Archive for February, 2009

Seminar, March 26: SplitShares

Saturday, February 28th, 2009

Update, 2009-8-25: To gain access to the on-line video of this seminar and the ancillary written material, please visit PrefLetter.com

I am pleased to announce the next seminar in the series on the theory and practice of preferred share investing.

These seminars will be aimed at active and potential preferred share investors who wish to review relative valuation techniques in preferred share analysis.

All seminars will be presented by James Hymas, who has written extensively on the subject of preferred share investment and has been referred to as a "top expert" on the subject.

Questions are encouraged throughout the seminars, as well as in informal discussion at the end of the session.

Each seminar is two hours in length; coffee and tea will be served. The cost of attendance is $100, but a discount of $50 will be given to participants who have an annual subscription to PrefLetter with at least one issue remaining at the time of the seminar.

All seminars will be video-recorded for future distribution.

Thursday, March 26

SplitShares: Theory & Practice

"SplitShares" are popular with investors who:

  • wish to obtain tax-advantaged income
  • want an investment with a fixed-term

These issues are characterized by:

  • Fund owns portfolio of stocks (usually financials)
  • Fund finances portfolio with two classes of stock
    • Capital Units get increased expected returns at expense of safety
    • Preferred shares get increased safety at the expense of expected return
  • Cumulative Dividends
  • There is a set wind-up date for the fund

This seminar will review the theory of SplitShare Preferred evaluation, including:

  • Credit Quality
  • Embedded calls
  • Embedded puts
  • The importance of ex-Dividend dates
  • Investment characteristics relative to bonds

Examples of relative valuation in current markets will be supplied and discussed.

Attendence is limited; a reservation will avoid disappointment.

Location: Days Hotel & Conference Center, (at Carlton & College, downtown Toronto) Yorkville Room (see map).

Time: March 26, 2009, 6pm-8pm.

Reservations: Please visit the PrefLetter Seminar Page.

Update, 2009-8-24: The seminar and its ancillary material have been accredited for four hours of IDA Professional Development Continuing Education.

Update, 2009-8-24: ◦This program is eligible for four CE credit hours, as granted by CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.

 
 

A.M.Best Downgrades SLF Preferreds to bbb+

Saturday, February 28th, 2009

A. M. Best has announced:

has downgraded the financial strength rating (FSR) to A+ (Superior) from A++ (Superior) and issuer credit ratings (ICR) to “aa” from “aa+” for the core life insurance subsidiaries of Sun Life Financial Inc. (SLF) (Toronto Canada), which consist of Sun Life Assurance Company of Canada (Sun Life) (Toronto, Canada), Sun Life Assurance Company of Canada (U.S.) (Wilmington, DE) and Sun Life Insurance and Annuity Company of New York (New York, NY). Concurrently, A.M. Best has downgraded the ICR to “a” from “aa-” of SLF as well as the existing debt ratings of the enterprise. The downgrading of the debt ratings reflects a revision to standard notching for the group in accordance with A.M. Best’s published debt rating methodology. The outlook for all ratings is stable. (See link below for a detailed listing of the companies and ratings.)

The downgrades reflect the challenges SLF faces due to stresses in the global macroeconomic environment, especially in its U.S. operations. The prolonged weakness in the equity markets has negatively impacted both SLF’s insurance operations—through higher reserve and capital charges and lower fee income—and its asset management operation, MFS, which has recorded lower assets under management. SLF’s U.S. insurance operations recorded a loss in 2008 due to the impact of equity market declines, credit related losses, as well as, the unfavorable impact of changes in currency exchange rates as well as credit impairment losses. While risk-adjusted capital levels at the group remain strong, the U.S. operations have required capital contributions, reducing financial flexibility for the group. Despite this additional funding, A.M. Best believes its targeted U.S. risk-based capital levels will remain modest relative to its peers.

While its U.S. segment reported the weakest results in 2008, SLF also recorded declines in earnings in its Canadian and Asian operations. A.M. Best believes that earnings will remain under pressure for the group, resulting in lower fixed coverage, due to continued equity market weakness and higher asset impairments. SLF retains exposure to real estate-linked assets through its investments in commercial mortgage loans, direct real estate and residential and commercial mortgage-backed securities. A.M. Best notes that a large portion of SLF’s real estate portfolio is underwritten in Canada, which is expected to continue to perform better than similar investments in the United States.

