Archive for December, 2013

December 31, 2013

Tuesday, December 31st, 2013

Nothing happened today.

Another hot day for the Canadian preferred share market, with PerpetualDiscounts winning 53bp, while both FixedResets and DeemedRetractibles were up 25bp. Volume was abysmally 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 1.1029 % 2,523.5
FixedFloater 4.57 % 3.86 % 36,865 17.61 1 0.7752 % 3,675.1
Floater 2.96 % 2.95 % 61,291 19.83 3 1.1029 % 2,724.7
OpRet 4.64 % 2.16 % 80,170 0.41 3 0.0129 % 2,660.9
SplitShare 4.85 % 4.65 % 72,756 4.46 5 0.0803 % 3,021.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0129 % 2,433.1
Perpetual-Premium 5.63 % 5.42 % 130,024 4.15 13 0.0966 % 2,312.4
Perpetual-Discount 5.66 % 5.68 % 182,724 14.41 25 0.5325 % 2,339.8
FixedReset 4.97 % 3.51 % 222,883 3.42 84 0.2523 % 2,473.1
Deemed-Retractible 5.14 % 4.24 % 184,609 1.34 42 0.2464 % 2,397.6
FloatingReset 2.61 % 2.35 % 254,860 4.36 5 0.0316 % 2,468.3
Performance Highlights
Issue Index Change Notes
GWO.PR.P Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 6.09 %
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 : 25.25
Bid-YTW : 3.99 %
IAG.PR.A Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 6.29 %
GWO.PR.H Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.36 %
BNS.PR.K Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-28
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 2.00 %
BAM.PR.B Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 2.95 %
BAM.PR.T FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 22.99
Evaluated at bid price : 24.10
Bid-YTW : 4.41 %
BAM.PR.K Floater 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 2.95 %
CU.PR.F Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.40 %
BAM.PF.D Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 6.24 %
FTS.PR.F Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.52 %
GWO.PR.J FixedReset 2.04 % Rather a silly entry. It’s been called for redemption and no shares traded today.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -17.33 %
BAM.PR.X FixedReset 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.68 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.T FixedReset 81,695 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 3.93 %
TD.PR.T FloatingReset 17,200 Nesbitt crossed 16,000 at 25.17.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.35 %
CU.PR.G Perpetual-Discount 14,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.42 %
ENB.PR.Y FixedReset 11,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 22.21
Evaluated at bid price : 22.94
Bid-YTW : 4.61 %
GWO.PR.F Deemed-Retractible 11,156 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 2.01 %
BNS.PR.R FixedReset 10,819 has been extended. Will reset at 3.83%. Yield to Deemed Maturity is 3.78%.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : -0.22 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.A FixedReset Quote: 25.20 – 25.67
Spot Rate : 0.4700
Average : 0.3009

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.34 %

CU.PR.G Perpetual-Discount Quote: 21.03 – 21.49
Spot Rate : 0.4600
Average : 0.3190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.42 %

GWO.PR.P Deemed-Retractible Quote: 23.71 – 24.13
Spot Rate : 0.4200
Average : 0.2908

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 6.09 %

SLF.PR.I FixedReset Quote: 25.81 – 26.15
Spot Rate : 0.3400
Average : 0.2211

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 3.13 %

TD.PR.G FixedReset Quote: 25.61 – 25.95
Spot Rate : 0.3400
Average : 0.2436

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 1.89 %

TRP.PR.B FixedReset Quote: 20.38 – 20.62
Spot Rate : 0.2400
Average : 0.1516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-31
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 4.05 %

BNS.PR.R To Reset At 3.83%

Tuesday, December 31st, 2013

The Bank of Nova Scotia has announced:

the applicable dividend rates for its Non-cumulative 5-Year Rate Reset Preferred Shares Series 22 of Scotiabank (the “Preferred Shares Series 22”) and Non-cumulative Floating Rate Preferred Shares Series 23 of Scotiabank (the “Preferred Shares Series 23”).

With respect to any Preferred Shares Series 22 that remain outstanding after January 26, 2014, 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 January 26, 2014 and ending on January 25, 2019 will be 3.830%, being equal to the 5-Year Government of Canada bond yield determined as at December 27, 2013 plus 1.88%, as determined in accordance with the terms of the Preferred Shares Series 22.

With respect to any Preferred Shares Series 23 that may be issued on January 26, 2014, 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 to the 90-day Canadian Treasury Bill yield plus 1.88%, on an actual/365 day count basis, subject to certain adjustments in accordance with the terms of the Preferred Shares Series 23. The dividend rate for the period commencing on January 26, 2014 and ending on April 25, 2014 will be equal to 2.782%, as determined in accordance with the terms of the Preferred Shares Series 23.

Beneficial owners of Preferred Shares Series 22 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 January 13, 2014.

The extension of BNS.PR.R was previously reported on PrefBlog.

