Archive for September, 2013

September 30, 2013

Monday, September 30th, 2013

The US government is heading towards shut-down:

The U.S. government stands poised for its first partial shutdown in 17 years at midnight tonight, after a weekend with no signs of negotiations or compromise from the Congress or the White House.

House Republicans, led by Speaker John Boehner, want to delay President Barack Obama’s Affordable Care Act for a year and make other changes to the law. Democrats, led by Obama, say that won’t happen. Republicans and Democrats say they don’t want to close the government, though neither side is budging from their positions.

A brief government closure won’t lead to any significant change of the Treasury Department’s forecast for when the U.S. will breach the debt limit, a Treasury spokeswoman said yesterday in an e-mail. The Treasury has said measures to avoid breaching the debt ceiling will be exhausted on Oct. 17.

It was a very, very slightly negative day for the Canadian preferred share market, with PerpetualDiscounts and DeemedRetractibles off 1bp and FixedResets off 2bp. Considering the modesty of the overall moves the Performance Highlights table is surprisingly lengthy, with BAM issues notable on the winning side. Volume was above average.

And that’s it for another month!

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 -0.1628 % 2,527.6
FixedFloater 4.32 % 3.64 % 30,916 18.02 1 -1.0356 % 3,841.9
Floater 2.67 % 2.84 % 66,159 20.12 5 -0.1628 % 2,729.1
OpRet 4.63 % 3.09 % 64,489 0.49 3 -0.2953 % 2,633.4
SplitShare 4.77 % 4.96 % 60,488 4.04 6 -0.1958 % 2,941.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2953 % 2,408.0
Perpetual-Premium 5.88 % 5.56 % 124,474 4.52 2 0.0989 % 2,273.1
Perpetual-Discount 5.56 % 5.55 % 145,009 14.32 36 -0.0095 % 2,352.9
FixedReset 4.93 % 3.65 % 240,346 3.63 85 -0.0190 % 2,457.3
Deemed-Retractible 5.12 % 4.47 % 199,971 6.78 43 -0.0124 % 2,380.4
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 2.32 %
CIU.PR.A Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.60 %
BNS.PR.Y FixedReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 3.92 %
FTS.PR.J Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 22.80
Evaluated at bid price : 23.21
Bid-YTW : 5.15 %
SLF.PR.E Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 6.21 %
BAM.PR.G FixedFloater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 22.41
Evaluated at bid price : 21.98
Bid-YTW : 3.64 %
BAM.PR.J OpRet -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-31
Maturity Price : 26.00
Evaluated at bid price : 26.26
Bid-YTW : 3.22 %
BAM.PF.C Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 6.00 %
BAM.PR.B Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 2.84 %
IAG.PR.A Deemed-Retractible 1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 5.69 %
FTS.PR.H FixedReset 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.99 %
BAM.PF.D Perpetual-Discount 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.C Deemed-Retractible 72,005 RBC crossed 57,100 at 21.35.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 6.43 %
BNS.PR.Q FixedReset 63,445 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 3.70 %
GWO.PR.R Deemed-Retractible 51,938 Desjardins crossed 30,000 at 22.50.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.07 %
BAM.PF.D Perpetual-Discount 37,430 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.79 %
ENB.PR.Y FixedReset 35,105 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 22.71
Evaluated at bid price : 23.95
Bid-YTW : 4.32 %
TD.PR.A FixedReset 31,190 Nesbitt crossed 15,000 at 25.40.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.29 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Quote: 22.76 – 23.90
Spot Rate : 1.1400
Average : 0.7851

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.76
Bid-YTW : 4.59 %

CGI.PR.D SplitShare Quote: 23.60 – 24.23
Spot Rate : 0.6300
Average : 0.4009

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 4.51 %

CIU.PR.A Perpetual-Discount Quote: 20.80 – 21.50
Spot Rate : 0.7000
Average : 0.5171

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.60 %

FTS.PR.J Perpetual-Discount Quote: 23.21 – 23.74
Spot Rate : 0.5300
Average : 0.3879

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 22.80
Evaluated at bid price : 23.21
Bid-YTW : 5.15 %

BNS.PR.Z FixedReset Quote: 23.58 – 23.91
Spot Rate : 0.3300
Average : 0.1981

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.58
Bid-YTW : 4.15 %

BNS.PR.O Deemed-Retractible Quote: 25.70 – 25.99
Spot Rate : 0.2900
Average : 0.1758

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.62 %

BPY.UN Bids For All Of BPO

Monday, September 30th, 2013

Brookfield Property Partners has announced:

that it proposes to acquire Brookfield Office Properties Inc. (NYSE: BPO; TSX: BPO) (“BPO”) through a tender offer for “any or all” of the common shares of BPO that it does not currently own (the “Offer”) for consideration value of $19.34 per common share of BPO. Each BPO shareholder can elect to receive consideration per BPO common share of either 1.0 limited partnership unit of Brookfield Property Partners or $19.34 in cash, subject in each case to pro-ration based on a maximum of 174 million BPY limited partnership units (67% of the total value of shares tendered to the Offer) and a maximum cash consideration of $1.7 billion (33% of the total value of shares tendered to the Offer). BPO shareholders who receive limited partnership units will be able to do so on a tax-deferred basis.

The Offer price represents a premium of 17% to the 30-day volume weighted average price of BPO shares on the New York Stock Exchange and 16% to the 30-day volume weighted average price of BPO shares on the Toronto Stock Exchange, and a 15% premium to the closing price of BPO shares on September 27, 2013 on each of those exchanges.

Based on the current trading price of Brookfield Property Partners’ limited partnership units, the transaction is valued at $5 billion. If Brookfield Property Partners increases its 51% ownership in BPO to 100%, it will be one of the largest global commercial real estate companies, with $45 billion of assets and ownership comprising over 330 million sq. ft. of office, retail, industrial and multi-family assets in key global gateway markets on four continents.

If sufficient BPO common shares are tendered, Brookfield Property Partners intends to acquire any common shares which remain outstanding following the tender offer through a compulsory acquisition or other statutory transaction on the same basis as the Offer. In this event, BPO public shareholders would own approximately 27% of the outstanding limited partnership units of Brookfield Property Partners (including Brookfield Asset Management’s (“Brookfield”) redeemable partnership units on a fully-exchanged basis).

Brookfield Property Partners intends to finance the cash portion of the Offer through an acquisition facility with a syndicate of banks. In order to refinance the facility, Brookfield Property Partners will consider a number of alternatives, including asset sales, asset level debt financings and issuances of corporate debt, preferred stock and/or equity. To support the transaction, Brookfield and its affiliates have agreed to forego any Equity Enhancement Fee in respect of the acquisition facility which would otherwise by contract be payable to it.

