Index Construction / Reporting

HIMIPref™ Index Rebalancing: December 2010

HIMI Index Changes, December 31, 2010
Issue From To Because
TD.PR.P PerpetualDiscount PerpetualPremium Price
GWO.PR.L PerpetualPremium PerpetualDiscount Price
CM.PR.P PerpetualPremium PerpetualDiscount Price
CM.PR.E PerpetualPremium PerpetualDiscount Price
IGM.PR.B PerpetualPremium PerpetualDiscount Price
GWO.PR.M PerpetualPremium PerpetualDiscount Price
GWO.PR.M PerpetualPremium PerpetualDiscount Price
CL.PR.B PerpetualPremium PerpetualDiscount Price
TCA.PR.Y PerpetualPremium PerpetualDiscount Price
TCA.PR.X PerpetualPremium PerpetualDiscount Price

Note that CL.PR.B has been called for redemption.

There were the following intra-month changes:

HIMI Index Changes during December 2010
Issue Action Index Because
CIU.PR.C Add FixedReset New Issue
BNA.PR.E Add SplitShare New Issue
TA.PR.D Add Scraps New Issue
CPX.PR.A Add Scraps New Issue
EN.PR.A Delete Scraps Redeemed
DGS.PR.A Add
(Backdate to 2007-12-3)
Scraps Got Bigger
Issue Comments

Best & Worst Performers: December 2010

These are total returns, with dividends presumed to have been reinvested at the bid price on the ex-date. The list has been restricted to issues in the HIMIPref™ indices.

December 2010
Issue Index DBRS Rating Monthly Performance Notes (“Now” means “December 31”)
SLF.PR.E Perpetual-Discount Pfd-1(low) -4.05% Now with a pre-tax bid-YTW of 5.69% based on a bid of 24.26 and a limitMaturity.
IAG.PR.A Perpetual-Discount Pfd-2(high) -3.81% Now with a pre-tax bid-YTW of 5.59% based on a bid of 20.73 and a limitMaturity.
BNA.PR.C SplitShare Pfd-2(low) -2.71% Now with a pre-tax bid-YTW of 6.47% based on a bid of 21.85 and a hardMaturity 2019-1-10 at 25.00.
ELF.PR.F Perpetual-Discount Not Rated
(P-2(high) by S&P)
-2.30% Now with a pre-tax bid-YTW of 6.08% based on a bid o 21.90 and a limitMaturity.
RY.PR.B Perpetual-Discount Pfd-1(low) -2.10% Now with a pre-tax bid-YTW of 5.21% based on a bid of 22.81 and a limitMaturity.
GWO.PR.H Perpetual-Discount Pfd-1(low) +2.43% Now with a pre-tax bid-YTW of 5.18% based on a bid of 23.51 and a limitMaturity.
BAM.PR.I OpRet Pfd-2(low) +2.63% The second-worst performer in November, so this is largely bounce-back. Now with a pre-tax bid-YTW of -20.83% based on a bid of 26.08 and a call 2011-1-30 at 25.50.
BAM.PR.O OpRet Pfd-2(low) +3.20% Now with a pre-tax bid-YTW of 2.67% based on a bid of 26.41 and optionCertainty 2013-6-30 at 25.00.
BAM.PR.K Floater Pfd-2(low) +4.66% Also the second-best performer in November.
BAM.PR.B Floater Pfd-2(low) +5.36% Also the best performer in November.
Market Action

December 31, 2010

It was an extremely slow and boring day on the Canadian preferred share market to end the year, with PerpetualDiscounts up about half a beep and FixedResets losing 6bp.

PerpetualDiscounts now yield 5.48%, equivalent to 7.67% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 5.4%, so the pre-tax interest-equivalent spread is now about 225bp, a slight (and perhaps spurious) widening from the 220bp reported December 29

Malachite Aggressive Preferred Fund has had another good year – I’ll put a little cinnamon in my coffee tonight, to celebrate – but I’ll have the final report out on that in the near future.

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 -0.1726 % 2,306.1
FixedFloater 4.83 % 3.55 % 30,055 18.92 1 -0.2656 % 3,484.8
Floater 2.59 % 2.39 % 49,815 21.23 4 -0.1726 % 2,490.0
OpRet 4.78 % 3.31 % 61,323 2.35 8 -0.0287 % 2,397.8
SplitShare 5.34 % 1.28 % 749,483 0.94 4 0.0807 % 2,446.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0287 % 2,192.5
Perpetual-Premium 5.69 % 5.48 % 147,666 5.40 27 0.0198 % 2,019.4
Perpetual-Discount 5.40 % 5.46 % 263,803 14.74 51 0.0052 % 2,029.3
FixedReset 5.22 % 3.33 % 320,324 3.10 52 -0.0625 % 2,271.6
Performance Highlights
Issue Index Change Notes
SLF.PR.E Perpetual-Discount -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-31
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 5.69 %
SLF.PR.F FixedReset -1.85 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.63 %
NA.PR.N FixedReset -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-14
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.94 %
CM.PR.P Perpetual-Premium 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-31
Maturity Price : 23.54
Evaluated at bid price : 24.82
Bid-YTW : 5.48 %
NA.PR.L Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-31
Maturity Price : 23.31
Evaluated at bid price : 23.57
Bid-YTW : 5.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNA.PR.D SplitShare 15,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-01-30
Maturity Price : 26.00
Evaluated at bid price : 26.87
Bid-YTW : -25.77 %
RY.PR.E Perpetual-Discount 15,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-31
Maturity Price : 21.59
Evaluated at bid price : 21.94
Bid-YTW : 5.17 %
TD.PR.O Perpetual-Discount 13,353 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-31
Maturity Price : 23.75
Evaluated at bid price : 24.01
Bid-YTW : 5.12 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Issue Comments

