This is a follow-up to my previous article, A Collateral Proposal, in which I suggested that MMFs be consolidated with the sponsors’ books for capital calculation purposes.
Recent proposals go farther than that, largely due to the effect of the Reserve Primary buck-breaking and its global ramifications. Look for the research link!
Links to source documents are available in the draft version.
The overhang of Treasury’s Citigroup stake is causing problems:
The U.S. Treasury Department’s refusal to sell its 34 percent stake in Citigroup Inc. is hampering the bank’s plans to repay $20 billion of remaining bailout funds, people familiar with the bank said.
Executives at the New York-based bank are growing frustrated because they can’t sell stock to raise money for repayment until the Treasury signals when and how it will unload its 7.7 billion shares, said the people, declining to be identified because the matter is under discussion. Investors may be reluctant to buy shares because a Treasury sale could drive down the price.
On May 20 I mentioned the idea that what trading floors need is a little less testosterone and a little more femininity. In what is possibly the most amazing story ever published, Dealbreaker documents how this idea was taken seriously at SAC Capital … maybe a little too seriously. You’ll laugh! You’ll cry! You’ll send SAC a redemption order! At least it’s more interesting than “boo-hoo-hoo, my boss told a blonde joke“.
Geithner is in a slanging match with Goldman:
In the interview, the Treasury chief also disputed claims made by Goldman Chief Executive Officer Lloyd Blankfein that his firm would have survived last year’s financial crisis without assistance from the federal government.
“The entire U.S. financial system and all the major firms in the country, and even small banks across the country, were at that moment at the middle of a classic run, a classic bank run,” Geithner said.
Of the biggest banks, “none of them would have survived a situation in which we had let that fire try to burn itself out,” he added.
Assiduous Readers will note that the disputants are not talking about the same thing: Blankfein’s talking about the TARP capital injection to his particular firm; Geithner is talking about capital injections and liquidity provision in general.
A thoroughly boring day on the preferred share market, with low volume and no entries whatsoever on the performance highlights table. However, PerpetualDiscounts eked out a gain of 3bp while FixedResets were up 4bp.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0220 % | 1,502.1 |
| FixedFloater | 6.05 % | 4.16 % | 38,693 | 18.58 | 1 | 0.0000 % | 2,574.5 |
| Floater | 2.60 % | 3.05 % | 98,057 | 19.54 | 3 | -0.0220 % | 1,876.6 |
| OpRet | 4.86 % | -4.77 % | 142,843 | 0.08 | 15 | 0.1123 % | 2,310.5 |
| SplitShare | 6.35 % | -7.56 % | 274,999 | 0.08 | 2 | -0.0219 % | 2,114.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1123 % | 2,112.7 |
| Perpetual-Premium | 5.87 % | 5.83 % | 61,205 | 6.01 | 7 | -0.1530 % | 1,880.3 |
| Perpetual-Discount | 5.81 % | 5.87 % | 183,682 | 14.06 | 67 | 0.0290 % | 1,789.9 |
| FixedReset | 5.43 % | 3.76 % | 370,210 | 3.91 | 41 | 0.0421 % | 2,153.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| No individual gains or losses exceeding 1%! | |||
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.N | OpRet | 100,000 | Desjardins crossed 100,000 at 26.35. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-01-03 Maturity Price : 26.00 Evaluated at bid price : 26.30 Bid-YTW : -4.52 % |
| TRP.PR.A | FixedReset | 32,595 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-04 Maturity Price : 23.39 Evaluated at bid price : 25.80 Bid-YTW : 4.04 % |
| BMO.PR.O | FixedReset | 28,358 | Desjardins crossed 18,800 at 28.08. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 28.05 Bid-YTW : 3.66 % |
| RY.PR.A | Perpetual-Discount | 25,245 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-04 Maturity Price : 19.96 Evaluated at bid price : 19.96 Bid-YTW : 5.62 % |
| RY.PR.R | FixedReset | 25,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.77 Bid-YTW : 3.55 % |
| CM.PR.M | FixedReset | 23,525 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.83 Bid-YTW : 4.03 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||
ROC Pref Corp. III has released the Management Information Circular for the meeting regarding its potential dissolution. It includes some cheery statements:
The Credit Linked Note has been structured so that it is unaffected by the first net losses on the CLN Portfolio up to 3.84% of the initial value of the CLN Portfolio (representing defaults by eight Reference Companies in a CLN Portfolio comprised of 125 Reference Companies). The net loss on a Reference Company that defaults is calculated as the percentage exposure in the CLN Portfolio to such Reference Company multiplied by 60.0% (based on a 40.0% fixed recovery rate).
