Archive for February, 2009

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EN.PR.A Revised Capital Unit Dividend Policy

Friday, February 27th, 2009

Energy Split Corp II has announced:

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 ROC Preferred Shares. In such circumstances, any excess distributions received on the royalty trust portfolio minus the distributions payable on the ROC Preferred Shares and all administrative and operating expenses will be reinvested in short-term debt securities or used to purchase ROC 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 ROC 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 ROC Preferred Share distributions and all administrative and operating expenses.

The Company’s ongoing dividend policy entitles holders of ROC Preferred Shares to receive quarterly fixed cumulative distributions equal to $0.1718 per ROC Preferred Share. The Capital Yield Shareholders are provided with a leveraged play on the yield and price performance from a fixed portfolio consisting of 16 oil and gas royalty trusts listed on the Toronto Stock Exchange.

Capital Yield Shares and ROC Preferred Shares of Energy Split Corp. II Inc. are listed for trading on The Toronto Stock Exchange under the symbols EN and EN.PR.A respectively.

The previous policy was:

Holders of Capital Yield Shares will be entitled to receive distributions that the board of directors of the Company may declare from time to time subject to the prior rights of the Holders of the ROC Preferred Shares. Under the distribution policy adopted by the board of directors, it is expected that Holders of Capital Yield Shares will receive quarterly tax efficient distributions to be paid by the Company on or before the 16th day of March, June, September and December of each year in an amount equal to the distributions paid on the units of Royalty Fund II after payment of the fixed distribution payable on the ROC Preferred Shares and operating expenses of the Company.

EN.PR.A was last mentioned on PrefBlog when it was downgraded to Pfd-3 by DBRS. It is tracked by HIMIPref™ and is a member of the “Scraps” sub-index.

Posted in Issue Comments | 1 Comment »

RY Amends DRIP: Preferred Dividends into Discounted Common Stock

Thursday, February 26th, 2009

Royal Bank has announced:

amendments to its dividend reinvestment plan (the “plan”).

Under the plan, the bank may now offer a discount from the average market price (as defined in the plan) on the reinvestment of dividends in additional common shares issued by the bank from treasury and will provide the preferred shareholders of the bank with the opportunity to participate in the plan by electing to have the dividends paid on their preferred shares reinvested in common shares of the bank.

Under the plan, common and preferred shareholders who reside in Canada and common shareholders in the United States may elect to have dividends paid on their shares reinvested in common shares of the bank.
…
At this time, the bank has decided to issue shares from treasury at a three per cent discount from the average market price until such time as the bank elects otherwise. Most recently the common shares purchased under the plan have been issued from treasury with no discount to the average market price. These changes will be effective starting with the dividend, payable on May 22, 2009 to common and preferred shareholders of record on April 23, 2009.

Under the old plan (not yet modified on RY’s website), preferred shareholders could not participate.

I can see nothing in the 2008 Annual Report to indicate to what degree shareholders are participating in this. In the great scheme of things, I will assume “not much”, since with no discount there has been little or no reason for institutional shareholders to participate.

A 3% discount though – with preferred share eligibility – could make things more interesting.

Thanks to Assiduous Reader DD for bringing this to my attention!

Posted in DRIPs, Issue Comments | 2 Comments »

New Issue: CM Fixed-Reset 6.50%+433

Thursday, February 26th, 2009

CIBC (aka CM) has announced:

that it had entered into an agreement with a group of underwriters led by CIBC World Markets Inc. for an issue of 8 million non-cumulative Rate Reset Class A Preferred Shares, Series 37 (the “Series 37 Shares”) priced at $25.00 per Series 37 Share to raise gross proceeds of $200 million.

CIBC has granted the underwriters an option, exercisable in whole or in part prior to closing, to purchase an additional 3 million Series 37 Shares at the same offering price. Should the underwriters’ option be fully exercised, the total gross proceeds of the financing will be $275 million.

The Series 37 Shares will yield 6.50% per annum, payable quarterly, as and when declared by the Board of Directors of CIBC, for an initial period ending July 31, 2014. On July 31, 2014 and on July 31 every five years thereafter, the dividend rate will reset to be equal to the then current five-year Government of Canada bond yield plus 4.33%.

Holders of the Series 37 Shares will have the right to convert their shares into non-cumulative Floating Rate Class A Preferred Shares, Series 38 (the “Series 38 Shares”), subject to certain conditions, on July 31, 2014 and on July 31 every five years thereafter. Holders of the Series 38 Shares will be entitled to receive a quarterly floating rate dividend, as and when declared by the Board of Directors of CIBC, equal to the three-month Government of Canada Treasury Bill yield plus 4.33%.

