Archive for January, 2014

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New issue: RY FixedReset, 4.00%+221 – First NVCC issue

Tuesday, January 21st, 2014

The Royal Bank of Canada has announced:

an inaugural Basel III-compliant domestic public offering of $200 million of Non-Cumulative, 5-Year Rate Reset Preferred Shares Series AZ.

Royal Bank of Canada will issue 8 million Preferred Shares Series AZ priced at $25 per share and holders will be entitled to receive a non-cumulative quarterly fixed dividend for the initial period ending May 24, 2014 in the amount of $0.3123 per share, to yield 4.00 per cent annually. The bank has granted the Underwriters an option, exercisable in whole or in part, to purchase up to an additional 2 million Preferred Shares Series AZ at the same offering price.

Subject to regulatory approval, on or after May 24, 2019, the bank may redeem the Preferred Shares Series AZ in whole or in part at par. Thereafter, the dividend rate will reset every five years at a rate equal to 2.21 per cent over the 5-year Government of Canada bond yield. Holders of Preferred Shares Series AZ will, subject to certain conditions, have the right to convert all or any part of their shares to Non-Cumulative Floating Rate Preferred Shares Series BA on May 24, 2019 and on May 24 every five years thereafter.

Holders of the Preferred Shares Series BA will be entitled to receive a non-cumulative quarterly floating dividend at a rate equal to the 3-month Government of Canada Treasury Bill yield plus 2.21 per cent. Holders of Preferred Shares Series BA will, subject to certain conditions, have the right to convert all or any part of their shares to Preferred Shares Series AZ on May 24, 2024 and on May 24 every five years thereafter.

The offering will be underwritten by a syndicate led by RBC Capital Markets. The expected closing date is January 30, 2014.

We routinely undertake funding transactions to maintain strong capital ratios and a cost effective capital structure. Net proceeds from this transaction will be used for general business purposes.

Sales were good! They later announced:

that as a result of strong investor demand for its previously announced domestic public offering of Non-Cumulative, 5-Year Rate Reset Preferred Shares Series AZ, the size of the offering has been increased to 20 million shares. The gross proceeds of the offering will now be $500 million. The offering will be underwritten by a syndicate led by RBC Capital Markets. The expected closing date is January 30, 2014.

We routinely undertake funding transactions to maintain strong capital ratios and a cost effective capital structure. Net proceeds from this transaction will be used for general business purposes.

As noted, the new issue is NVCC compliant. I have a term sheet that states:

Series AZ Preferred Share will be automatically and immediately converted, on a full and permanent basis, without the consent of the holder thereof, into the number of fully-paid and freely-tradable common shares of the Bank (“Common Shares”) determined in accordance with the Contingent Conversion Formula set out below (the “Contingent Conversion”).

“Trigger Event” has the meaning set out in the Office of the Superintendent of Financial Institutions Canada (“OSFI”) Guideline for Capital Adequacy Requirements (CAR), Chapter 2 ‒ Definition of Capital, effective January 2013, as such term may be amended or superseded by OSFI from time to time, which term currently provides that each of the following constitutes a Trigger Event:

(a) the Superintendent publicly announces that the Bank has been advised, in writing, that the Superintendent is of the opinion that the Bank has ceased, or is about to cease, to be viable and that, after the conversion of the Series AZ Preferred Shares and all other contingent instruments issued by the Bank and taking into account any other factors or circumstances that are considered relevant or appropriate, it is reasonably likely that the viability of the Bank will be restored or maintained; or

(b) a federal or provincial government in Canada publicly announces that the Bank has accepted or agreed to accept a capital injection, or equivalent support, from the federal government or any provincial government or political subdivision or agent or agency thereof without which the Bank would have been determined by the Superintendent to be non-viable.

The first step is the big gulp – the Superintendent has full discretion.

The “Contingent Conversion Formula” is: (Multiplier x Share Value) ÷ Conversion Price = number of Common Shares into which each Series AZ Preferred Share shall be converted.

The “Multiplier” is 1.0.