CBU.PR.A: Normal Course Issuer Bid Renewed

First Asset CanBanc Split Corp. has announced:

acceptance by the Toronto Stock Exchange (the “TSX”) of the Corporation’s Notice of Intention to make a Normal Course Issuer Bid (the “NCIB”) to permit the Corporation to acquire its Preferred Shares and Class A Shares (collectively, the “Securities”).

Pursuant to the NCIB, the Corporation proposes to purchase through the facilities of the TSX, from time to time, if it is considered advisable, up to 65,998 Preferred Shares and up to 65,998 Class A Shares of the Corporation, representing approximately 10% of the public float which is the same number as the Corporation’s issued and outstanding Securities, being 659,982 Preferred Shares and 659,982 Class A Shares as of the date hereof. The Corporation will not purchase in any given 30-day period, in the aggregate, more than 13,199 Preferred Shares and 13,199 Class A Shares, being 2% of the issued and outstanding Securities as of the date hereof. Purchases of Securities under the NCIB may commence on January 5, 2011. The Board of Directors of First Asset Investment Management Inc., the manager of the Corporation, believes that such purchases are in the best interests of the Corporation and are a desirable use of the Corporation’s funds. All purchases will be made through the facilities of the TSX in accordance with its rules and policies. All Securities purchased by the Corporation pursuant to the NCIB will be cancelled. The NCIB will expire on January 4, 2012.

On December 30, 2009, the Corporation announced that it was making a Normal Course Issuer Bid, which commenced January 5, 2010, to purchase up to 122,735 Preferred Shares and up to 122,735 Class A Shares through the facilities of the TSX. Under the bid, which expires on January 4, 2011, an aggregate of 7,600 Class A Shares were repurchased at an average price of $20.16 per Class A Share including commissions. No Preferred Shares were repurchased.

This is an interesting issue, since the NAV was 38.09 as of November 30 while the capital units were last quoted at 23.10-39, 3×20, and the preferred shares at 12.76-08, 5×20. The securities are trading at a huge discount to NAV!

These numbers are even more dramatic than the ones last discussed on PrefBlog, in the post Why is CBU.PR.A priced so high?.

The annual retraction date is in January and it will be most interesting to see what happens. Given the discount from NAV, it is clear that the retraction feature is valuable. On the other hand, exercising the whole unit retraction feature necessarily involves “selling” the preferred share at its $10 book value rather than the $13-odd market price … and a $13.00 indicates a yield to maturity 2016-1-15 of 0.43%.

One might therefore wish to purchase the capital units in the low $23 area, which is well below their intrinsic value of $28-ish and hold them as a speculation … but then of course one has to start worrying about the effect of MER, etc. Still, MER considerations don’t usually inhibit players from holding the capital units of other vehicles!

CBU.PR.A is not tracked by HIMIPref™.

Market Action

December 30, 2010

It has been a great year for corporate debt issuance:

Rabobank Nederland, the world’s largest agricultural lender, and Fairfield, Connecticut-based General Electric Co.’s finance unit led $3.19 trillion of offerings, according to data compiled by Bloomberg. Ally Financial Inc., Ford Motor Credit Co. and 509 other speculative-grade companies sold $287 billion of debt in the U.S., smashing the previous record of $162.7 billion in 2009.

Signs the global economic recovery is gaining strength encouraged investors to lend money to borrowers at lower interest rates, allowing Johnson & Johnson and Wal-Mart Stores Inc. to sell bonds at what were then record-low coupons. In the U.S., bond funds took in $234.8 billion this year through October, while investors withdrew money from stock funds, according to the Investment Company Institute in Washington.

Sales still declined 18 percent from last year’s $3.88 trillion as governments withdrew bond guarantees for financial companies trying to weather the credit crisis. Concern that Europe’s sovereign debt crisis would worsen slowed sales in the region.

BIS has released a working paper by Marc Flandreau, Norbert Gaillard and Frank Packer titled To err is human: rating agencies and the interwar foreign government debt crisis:

During the 1930s, rating agencies took up a central role in regulatory supervision that they still have today. The proximate cause for this changeover was the economic shock of the Great Depression. Exploring the performance of rating agencies in assessing the risks of sovereign debt, an important segment of the bond market, we do not find that superior forecasting capacities can explain the agencies’ growing importance.