Holders of the Series 38 Shares may convert their Series 38 Shares into Series 37 Shares, subject to certain conditions, on July 31, 2019 and on July 31 every five years thereafter.

The expected closing date is March 6, 2009. The net proceeds of this offering will be used for general purposes of CIBC.

The first dividend is payable July 31, for $0.65445 … long and fat! There may be dividend capture opportunities around the ex-Date!

Posted in New Issues | 1 Comment »

New Issue: RY Fixed-Reset 6.25%+406

Thursday, February 26th, 2009

Royal Bank has announced:

a domestic public offering of $200 million of Non-Cumulative, 5 year rate reset Preferred Shares Series AT.

The bank will issue 8.0 million Preferred Shares Series AT priced at $25 per share and holders will be entitled to receive non-cumulative quarterly fixed dividend for the initial period ending August 24, 2014 in the amount of $1.5625 per share, to yield 6.25 per cent annually. The bank has granted the Underwriters an option, exercisable in whole or in part, to purchase up to an additional 3.0 million Preferred Shares at the same offering price.

Subject to regulatory approval, on or after August 24, 2014, the bank may redeem the Preferred Shares Series AT in whole or in part at par. Thereafter, the dividend rate will reset every five years at a rate equal to 4.06 per cent over the 5-year Government of Canada bond yield. Holders of Preferred Shares Series AT will, subject to certain conditions, have the right to convert all or any part of their shares to non-cumulative floating rate Preferred Shares Series AU (the “Preferred Shares Series AU”) on August 24, 2014 and on August 24 every five years thereafter.

Holders of the Preferred Shares Series AU will be entitled to receive a non-cumulative quarterly floating dividend at a rate equal to the 3-month Government of Canada Treasury Bill yield plus 4.06 per cent. Holders of Preferred Shares Series AU will, subject to certain conditions, have the right to convert all or any part of their shares to Preferred Shares Series AT on August 24, 2019 and on August 24 every five years thereafter.

The offering will be underwritten by a syndicate led by RBC Capital Markets. The expected closing date is March 9, 2009.

The first dividend will be payable August 24, for $0.71918. That’s a long, fat first dividend! Mark your calendars – there could be some interesting dividend capture opportunities!

Posted in New Issues | 1 Comment »

Seminar on PerpetualDiscounts: Thursday Feb 26, 6pm

Wednesday, February 25th, 2009

Just a reminder – my seminar on PerpetualDiscounts will be Thursday, Feb 26 at 6pm

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.

The seminars will be filmed for later distribution.

Advance registration and payment may be performed on-line.

PerpetualDiscounts: Theory & Practice

"PerpetualDiscounts" are currently the most common type of preferred share in Canada. They are characterized by:

  • No mechanism whereby the issue can be forced to redeem the shares
  • A fixed dividend rate
  • Call provisions in the issuer’s favour
  • a trading price below their call price

This seminar will review the theory of PerpetualDiscount evaluation, including:

  • Credit Quality
  • The embedded call
  • The importance of ex-Dividend dates
  • Importance of cumulative dividends
  • 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: February 26, 2009, 6pm-8pm.

Posted in Seminars | 2 Comments »

Bank Stress & Dividends

Wednesday, February 25th, 2009

The Fed has announced its formal stress-testing policy, with a handy FAQ.

Q8: What will be the source of capital if supervisors determine that a banking organization requires an additional capital buffer?

A: An institution that requires additional capital will enter into a commitment to issue a CAP convertible preferred security to the U.S. Treasury in an amount sufficient to meet the capital requirement determined through the supervisory assessment. Each institution will be permitted up to six months to raise private capital in public markets to meet this requirement and would be able to cancel the capital commitment without penalty. The CAP convertible preferred securities will be converted into common equity shares on an as‐needed basis. Financial institutions that issued preferred capital under Treasury’s existing Capital Purchase Program (TARP 1) will have the option of redeeming those securities and replacing them with the new CAP convertible preferred securities.

Meanwhile, fresh from his claim that:

“They’re not going to cut the dividend at BMO,” I told Berman, with all the confidence that comes from having an RRSP that’s overweight oil and gas. “There’s no way any of these big banks chop the payout.”

See, I know my Canadian banking history. Only one domestic player has cut its common stock dividend in recent memory – National Bank, after taking a pasting on corporate loans. The bank spent years in the penalty box as a result. No board wants to join this hall of shame.

