Archive for December, 2013

December 19, 2013

Friday, December 20th, 2013

Nothing happened today.

The Canadian preferred share market bounced back a little today, with PerpetualDiscounts winning 26bp, FixedResets gaining 1bp and DeemedRetractibles up 5bp. PerpetualDiscounts dominated the winning side of the Performance Highlights table. Volume was extremely 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 -0.5100 % 2,499.7
FixedFloater 4.52 % 3.81 % 38,080 17.72 1 -0.7092 % 3,710.4
Floater 2.99 % 2.99 % 61,157 19.75 3 -0.5100 % 2,699.0
OpRet 4.64 % 1.63 % 86,919 0.28 3 0.0774 % 2,661.2
SplitShare 4.88 % 4.62 % 78,478 4.49 5 0.2426 % 2,998.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0774 % 2,433.4
Perpetual-Premium 5.62 % 5.57 % 143,001 13.91 13 0.0061 % 2,300.5
Perpetual-Discount 5.72 % 5.71 % 191,619 14.23 25 0.2622 % 2,302.3
FixedReset 5.02 % 3.56 % 241,351 3.48 84 0.0092 % 2,458.9
Deemed-Retractible 5.17 % 4.41 % 210,510 6.65 42 0.0503 % 2,383.4
FloatingReset 2.63 % 2.34 % 296,466 4.39 5 0.1346 % 2,464.4
Performance Highlights
Issue Index Change Notes
CIU.PR.C FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.14 %
BAM.PR.K Floater -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 2.99 %
TRP.PR.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 22.72
Evaluated at bid price : 23.25
Bid-YTW : 4.04 %
PWF.PR.L Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 22.48
Evaluated at bid price : 22.76
Bid-YTW : 5.68 %
PWF.PR.S Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 21.47
Evaluated at bid price : 21.75
Bid-YTW : 5.59 %
CU.PR.E Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 22.32
Evaluated at bid price : 22.65
Bid-YTW : 5.44 %
ELF.PR.F Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 22.16
Evaluated at bid price : 22.44
Bid-YTW : 6.01 %
PWF.PR.K Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 5.66 %
BAM.PF.A FixedReset 1.99 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.D Perpetual-Discount 345,989 RBC crossed 291,900 at 18.85.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.40 %
TD.PR.R Deemed-Retractible 120,988 RBC crossed 116,300 at 26.29.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-18
Maturity Price : 26.00
Evaluated at bid price : 26.32
Bid-YTW : -0.80 %
ENB.PR.Y FixedReset 78,256 RBC crossed 12,700 at 23.15.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 4.49 %
PWF.PR.S Perpetual-Discount 75,875 TD crossed 15,900 at 21.75; RBC sold 10,000 to anonymous at 21.66.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 21.47
Evaluated at bid price : 21.75
Bid-YTW : 5.59 %
POW.PR.D Perpetual-Discount 55,513 TD crossed 50,000 at 22.65.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.62 %
TRP.PR.B FixedReset 50,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 3.90 %
There were 64 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 22.43 – 22.83
Spot Rate : 0.4000
Average : 0.2402

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 22.14
Evaluated at bid price : 22.43
Bid-YTW : 4.06 %

ENB.PR.H FixedReset Quote: 22.48 – 22.94
Spot Rate : 0.4600
Average : 0.3089

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-19
Maturity Price : 21.98
Evaluated at bid price : 22.48
Bid-YTW : 4.40 %

TD.PR.O Deemed-Retractible Quote: 25.30 – 25.60
Spot Rate : 0.3000
Average : 0.1859

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.22 %

IAG.PR.F Deemed-Retractible Quote: 25.21 – 25.58
Spot Rate : 0.3700
Average : 0.2828

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 5.82 %

TD.PR.G FixedReset Quote: 25.51 – 25.78
Spot Rate : 0.2700
Average : 0.1850

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.82 %

GWO.PR.G Deemed-Retractible Quote: 22.81 – 23.09
Spot Rate : 0.2800
Average : 0.1954

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 6.33 %

December 18, 2013

Wednesday, December 18th, 2013

Today’s big news is … tapering:

Taking into account the extent of federal fiscal retrenchment since the inception of its current asset purchase program, the Committee sees the improvement in economic activity and labor market conditions over that period as consistent with growing underlying strength in the broader economy. In light of the cumulative progress toward maximum employment and the improvement in the outlook for labor market conditions, the Committee decided to modestly reduce the pace of its asset purchases. Beginning in January, the Committee will add to its holdings of agency mortgage-backed securities at a pace of $35 billion per month rather than $40 billion per month, and will add to its holdings of longer-term Treasury securities at a pace of $40 billion per month rather than $45 billion per month. The Committee is maintaining its existing policy of reinvesting principal payments from its holdings of agency debt and agency mortgage-backed securities in agency mortgage-backed securities and of rolling over maturing Treasury securities at auction. The Committee’s sizable and still-increasing holdings of longer-term securities should maintain downward pressure on longer-term interest rates, support mortgage markets, and help to make broader financial conditions more accommodative, which in turn should promote a stronger economic recovery and help to ensure that inflation, over time, is at the rate most consistent with the Committee’s dual mandate.

The Committee also reaffirmed its expectation that the current exceptionally low target range for the federal funds rate of 0 to 1/4 percent will be appropriate at least as long as the unemployment rate remains above 6-1/2 percent, inflation between one and two years ahead is projected to be no more than a half percentage point above the Committee’s 2 percent longer-run goal, and longer-term inflation expectations continue to be well anchored. In determining how long to maintain a highly accommodative stance of monetary policy, the Committee will also consider other information, including additional measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial developments. The Committee now anticipates, based on its assessment of these factors, that it likely will be appropriate to maintain the current target range for the federal funds rate well past the time that the unemployment rate declines below 6-1/2 percent, especially if projected inflation continues to run below the Committee’s 2 percent longer-run goal. When the Committee decides to begin to remove policy accommodation, it will take a balanced approach consistent with its longer-run goals of maximum employment and inflation of 2 percent.

Voting against the action was Eric S. Rosengren, who believes that, with the unemployment rate still elevated and the inflation rate well below the target, changes in the purchase program are premature until incoming data more clearly indicate that economic growth is likely to be sustained above its potential rate.

In other words, the economy is still in the garbage but some of the maggots have died. Some were astonished:

U.S. stocks rose, sending benchmark indexes to all-time highs, after the Federal Reserve said it will reduce the pace of its monthly bond purchases and expressed confidence in the labor market recovery.

Homebuilders rallied after the Fed said it may hold interest rates near zero even if unemployment falls below the 6.5 percent rate the central bank previously cited as a likely catalyst for an increase. CVS Caremark Corp. jumped 4.3 percent after boosting its dividend. Jabil Circuit Inc. slumped 21 percent as earnings missed analysts’ estimates.

The Standard & Poor’s 500 Index (SPX) advanced 1.7 percent to 1,810.65 at 4 p.m. in New York, surpassing its previous record close reached on Dec. 9. The Dow Jones Industrial Average surged 292.71 points, or 1.8 percent, to an all-time high of 16,167.97. Both gauges posted their biggest gains in two months. About 8.1 billion shares changed hands on U.S. exchanges, the busiest trading since September.

Here in Canada, we continue to be enthralled by idiotic civil servants:

Mr. Chopra also dismissed other possible options for fixing the post office. Three-day-a-week delivery was unacceptable to businesses, particularly smaller ones, he said.

Three days a week is unacceptable, but zero days a week is super! Next!

Many welcome the idea of walking to a centralized neighbourhood mailbox – already the reality for roughly a quarter of households – he said at an emergency session of the House of Commons transport committee Wednesday, requested by the opposition.

“The seniors are telling me, ‘I want to be healthy. I want to be active in my life,’” Mr. Chopra told MPs. “They want to be living fuller lives.”

It was another negative day for the Canadian preferred share market, with PerpetualDiscounts losing 29bp, FixedResets off 1bp and DeemedRetractibles down 11bp. PerpetualDiscounts comprise the entire bad side of the Performance Highlights table. Volume was enormous.

PerpetualDiscounts now yield 5.72%, equivalent to 7.44% 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 265bp, a slight (and perhaps spurious) widening from the 260bp reported December 11.

