Archive for June, 2011

BPO.PR.I: What is the Meaning of Existence?

Monday, June 6th, 2011

On an unrelated thread, Assiduous Reader prefhound writes in and says:

Why is BPO.PR.I still outstanding? As of Jan 1 this year, the company could have redeemed at par $25 and the investor could have retracted at a discount for common shares of value $26.04.

In spite of this, the pref trades at a dividend adjusted price of about $25.10. Why wouldn’t the “astute” buyer buy the pref, retract and pocket an expected $1 profit (all be it with a bit of risk on the common performance until paid)?

Why is BPO sitting on the fence? It either wants the balance sheet equity from conversion (so would call the issue), or it doesn’t.

How do these issues normally evolve at and past retraction (“maturity”) date and how do you calculate a YTW?

The 2010 Annual Report shows 7,130,228 shares outstanding, the same as is currently reported by the TMX. So none have been cancelled since year-end.

Prospectus:

On and after December 31, 2008, the Corporation may, at its option: (i) upon not less than 30 days and not more than 60 days prior written notice, redeem for cash the Series I Preference Shares, in whole at any time or in part from time to time, at $25.75 per share if redeemed before December 31, 2009, at $25.50 per share if redeemed on or after December 31, 2009, but before December 31, 2010, and at $25.00 per share if redeemed thereafter, plus, in each case, all accrued and unpaid dividends up to but excluding the date fixed for redemption; or (ii) upon not less than 30 days and not more than 60 days prior notice, subject, if required, to stock exchange approvals, convert the outstanding Series I Preference Shares into freely tradeable Common Shares. The number of Common Shares into which each Series I Preference Share may be so converted will be determined by dividing the then applicable redemption price per Series I Preference Share, together with all accrued and unpaid dividends up to but excluding the date fixed for conversion, by the greater of $2.00 and 95% of the then Current Market Price (as defined herein) of the Common Shares at such time. See ‘‘Details of the Offering’’.

On and after December 31, 2010, upon at least 30 days notice, each Series I Preference Share will be convertible at the option of the holder on the last day of each of March, June, September and December in each year into that number of freely tradeable Common Shares determined by dividing $25.00, together with all accrued and unpaid dividends up to but excluding the date fixed for conversion, by the greater of $2.00 and 95% of the then Current Market Price (as defined herein) of the Common Shares. If a holder of Series I Preference Shares elects to convert any of such shares into Common Shares, the Corporation may, on not less than 20 days notice prior to the conversion date, elect to redeem such Series I Preference Shares for cash or arrange for the sale of those shares to substitute purchasers. See ‘‘Details of the Offering’’.

prefhound later wrote:

Hmmm, I think I have my answer:

According to the prospectus, BPO can give $25 cash to a pref owner who wants to convert to common, or get a third party to buy the pref for $25. Obviously, if the price is $25.10 it won’t be hard to find such parties!

Thus, it seems to me that this clause means that YTW should be based on a $25 maturity price, not $26.04.

How common is this type of clause?

Thoughts?

Yes, you’re quite right – but the YTW is always based on the $25.00 rather than the $26.04, since the issuer always has the right to pre-empt retractions for shares. Always? Well, as far as I know.

Note that this “Mexican stand-off” is inherently unstable: the company has to be prepared to pay cash at any time, so the issue is basically a demand loan; and the shareholders have to be prepared to get cash at any time, but can treat the investment as (rather low-grade) money market paper. But for now the arrangement seems to meet the needs of both parties.

HIMIPref™ calculates the YTW by assuming OptionCertainty one month hence on all calculation dates.

New Issue: CF FixedReset 5.50%+321

Monday, June 6th, 2011

Canaccord Financial has announced:

that it has agreed to issue 4,000,000 Cumulative 5-Year Rate Reset First Preferred Shares, Series A (the “Series A Preferred Shares”) to a syndicate of underwriters led by CIBC World Markets Inc. and Canaccord Genuity Corp., for distribution to the public. The Series A Preferred Shares will be issued at a price of $25.00 per share for aggregate gross proceeds of $100 million. Holders of the Series A Preferred Shares will be entitled to receive fixed, cumulative, preferential dividends payable quarterly, if, as and when declared by the board of directors of Canaccord, and yielding 5.50% annually for the initial period ending on September 30, 2016. Thereafter, the dividend rate will be reset every five years at a rate equal to the five year Government of Canada bond yield plus 3.21%.