The Offer will be subject to customary conditions including, among other things, that Brookfield Property Partners has determined, acting reasonably, that no material adverse effect exists or has occurred. The Offer will not include a minimum condition with respect to the number of common shares tendered, and Brookfield Property Partners will acquire any or all of the common shares that are tendered to the Offer.

There is some resistance to the bid:

Macquarie Group analyst Rob Stevenson called the offer too low, “especially given [Brookfield Property’s] ownership interest, as well as the fact that 33 per cent of the total consideration will be paid in cash.” He said Brookfield Property’s 51-per-cent stake in the target could block an approach by another bidder.

“A perceived ‘low-ball’ offer by [Brookfield Property] or the parent entity, Brookfield Asset Management, has long been a fear of U.S. real estate investors when it comes to [Brookfield Office Properties],” Mr. Stevenson wrote in a research note on Monday.

Another Macquarie analyst, Michael Smith, agrees the offer is too low but said there is a chance Brookfield Property could raise it to $20.53 to reflect Brookfield Office’s net asset value.

DBRS comments:

BPP currently has a controlling interest in BPO through its 51% ownership. Any change in the level of ownership in and of itself would not change the credit risk profile of BPO as DBRS expects the Offer will not result in any material changes in BPO’s business operations or financial policy.

In addition, DBRS notes that BPP intends to keep all of the corporate debt and preferred shares of BPO outstanding regardless of its ownership level in BPO. BPO currently has $330 million of senior unsecured notes and $2.2 billion of preferred shares outstanding.

However, if BPP acquires 100% of the common shares of BPO, BPP may consider making an offer to the holders of BPO’s outstanding Class AAA, Series G, H, J and K preferred shares that are convertible into common shares to exchange their shares for equivalent shares of another subsidiary of BPP which would be exchangeable for units of BPP under certain conditions.

Additionally, they are sanguine about the effect on the ultimate parent, Brookfield Asset Management (BAM):

DBRS noted that the offer, if accepted by BPO’s shareholders, is expected to close in the first half of 2014. The proposed transaction is consistent with BAM’s ongoing corporate restructuring by designating BPY as the flagship listed holding company for its equity interests in the properties segment, and is not expected to affect BAM’s corporate level debt, as the transaction is intended to be funded at the BPY level. Should there be any future change in the details of the transaction and its financing, DBRS will assess the impact of such change on BAM’s rating.

I find this a little difficult to understand, because BPY.UN will be laying out cash as part of the purchase and has not ruled out financing this layout with debt. This should have some effect on BPY.UN’s credit quality and hence on the certainty of dividends that can flow upstream to BAM.

S&P hasn’t yet commented, but in their recent downgrade of BPO, they noted:

“The downgrade reflects our view that the company’s financial profile will remain weak over the next two years due to the pending large vacancy at Brookfield Place New York and uncertainty regarding the company’s commitment to strengthening fixed-charge coverage and debt-to-EBITDA metrics longer term, given the potential for meaningful development pursuits and/or other largely debt-financed growth,” said credit analyst Elizabeth Campbell.

We don’t expect further downside pressure to the rating over the next two years. However, our credit perspective could change if BAM’s or BPY’s strategic evolution materially alters the operating platform or legal structure of Brookfield Office or fixed-charge coverage falls below 1.3x.

The ultimate parent, Brookfield Asset Management, has the following preferred shares outstanding:
FixedResets BAM.PF.A, BAM.PF.B, BAM.PR.P, BAM.PR.R, BAM.PR.T, BAM.PR.X, BAM.PR.Z
Floaters BAM.PR.B, BAM.PR.C, BAM.PR.K
RatchetRate BAM.PR.E
FixedFloater BAM.PR.G
OperatingRetractible BAM.PR.J
Straight Perpetual BAM.PR.M, BAM.PR.N, BAM.PF.C

BPO has the following preferred share issues outstanding:
OperatingRetractible BPO.PR.H, BPO.PR.J, BPO.PR.K,
FixedReset BPO.PR.L, BPO.PR.N, BPO.PR.P, BPO.PR.R, BPO.PR.T,
Floaters BPO.PR.W, BPO.PR.X, BPO.PR.Y

It is the BPO OperatingRetractibles that DBRS thinks might be the subject of an exchange offer.

September 27, 2013

Friday, September 27th, 2013

I found some excellent commentary on teachers’ salaries:

While we might all agree that the middle class is partly a state-of-mind, I define the middle class as the middle 50 percent of individual earnings. With this definition, at age 20-24, 50 percent of individuals with a university degree working fill-time at a single job outside the Toronto CMA earn above $27,300 and below $60,008. Thus our 23-year old teacher who earns $49,400 does actually start in the middle class of the universityeducated group. However the stay of that teacher in the middle class of even the university-educated within society is very brief!

By the time our teacher is aged 25-29, after 5 years of teaching, the teacher has decisively exited the middle class within the university-educated group. The salary of $66,893 after 5 years of teaching falls well above the 75th percentile of salaries although it is remains below the 90th percentile. But after 10 years of teaching, at age 33, our teacher is quite close to the 90th percentile of salaries within the university-educated group. The teacher’s salary is $88,759 and the 90th percentile is $91,000. The last step in the salary grid would push the salary over the 90th percentile salary for a person aged 30-34.

Finally I would note that all these comparisons of the salaries of teachers to other wage-earners ignore the very large benefit and vacation packages that are part of the compensation of teachers. Even using just salary data, it is clear teachers are very well compensated throughout their entire careers relative to similar persons in Ontario. The benefits and vacation are the whipped cream, toppings and chocolate sauce on the Haagen-Dazs ice cream.

Grave consequences are predicted if the US government shuts down:

A shutdown of the U.S. government would reduce fourth-quarter economic growth by as much as 1.4 percentage points depending on its length, economists say, as government workers from park rangers to telephone receptionists are furloughed.

Mark Zandi of Moody’s Analytics Inc. estimates a three-to-four week shutdown would cut growth by 1.4 points. Zandi projects a 2.5 percent annualized pace of fourth-quarter growth without a shutdown. A two-week shutdown starting Oct. 1 could cut growth by 0.3 percentage point to a 2.3 percent rate, according to St. Louis-based Macroeconomic Advisers LLC.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 5bp, FixedResets up 7bp and DeemedRetractibles off 4bp. Volatility was muted, judging by recent standards. Volume was slightly below average.