This paper makes a contribution to this emerging literature on the history of ratings by focusing on the assessment of foreign government debt by US rating agencies during the interwar period. There are two reasons for this focus. … Second, looking at the government debt crisis may add a useful perspective on what remains one of the most (perhaps the most) violent foreign debt disaster in financial history. Between 1931 and 1939, more than half of sovereign borrowers who had issued in New York during 1920–29 defaulted. The episode, an integral part of the catastrophic interwar financial system dislocation, has not yet been studied from this vantage point, although many other aspects of the crisis have been discussed in detail.

We document a large degree of procyclicality of ratings over the period. Perhaps more surprisingly, rating agencies do not appear to have performed particularly well relative to financial markets in forecasting the approaching mess: when we compare the predictive power of agency ratings with that of synthetic ratings based on market yields, we find little that suggests strongly superior performance. Our results leave open the reasons for the emergence of ratings as regulators’ preferred instrument, for superior performance does not appear to have motivated the initial regulatory use of ratings.

Gee, it’s a good thing we’re so much smarter now than they were in the thirties, eh? Imagine, sovereign defaults, depression, the rise of authoritarianism … thank God that could never happen again.

Spain has cut its financing requirements:

Spain’s Treasury said it had managed to cut borrowing from markets in 2010 and would do so again in 2011 because of austerity measures adopted by the government.

For the year ahead, the Treasury estimated net financing needs of &eur;47.2-billion ($62.4-billion) — a decline of 24%from 2010.

But the figure was slightly higher than previously announced because of the country’s &eur;3.588-billion contribution to a European financial rescue for Greece.

Net bond issues in 2010 amounted to €62.1-billion, compared to the &eur;76.8-million forecast at the start of the year, the Treasury said. It was a sharp decline from the &eur;116.7-billion in net bond issues for 2009.

Financing needs declined in 2010 “because of the fiscal austerity measures put in place by the government mid-year to strengthen the stabilization of public accounts.”

PrefBlog doesn’t have a very long list of favourite politicians, but Pennsylvania Governor Ed Rendell comes close:

His latest pronouncement came on Sunday after the National Football League’s rare postponement of a game due to a forecast of snow. In Rendell’s world, real men live to make a touchdown in the snow.

“This is football. Football’s played in bad weather,” Rendell said before the storm struck his city on Sunday but after the NFL had postponed the Sunday-night game.

“We’ve become a nation of wusses,” Rendell declared. “The Chinese are kicking our butt in everything. If this was in China do you think the Chinese would have called off the game? People would have been marching down to the stadium, they would have walked and they would have been doing calculus on the way down.”

It’s a good column. Later on, the author states:

Pre-wussification, we were an economic powerhouse, and our children were the best-educated in the world, until we decided to sheathe our little princes and princesses in bubble wrap. We give them graduation ceremonies for getting through nursery school, a trophy just for showing up at soccer. We’ve removed play from the playground to keep them from scraping a knee. We intervene like lawyers in every dispute.

For sure. Look at the recent case of Greg Walsh. He was coaching a team of 16-year-olds when:

At the game in question, [black player Andrew] McCullum and a player on the opposing Austin Trophies team were sent to the penalty box after a confrontation. There, two game officials witnessed the player call McCullum “the N-word.”

The other boy’s coach benched him for the rest of the second period, but when he rejoined the ice at the beginning of the third period without anyone coming over to apologize or offer an explanation, Walsh was outraged.

The whole team agreed to forfeit the game they were winning in support of McCullum.

Walsh was suspended for a year by the OMHA, amidst controversy – the Star made this a cause celebre, canonizing the coach for ‘standing by his player’..

Think about it. These were two 16-17 year old boys, more balls than brains if my memories of adolescence can be trusted, they had been in a “confrontation” on the ice for which they had been penalized, they were jawing back and forth at each other in the penalty box … It certainly doesn’t sound like anything was either organized or premeditated. What message is the Star sending here? “If you’re involved in an activity and somebody calls you a nasty name, then what you should do is run home crying to mommy”, that’s what it sounds like to me.

Jackie Robinson wouldn’t have been able to even watch a major league game with that attitude.

It was another very slow day in the Canadian preferred share market, but the rally was hot enough, as PerpetualDiscounts gained 18bp and FixedResets were up 11bp.