Holders of Series A Preferred Shares will have the right, at their option, to convert any or all of their shares into an equal number of Cumulative Floating Rate First Preferred Shares, Series B (the “Series B Preferred Shares”), subject to certain conditions, on September 30, 2016 and on September 30 every five years thereafter. Holders of the Series B Preferred Shares will be entitled to receive floating rate, cumulative, preferential dividends payable quarterly, if, as and when declared by the board of directors of Canaccord, at a rate equal to the three-month Government of Canada Treasury Bill yield plus 3.21%.

Canaccord has also granted the underwriters an option to purchase up to an additional 600,000 Series A Preferred Shares, on the same terms and conditions as the offering, exercisable in whole or in part, for a period of 30 days from the closing date of the offering. If this option is exercised in full, the total gross proceeds to Canaccord will be $115 million.

DBRS Limited has assigned a rating of Pfd-3 (low) for the Series A Preferred Shares.

The net proceeds of the offering will be used for general corporate purposes. The offering is expected to close on or about June 23, 2011, subject to certain conditions, including Toronto Stock Exchange approval, as well as other conditions set forth in an underwriting agreement to be entered into between Canaccord and the underwriters.

Just what we needed! More junk!

Update: DBRS rates Pfd-3(low):

Prior to the issue of the preferred shares, the only non-operating debt was a $15 million subordinated credit facility issued to the Company’s Canadian operating subsidiary, Canaccord Genuity Corp. Growth in larger underwriting opportunities following the acquisition of Genuity, a growing fixed income business, and international acquisition opportunities in the wake of the financial crisis have convinced the Company to increase its available capital in the form of low-cost preferred shares. The new issue is expected to increase the Company’s debt plus preferred share ratio as a percentage of capitalization to 13.2% (14.7% if the $15 million underwriter option is exercised) and the debt plus preferred share ratio to EBITDA to 0.70 times (0.78 times), both of which DBRS regard as being reasonable for the rating notwithstanding the inherently volatile nature of the Company’s business. On the basis of earnings for the fiscal year ended March 31, 2011, the pro forma fixed charge coverage ratio is expected to be in excess of 15 times with no credit for any prospective earnings on the preferred share proceeds

June 3, 2011

Friday, June 3rd, 2011

Greece may be getting some money:

European Union and International Monetary Fund officials agreed to pay the next installment to Greece under last year’s 110 billion-euro ($161 billion) bailout, paving the way for an upgraded aid package that includes a “voluntary” role for investors.

“I expect the eurogroup to agree to additional financing to be provided to Greece under strict conditionality,” Luxembourg Prime Minister Jean-Claude Juncker said after meeting with Greek Prime Minister George Papandreou in Luxembourg today. “This conditionality will include private sector involvement on a voluntary basis.”

It should be remembered, however, that Jean-Claude Juncker is a liar, unworthy of respect or position.

The Bank of Canada has released a working paper by Alexandre Lazarow titled Lessons from International Central Counterparties: Benchmarking and Analysis:

Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps. However, internationally accepted standards and the academic literature have left unanswered many practical questions related to the design of CCPs. The author analyzes the inherent trade‐offs and resulting international benchmarks for a certain set of issues. Four CCPs – FINet, CME Clearing, Eurex Clearing and LCH.Clearnet – are considered in terms of risk management, CCP links, governance and operational risk.

This may be viewed as part of the global regulators’ desperate attempts to convince fools that single point failure and moral hazard is not a problem as long as they’re in charge, oh no.

Today, they called it mellow yellow.

YLO Issues, 2011-6-2
Ticker Quote
6/2
Quote
6/3
Bid YTW
6/3
YTW
Scenario
6/3
Performance
6/3
(bid/bid)
YLO.PR.A 23.05-15 22.84-91 10.93% Soft Maturity
2012-12-30
-0.91%
YLO.PR.B 16.30-38 16.32-49 13.97% Soft Maturity
2017-06-29
+0.12%
YLO.PR.C 17.76-90 18.08-25 9.22% Limit Maturity +1.80%
YLO.PR.D 18.44-51 18.45-70 9.21% Limit Maturity +0.05%

A very positive day in the Canadian preferred share market, with PerpetualDiscounts up 7bp, FixedResets gaining 10bp and DeemedRetractibles winning 21bp. Volatility was muted. Volume was sub-par.