I am making no recommendation as to whether holders of BNS.PR.R should convert or not to the new FloatingReset that will appear on January 25. The five FloatingResets currently outstanding have an average three-month bill breakeven rate of 1.87%; given a current price of 25.33 on BNS.PR.R, this implies a price of 25.24 on the new issue, which is certainly within error. Given a current bill yield of 0.91%, the implication is that the Bank Rate will rise by 200bp over the next five years, assuming a steady rate of increases – this is reasonable. If you have strong views on the future of the Bank Rate, act accordingly (while remembering to ask yourself ‘What if I’m wrong?’) or go with what makes most sense for your portfolio.

What Is The Yield of BNS.PR.X ?

Tuesday, December 31st, 2013

On December 30, in all innocence, I posted the following entry in the Volume Highlights table:

BNS.PR.X FixedReset 26,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 1.44 %

Now Assiduous Reader SM writes in and says:

in yesterday’s volume highlights on prefblog, BNS.PR.X is listed as having a 1.44% YTW at $25.63. My use of Shakespeare’s YTC spreadsheet (14/01/06 settlement) tells me the YTW is exactly 2.00%. What gives?

The “Calculators” section of the Right Hand Navigation Panel has links to Shakespeare’s Spreadsheet (broken link redirected 2024-2-1) and a souped-up version that accounts for dividend changes for FixedResets. Some may also be interested in my instruction manual for ytc.xls and a lengthy post discussing compounding frequency.

SM’s figure of 2.00% is derived from the following inputs:

  • Current Price = 25.63
  • Call Price = 25.00
  • Settlement Date = 2014-1-6
  • Call Date = 2014-4-25
  • Quarterly Dividend = 1.5625/4
  • Cycle = 1
  • Pay Date = 25
  • Include first Dividend = 1
  • First Dividend Value = Blank

SM poses a complicated question – there are no less than three-and-a-half different things going on:

  • Settlement Date
  • Compounding Convention
  • Cash Flow Amounts
  • Cash Flow Timing

People who compulsively count up items in lists will notice that four lines are required to itemize the three-and-a-half things. The discrepancy arises because “Cash Flow Timing” is a superset of “Settlement Date”. Take some meds, guys.

Settlement Date

This is a more complex question than one might think. Is it really all that great to use the settlement date for yield calculations? After all, if Joe Average is going to buy security X, he’s got to fund the purchase (either with cash or margin) on the trade date – in fact, this has to be done before the trade is executed, never mind settled.

And when valuing the security, it it really all that kosher to use settlement date yields? This will include settlement date accrued interest (where applicable), which hasn’t been earned yet; additionally, financial reporting will show only the accrued interest as of the reporting date, i.e., Trade Date.

On the other hand, market prices are always quoted assuming the normal settlement convention, so if you’re going to use TD yields, you also need to use TD-specific prices. Trading bonds for non-standard settlement is – or at least was, in the old days – an intricate process that required the salesman to get the price from his trader, and then perform a lot of calculations based on the coupon, the yield and the day-count before quoting a price. This required time and swearing, but nowadays there’s probably an app for that.

It will also be noted that the Canadian Yield Calculation Conventions specify use of settlement date.

However, I use TD calculation instead and justify my decision with the argument that your mother wears army boots.

Using TD instead of VD in the Yield Calculator results in a reduction of the calculated yield to 1.88% from 2.00%.

Compounding Convention

Fixed Income Yield Calculations use periodic return rather than Annualized Return (IRR); that is, the yield is calculated per payment period and this yield is multiplied by the number of periods per year to express it as an annual rate (annual rate = y*4), rather than compounding it (annual rate = (1+y)^4 – 1).

In the case under discussion: HIMIPref™ calculates bond-equivalent yields. To convert quarterly compounded annual rates, y, to bond-equivalent semi-annual rates, r:

r = 2 * [(1 + y/4)^2 – 1]

so if the quarterly-compounded rate is y = 2.00%, then the bond-equivalent semi-annual rate is 2 * [1.005^2 – 1] = 2.005%. It is, obviously, a very minor difference at these yields, but can become much larger at higher levels.

Cash Flow Amounts

The YTC calculator calculates (in cell S4) that the final dividend, paid on April 25, will be 0.390625 – that is to say, one quarter of the annual rate, which appears at first glance to be obvious. But is it really all that obvious?

HIMIPref™ shows the prior dividend as being paid 2013-10-31 (which is wrong – the pay date was actually October 29, but a few days difference in pay date doesn’t usually matter), and therefore assumes that the next dividend will be paid on January 31. Then, when HIMIPref calculates in one part of the programme that the issue will be called on April 25, the part of the programme that calculates expected cash flows and yields says to itself, “Aha! It’s being called before the full dividend is due! Six days early, in fact!” So it takes six days’ dividend off the final payment and evaluates the last dividend as $0.36 (rounded to two decimal places in the report I’m looking at, but internal precision is higher). So right away, there’s a few pennies difference and each penny makes a difference of about 13bp in calculated yield, according to ytc.xls.