Since the Credit Linked Note was issued there have been 8.5 defaults in the CLN Portfolio. These companies include Dana Corporation, Fannie Mae, Freddie Mac, Lehman Brothers Holdings Inc., Washington Mutual, Tribune Company, Idearc Inc., Lear Corporation and CIT Group Inc. Idearc Inc. was a spin-off from Verizon Communications Inc. and therefore was represented in the CLN Portfolio at a one-half weight and constituted a half default.
The fixed recovery rate sounded like a good idea at the time – and, I understand, was preferred by the ratings agencies – but hurt a lot with Fannie and Freddie. CIT Group recovery, too, will be well in excess of the benchmark.
But to my mind, the most interesting part is:
The issuer of the Credit Linked Note, TD Bank, has agreed to repurchase the Credit Linked Note prior to maturity at a price equal to the value of the Credit Linked Note on December 18, 2009 plus an amount equal to $1.00 multiplied by the number of Preferred Shares then outstanding. The price at which TD Bank is obligated pursuant to a note repurchase agreement to repurchase portions of the Credit Linked Note in the event that Shareholders exercise their monthly retraction rights represents a discount to the value of the Credit Linked Note. There is no assurance that the agreement with TD Bank to repurchase the Credit Linked Note at the more favourable price would be available in the future.
Later on, they note that the Method of Valuation is described in the Annual Information Form, incorporated by reference. Oddly, Connor Clark & Lunn’s website publishes the 2008 AIF, but the 2009 AIF is available only on SEDAR. The 2008 version states:
The CLN is valued on the 10th and last business day of each month by TD Bank. Factors affecting the value of the CLN include the market‘s assessment of overall credit quality of the Reference Portfolio, as measured by the trading price of the debt (and derivatives thereof) of companies in the portfolio, and interest rates as measured by the Canadian dollar swap rate to the date of maturity of the note, as well as the value of the trading reserve account. At June 30, 2008, the CLN value was $102.6 million, down from $219.6 million at June 30, 2007.
The 2009 version states:
The CLN is valued on the 10th and last business day of each month by TD Bank. Factors affecting the value of the CLN include the market’s assessment of overall credit quality of the Reference Portfolio, as measured by the trading price of the debt (and derivatives thereof) of companies in the portfolio, and interest rates as measured by the Canadian dollar swap rate to the date of maturity of the note, as well as the value of the trading reserve account. At June 30, 2009, the CLN value was $40.9 million, down from $102.6 million at June 30, 2008.
All in all, I don’t get it. Why is TD Bank willing to pay $1 more than NAV? This question is not addressed in the supplied FAQs.
My best guess at an answer is that it has to do with the power of substitution – the following is taken from the 2009 AIF:
The CLN features an embedded trading reserve account (the “Trading Reserve Account”), initially in an amount of $2.1 million, which stood at $nil million on June 30, 2009. The Trading Reserve Account may be available to absorb net losses that might be incurred when making substitutions in the Reference Portfolio. The Trading Reserve Account was used to purchase additional subordination from TD Bank following the November restructuring initiatives.