… Andrew Willis has urged:

None of the five big banks have cut common share dividends since the Great Depression.

I don’t know if history will be made in this downturn.

But I do know that at least one blue-chip board – at Bank of Montreal – should cut the dividend in half.

I will forestall Assiduous Reader Norbert Schlenker and point out that Scotia chopped dividends in WW2.

Anyway, I mention this because ANZ Bank has cut its dividend and so have a lot of US Insurers. Precautionary common dividend cuts are becoming socially acceptable.

Will BMO or others cut their dividend? I’m dubious. They are, at least, still covering their dividend with earnings and while number two and three might come pretty quickly, I don’t think anybody wants to be number one in the line-up. But, frankly … I don’t care a lot! I’m a pref guy!

Posted in Banking Crisis 2008 | 1 Comment »

February 25, 2009

Wednesday, February 25th, 2009

Sad but true … Bernanke did not resist a suggestion that the uptick rule be reinstated. We can only hope that cooler heads will prevail:

“In the kind of environment we have seen more recently” the so-called uptick rule “might have had some benefit,” Bernanke said in testimony before the House Financial Services Committee today. The rule, scrapped by the U.S. Securities and Exchange Commission in 2007, barred investors from betting against a stock until it sells at a higher price than the preceding trade.
…
The SEC approved the rule in 1938 to prevent bear raids on companies. The agency eliminated the regulation after studying its effect on share prices and determining it was no longer relevant in markets dominated by fast-paced electronic trading.

Executives at UBS AG, Deutsche Bank AG and Knight Capital Group Inc. said in December that bringing back the rule wouldn’t reduce volatility in stock prices.

If a portfolio manager sees a price go down for a reason he doesn’t understand, there are three possibilities:

  • Insider information
  • The market’s being stupid and should be ignored or, better yet, exploited
  • He isn’t doing his job

Crack down on insider information, tipping and rumour-mongering by all means. That’s a valid regulatory function. But let’s also see a crackdown on underperforming PMs – any advisor with discretionary authority should definitely see their results published by the regulators; same goes for advisory relationships, although I am more willing to listen to arguments about that one – and the cult of the salesman that regards investment management as being nothing more than an unfortunate cost.

PerpetualDiscounts were off marginally today to yield 7.23%, equivalent to 10.12% interest at the standard conversion factor of 1.4x. Long Corporates appear to have found a level at 7.5% (maybe just a hair under), so the pre-tax interest-equivalent spread has widened again, to … call it 265bp.

SplitShares had a good day, helped along, I think, by bidders failing to notice (or care) that there were a lot of ex-Days today.