The stable outlook is based on SLF’s diversified revenue stream from multiple regions, profitable operations in Canada, favorable risk-adjusted capitalization and well developed and fully integrated risk management framework. The year-end regulatory capital ratio in Canada is considered strong. SLF is a Canadian-based holding company with a top three market position in the Canadian insurance market. SLF also maintains an expanding wealth management and life insurance operation in Asia.

There is a complete list of ratings available.

This announcement follows a Credit Watch Negative by S&P and a downgrade to Baa2 by Moody’s.

Recently, A.M. Best has

Sun Life Financial has the following issues outstanding: SLF.PR.A, SLF.PR.B, SLF.PR.C, SLF.PR.D & SLF.PR.E. All are tracked by HIMIPref™ and are incorporated in the PerpetualDiscounts subIndex.

February 27, 2009

Saturday, February 28th, 2009

PerpetualDiscounts closed the month on a sour note, losing nearly 80bp to close yielding 7.29%, equivalent to 10.21% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 7.5%, so the pre-tax interest-equivalent spread now stands at 271bp – another updraft!

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 5.33 % 3.62 % 23,573 18.12 2 0.0523 % 841.1
FixedFloater 7.50 % 7.05 % 77,582 13.86 7 -1.5204 % 1,338.5
Floater 5.07 % 4.15 % 25,585 17.14 4 -1.3816 % 1,035.5
OpRet 5.26 % 4.82 % 149,440 3.95 15 0.0921 % 2,047.3
SplitShare 6.83 % 12.16 % 71,682 3.97 15 -1.2929 % 1,644.0
Interest-Bearing 7.33 % 8.74 % 38,157 0.80 2 -1.1827 % 1,929.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7911 % 1,500.5
Perpetual-Discount 7.19 % 7.29 % 173,471 12.20 71 -0.7911 % 1,382.0
FixedReset 6.15 % 5.72 % 534,526 13.90 27 -0.2135 % 1,790.5
Performance Highlights
Issue Index Change Notes
FIG.PR.A Interest-Bearing -4.20 % Asset coverage of 1.0+:1 as of February 20, based on Capital units at $0.39 and 0.53 Capital Units per preferred.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-31
Maturity Price : 10.00
Evaluated at bid price : 6.85
Bid-YTW : 14.89 %
ALB.PR.A SplitShare -3.77 % Asset coverage of 1.1-:1 as of February 26 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-02-28
Maturity Price : 25.00
Evaluated at bid price : 18.91
Bid-YTW : 19.67 %
LFE.PR.A SplitShare -3.66 % Asset coverage of 1.2+:1 as of February 13 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-12-01
Maturity Price : 10.00
Evaluated at bid price : 7.37
Bid-YTW : 14.70 %
BAM.PR.B Floater -3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 7.14 %
LBS.PR.A SplitShare -3.59 % Asset coverage of 1.2+:1 as of February 26 according to Brompton.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2013-11-29
Maturity Price : 10.00
Evaluated at bid price : 7.52
Bid-YTW : 12.61 %
BNS.PR.L Perpetual-Discount -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.63 %
TD.PR.P Perpetual-Discount -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.06 %
BCE.PR.G FixedFloater -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 25.00
Evaluated at bid price : 14.55
Bid-YTW : 7.15 %
PWF.PR.I Perpetual-Discount -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 7.54 %
RY.PR.I FixedReset -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 22.21
Evaluated at bid price : 22.25
Bid-YTW : 4.67 %
BCE.PR.C FixedFloater -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 25.00
Evaluated at bid price : 15.17
Bid-YTW : 7.05 %
TD.PR.R Perpetual-Discount -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.23 %
BMO.PR.K Perpetual-Discount -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 7.44 %
BNA.PR.A SplitShare -2.52 % Asset coverage of 1.9-:1 as of January 31 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2010-09-30
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 11.31 %
BNS.PR.M Perpetual-Discount -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 6.83 %
CM.PR.D Perpetual-Discount -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 7.49 %
RY.PR.H Perpetual-Discount -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 7.07 %
SLF.PR.A Perpetual-Discount -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 7.78 %
FBS.PR.B SplitShare -2.14 % Asset coverage of 1.0+:1 as of February 26 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-12-15
Maturity Price : 10.00
Evaluated at bid price : 6.41
Bid-YTW : 22.85 %
BNA.PR.C SplitShare -2.13 % Asset coverage of 1.9-:1 as of January 31 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 11.01
Bid-YTW : 15.79 %
RY.PR.L FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 22.96
Evaluated at bid price : 23.00
Bid-YTW : 5.31 %
CU.PR.B Perpetual-Discount -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 21.99
Evaluated at bid price : 22.37
Bid-YTW : 6.74 %
PWF.PR.G Perpetual-Discount -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.81 %
PWF.PR.E Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 7.44 %
BMO.PR.H Perpetual-Discount -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.77 %
PPL.PR.A SplitShare -1.98 % Asset coverage of 1.3+:1 as of February 13 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-12-01
Maturity Price : 10.00
