Archive for February, 2014

February 28, 2014

Friday, February 28th, 2014

Nothing happened today.

It was another positive day for the Canadian preferred share market, with PerpetualDiscounts winning 17bp, FixedResets gaining 10bp and DeemedRetractibles up 13bp. Volatility was merely average, but the Performance Highlights table is comprised entirely of winners, all but one of them a FixedReset. Volume was average, but the highlights were uniformly FixedResets.

And that’s it for another month!

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 0.1854 % 2,421.0
FixedFloater 4.70 % 4.29 % 28,018 17.78 1 0.4975 % 3,608.5
Floater 2.99 % 3.13 % 54,629 19.35 4 0.1854 % 2,614.0
OpRet 4.62 % -3.73 % 68,580 0.08 3 0.0513 % 2,693.9
SplitShare 4.86 % 4.67 % 56,760 4.36 5 -0.0401 % 3,048.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0513 % 2,463.3
Perpetual-Premium 5.65 % 0.01 % 96,504 0.08 12 -0.0049 % 2,343.4
Perpetual-Discount 5.50 % 5.58 % 137,896 14.47 26 0.1718 % 2,410.2
FixedReset 4.71 % 3.62 % 221,125 4.50 77 0.0994 % 2,507.5
Deemed-Retractible 5.09 % 3.58 % 168,499 0.97 42 0.1311 % 2,449.7
FloatingReset 2.64 % 2.62 % 149,780 7.13 6 0.0603 % 2,439.6
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 2.67 %
PWF.PR.A Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 2.70 %
IFC.PR.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.58
Bid-YTW : 4.01 %
SLF.PR.G FixedReset 1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 4.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.L FixedReset 411,138 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.21 %
BNS.PR.Z FixedReset 77,877 RBC crossed 28,200 at 23.93; Desjardins bought 30,000 from anonymous at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.93
Bid-YTW : 3.91 %
IAG.PR.G FixedReset 69,643 Scotia crossed 40,000 at 25.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 3.27 %
TD.PR.E FixedReset 52,979 TD crossed 50,000 at 25.29.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 2.05 %
ENB.PR.J FixedReset 38,389 TD bought 10,900 from RBC at 25.09 and crossed 13,600 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-28
Maturity Price : 23.18
Evaluated at bid price : 25.06
Bid-YTW : 4.19 %
RY.PR.Z FixedReset 37,161 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-28
Maturity Price : 23.25
Evaluated at bid price : 25.32
Bid-YTW : 3.78 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.G FixedFloater Quote: 20.20 – 20.77
Spot Rate : 0.5700
Average : 0.4367

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-28
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 4.29 %

BAM.PR.J OpRet Quote: 26.47 – 26.79
Spot Rate : 0.3200
Average : 0.1986

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-31
Maturity Price : 26.00
Evaluated at bid price : 26.47
Bid-YTW : -6.04 %

CIU.PR.C FixedReset Quote: 21.13 – 21.66
Spot Rate : 0.5300
Average : 0.4142

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-28
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 3.74 %

GWO.PR.N FixedReset Quote: 21.75 – 22.25
Spot Rate : 0.5000
Average : 0.3972

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 4.64 %

VNR.PR.A FixedReset Quote: 25.30 – 25.55
Spot Rate : 0.2500
Average : 0.1680

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.17 %

BNS.PR.L Deemed-Retractible Quote: 25.68 – 25.91
Spot Rate : 0.2300
Average : 0.1638

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-26
Maturity Price : 25.50
Evaluated at bid price : 25.68
Bid-YTW : 1.97 %

February 27, 2014

Thursday, February 27th, 2014

Good old regulators! Keeping the world safe for you, me and, of course, themselves:

Forget hiring a top hedge fund to manage your portfolio. Your better bet might be an employee at the Securities and Exchange Commission, according to a new report suggesting that regulators are trading on inside information relating to investigations and upcoming enforcement actions.