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 5.28 % 3.65 % 23,884 18.07 2 -0.1211 % 851.7
FixedFloater 7.35 % 6.88 % 78,305 14.06 7 0.1674 % 1,365.3
Floater 5.03 % 4.23 % 25,881 16.98 4 1.2367 % 1,044.2
OpRet 5.25 % 4.86 % 141,063 3.97 15 0.0386 % 2,047.8
SplitShare 6.82 % 12.06 % 71,467 3.98 15 1.5975 % 1,647.8
Interest-Bearing 7.27 % 8.81 % 39,044 0.81 2 0.4172 % 1,945.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0392 % 1,513.2
Perpetual-Discount 7.12 % 7.23 % 175,817 12.27 71 -0.0392 % 1,393.6
FixedReset 6.11 % 5.77 % 551,789 13.84 27 -0.3440 % 1,802.6
Performance Highlights
Issue Index Change Notes
PWF.PR.G Perpetual-Discount -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.66 %
DFN.PR.A SplitShare -2.43 % Asset coverage of 1.6-: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 : 8.25
Bid-YTW : 9.30 %
BAM.PR.K Floater -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 7.80
Evaluated at bid price : 7.80
Bid-YTW : 6.86 %
TD.PR.P Perpetual-Discount -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.86 %
BNS.PR.O Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 6.72 %
CM.PR.E Perpetual-Discount -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.47 %
MFC.PR.B Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 7.29 %
GWO.PR.F Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.35 %
TD.PR.A FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 22.39
Evaluated at bid price : 22.43
Bid-YTW : 4.67 %
MFC.PR.C Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 15.04
Evaluated at bid price : 15.04
Bid-YTW : 7.51 %
FIG.PR.A Interest-Bearing -1.41 % 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 : 7.00
Bid-YTW : 14.37 %
RY.PR.H Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.95 %
RY.PR.R FixedReset -1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 6.30 %
CM.PR.G Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 7.40 %
CM.PR.P Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 7.44 %
PWF.PR.L Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 7.51 %
TD.PR.G FixedReset -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 6.30 %
BNS.PR.R FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 21.96
Evaluated at bid price : 22.00
Bid-YTW : 4.70 %
TD.PR.O Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.64 %
BCE.PR.G FixedFloater 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 25.00
Evaluated at bid price : 15.05
Bid-YTW : 6.93 %
NA.PR.K Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 7.20 %
POW.PR.C Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 7.74 %
BMO.PR.L Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 7.27 %
BNA.PR.A SplitShare 1.26 % 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 : 24.10
Bid-YTW : 8.66 %
GWO.PR.G Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 7.57 %
PWF.PR.H Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 7.77 %
SLF.PR.C Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 7.55 %
BNA.PR.B SplitShare 1.38 % Asset coverage of 1.9-:1 as of January 31 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2016-03-25
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 8.31 %
CIU.PR.A Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.02 %
ALB.PR.A SplitShare 1.57 % Asset coverage of 1.0-:1 as of February 19, according to Scotia.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-02-28
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 18.15 %
SLF.PR.A Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 7.70 %
W.PR.H Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.16 %
STW.PR.A Interest-Bearing 1.76 % 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 : 9.85
Bid-YTW : 8.81 %
HSB.PR.D Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.28 %
BNS.PR.M Perpetual-Discount 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 6.60 %
SLF.PR.D Perpetual-Discount 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 7.53 %
FBS.PR.B SplitShare 2.16 % Asset coverage of 0.9+:1 as of February 19 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-12-15
Maturity Price : 10.00
Evaluated at bid price : 6.43
Bid-YTW : 22.67 %
BAM.PR.B Floater 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 6.69 %
FFN.PR.A SplitShare 2.20 % 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 : 5.71
Bid-YTW : 17.50 %
SLF.PR.E Perpetual-Discount 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 7.56 %
POW.PR.A Perpetual-Discount 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.53 %
IAG.PR.C FixedReset 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.45 %
POW.PR.B Perpetual-Discount 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.62 %
LFE.PR.A SplitShare 2.81 % 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 : 7.78
Bid-YTW : 12.96 %
PPL.PR.A SplitShare 3.02 % 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 : 8.21
Bid-YTW : 10.91 %
BCE.PR.F FixedFloater 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 25.00
Evaluated at bid price : 14.95
Bid-YTW : 6.88 %
TRI.PR.B Floater 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 3.95 %
FTN.PR.A SplitShare 3.61 % Asset coverage of 1.2-:1 as of February 13 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2015-12-01
Maturity Price : 10.00
Evaluated at bid price : 6.95
Bid-YTW : 12.06 %
LBS.PR.A SplitShare 4.55 % Asset coverage of 1.1+:1 as of February 19 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2013-11-29
Maturity Price : 10.00
Evaluated at bid price : 7.58
Bid-YTW : 12.38 %
SBC.PR.A SplitShare 4.69 % Asset coverage of 1.2+:1 as of February 19 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-11-30
Maturity Price : 10.00
Evaluated at bid price : 7.59
Bid-YTW : 14.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ELF.PR.F Perpetual-Discount 160,100 Desjardins crossed 150,000 at 15.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 14.77
Evaluated at bid price : 14.77
Bid-YTW : 9.17 %
TD.PR.G FixedReset 145,235 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 6.30 %
FBS.PR.B SplitShare 124,801 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-12-15
Maturity Price : 10.00
Evaluated at bid price : 6.43
Bid-YTW : 22.67 %
RY.PR.R FixedReset 116,161 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 6.30 %
BNS.PR.X FixedReset 96,925 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 6.30 %
MFC.PR.B Perpetual-Discount 89,600 TD crossed 37,200 at 16.26; Nesbitt bought 10,000 from Scotia at 16.26; Scotia crossed 36,600 at 16.25.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-25
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 7.29 %
There were 30 other index-included issues trading in excess of 10,000 shares.