So we might be tempted to conclude that oh, yes, just another HIMIPref™ error, so what, until we consider the data calculated by ytc.xls. It assumes full payment of the entire quarterly dividend on April 25, reasonably enough since that is essentially what we told it to do when we filled in Pay Date = 25. So that’s wrong, too. If we change Pay Date to 29, it does the same thing HIMIPref™ does and performs its calculations with a pro-rata dividend paid on the April 25 redemption date.

But that’s still wrong, probably, although we can’t say this conclusively until Scotia announces the next dividend.

Consider BNS.PR.S. It will be redeemed on January 26, but the final dividend has been announced as the full amount of $0.3906 payable January 29.

What’s more, the prospectus for BNS.PR.S states:

The holders of Preferred Shares Series 24 will be entitled to receive fixed non-cumulative preferential cash dividends, as and when declared by the board of directors of the Bank (the “Board of Directors”), for the initial period commencing on the Closing Date (as defined herein) and ending on and including January 25, 2014 (the “Initial Fixed Rate Period”), payable quarterly on the third last business day of January, April, July and October in each year (other than January 28, 2009), at a rate equal to $0.3906 per share. The initial dividend, if declared, will be payable April 28, 2009 and will be $0.5865 per share, based on the anticipated closing date of December 12, 2008 (the “Closing Date”). Reference is made to “Details of the Securities Being Distributed”.

That’s valuable information, that is, because it allows us to calculate the precise period over which that first dividend was earned. A little playing around results in the conclusion that the $0.5865 first dividend was equal to 137 days of interest at an annual rate of 6.25% (the figure to six decimal places is $0.586473).

137 days? That’s 19 (December) + 31 (January) + 28 (February) + 31 (March) + 28 (April). So the first dividend payment on April 28, 2009, included an accrual for every single day up to the payment date. Therefore, we may conclude that the final dividend of $0.3906 (equal to every other dividend other than the first) also includes accruals up to the payment date of January 29 … even though Scotia

intends to exercise its right to redeem all outstanding Non-cumulative Preferred Shares Series 24 of Scotiabank on January 26, 2014

This is complicated even more by the amusing happenstance that January 26 is a Sunday and Scotia couldn’t pay the redemption price on that day even if it wanted to. AND, that according to the prospectus:

for the initial period commencing on the Closing Date (as defined herein) and ending on and including January 25, 2014

and therefore by rights a new rate should be calculated for the period 2014-1-26 to the paydate of 2014-1-29. And what’s up with the day count? Will the shareholders be getting their capital back on Monday, January 27, but still earn dividends on that capital to the final dividend pay-date of January 29? Or will the actual payment for the redemption be made on January 29 as well?

Cash Flow Timing

The whole thing’s a minefield, and with respect to BNS.PR.X it will be noted that the redemption date is actually April 26 anyway, which is a Saturday.

Conclusion

The moral of the story is that precise calculation of yields using actual dates is a quagmire and it doesn’t usually matter, but these minor differences can add up to quite a few beeps when the remaining term is very short – as has happened in this case with BNS.PR.X. In such cases, one is better off double-checking all the dates and amounts and valuing the shares as packages of money market instruments with yields calculated according to money market conventions, which is a another kettle of fish.

December 30, 2013

Monday, December 30th, 2013

It seems I have another competitor, of whom I was not previously aware: NexGen Canadian Preferred Share Tax Managed Fund, managed by Jeff Herold of JZechner Associates Inc.. He had a piece in the Globe today titled Preferred shares offer lush yields for those who do their homework.

They’ve accumulated over $37-million in assets! Sure is nice to have good distribution channels…

Boyd Erman of the Globe writes a polemic titled Hyperinflation thesis has been discredited, yet it still ticks:

Looking back over 2013, it’s hard to imagine a more off-base call than the hyperinflation thesis. In fact, the whole idea that “money printing” would cause prices to skyrocket, turning the world into one big Zimbabwe, has been wrong for a number of years since it cropped up as a result of central banks’ response to the 2008 crisis.

As that realization finally set in this year, most commodity prices fell. Worse for many Canadian investors, gold went off a cliff, falling from nearly $1,700 (U.S.) an ounce to about $1,200. Without the notion of the metal as an inflation hedge, any “need” for gold vanished, aside from bling.

Wrong-headed forecasts about inflation are hammering lots of small investors who were sucked into the hysteria. They, of course, are not alone. John Paulson, please stand up, along with gold miners who invested in big projects at the peak.

The Canadian preferred share market was on wheels today, with PerpetualDiscounts winning 68bp, FixedResets gaining 3bp and DeemedRetractibles up 24bp. Not surprisingly, the Performance Highlights table was dominated by winning PerpetualDiscounts and DeemedRetractibles. Volume, such as it was, which wasn’t much, was also notable for its high proportion of Straights.