In the report titled “The Stock Picking Skills of SEC Employees,” researchers found that SEC employees’ stock purchases look like your average person’s. But when these employees sell their stocks, they appear to systematically beat the market by making sales within weeks of costly enforcement actions by the agency.

“These results suggest that SEC employees potentially trade profitably under the new rules, and that at least some of their profits potentially stem from trading ahead of costly SEC sanctions and on privileged non-public information,” write Shivaram Rajgopal, a professor of accounting at Emory University, and Roger M. White, a doctoral student in accounting at Georgia State University. “In short, it appears that SEC employees continue to take advantage of non-public information to trade profitably in stocks under their regulatory purview.”

But fear not, regulatory weenies! There’s another benchmark fixing scandal shock horror!

The London gold fix, the benchmark used by miners, jewelers and central banks to value the metal, may have been manipulated for a decade by the banks setting it, researchers say.

Unusual trading patterns around 3 p.m. in London, when the so-called afternoon fix is set on a private conference call between five of the biggest gold dealers, are a sign of collusive behavior and should be investigated, New York University’s Stern School of Business Professor Rosa Abrantes-Metz and Albert Metz, a managing director at Moody’s Investors Service, wrote in a draft research paper.

The paper is the first to raise the possibility that the five banks overseeing the century-old rate — Barclays Plc (BARC), Deutsche Bank AG (DBK), Bank of Nova Scotia, HSBC Holdings Plc (HSBA) and Societe Generale SA (GLE) — may have been actively working together to manipulate the benchmark. It also adds to pressure on the firms to overhaul the way the rate is calculated. Authorities around the world, already investigating the manipulation of benchmarks from interest rates to foreign exchange, are examining the $20 trillion gold market for signs of wrongdoing.

I really have no comprehension regarding the fuss. If I don’t like a price, I don’t trade – although that, of course, is an incredibly sophisticated trading strategy. If I’ve used it for valuation purposes, then any difference between the benchmark and the “true” price is just a timing difference. Who cares?

Yellen is taking a steady as she goes view on tapering:

Federal Reserve Chair Janet Yellen said the central bank is likely to keep trimming asset purchases, even as policy makers monitor data to determine if recent weakness in the economy is temporary.

“Unseasonably cold weather has played some role,” she said in response to a question today from the Senate Banking Committee. “What we need to do, and will be doing in the weeks ahead, is to try to get a firmer handle on exactly how much of that set of soft data can be explained by weather and what portion, if any, is due to softer outlook.”

Yellen repeated the Fed’s statements that the central bank intends to reduce asset purchases at a “measured” pace, and she said in response to a separate question that the bond-buying program is likely to end in the fall. At the same time, “if there’s a significant change in the outlook, certainly we would be open to reconsidering,” she said.

It was another positive day for the Canadian preferred share market, with PerpetualDiscounts up 7bp, FixedResets gaining 4bp amd DeemedRetractibles winning 18bp. Volatility was muted. Volume was on the high side of average, with some nice tickets written for a few issues.