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 0.1852 % 2,310.1
FixedFloater 4.81 % 3.53 % 30,162 18.94 1 0.3554 % 3,494.1
Floater 2.59 % 2.37 % 51,881 21.28 4 0.1852 % 2,494.3
OpRet 4.78 % 3.31 % 63,828 2.35 8 0.1438 % 2,398.4
SplitShare 5.34 % 1.28 % 779,820 0.94 4 0.0050 % 2,444.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1438 % 2,193.2
Perpetual-Premium 5.69 % 5.54 % 148,542 5.40 27 0.1172 % 2,019.0
Perpetual-Discount 5.40 % 5.45 % 274,135 14.75 51 0.1759 % 2,029.2
FixedReset 5.22 % 3.32 % 330,199 3.10 52 0.1084 % 2,273.0
Performance Highlights
Issue Index Change Notes
TD.PR.P Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-30
Maturity Price : 24.67
Evaluated at bid price : 24.91
Bid-YTW : 5.35 %
ELF.PR.F Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-30
Maturity Price : 21.85
Evaluated at bid price : 21.85
Bid-YTW : 6.09 %
SLF.PR.B Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-30
Maturity Price : 21.72
Evaluated at bid price : 22.03
Bid-YTW : 5.46 %
NA.PR.N FixedReset 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-14
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 2.47 %
BNS.PR.K Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-30
Maturity Price : 23.34
Evaluated at bid price : 23.60
Bid-YTW : 5.08 %
NA.PR.M Perpetual-Premium 1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-14
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 5.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Y FixedReset 86,220 Nesbitt crossed 80,000 at 27.59.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-24
Maturity Price : 25.00
Evaluated at bid price : 27.60
Bid-YTW : 3.49 %
CM.PR.H Perpetual-Discount 29,567 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-30
Maturity Price : 22.34
Evaluated at bid price : 22.52
Bid-YTW : 5.32 %
BNS.PR.L Perpetual-Discount 13,521 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-30
Maturity Price : 21.93
Evaluated at bid price : 22.05
Bid-YTW : 5.10 %
BNS.PR.M Perpetual-Discount 12,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-30
Maturity Price : 21.89
Evaluated at bid price : 22.00
Bid-YTW : 5.11 %
PWF.PR.K Perpetual-Discount 12,589 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-30
Maturity Price : 22.61
Evaluated at bid price : 22.80
Bid-YTW : 5.51 %
RY.PR.A Perpetual-Discount 12,337 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-30
Maturity Price : 21.62
Evaluated at bid price : 21.95
Bid-YTW : 5.11 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Market Action

December 29, 2010

There’s an interesting, albeit badly in need of editing, paper by Alessandro Fontana titled The persistent negative CDS-bond basis during the 2007/08 financial crisis:

I study the behavior of the CDS-bond basis – the difference between the CDS and the bond spread – for a sample of investment-graded US firms. I document that, since the onset of the 2007/08 financial crisis it has become persistently negative, and I investigate the role played by the cost of trading the basis and its underlying risks. To exploit the negative basis an arbitrageur must finance the purchase of the underlying bond and buy protection. The idea is that, during the crisis, because of the funding liquidity shortage and the increased risk in the financial sector, which exposes protection buyers to counter-party risk, the negative basis trade is risky. In fact, I find that basis dynamics is driven by economic variables that are proxies for funding liquidity (cost of capital and hair cuts), credit markets liquidity and risk in the inter-bank lending market such as the Libor-OIS spread, the VIX , bid-asks spreads and the OIS-T-Bill spread. Results support the evidence that during stress times asset prices depart form frictionless ideals due to funding liquidity risk faced by financial intermediaries and investors; hence, deviations from parity do not imply presence of arbitrage opportunities.

The Basel Committee continued its attempts to deflect public attention from its incompetence with the release of Pillar 3 disclosure requirements for remuneration. The financial crisis had a lot more to do with tranche retention and the lack of minimum turnover standards for securities designated Available For Sale than any compensation packages.

Econbrowser‘s James Hamilton discusses the 2010 changes in the yield curve in his post Changes in the Yield Curve:

One goal of the Fed’s second round of quantitative easing begun at the start of November was to flatten the yield curve. That obviously didn’t happen, and I discussed some of the reasons why a few weeks ago. A second goal was to increase inflationary expectations, which was achieved.

Even so, all we’ve done is moved back to about where we were a year ago. And a year ago, if you recall, things really weren’t that great.

But at least now we’re moving in the right direction.

The Globe & Mail ran a story on insurance fraud on Monday that I confess I don’t fully understand:

Again, the real money was made through a clinic, by submitting stacks of claims for false treatments under Ontario’s no-fault insurance system that averaged more than $250,000 per accident.

For an initial fee of $500, any person – not necessarily a doctor – can register as the owner of a clinic, hire practitioners and bill insurers for claims. In order to file those claims, a doctor or registered practitioner’s name, signature, and other billing information is needed, but this is sometimes forged.

Using confidential documents obtained from U.S. investigators, which were then cross-referenced with information gathered from court and corporate searches in Canada, The Globe and Mail has learned that at least one person indicted in the biggest auto insurance crackdown ever seen in the United States has since opened a rehabilitation business in Ontario, operating under the noses of regulators and lawmakers.

I don’t get it. OK, I understand the bit about since the regulators basically allow cost-plus charging of premiums, there’s very little incentive to show any initiative in checking out possible fraud. But honestly, when a clinic you’ve never heard of sends you a bill for $250,000 … don’t you send some clerk to go check them out? Call the practitioners involved? Ask for some back-up? and flag the clinic for a higher rate of spot checks until they’ve been in business for a year? This seems to me to be such a basic part of good business practice that I am astounded it’s not standard, especially considering that cashing a $500 cheque requires a rectal probe.