The “Share Value” of a Series AZ Preferred Share is $25.00 plus declared and unpaid dividends on such Series AZ Preferred Share.

The “Conversion Price” of each Series AZ Preferred Share is the greater of (i) a floor price of $5.00, and (ii) the Current Market Price of the Common Shares.

“Current Market Price” of the Common Shares means the volume weighted average trading price of the Common Shares on the Toronto Stock Exchange (the “TSX”), if such shares are then listed on the TSX, for the 10 consecutive trading days ending on the trading day preceding the date of the Trigger Event. If the Common Shares are not then listed on the TSX, for the purpose of the foregoing calculation reference shall be made to the principal securities exchange or market on which the Common Shares are then listed or quoted or, if no such trading prices are available, “Current Market Price” shall be the fair value of the Common Shares as reasonably determined by the board of directors of the Bank.

They’ve thought about prohibited owners:

The terms and conditions of the Series AZ Preferred Shares will include mechanics to permit holders of such shares that are prohibited pursuant to certain restrictions set out therein or pursuant to the Bank Act (Canada) from taking delivery of Common Shares issued upon a Trigger Event and to allow the Bank to attempt to facilitate a sale of such Common Shares on behalf of such persons. The net proceeds received from the Bank from the sale of any such Common Shares will be divided among the applicable persons in proportion to the number of Common Shares that would otherwise have been delivered to them upon the Contingent Conversion after deducting the costs of sale and any applicable withholding taxes.

For the official regulations governing NVCC, see the official Capital Adequacy Requirements.

Rated Pfd-2 by DBRS (emphasis added):

DBRS has today provisionally rated Royal Bank of Canada’s (the Bank or RBC) non-cumulative five-year rate reset first preferred shares, Series AZ (NVCC preferred shares Series AZ or Series AZ) at Pfd-2 with a Stable trend.

DBRS assigned the NVCC preferred shares Series AZ a rating equal to that Bank’s intrinsic assessment less four rating notches because the Series AZ has only an Office of the Superintendent of Financial Institutions (OSFI)-compliant non-viable contingent capital (NVCC) trigger, which is consistent with the OSFI requirements for NVCC instruments, and no additional triggers.

The rating is consistent with DBRS’s criteria, titled, “DBRS Criteria: Rating Bank Capital Securities – Subordinated, Hybrid, Preferred & Contingent Capital Securities.”

For more information on DBRS’s methodologies and criteria or the banking industry, visit www.dbrs.com or contact us at info@dbrs.com.

Rated P-2(high) by S&P (emphasis added):

Standard & Poor’s Ratings Services today said it assigned its ‘BBB+’ global scale and ‘P-2(High)’ Canada scale rating to Royal Bank of Canada’s (RBC) proposed tier 1 noncumulative five-year rate reset first preferred shares series AZ.

“In accordance with our criteria for hybrid capital instruments, the ratings reflect our analysis of the proposed instrument, and our assessment of RBC’s stand-alone credit profile of ‘a+’,” said Standard & Poor’s credit analyst Lidia Parfeniuk. (For more information, see “Bank Hybrid Capital Methodology And Assumptions,” published Nov. 1, 2011, on RatingsDirect).

The ‘BBB+’ rating stands three notches below the stand-alone credit profile (SACP), incorporating:

  • •A deduction of two notches, the minimum downward notching from the SACP under our criteria for a bank hybrid capital instrument; and
  • •The deduction of an additional notch to reflect that the preferred shares feature a contingent conversion trigger provision. Should a trigger event occur (as defined by The Office of the Superintendent of Financial Institutions’ [OSFI] guideline for Capital Adequacy Requirements, Chapter 2), each preferred share outstanding will automatically and immediately be converted, without the holder’s consent, into a number of fully paid and freely tradable common shares of the bank determined in accordance with a conversion formula.

…
Because we expect this instrument’s conversion to occur at or near the point of the banks’ nonviability, we view this mechanism as a nonviability trigger.