Evaluated at bid price : 8.40
Bid-YTW : 10.22 %
CM.PR.E Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.72 %
PWF.PR.A Floater -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 4.15 %
TD.PR.Q Perpetual-Discount -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 7.22 %
RY.PR.F Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.02 %
WFS.PR.A SplitShare -1.81 % Asset coverage of 1.0+:1 as of February 19 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-06-30
Maturity Price : 10.00
Evaluated at bid price : 7.61
Bid-YTW : 18.97 %
W.PR.H Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 7.29 %
BCE.PR.F FixedFloater -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 7.19 %
POW.PR.D Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 7.69 %
PWF.PR.L Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 7.82 %
CU.PR.A Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 6.67 %
CM.PR.J Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 7.60 %
NA.PR.M Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.46 %
BNS.PR.J Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.83 %
BNS.PR.K Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 6.85 %
TD.PR.C FixedReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 23.36
Evaluated at bid price : 23.40
Bid-YTW : 5.29 %
BCE.PR.A FixedFloater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 25.00
Evaluated at bid price : 16.31
Bid-YTW : 6.54 %
RY.PR.D Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 7.03 %
GWO.PR.G Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 7.62 %
DF.PR.A SplitShare -1.34 % Asset coverage of 1.3+:1 as of February 13 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-01
Maturity Price : 10.00
Evaluated at bid price : 8.11
Bid-YTW : 9.67 %
FFN.PR.A SplitShare -1.33 % Asset coverage of 1.0+:1 as of February 13 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-01
Maturity Price : 10.00
Evaluated at bid price : 5.95
Bid-YTW : 16.56 %
BMO.PR.J Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 7.14 %
TD.PR.O Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 6.75 %
NA.PR.K Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 7.31 %
RY.PR.E Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.97 %
BCE.PR.Z FixedFloater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 7.13 %
CM.PR.I Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 7.54 %
CM.PR.P Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 7.69 %
TD.PR.Y FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.76 %
CM.PR.G Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.56 %
IGM.PR.A OpRet -1.02 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-06-29
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 5.81 %
ENB.PR.A Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 23.10
Evaluated at bid price : 23.36
Bid-YTW : 5.91 %
GWO.PR.J FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 24.45
Evaluated at bid price : 24.50
Bid-YTW : 5.49 %
STW.PR.A Interest-Bearing 1.02 % Asset coverage of 1.5+:1 based on Capital Unit NAV of 2.48 and 2.12 Capital Units per preferred.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2009-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.86
Bid-YTW : 8.74 %
NA.PR.N FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 22.19
Evaluated at bid price : 22.25
Bid-YTW : 4.85 %
POW.PR.C Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 7.60 %
GWO.PR.F Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.21 %
BNS.PR.P FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 22.81
Evaluated at bid price : 22.90
Bid-YTW : 4.60 %
BAM.PR.H OpRet 1.69 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2012-03-30
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 8.56 %
POW.PR.B Perpetual-Discount 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 7.52 %
CL.PR.B Perpetual-Discount 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 7.37 %
MFC.PR.B Perpetual-Discount 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.08 %
MFC.PR.C Perpetual-Discount 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 7.06 %
SBN.PR.A SplitShare 4.59 % Asset coverage of 1.5-:1 as of February 19 according to Mulvihill.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-01
Maturity Price : 10.00
Evaluated at bid price : 8.65
Bid-YTW : 8.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.X OpRet 125,983 RBC crossed 120,000 at 25.10.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-09-29
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.67 %
RY.PR.I FixedReset 44,835 RBC bought 10,000 from Scotia at 22.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 22.21
Evaluated at bid price : 22.25
Bid-YTW : 4.67 %
RY.PR.R FixedReset 37,644 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 6.18 %
BNS.PR.X FixedReset 32,837 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 6.27 %
BMO.PR.H Perpetual-Discount 30,916 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-27
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.77 %
TD.PR.G FixedReset 29,930 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 6.30 %
There were 33 other index-included issues trading in excess of 10,000 shares.