The Globe published my letter regarding the Mordecai Richler tempest.

The Canadian preferred share market rally continued today on unsurprisingly very low volume, with PerpetualDiscounts gaining 15bp and FixedResets up 3bp.

PerpetualDiscounts now yield 5.43%, equivalent to 7.60% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 5.4%, so the pre-tax interest-equivalent spread is now about 220bp, with all figures basically unchanged from December 22.

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 -0.1603 % 2,305.8
FixedFloater 4.83 % 3.55 % 31,393 18.93 1 -0.4423 % 3,481.7
Floater 2.59 % 2.39 % 54,023 21.23 4 -0.1603 % 2,489.7
OpRet 4.79 % 3.30 % 65,994 2.36 8 0.1488 % 2,395.0
SplitShare 5.34 % 1.38 % 812,288 0.94 4 0.0101 % 2,444.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1488 % 2,190.0
Perpetual-Premium 5.70 % 5.54 % 154,023 5.37 27 0.1470 % 2,016.6
Perpetual-Discount 5.40 % 5.43 % 278,145 14.72 51 0.1459 % 2,025.6
FixedReset 5.22 % 3.42 % 337,843 3.10 52 0.0348 % 2,270.6
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 24.90
Evaluated at bid price : 24.95
Bid-YTW : 3.72 %
MFC.PR.C Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 5.57 %
PWF.PR.A Floater -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 2.39 %
PWF.PR.E Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 23.25
Evaluated at bid price : 24.27
Bid-YTW : 5.71 %
TCA.PR.Y Perpetual-Premium 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 46.64
Evaluated at bid price : 49.90
Bid-YTW : 5.53 %
POW.PR.B Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 23.56
Evaluated at bid price : 23.83
Bid-YTW : 5.62 %
ELF.PR.F Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 21.91
Evaluated at bid price : 22.20
Bid-YTW : 5.98 %
PWF.PR.F Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.54 %
W.PR.J Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 24.06
Evaluated at bid price : 24.32
Bid-YTW : 5.77 %
BAM.PR.I OpRet 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-01-28
Maturity Price : 25.50
Evaluated at bid price : 25.86
Bid-YTW : -11.69 %
GWO.PR.J FixedReset 1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 27.17
Bid-YTW : 3.00 %
BAM.PR.R FixedReset 1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Q FixedReset 36,706 TD crossed 25,000 at 26.35.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-11-24
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.28 %
BNS.PR.Y FixedReset 28,555 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 25.06
Evaluated at bid price : 25.11
Bid-YTW : 3.47 %
CM.PR.J Perpetual-Discount 19,622 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.27 %
BNS.PR.L Perpetual-Discount 19,002 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 22.04
Evaluated at bid price : 22.16
Bid-YTW : 5.16 %
SLF.PR.A Perpetual-Discount 18,787 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.55 %
BNS.PR.M Perpetual-Discount 17,176 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-29
Maturity Price : 22.02
Evaluated at bid price : 22.14
Bid-YTW : 5.16 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Market Action

December 24, 2010

There’s less room at the trough for wind and solar lobbyists:

Investors pulled 931 million euros ($1.2 billion) in the first 10 months, already eclipsing the full-year withdrawals in 2008 when the global financial crisis spooked investors, according to data compiled by Lipper Inc. Last year clean-energy funds captured 1.3 billion euros of new money, Lipper said.

“The new-energy market and related stocks were significantly impacted by the credit crisis,” Robin Batchelor, manager of the $2.9 billion BlackRock New Energy Fund, said in an e-mail. Reduced demand for energy and “the fact that governments were perceived to have many new worries on their agenda combined to create a difficult environment,” he said. New York-based BlackRock is the world’s largest money manager.

U.S. investment slumped this year amid investor doubt about government energy policy, while the sovereign debt crisis has limited prospects for economic growth in Europe. Governments in Germany, Spain and Italy cut subsidies for photovoltaic panels.

China continues to push offshore yuan trading:

Hong Kong banks will be allowed to tap the 20 billion yuan ($3 billion) fund from next month should the city’s yuan clearing bank run out of funds set under a quarterly quota.

The Hong Kong Monetary Authority made 10 billion yuan available in October using a swap agreement with China’s central bank after an 8 billion yuan quota proved insufficient. Chinese Premier Wen Jiabao is allowing the currency to become more readily available beyond China’s borders to reduce reliance on U.S. dollars in trade and finance.

“They’re hurtling toward this now,” said Gavin Parry, managing director of Hong Kong-based Parry International Trading Ltd. “They’re really using Hong Kong as the settlement and clearing hub for offshore deposit and transactions” in yuan, he said.