We expect to assign “intermediate” equity content to these preferred shares, reflecting RBC’s full discretion to suspend dividends on the instrument.

The pricing seems in line with the other RY FixedResets according to Implied Volatility theory, with the caveats that:

  • The standard simplifying assumption that all options have three years until exercise date is wrong, and
  • The calculated Implied Volatility is in excess of 40%, which means that Implied Volatility theory doesn’t really work, and
  • The new issue is the only one of the set that is NVCC compliant.
ImpVol_RY_FR_140121
Click for Big

The Break-Even Rate Shock for this issue (compared with RY.PR.W, which is NVCC-eligible) is 1.35%.

Posted in New Issues | No Comments »

RY.PR.I and RY.PR.L: Extension Becomes Official

Tuesday, January 21st, 2014

In December I deduced that RY.PR.I and RY.PR.L would not be called on their Exchange Date of 2014-2-24, but warned:

Mind you, it will be noted that the presumed extension cannot yet be deemed a fact. According to the prospectus for RY.PR.I and the prospectus for RY.PR.L:

We will give notice of any redemption to registered holders not more than 60 days and not less than 30 days prior to the redemption date.

… so they’ve still got lots of time to change their minds one way or another if the market goes blahooey.

Well, there’s been a distinct lack of blahooeyness in the market over the past month, and today Royal Bank of Canada announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series AJ (the “Series AJ shares”) or Series AL (the “Series AL shares”) on February 24, 2014. There are currently 16,000,000 Series AJ shares and 12,000,000 Series AL shares outstanding.

Subject to certain conditions set out in the prospectus supplement dated September 9, 2008 relating to the issuance of the Series AJ shares, the holders of the Series AJ shares have the right to convert all or part of their Series AJ shares, on a one-for-one basis, into Non-Cumulative Floating Rate First Preferred Shares, Series AK (the “Series AK shares”) on February 24, 2014.

Subject to certain conditions set out in the prospectus supplement dated October 27, 2008 relating to the issuance of the Series AL shares, the holders of the Series AL shares have the right to convert all or part of their Series AL shares, on a one-for-one basis, into Non-Cumulative Floating Rate First Preferred Shares, Series AM (the “Series AM shares”) on February 24, 2014. On such date, holders who do not exercise their right to convert their Series AJ shares or Series AL shares into Series AK or Series AM shares, as the case may be, will continue to hold their Series AJ and Series AL shares.

The foregoing conversion rights are subject to the following:

i. if Royal Bank of Canada determines that there would be less than 1,000,000 Series AK shares or less than 1,000,000 Series AM shares outstanding after February 24, 2014, then holders of Series AJ or Series AL shares will not be entitled to convert their shares into Series AK or Series AM shares, as the case may be, and

ii. alternatively, if Royal Bank of Canada determines that there would remain outstanding less than 1,000,000 Series AJ or less than 1,000,000 Series AL shares after February 24, 2014, then all remaining Series AJ or AL shares will automatically be converted into Series AK or AM shares, as the case may be, on a one-for-one basis on February 24, 2014.

In either case, Royal Bank of Canada will give written notice to that effect to holders of Series AJ and AL shares no later than February 17, 2014.

The dividend rates applicable for the Series AJ and AL shares for the 5-year period from and including February 24, 2014 to but excluding February 24, 2019, and the dividend rates applicable to the Series AK and AM shares for the 3-month period from and including February 24, 2014 to but excluding May 24, 2014, will be determined and announced by way of a press release on January 24, 2014.

Beneficial owners of Series AJ shares and Series AL shares who wish to exercise their conversion rights, should communicate with their broker or other nominee to obtain instructions for exercising such rights during the conversion period, which runs from January 24, 2014, until 5:00 p.m. (EST) on February 10, 2014.

It is obviously too early to make a firm recommendation regarding conversion into FloatingResets since the fixed rate is not yet known, but at the moment all the FloatingReset / FixedReset pairs are trading with an entirely reasonable levels of Implied Average Three-Month Bill yield, so no convincing argument can be made either way.

