (BRK/A), said today in an interview on CNBC. “And believe me, you’ve had a lot of cops that have been following a long time, and they’re going to write some tickets.”

Banks rely on so many licenses that the threat of criminal charges can undermine their business, Buffett said. The billionaire served as interim chairman and CEO of Salomon Inc. in 1991 and 1992 as the company sought to recover from involvement in a Treasury debt auction scandal.

“A large financial institution just can’t take that,” he said. “You are in a terrible negotiating position, and I’ve been in that position. If they want to take a pound of flesh, they can take a pound of flesh. But if they want to take a ton of flesh, they can take that, too.”

The Feds have succeeded in driving away foreign capital:

Egyptian telecom investor Naguib Sawiris vows to never again consider investing in Canada after the federal government’s decision to block a $520-million bid for Manitoba Telecom Services Inc.’s Allstream division, according to a published report.

“I am finished with Canada, I tell you,” Mr. Sawiris is quoted in a lengthy article in Ahram Online, the English-language website of Egyptian news organization Al-Ahram.

I was very pleased to learn of a proposal to mitigate the effects of the dairy monopoly:

The Canadian government has struck a tentative trade deal with the European Union but is now seeking the consent of all the provinces before agreeing to the accord, sources say.

The development comes after a breakthrough in long-running talks where Ottawa agreed to more than double the amount of European cheese that can enter this country without facing steep protectionist tariffs.

Getting unanimous provincial consent sounds like a job and a half, but perhaps somebody will convince Marois that Muslims don’t eat dairy products. Regrettably:

NDP Leader Thomas Mulcair signalled he’s girding to fight the deal on the grounds it would allow in more than 13,500 additional tonnes of European cheese each year, a development that threatens to crowd out Canadian product.

I have sent the following eMail to my NDP MP:

I was very disappointed to learn ([LINK]) that the NDP intends to oppose an increase in the amount of European cheese that can enter this country without facing steep protectionist tariffs.

Why does the NDP favour charging single mums and kids extortionate rates for their dairy products in order to prop up a grossly inefficient industry that has as its main purpose the subsidization of bucolic lifestyles for the favoured few?

Why are you making it more difficult for working Canadians to provide nutritious food to their families?

But don’t worry, Big Government fans! There are plenty of little piggies waiting for their turn at the trough:

Newspaper publisher turned wannabe oilman David Black says he’s looking for $8-billion in loan guarantees from Ottawa to help cover the costs of his planned $26-billion oil refinery project. Mr. Black argues the undertaking is crucial to the country’s economy, and could even help build the energy partnership between Alberta and British Columbia.

It’s a black day for the professionalism of the Canadian investment management industry, such as it is. It looks like the OTPP’s foray into politics (sneered at on October 7) comes straight from the top:

Ontario’s proposal to create a voluntary disclosure rule to boost women on boards is unlikely to cause much improvement and will likely have to be turned into a quota, warns the head of Ontario Teachers’ Pension Plan.

Speaking at a public forum Wednesday hosted by the Ontario Securities Commission, Jim Leech said Canada has a smaller proportion of women on corporate boards than countries like Turkey and Poland. He said voluntary disclosure rules can be tried for three or four years, but will probably end up being rejected as inadequate.

“Let’s skip this intermediate step we don’t think is going to work,” Mr. Leech proposed.

Teachers has urged regulators to instead require all public company boards to have at least three women directors.

Maybe Leech is sucking political arse in hopes of a position with the proposed Ontario Pension Plan.

Ottawa’s busy with another idiotic throne speech:

“Our government will introduce balanced-budget legislation,” the speech, read by Governor-General David Johnston Wednesday, said.

There are loopholes in the balanced-budget legislation if the economic turns sour. “It will require balanced budgets during normal economic times and [set] concrete timelines for returning to balance in the event of an economic crisis,” the Throne Speech said.

Balanced-budget legislation has been criticized as gimmicky because a future government could simply pass a bill repealing it.

So Spend-Every-Penny is up to his usual tricks – claiming that a balanced budget is a major accomplishment, while doing absolutely nothing to run a surplus in good times.

There’s an interesting trend on Wall Street:

Inside One Equity Partners are as many as eight Olympians and even more of their world- or Olympic gold medals, said managing partner Dick Cashin, who competed internationally as a rower and now hires former college athletes while recommending others do the same.

“Everybody thinks sports is about winning,” says the 60-year-old Cashin, who didn’t earn a medal as a member of the 1972 U.S. Olympic team. “For me, it’s more about losing and then figuring out a way to win. It’s those things that make working with athletes and hiring former athletes a reasonable thing to consider.”

I don’t have the experience to endorse the idea – and, more importantly, I don’t have the experience for you guys to accept any endorsement of mine as meaning anything – but there is a similarity to my favouring of science grads. Science grads make great analytical employees because they have the attitude that for every question, there is exactly one right answer. We can’t get there, but we can get close, and the closer your answer is to the Platonic ideal, the better it is. An athlete’s win/loss mentality is similar. Leave second place to the Arts students.

DBRS has confirmed LB.PR.E (PerpetualDiscount) and LB.PR.F (FixedReset) at Pfd-3(low) with a Positive Trend:

Laurentian’s improved earnings profile has contributed to its ability to sustain profitability from core businesses, despite a slowing Québec economy. Segment and geographic diversification continues to improve with the growth of B2B Bank (organically and through acquisitions). Notwithstanding, geographic concentration continues to be a challenge, with 62% of the loans based in Québec at the end of Q3 2013. The Bank has been able to generate consistently respectable levels of profitability in the face of maintaining conservative credit and financial risk profiles. There have been some gains made in Laurentian’s expense ratio from 2012 to the first nine months of 2013, but the cost structure remains high.