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 -0.2845 % 2,416.5
FixedFloater 4.73 % 4.31 % 29,077 17.75 1 0.7014 % 3,590.6
Floater 3.00 % 3.12 % 54,521 19.36 4 -0.2845 % 2,609.1
OpRet 4.62 % -0.32 % 68,937 0.26 3 -0.1409 % 2,692.5
SplitShare 4.86 % 4.44 % 57,347 4.36 5 0.1689 % 3,049.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1409 % 2,462.0
Perpetual-Premium 5.65 % 1.47 % 97,192 0.08 12 0.0758 % 2,343.6
Perpetual-Discount 5.51 % 5.57 % 143,442 14.50 26 0.0674 % 2,406.1
FixedReset 4.71 % 3.54 % 223,432 4.56 77 0.0431 % 2,505.0
Deemed-Retractible 5.10 % 3.60 % 166,575 1.20 42 0.1790 % 2,446.5
FloatingReset 2.65 % 2.66 % 151,997 7.13 6 -0.0402 % 2,438.1
Performance Highlights
Issue Index Change Notes
GWO.PR.F Deemed-Retractible -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-29
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : -9.57 %
SLF.PR.B Deemed-Retractible 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 6.04 %
SLF.PR.D Deemed-Retractible 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.31
Bid-YTW : 6.32 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.L FixedReset 1,248,387 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 4.23 %
TRP.PR.C FixedReset 393,018 Nesbitt crossed three blocks, of 135,000 shares, 100,000 and 50,000, all at 22.20. RBC crossed 99,900 at the same price. Nice tickets!
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-27
Maturity Price : 21.72
Evaluated at bid price : 22.18
Bid-YTW : 3.78 %
TRP.PR.B FixedReset 215,626 Nesbitt crossed blocks of 100,000 and 107,000, both at 20.20. More nice tickets!
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-27
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 3.77 %
SLF.PR.A Deemed-Retractible 123,852 Nesbitt crossed 100,000 at 22.38.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.32
Bid-YTW : 6.09 %
TRP.PR.E FixedReset 109,920 RBC crossed 47,800 at 25.06; TD crossed 35,000 at 25.07.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-27
Maturity Price : 23.15
Evaluated at bid price : 25.07
Bid-YTW : 4.01 %
CU.PR.F Perpetual-Discount 96,750 Nesbitt crossed 90,000 at 21.15.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-27
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.36 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.H Perpetual-Discount Quote: 24.55 – 24.95
Spot Rate : 0.4000
Average : 0.2579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-27
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 5.67 %

GWO.PR.N FixedReset Quote: 21.75 – 22.17
Spot Rate : 0.4200
Average : 0.2845

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 4.64 %

CIU.PR.C FixedReset Quote: 21.28 – 21.69
Spot Rate : 0.4100
Average : 0.2873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-27
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.72 %

CIU.PR.A Perpetual-Discount Quote: 21.46 – 21.89
Spot Rate : 0.4300
Average : 0.3354

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-27
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.39 %

CIU.PR.B FixedReset Quote: 25.28 – 25.52
Spot Rate : 0.2400
Average : 0.1619

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 2.19 %

BMO.PR.P FixedReset Quote: 25.90 – 26.09
Spot Rate : 0.1900
Average : 0.1179

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 1.79 %

ALB.PR.B Upgraded to Pfd-2 by DBRS

Thursday, February 27th, 2014

DBRS has announced:

The dividends received from the Portfolio are used to pay a fixed cumulative quarterly distribution of $0.2316 per share to holders of the Class B Preferred Shares, yielding approximately 4.25% annually on the initial issue price of $21.80. The current yield on the Portfolio shares fully covers the Class B Preferred Share dividends, providing dividend coverage of approximately 2.0 times. The Class A Capital Shares receive all excess dividend income after the Class B Preferred Share distributions and other expenses of the Company have been paid.

The performance of the Company has been positive in the previous year, in line with the share prices of Canadian banks. Downside protection increased steadily to 60.9% on February 13, 2014, from 53.4% on June 20, 2013, while increases in dividend distributions from underlying banks helped boost the dividend coverage ratio. As a result, the rating of the Class B Preferred Shares has been upgraded to Pfd-2 from Pfd-2 (low).

ALB.PR.B was last mentioned on PrefBlog when it had a partial call for redemption on February 18. ALB.PR.B is tracked by HIMIPref™, but relegated to the Scraps index on volume concerns.

February 26, 2014

Wednesday, February 26th, 2014

Nothing happened today, either.

It was another good day for the Canadian preferred share market, with PerpetualDiscounts gaining 16bp, FixedResets up 17bp and DeemedRetractibles winning 19bp. The Performance Highlights table was longer than usual, all winners, with one lonely DeemedRetractible listed among the dominating FixedResets. Volume was heavy.

PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard 1.3x equivalency factor. Long corporates now yield about 4.55%, so the pre-tax interest-equivalent spread is now about 270bp, unchanged from the February 19 report.