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 -0.0508 % 2,531.7
FixedFloater 4.28 % 3.59 % 31,209 18.11 1 0.2256 % 3,882.1
Floater 2.67 % 2.87 % 66,737 20.04 5 -0.0508 % 2,733.5
OpRet 4.62 % 1.78 % 65,342 0.50 3 0.0257 % 2,641.2
SplitShare 4.76 % 4.72 % 60,874 4.05 6 -0.1954 % 2,947.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0257 % 2,415.1
Perpetual-Premium 5.89 % 2.97 % 108,032 0.08 2 0.0990 % 2,270.8
Perpetual-Discount 5.56 % 5.51 % 144,447 14.30 36 0.0549 % 2,353.1
FixedReset 4.93 % 3.69 % 242,820 3.66 85 0.0727 % 2,457.8
Deemed-Retractible 5.12 % 4.50 % 197,719 6.90 43 -0.0429 % 2,380.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.62
Bid-YTW : 4.74 %
CIU.PR.A Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-27
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.49 %
GWO.PR.I Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.40 %
ENB.PR.N FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-27
Maturity Price : 22.97
Evaluated at bid price : 24.51
Bid-YTW : 4.49 %
POW.PR.G Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-27
Maturity Price : 24.41
Evaluated at bid price : 24.82
Bid-YTW : 5.64 %
FTS.PR.J Perpetual-Discount 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-27
Maturity Price : 23.19
Evaluated at bid price : 23.50
Bid-YTW : 5.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.E Perpetual-Discount 148,487 RBC crossed 132,300 at 25.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-27
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : -2.01 %
BMO.PR.J Deemed-Retractible 132,524 Nesbitt crossed 50,000 at 25.20. RBC crossed blocks of 50,000 and 20,000, both at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.44 %
FTS.PR.E OpRet 125,800 RBC crossed 125,000 at 25.95.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-27
Maturity Price : 25.75
Evaluated at bid price : 25.90
Bid-YTW : 1.78 %
BMO.PR.R FixedReset 59,905 RBC crossed 50,000 at 25.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.44 %
SLF.PR.C Deemed-Retractible 49,540 Nesbitt crossed 40,000 at 21.80.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.63
Bid-YTW : 6.15 %
BAM.PR.X FixedReset 44,934 RBC crossed 37,800 at 22.80.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-27
Maturity Price : 22.22
Evaluated at bid price : 22.76
Bid-YTW : 4.31 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRI.PR.B Floater Quote: 20.77 – 21.65
Spot Rate : 0.8800
Average : 0.5897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-27
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 2.52 %

FTS.PR.F Perpetual-Discount Quote: 23.45 – 23.94
Spot Rate : 0.4900
Average : 0.3184

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-27
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 5.27 %

MFC.PR.F FixedReset Quote: 22.62 – 23.17
Spot Rate : 0.5500
Average : 0.3959

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.62
Bid-YTW : 4.74 %

BAM.PR.G FixedFloater Quote: 22.21 – 23.08
Spot Rate : 0.8700
Average : 0.7420

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-27
Maturity Price : 22.57
Evaluated at bid price : 22.21
Bid-YTW : 3.59 %

GWO.PR.I Deemed-Retractible Quote: 21.28 – 21.67
Spot Rate : 0.3900
Average : 0.2718

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.40 %

GCS.PR.A SplitShare Quote: 24.63 – 24.90
Spot Rate : 0.2700
Average : 0.1764

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.63
Bid-YTW : 4.27 %

ENB.PF.V Weak On Good Volume

Friday, September 27th, 2013

Enbridge Inc. has announced:

it has closed its previously announced public offering of Cumulative Redeemable Preference shares, Series 5 (Series 5 Preferred Shares) by a syndicate of underwriters led by CIBC, RBC Capital Markets, Scotiabank, and TD Securities Inc. Enbridge issued 8 million Series 5 Preferred Shares for gross proceeds of USD $200 million. The Series 5 Preferred Shares will begin trading on the TSX today under the symbol ENB.PF.V. Proceeds will be used to partially fund capital projects, reduce existing indebtedness and for other general corporate purposes of the Corporation and its affiliates.

ENB.PF.V is a US-Pay FixedReset, 4.40%+282, announced September 19.

The issue traded 694,445 shares today in a wide range of 24.00-80, closing at 24.26-44, 4×12. It appears that the market agrees with my announcement-day assessment that the new issue was grossly overpriced!

ENB.PF.V will not be tracked by HIMIPref™, as it is US-Pay. There are insufficient USD denominated issues to make it possible to construct a continually optimized portfolio from a stable universe.

BNS.PR.Q To Reset At 3.61%

Friday, September 27th, 2013

The Bank of Nova Scotia has announced:

the applicable dividend rates for its Non-cumulative 5-Year Rate Reset Preferred Shares Series 20 of Scotiabank (the “Preferred Shares Series 20”) and Non-cumulative Floating Rate Preferred Shares Series 21 of Scotiabank (the “Preferred Shares Series 21”).

With respect to any Preferred Shares Series 20 that remain outstanding after October 26, 2013, commencing as of such date, holders thereof will be entitled to receive non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Scotiabank and subject to the Bank Act (Canada). The dividend rate for the five-year period commencing on October 26, 2013 and ending on October 25, 2018 will be 3.610%, being equal to the 5-Year Government of Canada bond yield determined as at September 26, 2013 plus 1.70%, as determined in accordance with the terms of the Preferred Shares Series 20.

With respect to any Preferred Shares Series 21 that may be issued on October 26, 2013, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Scotiabank and subject to the Bank Act (Canada), based on a dividend rate equal the 90-day Canadian Treasury Bill plus 1.70%, on an actual/365 day count basis, subject to certain adjustments in accordance with the terms of the Preferred Shares Series 21. The dividend rate for the period commencing on October 26, 2013 and ending on January 25, 2014 will be equal to 2.686%, as determined in accordance with the terms of the Preferred Shares Series 21.

Beneficial owners of Preferred Shares Series 20 who wish to exercise their right of conversion should communicate as soon as possible with their broker or other nominee and ensure that they follow their instructions in order to ensure that they meet the deadline to exercise such right, which is 5:00 p.m. (Toronto time) on October 11, 2013.

The announcement that BNS.PR.Q would be extended previously reported on PrefBlog.

At 3.61%, the new dividend is $0.9025 p.a., a steep decline from the original rate of 5.00% (or $1.25 p.a.). My mailbox will be filling up shortly with outraged queries from casual investors!

We can examine the comparables with the help of the Pairs Equivalency Calculator:

FixedReset / FloatingReset Strong Pairs
Late Quotes as of 2013-9-27
FixedReset FloatingReset Next
Exchange
Date
Implied
3-Month
Bill Rate
BNS.PR.P BNS.PR.A 2018-4-26 2.71%
TD.PR.S TD.PR.T 2018-7-31 2.10%
BMO.PR.M BMO.PR.R 2018-8-25 2.22%

The contemporary bid for BNS.PR.Q was 24.89; assuming this holds after the conversion privilege is no longer available then the average implied three-month bill rate of 2.34% calculated above in turn implies a bid on the new issue of 25.35.

