The sale of Aviva’s US unit to Apollo has been approved with substantially the same conditions as the Sun Life – Guggenheim deal:
The key heightened policyholder protections to which Apollo agreed include:
Heightened Capital Standards. Apollo has agreed that Athene will maintain Aviva New York’s Risk-Based Capital Levels (RBC Levels) at an amount not less than 450 percent. (Capital serves as a buffer that insurers use to absorb unexpected losses and financial shocks – better protecting policyholders.)
Backstop Trust Account. Apollo has agreed that Athene will establish a separate backstop trust account totaling approximately $35 million to provide additional protections to policyholders above and beyond the heightened capital levels. If Aviva New York’s RBC levels fall below 450 percent, the funds in the backstop trust account will be used to replenish (“top up”) Aviva New York’s RBC levels to at least 450 percent. The $35 million in the trust account will be held separately from other Aviva New York’s funds for seven years and dedicated to the sole purpose of protecting policyholders.
Enhanced Regulatory Scrutiny of Operations, Dividends, Investments, Reinsurance. Apollo has agreed that any material changes to Athene’s plans of operations of Aviva New York, including investments, dividends, or reinsurance transactions will require the prior written approval of DFS.
Stronger Disclosure and Transparency Requirements. Aviva New York will file quarterly RBC level reports to DFS – rather than just the annual reports required under New York Insurance Law. Additionally, the insurer will disclose to DFS necessary information concerning corporate structures, control persons, and other information regarding the operations of the company.
The Bank of Canada has released the Bank of Canada Review – Summer 2013 with articles:
- CSI: A Model for Tracking Short-Term Growth in Canadian Real GDP
- The Accuracy of Short-Term Forecast Combinations
- Monitoring Short-Term Economic Developments in Foreign Economies
- Big Data Analysis: The Next Frontier
Nothing very interesting, I’m afraid – I didn’t read any of them.
Yields (USGG10YR) on 10-year notes, a benchmark for corporate and consumer borrowing rates, climbed above 2.8 percent for the first time in two years as reports showed U.S. initial jobless claims declined last week to the lowest level in almost six years and confidence among U.S. homebuilders rose in August to the highest level since 2005. Treasury data showed private investors abroad sold a record amount of notes and bonds in June, when Fed policy makers indicated they are considering a slowing of their quantitative-easing policy.
Yields on Canadian 5s, 10s and 30s were all up 4bp.
And, logically enough (which is not always the case) the Canadian preferred share market got thumped today, with PerpetualDiscounts losing 85bp, FixedResets off 16bp and DeemedRetractibles down 50bp. The performance highlights table is suitably enormous. Volume was extremely high.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4459 % | 2,631.2 |
| FixedFloater | 4.44 % | 3.71 % | 29,743 | 17.90 | 1 | 0.0000 % | 3,740.6 |
| Floater | 2.56 % | 2.88 % | 72,518 | 19.98 | 5 | -0.4459 % | 2,841.0 |
| OpRet | 4.65 % | 4.00 % | 74,346 | 2.83 | 3 | -0.1934 % | 2,603.8 |
| SplitShare | 4.69 % | 4.70 % | 53,804 | 4.12 | 6 | -0.0067 % | 2,954.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1934 % | 2,381.0 |
| Perpetual-Premium | 5.76 % | 5.85 % | 95,918 | 14.08 | 12 | -0.3063 % | 2,250.4 |
| Perpetual-Discount | 5.71 % | 5.73 % | 153,304 | 14.28 | 25 | -0.8514 % | 2,260.4 |
| FixedReset | 5.03 % | 3.88 % | 239,964 | 7.06 | 85 | -0.1560 % | 2,419.4 |
| Deemed-Retractible | 5.25 % | 5.29 % | 193,098 | 6.95 | 43 | -0.5035 % | 2,305.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.B | FixedReset | -4.93 % | Real enough! A number of trades went through at less than 20.40 in the last ten minutes. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 3.93 % |
| GWO.PR.I | Deemed-Retractible | -3.83 % | Not real. The low for the day was 21.41, but the “last” quote was 21.07-48, 1×2. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.07 Bid-YTW : 6.58 % |
| BAM.PR.N | Perpetual-Discount | -2.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 6.29 % |
| GWO.PR.R | Deemed-Retractible | -2.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 6.35 % |
| BAM.PR.M | Perpetual-Discount | -2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 6.19 % |