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 -0.2270 % 2,423.4
FixedFloater 4.76 % 4.35 % 29,491 17.70 1 -0.1001 % 3,565.6
Floater 2.99 % 3.10 % 53,967 19.41 4 -0.2270 % 2,616.6
OpRet 4.61 % -4.92 % 71,503 0.09 3 0.2440 % 2,696.3
SplitShare 4.86 % 4.41 % 59,464 4.36 5 0.2046 % 3,044.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2440 % 2,465.5
Perpetual-Premium 5.65 % 1.77 % 109,342 0.08 12 0.0132 % 2,341.8
Perpetual-Discount 5.52 % 5.59 % 144,998 14.46 26 0.1621 % 2,404.4
FixedReset 4.71 % 3.56 % 224,509 4.50 77 0.1732 % 2,503.9
Deemed-Retractible 5.10 % 3.67 % 164,768 1.13 42 0.1925 % 2,442.2
FloatingReset 2.64 % 2.59 % 153,350 7.13 6 0.0604 % 2,439.1
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 3.15 %
BAM.PR.R FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 23.67
Evaluated at bid price : 25.50
Bid-YTW : 4.04 %
CIU.PR.C FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.75 %
IFC.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.19 %
FTS.PR.H FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.77 %
BAM.PR.X FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 4.39 %
GWO.PR.F Deemed-Retractible 1.68 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-28
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : -24.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.H FixedReset 652,380 RBC crossed two blocks of 74,800 each, both at 21.39; Nesbitt crossed 10,000 at the same price. RBC then crossed two blocks of 244,400 each, both at 21.48. Nice tickets!
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.77 %
TRP.PR.E FixedReset 141,490 Nesbitt crossed 40,000 at 25.06; TD crossed blocks of 60,100 and 24,400 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 23.13
Evaluated at bid price : 25.01
Bid-YTW : 4.03 %
TRP.PR.D FixedReset 126,417 Nesbitt crossed 40,000 at 24.99; TD crossed blocks of 40,000 and 24,200 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 23.10
Evaluated at bid price : 24.86
Bid-YTW : 4.00 %
SLF.PR.D Deemed-Retractible 112,961 Desjardins crossed blocks of 80,000 and 25,000, both at 21.01.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.03
Bid-YTW : 6.48 %
NA.PR.S FixedReset 97,242 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 23.20
Evaluated at bid price : 25.16
Bid-YTW : 3.98 %
BNS.PR.L Deemed-Retractible 90,642 TD crossed two blocks of 40,000 each, both at 25.58.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-04-28
Maturity Price : 25.25
Evaluated at bid price : 25.58
Bid-YTW : 3.59 %
There were 61 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Quote: 26.05 – 26.44
Spot Rate : 0.3900
Average : 0.2525

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.85 %

FTS.PR.J Perpetual-Discount Quote: 22.33 – 22.65
Spot Rate : 0.3200
Average : 0.1970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 22.05
Evaluated at bid price : 22.33
Bid-YTW : 5.33 %

RY.PR.T FixedReset Quote: 25.50 – 25.80
Spot Rate : 0.3000
Average : 0.1887

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.29 %

PWF.PR.H Perpetual-Premium Quote: 25.18 – 25.48
Spot Rate : 0.3000
Average : 0.1949

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-28
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.77 %

ENB.PR.F FixedReset Quote: 24.50 – 24.74
Spot Rate : 0.2400
Average : 0.1413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 23.04
Evaluated at bid price : 24.50
Bid-YTW : 4.18 %

MFC.PR.J FixedReset Quote: 25.37 – 25.64
Spot Rate : 0.2700
Average : 0.1726

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 3.56 %

New Issue: EFN FixedReset, 6.50%+481 (EFN.PR.C)

Wednesday, February 26th, 2014

Element Financial Corporation has announced (emphasis added):

that it plans to sell, on a bought deal basis, pursuant to a supplement to Element’s Base Shelf Prospectus dated December 6, 2013, an aggregate of 3,000,000 Cumulative 5-year Rate Reset Preferred Shares, Series C of Element (the “Series C Preferred Shares”) at a price of $25.00 per Series C Preferred Share for gross proceeds of $75 million (the “Offering”) to a syndicate of underwriters co-led by GMP Securities L.P, National Bank Financial Inc., BMO Nesbitt Burns Inc., CIBC World Markets, RBC Capital Markets, and TD Securities Inc. and including Desjardins Securities Inc., Raymond James Ltd. and Manulife Securities Inc. (collectively, the “Underwriters”).