Hong Kong aims to grow as an offshore center for yuan trading and HKMA Chief Executive Norman Chan said yesterday deposits totaled 280 billion yuan at the end of November, up from 220 billion yuan a month earlier. The city received 130 billion yuan in net trade payments from China in the first 11 months, he told reporters in Hong Kong.

That’s a lot more useful than whimpering about global resolutions to develop a new currency!

Together with the above, dim sum bond issuance is booming:

HSBC Holdings Plc and Standard Chartered Plc, the biggest foreign underwriters of yuan bonds sold in Hong Kong, say sales will double in 2011 as demand outstrips supply and the yuan appreciates.

New issues may increase to a record 80 billion yuan ($12 billion) next year, with as much as 30 billion yuan of sales in the first quarter, according to HSBC, the No. 2 underwriter of so-called dim sum bonds. Standard Chartered, the fourth largest this year, says sales could top as much as 100 billion yuan as Moscow-based United Co. Rusal and BP Plc plan issues. Offerings in 2010 total 40.7 billion yuan, data compiled by Bloomberg show.

The Bank of Canada has released a working paper by Kimberly Beaton, René Lalonde and Stephen Snudden titled The Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages:

This paper examines the transmission of U.S. real and financial shocks to Canada and, in particular, the role of financial frictions in affecting the transmission of these shocks. These questions are addressed within the Bank of Canada’s Global Economy Model (de Resende et al. forthcoming), a dynamic stochastic general-equilibrium model with an active banking sector and a detailed role for financial frictions. We find that U.S. financial shocks, as well as real shocks, have important effects on the Canadian economy. Moreover, financial frictions on both the demand and supply sides of credit amplify the first round impact of all types of U.S. shocks on the U.S. economy, as well as the second round impact on Canada. Real-financial linkages also increase the persistence of the Canadian response to U.S. shocks. We find that the interaction between the endogenous response of commodity prices and U.S. financial frictions plays an important role in the propagation of U.S. shocks to the Canadian economy. Finally, real-financial linkages also help to generate the positive cross correlation between domestic demand in the United States and Canada observed in the data, which is difficult to explain with a model where the transmission of shocks between countries is only based only on trade.

Unsurprisingly enough, it was a sleepy foreshortened day on the Canadian preferred share market, but the rally managed to sputter along, with PerpetualDiscounts gaining 9bp and FixedResets basically flat.

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 -0.0370 % 2,309.5
FixedFloater 4.81 % 3.52 % 30,357 18.97 1 0.0442 % 3,497.2
Floater 2.59 % 2.36 % 56,173 21.33 4 -0.0370 % 2,493.7
OpRet 4.80 % 3.43 % 68,340 2.37 8 -0.1773 % 2,391.4
SplitShare 5.35 % 1.36 % 845,675 0.95 4 -0.0050 % 2,444.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1773 % 2,186.8
Perpetual-Premium 5.70 % 5.51 % 154,661 5.34 27 0.0484 % 2,013.7
Perpetual-Discount 5.40 % 5.45 % 286,305 14.72 51 0.0886 % 2,022.6
FixedReset 5.22 % 3.39 % 342,492 3.12 52 0.0050 % 2,269.8
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-24
Maturity Price : 25.46
Evaluated at bid price : 25.51
Bid-YTW : 3.93 %
BAM.PR.I OpRet -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-07-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 3.62 %
IAG.PR.A Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-24
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.R FixedReset 82,050 Nesbitt sold two blocks of 10,000 each to RBC at 25.60, then crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-24
Maturity Price : 23.32
Evaluated at bid price : 25.63
Bid-YTW : 4.57 %
RY.PR.X FixedReset 41,249 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-23
Maturity Price : 25.00
Evaluated at bid price : 27.60
Bid-YTW : 3.47 %
CM.PR.J Perpetual-Discount 11,772 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-24
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 5.25 %
MFC.PR.C Perpetual-Discount 11,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-24
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 5.47 %
BAM.PR.B Floater 11,022 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-24
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 2.85 %
BAM.PR.K Floater 10,800 Nesbitt crossed 10,000 at 18.20.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-24
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 2.88 %
There were 1 other index-included issues trading in excess of 10,000 shares.
Issue Comments

Desjardins Bids for WES

Desjardins has announced:

that it has entered into a support agreement with Western Financial Group (TSX:WES), the largest insurance and financial services retailer in Western Canada with 121 offices in British Columbia, Alberta, Saskatchewan and Manitoba, pursuant to which it will acquire all of the issued and outstanding common shares of Western Financial at a price of $4.15 per common share in cash (the ‘’Offer’’) for a total transaction value of $443 million.

Holders of convertible preferred shares and convertible unsecured debentures of Western Financial may participate in the Offer by converting such securities into common shares of Western Financial Group and tendering such shares to the Offer. By exercising the relevant conversion rights and participating in the Offer, holders of the following securities would receive the following premiums over par values: Series 2 preferred shares ‐ 15%; Series 5 preferred shares ‐ 48%; and convertible unsecured debentures ‐ 38%.