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 -0.5074 % 2,512.6
FixedFloater 4.49 % 3.78 % 38,356 17.77 1 -0.7508 % 3,736.9
Floater 2.98 % 2.96 % 61,821 19.83 3 -0.5074 % 2,712.9
OpRet 4.64 % 2.00 % 86,438 0.45 3 -0.0516 % 2,659.1
SplitShare 4.89 % 4.64 % 79,963 4.49 5 -0.2017 % 2,991.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0516 % 2,431.5
Perpetual-Premium 5.62 % 5.56 % 143,327 13.91 13 0.0183 % 2,300.3
Perpetual-Discount 5.74 % 5.72 % 177,561 14.22 25 -0.2941 % 2,296.2
FixedReset 5.02 % 3.62 % 242,320 3.61 84 -0.0092 % 2,458.7
Deemed-Retractible 5.17 % 4.42 % 209,328 3.58 42 -0.1112 % 2,382.2
FloatingReset 2.64 % 2.36 % 298,918 4.39 5 -0.0791 % 2,461.0
Performance Highlights
Issue Index Change Notes
ELF.PR.F Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 21.91
Evaluated at bid price : 22.15
Bid-YTW : 6.09 %
BAM.PF.C Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.41 %
BAM.PF.D Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.45 %
BAM.PR.M Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.42 %
PWF.PR.K Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 21.52
Evaluated at bid price : 21.82
Bid-YTW : 5.75 %
FTS.PR.J Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.64 %
ENB.PR.N FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 22.90
Evaluated at bid price : 24.28
Bid-YTW : 4.42 %
TRP.PR.C FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.M Deemed-Retractible 105,585 Desjardins crossed 50,000 at 25.30 and 49,500 at 25.28.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.72 %
ENB.PR.J FixedReset 104,688 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 23.15
Evaluated at bid price : 25.00
Bid-YTW : 4.30 %
FTS.PR.E OpRet 104,240 RBC crossed 102,600 at 25.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-01
Maturity Price : 25.50
Evaluated at bid price : 25.79
Bid-YTW : 2.81 %
IFC.PR.A FixedReset 68,182 TD crossed 43,100 at 24.05.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 4.28 %
CU.PR.G Perpetual-Discount 62,254 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.54 %
BAM.PF.C Perpetual-Discount 61,571 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.41 %
There were 76 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.G FixedReset Quote: 23.81 – 24.10
Spot Rate : 0.2900
Average : 0.1784

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 22.71
Evaluated at bid price : 23.81
Bid-YTW : 4.08 %

BAM.PR.C Floater Quote: 17.50 – 17.90
Spot Rate : 0.4000
Average : 0.2885

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.99 %

PWF.PR.P FixedReset Quote: 22.57 – 22.99
Spot Rate : 0.4200
Average : 0.3129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 22.26
Evaluated at bid price : 22.57
Bid-YTW : 3.93 %

BNA.PR.C SplitShare Quote: 23.91 – 24.22
Spot Rate : 0.3100
Average : 0.2044

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.41 %

FTS.PR.H FixedReset Quote: 21.04 – 21.34
Spot Rate : 0.3000
Average : 0.1973

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-18
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 4.00 %

BNA.PR.E SplitShare Quote: 25.25 – 25.75
Spot Rate : 0.5000
Average : 0.4038

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.64 %

S&P’s Watch-Negative on ALA Resolved

Wednesday, December 18th, 2013

On November 26, Standard & Poor’s announced:

that it has reviewed its ratings on the corporate industrial and utility companies that were labeled as “under criteria observation” (UCO) after the publishing of its revised Corporate criteria on Nov. 19. The ratings on seven Canadian corporate entities were placed on CreditWatch with positive implications as a result of this review, meaning that they will likely be raised. At the same time, the ratings on three Canadian corporate entities were placed on CreditWatch with negative implications, meaning that they will likely be lowered.

AltaGas Ltd., proud issuer of ALA.PR.A and ALA.PR.E was put on Watch-Negative.

S&P has now announced:

  • Standard & Poor’s published its revised corporate criteria Nov. 19, 2013
  • We are affirming our ratings, including our ‘BBB’ long-term corporate credit rating, on AltaGas Ltd.
  • We are also removing the ratings from CreditWatch, where we placed them with negative implications Nov. 26, 2013, in conjunction with our revised criteria.
  • We assess AltaGas’ business risk profile as “strong” and financial risk profile as “significant” based on the medial volatility table.
  • The stable outlook reflects our expectations of improving financial metrics in 2014 and 2015 when major capital projects enter service, and the company maintaining its mix of midstream, unregulated power and regulated utility businesses.