“Our initial preferred share offering last December allowed Element to establish our access to this funding option, which is non-dilutive to our common shareholders,” noted Steven K. Hudson, Element’s Chairman and CEO. “Early in the year we are already seeing exceptionally strong organic growth across all of our origination platforms and the five-year rate reset feature of these securities makes it ideally suited as a matched funding source for these platforms, including our recently announced strategic alliance with Trinity Industries. This second preferred share transaction allows us to respond to the investor demand that emerged in response to our initial offering, add further diversification to our funding sources and provide Element with access to capital that is not dilutive over 2014 to our common shareholders,” added Mr. Hudson.

Holders of the Series C Preferred Shares will be entitled, as and when declared by the Board of Directors of the Company, to receive a cumulative quarterly fixed dividend for the initial five-year period ending June 30, 2019 of 6.50% per annum. Thereafter, the dividend rate will reset every five years to an annual dividend rate equal to the 5-Year Government of Canada Bond Yield as quoted on Bloomberg on the 30th day prior to the first day of the relevant subsequent five year fixed rate period plus 4.81%. Holders of the Series C Preferred Shares will have the right to convert their shares into Cumulative Floating Rate Preferred Shares, Series D of the Company (the “Floating Rate Series D Preferred Shares”), subject to certain conditions and the Company’s right to redeem the Series C Preferred Shares, on June 30, 2019 and on June 30 every five years thereafter.

Holders of the Floating Rate Series D Preferred Shares will be entitled to receive a quarterly floating rate dividend, as and when declared by the Board of Directors of the Company, equal to the then current three-month Government of Canada Treasury Bill yield plus 4.81%. Holders of the Floating Rate Series D Preferred Shares may convert their Floating Rate Series D Preferred Shares into Series C Preferred Shares, subject to certain conditions and the Company’s right to redeem the Floating Rate Series D Preferred Shares, on June 30, 2024 and on June 30 every five years thereafter. The Series C Preferred Shares will not be rated.

The Company has granted to the Underwriters an option (the “Over-Allotment Option”), which may be exercised at any time for a period of 30 days following the closing of the Offering, to purchase at the issue price an additional 450,000 Series C Preferred Shares for additional gross proceeds of up to $11.25 million. In the event that the Over-Allotment Option is exercised in its entirety, the aggregate gross proceeds of the Offering will be approximately $86.25 million.

The proceeds of the Offering, including any proceeds from the exercise of the Over-Allotment Option, will be used to originate and finance, directly or indirectly, finance assets as well as for general corporate purposes. The Offering is expected to close on March 7, 2014 and is subject to certain conditions including, but not limited to, the receipt of all necessary regulatory approvals including the approval of the Toronto Stock Exchange.

They later announced:

that it has amended the terms of its previously announced bought deal offering of Cumulative 5-Year Rate Reset Preferred Shares, Series C of Element (“Series C Preferred Shares”) to increase the size of such offering to $125.0 million (the “Offering”).

Under the amended terms of the Offering, a syndicate of underwriters co-led by GMP Securities L.P, National Bank Financial Inc., BMO Capital Markets, CIBC World Markets, RBC Capital Markets and TD Securities Inc. and including Desjardins Securities Inc., Raymond James Ltd. and Manulife Securities Inc. (collectively, the “Underwriters”) have agreed to purchase, on a bought deal basis, an aggregate of 5,000,000 Series C Preferred Shares at a price of $25.00 per Series C Preferred Share for total gross proceeds of $125.0 million.