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 0.0932 % 2,464.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0932 % 3,707.2
Floater 2.44 % 2.24 % 43,116 21.63 4 0.0932 % 2,661.4
OpRet 4.86 % 3.15 % 65,912 0.40 9 0.0686 % 2,424.5
SplitShare 5.23 % 0.12 % 60,925 0.53 6 -0.0854 % 2,507.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0686 % 2,216.9
Perpetual-Premium 5.65 % 4.89 % 156,497 1.42 12 -0.0066 % 2,077.5
Perpetual-Discount 5.43 % 5.47 % 121,615 14.57 18 0.0722 % 2,186.1
FixedReset 5.14 % 3.16 % 194,190 2.84 57 0.0998 % 2,315.6
Deemed-Retractible 5.06 % 4.86 % 295,302 8.14 47 0.2131 % 2,157.6
Performance Highlights
Issue Index Change Notes
BNS.PR.L Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.62 %
FTS.PR.G FixedReset 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-01
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 2.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.W Perpetual-Discount 153,040 RBC crossed 35,000 at 24.60.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-03
Maturity Price : 24.27
Evaluated at bid price : 24.58
Bid-YTW : 5.00 %
CM.PR.H Deemed-Retractible 82,953 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-07-03
Maturity Price : 25.75
Evaluated at bid price : 25.93
Bid-YTW : 1.43 %
CM.PR.L FixedReset 61,216 RBC crossed blocks of 24,900 and 25,000 at 27.86.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 27.75
Bid-YTW : 2.88 %
BAM.PR.X FixedReset 59,200 RBC bought 37,700 from HSBC at 24.85, then crossed 20,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-03
Maturity Price : 23.05
Evaluated at bid price : 24.84
Bid-YTW : 4.16 %
BNS.PR.M Deemed-Retractible 51,178 TD crossed 30,000 at 24.70.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 4.64 %
HSE.PR.A FixedReset 45,813 RBC crossed 15,000 at 25.60.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-03
Maturity Price : 25.53
Evaluated at bid price : 25.58
Bid-YTW : 4.05 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-03
Maturity Price : 23.47
Evaluated at bid price : 26.11
Bid-YTW : 4.46 %

SLF.PR.A Deemed-Retractible Quote: 23.63 – 23.88
Spot Rate : 0.2500
Average : 0.1613

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.63
Bid-YTW : 5.42 %

ENB.PR.A Perpetual-Premium Quote: 25.24 – 25.50
Spot Rate : 0.2600
Average : 0.1762

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-07-03
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : -5.70 %

NA.PR.O FixedReset Quote: 27.37 – 27.63
Spot Rate : 0.2600
Average : 0.1775

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-17
Maturity Price : 25.00
Evaluated at bid price : 27.37
Bid-YTW : 3.18 %

TDS.PR.C SplitShare Quote: 10.27 – 10.52
Spot Rate : 0.2500
Average : 0.1848

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-12-15
Maturity Price : 10.00
Evaluated at bid price : 10.27
Bid-YTW : 0.12 %

RY.PR.B Deemed-Retractible Quote: 25.00 – 25.17
Spot Rate : 0.1700
Average : 0.1145

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.74 %

June 2, 2011

Friday, June 3rd, 2011

Sorry this is so late, folks! What can I say? Time flies like an arrow, but fruit flies like bananas.

The Bank of Canada has released a working paper by Ron Alquist, Lutz Kilian and Robert Vigfusson titled Forecasting the Price of Oil:

We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated with oil price forecasts? Can joint forecasts of the price of oil and of U.S. real GDP growth be improved upon by allowing for asymmetries?

Maybe another movie? “How Yellow was my Valley”? About a family of unfortunate preferred share investors.

YLO Issues, 2011-6-2
Ticker Quote
6/1
Quote
6/2
Bid YTW
6/2
YTW
Scenario
6/2
Performance
6/2
(bid/bid)
YLO.PR.A 23.01-10 23.05-15 10.27% Soft Maturity
2012-12-30
+0.17%
YLO.PR.B 16.52-74 16.30-38 13.99% Soft Maturity
2017-06-29
-1.33%
YLO.PR.C 17.55-70 17.76-90 9.36% Limit Maturity +1.20%
YLO.PR.D 18.12-50 18.44-51 9.21% Limit Maturity +1.77%

It was an uneventful day for the Canadian preferred share market, with PerpetualDiscounts down 3bp, FixedResets losing 3bp, and DeemedRetractibles up 5bp. There was only minor volatility. Volume was quite low.