Posted in Issue Comments | No Comments »

January 20, 2014

Tuesday, January 21st, 2014

Who wants to buy some European bank shares? There might be some on sale soon!

European banks have a capital shortfall of as much as 767 billion euros ($1 trillion) before the European Central Bank’s probe into the financial health of the region’s lenders, according to a study.

French banks show the biggest gap of 285 billion euros, followed by German lenders with as much as 199 billion euros, Sascha Steffen of the European School of Management and Technology in Berlin and Viral Acharya at New York University said in their study dated Jan. 15. The figures assume a benchmark capital ratio for other book measures of leverage of 7 percent, they wrote.
…
The authors see particularly high risks among German state-owned banks, or Landesbanken. “Germany has many government-owned institutions that may require capital issuances and/or bail-ins,” they wrote.

Spanish banks have a shortfall of 92 billion euros, while Italian banks lack 45 billion euros, the study showed.

Watch out for those rising interest rates:

Royal Bank of Canada, the country’s largest mortgage lender, has quietly cut some of its mortgage rates this weekend. The move appears to be part of a broader dip in rates, although economists generally still expect an increase in 2014.

Five-year fixed mortgage rates rose industry-wide for much of 2013, from their low of 2.64 per cent in April to their high of 3.39 per cent in September, according to Alyssa Richard, the chief executive officer of RateHub.ca. They edged down a bit later in the fall but had generally been steady at around 3.25 per cent since then.

RBC is now cutting its two-, three-, four– and five-year fixed mortgage rates each by 10 basis points. In an emailed statement, the bank said that some mortgage lenders have recently been pricing at lower rates, prompting it to move.

Royal Bank is often a price leader when it comes to mortgages, and other big banks frequently follow suit after it changes its prices. Its five-year fixed mortgage rate is now 3.69 per cent.

The numbers in that story don’t exactly add up all that well, and the Bank of Canada insists that a five year mortgage now runs at 5.14%. Whatever. The reason for the discrepancy, according to ratehub.ca, is:

While the Bank of Canada has the most comprehensive data set, with the high prevelance of mortgage rate discounting, it is not the most accurate. The Canadian Association of Accredited Mortgage Professionals estimates that the average discount applied to a 5 year mortgage rate in 2010 was 1.42%. To source the discounted rates, we have combined our proprietary data supplemented with discount brokerage data from 2006-2010.

They have a picture:

5YearDiscountedMortgage
Click for Big

Banks do this ridiculous posted-rate / discounted-rate thing because when you close out a mortgage early, you have to buy it back according to its posted rate, which is much more expensive than buying it back at the discounted rate. The US system, where the standard is a thirty year term with the mortgagee able to pay off at any time at par, is much better for home-owners – but of course, in the US there’s competition.