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 -0.2087 % 2,495.9
FixedFloater 4.60 % 3.90 % 38,445 17.55 1 -1.1021 % 3,646.8
Floater 2.99 % 2.99 % 61,928 19.73 3 -0.2087 % 2,694.9
OpRet 4.64 % 2.14 % 83,438 0.41 3 0.1032 % 2,660.5
SplitShare 4.86 % 4.62 % 72,956 4.46 5 0.1769 % 3,018.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1032 % 2,432.8
Perpetual-Premium 5.64 % 5.44 % 131,957 4.34 13 0.1582 % 2,310.2
Perpetual-Discount 5.69 % 5.69 % 181,976 14.39 25 0.6770 % 2,327.4
FixedReset 5.00 % 3.54 % 231,153 3.45 84 0.0320 % 2,466.9
Deemed-Retractible 5.15 % 4.39 % 191,586 2.61 42 0.2430 % 2,391.7
FloatingReset 2.62 % 2.36 % 264,328 4.36 5 0.1267 % 2,467.5
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 4.28 %
BAM.PR.G FixedFloater -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 21.44
Evaluated at bid price : 20.64
Bid-YTW : 3.90 %
CU.PR.C FixedReset -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.62 %
GWO.PR.P Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.99
Bid-YTW : 5.94 %
TRP.PR.A FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 23.08
Evaluated at bid price : 23.64
Bid-YTW : 4.11 %
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 : 20.92
Bid-YTW : 6.64 %
CU.PR.G Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.42 %
IGM.PR.B Perpetual-Premium 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 5.49 %
ELF.PR.G Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.80 %
GWO.PR.L Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.71 %
CU.PR.E Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 22.43
Evaluated at bid price : 22.79
Bid-YTW : 5.42 %
ELF.PR.F Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 22.08
Evaluated at bid price : 22.36
Bid-YTW : 5.93 %
SLF.PR.D Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.68
Bid-YTW : 6.72 %
SLF.PR.C Deemed-Retractible 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.74 %
CU.PR.D Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 22.61
Evaluated at bid price : 23.00
Bid-YTW : 5.37 %
IAG.PR.A Deemed-Retractible 2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 6.41 %
BAM.PR.M Perpetual-Discount 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 6.32 %
BAM.PR.N Perpetual-Discount 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.F Deemed-Retractible 78,609 TD bought 14,500 from Scotia at 25.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-29
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 2.30 %
BAM.PR.N Perpetual-Discount 38,483 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.30 %
BNS.PR.X FixedReset 26,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 1.44 %
POW.PR.G Perpetual-Premium 23,630 Nesbitt crossed 20,000 at 24.95.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 24.46
Evaluated at bid price : 24.88
Bid-YTW : 5.63 %
BNS.PR.M Deemed-Retractible 23,140 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-07-27
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 4.31 %
NA.PR.L Deemed-Retractible 20,000 TD crossed 15,000 at 25.09.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.91 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.J FixedReset Quote: 24.99 – 25.49
Spot Rate : 0.5000
Average : 0.2708

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 5.06 %

BAM.PR.R FixedReset Quote: 25.27 – 25.77
Spot Rate : 0.5000
Average : 0.3219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-30
Maturity Price : 23.56
Evaluated at bid price : 25.27
Bid-YTW : 4.26 %

IAG.PR.C FixedReset Quote: 24.99 – 25.29
Spot Rate : 0.3000
Average : 0.1664

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 5.37 %

MFC.PR.F FixedReset Quote: 21.75 – 22.09
Spot Rate : 0.3400
Average : 0.2079

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.17 %

GWO.PR.N FixedReset Quote: 21.10 – 21.47
Spot Rate : 0.3700
Average : 0.2427

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 5.22 %

CU.PR.C FixedReset Quote: 25.40 – 25.70
Spot Rate : 0.3000
Average : 0.1748

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.62 %

December 27, 2013

Friday, December 27th, 2013

There are some interesting battles surrounding solar energy in the States:

A system of generous net metering rules may have made sense at the outset of the solar revolution to get the party started. Now, however, it’s clear that it will have enormous disruptive impacts on APS and other utilities that bear the burden of keeping the grid operating.

“Somebody has to pay for maintenance and upkeep,” Guldner said, and solar users in the current rate structure aren’t doing so.

Republican and libertarian support for solar is informed by a “don’t tread on me” response to the utility monopoly system, making foes of those that might have been friends. It’s a wing of the pro-solar coalition that no one — and certainly not the anti-solar crowd — anticipated.

Inside, it was clear that APS and its supporters were out of luck. The idea for the $4.90 [grid maintenance] fee [for household solar users] came from the solar side — and very likely swung the vote.

The charge won’t be enough to cover the utility’s grid costs until their next rate case in 2015, APS’s Guldner said, and will probably require the company to ask for much bigger fees down the road.

“In 2016, that rate increase could be a big one” and the utility will probably win the argument, Guldner said.

My guess? The grid will be ignored until the next disaster.

It was a mostly negative day for the Canadian preferred share market, with PerpetualDiscounts down 14bp, FixedResets flat and DeemedRetractibles off 9bp. Volatility was muted. Volume was extremely low.