Great. Now I’m going to get all kinds of questions about convertible preferreds.

Series 5 is WES.PR.C which was issued in September 2009. The prospectus (available on SEDAR) states:

The Preferred Shares are convertible into our common shares (“Common Shares”) at the option of the holder at any time, or if called for redemption, on the business day immediately preceding the date fixed for redemption, at a conversion price of $2.81 per Common Share (the “Conversion Price”), being a rate of 35.5872 Common Shares per Preferred Share, subject to adjustment. See “Details of the Offering – Conversion”.

A nice windfall indeed!

WES.PR.D is Series 2, which closed in December 2009. According to the 2009 Annual Report:

Series 2 Preferred shares issued by the Company are convertible at the holder’s option at any time into common shares at a fixed conversion price of $3.60 per share. These shares are redeemable by the Company only after the third anniversary and up to the fifth anniversary if the common shares are trading at or greater than 135% of the $3.60 conversion price. These shares have been recorded as equity. Dividends paid and accrued are recorded against retained earnings.

Unfortunately, WES.PR.A is Series 3:

Series 3 Preferred shares issued by the Company are convertible at the holder’s option at any time into common shares at a fixed conversion price of $7.25 per share. These shares are redeemable by the Company only after the third anniversary and up to the fifth anniversary if the common shares are trading at or greater than 135% of the $7.25 conversion price. These shares have been recorded as equity. Dividends paid and accrued are recorded against retained earnings.

… and WES.PR.B is Series 4:

Series 4 Preferred shares issued by the Company are convertible at the holder’s option at any time into common shares at a fixed conversion price of $6.90 per share. These shares are redeemable by the Company only after the third anniversary and up to the fifth anniversary if the common shares are trading at or greater than 135% of the $6.90 conversion price. These shares have been recorded as equity. Dividends paid and accrued are recorded against retained earnings.

None of the WES preferred shares are tracked by HIMIPref™.

Update, 2011-1-21: Takeover bid documents mailed.

Market Action

December 23, 2010

Allied Irish has joined the cortege:

Ireland’s High Court said Allied Irish Banks Plc can be taken over by the government without shareholder approval, as the lender became the fourth bank to fall under state control since 2008.

Finance Minister Brian Lenihan secured approval from the Dublin-based court today to inject 3.7 billion euros ($4.8 billion) into the lender by Dec. 31 and raise its stake to 92 percent from 19 percent, the Finance Ministry said in a statement. Allied Irish, Ireland’s biggest company by market value in 2007, recorded its biggest share price drop in 22 months in Dublin trading. Worth almost 21 billion euros at its peak, the bank’s market value today was 341 million euros.

In Hungarian news:

Fitch cut Hungary’s long term foreign currency credit rating to BBB- with a negative outlook on Thursday, warning that the lack of a coherent medium-term fiscal strategy undermined confidence in the sustainability of public finances.

“The reversal of pension reforms and lack of a coherent medium-term fiscal strategy undermines confidence in the long-term sustainability of the public finances,” it said in a statement.

The Bank of Canada has published a few working papers of note lately … I haven’t gone through them carefully (they’re in a HUGE pile, marked “later”), but the first one is by H. Evren Damar, Césaire A. Meh and Yaz Terajima, titled Leverage, Balance Sheet Size and Wholesale Funding:

Some evidence points to the procyclicality of leverage among financial institutions leading to aggregate volatility. This procyclicality occurs when financial institutions finance their assets with non-equity funding (i.e., debt financed asset expansions). Wholesale funding is an important source of market-based funding that allows some institutions to quickly adjust their leverage. As such, financial institutions that rely on wholesale funding are expected to have higher degrees of leverage procyclicality. Using high frequency balance sheet data for the universe of banks, this study tries to identify (i) if such a positive link exists between the assets and leverage in Canada, (ii) how wholesale funding plays a role for this link, and (iii) market and macroeconomic factors associated with this link. The findings of the empirical analysis suggest that a strong positive link exists between asset growth and leverage growth, and the use to wholesale funding is an important determinant of this relationship. Furthermore, liquidity of several short-term funding markets matters for procyclicality of leverage.

The second one is by Étienne Bordeleau and Christopher Graham, titled The Impact of Liquidity on Bank Profitability:

The recent crisis has underlined the importance of sound bank liquidity management. In response, regulators are devising new liquidity standards with the aim of making the financial system more stable and resilient. In this paper, the authors analyse the impact of liquid asset holdings on bank profitability for a sample of large U.S. and Canadian banks. Results suggest that profitability is improved for banks that hold some liquid assets, however, there is a point at which holding further liquid assets diminishes a banks’ profitability, all else equal. Moreover, empirical evidence also suggests that this relationship varies depending on a bank’s business model and the state of the economy. These results are particularly relevant as policymakers devise new standards establishing an appropriate level of liquidity for banks. While it is generally agreed upon that banks undervalued liquidity prior to the recent financial crisis, one must also consider the tradeoff between resilience to liquidity shocks and the cost of holding lower-yielding liquid assets as the latter may impact banks’ ability to generate revenues, increase capital and extend credit.