It was a mildly positive day for the Canadian preferred share market, with PerpetualDiscounts up 9bp, FixedResets winning 11bp and DeemedRetractibles gaining 6bp. Floaters fared poorly. The Performance Highlights table is notable for it’s heavy concentration of BAM issues … will you, won’t you, will you, won’t you, will you join the dance? 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 -1.2011 % 2,459.4
FixedFloater 4.45 % 3.69 % 32,782 18.04 1 -0.2801 % 3,815.7
Floater 3.04 % 3.06 % 71,848 19.58 3 -1.2011 % 2,655.5
OpRet 4.62 % 0.86 % 75,237 0.19 3 -0.0256 % 2,674.9
SplitShare 4.84 % 4.75 % 61,645 4.41 5 0.0000 % 3,028.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0256 % 2,445.9
Perpetual-Premium 5.63 % 3.93 % 124,929 0.12 13 0.1611 % 2,323.9
Perpetual-Discount 5.65 % 5.69 % 162,483 14.38 25 0.0916 % 2,349.6
FixedReset 4.93 % 3.61 % 226,299 3.96 83 0.1105 % 2,493.4
Deemed-Retractible 5.16 % 4.52 % 169,636 2.15 42 0.0600 % 2,396.4
FloatingReset 2.60 % 2.32 % 258,965 4.31 5 -0.0079 % 2,475.1
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.06 %
BAM.PR.K Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 3.07 %
BAM.PF.B FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 23.16
Evaluated at bid price : 25.03
Bid-YTW : 4.18 %
BAM.PF.C Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.12 %
BAM.PR.X FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 21.70
Evaluated at bid price : 21.97
Bid-YTW : 4.19 %
PWF.PR.P FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 22.96
Evaluated at bid price : 23.29
Bid-YTW : 3.61 %
IAG.PR.G FixedReset 1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.11 %
TRP.PR.C FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 22.08
Evaluated at bid price : 22.30
Bid-YTW : 3.72 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.E FixedReset 490,441 New issue settled today.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 23.07
Evaluated at bid price : 24.86
Bid-YTW : 4.00 %
BNS.PR.Q FixedReset 93,400 RBC crossed blocks of 25,000 and 28,000, both at 25.10. Scotia crossed 37,000 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.46 %
BNS.PR.B FloatingReset 88,299 RBC Crossed 35,100 at 25.10; TD crossed 50,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 2.38 %
TD.PR.C FixedReset 56,917 Called for redemption.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.46 %
BNS.PR.O Deemed-Retractible 52,400 RBC crossed 50,000 at 26.09.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-28
Maturity Price : 25.75
Evaluated at bid price : 26.05
Bid-YTW : 0.42 %
IGM.PR.B Perpetual-Premium 35,269 Scotia crossed 30,000 at 25.40.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 5.55 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.L Deemed-Retractible Quote: 24.94 – 25.39
Spot Rate : 0.4500
Average : 0.3090

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.76 %
BNA.PR.D SplitShare Quote: 25.36 – 25.64
Spot Rate : 0.2800
Average : 0.1753

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-07-09
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 6.08 %
CIU.PR.C FixedReset Quote: 20.87 – 21.37
Spot Rate : 0.5000
Average : 0.4088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 3.79 %
CU.PR.F Perpetual-Discount Quote: 21.27 – 21.53
Spot Rate : 0.2600
Average : 0.1793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 5.37 %
CGI.PR.D SplitShare Quote: 24.81 – 25.05
Spot Rate : 0.2400
Average : 0.1677

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 24.81
Bid-YTW : 3.91 %
TD.PR.P Deemed-Retractible Quote: 25.70 – 25.98
Spot Rate : 0.2800
Average : 0.2113

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-01
Maturity Price : 25.50
Evaluated at bid price : 25.70
Bid-YTW : 3.95 %

Posted in Market Action | 1 Comment »

TRP.PR.E Firm on Adequate Volume

Tuesday, January 21st, 2014

TransCanada Corporation has announced:

that it has completed its public offering of cumulative redeemable first preferred shares, series 9 (the “Series 9 Preferred Shares”). TransCanada issued 18 million Series 9 Preferred Shares for aggregate gross proceeds of $450 million through a syndicate of underwriters co-led by Scotiabank, BMO Capital Markets and RBC Capital Markets.

The net proceeds of the offering will be used for general corporate purposes and to reduce short term indebtedness of TransCanada and its affiliates, which short term indebtedness was used to fund TransCanada’s capital program and for general corporate purposes.

The Series 9 Preferred Shares will begin trading today on the TSX under the symbol TRP.PR.E.

TRP.PR.E is a FixedReset, 4.25%+235, announced January 13. It will be tracked by HIMIPref™ and assigned to the FixedReset subindex.

The issue traded 490,441 shares today in a range of 24.90-99 before closing at 24.86-95, 40×101. Vital statistics are:

TRP.PR.E FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-20
Maturity Price : 23.07
Evaluated at bid price : 24.86
Bid-YTW : 4.00 %

Posted in Issue Comments | No Comments »

January 17, 2014

Friday, January 17th, 2014

Nothing happened today.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 38bp, FixedResets gaining 11bp and DeemedRetractibles off 7bp. The BAM Floaters got hammered. TRP issues were prominent in the Performance Highlights table, perhaps adjusting themselves for the new issue that settles Monday. However, as the chart below shows, the four TRP issues are well-behaved in terms of Implied Volatility theory. Volume was very heavy.