| FTS.PR.J | Perpetual-Discount | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.65 % |
| POW.PR.D | Perpetual-Discount | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 21.92 Evaluated at bid price : 22.30 Bid-YTW : 5.65 % |
| W.PR.J | Perpetual-Discount | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 23.27 Evaluated at bid price : 23.57 Bid-YTW : 6.00 % |
| RY.PR.B | Deemed-Retractible | -1.83 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 5.21 % |
| VNR.PR.A | FixedReset | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 23.16 Evaluated at bid price : 24.80 Bid-YTW : 4.51 % |
| CU.PR.G | Perpetual-Discount | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 5.62 % |
| RY.PR.D | Deemed-Retractible | -1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 5.31 % |
| BAM.PF.C | Perpetual-Discount | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 6.27 % |
| BAM.PR.B | Floater | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 18.33 Evaluated at bid price : 18.33 Bid-YTW : 2.88 % |
| BAM.PR.Z | FixedReset | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 23.12 Evaluated at bid price : 24.75 Bid-YTW : 4.76 % |
| TD.PR.O | Deemed-Retractible | -1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.46 Bid-YTW : 5.23 % |
| GWO.PR.G | Deemed-Retractible | -1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.16 Bid-YTW : 6.23 % |
| CU.PR.F | Perpetual-Discount | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.59 % |
| MFC.PR.G | FixedReset | -1.22 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.65 % |
| BAM.PR.C | Floater | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 2.92 % |
| ENB.PR.F | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 22.50 Evaluated at bid price : 23.39 Bid-YTW : 4.45 % |
| CU.PR.E | Perpetual-Discount | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 21.51 Evaluated at bid price : 21.80 Bid-YTW : 5.62 % |
| CM.PR.G | Perpetual-Premium | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 24.12 Evaluated at bid price : 24.42 Bid-YTW : 5.57 % |
| MFC.PR.I | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 4.48 % |
| RY.PR.A | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 5.23 % |
| ENB.PR.H | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 22.08 Evaluated at bid price : 22.67 Bid-YTW : 4.29 % |
| ENB.PR.N | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 22.61 Evaluated at bid price : 23.66 Bid-YTW : 4.49 % |
| SLF.PR.H | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 4.29 % |
| GWO.PR.N | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.77 Bid-YTW : 4.77 % |
| FTS.PR.G | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 22.38 Evaluated at bid price : 23.20 Bid-YTW : 4.16 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.D | FixedReset | 53,858 | TD bought 23,900 from CIBC at 25.93; RBC crossed 16,300 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 3.48 % |
| BNS.PR.Q | FixedReset | 50,676 | Desjardins bought two blocks from RBC, of 10,000 and 13,000 shares, both at 24.88. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 3.63 % |
| ENB.PR.F | FixedReset | 44,821 | Nesbitt crossed 11,700 at 23.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 22.50 Evaluated at bid price : 23.39 Bid-YTW : 4.45 % |
| TD.PR.C | FixedReset | 43,272 | Scotia crossed 40,000 at 25.28. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 3.91 % |
| PWF.PR.S | Perpetual-Discount | 35,209 | Nesbitt crossed 11,200 at 22.04. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-15 Maturity Price : 21.79 Evaluated at bid price : 22.10 Bid-YTW : 5.46 % |
| IFC.PR.C | FixedReset | 34,562 | Macquarie bought 10,100 from CIBC at 25.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.40 % |
| There were 68 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.G | FixedReset | Quote: 25.00 – 26.60 Spot Rate : 1.6000 Average : 0.8556 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 24.56 – 26.00 Spot Rate : 1.4400 Average : 0.9640 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 18.08 – 18.98 Spot Rate : 0.9000 Average : 0.5516 YTW SCENARIO |
| TCA.PR.Y | Perpetual-Premium | Quote: 49.40 – 50.00 Spot Rate : 0.6000 Average : 0.3763 YTW SCENARIO |
| BAM.PR.M | Perpetual-Discount | Quote: 19.52 – 20.00 Spot Rate : 0.4800 Average : 0.3023 YTW SCENARIO |
| MFC.PR.J | FixedReset | Quote: 24.95 – 25.35 Spot Rate : 0.4000 Average : 0.2304 YTW SCENARIO |