This issue will not be tracked by HIMIPref™ due to the lack of a credit rating. As I explain every time this comes up, this is not because I worship the Credit Rating Agencies, but because a downgrade (or simply a threat of one) from a major agency can help to focus the minds of management and directors.

Element Financial was last mentioned on PrefBlog when they issued a FixedReset, 6.60%+471 in December 2013. That issue, EFN.PR.A, closed at 25.25 today.

February 25, 2014

Tuesday, February 25th, 2014

Nothing happened today.

It was a strong day for the Canadian preferred share market, probably a result of all the RY.PR.N, RY.PR.P & RY.PR.R redemption money appearing in brokerage accounts and being spent. PerpetualDiscounts were up 17bp, FixedResets won 21bp and DeemedRetractibles gained 10bp. There are not a lot of performance highlights, but they’re uniformly positive. Volume was high and all the volume highlights were 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 0.8155 % 2,428.9
FixedFloater 4.75 % 4.35 % 30,623 17.71 1 0.6042 % 3,569.2
Floater 2.98 % 3.08 % 54,519 19.46 4 0.8155 % 2,622.5
OpRet 4.62 % -1.07 % 72,488 0.10 3 -0.1283 % 2,689.7
SplitShare 4.87 % 4.65 % 58,934 4.36 5 0.3794 % 3,038.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1283 % 2,459.5
Perpetual-Premium 5.65 % 2.07 % 110,337 0.08 12 0.1370 % 2,341.5
Perpetual-Discount 5.53 % 5.59 % 148,224 14.47 26 0.1725 % 2,400.5
FixedReset 4.73 % 3.59 % 214,123 4.50 78 0.2071 % 2,499.6
Deemed-Retractible 5.09 % 3.83 % 164,884 1.20 42 0.0990 % 2,437.5
FloatingReset 2.65 % 2.65 % 158,496 4.57 6 0.0537 % 2,437.6
Performance Highlights
Issue Index Change Notes
BNA.PR.C SplitShare 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.46
Bid-YTW : 4.85 %
PWF.PR.A Floater 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-25
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 2.76 %
ENB.PR.N FixedReset 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 4.07 %
CIU.PR.A Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-25
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.42 %
PWF.PR.O Perpetual-Premium 1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 5.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset 243,112 Nesbitt crossed blocks of 110,400 and 25,000, both at 24.96. Scotia crossed 65,800 at 25.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.55 %
MFC.PR.L FixedReset 140,571 New issue settled today.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.13 %
TD.PR.Y FixedReset 132,382 RBC crossed blocks of 46,400 and 58,000, both at 25.15.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.44 %
BNS.PR.Q FixedReset 106,900 RBC crossed 100,000 at 25.16.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.49 %
BMO.PR.M FixedReset 92,946 TD crossed blocks of 25,000 and 46,800, both at 24.89.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.89
Bid-YTW : 3.46 %
BAM.PR.R FixedReset 87,055 RBC crossed 50,000 and 25,000, both at 25.20.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-25
Maturity Price : 23.58
Evaluated at bid price : 25.21
Bid-YTW : 4.10 %
There were 53 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.G FixedFloater Quote: 19.98 – 20.51
Spot Rate : 0.5300
Average : 0.3600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-25
Maturity Price : 25.00
Evaluated at bid price : 19.98
Bid-YTW : 4.35 %

CU.PR.F Perpetual-Discount Quote: 21.16 – 21.37
Spot Rate : 0.2100
Average : 0.1520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-25
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 5.35 %

SLF.PR.B Deemed-Retractible Quote: 22.47 – 22.70
Spot Rate : 0.2300
Average : 0.1735

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 6.22 %

FTS.PR.F Perpetual-Discount Quote: 22.81 – 23.05
Spot Rate : 0.2400
Average : 0.1843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-25
Maturity Price : 22.53
Evaluated at bid price : 22.81
Bid-YTW : 5.38 %

MFC.PR.G FixedReset Quote: 25.70 – 25.84
Spot Rate : 0.1400
Average : 0.0902

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.26 %

POW.PR.B Perpetual-Discount Quote: 24.01 – 24.16
Spot Rate : 0.1500
Average : 0.1003

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-25
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 5.64 %

MFC.PR.L Thumped On Light Volume

Tuesday, February 25th, 2014

Manulife Financial Corporation has announced:

that it has completed its offering of 8 million Non-cumulative Rate Reset Class 1 Shares Series 15 (the “Series 15 Preferred Shares”) at a price of $25 per share to raise gross proceeds of $200 million.