Posted in Market Action | No Comments »

TD Capitalization: 1Q09

Wednesday, February 25th, 2009

TD 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:

TD Capital Structure
October, 2008 and January, 2009
  4Q08 1Q09
Total Tier 1 Capital 20,679 21,320
Common Shareholders’ Equity 144.2% 164.2%
Preferred Shares 11.7% 15.6%
Innovative Tier 1 Capital Instruments 13.4% 17.9%
Non-Controlling Interests in Subsidiaries 0.1% 0.1%
Goodwill -73.3% -78.3%
Miscellaneous +3.9% -19.4%
‘Common Shareholders Equity’ includes ‘Common Shares’, ‘Contributed Surplus’, ‘Retained Earnings’, ‘FX net of Hedging’ and ‘Unrealized loss on AFS’
‘Miscellaneous’ includes ‘Securitization Allowance’, ‘ALLL/EL shortfall’, ‘Substantial Investments’ and ‘Other’.
‘Reporting Lag’ is a wash

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

TD
Tier 1 Issuance Capacity
October 2008
& January 2009
  4Q08 1Q09
Equity Capital (A) 15,489 14,179
Non-Equity Tier 1 Limit (B=0.666*A) 10,326 9,443
Innovative Tier 1 Capital (C) 2,765 3,821
Preferred Limit (D=B-C) 7,561 5,622
Preferred Actual (E) 2,425 3,320
New Issuance Capacity (F=D-E) 5,136 2,302
Items A, C & E are taken from the table
“Regulatory Capital”
of the supplementary information;
Note that to calculate Item A I have included everything except preferred shares and innovative instruments

Item B is as per OSFI Guidelines; the limit was recently increased. Note, however, that my calculations are based on ‘Adjusted net Tier 1 capital’, while the limit is based on ‘Net Tier 1 Capital’. The difference between the two is substantial and comprises essentially all of the ‘Misc.’ items in the ‘Capital Structure’ Table.
Items D & F are my calculations

I am going to have to ponder this table. The very substantial difference between “Net Tier 1 Capital” and “Adjusted net Tier 1 capital” is due mostly to the 50/50 deduction on “Substantial Investments”, which used to be deducted solely from Tier 2 Capital. The relevant note in TD’s Supplementary statement states:

Based on OSFI advisory letter dated February 20, 2007, 100% of substantial investments and investments in insurance subsidiaries held prior to January 1, 2007 (excluding goodwill / intangibles) is deducted from Tier 2 capital. The 50% from Tier 1 capital and 50% from Tier 2 capital deduction has been deferred until 2009 and 2012 for substantial investments and insurance, respectively. Increases in the investment value of insurance subsidiaries and / or substantial investments on or after January 1, 2007 are subject to the 50% from Tier 1 capital and 50% from Tier 2 capital deduction.

and the all important Risk-Weighted Asset Ratios!

TD
Risk-Weighted Asset Ratios
October 2008
& January 2009
  Note 4Q08 1Q09
Equity Capital A 15,489 14,179
Risk-Weighted Assets B 211,750 211,715
Equity/RWA C=A/B 7.31% 6.70%
Tier 1 Ratio D 9.8% 10.1%
Capital Ratio E 12.0% 13.6%
Assets to Capital Multiple F 19.3x 16.9x
A is taken from the table “Issuance Capacity”, above
B, D & E are taken from TD’s Supplementary Report
C is my calculation.
F is from Note 9 of the Earnings Release.

The OSFI Capital Guidelines state:

Net tier 1 capital is defined as gross tier 1 capital less the above two deductions [Goodwill & Excess Intangibles].
• 50% of investments in unconsolidated entities in which the institution has a substantial investment [Footnote]
• 50% of investments in subsidiaries deconsolidated for regulatory capital purposes, net of goodwill and identified intangibles that were deducted from tier 1 capital
• 50% of other facilities that are treated as capital by unconsolidated subsidiaries and by unconsolidated entities in which the institution has a substantial investment
• Back-to-back placements of new tier 1 capital, arranged either directly or indirectly, between financial institutions
• 50% of payments made under non-DvP trades plus replacement costs where contractual payment or delivery is late by five days or more (see Annex 3)
• Deductions from tier 2 capital in excess of total tier 2 capital available (see section 2.5.2)

[Footnote] The term “substantial investment” as used in this guideline means an investment that falls within either or both of the following categories:
• investments that are defined to be a substantial investment under section 10 of the Bank Act or the Trust and Loan Companies Act
• investments in common equity and other tier 1 qualifying instruments of a financial institution that, taken together, represent ownership of greater than 25 percent of that financial institution’s total outstanding tier 1 qualifying instruments
Goodwill related to substantial investments in unconsolidated entities that is not otherwise deducted for regulatory purposes represents a diminution in the quality of tier 1 capital and will be subject to supervisory scrutiny in the assessment of the strength of capital ratios against industry wide target ratios. Institutions will not be required to report goodwill related to substantial investments on a regular basis, but must be able to produce this information if requested by OSFI.