ES.PR.B Revises Capital Unit Dividend Policy

Friday, February 27th, 2009

Energy Split Corp. has announced:

that it has revised its Capital Yield Share distribution policy and starting with the next distribution date on June 16, 2009, has determined that it will not pay a distribution on the Capital Yield Shares if the Net Asset Value at the time of declaration, after giving effect to the distribution, would be less than or equal to the original issue price of the Class B Preferred Shares. In such circumstances, any excess distributions received on the royalty trust portfolio minus the distributions payable on the Class B Preferred Shares and all administrative and operating expenses will be reinvested in short-term debt securities or used to purchase Class B Preferred Shares in the market for cancellation under a normal course issuer bid. However, as long as Net Asset Value at the date of declaration exceeds the original issue price of the Class B Preferred Shares, the Company intends to pay a distribution on the Capital Yield Shares equal to the excess of the distributions received on the royalty trust portfolio minus the Class B Preferred Share distributions and all administrative and operating expenses.

The previous policy was:

to declare and pay quarterly distributions in an amount equal to the distributions paid by the royalty trusts comprising the Royalty Trust Portfolio minus the distributions payable on the ROC Preferred Shares and all administrative and operating expenses of the Company and Royalty Fund.

ES.PR.B is currently underwater, with the preferred share redemption price of $21.00 “covered” by NAV of $18.27 as of February 26.

The last mention of ES.PR.B was when it was downgraded to Pfd-4(low) by DBRS. ES.PR.B is not tracked by HIMIPref™.

NSI.PR.C to be Redeemed

Friday, February 27th, 2009

Nova Scotia Power has announced:

that effective April 1, 2009 (the “redemption date”) the Company will redeem all of its outstanding Cumulative Redeemable First Preferred Shares, Series C (the “Series C shares”) for a redemption price of $25.00 per share.

The Notice of Redemption and associated documents are being sent to Registered holders of these shares today. Beneficial holders of the Series C shares should contact the financial institution, broker or other intermediary through which they hold these shares to confirm how they will receive their redemption proceeds.

After the redemption date, holders of the Series C shares will cease to be entitled to dividends or to exercise any rights of shareholders.

NSI.PR.C was last mentioned on PrefBlog when it was added to the TXPR index at the January rebalancing.

NSI.PR.C is tracked by HIMIPref™; it is included in the “Scraps” sub-index due to volume concerns.

NA Capitalization: 1Q09

Friday, February 27th, 2009

NA has released its First Quarter 2009 Report and Supplementary Package, so it’s time to recalculate how much room they have to issue new preferred shares – assuming they want to!

Step One is to analyze their Tier 1 Capital, reproducing the prior format:

NA Capital Structure
October, 2008
& January 2009
  4Q08 1Q09
Total Tier 1 Capital 5,480 5,709
Common Shareholders’ Equity 86.2% 80.9%
Preferred Shares 14.1% 19.1%
Innovative Tier 1 Capital Instruments 15.1% 15.4%
Non-Controlling Interests in Subsidiaries 0.3% 0.3%
Goodwill -13.5% -13.0%
Miscellaneous -2.3% -2.8%
Shareholders’ equity includes ‘Foreign Currency Translation Adjustment’
‘Miscellaneous’ includes ‘unrealized gain of available for sale equity securities’ and ‘securitization related deductions’

Next, the issuance capacity (from Part 3 of the introductory series):

NA
Tier 1 Issuance Capacity
October 2008
& January 2009
  4Q08 1Q09
Equity Capital (A) 3,878 3,740
Non-Equity Tier 1 Limit B=0.666*A 2,585 2,491
Innovative Tier 1 Capital (C) 828 880
Preferred Limit (D=B-C) 1,757 1,611
Preferred Actual (E) 774 1,089
New Issuance Capacity (F=D-E) 983 522
Items A, C & E are taken from the table
“Risk Adjusted Capital Ratiosl”
of the supplementary information;
Note that Item A includes everything except preferred shares and innovative capital instruments


Item B is as per OSFI Guidelines; the limit was recently increased.
Items D & F are my calculations

and the all important Risk-Weighted Asset Ratios!