…
The Reference Portfolio is managed by the Investment Manager. The Investment Manager’s goal is to reduce the likelihood of having exposure to companies that default on their senior obligations. To that end, the Investment Manager can add or remove companies through a substitution process executed in accordance with the terms of the CLN. If the Investment Manager decides to remove a company that, in its judgment, has increased in risk, and to replace it with a lower risk company, there may be a net cost to the Trading Reserve Account depending on the credit spread comparison between the companies being substituted. The Trading Reserve Account described above may be available to absorb net losses that may be incurred through these substitutions.The Investment Manager has made 66 substitutions in the Reference Portfolio since inception at a net benefit of $2.5 million to the Trading Reserve Account which, was used in the restructuring of the CLN.
It may be that the value – however it’s calculated – of the note is $3.50 per preferred, but with an infusion of – say – $2.00 new capital, substitutions could be effected to bring it to $10.00. Under this scenario, the ROC Pref III Corp. is scuppered because it has run out of money and has no reasonable way of getting more (and therefore cannot effect substitutions; also, even if they could get some money, they might not be permitted to put it into the CLN), but TD will be very happy to pay $3.50 NAV + $1.00 Premium + $2.00 recapitalization to get a $10.00 value.
I will make haste to note, however, that the above paragraph represents uninformed speculation on my part; I have always loathed structured products (whenever you want to sell, there’s exactly one buyer, at the ready with a large vise); I have no experience in the valuation of this sort of note; and acquiring such expertise would take me considerable time. Trying to understand preferred shares and more normal fixed income instruments is more my style.
Still … if I held RPB.PR.A, I’d be asking Connor Clark: “Before I vote, please tell me why TD is paying $1 over NAV.” They will almost certainly blandly direct inquiries of this nature to TD, so the follow-up question is: “Why aren’t you effecting substitutions out of the riskier elements of the portfolio?”
RPB.PR.A was last mentioned on PrefBlog when they announced their intention to hold the vote. RPB.PR.A is not tracked by HIMIPref™.
Update: The 2009 Annual Information Form is now available via CCL group.
The Investment Industry Association of Canada has released its 3Q09 Equity Market Report:
After a stellar start in Q1, preferred share issuance has also slowed down considerably with only $1.3 billion in financings recorded for the year. (Chart 2). This is largely due to reduced offerings from financial institutions who shored up their capital base in previous periods. Limited partnership issuance only reached $100 million on the quarter with only four deals coming to market during the period.
Credit Default Swaps are having definitional problems in Japan:
The International Swaps and Derivatives Association is assessing whether Japan’s alternative dispute resolution process for companies restructuring their debt triggers a so-called credit event that would lead to payouts on swaps, according to Executive Vice-Chairman Robert Pickel.
…
After Aiful entered ADR talks in September, a committee of 15 dealers and investors that determines when the swaps are triggered rejected three attempts to get payouts from contracts on the Kyoto-based lender even as one bank said Aiful ceased making loan payments. Failure to reach prompt agreement may damage confidence in Japan’s market for the securities, J. Paul Forrester, a partner and co-head of the derivatives and structured products practice at Chicago-based law firm Mayer Brown LLP, said in an interview last month.
There’s some more grandstanding on the Tobin Tax:
Iowa Senator Tom Harkin and Oregon Representative Peter DeFazio, along with five other Democratic members of the House, proposed the measure, which they said would raise $150 billion a year, to fund a new jobs bill and help pay down budget deficits.
“Let me be blunt: We need new revenue,” Harkin said at a news conference today in Washington. He called it the “most painless way” to raise revenue.
The New York Fed has published an interesting review of the international market in FX Swaps by Niall Coffey, Warren B. Hrung, Hoai-Luu Nguyen and Asani Sarkar titled The Global Financial Crisis and Offshore Dollar Markets:
Facing a shortage of U.S. dollars and a growing need to support their dollar-denominated assets during the financial crisis, international firms increasingly turned to the foreign exchange swap market and other secured funding sources. An analysis of the ensuing strains in the swap market shows that the dollar “basis” — the premium international institutions pay for dollar funding — became persistently large and positive, chiefl y as a result of the higher funding costs paid by smaller firms and non-U.S. banks. The widening of the basis underscores the severity and breadth of the crisis as markets designed to facilitate the flow of dollars faltered and institutions worldwide struggled to obtain funds.