In other words, the “Net Adjusted Tier 1 Capital” used for calculating the Tier 1 Capital Ratio removes half of the investment in unconsolidated subsidiaries; in TD’s case, at any rate, this appears to be the Insurance subsidiary.

I have made a preliminary determination that it is justifiable to make these deductions from equity when calculating the degree of subordination of the preferred shares; if TD gets into trouble, they will – at the very least – have to jump through some hoops in order to get their capital out of these subsidiaries, which may well be having problems of their own at such a time.

It is fascinating to note that their Assets to Capital multiple has shrunk so dramatically while their Risk-Weighted-Assets are unchanged. The Earnings Release states:

OSFI’s target Tier 1 and Total capital ratios for Canadian banks are 7% and 10%, respectively. As at October 31, 2008, the Bank’s Tier 1 capital ratio was 9.8%. Effective November 1, 2008, substantial investments held prior to January 1, 2007, which were previously deducted from Tier 2 capital, are deducted 50% from Tier 1 capital and 50% from Tier 2 capital. Insurance subsidiaries continue to be deconsolidated and reported as a deduction from Tier 2 capital. The Tier 1 capital ratio, as of November 1, 2008, taking into effect this change was 8.3%. As of January 31, 2009, the Bank’s Tier 1 capital ratio was 10.1%. The increase was largely due to various capital issuances, including common shares, preferred shares and innovative Tier 1 capital securities. The Total capital ratio was 13.6% as at January 31, 2009 compared to 12.0% at year-end. The increase was largely due to the capital issuances.

The decline in the Equity/RWA ratio, supremely important to preferred share investors, is a bookkeeping change; the ratio has actually improved over the quarter due to retained earnings and the equity raise, but this has been swamped by the new 50/50 deduction. We shall soon see how the other banks have been affected …

Posted in Regulatory Capital | No Comments »

New Issue: TD Fixed-Reset 6.25%+415

Wednesday, February 25th, 2009

TD Bank Financial Group has announced:

that it has entered into an agreement with a group of underwriters led by TD Securities Inc. for an issue of 8 million non-cumulative 5-Year Rate Reset Class A Preferred Shares, Series AI (the Series AI Shares), carrying a face value of $25.00 per share, to raise gross proceeds of $200 million.
TDBFG intends to file in Canada a prospectus supplement to its September 29, 2008 base shelf prospectus in respect of this issue.

TDBFG has also granted the underwriters an option to purchase, on the same terms, up to an additional 3 million Series AI Shares. This option is exercisable in whole or in part by the underwriters at any time up to two business days prior to closing. The maximum gross proceeds raised under the offering will be $275 million should this option be exercised in full.

The Series AI Shares will yield 6.25% annually, payable quarterly, as and when declared by the Board of Directors of TDBFG, for the initial period ending July 31, 2014. Thereafter, the dividend rate will reset every five years at a level of 4.15% over the then five-year Government of Canada bond yield.

Holders of the Series AI Shares will have the right to convert their shares into non-cumulative Floating Rate Class A Preferred Shares, Series AJ (the Series AJ Shares), subject to certain conditions, on July 31, 2014, and on July 31st every five years thereafter. Holders of the Series AJ Shares will be entitled to receive quarterly floating dividends, as and when declared by the Board of Directors of TDBFG, equal to the three-month Government of Canada Treasury bill yield plus 4.15%.

The issue is anticipated to qualify as Tier 1 capital for TDBFG and the expected closing date is March 6, 2009. TDBFG will make an application to list the Series AI Shares as of the closing date on the Toronto Stock Exchange.

The first dividend (if declared!) will be payable April 30, 2009, for $0.23545 based on a March 6 closing.

Update, 2009-3-4: TD has announced:

that a group of underwriters led by TD Securities Inc. has exercised its option in full to purchase an additional 3 million non-cumulative 5-Year Rate Reset Class A Preferred Shares, Series AI (the Series AI Shares) carrying a face value of $25.00 per share. This brings the total issue announced on February 25, 2009, and expected to close March 6, 2009, to 11 million shares and gross proceeds raised under the offering to $275 million. TDBFG has filed in Canada a prospectus supplement to its September 29, 2008 short form base shelf prospectus in respect of this issue.