NA
Risk-Weighted Asset Ratios
October 2008
& January 2009
  Note 4Q08 1Q09
Equity Capital A 3,878 3,740
Risk-Weighted Assets B 58,069 57,312
Equity/RWA C=A/B 6.67% 6.53%
Tier 1 Ratio D 9.4% 10.0%
Capital Ratio E 13.2% 14.0%
Assets to Capital Multiple F 16.7x 17.0x
A is taken from the table “Issuance Capacity”, above
B, D & E are taken from RY’s Supplementary Report
C is my calculation
F is not yet available from OSFI for 4Q08; is not disclosed by the bank on a timely basis; and is not required to be disclosed by OSFI on a timely basis. Pondering the question of which of these three faults is most disgraceful provides me with many happy hours of rumination. The 4Q08 figure is approximated by subtracting goodwill of 740 from total assets of 129,332 to obtain adjusted assets of 128,592 and dividing by 7,679 total capital. The 1Q09 figure is approximated by subtracting goodwill of 741 from total assets of 136,989 to obtain adjusted assets of 136,248 and dividing by 8,034 of total capital

Prior Reports to Shareholders have included statements such as:

In addition to regulatory capital ratios, banks are expected to meet an assets-to-capital multiple test. The assets-to-capital multiple is calculated by dividing a bank’s total assets, including specified off-balance sheet items, by its total capital. Under this test, total assets should not be greater than 23 times the total capital. The Bank met the assets-to-capital multiple test in the third quarter of 2008.

… but they can no longer be bothered to note that they can’t be bothered to disclose this critical figure.

Earnings in the quarter were affected by a charge due to ABCP:

National Bank reported net income of $69 million for the first quarter of fiscal 2009, compared to net income of $255 million in the first quarter of 2008. Diluted earnings per share stood at $0.36, as against diluted earnings per share of $1.58 for the corresponding quarter of 2008. The results for the quarter included charges attributable to the impact of asset backed commercial paper (ABCP). These charges comprise the after-tax cost of holding ABCP of $98 million, which consisted of a net loss on available for sale securities related to ABCP of $129 million, financing costs, professional fees and the cost of economic hedge transactions totalling $10 million and interest income on ABCP further to the restructuring of $41 million. In addition, an after-tax loss related to commitments to extend credit to clients holding ABCP of $86 million was recorded in the first quarter of 2009. In the first quarter of 2008, the Bank had recorded after-tax charges related
to holding ABCP of $14 million, as well as a gain of $32 million on the sale of its subsidiary in Nassau.

Readers will remember that National Bank had an ownership interest in ABCP packagers, and their branded Money Market Fund was a major investor in these assets.

RY Capitalization: 1Q09

Friday, February 27th, 2009

RY has released its Fourth Quarter 2008 Earnings and Supplementary Package, so it’s time to recalculate how much room they have to issue new preferred shares – assuming they want to!

Step One is to analyze their Tier 1 Capital, reproducing the prior format:

RY Capital Structure
October, 2008
& January, 2009
  4Q08 1Q09
Total Tier 1 Capital 25,173 28,901
Common Shareholders’ Equity 115.0% 108.0%
Preferred Shares 10.6% 13.2%
Innovative Tier 1 Capital Instruments 15.4% 14.3%
Non-Controlling Interests in Subsidiaries 1.4% 1.2%
Goodwill -39.6% -34.4%
Miscellaneous -2.7% -2.4%
‘Miscellaneous’ includes ‘Substantial Investments’, ‘Securitization-related deductions’, ‘Expected loss in excess of allowance’ and ‘Other’

Next, the issuance capacity (from Part 3 of the introductory series):

RY
Tier 1 Issuance Capacity
October 2008
& January 2009
  4Q08 1Q09
Equity Capital (A) 18,637 20,949
Non-Equity Tier 1 Limit B=0.666*A 12,425 13,952
Innovative Tier 1 Capital (C) 3,879 4,141
Preferred Limit (D=B-C) 8,546 9,811
Preferred Actual (E) 2,657 3,811
New Issuance Capacity (F=D-E) 5,889 6,000
Items A, C & E are taken from the table
“Regulatory Capital”
of the supplementary information;
Note that Item A includes everything except preferred shares and innovative capital instruments


Item B is as per OSFI Guidelines; the limit was recently increased.
Items D & F are my calculations

and the all important Risk-Weighted Asset Ratios!