So, as of right now, it looks like conversion is recommended. Naturally, investors will want to wait until the last moment before making a decision since things could, conceivably, change dramatically prior to the conversion notification deadline.

Additionally, it will be noted that although the deadline for notifying the company is October 11, intermediary brokers will almost always have earlier internal deadlines. Also, it is normal that trades must be settled before notice can be given … so for most brokers, I suggest that the last day for trading the issue in the hopes of reaping enormous profits on conversion will be Monday October 7.

Such a strategy didn’t work very well for the BMO.PR.M / BMO.PR.R conversion, when the price of BMO.PR.M was supported by the conversion privilege and promptly sank after the last trading day to settle prior to the notification date.

On the other hand, the current bid of 24.89 for BNS.PR.Q gives a current yield of 3.63% (calculated from the new 3.61% coupon rate), compared to an average Current Yield of 3.42% for the FixedResets noted above. On that basis – without looking at anything else – BNS.PR.Q looks cheap. So … some might wish to speculate, on the basis that BNS.PR.Q should be priced higher than it is and the FloatingReset issue that results from conversion should be higher still. Just remember it’s a speculation!

September 26, 2013

Thursday, September 26th, 2013

Nothing happened today.

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts down 20bp, FixedResets gaining 6bp and DeemedRetractibles off 19bp; the FixedReset figure is affected by a reversal of yesterday’s nonsense with FTS.PR.K; the ridiculous gain computed from Toronto Stock Exchange data was worth a little in excess of 20bp to the FixedReset subindex – account for that and relative figures are more reasonable. Volatility was fairly high with BAM issues notable amongst the losers. Volume was high.

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 -0.8268 % 2,533.0
FixedFloater 4.29 % 3.60 % 31,436 18.09 1 -4.0693 % 3,873.4
Floater 2.67 % 2.87 % 64,312 20.04 5 -0.8268 % 2,734.9
OpRet 4.62 % 1.63 % 67,809 0.50 3 -0.1794 % 2,640.5
SplitShare 4.75 % 4.63 % 59,894 4.05 6 0.0890 % 2,953.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1794 % 2,414.5
Perpetual-Premium 5.89 % -0.13 % 109,647 0.08 2 0.1770 % 2,268.6
Perpetual-Discount 5.55 % 5.53 % 146,108 14.27 36 -0.2003 % 2,351.8
FixedReset 4.93 % 3.71 % 243,057 3.66 85 0.0634 % 2,456.0
Deemed-Retractible 5.11 % 4.47 % 197,947 3.03 43 -0.1887 % 2,381.8
Performance Highlights
Issue Index Change Notes
BAM.PR.G FixedFloater -4.07 % Not real – just more bullshit from Bullshit Central. This issue traded 800 shares today in two trades, both at 23.10, which happens to be yesterday’s last bid. The last quote was 22.16-00, 1×5. Since the last offer is below the trades, one may infer that there is some real weakness, but it’s hard to tell how much.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.53
Evaluated at bid price : 22.16
Bid-YTW : 3.60 %
BNS.PR.Y FixedReset -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 3.91 %
SLF.PR.G FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 4.42 %
BAM.PR.M Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 5.96 %
BAM.PR.N Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.96 %
CIU.PR.A Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 5.40 %
BAM.PR.K Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.91 %
BNS.PR.Z FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.78
Bid-YTW : 4.24 %
HSE.PR.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.65
Evaluated at bid price : 23.25
Bid-YTW : 4.08 %
PWF.PR.A Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.78
Evaluated at bid price : 23.06
Bid-YTW : 2.26 %
FTS.PR.J Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.63
Evaluated at bid price : 23.00
Bid-YTW : 5.20 %
TCA.PR.X Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-11-14
Maturity Price : 50.00
Evaluated at bid price : 50.53
Bid-YTW : -6.05 %
FTS.PR.K FixedReset 19.39 % Not real. Just a reversal of yesterday’s nonsense.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.84
Evaluated at bid price : 24.20
Bid-YTW : 4.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.S Perpetual-Discount 105,876 TD crossed 10,000 at 22.71; Desjardins crossed 78,000 at 22.55.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.26
Evaluated at bid price : 22.55
Bid-YTW : 5.39 %
BNS.PR.Q FixedReset 94,084 To be extended or converted.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 3.74 %
BAM.PR.T FixedReset 57,144 TD crossed 55,000 at 24.22.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.97
Evaluated at bid price : 24.13
Bid-YTW : 4.43 %
GWO.PR.J FixedReset 55,800 Nesbitt crossed 50,000 at 25.12.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.10 %
SLF.PR.A Deemed-Retractible 54,942 Scotia crossed blocks of 25,000 and 24,700, both at 22.65.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 6.00 %
MFC.PR.A OpRet 52,578 TD crossed 50,000 at 25.55.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.25
Evaluated at bid price : 25.51
Bid-YTW : 2.77 %
There were 51 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.G FixedFloater Quote: 22.16 – 23.00
Spot Rate : 0.8400
Average : 0.6017

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.53
Evaluated at bid price : 22.16
Bid-YTW : 3.60 %

PWF.PR.A Floater Quote: 23.06 – 23.97
Spot Rate : 0.9100
Average : 0.6735

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.78
Evaluated at bid price : 23.06
Bid-YTW : 2.26 %

RY.PR.F Deemed-Retractible Quote: 25.10 – 25.46
Spot Rate : 0.3600
Average : 0.2200

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.47 %

VNR.PR.A FixedReset Quote: 25.15 – 25.56
Spot Rate : 0.4100
Average : 0.2788

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.45 %

IAG.PR.A Deemed-Retractible Quote: 22.19 – 22.74
Spot Rate : 0.5500
Average : 0.4253

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 6.01 %

BNS.PR.Y FixedReset Quote: 23.85 – 24.15
Spot Rate : 0.3000
Average : 0.1982

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 3.91 %

TD.PR.Y, FixedReset To Be Extended at +168

Thursday, September 26th, 2013

The Toronto-Dominion Bank has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding 10 million Non-Cumulative 5-Year Rate Reset Preferred Shares, Series Y (the “Series Y Shares”) of TD on October 31, 2013. As a result and subject to certain conditions set out in the prospectus dated July 7, 2008 relating to the issuance of the Series Y Shares, the holders of the Series Y Shares have the right to convert all or part of their Series Y Shares, on a one-for-one basis, into Non-Cumulative Floating Rate Preferred Shares, Series Z (the “Series Z Shares”) of TD on October 31, 2013. Holders who do not exercise their right to convert their Series Y Shares into Series Z Shares on such date will continue to hold their Series Y Shares.