Posted in New Issues | 1 Comment »

February 24, 2009

Tuesday, February 24th, 2009

Assiduous Readers will be aware that I am wary of regulatory initiatives that seek to protect investors from themselves. Well … if the following catches on and spreads, it may become illegal to buy equities in your RRSP:

[Vanguard Founder and Zombie Master] Bogle recommended a single defined contribution plan with annuities from low-cost providers. The single system would be overseen by an independent Federal Retirement Board to protect the interests of plan participants, Bogle said.
…
Retirement savings are too exposed to market risk, according to Dean Baker, co-director of the Center for Economic and Policy Research in Washington and another witness at today’s hearing. Baker proposed a government-managed system that would provide a modest rate of return for employees. He said it would build on Social Security and allow workers a voluntary default contribution of at least 3 percent of their salaries.

Employees must work longer to extend retirement savings and Social Security, which “has shined during this crisis,” could be stabilized and supplemented by target-date funds, said Munnell. Target-date funds shift money into more conservative investments as an investor approaches retirement.

Dealbreaker reports an amusing anecdote regarding regulatory capture. It’s sad, but we never see any statistics regarding job migration between regulatory and industry roles. Golly, I wonder why that is!

There is a bit more news on the Lyondell bankruptcy:

Lyondell asked U.S. Bankruptcy Judge Robert Gerber to approve the loan at a hearing tomorrow. The financing terms, which may return as much as 20 percent in fees to some lenders, are the best and only terms available, Lyondell said. It also said a proposed “roll-up,” which would allow pre-bankruptcy lenders to convert old debt to new debt with a priority for repayment, is “permissible.”
…
The so-called debtor-in-possession loan, designed to fund operations while Lyondell reorganizes, wasn’t made in “good faith,” the company’s committee of unsecured creditors said in court papers. They alleged the loan’s December maturity date is too early, and other financial covenants are “tripwires” for defaults that would hand control of the company to the lenders.

The Lyondell situation is interesting because of the allegations that CDS-protected creditors are not acting in good faith.

Another poor day for PerpetualDiscounts, with Royal issues again getting hit hard. SplitShares enjoyed a dead-cat bounce; and after the bell, MFC announced a new Fixed-Reset, 6.60%+456.