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 0.0117 % 2,462.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0117 % 3,703.7
Floater 2.45 % 2.24 % 39,900 21.63 4 0.0117 % 2,658.9
OpRet 4.87 % 3.31 % 66,476 0.40 9 0.0343 % 2,422.8
SplitShare 5.23 % -1.69 % 63,218 0.53 6 -0.1296 % 2,509.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0343 % 2,215.4
Perpetual-Premium 5.65 % 4.92 % 162,309 1.42 12 0.0887 % 2,077.7
Perpetual-Discount 5.44 % 5.53 % 123,158 14.54 18 -0.0256 % 2,184.5
FixedReset 5.15 % 3.20 % 196,648 2.84 57 -0.0264 % 2,313.2
Deemed-Retractible 5.07 % 4.89 % 297,856 8.14 47 0.0473 % 2,153.0
Performance Highlights
Issue Index Change Notes
MFC.PR.C Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.68
Bid-YTW : 5.68 %
SLF.PR.C Deemed-Retractible 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.C OpRet 172,678 Scotia sold two blocks, of 20,500 and 18,000, to Desjardins at 25.77; then sold 50,000 to RBC at the same price. RBC and Desjardins both crossed 40,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-07-02
Maturity Price : 25.50
Evaluated at bid price : 25.76
Bid-YTW : -6.73 %
BAM.PR.T FixedReset 90,025 RBC bought blocks of 18,500 and 20,000 from anonymous at 25.00; RBC crossed 40,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-02
Maturity Price : 23.11
Evaluated at bid price : 25.00
Bid-YTW : 4.46 %
BMO.PR.Q FixedReset 80,931 RBC bought 49,300 from anonymous at 25.25, then crosed 12,600 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.67 %
CM.PR.D Perpetual-Premium 75,617 Seeking NVCC status.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-07-02
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : -0.29 %
BAM.PR.B Floater 53,234 Desjardins crossed blocks of 27,100 and 20,000, both at 19.45.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-02
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 2.72 %
CM.PR.G Perpetual-Premium 32,760 Seeking NVCC status.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 5.29 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSB.PR.D Deemed-Retractible Quote: 24.87 – 25.10
Spot Rate : 0.2300
Average : 0.1532

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 5.20 %

TD.PR.P Deemed-Retractible Quote: 25.44 – 25.66
Spot Rate : 0.2200
Average : 0.1441

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 5.01 %

ELF.PR.G Perpetual-Discount Quote: 21.00 – 21.28
Spot Rate : 0.2800
Average : 0.2077

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-02
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.75 %

NA.PR.P FixedReset Quote: 27.31 – 27.70
Spot Rate : 0.3900
Average : 0.3225

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-17
Maturity Price : 25.00
Evaluated at bid price : 27.31
Bid-YTW : 3.28 %

BMO.PR.K Deemed-Retractible Quote: 25.43 – 25.68
Spot Rate : 0.2500
Average : 0.1839

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-25
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.94 %

BNS.PR.L Deemed-Retractible Quote: 24.63 – 24.84
Spot Rate : 0.2100
Average : 0.1485

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.63
Bid-YTW : 4.76 %

June 1, 2011

Wednesday, June 1st, 2011

Plans for a Greek debt restructuring are moving along;

European officials preparing Greece’s second bailout in two years may offer bondholders incentives to roll over maturing debt without triggering a credit-rating downgrade that would roil Europe’s banking system, two people with knowledge of the talks said.

Investors may be given preferred status, higher coupon payments or collateral as inducements to buy bonds replacing Greek debt maturing between 2012 and 2014, said the people, who declined to be identified because the talks are in progress.

“We are also examining the feasibility of voluntarily rescheduling, which would not create a credit event,” European Union Economic and Monetary Commissioner Olli Rehn said in an interview yesterday in New York. “Debt restructuring is not on the table, it’s not in the cards, it will not be part of our agenda.”

DBRS has placed some Master Asset Vehicle notes under Review-Positive. The MAV notes are repackaged, term-extended ABCP.