The foregoing conversion right is subject to the conditions that: (i) if TD determines that there would be less than 1,000,000 Series Z Shares outstanding after October 31, 2013, then holders of Series Y Shares will not be entitled to convert their shares into Series Z Shares, and (ii) alternatively, if TD determines that there would remain outstanding less than 1,000,000 Series Y Shares after October 31, 2013, then all remaining Series Y Shares will automatically be converted into Series Z Shares on a one-for-one basis on October 31, 2013. In either case, TD will give written notice to that effect to holders of Series Y Shares no later than October 24, 2013.

The dividend rate applicable to the Series Y Shares for the 5-year period from and including October 31, 2013 to but excluding October 31, 2018, and the dividend rate applicable to the Series Z Shares for the 3-month period from and including October 31, 2013 to but excluding January 31, 2014, will be determined and announced by way of a press release on October 1, 2013.

Beneficial owners of Series Y Shares who wish to exercise their conversion right should communicate as soon as possible with their broker or other nominee to obtain instructions for exercising such right on or prior to the deadline for exercise, which is 5:00 p.m. (Toronto time) on October 16, 2013.

The current GOC5 rate is 1.91%, so pending the official announcement October 1, we may assume the new rate will be 3.59%, or $0.8975 p.a. This represents a steep decline from the original rate of 5.10% (or $1.275 p.a.), so my mailbox will be filling up shortly with outraged queries from casual investors.

We can examine the comparables with the help of the Pairs Equivalency Calculator:

FixedReset / FloatingReset Strong Pairs
FixedReset FloatingReset Next
Exchange
Date
Implied
3-Month
Bill Rate
BNS.PR.P BNS.PR.A 2018-4-26 2.42%
TD.PR.S TD.PR.T 2018-7-31 2.17%
BMO.PR.M BMO.PR.R 2018-8-25 2.18%

The closing bid for TD.PR.Y yesterday was 25.01; assuming this holds after the conversion privilege is no longer available then the average implied three-month bill rate of 2.26% calculated above in turn implies a bid on the new issue of 25.39.

So, as of right now, it looks like conversion is recommended. Naturally, investors will want to wait until the last moment before making a decision.

Additionally, it will be noted that although the deadline for notifying the company is October 16, intermediary brokers will almost always have earlier internal deadlines. Also, it is normal that trades must be settled before notice can be given … so for most brokers, I suggest that the last day for trading the issue in the hopes of reaping enormous profits on conversion will be Wednesday October 9 (remember there is a skip-day for Thanksgiving). This strategy didn’t work very well for the BMO.PR.M / BMO.PR.R conversion, when the price of BMO.PR.M was supported by the conversion privilege and promptly sank after the last trading day to settle prior to the notification date. But there will be some who try!

September 25, 2013

Wednesday, September 25th, 2013

One thing (well, one of many things) that has bothered me over the years is the story of Henry Ford as philantropist:

Henry Ford’s vision was that a mass-manufacturing solution would save so much money that his investments would soon pay off. They did, and there was a side benefit: Ford could then afford to pay his workers a much higher wage than average — $5 a day — which made them into consumers who could afford his cars. It’s the kind of long-range view that Ford and other automakers are taking now toward China.

This is repeated so often I sometimes think I must be the only person in the world who realizes that it doesn’t make any sense at all. You can’t get rich taking in each other’s laundry. I find that Ford itself promulgates this myth, albeit with enough supporting narrative to make the real story clear:

After the success of the moving assembly line, Henry Ford had another transformative idea: in January 1914, he startled the world by announcing that Ford Motor Company would pay $5 a day to its workers. The pay increase would also be accompanied by a shorter workday (from nine to eight hours). While this rate didn’t automatically apply to every worker, it more than doubled the average autoworker’s wage.

While Henry’s primary objective was to reduce worker attrition—labor turnover from monotonous assembly line work was high—newspapers from all over the world reported the story as an extraordinary gesture of goodwill.

After Ford’s announcement, thousands of prospective workers showed up at the Ford Motor Company employment office. People surged toward Detroit from the American South and the nations of Europe. As expected, employee turnover diminished. And, by creating an eight-hour day, Ford could run three shifts instead of two, increasing productivity.

Henry Ford had reasoned that since it was now possible to build inexpensive cars in volume, more of them could be sold if employees could afford to buy them. The $5 day helped better the lot of all American workers and contributed to the emergence of the American middle class. In the process, Henry Ford had changed manufacturing forever.

I suspect that this myth was developed in an attempt to spike the guns of the nascent socialist movement:

The fact is that about 6% of Americans were voting Socialist that year, and any decent newspaper would be keeping track of the local races. It’s also important to note that there were many political parties then, including multiple leftist parties, and it would be not unusual to have half a dozen candidates for any office.

Also of note is that socialists were already closely aligned with labor unions, and this is evident in the platform planks.

And to those who think the socialist movement in America has been a failure, take a look at the list of platform planks from 1914: women’s suffrage, clean schools, child labor laws, free schoolbooks, public sector unions, workplace safety inspections, etc.

Every time I see the hoary old chestnut of perpetual motion by high wages repeated, I get just a little more irritated. What Henry Ford did was to increase productivity – wages were increased solely because he had to. It is increased productivity that makes us rich.

There are rumours of potential big changes in the corporate bond markets:

Deutsche Bank AG (DBK) is trying to drum up interest with some of its largest competitors to create a multi-dealer U.S. bond trading platform at the same time that asset managers discuss ways to make buying and selling debt easier, according to people familiar with the matter.

Europe’s biggest investment bank by revenue has pitched its plan for an electronic trading network to JPMorgan Chase & Co. (JPM), Citigroup Inc. (C) and Barclays Plc (BARC), according to five people briefed on the talks, who asked to not be named because the discussions are private. Executives at State Street Corp. (STT) and FMR LLC’s Fidelity Investments are among institutional investors that have held a series of meetings, the last one in July in New York, to address the difficulty of finding the bonds they want to trade, according to two different people.

The platform, dubbed Oasis, from Frankfurt-based Deutsche Bank is aimed at the least-active part of the $4.2 trillion-a-year market where bonds might not trade for days or weeks, two of the people said. It follows a more successful introduction of the same idea in Europe, according to one executive.

Oasis clients would tell their bank how much of a particular corporate bond they want to buy or sell, a process known as an indication of interest, and the dealer would enter a resting order into the electronic system, two of the people involved said. If another party is interested and the trade crosses, the transaction would be done between banks so that the clients remain anonymous, the people said.

Information leakage, or the possibility of rival investors profiting off an investor’s plan to trade, is a major concern among bank clients that Oasis is meant to address, the people said. If the system succeeds, clients could eventually be allowed to access Oasis directly, they said.