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 5.27 % 3.65 % 23,917 18.05 2 -0.6895 % 852.7
FixedFloater 7.36 % 6.93 % 79,068 14.01 7 -0.1208 % 1,363.0
Floater 5.09 % 4.24 % 27,005 16.94 4 -0.2660 % 1,031.5
OpRet 5.25 % 4.93 % 141,386 3.97 15 -0.2366 % 2,047.0
SplitShare 6.90 % 12.75 % 67,783 3.96 15 0.7840 % 1,621.9
Interest-Bearing 7.30 % 10.98 % 36,126 0.81 2 2.6300 % 1,937.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3777 % 1,513.8
Perpetual-Discount 7.12 % 7.26 % 187,337 12.21 71 -0.3777 % 1,394.2
FixedReset 6.08 % 5.76 % 559,912 13.86 27 0.0623 % 1,808.8
Performance Highlights
Issue Index Change Notes
PWF.PR.H Perpetual-Discount -5.12 % Bid-Vanishing! Traded 2,450 shares in a range of 18.97-60 before closing at 18.55-20, 5×9.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.87 %
FFN.PR.A SplitShare -4.74 % 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 : 5.63
Bid-YTW : 18.00 %
SBC.PR.A SplitShare -4.61 % Asset coverage of 1.2+:1 as of February 19, according to Brompton.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-11-30
Maturity Price : 10.00
Evaluated at bid price : 7.25
Bid-YTW : 15.47 %
PWF.PR.G Perpetual-Discount -3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.45 %
RY.PR.B Perpetual-Discount -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 6.99 %
RY.PR.W Perpetual-Discount -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 6.66 %
POW.PR.A Perpetual-Discount -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.71 %
BNS.PR.Q FixedReset -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.75 %
RY.PR.C Perpetual-Discount -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 7.01 %
RY.PR.D Perpetual-Discount -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 6.95 %
TD.PR.S FixedReset -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.62 %
BAM.PR.B Floater -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 7.83
Evaluated at bid price : 7.83
Bid-YTW : 6.83 %
PWF.PR.I Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 7.15 %
LBS.PR.A SplitShare -2.03 % Asset coverage of 1.1+:1 as of February 19, according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2013-11-29
Maturity Price : 10.00
Evaluated at bid price : 7.25
Bid-YTW : 13.53 %
BAM.PR.I OpRet -2.00 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-12-30
Maturity Price : 25.00
Evaluated at bid price : 21.56
Bid-YTW : 9.38 %
BCE.PR.Y Ratchet -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 7.39 %
MFC.PR.B Perpetual-Discount -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 7.18 %
POW.PR.B Perpetual-Discount -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 7.82 %
CM.PR.D Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.30 %
BNS.PR.M Perpetual-Discount -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 6.72 %
RY.PR.E Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 6.92 %
TD.PR.Q Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 6.96 %
CIU.PR.A Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 7.13 %
NA.PR.K Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.27 %
TRI.PR.B Floater -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 4.08 %
CM.PR.A OpRet -1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-03-26
Maturity Price : 25.50
Evaluated at bid price : 26.12
Bid-YTW : -18.50 %
BNS.PR.L Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.42 %
ELF.PR.F Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 9.12 %
TD.PR.Y FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 4.60 %
RY.PR.G Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 6.96 %
CM.PR.I Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 7.43 %
NA.PR.N FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 21.96
Evaluated at bid price : 22.01
Bid-YTW : 4.91 %
BAM.PR.O OpRet -1.08 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 21.11
Bid-YTW : 9.76 %
POW.PR.C Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.82 %
SLF.PR.C Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.65 %
BNS.PR.X FixedReset 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 6.10 %
CM.PR.K FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 21.96
Evaluated at bid price : 22.50
Bid-YTW : 4.98 %
CM.PR.P Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.35 %
BMO.PR.L Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.35 %
GWO.PR.G Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 7.66 %
BNS.PR.R FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 22.21
Evaluated at bid price : 22.25
Bid-YTW : 4.64 %
MFC.PR.C Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 7.40 %
RY.PR.I FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 22.86
Evaluated at bid price : 22.90
Bid-YTW : 4.53 %
BMO.PR.M FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 21.70
Evaluated at bid price : 21.75
Bid-YTW : 4.49 %
ALB.PR.A SplitShare 1.66 % Asset coverage of 1.0-:1 as of February 19, according to Scotia.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-02-28
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 19.01 %
SLF.PR.E Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.74 %
PWF.PR.F Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.38 %
SBN.PR.A SplitShare 1.97 % Asset coverage of 1.6+:1 as of February 12, according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-01
Maturity Price : 10.00
Evaluated at bid price : 8.27
Bid-YTW : 9.29 %
PWF.PR.E Perpetual-Discount 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.34 %
SLF.PR.B Perpetual-Discount 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 7.70 %
BAM.PR.K Floater 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 7.95
Evaluated at bid price : 7.95
Bid-YTW : 6.73 %
FBS.PR.B SplitShare 3.39 % Asset coverage of 0.9+:1 as of February 19, according to TD Securities.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-12-15
Maturity Price : 10.00
Evaluated at bid price : 6.41
Bid-YTW : 23.57 %
LFE.PR.A SplitShare 3.40 % 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 : 7.61
Bid-YTW : 13.83 %
DF.PR.A SplitShare 3.41 % 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 : 8.19
Bid-YTW : 9.56 %
DFN.PR.A SplitShare 3.53 % Asset coverage of 1.6-: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 : 8.50
Bid-YTW : 8.77 %
RY.PR.H Perpetual-Discount 3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.85 %
PPL.PR.A SplitShare 4.03 % 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 : 8.01
Bid-YTW : 11.83 %
FIG.PR.A Interest-Bearing 5.97 % 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 : 7.10
Bid-YTW : 14.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BCE.PR.Y Ratchet 140,324 Cannacord bought 27,200 from CIBC at 14.00, then crossed 39,100 at the same price. I hope CIBC explained to them what a preferred share is! Nesbitt crossed 70,000 at 14.00. YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 7.39 %
BCE.PR.F FixedFloater 125,000 Canaccord bought 23,500 from CIBC at 15.00, then crossed 93,300 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 7.12 %
FBS.PR.B SplitShare 104,281 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-12-15
Maturity Price : 10.00
Evaluated at bid price : 6.41
Bid-YTW : 23.57 %
TD.PR.G FixedReset 68,597 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 6.03 %
RY.PR.R FixedReset 66,988 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.98 %
CU.PR.B Perpetual-Discount 47,700 Nesbitt bought two blocks from RBC, 24,300 shares and 20,000, both at 22.74.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-24
Maturity Price : 22.53
Evaluated at bid price : 22.73
Bid-YTW : 6.64 %
There were 37 other index-included issues trading in excess of 10,000 shares.

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