BofA raised a chunk-and-a-half of equity:
Bank of America Corp., which plans to repay $45 billion of U.S. government bailout money, raised $19.3 billion in a sale of securities at $15 apiece, a 4.8 percent discount to its common stock.
The Charlotte, North Carolina-based lender sold 1.286 billion so-called common equivalent securities, according to Bloomberg data. The security, which is made up of one depositary share and one warrant, is convertible into one common share, subject to stockholder approval, a regulatory filing before the sale showed. Bank of America’s common stock rose 0.7 percent today to $15.76 in New York Stock Exchange composite trading.
A good day for preferred shares, as PerpetualDiscounts gained 12bp and FixedResets were up 6bp, as both volume and volatility returned to more normal levels.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2422 % | 1,502.4 |
| FixedFloater | 6.05 % | 4.16 % | 39,211 | 18.58 | 1 | 0.0000 % | 2,574.5 |
| Floater | 2.59 % | 3.02 % | 94,499 | 19.60 | 3 | 0.2422 % | 1,877.0 |
| OpRet | 4.86 % | -4.87 % | 147,556 | 0.08 | 15 | -0.0510 % | 2,307.9 |
| SplitShare | 6.35 % | -7.79 % | 279,120 | 0.08 | 2 | -0.0438 % | 2,115.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0510 % | 2,110.4 |
| Perpetual-Premium | 5.86 % | 5.49 % | 61,561 | 2.16 | 7 | -0.0453 % | 1,883.2 |
| Perpetual-Discount | 5.81 % | 5.87 % | 187,058 | 14.07 | 67 | 0.1215 % | 1,789.4 |
| FixedReset | 5.43 % | 3.75 % | 375,395 | 3.91 | 41 | 0.0609 % | 2,152.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 3.11 % |
| BAM.PR.O | OpRet | -1.16 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 4.61 % |
| MFC.PR.C | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 5.91 % |
| BNS.PR.T | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.90 Bid-YTW : 3.60 % |
| BMO.PR.K | Perpetual-Discount | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 23.41 Evaluated at bid price : 23.60 Bid-YTW : 5.60 % |
| TRI.PR.B | Floater | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 2.02 % |
| BMO.PR.H | Perpetual-Discount | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 22.81 Evaluated at bid price : 23.75 Bid-YTW : 5.57 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.A | FixedReset | 87,685 | Scotia crossed 59,300 at 25.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 23.38 Evaluated at bid price : 25.77 Bid-YTW : 4.05 % |
| MFC.PR.D | FixedReset | 70,281 | Desjardins crossed two blocks of 25,000 each at 27.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.91 Bid-YTW : 3.81 % |
| RY.PR.I | FixedReset | 53,345 | RBC crossed 50,000 at 26.30. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.19 Bid-YTW : 3.80 % |
| BAM.PR.O | OpRet | 51,230 | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 4.61 % |
| CM.PR.I | Perpetual-Discount | 42,435 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 5.87 % |
| NA.PR.O | FixedReset | 42,300 | RBC crossed 34,700 at 28.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 27.85 Bid-YTW : 3.82 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. | |||
Looks like the UK government is doing all it can to make the Royal Bank of Scotland a casualty in the holy war against bonuses:
Royal Bank of Scotland Group Plc, recipient of the world’s biggest bank bailout, said the British government’s “very restrictive” control over 2009 bonuses risks driving employees away.
…
The RBS board has had legal advice that they would have to resign if the government blocked bonuses they regarded as essential for the bank’s competitiveness, according to Robert Peston, the British Broadcasting Corp.’s business editor.