The offering was underwritten by a syndicate of investment dealers co-led by Scotia Capital Inc., CIBC World Markets and RBC Capital Markets. The Series 15 Preferred Shares commence trading on the Toronto Stock Exchange today under the ticker symbol MFC.PR.L.

The Series 15 Preferred Shares were issued under a prospectus supplement dated February 18, 2014 to Manulife’s short form base shelf prospectus dated July 18, 2012.

MFC.PR.C is a FixedReset, 3.90%+216, announced February 18. It will be tracked by HIMIPref™ and assigned to the FixedReset index. As it is issued by an Insurance Holding Company and is not compliant with the banks’ NVCC rules, I have added a “Deemed Maturity” entry to the call schedule, dated 2025-1-31, at 25.00.

The issue traded 140,571 shares today in a range of 24.50-68 before closing at 24.50-51, 5×10. Vital statistics are:

MFC.PR.L FixedReset YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.13 %

ABK.PR.C: Partial Call for Redemption

Tuesday, February 25th, 2014

Scotia Managed Companies has announced:

Allbanc Split Corp. (the “Company”) announced today that it has called 148,100 Preferred Shares for cash redemption on March 10, 2014 (in accordance with the Company’s Articles) representing approximately 12.576% of the outstanding Preferred Shares as a result of the special annual retraction of 148,100 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 March 6, 2014 will have approximately 12.576% of their Preferred Shares redeemed. The redemption price for the Preferred Shares will be $31.64 per share.

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 March 10, 2014.

Payment of the amount due to holders of Preferred Shares will be made by the Company on March 10, 2014. From and after March 10, 2014 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. is a mutual fund Corporation created to hold a portfolio of publicly listed common shares of selected Canadian chartered banks. Class A Capital Shares and Class C Preferred Shares of Allbanc Split Corp. are listed for trading on The Toronto Stock Exchange under the symbols ABK.A and ABK.PR.C respectively.

ABK.PR.C was last mentioned on PrefBlog when it was issued in March, 2013. It is tracked by HIMIPref™ but relegated to the Scraps index on volume concerns.

February 24, 2014

Tuesday, February 25th, 2014

Nothing happened today.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 10bp, FixedResets gaining 7bp and DeemedRetractibles up 8bp. Volatility was low. Volume was 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 0.3445 % 2,409.2
FixedFloater 4.78 % 4.38 % 31,091 17.67 1 -0.4511 % 3,547.7
Floater 3.00 % 3.11 % 54,485 19.41 4 0.3445 % 2,601.3
OpRet 4.62 % -3.09 % 68,978 0.10 3 0.0848 % 2,693.2
SplitShare 4.88 % 4.80 % 59,104 4.36 5 0.0404 % 3,026.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0848 % 2,462.7
Perpetual-Premium 5.66 % 2.15 % 97,664 0.08 12 0.0644 % 2,338.3
Perpetual-Discount 5.54 % 5.61 % 149,569 14.36 26 -0.0963 % 2,396.4
FixedReset 4.80 % 3.72 % 209,072 6.30 80 0.0685 % 2,494.4
Deemed-Retractible 5.10 % 3.92 % 163,892 1.37 42 0.0759 % 2,435.1
FloatingReset 2.65 % 2.61 % 158,712 7.14 6 -0.0201 % 2,436.3
Performance Highlights
Issue Index Change Notes
CIU.PR.A Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-24
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.48 %
MFC.PR.F FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 4.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.Y FixedReset 124,430 RBC crossed 119,500 at 25.15.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 3.48 %
NA.PR.S FixedReset 91,539 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-24
Maturity Price : 23.19
Evaluated at bid price : 25.12
Bid-YTW : 3.98 %
MFC.PR.B Deemed-Retractible 83,339 Scotia crossed 75,000 at 21.60.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.42 %
RY.PR.Z FixedReset 80,220 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-24
Maturity Price : 23.21
Evaluated at bid price : 25.20
Bid-YTW : 3.80 %
CU.PR.G Perpetual-Discount 75,290 Scotia crossed blocks of 28,000 and 30,000, both at 21.10.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-24
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 5.36 %
MFC.PR.H FixedReset 70,775 TD crossed 21,000 at 25.85. Scotia crossed 40,000 at 25.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.27 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.A Perpetual-Discount Quote: 21.11 – 21.59
Spot Rate : 0.4800
Average : 0.3205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-24
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.48 %