We believe the combination of acquisitions in 2013 and the Forrest Kerr project entering service mid-2014 will further diversify the company away from commodity-related cash flows such as fractionation margin and power sales in the Alberta market. We estimate that commodity-related cash flows will decline to less than 15% of consolidated cash flows by 2015.

The stable outlook reflects our expectations that financial metrics will improve in 2014 and 2015 as Forrest Kerr enters service, AltaGas’ business mix continues to diversify, and commodity exposure declines to less than 15% of cash flows in two years.

December 17, 2013

Wednesday, December 18th, 2013

So – are the politicians and bureaucrats fanning fear regarding financial stability so they can increase revenue?

The U.S. Securities and Exchange Commission said on Tuesday it levied a record $3.4-billion (U.S.) in sanctions in enforcement cases in the latest fiscal year, up 10 per cent from the previous year.

Fiscal 2013’s total sanctions were 22 per cent higher than those obtained in the 2011 fiscal year, the agency said.

DBRS confirmed GWO:

The Minimum Continuing Capital and Surplus Requirement ratio of the Company’s major regulated operating subsidiary, The Great-West Life Assurance Company, is strong at 221%. GWO has traditionally operated with higher financial leverage than most of its Canadian peers, a reflection of its debt-financed mergers and acquisitions activity. The debt and preferred share-to-total capital leverage ratio was 32.7% as at September 30, 2013, which is higher than its Canadian peers, and higher than the 25% level for a AA rating category. Fixed-charge coverage ratios at GWO nevertheless remain healthier, with less volatile earnings than those of its peers. DBRS considers the Company’s financial leverage and fixed-charge ratios acceptable for the current rating category with expectations of reduced leverage over time and views the Company as conservatively managed with a track record of consistent profitability.

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts losing 22bp, FixedResets off 18bp and DeemedRetractibles down 21bp. Low-spread FixedResets were again prominent on the wrong side of the Performance Highlights table. Volume was extremely heavy.

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 0.0188 % 2,525.4
FixedFloater 4.46 % 3.74 % 39,993 17.83 1 -1.1137 % 3,765.2
Floater 2.96 % 2.96 % 61,804 19.84 3 0.0188 % 2,726.7
OpRet 4.64 % 2.32 % 86,228 0.28 3 -0.0902 % 2,660.5
SplitShare 4.88 % 4.63 % 79,210 4.50 5 0.1212 % 2,997.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0902 % 2,432.8
Perpetual-Premium 5.62 % 5.45 % 143,470 4.30 13 0.1501 % 2,299.9
Perpetual-Discount 5.72 % 5.72 % 176,221 14.22 25 -0.2210 % 2,303.0
FixedReset 5.02 % 3.60 % 239,514 3.61 84 -0.1817 % 2,458.9
Deemed-Retractible 5.17 % 4.43 % 204,560 2.29 42 -0.2112 % 2,384.9
FloatingReset 2.64 % 2.34 % 301,635 4.40 5 -0.0316 % 2,463.0
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.14 %
FTS.PR.F Perpetual-Discount -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 22.15
Evaluated at bid price : 22.15
Bid-YTW : 5.59 %
HSE.PR.A FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 22.24
Evaluated at bid price : 22.56
Bid-YTW : 4.03 %
ENB.PR.D FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 22.27
Evaluated at bid price : 22.91
Bid-YTW : 4.52 %
MFC.PR.F FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 5.06 %
BAM.PR.N Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.39 %
BAM.PF.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 22.78
Evaluated at bid price : 24.05
Bid-YTW : 4.49 %
ENB.PR.H FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 22.05
Evaluated at bid price : 22.60
Bid-YTW : 4.37 %
GWO.PR.Q Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.62
Bid-YTW : 6.37 %
BAM.PR.G FixedFloater -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 21.78
Evaluated at bid price : 21.31
Bid-YTW : 3.74 %
ENB.PR.F FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 22.50
Evaluated at bid price : 23.35
Bid-YTW : 4.53 %
ENB.PR.B FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 22.80
Evaluated at bid price : 23.75
Bid-YTW : 4.37 %
ELF.PR.G Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.87 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PR.Y FixedReset 471,124 RBC crossed 430,000 at 23.15. Nice ticket!
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 4.49 %
BMO.PR.R FloatingReset 253,150 Nesbitt crossed 250,000 at 25.20. Another nice ticket!
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 2.32 %
RY.PR.P FixedReset 157,598 Called for redemption
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 1.96 %
RY.PR.N FixedReset 151,101 Called for redemption
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 1.96 %
TD.PR.T FloatingReset 126,550 Nesbitt crossed 125,000 at 25.17.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.34 %
CU.PR.G Perpetual-Discount 76,496 RBC crossed 55,000 at 20.55.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.54 %
There were 70 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNA.PR.E SplitShare Quote: 25.26 – 25.74
Spot Rate : 0.4800
Average : 0.2983