…
“It’s a headhunters dream at the moment,” said Shaun Springer, chief executive officer of Square Mile Services Ltd., which advises London financial firms on pay. “They are going to lose people and then have to pay to replace them which is so very short sighted. RBS is getting hammered every which way.”
On a different regulatory topic, there are estimates that CDS regulation could cost JPM $3-billion in revenue:
Revenue at JPMorgan Chase & Co., the second-largest U.S. bank, may drop by as much as $3 billion should most derivatives trades be moved to exchanges, a Sanford C. Bernstein & Co. analyst said.
…
JPMorgan “sees the largest risk from legislation mandating that all derivatives be traded on an exchange as opposed to through the OTC market, limiting the company’s ability to create customized products,” [Bernstein analyst John] McDonald wrote, referring to the over- the-counter market. He declined to comment beyond the note.
Parallels to TRACE and Corporate Bond Transparency are clear … it seems to me that the following scenario is most likely:
But who needs capital market liquidity in the middle of a holy war? The important things in life are:
Next crisis, coming right up! To make a decent return on capital, the dealers will have to find a new way to exploit the stupid (and whoever can figure out how to replace $3-billion in revenue will probably get a bonus – oh, the horror!).
OSFI has announced Stress Testing Guidelines.
A quiet day on the Canadian preferred share market, with PerpetualDiscounts squeaking out a gain of less than 1bp and FixedResets gaining 7bp. Volume was pretty quiet and there are only two entries in the performance highlights table!
PerpetualDiscounts now yield 5.87%, equivalent to 8.22% interest at the standard equivalency factor of 1.4x. Long Corporates continue to yield about 5.9%, so the pre-tax interest-equivalent spread is now n the 230-235bp range, a slight widening from the 225bp reported on November 30.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4166 % | 1,498.8 |
| FixedFloater | 6.05 % | 4.16 % | 40,805 | 18.58 | 1 | -0.2221 % | 2,574.5 |
| Floater | 2.60 % | 3.04 % | 94,534 | 19.55 | 3 | -0.4166 % | 1,872.4 |
| OpRet | 4.86 % | -4.80 % | 145,544 | 0.08 | 15 | 0.0077 % | 2,309.1 |
| SplitShare | 6.35 % | -8.45 % | 288,421 | 0.08 | 2 | -0.0875 % | 2,116.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0077 % | 2,111.4 |
| Perpetual-Premium | 5.86 % | 5.62 % | 64,092 | 2.16 | 7 | 0.3068 % | 1,884.1 |
| Perpetual-Discount | 5.81 % | 5.87 % | 186,582 | 14.08 | 67 | 0.0085 % | 1,787.3 |
| FixedReset | 5.43 % | 3.77 % | 373,685 | 3.92 | 41 | 0.0726 % | 2,151.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.H | Perpetual-Discount | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-02 Maturity Price : 22.64 Evaluated at bid price : 23.41 Bid-YTW : 5.66 % |
| ELF.PR.F | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-02 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.61 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.P | Perpetual-Discount | 208,590 | Nesbitt crossed 200,000 at 23.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-02 Maturity Price : 23.27 Evaluated at bid price : 23.45 Bid-YTW : 5.66 % |
| CM.PR.R | OpRet | 133,825 | RBC crossed three blocks, all at 26.32, of 24,600 shares, 68,400 and 31,500. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-01-01 Maturity Price : 25.60 Evaluated at bid price : 26.26 Bid-YTW : -19.97 % |
| IGM.PR.A | OpRet | 63,194 | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-01-01 Maturity Price : 26.00 Evaluated at bid price : 26.00 Bid-YTW : 0.18 % |
| RY.PR.R | FixedReset | 49,434 | Nesbit bought 15,000 from RBC at 27.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.67 Bid-YTW : 3.64 % |
| TD.PR.Q | Perpetual-Discount | 46,300 | Nesbitt crossed two blocks of 20,000 each at 24.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-02 Maturity Price : 24.60 Evaluated at bid price : 24.82 Bid-YTW : 5.70 % |
| ACO.PR.A | OpRet | 36,910 | CIBC crossed 35,000 at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-01-01 Maturity Price : 25.50 Evaluated at bid price : 25.95 Bid-YTW : -14.90 % |
| There were 26 other index-included issues trading in excess of 10,000 shares. | |||
Commerce Split Corp. has announced:
that it will hold a special meeting of shareholders on February 3, 2010 to vote on a proposed capital reorganization plan for the Company. The delay in setting the meeting date was attributable to additional time required by the regulatory process.