Wow, the Boston Fed gets its fingers into a lot of pies! A working paper by Mary A. Burke and Frank W. Heiland is titled Explaining Gender-Specific Racial Differences in Obesity Using Biased Self-Reports of Food Intake:

Policymakers have an interest in identifying the differences in behavior patterns—namely, habitual caloric intake and physical activity levels—that contribute to demographic variation in body mass index (BMI) and obesity risk. While disparities in mean BMI and obesity rates between whites (non-Hispanic) and African-Americans (non-Hispanic) are well-documented, the behavioral differences that underlie these gaps have not been carefully identified. Moreover, the female-specificity of the black-white obesity gap has received relatively little attention. In the National Health and Nutrition Examination Surveys (NHANES) data, we initially observe a very weak relationship between self-reported measures of caloric intake and physical activity and either BMI or obesity risk, and these behaviors appear to explain only a small fraction of the black-white BMI gap (or obesity gap) among women. These unadjusted estimates echo previous findings from large survey datasets such as the NHANES. Using an innovative method to mitigate the widely recognized problem of measurement error in self-reported behaviors—proxying for measurement errors using the ratio of reported caloric intake to estimated true caloric needs—we obtain much stronger relationships between behaviors and BMI (or obesity risk). Behaviors can in fact account for a significant share of the BMI gap (and the obesity gap) between black women and white women and are consistent with the presence of much smaller gaps between black men and white men. The analysis also shows that the effects smoking has on BMI and obesity risk are small-to-negligible when measurement error is properly controlled.

Jule Dickson highlighted fraud as a problem for the P&C industry in a speech to the 2011 Property and Casualty Insurance Industry Forum:

Rate increases, together with progress in curtailing fraudulent claims, are required if the industry is to continue to provide the services it offers Ontario drivers.

While recent measures to curtail fraud are encouraging, there is no short-term solution to deal with the escalating losses residing in the GTA. Individuals, institutions, the government and the police must continue to be vigilant in curtailing fraud if they want to ensure the Ontario auto line returns to profitability.

I’m thinking of producing a movie: “I am volatile – yellow”, starring a young female preferred share investor.

YLO Issues, 2011-6-1
Ticker Quote
5/31
Quote
6/1
Bid YTW
6/1
YTW
Scenario
6/1
Performance
6/1
(bid/bid)
YLO.PR.A 23.10-23 23.01-10 10.38% Soft Maturity
2012-12-30
-0.39%
YLO.PR.B 16.57-59 16.52-74 13.69% Soft Maturity
2017-06-29
-030%
YLO.PR.C 16.89-01 17.55-70 9.50% Limit Maturity +3.91%
YLO.PR.D 17.59-70 18.12-50 9.38% Limit Maturity +3.01%

It was a good start to the month for the Canadian preferred share market, with PerpetualDiscounts leaping 28bp, FixedResets gaining 17bp and DeemedRetractibles up 6bp. Volatility was good. Volume was elevated.

PerpetualDiscounts now yield 5.50%, equivalent to 7.15% interest at the standard equivalency factor of 1.3x. Long Corporates now yield a little under 5.3% (!) so the pre-tax interest-equivalent spread is now about 185bp, a wee bit tighter than the 190bp reported on May 26, as the PerpetualDiscounts play catch-up.

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 0.1400 % 2,462.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1400 % 3,703.3
Floater 2.45 % 2.24 % 41,433 21.63 4 0.1400 % 2,658.6
OpRet 4.87 % 3.32 % 66,297 1.11 9 0.0258 % 2,422.0
SplitShare 5.22 % -2.22 % 61,917 0.54 6 0.2327 % 2,512.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0258 % 2,214.7
Perpetual-Premium 5.66 % 5.02 % 161,134 1.43 12 0.0444 % 2,075.8
Perpetual-Discount 5.43 % 5.50 % 129,634 14.59 18 0.2802 % 2,185.1
FixedReset 5.15 % 3.20 % 198,912 2.84 57 0.1695 % 2,313.9
Deemed-Retractible 5.08 % 4.89 % 299,061 8.16 47 0.0637 % 2,152.0
Performance Highlights
Issue Index Change Notes
GWO.PR.I Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 5.92 %
TRP.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 3.32 %
MFC.PR.D FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.00
Evaluated at bid price : 27.40
Bid-YTW : 3.28 %
POW.PR.D Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-01
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 5.27 %
BAM.PR.N Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-01
Maturity Price : 22.07
Evaluated at bid price : 22.20
Bid-YTW : 5.44 %
BAM.PR.M Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-01
Maturity Price : 22.23
Evaluated at bid price : 22.38
Bid-YTW : 5.39 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.G FixedReset 130,431 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 3.77 %
BAM.PR.P FixedReset 101,376 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-30
Maturity Price : 25.00
Evaluated at bid price : 27.52
Bid-YTW : 4.18 %
BNS.PR.Q FixedReset 93,410 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-11-24
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.16 %
BNA.PR.C SplitShare 85,950 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 6.29 %
SLF.PR.C Deemed-Retractible 62,161 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 5.69 %
HSE.PR.A FixedReset 55,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-01
Maturity Price : 25.58
Evaluated at bid price : 25.63
Bid-YTW : 4.04 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.J OpRet Quote: 26.50 – 26.98
Spot Rate : 0.4800
Average : 0.3057