PerpetualDiscounts now yield 5.69%, equivalent to 7.40% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.8%, so the pre-tax interest-equivalent spread is now about 260bp, a slight (and perhaps spurious) narrowing from the 265bp reported December 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 -0.5473 % 2,501.2
FixedFloater 4.55 % 3.85 % 38,372 17.65 1 2.9093 % 3,687.4
Floater 2.99 % 2.98 % 62,250 19.75 3 -0.5473 % 2,700.6
OpRet 4.65 % 2.69 % 86,771 0.42 3 -0.0129 % 2,657.8
SplitShare 4.87 % 4.77 % 75,820 4.47 5 -0.0160 % 3,013.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0129 % 2,430.3
Perpetual-Premium 5.65 % 5.45 % 133,260 4.34 13 -0.0521 % 2,306.5
Perpetual-Discount 5.71 % 5.69 % 183,576 14.37 25 -0.1441 % 2,311.7
FixedReset 5.00 % 3.55 % 232,947 3.59 84 0.0002 % 2,466.1
Deemed-Retractible 5.17 % 4.35 % 192,684 2.04 42 -0.0885 % 2,385.9
FloatingReset 2.61 % 2.38 % 275,150 4.37 5 0.0728 % 2,464.4
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-27
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.48 %
FTS.PR.F Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-27
Maturity Price : 22.10
Evaluated at bid price : 22.10
Bid-YTW : 5.61 %
W.PR.H Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-27
Maturity Price : 24.21
Evaluated at bid price : 24.47
Bid-YTW : 5.63 %
W.PR.J Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-27
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 5.75 %
BAM.PR.G FixedFloater 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-27
Maturity Price : 21.56
Evaluated at bid price : 20.87
Bid-YTW : 3.85 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.L FixedReset 54,100 Not called for redemption. TD bought 15,500 from Desjardins at 25.31.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 0.55 %
TRP.PR.B FixedReset 25,600 Desjardins crossed 20,000 at 20.30.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-27
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 3.95 %
BNS.PR.X FixedReset 25,300 TD crossed 25,000 at 25.57.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.38 %
GWO.PR.Q Deemed-Retractible 20,295 Desjardins bought 17,400 from RBC at 22.85.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.84
Bid-YTW : 6.28 %
ENB.PR.J FixedReset 18,550 CIBC sold 11,800 to anonymous at 25.15.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-27
Maturity Price : 23.19
Evaluated at bid price : 25.12
Bid-YTW : 4.31 %
RY.PR.C Deemed-Retractible 15,991 RBC crossed 10,600 at 25.33.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.02 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Quote: 21.90 – 22.30
Spot Rate : 0.4000
Average : 0.2612

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 4.91 %

CIU.PR.A Perpetual-Discount Quote: 21.10 – 21.53
Spot Rate : 0.4300
Average : 0.3033

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-27
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.52 %

TD.PR.G FixedReset Quote: 25.50 – 25.87
Spot Rate : 0.3700
Average : 0.2452

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.13 %

IGM.PR.B Perpetual-Premium Quote: 25.05 – 25.37
Spot Rate : 0.3200
Average : 0.2019

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 5.77 %

FTS.PR.H FixedReset Quote: 21.05 – 21.42
Spot Rate : 0.3700
Average : 0.2619

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-27
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.05 %

TRP.PR.A FixedReset Quote: 23.40 – 23.73
Spot Rate : 0.3300
Average : 0.2219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-27
Maturity Price : 22.85
Evaluated at bid price : 23.40
Bid-YTW : 4.06 %

December 24, 2013

Tuesday, December 24th, 2013

TD.PR.A and TD.PR.C were called for redemption yesterday, filling in a blank in the schedule of upcoming Exchange Dates. Of the thirteen Exchange Dates between now and February 24, ten will be resolved by redemption. Next up is BMO.PR.N, (Exchange Date 2014-2-25) but with an Issue Reset Spread of +383bp, there’s not much suspense surrounding the eventual announcement. In fact, the seven following Exchange Dates (going out to June 1) are all for issues with spreads in excess of 400bp, so there’s not a lot of scope for entertaining speculation.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 14bp, FixedResets down 3bp and DeemedRetractibles off 2bp. The Performance Highlights table is surprisingly lengthy. Volume was very low, as might be expected on a half day.