DBRS has confirmed CWB.PR.A at Pfd-3(high) [Stable]:

CWB’s most important strengths are its strong asset quality as evidenced by its very long history of low write-off rates, its proven niche strategy using relationship-based lending, its low cost base (partially due to business mix) and its strong internal capital generation. Additionally, funding diversification has improved over the past several years. CWB recently recorded its 101st consecutive profitable quarter.

Challenges remain, including concentration in the loan book, both geographically (Alberta and British Columbia) and by industry (commercial, construction and real estate lending), although the secured nature of the loan book and low write-off rates suggest this issue has been well managed throughout the Bank’s history.

It was a mildly negative day for the Canadian preferred share market, with PerpetualDiscounts off 2bp, FixedResets losing 17bp and DeemedRetractibles down 3bp. Given such lack of movement the Performance Highlights table is surprisingly lengthy, featuring losing FixedResets. Volume was above average.

Update: US uncertainty resolved… for a while:

The U.S. Congress voted to halt the 16-day government shutdown and raise the U.S. debt limit, ending the nation’s fiscal impasse.

The House of Representatives voted 285-144 to clear a measure that now heads to President Barack Obama for his signature. The House vote was less than three hours after the Senate passed the bill, 81-18.

The agreement negotiated by Senate Majority Leader Harry Reid and Minority Leader Mitch McConnell will fund the government at Republican-backed spending levels through Jan. 15, 2014, and suspend the debt limit through Feb. 7, setting up another round of confrontations then.

All of the votes against the proposal in the Senate were from Republicans. One senator, Republican James Inhofe of Oklahoma, was absent.

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 0.0633 % 2,444.4
FixedFloater 4.32 % 3.58 % 28,972 18.26 1 0.0000 % 3,888.9
Floater 2.77 % 2.98 % 63,588 19.78 5 0.0633 % 2,639.3
OpRet 4.62 % 2.77 % 63,971 0.45 3 -0.0769 % 2,642.5
SplitShare 4.76 % 5.10 % 64,290 3.99 6 0.0540 % 2,948.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0769 % 2,416.3
Perpetual-Premium 5.83 % 3.96 % 108,961 0.08 7 0.0725 % 2,280.7
Perpetual-Discount 5.58 % 5.61 % 159,522 14.44 30 -0.0204 % 2,332.7
FixedReset 4.98 % 3.77 % 230,721 3.41 85 -0.1669 % 2,441.0
Deemed-Retractible 5.15 % 4.42 % 191,828 6.85 43 -0.0345 % 2,372.4
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 21.28
Evaluated at bid price : 21.56
Bid-YTW : 4.50 %
TRP.PR.C FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 3.98 %
IFC.PR.A FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.34 %
MFC.PR.K FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 4.76 %
TRP.PR.A FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 23.00
Evaluated at bid price : 23.50
Bid-YTW : 4.11 %
SLF.PR.H FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.23 %
CGI.PR.D SplitShare 1.28 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 4.43 %
CIU.PR.C FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.36 %
GWO.PR.N FixedReset 1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.17
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.P FixedReset 102,522 RBC crossed 100,000 at 26.17.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 2.59 %
BAM.PF.C Perpetual-Discount 50,267 TD crossed 17,000 at 19.55.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.27 %
GWO.PR.I Deemed-Retractible 30,513 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.18
Bid-YTW : 6.49 %
BMO.PR.M FixedReset 29,113 RBC crossed 15,100 at 24.64.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.59
Bid-YTW : 3.76 %
BAM.PF.D Perpetual-Discount 27,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.19 %
TD.PR.R Deemed-Retractible 25,444 TD crossed 25,000 at 25.97.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.75
Evaluated at bid price : 25.96
Bid-YTW : 3.45 %
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: 22.31 – 23.29
Spot Rate : 0.9800
Average : 0.6621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 22.08
Evaluated at bid price : 22.31
Bid-YTW : 2.35 %

TRI.PR.B Floater Quote: 19.75 – 20.49
Spot Rate : 0.7400
Average : 0.6263

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 2.67 %

MFC.PR.K FixedReset Quote: 23.39 – 23.70
Spot Rate : 0.3100
Average : 0.1971

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 4.76 %

FTS.PR.J Perpetual-Discount Quote: 22.41 – 22.89
Spot Rate : 0.4800
Average : 0.3750

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 22.10
Evaluated at bid price : 22.41
Bid-YTW : 5.36 %

BAM.PR.G FixedFloater Quote: 22.01 – 22.53
Spot Rate : 0.5200
Average : 0.4284

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 22.42
Evaluated at bid price : 22.01
Bid-YTW : 3.58 %

TRP.PR.B FixedReset Quote: 20.16 – 20.49
Spot Rate : 0.3300
Average : 0.2540

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-16
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 4.05 %

BNS.PR.Q / BNS.PR.B Conversion Results Announced

Wednesday, October 16th, 2013

The Bank of Nova Scotia has announced:

that 5,960,732 of its 14,000,000 Non-cumulative 5-Year Rate Reset Preferred Shares Series 20 of Scotiabank (the “Preferred Shares Series 20”) have been elected for conversion on October 26, 2013, on a one-for-one basis, into Non-cumulative Floating Rate Preferred Shares Series 21 of Scotiabank (the “Preferred Shares Series 21”). Consequently, on October 26, 2013, Scotiabank will have 8,039,268 Preferred Shares Series 20 and 5,960,732 Preferred Shares Series 21 issued and outstanding. The Preferred Shares Series 20 and Preferred Shares Series 21 will be listed on the Toronto Stock Exchange under the symbols BNS.PR.Q and BNS.PR.B, respectively.

I had previously recommended conversion of BNS.PR.Q to BNS.PR.B.