OSFI released a final version of the Capital Adequacy Requirements Guidelines A-1 and A for deposit taking institutions.

Volume in the Canadian preferred share market eased off to merely average levels, but the rally spluttered along, with PerpetualDiscounts up 1bp and FixedResets gaining 22bp.

There is an early close on the Toronto Stock Exchange tomorrow, as all the players have to rush home and tell their mommies how hard they work. It is also the last day of trading for settlement in 2009, which is important for tax purposes, so watch the clock as closely as if you worked for a fundco!

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 0.1852 % 2,310.4
FixedFloater 4.81 % 3.52 % 30,601 18.98 1 -1.3100 % 3,495.6
Floater 2.59 % 2.36 % 56,449 21.34 4 0.1852 % 2,494.6
OpRet 4.79 % 3.28 % 71,127 2.37 8 0.1296 % 2,395.7
SplitShare 5.35 % 1.25 % 880,611 0.96 4 0.1010 % 2,444.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1296 % 2,190.6
Perpetual-Premium 5.70 % 5.51 % 155,902 5.34 27 0.0612 % 2,012.7
Perpetual-Discount 5.41 % 5.46 % 290,751 14.71 51 0.0141 % 2,020.9
FixedReset 5.22 % 3.39 % 352,467 3.12 52 0.2169 % 2,269.7
Performance Highlights
Issue Index Change Notes
MFC.PR.C Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-23
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.52 %
NA.PR.L Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-23
Maturity Price : 23.02
Evaluated at bid price : 23.26
Bid-YTW : 5.27 %
BAM.PR.G FixedFloater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-23
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 3.52 %
GWO.PR.I Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-23
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.32 %
SLF.PR.G FixedReset 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.72 %
FTS.PR.G FixedReset 1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-01
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.19 %
POW.PR.D Perpetual-Discount 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-23
Maturity Price : 22.70
Evaluated at bid price : 22.90
Bid-YTW : 5.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.D Perpetual-Discount 61,159 TD crossed blocks of 16,000 and 12,000, both at 20.12.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-23
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 5.57 %
BAM.PR.R FixedReset 60,736 Nesbitt sold two blocks of 10,000 to RBC, both at 25.60, then crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-23
Maturity Price : 23.30
Evaluated at bid price : 25.58
Bid-YTW : 4.58 %
SLF.PR.A Perpetual-Discount 34,254 TD crossed 20,000 at 21.59.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-23
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 5.59 %
CM.PR.D Perpetual-Premium 31,967 TD crossed 25,000 at 25.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-05-30
Maturity Price : 25.25
Evaluated at bid price : 25.22
Bid-YTW : 4.63 %
CM.PR.H Perpetual-Discount 29,202 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-23
Maturity Price : 22.27
Evaluated at bid price : 22.44
Bid-YTW : 5.34 %
BAM.PR.K Floater 28,500 Nesbitt crossed 10,000 at 18.20.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-23
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 2.88 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Issue Comments

KSP.UN: S&P No Longer Rates Underlying Interest

Standard & Poor’s has announced:

it affirmed its ‘CCC-‘ unsolicited long-term counterparty credit ratings and negative outlook on Kingsway Financial Services Inc. and its subsidiaries (Kingsway). Subsequently, we withdrew the unsolicited ratings.

“Our ratings on Kingsway Financial Services and its subsidiaries were based on the group’s weak operating performance, liquidity, capital adequacy, competitive position, and financial flexibility,” said Standard & Poor’s credit analyst Pablo Feldman.

Kingsway reduced its outstanding senior unsecured debt rated by Standard & Poor’s and held by third parties to about $36.9 million as of Sept. 30, 2010, from $176.8 million at year-end 2009. Kingsway financed this debt reduction with cash obtained from the sale of some of its subsidiaries and assets. “Because the company now has only a small amount of outstanding rated senior unsecured debt, we are withdrawing our unsolicited ratings,” said Mr. Feldman.

The negative outlook reflected our assessment of the company’s operating performance, liquidity, capital adequacy, competitive position, and financial flexibility as weak. We believe that the company has a high level of financial leverage and that its operating companies face a difficult underwriting environment. We also believe that Kingsway Financial Services is highly dependent upon favorable business, financial, and economic conditions to meet its financial obligations.

One of those financial obligations involves the future health of Kingsway Linked Return of Capital Trust, trading as KSP.UN and sponsored by Scotia Managed Companies:

The Trust was created to provide holders with exposure to a senior note issued by an affiliate of Kingsway Financial Services Inc. Holders of the LROC Preferred Units will receive primarily tax-deferred quarterly distributions of $0.3125 per LROC Preferred Unit representing a yield of 5.00% per annum on the $25.00 per LROC Preferred Unit offering price.

KSP.UN was last mentioned on PrefBlog when DBRS withdrew its rating last year. KSP.UN is not tracked by HIMIPref™.