RY
Risk-Weighted Asset Ratios
October 2008
& January 2009
  Note 4Q08 1Q09
Equity Capital A 18,637 20,949
Risk-Weighted Assets B 278,579 273,561
Equity/RWA C=A/B 6.69% 7.66%
Tier 1 Ratio D 9.0% 10.6%
Capital Ratio E 11.1% 12.5%
Assets to Capital Multiple F 20.1x 17.5x
A is taken from the table “Issuance Capacity”, above
B, D, E & F are taken from RY’s Supplementary Report
C is my calculation.

Derivatives exposure, which was an issue last quarter as their long-term FX contracts grossed up the balance sheet, declined in notional terms but the risk-weighting increased to leave the risk-weighted exposure flat on the quarter. The notional decline was due to a reduction in short-term exposures; values for terms extending beyond one year were flat. It is possible – though not discussed! – that Royal is using its counterparty strength to go after the more profitable long-term business. Additionally, there appears (page 37 of the supplementary PDF) to be a shift from Foreign Exchange to Interest Rate derivatives.

It was a good solid quarter with nothing particularly exciting happening … just the way we like it! Very nice to see the delevering indicated by the Assets to Capital Multiple and improved Preferred Share subordination shown by the the Equity/RWA ratio.

CM Capitalization: 1Q09

Friday, February 27th, 2009

CIBC (Stock symbol CM … I can never quite decide how to present it!) has released its 1Q09 Earnings Report and 1Q09 Supplementary Package, so it’s time to recalculate how much room they have to issue new preferred shares – assuming they want to!

Step One is to analyze their Tier 1 Capital, reproducing the prior format:

CM Capital Structure
October, 2008
& January, 2009
  4Q08 1Q09
Total Tier 1 Capital 12,365 12,017
Common Shareholders’ Equity 91.2% 92.3%
Preferred Shares 26.1% 26.9%
Innovative Tier 1 Capital Instruments 0% 0%
Non-Controlling Interests in Subsidiaries 1.4% 1.5%
Goodwill -17.0% -17.7%
Misc. -1.8% -3.0%
Shareholders’ Equity includes “Common Shares”, “Contributed Surplus”, “Retained Earnings”, “Net after tax fair value losses arising from changes in institution’s own credit risk”, “Foreign Currency translation adjustments”, and “Net after tax undrealized holding loss on AFS equity securities in OCI”

‘Misc.’ is comprised of Basel II adjustments to Tier 1 Capital

Next, the issuance capacity (from Part 3 of the introductory series):

CM
Tier 1 Issuance Capacity
October 2008
& January 2009
  4Q08 1Q09
Equity Capital (A) 9,134 8,786
Non-Equity Tier 1 Limit B=0.666*A 6,089 5,851
Innovative Tier 1 Capital (C) 0 0
Preferred Limit (D=B-C) 6,089 5,851
Preferred Actual (E) 3,231 3,231
New Issuance Capacity (F=D-E) 2,858 2,620
Items A, C & E are taken from the table
“Regulatory Capital”
of the supplementary information;
Note that Item A is defined as total Tier 1 Capital, less preferred shares.


Item B is as per OSFI Guidelines; the limit was recently increased.
Items D & F are my calculations

and the all important Risk-Weighted Asset Ratios!

CM
Risk-Weighted Asset Ratios
October 2008
& January 2009
  Note 4Q08 1Q09
Equity Capital A 9,134 8,786
Risk-Weighted Assets B 117,900 122,400
Equity/RWA C=A/B 7.75% 7.18%
Tier 1 Ratio D 10.5% 9.8%
Capital Ratio E 15.4% 14.8%
Assets to Capital Multiple F 17.9x 17.7x
A is taken from the table “Issuance Capacity”, above
B, D & E are taken from CM’s Supplementary Report
C is my calculation.
F is taken the Shareholders’ Report

The Shareholders’ Report comments:

The Tier 1 ratio was down by 0.7% from the year end mainly due to structured credit charges in the quarter and higher credit risk weighted assets in the trading book resulting primarily from financial guarantor downgrades. The Tier 1 ratio was also adversely impacted by the expiry of OSFI’s transition rules related to the grandfathering of substantial investments pre-December 31, 2006, which were deducted entirely from Tier 2 capital at year end. The Tier 1 ratio benefited from lower risk weighted assets on residential mortgages resulting from higher insured mortgages.
The total capital ratio was down 0.6% from year end mainly due to structured credit charges in the quarter and higher credit risk weighted assets in the trading book, resulting primarily from financial guarantor downgrades. The ratio benefited from lower risk weighted assets on residential mortgages resulting from higher insured mortgages.