As previously announced in the Company’s press release of September 18, 2009, this proposal is designed to address the impact that the significant decline in price of the Company’s underlying holding of CIBC common stock and the resultant activation of the Priority Equity Portfolio Protection Plan has had on the ability of the Company to meet its original investment objectives.
The record date for shareholders entitled to receive notice of and vote at this special meeting has been established as December 14, 2009. Full details of the proposed reorganization will be contained in a Management Information Circular expected to be mailed to shareholders in early January, 2010.
The proposed reorganization has been discussed on PrefBlog.
XCM.PR.A is not tracked by HIMIPref™.
M-Split Corp. has announced:
that it will hold a special meeting of shareholders on February 3, 2010 to vote on a proposed capital reorganization plan for the Company. The delay in setting the meeting date was attributable to additional time required by the regulatory process.
As previously announced in the Company’s press release of September 18, 2009, this proposal is designed to address the impact that the significant decline in price of the Company’s underlying holding of Manulife common stock and the resultant activation of the Priority Equity Portfolio Protection Plan has had on the ability of the Company to meet its original investment objectives.
The record date for shareholders entitled to receive notice of and vote at this special meeting has been established as December 14, 2009. Full details of the proposed reorganization will be contained in a Management Information Circular expected to be mailed to shareholders in early January, 2010.
The proposed reorganization has been discussed on PrefBlog. XMF.PR.A is not tracked by HIMIPref™.
These are total returns, with dividends presumed to have been reinvested at the bid price on the ex-date. The list has been restricted to issues in the HIMIPref™ indices.
| November 2009 | ||||
| Issue | Index | DBRS Rating | Monthly Performance | Notes (“Now” means “November 30”) |
| IGM.PR.A | OpRet | Pfd-2(high) | -3.26% | Called for redemption. |
| GWO.PR.X | OpRet | Pfd-1(low) | -1.13% | Called for redemption. |
| GWO.PR.E | OpRet | Pfd-1(low) | -0.3483% | Now with a pre-tax bid-YTW of 1.72% based on a bid of 25.75 and a call 2010-4-30 at 25.25. |
| BAM.PR.M | PerpetualDiscount | Pfd-2(low) | -0.34% | Now with a pre-tax bid-YTW of 6.86% based on a bid of 17.69 and a limitMaturity. |
| W.PR.J | PerpetualDiscount | Pfd-2(low) | -0.21% | Now with a pre-tax bid-YTW of 6.01% based on a bid of 23.61 and a limitMaturity. |
| … | … | … | … | … |
| PWF.PR.K | PerpetualDiscount | Pfd-1(low) | +6.08% | The second-worst performer in October. Now with a pre-tax bid-YTW of 5.94% based on a bid of 21.10 and a limitMaturity. |
| POW.PR.B | PerpetualDiscount | Pfd-2(high) | +6.81% | Now with a pre-tax bid-YTW of 5.99% based on a bid of 22.60 and a limitMaturity. |
| BAM.PR.G | FixFloat | Pfd-2(low) | +8.06% | Was the worst performer – by far – in October. |
| GWO.PR.I | PerpetualDiscount | Pfd-1(low) | +8.09% | Now with a pre-tax bid-YTW of 5.79% based on a bid of 19.78 and a limitMaturity. |
| BAM.PR.J | OpRet | Pfd-2(low) | +8.20% | Now with a pre-tax bid-YTW of 4.53% based on a bid of 26.78 and a call 2018-3-30 at 25.00. |
The redemption calls from the POW/PWF/GWO/IGM group really shook things up!