Investors and their banks may have trouble moving more of the market onto computers. Corporate debt is unsuitable for full electronic trading, according to a study last month by McKinsey & Co. and Greenwich Associates. There are more bonds than stocks, and debt trades less frequently, making a full transition to computer-based buying and selling unlikely, the consultants said.

Dealers have resisted a shift to electronic bond trading because the increased transparency can cut profits. In the 90 days after the Financial Industry Regulatory Authority’s Trace started disseminating prices of junk bonds, trading in the securities dropped 41 percent, according to Massachusetts Institute of Technology and Harvard University researchers.

I think the process is doomed to failure, although it might be a step in the right direction. The big problem is lack of inventories, which are small because the profits are thin and the capital expensive. I think the only logical goal is for the big pension funds to act more like trading desks, making markets and swapping stuff in and out of their portfolios on demand (while maintaining overall portfolio objectives) – the way, for instance, I have been trading fixed income in my small way for the past twenty-one years (although, with respect to bonds, only through brokers). I suspect, however, that there are immense cultural and regulatory roadblocks between the current reality and the endgame.

There’s a funny story on French regulation:

This week, a Paris court of appeal ordered the cosmetics chain Sephora to close its flagship store on the avenue at 9 p.m., rather than staying open until midnight during the week and until 1 a.m. on Fridays and Saturdays.

But at a time when the national economy remains stuck in a rut and unemployment continues to rise, this latest ruling on Sephora has struck a raw nerve. The case was brought by a consortium of labour unions, which has been zealous in its attempts to have the store-closing hour law enforced, arguing that it needs to protect workers from unscrupulous owners who force them to work antisocial hours. But that logic is patently untrue in this case.

The cosmetics chain reckons it does about 20 per cent of its business after 9 p.m., and the 50 sales staff who work the late shift do so voluntarily – and are paid an hourly rate that is 25 per cent higher than the day shift. Many of them are students or part-time workers, and they have publicly expressed their indignation about being put out of work by labour unions.

S&P has a very interesting report on Exchange operational issues and problems thereof and credit implications thereof thereof:

We view stock exchanges’ higher vulnerability to operational risk (compared with derivative and futures exchanges), primarily as a function of the numerous point-to-point connections between stock exchanges and the variety of order types they process. Derivatives and futures exchanges, like IntercontinentalExchange and CME Group, tend to have “vertical silo” business models, in which the listings, trading, and clearing of contracts are done under one roof. This means they are less connected to other exchanges and clearinghouses.

The greater fragmentation in the equities markets (especially in the U.S.) creates more interconnectivity between exchanges, which leaves them more vulnerable to operational failures. There are 16 SEC-registered securities exchanges and more than 50 alternative trading platforms in the U.S., each of which is linked with others though a vast web of connections, including those that provide connectivity, routing services, and market data. And additional regulatory and disclosure requirements for stock exchanges, such as the consolidated tape–which provides real time data on prices and trading volumes–increase the complexity of the systems and exposure to operational problems.

Numerous order types also add to the complexity of the equities markets and amplify operational risk. To make the matter even more complicated, there have been discrepancies around how some exchanges execute their order types compared with their own rule books. For example, in January 2013, BATS announced that upon a National Best Bid and Offer (NBBO) update on BATS’ BYX Exchange, BZX Exchange, and BATS Options, it had discovered a problem with its matching engine that caused the execution of a short sale order at a price that was equal to or less than the NBBO. The problem started in 2008, but it took the company more than four years to identify it.

There’s been another breakthrough in solar energy technology, not made in Ontario as we spent all the potential research money on not-ready-for-prime-time technology:

The Fraunhofer Institute for Solar Energy Systems ISE, Soitec, CEA-Leti and the Helmholtz Center Berlin jointly announced today having achieved a new world record for the conversion of sunlight into electricity using a new solar cell structure with four solar subcells. Surpassing competition after only over three years of research, and entering the roadmap at world class level, a new record efficiency of 44.7% was measured at a concentration of 297 suns. This indicates that 44.7% of the solar spectrum’s energy, from ultraviolet through to the infrared, is converted into electrical energy. This is a major step towards reducing further the costs of solar electricity and continues to pave the way to the 50% efficiency roadmap.

S&P is also taking a wait and see attitude towards Fairfax, proud issuer of XXX:

Standard & Poor’s Ratings Services said today that the Sept. 23, 2013, signing of a letter of intent by an investor consortium led by Fairfax Financial Holdings Ltd. (Fairfax) to acquire BlackBerry Ltd., subject to due diligence, for approximately $4.7 billion has no effect on the ratings on Fairfax. As disclosed in the announcement, Fairfax currently owns about 10% of BlackBerry’s common shares, which it intends to contribute to the transaction. We expect the consortium to complete its due diligence by Nov. 4, 2013. If satisfactory, the consortium would enter into a definitive transaction agreement with BlackBerry at that time. Until then BlackBerry will be free to consider alternative offers. We will monitor the development of this transaction during the next six weeks and evaluate any potential impact on Fairfax as more information becomes available about the financing structure and the likelihood of the transaction being completed.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 11bp, FixedResets ostensibly down 42bp and DeemedRetractibles up 21bp. The large FixedReset loss is about half due to a single issue, FTS.PR.K, which ostensibly closed at 20.27-24.29, 1×1 after trading 31,415 shares in a range of 24.25-50. So this is either a lazy market maker or stupid dumb reporting by the Toronto Stock Exchange – I can’t be bothered to work out which. The Performance Highlights table is extremely lengthy. Volume was very high.

PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.9%, so the pre-tax interest-equivalent spread (in this context, the Seniority Spread) is now about 230bp, a small (and perhaps spurious) decline from the 235bp reported September 18.