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 0.1891 % 2,514.9
FixedFloater 4.68 % 3.98 % 38,363 17.43 1 -1.1214 % 3,583.2
Floater 2.97 % 2.97 % 60,596 19.81 3 0.1891 % 2,715.4
OpRet 4.65 % 2.56 % 87,938 0.43 3 -0.0774 % 2,658.1
SplitShare 4.86 % 4.73 % 76,857 4.48 5 0.2736 % 3,013.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0774 % 2,430.6
Perpetual-Premium 5.63 % 5.42 % 133,184 4.17 13 0.0138 % 2,307.8
Perpetual-Discount 5.70 % 5.70 % 185,555 14.36 25 0.1413 % 2,315.1
FixedReset 5.00 % 3.55 % 237,249 3.59 84 -0.0300 % 2,466.1
Deemed-Retractible 5.16 % 4.31 % 199,125 1.36 42 -0.0157 % 2,388.0
FloatingReset 2.61 % 2.33 % 279,022 4.38 5 0.0079 % 2,462.6
Performance Highlights
Issue Index Change Notes
BAM.PR.G FixedFloater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 21.24
Evaluated at bid price : 20.28
Bid-YTW : 3.98 %
FTS.PR.G FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 22.69
Evaluated at bid price : 23.76
Bid-YTW : 4.13 %
GWO.PR.G Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.94
Bid-YTW : 6.27 %
FTS.PR.F Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 22.07
Evaluated at bid price : 22.35
Bid-YTW : 5.53 %
CU.PR.G Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 5.41 %
CGI.PR.D SplitShare 1.38 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.78 %
CU.PR.F Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.C FixedReset 126,309 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 2.01 %
BAM.PF.C Perpetual-Discount 24,819 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.36 %
BAM.PF.D Perpetual-Discount 23,394 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 6.36 %
TRP.PR.C FixedReset 17,620 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.14 %
ENB.PR.Y FixedReset 16,337 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 22.14
Evaluated at bid price : 22.82
Bid-YTW : 4.56 %
ENB.PR.F FixedReset 15,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 22.61
Evaluated at bid price : 23.55
Bid-YTW : 4.53 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.B Deemed-Retractible Quote: 20.64 – 21.07
Spot Rate : 0.4300
Average : 0.2843

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.64
Bid-YTW : 6.98 %

BAM.PR.G FixedFloater Quote: 20.28 – 20.83
Spot Rate : 0.5500
Average : 0.4240

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 21.24
Evaluated at bid price : 20.28
Bid-YTW : 3.98 %

BAM.PR.C Floater Quote: 17.60 – 18.00
Spot Rate : 0.4000
Average : 0.3040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 2.98 %

PWF.PR.M FixedReset Quote: 25.14 – 25.35
Spot Rate : 0.2100
Average : 0.1240

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 24.26
Evaluated at bid price : 25.14
Bid-YTW : 5.06 %

CIU.PR.A Perpetual-Discount Quote: 21.11 – 21.34
Spot Rate : 0.2300
Average : 0.1644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.51 %

PWF.PR.L Perpetual-Discount Quote: 23.06 – 23.39
Spot Rate : 0.3300
Average : 0.2657

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-24
Maturity Price : 22.78
Evaluated at bid price : 23.06
Bid-YTW : 5.61 %

TD.PR.A & TD.PR.C To Be Redeemed

Tuesday, December 24th, 2013

The Toronto-Dominion Bank has announced:

that it will exercise its right to redeem all of its 10 million outstanding Non-cumulative 5-Year Rate Reset Preferred Shares, Series AA (the “Series AA Shares”) on January 31, 2014 at the price per share of $25.00, for an aggregate total of approximately $250 million.

TD also announced it will exercise its right to redeem all of its 8.8 million outstanding Non-cumulative 5-Year Rate Reset Preferred Shares, Series AC (the “Series AC Shares”) on January 31, 2014 at the price per share of $25.00, for an aggregate total of approximately $220 million.

On December 5, 2013, the Board of Directors of TD declared quarterly dividends of $0.3125 per Series AA Share and $0.35 per Series AC Share. These will be the final dividends on the Series AA Shares and Series AC Shares, respectively, and will be paid in the usual manner on January 31, 2014 to shareholders of record on January 8, 2014, as previously announced. After January 31, 2014, the Series AA Shares and Series AC Shares will cease to be entitled to dividends and the holders of such shares will not be entitled to exercise any right in respect thereof except that of receiving the redemption amount.

Instructions with respect to receipt of the redemption amount will be set out in the Letter of Transmittal to be mailed to registered holders of the Series AA Shares and Series AC Shares shortly. Inquiries should be directed to our Registrar and Transfer Agent, CST Trust Company, at 1-800-387-0825 (or in Toronto 416-682-3860). Beneficial holders who are not directly the registered holder of these shares should contact the financial institution, broker or other intermediary through which they hold these shares to confirm how they will receive their redemption proceeds. Further details and instructions will be posted shortly to our website, http://www.td.com/investor-relations/ir-homepage/share-information/preferred-shares/preferred.jsp.

TD.PR.A is a FixedReset, 5.00%+196bp, announced 2008-9-2 and closing 2008-9-12 … on the Friday before the before the Lehman Bankruptcy Weekend.

TD.PR.C is a FixedReset, 5.60%+274, announced 2008-10-27 and settling 2008-11-5 … slap in the middle of the biggest preferred share rout in memory.

It’s somewhat surprising that TD.PR.A was called – 196bp is a fairly modest Issue Reset Spread.

December 23, 2013

Monday, December 23rd, 2013

Bloomberg has an article detailing the importance of going to the right school.