PWF.PR.A Floater Quote: 18.91 – 19.45
Spot Rate : 0.5400
Average : 0.3929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-24
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 2.79 %

MFC.PR.F FixedReset Quote: 22.19 – 22.49
Spot Rate : 0.3000
Average : 0.2023

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 4.69 %

GWO.PR.F Deemed-Retractible Quote: 25.45 – 25.73
Spot Rate : 0.2800
Average : 0.1870

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -5.06 %

PWF.PR.L Perpetual-Discount Quote: 23.36 – 23.68
Spot Rate : 0.3200
Average : 0.2412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-24
Maturity Price : 22.96
Evaluated at bid price : 23.36
Bid-YTW : 5.50 %

PWF.PR.P FixedReset Quote: 22.94 – 23.14
Spot Rate : 0.2000
Average : 0.1215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-24
Maturity Price : 22.60
Evaluated at bid price : 22.94
Bid-YTW : 3.72 %

RY.PR.K Posted for Trading; Zero Volume

Tuesday, February 25th, 2014

As reported here previously, RY.PR.K is a FloatingReset, 3-Month Bills + 193, that forms a Strong Pair with RY.PR.I.

Neither is NVCC compliant, so both have a Deemed Maturity in their call schedules dated 2022-1-31, at par.

RY.PR.K was posted for trading today, but there were no trades. This issue will be tracked by HIMIPref™ but due to low initial and anticipated volume, will be relegated to the Scraps index on volume concerns.
Vital statistics are:

RY.PR.K FloatingReset YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 2.75 %

The following FixedReset/FloatingReset Strong Pairs now exist and the schedule of implied 3-Month bill rates according to the Pairs Equivalency Calculator is:

FixedReset/FloatingReset Pairs, 2014-2-24
FixedReset FloatingReset Next Exchange Date Implied 3-Month Bills
BNS.PR.P BNS.PR.A 2018-4-26 1.36%
TD.PR.S TD.PR.T 2018-7-31 1.59%
BMO.PR.M BMO.PR.R 2018-8-25 1.63%
BNS.PR.Q BNS.PR.B 2018-10-31 1.51%
TD.PR.Y TD.PR.Z 2018-10-31 1.64%
BNS.PR.R BNS.PR.C 2019-1-25 1.24%
RY.PR.I RY.PR.K 2019-2-24 1.74%

Update, 2016-2-25: I should have included the following paragraph:

Note that since the issue is issued by a bank, is not compliant with OSFI’s Non-Viability Contingent Capital (NVCC) rules and is not convertible into common at the option of the issuer, I consider it to have a “Deemed Maturity” 2022-1-31 (this date may change in the future). This is an approximation (they will probably be called on an Exchange Date at par, not on precisely 2022-1-31) and is the result of analysis, not due to any legally binding commitment by the issuer – although I will note that this analysis with respect to bank issues has wide acceptance in the market. There is a brief explanation of this on the PrefLetter website (under the heading “DeemedRetractibles”) and with more detailed argument and progress reports on international negotiations in every edition of PrefLetter.