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 -0.3316 % 2,554.1
FixedFloater 4.11 % 3.43 % 31,729 18.43 1 0.0000 % 4,037.7
Floater 2.65 % 2.85 % 63,821 20.10 5 -0.3316 % 2,757.7
OpRet 4.61 % 1.47 % 68,400 0.51 3 0.2441 % 2,645.3
SplitShare 4.75 % 4.62 % 59,717 4.05 6 0.1957 % 2,950.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2441 % 2,418.8
Perpetual-Premium 5.86 % 5.87 % 125,696 13.97 2 0.0591 % 2,264.6
Perpetual-Discount 5.54 % 5.53 % 140,667 14.36 36 0.1080 % 2,356.5
FixedReset 4.93 % 3.67 % 242,855 3.67 85 -0.4238 % 2,454.4
Deemed-Retractible 5.10 % 4.45 % 196,168 3.75 43 0.2052 % 2,386.3
Performance Highlights
Issue Index Change Notes
FTS.PR.K FixedReset -17.10 % The “last” quote sold to me at an enormous price by the Toronto Stock Exchange is 20.27-24.29, 1×1 after trading 31,415 shares in a range of 24.25-50. So this is either a lazy market maker or stupid dumb reporting by the Exchange.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.01 %
SLF.PR.G FixedReset -2.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 4.26 %
TRI.PR.B Floater -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 2.48 %
BAM.PF.D Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.85 %
CIU.PR.C FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 21.85
Evaluated at bid price : 22.10
Bid-YTW : 3.86 %
BAM.PR.M Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.87 %
BAM.PF.C Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.97 %
PWF.PR.S Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 22.29
Evaluated at bid price : 22.58
Bid-YTW : 5.39 %
MFC.PR.J FixedReset -1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 4.11 %
TRP.PR.B FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 4.10 %
GWO.PR.N FixedReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 4.57 %
IFC.PR.C FixedReset -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.72 %
FTS.PR.J Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 22.37
Evaluated at bid price : 22.70
Bid-YTW : 5.27 %
ELF.PR.H Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 23.86
Evaluated at bid price : 24.24
Bid-YTW : 5.77 %
HSB.PR.D Deemed-Retractible 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.32 %
SLF.PR.A Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.63
Bid-YTW : 5.94 %
GWO.PR.G Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.86
Bid-YTW : 5.78 %
RY.PR.C Deemed-Retractible 1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.04 %
ELF.PR.G Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 21.85
Evaluated at bid price : 21.85
Bid-YTW : 5.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.E OpRet 90,900 Nesbitt crossed blocks of 50,000 and 40,000, both at 25.95.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-25
Maturity Price : 25.75
Evaluated at bid price : 25.90
Bid-YTW : 1.47 %
RY.PR.D Deemed-Retractible 70,639 TD bought 14,400 from RBC at 25.22, then crossed 40,000 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.45 %
BAM.PR.T FixedReset 67,825 TD crossed 60,700 at 24.22.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 22.97
Evaluated at bid price : 24.14
Bid-YTW : 4.43 %
BMO.PR.K Deemed-Retractible 63,794 Nesbitt crossed 50,000 at 25.85.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.40 %
BNS.PR.L Deemed-Retractible 57,855 TD crossed 50,000 at 25.40.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.40 %
BNS.PR.Q FixedReset 54,394 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.72 %
There were 61 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.K FixedReset Quote: 20.27 – 24.49
Spot Rate : 4.2200
Average : 2.2600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.01 %

TRP.PR.C FixedReset Quote: 23.15 – 23.80
Spot Rate : 0.6500
Average : 0.4314

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 22.62
Evaluated at bid price : 23.15
Bid-YTW : 3.93 %

CIU.PR.C FixedReset Quote: 22.10 – 23.00
Spot Rate : 0.9000
Average : 0.7068

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 21.85
Evaluated at bid price : 22.10
Bid-YTW : 3.86 %

BAM.PF.C Perpetual-Discount Quote: 20.45 – 20.91
Spot Rate : 0.4600
Average : 0.3064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-25
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.97 %

IAG.PR.A Deemed-Retractible Quote: 22.10 – 22.53
Spot Rate : 0.4300
Average : 0.2885

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.06 %

GWO.PR.Q Deemed-Retractible Quote: 23.85 – 24.30
Spot Rate : 0.4500
Average : 0.3203

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.74 %

DFN.PR.A Secondary Offering Successful

Wednesday, September 25th, 2013

Quadravest Capital Management Inc. has announced:

Dividend 15 Split Corp. (the “Company”) is pleased to announce that it has completed the overnight marketing of up to 1,866,380 Preferred Shares and up to 1,866,380 Class A Shares. Total proceeds of the offering are expected to be approximately $38 million [Footnote]. Due to strong demand the Company increased the size of the offering from its original target. The offering was co-led by National Bank Financial, CIBC World Markets and RBC Capital Markets and also included BMO Nesbitt Burns Inc. and TD Securities Inc. The sales period of this overnight offering has now ended.

[Footnote reads:] (1) Offering includes public transaction and private placement

The overnight offering was reported on PrefBlog yesterday.

September 24, 2013

Tuesday, September 24th, 2013

I’m glad to see someone resisting the politicization of the Fed:

Richard Fisher, president of the Federal Reserve Bank of Dallas, said the White House botched the nomination for Chairman Ben S. Bernanke’s successor by allowing an unprecedented public debate over who would be the best choice.

“The White House has mishandled this terribly,” Fisher said today in response to a question from the audience after giving a speech in San Antonio, Texas. “This should not be a public debate,” he said, adding that the Fed “must never be a political instrument.”

There is some concern regarding the seasonal adjustments in the US jobs number:

Yet a new paper presented by Johns Hopkins economist Jonathan Wright at the Brookings Institution’s Panel of Economic Activity indicates that the Fed may have been misled by meaningless data. The evidence suggests that employment growth was just as anemic in July, when the Bureau of Labor Statistics reported 332,000 new jobs, as it was in February, when the BLS reported that only 104,000 jobs were added.

The problem is due to some peculiarities in the formula for seasonal adjustments. Weather, the school calendar and holidays all affect how many people are working in any given month, creating a lot of volatility in the raw jobs numbers. For example, the BLS reported that 1.2 million jobs were lost in July and 378,000 were added in August. Thanks to seasonal adjustments, however, most people think that 104,000 jobs were added in July and 169,000 were added in August. The truth is somewhere in between.

First, the Fed has become hypersensitive to monthly jobs data. Second, the process by which the BLS smooths out its raw data seems to have been corrupted by a statistical artifact. As Wright explains, the job losses associated with the Great Recession were concentrated at the end of 2008 and the beginning of 2009 — the coldest months of the year. That distorted the BLS’s seasonal adjustment algorithm, which uses the past three years of data to determine the “normal” pattern of employment growth in different months.

This was first suspected by economists at Nomura and Goldman Sachs, as Cardiff Garcia reported at FT Alphaville. However, Wright’s paper presents the first conclusive evidence.

It is becoming apparent that Obamacare is more like wealth transfer than insurance:

Binko is one of 2.7 million healthy 18- to 34-year-olds, dubbed the young invincibles, that the Obama administration has said are needed in the exchanges to offset the cost of providing care for millions of other uninsured people who are likely to be older and sicker. Without young adults, who pay for insurance yet rarely use it, premium costs in the exchanges may soar.

“For young people learning to take care of ourselves, it’s foolish if we have to take care of the older generation too,” Binko, who now lives in Los Angeles, said in an interview.

Young invincibles are the focus of a pitched battle between Obamacare backers and the law’s opponents as the U.S. nears the Oct. 1 roll-out of government-run insurance exchanges. It’s a conflict playing out on television and the Internet, on college campuses and in door-to-door campaigns by volunteers nationwide.

“This demographic is critical,” Caroline Pearson, a vice president at Washington-based consulting firm Avalere Health LLC, said in an interview. “If you mostly have high risk people, premiums go up. It becomes a death spiral.”