The Globe & Mail today features some of the more unusual investment advice I’ve seen recently:

While the couple pay a low-cost annual fee for management of their investments, [Raymond James advisor] Ms. [Patti] Dolan says they are not reaping any benefit from this arrangement. “From my review of the statements it appears the accounts are being charged a 1-per-cent management fee – for what?” she asks. “The concept of paying a percentage of assets is to lower commission costs.” Their account shows little activity in recent months, and it’s clear that most of the past activity has only served to hurt their financial position. “If you are paying a fee, no matter if you are making or losing money, there should be activity in the account to justify the money the adviser is receiving.”

Um … no. You pay asset-based fees in order to disengage trading activity from portfolio management. Sometimes the smartest thing to do is nothing. Secondarily, in a AUM-based fee situation, the advisor’s financial interest is somewhat better aligned with that of the client’s.

Utility Split Trust, proud issuer of UST.PR.B, was confirmed at Pfd-2(low) by DBRS.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 4bp, FixedResets up 11bp and DeemedRetractibles off 1bp. The Performance Highlights table was lengthier than might be expected, but with no clear pattern. Volume was above 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 0.2274 % 2,510.2
FixedFloater 4.63 % 3.93 % 38,337 17.52 1 -1.2042 % 3,623.8
Floater 2.98 % 2.97 % 59,412 19.79 3 0.2274 % 2,710.3
OpRet 4.64 % 2.06 % 88,225 0.43 3 -0.0387 % 2,660.2
SplitShare 4.87 % 4.71 % 79,080 4.48 5 0.2501 % 3,005.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0387 % 2,432.4
Perpetual-Premium 5.63 % 5.43 % 138,412 4.28 13 0.0984 % 2,307.4
Perpetual-Discount 5.71 % 5.70 % 188,618 14.37 25 0.0435 % 2,311.8
FixedReset 5.00 % 3.53 % 239,102 3.47 84 0.1108 % 2,466.8
Deemed-Retractible 5.16 % 4.26 % 206,700 1.36 42 -0.0108 % 2,388.4
FloatingReset 2.61 % 2.38 % 289,274 4.38 5 -0.1028 % 2,462.4
Performance Highlights
Issue Index Change Notes
POW.PR.D Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 21.86
Evaluated at bid price : 22.17
Bid-YTW : 5.64 %
BAM.PR.G FixedFloater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 21.37
Evaluated at bid price : 20.51
Bid-YTW : 3.93 %
BAM.PR.M Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 6.44 %
TRP.PR.C FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 4.18 %
GWO.PR.H Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 6.55 %
CM.PR.E Perpetual-Premium 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-22
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : -11.80 %
W.PR.H Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 5.70 %
TRP.PR.A FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 22.95
Evaluated at bid price : 23.50
Bid-YTW : 4.04 %
BAM.PF.D Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.34 %
MFC.PR.K FixedReset 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.74
Bid-YTW : 4.07 %
BNS.PR.Y FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 3.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.D Perpetual-Discount 59,670 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.34 %
TRP.PR.B FixedReset 59,371 Nesbitt crossed 25,000 at 20.30.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 3.96 %
BAM.PF.C Perpetual-Discount 53,295 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 6.38 %
TD.PR.T FloatingReset 44,069 Nesbitt crossed 35,000 at 25.17.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 2.38 %
PWF.PR.S Perpetual-Discount 42,496 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 5.63 %
BAM.PR.N Perpetual-Discount 38,455 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 6.44 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Quote: 21.29 – 21.82
Spot Rate : 0.5300
Average : 0.3734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 4.18 %

ENB.PR.T FixedReset Quote: 23.33 – 23.57
Spot Rate : 0.2400
Average : 0.1516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 22.43
Evaluated at bid price : 23.33
Bid-YTW : 4.54 %

GCS.PR.A SplitShare Quote: 25.02 – 25.28
Spot Rate : 0.2600
Average : 0.1765

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.16 %

PWF.PR.P FixedReset Quote: 22.75 – 23.09
Spot Rate : 0.3400
Average : 0.2612

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 22.45
Evaluated at bid price : 22.75
Bid-YTW : 3.94 %

FTS.PR.F Perpetual-Discount Quote: 22.10 – 22.50
Spot Rate : 0.4000
Average : 0.3239

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 22.10
Evaluated at bid price : 22.10
Bid-YTW : 5.61 %

BAM.PR.G FixedFloater Quote: 20.51 – 20.87
Spot Rate : 0.3600
Average : 0.2859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-23
Maturity Price : 21.37
Evaluated at bid price : 20.51
Bid-YTW : 3.93 %

LCS.PR.A Upgraded to Pfd-4(high) by DBRS

Monday, December 23rd, 2013

DBRS has announced that it:

has today upgraded the rating of the Preferred Shares issued by Brompton Lifeco Split Corp. (the Company) to Pfd-4 (high) from Pfd-5 (high). In April 2007 the Company issued 3.1 million Preferred Shares (at $10.00 each), along with an equal number of Class A Shares (at $15.00 each). The termination date for both classes of shares issued is April 30, 2014, but a term extension has been proposed by the Company.