The big news in the reports was:

$708 million ($483 million after-tax, or $1.27 per share) loss on structured credit run-off activities

… which meant they didn’t make much money this quarter – only $147-million. They warn:

As at January 31, 2009, the fair value, net of valuation adjustments, of purchased protection from financial guarantor counterparties was $2.4 billion (US$1.9 billion). Market and economic conditions relating to these financial guarantors may change in the future, which could result in significant future losses.

In addition, it should be noted (page 9 of the report) that they still have $38.8-billion of actual ($10.2-billion) and notional ($28.6-billion) exposure in their “run-off portfolio”, offset by notional protection of $36.1-billion. It is the creditworthiness of the notional protection that is an issue.

Roughly half the notional exposure is derivatives written on Corporate Debt, while another quarter is writes on Collaterallized Loan Obligates; protection has been bought within these two sub-classes to basically offset. On Page 13 of the report, they do a very good job of breaking down these exposures by counterparty credit rating. About $8.7-billion of the notional exposure is to counterparties rated below investment grade; they do not disclose collateralization agreements that would give some comfort if they existed.

BNS DRIP: Preferred Dividends into Discounted Common

Friday, February 27th, 2009

BNS has announced (a long time ago, but hey! better late than never, right?):

On August 26, 2008, the Bank announced that participants in the Plan will receive a two per cent discount from the Average Market Price (as defined in the Plan) on the purchase of additional common shares with reinvested dividends. The discount will not apply to the purchase of common shares with the optional cash payment or interest reinvestment options of the Plan. The first dividends for which this discount will be effective are the dividends on the Bank’s common and preferred shares declared by the Board of Directors on August 26, 2008 for the quarter ending October 31, 2008. These dividends will be payable on October 29, 2008 to holders of record at the close of business on October 7, 2008. Prior to this announcement, common shares issued under the Plan have been issued with no discount to the Average Market Price (as defined in the Plan).

The two per cent discount for common shares issuable under the dividend reinvestment and stock dividend components of the Plan will continue until further notice.

February 26, 2009

Friday, February 27th, 2009

Whoosh! The seminar was a lot of fun but it took a lot out of me!

There’s an amusing story in the Financial Times:

A whistleblower contacted US regulators more than five years ago with allegations that Sir Allen Stanford’s businesses were involved in an “illegal Ponzi scheme”, the Financial Times has learnt, raising new questions about why authorities waited until last week to shut down the alleged $8bn fraud.

Leyla Basagoitia, a former Stanford employee, raised a series of red flags about the tycoon’s empire in a 2003 employment dispute with her company at a tribunal run by the finance industry’s self-regulatory body. Ms Basagoitia also alerted the US Securities and Exchange Commission at about the same time, her lawyer said, echoing criticisms the agency ignored early warnings about the alleged $50bn Ponzi scheme run by Bernard Madoff.

I think we’re going to see stories like this regarding every fraud for the next five-odd years. It’s hard to know how seriously take them … it’s like the “US was warned of Pearl Harbour” stories one sees … yes, I’m sure the US was warned about Pearl Harbour. I’m equally certain they were warned about Japanese alliances with Mexico (a la Zimmerman) and little green men in Idaho. What was the backup?