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.55 %

CM.PR.K FixedReset Quote: 26.80 – 27.29
Spot Rate : 0.4900
Average : 0.3584

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.17 %

GWO.PR.L Deemed-Retractible Quote: 25.35 – 25.70
Spot Rate : 0.3500
Average : 0.2278

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.39 %

NA.PR.P FixedReset Quote: 27.40 – 27.75
Spot Rate : 0.3500
Average : 0.2486

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-17
Maturity Price : 25.00
Evaluated at bid price : 27.40
Bid-YTW : 3.14 %

CIU.PR.C FixedReset Quote: 25.20 – 25.72
Spot Rate : 0.5200
Average : 0.4258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-06-01
Maturity Price : 25.15
Evaluated at bid price : 25.20
Bid-YTW : 3.61 %

SLF.PR.D Deemed-Retractible Quote: 22.43 – 22.64
Spot Rate : 0.2100
Average : 0.1498

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.43
Bid-YTW : 5.74 %

ASC.PR.A Squeaks Out Default Avoidance

Wednesday, June 1st, 2011

Manulife Investments / Manulife Financial has issued a press release:

AIC Global Financial Split Corp. (TSX: ASC/ASC.PR.A) (the “Corporation”) today announced that the Corporation completed the redemption of all of its outstanding Preferred Shares and Class A Shares and terminated on May 31, 2011 (the “Termination Date”), as contemplated by the constating documents of the Corporation. In connection therewith, the Corporation redeemed each Class A Share for $.0643 per share. Preferred Shares were redeemed for $10.00 per share plus any accrued dividends. The redemption proceeds will be paid by the Corporation on or about June 6, 2011 through CDS Clearing and Depository Services Inc.

ASC.PR.A was last mentioned on PrefBlog in the post ASC.PR.A Holders to Get Partial Dividend on Redemption. Preferred shareholders were victorious in the shareholder vote, despite a recommendation by the directors of the firm:

  • Paul Lorentz
  • Sheila Hart
  • Jennifer Mercanti
  • Warren Law

that they should vote in favour of the plan. Hey guys – just a little friendly advice: if I should ever advertise an opening for an entry credit analysis position, don’t spend a lot of money express-posting your resume, OK?

ASC.PR.A was tracked by HIMIPref™ prior to its maturity.

YLO: There is NO NEWS

Wednesday, June 1st, 2011

Yellow Media has announced:

is issuing this press release regarding certain market speculation at the request of the Investment Industry Regulatory Organization of Canada, on behalf of the Toronto Stock Exchange.

Yellow Media Inc. is today providing an update on the status of its definitive agreement to sell Trader Corporation to funds advised by Apax Partners announced on March 25, 2011. While it is Yellow Media Inc.’s policy not to comment on market rumours or speculation, the company is today confirming that the transaction is proceeding as planned and in accordance with the terms of the definitive agreement entered into between Yellow Media Inc. and Apax Partners. The transaction is subject to regulatory approvals and other customary conditions.

Under the terms of the definitive agreement, Yellow Media Inc. has agreed to sell Trader Corporation to funds advised by Apax Partners for a purchase price consideration of $745 million in cash, subject to working capital and other adjustments. The proceeds from the sale will be largely used to reduce indebtedness and for general corporate purposes. For more information about this transaction, refer to the press release issued on March 25, 2011 at: http://www.ypg.com/en/newsroom/488-yellow-media-inc-announces-the-divestiture-of-trader-corporation.

The company reaffirms its cash dividend of $0.65 annually per common share. The company has a stated dividend payout policy representing between 60% and 70% of Adjusted Earnings per share. The dividend policy is reviewed periodically by the Board of Directors of Yellow Media Inc. taking into account a number of factors including, among others, the current and prospective performance of the business.

YLO has four issues of preferred shares outstanding: YLO.PR.A, YLO.PR.B (Operating Retractible) and YLO.PR.C & YLO.PR.D (FixedReset). All are tracked by HIMIPref™ and all are assigned to the Scraps index on credit concerns.

The recent precipituous decline in these issues has been highly entertaining and was reported on PrefBlog on May 25, May 26, May 27, May 30 and May 31.