The Company holds a portfolio consisting primarily of common shares of the four largest publicly traded Canadian life insurance companies (the Portfolio). As of September 30, 2013, the Portfolio’s composition was: Industrial Alliance Insurance and Financial Services Inc. (26.0%), Sun Life Financial Inc. (24.9%), Manulife Financial Corporation (24.4%) and Great-West Lifeco Inc. (24.0%). The Portfolio was initially equally weighted and is subject to annual rebalancing.

The Preferred Shares pay a fixed cumulative quarterly distribution of $0.13125 per Preferred Share, yielding 5.25% annually on their issue price of $10.00 per share. Holders of the Class A Shares are expected to receive regular monthly targeted cash distributions of $0.075 per share, yielding 6% annually on their issue price of $15.00 per share. Class A Share distributions were suspended in March 2011, due to the net asset value of the Company falling below $15.00 per unit (i.e., 33% downside protection), but were reinstated in July 2013.

On June 10, 2013, DBRS confirmed the ratings of the Preferred Shares at Pfd-5 (high). Since then, the performance of the Company has been positive, with downside protection climbing to its highest levels in over two years (39.5% as of December 12, 2013). In addition, the short-term outlook for the Canadian life insurance industry has improved. As a result, the rating of the Preferred Shares has been upgraded to Pfd-4 (high).

DBRS will continue to closely monitor changes in the credit quality of the Preferred Shares and provide rating updates as required.

The issue’s downgrade to Pfd-5(high) was reported on PrefBlog. LCS.PR.A is not tracked by HIMIPref™ as it is a very small issue – less than 1.7-million units are outstanding.

December 20, 2013

Friday, December 20th, 2013

Nothing happened today.

It was a fine day for the Canadian preferred share market, with PerpetualDiscounts winning 37bp, FixedResets gaining 21bp and DeemedRetractibles up 22bp. Volatility was average. Volume was very 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 0.1899 % 2,504.5
FixedFloater 4.58 % 3.87 % 37,780 17.62 1 -1.1429 % 3,668.0
Floater 2.98 % 2.98 % 60,310 19.78 3 0.1899 % 2,704.2
OpRet 4.64 % 1.78 % 87,570 0.44 3 0.0000 % 2,661.2
SplitShare 4.88 % 4.79 % 79,415 4.49 5 -0.0161 % 2,998.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,433.4
Perpetual-Premium 5.62 % 5.45 % 141,972 4.18 13 0.2041 % 2,305.2
Perpetual-Discount 5.71 % 5.68 % 189,918 14.40 25 0.3699 % 2,310.8
FixedReset 5.00 % 3.52 % 241,470 3.47 84 0.2117 % 2,464.1
Deemed-Retractible 5.16 % 4.37 % 209,440 1.53 42 0.2187 % 2,388.6
FloatingReset 2.63 % 2.35 % 292,045 4.39 5 0.0237 % 2,464.9
Performance Highlights
Issue Index Change Notes
BAM.PR.G FixedFloater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 21.50
Evaluated at bid price : 20.76
Bid-YTW : 3.87 %
PWF.PR.L Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 22.73
Evaluated at bid price : 23.01
Bid-YTW : 5.62 %
PWF.PR.K Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 22.08
Evaluated at bid price : 22.41
Bid-YTW : 5.59 %
BAM.PR.M Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.36 %
SLF.PR.G FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 4.80 %
MFC.PR.F FixedReset 1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 4.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.G Deemed-Retractible 78,255 RBC crossed 65,400 at 22.75.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.34 %
GWO.PR.M Deemed-Retractible 53,790 TD crossed 50,000 at 25.30.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 5.71 %
GWO.PR.J FixedReset 52,795 TD crossed 50,000 at 24.99.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.79 %
ENB.PR.F FixedReset 50,576 Scotia crossed 17,200 at 23.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 22.55
Evaluated at bid price : 23.44
Bid-YTW : 4.52 %
BAM.PF.C Perpetual-Discount 47,478 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 6.34 %
BAM.PR.X FixedReset 46,370 Desjardins crossed 10,000 at 20.81.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.66 %
There were 67 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Quote: 21.51 – 21.84
Spot Rate : 0.3300
Average : 0.2016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.09 %

SLF.PR.G FixedReset Quote: 22.01 – 22.28
Spot Rate : 0.2700
Average : 0.1733

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 4.80 %

TCA.PR.Y Perpetual-Premium Quote: 50.43 – 50.75
Spot Rate : 0.3200
Average : 0.2276

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-05
Maturity Price : 50.00
Evaluated at bid price : 50.43
Bid-YTW : 5.04 %

CU.PR.G Perpetual-Discount Quote: 20.60 – 20.94
Spot Rate : 0.3400
Average : 0.2493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.52 %

TD.PR.S FixedReset Quote: 24.91 – 25.23
Spot Rate : 0.3200
Average : 0.2319

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 3.52 %

FTS.PR.E OpRet Quote: 25.80 – 26.08
Spot Rate : 0.2800
Average : 0.1939

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-01
Maturity Price : 25.50
Evaluated at bid price : 25.80
Bid-YTW : 2.76 %