Whether or not wealth transfer is desirable, if indulged in it should be financed through the tax system, rather than dressed up as something it isn’t.

Here are some illuminating tech facts:

BlackBerry, which released the flagship Z10 touchscreen phone earlier this year, sold 5.9 million smartphones during the last three months. Apple sold more than 9 million over the weekend.

The companies’ different trajectories became even more vivid today when BlackBerry said it tentatively agreed to a $4.7 billion buyout by a group led by Fairfax Financial Holdings. Meanwhile, Apple’s stock rose 5 percent following the sales announcement, giving the California company a market value of almost $446 billion.

Speaking of Blackberry, it’s setting records:

BlackBerry Ltd. (BBRY), once valued at $83 billion, may be stuck with the cheapest valuation ever for a North American technology or telecommunications takeover.

The smartphone maker said yesterday it reached a tentative agreement for a $4.7 billion buyout by a group led by Fairfax Financial Holdings Ltd. (FFH), its biggest shareholder. Including net cash, the proposal values the Waterloo, Ontario-based company at an 80 percent discount to its book value and just 0.17 times its sales, the cheapest revenue multiple on record among similar-sized North American telecommunications or technology acquisitions, according to data compiled by Bloomberg.

AltaGas Ltd., proud issuer of ALA.PR.A, was confirmed at Pfd-3 [Stable] by DBRS:

DBRS has today confirmed the ratings on both the Medium-Term Notes and Issuer Rating of AltaGas Ltd. (AltaGas or the Company) at BBB and on the Preferred Shares – Cumulative at Pfd-3, all with Stable trends. The confirmation reflects Company’s: (1) improving business risk profile, as almost 80% of the Company’s earnings are supported by either stable regulated returns or long-term contacts; (2) diversified sources of revenue from its Utilities, Power and Gas segments operating in Canada and the United States; (3) improved quality of earnings since the addition of utilities (SEMCO Energy Inc. and Pacific Northern Gas Ltd.) and cleaner power generation assets (Blythe Energy, LLC (Blythe)) to the Company’s portfolio. These new assets are primarily underpinned by long-term take-or-pay commitments, resulting in no incremental direct exposure to commodity price risk.

DBRS notes that in the past five years, AltaGas’s credit metrics have weakened due to its aggressive growth capital expenditures (capex) program, which has added approximately $4 billion in new and expanded assets. Company’s key credit metrics are expected to remain weak over the near term, but are expected to recover in the medium term as major projects come on stream and full-year benefits from new assets are realized. Going forward, DBRS expects the Company to finance its capex program with a prudent mix of equity and debt and maintain credit metrics consistent with its current rating.

It was a strong day for the Canadian preferred share market, with PerpetualDiscounts winning 31bp, FixedResets gaining 17bp and DeemedRetractibles up 27bp. The Performance Highlights table is suitable skewed towards winners. Volume was very extremely awfully high.

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 -0.6688 % 2,562.6
FixedFloater 4.11 % 3.43 % 29,363 18.43 1 1.7621 % 4,037.7
Floater 2.64 % 2.87 % 62,895 20.05 5 -0.6688 % 2,766.9
OpRet 4.63 % 2.44 % 65,857 0.51 3 0.1415 % 2,638.8
SplitShare 4.76 % 4.82 % 59,666 4.05 6 -0.0944 % 2,944.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1415 % 2,412.9
Perpetual-Premium 5.86 % 5.88 % 126,314 13.95 2 -0.0197 % 2,263.2
Perpetual-Discount 5.53 % 5.54 % 140,017 14.34 36 0.3079 % 2,354.0
FixedReset 4.91 % 3.59 % 240,667 3.65 85 0.1741 % 2,464.9
Deemed-Retractible 5.11 % 4.51 % 195,581 4.71 43 0.2658 % 2,381.4
Performance Highlights
Issue Index Change Notes
TRI.PR.B Floater -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 2.40 %
SLF.PR.E Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.86
Bid-YTW : 6.07 %
BNS.PR.Y FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.16
Bid-YTW : 3.73 %
IFC.PR.A FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 4.42 %
GWO.PR.Q Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 5.78 %
SLF.PR.D Deemed-Retractible 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 6.03 %
SLF.PR.B Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 5.98 %
BAM.PF.B FixedReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 22.70
Evaluated at bid price : 23.88
Bid-YTW : 4.64 %
BAM.PR.G FixedFloater 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 23.23
Evaluated at bid price : 23.10
Bid-YTW : 3.43 %
FTS.PR.J Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 22.57
Evaluated at bid price : 22.93
Bid-YTW : 5.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.B FixedReset 677,768 RBC crossed five blocks; two of 258,900 each, two of 25,000 each and the last for 97,000, all at 20.59.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 4.06 %
FTS.PR.J Perpetual-Discount 133,955 Nesbitt crossed blocks of 63,000 and 60,000, both at 22.60.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 22.57
Evaluated at bid price : 22.93
Bid-YTW : 5.21 %
FTS.PR.F Perpetual-Discount 107,755 Desjardins crossed blocks of 43,800 and 50,000, both at 22.90.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 22.70
Evaluated at bid price : 22.99
Bid-YTW : 5.37 %
PWF.PR.P FixedReset 63,871 RBC crossed 38,200 at 24.30.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 23.15
Evaluated at bid price : 24.15
Bid-YTW : 3.78 %
BMO.PR.O FixedReset 63,170 RBC crossed 50,000 at 25.81.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 2.54 %
CU.PR.F Perpetual-Discount 59,765 Scotia crossed 47,200 at 21.59.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 21.47
Evaluated at bid price : 21.75
Bid-YTW : 5.21 %
There were 80 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRI.PR.B Floater Quote: 21.52 – 22.49
Spot Rate : 0.9700
Average : 0.6428

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 2.40 %

IFC.PR.A FixedReset Quote: 23.92 – 24.70
Spot Rate : 0.7800
Average : 0.4842

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 4.42 %

ELF.PR.H Perpetual-Discount Quote: 24.00 – 24.70
Spot Rate : 0.7000
Average : 0.5125

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 23.64
Evaluated at bid price : 24.00
Bid-YTW : 5.83 %

HSB.PR.D Deemed-Retractible Quote: 24.95 – 25.50
Spot Rate : 0.5500
Average : 0.3815

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.05 %

PWF.PR.P FixedReset Quote: 24.15 – 24.60
Spot Rate : 0.4500
Average : 0.3004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-24
Maturity Price : 23.15
Evaluated at bid price : 24.15
Bid-YTW : 3.78 %

SLF.PR.A Deemed-Retractible Quote: 22.40 – 22.86
Spot Rate : 0.4600
Average : 0.3192

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.06 %