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 5.34 % 3.64 % 23,786 18.09 2 -1.2897 % 840.7
FixedFloater 7.39 % 6.94 % 76,976 14.05 7 -0.4457 % 1,359.2
Floater 5.00 % 4.06 % 24,990 17.31 4 0.5509 % 1,050.0
OpRet 5.26 % 4.92 % 141,406 3.96 15 -0.1158 % 2,045.4
SplitShare 6.75 % 11.65 % 72,006 4.00 15 1.0742 % 1,665.5
Interest-Bearing 7.24 % 10.00 % 38,736 0.80 2 0.3561 % 1,952.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0445 % 1,512.5
Perpetual-Discount 7.13 % 7.26 % 178,609 12.26 71 -0.0445 % 1,393.0
FixedReset 6.14 % 5.74 % 543,196 13.89 27 -0.4579 % 1,794.3
Performance Highlights
Issue Index Change Notes
BNS.PR.R FixedReset -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.89 %
BCE.PR.Y Ratchet -3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 25.00
Evaluated at bid price : 13.26
Bid-YTW : 7.63 %
BNS.PR.O Perpetual-Discount -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.95 %
BCE.PR.F FixedFloater -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 7.08 %
BAM.PR.B Floater -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 7.78
Evaluated at bid price : 7.78
Bid-YTW : 6.88 %
TD.PR.Y FixedReset -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 4.71 %
HSB.PR.D Perpetual-Discount -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.45 %
CM.PR.K FixedReset -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 5.11 %
PWF.PR.F Perpetual-Discount -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 7.55 %
PWF.PR.L Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 7.68 %
CM.PR.P Perpetual-Discount -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 7.61 %
BMO.PR.L Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.40 %
LFE.PR.A SplitShare -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-12-01
Maturity Price : 10.00
Evaluated at bid price : 7.65
Bid-YTW : 13.50 %
NA.PR.M Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 7.34 %
CM.PR.A OpRet -1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-03-28
Maturity Price : 25.50
Evaluated at bid price : 25.76
Bid-YTW : -2.16 %
PWF.PR.I Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 7.31 %
CL.PR.B Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 7.57 %
BAM.PR.K Floater -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 7.70
Evaluated at bid price : 7.70
Bid-YTW : 6.95 %
CM.PR.H Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.48 %
BNA.PR.A SplitShare -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2010-09-30
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 9.53 %
PWF.PR.K Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 7.83 %
CM.PR.E Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 7.56 %
SBC.PR.A SplitShare -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-11-30
Maturity Price : 10.00
Evaluated at bid price : 7.50
Bid-YTW : 14.40 %
BMO.PR.M FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.59 %
TD.PR.C FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 23.71
Evaluated at bid price : 23.75
Bid-YTW : 5.21 %
PWF.PR.M FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 24.35
Evaluated at bid price : 24.40
Bid-YTW : 5.63 %
BAM.PR.J OpRet 1.05 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 18.30
Bid-YTW : 10.21 %
WFS.PR.A SplitShare 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-06-30
Maturity Price : 10.00
Evaluated at bid price : 7.75
Bid-YTW : 18.03 %
RY.PR.C Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 6.95 %
ALB.PR.A SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-02-28
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 17.45 %
SLF.PR.A Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 7.60 %
BMO.PR.J Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 7.05 %
BMO.PR.K Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 7.24 %
CIU.PR.A Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 6.91 %
POW.PR.A Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.41 %
GWO.PR.H Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 7.56 %
FBS.PR.B SplitShare 1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-12-15
Maturity Price : 10.00
Evaluated at bid price : 6.55
Bid-YTW : 21.90 %
FIG.PR.A Interest-Bearing 2.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-31
Maturity Price : 10.00
Evaluated at bid price : 7.15
Bid-YTW : 13.89 %
BNA.PR.C SplitShare 2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 11.25
Bid-YTW : 15.45 %
BNA.PR.B SplitShare 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2016-03-25
Maturity Price : 25.00
Evaluated at bid price : 21.06
Bid-YTW : 7.93 %
GWO.PR.I Perpetual-Discount 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 7.41 %
LBS.PR.A SplitShare 2.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2013-11-29
Maturity Price : 10.00
Evaluated at bid price : 7.80
Bid-YTW : 11.65 %
MFC.PR.C Perpetual-Discount 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 7.30 %
PWF.PR.A Floater 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-26
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.06 %
PPL.PR.A SplitShare 4.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-12-01
Maturity Price : 10.00
Evaluated at bid price : 8.57
Bid-YTW : 9.59 %
FFN.PR.A SplitShare 5.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-01
Maturity Price : 10.00
Evaluated at bid price : 6.03
Bid-YTW : 16.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
PPL.PR.A SplitShare 383,449 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-12-01
Maturity Price : 10.00
Evaluated at bid price : 8.57
Bid-YTW : 9.59 %
CM.PR.R OpRet 137,000 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-04-29
Maturity Price : 25.15
Evaluated at bid price : 25.51
Bid-YTW : 4.68 %
TD.PR.N OpRet 132,601 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.24 %
MFC.PR.A OpRet 110,356 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.49 %
RY.PR.R FixedReset 105,775 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 6.27 %
TD.PR.M OpRet 94,500 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-10-30
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.42 %
There were 41 other index-included issues trading in excess of 10,000 shares.