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.63 %

BAM.PR.R FixedReset Quote: 25.19 – 25.61
Spot Rate : 0.4200
Average : 0.2452

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 23.53
Evaluated at bid price : 25.19
Bid-YTW : 4.15 %

BAM.PR.P FixedReset Quote: 25.70 – 26.09
Spot Rate : 0.3900
Average : 0.2455

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.06 %

BMO.PR.J Deemed-Retractible Quote: 25.24 – 25.53
Spot Rate : 0.2900
Average : 0.1751

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.19 %

BAM.PR.N Perpetual-Discount Quote: 18.68 – 18.97
Spot Rate : 0.2900
Average : 0.1801

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-17
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.39 %

TD.PR.Q Deemed-Retractible Quote: 26.25 – 26.49
Spot Rate : 0.2400
Average : 0.1381

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-31
Maturity Price : 25.75
Evaluated at bid price : 26.25
Bid-YTW : -4.52 %

December 16, 2013

Tuesday, December 17th, 2013

No commentary today! PrefLetter has left me a hollow shell of a man.

But I will say that I’m very glad to see that the thug from Nova Scotia, Lenore Zann, appears to intend to quit Twitter. This two-bit politician got into some kind of dispute on Twitter and immediately had hysterics, calling the police, the Nova Scotia ‘CyberBullying Squad’, and her antagonist’s high-school principal (believe it or not!) in order to make the problem go away. In so doing she showed a lamentable disregard for the law and the Charter of Rights as well as simply behaving extremely poorly.

It seems there’s something of a trend for politicians and government officials to abuse the law in order to silence their critics in a relatively new form of libel chill. Many will remember similar cases such as Ontario Ombudsman Andre Marin and Toronto Police Constable Adam Josephs, aka Officer Bubbles have used legal and bureaucratic methods to silence their critics – and succeeded (at least in part), mainly because it costs too much to fight the virtually unlimited powers of the state. It’s a worry. Do we really want to be one of those countries in which not just criticizing the president, but any government functionary is a criminal offence?