The market-timing fiasco (in which trades were executed at stale prices) is heating up again. As far as I am aware, there has been no admission of guilt by anybody; and nobody lost their license due to facilitation of the scheme; or was personally named.
A strong day, with PerpetualDiscounts up 13bp and FixedResets gaining 7bp, on relatively heavy volume.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1751 % | 1,505.1 |
| FixedFloater | 6.04 % | 4.15 % | 41,363 | 18.60 | 1 | 0.2784 % | 2,580.2 |
| Floater | 2.59 % | 3.02 % | 90,338 | 19.61 | 3 | -0.1751 % | 1,880.3 |
| OpRet | 4.86 % | -6.32 % | 134,847 | 0.08 | 15 | -0.0016 % | 2,308.9 |
| SplitShare | 6.34 % | -8.23 % | 300,176 | 0.08 | 2 | 0.0876 % | 2,118.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0016 % | 2,111.3 |
| Perpetual-Premium | 5.87 % | 5.61 % | 62,883 | 2.38 | 7 | -0.1190 % | 1,878.3 |
| Perpetual-Discount | 5.81 % | 5.89 % | 185,347 | 14.04 | 67 | 0.1318 % | 1,787.1 |
| FixedReset | 5.44 % | 3.79 % | 375,728 | 3.93 | 41 | 0.0695 % | 2,149.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.L | Perpetual-Discount | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 23.39 Evaluated at bid price : 23.55 Bid-YTW : 6.11 % |
| CU.PR.B | Perpetual-Premium | -1.60 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-07-01 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.61 % |
| GWO.PR.I | Perpetual-Discount | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.84 % |
| CM.PR.G | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 22.86 Evaluated at bid price : 23.06 Bid-YTW : 5.92 % |
| CM.PR.E | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 23.58 Evaluated at bid price : 23.87 Bid-YTW : 5.93 % |
| MFC.PR.C | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 19.18 Evaluated at bid price : 19.18 Bid-YTW : 5.89 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.J | OpRet | 275,129 | RBC crossed 100,000 at 26.13; Scotia bought 17,900 from TD at 26.15; TD crossed 20,000 at 26.13; RBC crossed 75,000 at 26.13; Scotia bought two blocks of 25,000 from RBC at 26.13. YTW SCENARIO Maturity Type : Call Maturity Date : 2009-12-31 Maturity Price : 25.75 Evaluated at bid price : 26.11 Bid-YTW : -7.52 % |
| TRP.PR.A | FixedReset | 231,602 | Nesbitt crossed blocks of 155,000 and 20,000 at 25.52. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 25.47 Evaluated at bid price : 25.52 Bid-YTW : 4.25 % |
| GWO.PR.X | OpRet | 98,891 | Desjardins crossed 40,200 at 25.98; RBC bought 10,000 from Nesbitt at 25.95; Nesbitt sold 14,000 more to Desjardins at 25.95 and 13,100 to anonymous at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2009-12-31 Maturity Price : 26.00 Evaluated at bid price : 25.94 Bid-YTW : 2.83 % |
| RY.PR.N | FixedReset | 89,810 | RBC crossed blocks of 75,000 and 10,000 at 27.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.51 Bid-YTW : 3.74 % |
| RY.PR.P | FixedReset | 81,561 | Desjardins crossed 73,900 at 27.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.67 Bid-YTW : 3.62 % |
| CM.PR.E | Perpetual-Discount | 78,909 | Scotia bought 10,000 from anonymous at 24.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 23.58 Evaluated at bid price : 23.87 Bid-YTW : 5.93 % |
| There were 46 other index-included issues trading in excess of 10,000 shares. | |||