ImpVol_TRP_140117
Click for Big
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 -1.8709 % 2,489.3
FixedFloater 4.44 % 3.67 % 33,154 18.07 1 -0.0933 % 3,826.4
Floater 3.00 % 3.02 % 72,871 19.69 3 -1.8709 % 2,687.8
OpRet 4.61 % 0.39 % 77,926 0.20 3 0.0128 % 2,675.6
SplitShare 4.84 % 4.69 % 62,183 4.42 5 -0.0880 % 3,028.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0128 % 2,446.6
Perpetual-Premium 5.64 % 4.32 % 126,632 0.13 13 -0.1516 % 2,320.1
Perpetual-Discount 5.66 % 5.68 % 163,801 14.38 25 -0.3847 % 2,347.4
FixedReset 4.94 % 3.53 % 222,976 3.44 82 0.1121 % 2,490.7
Deemed-Retractible 5.16 % 4.55 % 170,820 6.64 42 -0.0688 % 2,395.0
FloatingReset 2.60 % 2.30 % 239,756 4.32 5 0.2221 % 2,475.3
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.02 %
BAM.PR.C Floater -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.02 %
BAM.PR.B Floater -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.02 %
PWF.PR.S Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 5.50 %
TRP.PR.A FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 22.85
Evaluated at bid price : 23.42
Bid-YTW : 3.97 %
PWF.PR.T FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 23.26
Evaluated at bid price : 25.33
Bid-YTW : 4.00 %
BAM.PF.C Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.19 %
FTS.PR.H FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 21.53
Evaluated at bid price : 21.90
Bid-YTW : 3.77 %
GWO.PR.N FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.07
Bid-YTW : 4.59 %
TRP.PR.B FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 3.84 %
TRP.PR.C FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 21.57
Evaluated at bid price : 21.96
Bid-YTW : 3.87 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.H Deemed-Retractible 188,408 Desjardins crossed blocks of 104,300 shares, 52,200 and 14,500, all at 22.10.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 6.43 %
PWF.PR.T FixedReset 149,986 Added to TXPR and TXPL.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 23.26
Evaluated at bid price : 25.33
Bid-YTW : 4.00 %
BMO.PR.N FixedReset 128,703 Added to TXPR. With an Issue Reset Spread of 383bp, this issue is virtually certain to be redeemed.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 2.57 %
ENB.PR.T FixedReset 116,039 Added to TXPL.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 22.94
Evaluated at bid price : 24.45
Bid-YTW : 4.24 %
BAM.PF.B FixedReset 108,769 Added to TXPL.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 23.07
Evaluated at bid price : 24.76
Bid-YTW : 4.31 %
BNS.PR.Q FixedReset 86,104 Scotia crossed 36,700 at 25.15; RBC crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 3.51 %
There were 65 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GCS.PR.A SplitShare Quote: 24.92 – 25.29
Spot Rate : 0.3700
Average : 0.2460

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 4.09 %
PWF.PR.L Perpetual-Discount Quote: 22.91 – 23.34
Spot Rate : 0.4300
Average : 0.3170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 22.63
Evaluated at bid price : 22.91
Bid-YTW : 5.57 %
PWF.PR.F Perpetual-Discount Quote: 23.02 – 23.28
Spot Rate : 0.2600
Average : 0.1691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 22.73
Evaluated at bid price : 23.02
Bid-YTW : 5.71 %
BAM.PF.C Perpetual-Discount Quote: 19.80 – 20.06
Spot Rate : 0.2600
Average : 0.1704

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.19 %
CU.PR.G Perpetual-Discount Quote: 21.25 – 21.52
Spot Rate : 0.2700
Average : 0.1841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-17
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.38 %
RY.PR.F Deemed-Retractible Quote: 25.10 – 25.42
Spot Rate : 0.3200
Average : 0.2368

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.51 %

Posted in Market Action | No Comments »

January 16, 2014

Thursday, January 16th, 2014

Protecting investors is boring! It’s time for a brave new world of social engineering!