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 2bp, FixedResets down 16bp and DeemedRetractibles off 8bp. Low-spread FixedResets dominated the bad side of a fairly lengthy – and overwhelmingly negative – Performance Highlights table. 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 -0.1876 % 2,524.9
FixedFloater 4.41 % 3.69 % 39,788 17.92 1 -0.0927 % 3,807.6
Floater 2.96 % 2.95 % 60,909 19.85 3 -0.1876 % 2,726.2
OpRet 4.64 % 1.10 % 85,517 0.29 3 0.2324 % 2,662.9
SplitShare 4.89 % 4.79 % 77,084 4.50 5 0.1213 % 2,993.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2324 % 2,435.0
Perpetual-Premium 5.63 % 5.55 % 135,937 4.30 13 -0.0260 % 2,296.5
Perpetual-Discount 5.71 % 5.72 % 176,168 14.23 25 0.0217 % 2,308.1
FixedReset 5.01 % 3.62 % 236,588 3.61 84 -0.1606 % 2,463.4
Deemed-Retractible 5.16 % 4.39 % 203,012 3.59 42 -0.0805 % 2,389.9
FloatingReset 2.64 % 2.33 % 300,105 4.40 5 0.0396 % 2,463.8
Performance Highlights
Issue Index Change Notes
ENB.PR.D FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 22.49
Evaluated at bid price : 23.30
Bid-YTW : 4.43 %
TRP.PR.C FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 21.43
Evaluated at bid price : 21.77
Bid-YTW : 4.01 %
ENB.PR.T FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 22.57
Evaluated at bid price : 23.61
Bid-YTW : 4.44 %
ENB.PR.P FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 22.56
Evaluated at bid price : 23.56
Bid-YTW : 4.46 %
ENB.PR.N FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 22.76
Evaluated at bid price : 23.95
Bid-YTW : 4.50 %
SLF.PR.G FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 4.84 %
BNS.PR.Y FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 4.09 %
ENB.PR.H FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 22.21
Evaluated at bid price : 22.86
Bid-YTW : 4.31 %
FTS.PR.F Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 22.33
Evaluated at bid price : 22.61
Bid-YTW : 5.45 %
BAM.PF.D Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.H FixedReset 68,088 Scotia sold 11,100 to Nesbitt at 21.10, then crossed 30,000 at 21.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.00 %
TD.PR.I FixedReset 59,626 Scotia crossed 41,100 at 25.72; TD crossed 13,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 2.93 %
RY.PR.X FixedReset 59,087 Scotia crossed 39,400 at 25.67.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.02 %
BAM.PF.D Perpetual-Discount 53,403 RBC bought 10,000 from CIBC at 19.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.38 %
BAM.PF.C Perpetual-Discount 44,942 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 6.36 %
ENB.PR.J FixedReset 44,320 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 23.15
Evaluated at bid price : 25.00
Bid-YTW : 4.30 %
There were 57 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Quote: 22.70 – 23.15
Spot Rate : 0.4500
Average : 0.3000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 22.41
Evaluated at bid price : 22.70
Bid-YTW : 3.91 %

IAG.PR.F Deemed-Retractible Quote: 25.42 – 25.82
Spot Rate : 0.4000
Average : 0.2531

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-31
Maturity Price : 25.25
Evaluated at bid price : 25.42
Bid-YTW : 5.64 %

MFC.PR.H FixedReset Quote: 25.75 – 26.10
Spot Rate : 0.3500
Average : 0.2429

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.62 %

BNS.PR.O Deemed-Retractible Quote: 26.24 – 26.57
Spot Rate : 0.3300
Average : 0.2356

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-28
Maturity Price : 25.75
Evaluated at bid price : 26.24
Bid-YTW : 2.00 %

BNS.PR.Y FixedReset Quote: 23.30 – 23.64
Spot Rate : 0.3400
Average : 0.2480

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 4.09 %

CU.PR.E Perpetual-Discount Quote: 22.50 – 23.01
Spot Rate : 0.5100
Average : 0.4213

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-16
Maturity Price : 22.19
Evaluated at bid price : 22.50
Bid-YTW : 5.48 %

December PrefLetter Released!

Monday, December 16th, 2013

The December, 2013, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

The regular appendices reporting on DeemedRetractibles and FixedResets are included.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the December, 2013, issue, while the “Next Edition” will be the January, 2014, issue, scheduled to be prepared as of the close January 10 and eMailed to subscribers prior to market-opening on January 13.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

BNA Annual Report, 2013

Sunday, December 15th, 2013

Partners Value Split Corp. has released its Annual Report to September 30, 2013.

The company commented on its change of name:

During the year, the Company changed its name from BAM Split Corp. to Partners Value Split Corp. The name change was undertaken as part of our re-branding initiative to align with the holder of the Company’s Class A Voting Shares and Capital Shares, Partners Value Fund Inc.

The company has the following issues outstanding: BNA.PR.B, BNA.PR.C, BNA.PR.D, BNA.PR.E.

Figures of interest are:

MER: I suggest it is best to include the amortization of share issue costs in MER – after all, this is a charge against the stated value of the company. Therefore, expenses were $403,000 (regular expenses) + $1,421,000 (amortization) = $1,824,000 on assets of $1.925-billion (see below) or 9bp.

Average Net Assets: We need this to calculate portfolio yield and MER. There were negligible capital transactions, so we’ll just take the average of the beginning and end of year assets (including preferred shares) so: [(1,113,857 + 688,259) + (1,359,110 + 689,627)]/2 = $1.925-billion

Underlying Portfolio Yield: Total Income of $31.2-million divided by average net assets of $1,925-million is 1.6%.

Income Coverage: Net income of $30.758-million less amortization of $1.421-million is $29.337-million to cover senior preferred dividends of $26.000-million is 113%. However, I consider it prudent to include the $10-million stated entitlement of the Junior preferreds, even though less than half of this was actually paid in 2013 because the Juniors can be retracted at any time, which could prove embarrassing in times of extreme stress. So I’d say income coverage is 81%.

Massive DBRS Stealth-Downgrade of Banks

Sunday, December 15th, 2013

While reviewing material for this month’s edition of PrefLetter, I happened to look at a DBRS issuer rating page for one of the banks and noticed …

… all the preferred shares had been downgraded, not just the CM issues previously reported (or the discontinuation of RY.PR.W, for that matter).

Bank of Montreal: downgraded to Pfd-2(high)

Bank of Nova Scotia: downgraded to Pfd-2(high)

Canadian Imperial Bank of Commerce: downgraded to Pfd-2(high)

Toronto-Dominion Bank, The: downgraded to Pfd-2(high)

Royal Bank of Canada: downgraded to Pfd-2(high)

Somewhat surprisingly, National Bank of Canada appears to have got off scot-free.

There are no press releases. All there is is a reference to a Subscribers Only report titled DBRS: Ratings Impact of Updated Criteria on Bank Preferred and Preferred Hybrids in Canada.

Affected issues are
BNS.PR.A, BNS.PR.B, BNS.PR.K, BNS.PR.L, BNS.PR.M, BNS.PR.N, BNS.PR.O, BNS.PR.P, BNS.PR.Q, BNS.PR.R, BNS.PR.T, BNS.PR.X, BNS.PR.Y, BNS.PR.Z

BMO.PR.J, BMO.PR.K, BMO.PR.L, BMO.PR.M, BMO.PR.N, BMO.PR.O, BMO.PR.P, BMO.PR.Q, BMO.PR.R

CM.PR.K, CM.PR.L, CM.PR.M

RY.PR.A, RY.PR.B, RY.PR.C, RY.PR.D, RY.PR.E, RY.PR.F, RY.PR.G, RY.PR.I, RY.PR.L, RY.PR.N, RY.PR.P, RY.PR.R, RY.PR.T, RY.PR.X, RY.PR.Y

TD.PR.A, TD.PR.C, TD.PR.E, TD.PR.G, TD.PR.I, TD.PR.K, TD.PR.O, TD.PR.P, TD.PR.Q, TD.PR.R, TD.PR.S, TD.PR.T, TD.PR.Y, TD.PR.Z

I have directed an inquiry to DBRS asking whether there will be press releases, as is the normal procedure when a rating changes.

PrefInfo, PrefBlog Attract Praise

Saturday, December 14th, 2013

Rob Carrick was kind enough to include PrefInfo.com in his article titled Bookmark this: Rob Carrick’s nine favourite investing websites:

It is staggering how complex preferred shares are. They’re full of minute details that can trip up investors who don’t have a resource like this website to help them understand the terms and condition of what’s available. The data here is provided by James Hymas, one of the country’s top preferred share experts. For commentary on preferred shares, try Mr. Hymas’s PrefBlog.

BNS.PR.S To Be Redeemed

Saturday, December 14th, 2013

The Bank of Nova Scotia has announced:

that it intends to exercise its right to redeem all outstanding Non-cumulative Preferred Shares Series 24 of Scotiabank on January 26, 2014 at a price equal to $25.00 per share, together with all declared and unpaid dividends. Formal notice will be issued to shareholders in accordance with the related share conditions.

The redemption has been approved by the Office of the Superintendent of Financial Institutions and will be financed out of the general funds of Scotiabank.

Series 24 is BNS.PR.S, a FixedReset 6.25+384, which was issued as part of the consideration for Sun Life’s interest in CI, and not very well publicized. It closed 2008-12-12 and was tracked by HIMIPref™ for a while; tracking ceased on 2009-3-13 when not a single share had traded amidst total silence from the principals. While I confess I haven’t been doing much checking since then, it looks like the situation hasn’t changed.

But now it’s being redeemed and the world can recommence spinning on its axis.