The Ontario Securities Commission has proposed a new rule that would require companies to report annually on their policies to add more women to their boards and executive ranks.

The new rules unveiled Thursday will also require companies to report on their term limits for directors, which would bring Canada in line with many other countries that have also required companies to disclose whether they have term limits for their boards. Proponents argue term limits help ensure there is more board turnover so new directors – including women – can be added to the mix.

Companies are also being asked to report on whether they have voluntarily adopted targets for women on their boards or in executive roles.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 3bp, FixedResets gaining 9bp and DeemedRetractibles down 21bp. Volatility was minimal. 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 -0.3542 % 2,536.8
FixedFloater 4.43 % 3.67 % 32,734 18.08 1 0.7046 % 3,830.0
Floater 2.95 % 2.96 % 68,981 19.83 3 -0.3542 % 2,739.0
OpRet 4.62 % 0.23 % 77,743 0.08 3 0.0256 % 2,675.3
SplitShare 4.84 % 4.58 % 62,320 4.42 5 0.0480 % 3,030.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0256 % 2,446.2
Perpetual-Premium 5.63 % 3.45 % 126,472 0.13 13 0.1043 % 2,323.6
Perpetual-Discount 5.64 % 5.66 % 162,764 14.42 25 -0.0340 % 2,356.5
FixedReset 4.95 % 3.46 % 221,646 3.44 82 0.0894 % 2,487.9
Deemed-Retractible 5.16 % 4.50 % 166,136 2.21 42 -0.2119 % 2,396.6
FloatingReset 2.60 % 2.35 % 221,949 4.32 5 -0.1663 % 2,469.8
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-16
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 3.94 %
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 : 22.51
Bid-YTW : 4.65 %
Volume Highlights
Issue Index Shares
Traded		 Notes
HSB.PR.E FixedReset 154,215 RBC crossed blocks of 100,000 and 50,000, both at 25.53.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 2.53 %
PWF.PR.T FixedReset 150,660 Scotia crossed blocks of 80,000 and 23,700, both at 25.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.78 %
ENB.PR.J FixedReset 149,157 TD crossed 40,000 at 25.00; Scotia crossed 50,000 and RBC crossed 18,500, all at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-16
Maturity Price : 23.14
Evaluated at bid price : 24.95
Bid-YTW : 4.29 %
IGM.PR.B Perpetual-Premium 130,743 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.51 %
ENB.PR.Y FixedReset 107,737 TD crossed 49,300 at 23.85.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-16
Maturity Price : 22.70
Evaluated at bid price : 23.90
Bid-YTW : 4.27 %
NA.PR.L Deemed-Retractible 74,100 TD bought 29,900 from Canaccord at 25.00; then crossed 24,700; then bought another 10,400 from Canaccord, all at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-15
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.89 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 21.82 – 22.22
Spot Rate : 0.4000
Average : 0.2695

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 4.71 %
TRP.PR.B FixedReset Quote: 20.15 – 20.48
Spot Rate : 0.3300
Average : 0.2153

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-16
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 3.89 %
BNS.PR.B FloatingReset Quote: 25.00 – 25.28
Spot Rate : 0.2800
Average : 0.1774

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 2.46 %
RY.PR.F Deemed-Retractible Quote: 25.06 – 25.28
Spot Rate : 0.2200
Average : 0.1456

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.54 %
IAG.PR.F Deemed-Retractible Quote: 25.36 – 25.64
Spot Rate : 0.2800
Average : 0.2098

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 5.80 %
TRP.PR.A FixedReset Quote: 23.68 – 23.90
Spot Rate : 0.2200
Average : 0.1543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-16
Maturity Price : 23.11
Evaluated at bid price : 23.68
Bid-YTW : 3.92 %

Posted in Market Action | No Comments »

PPL.PR.E Firm on Excellent Volume

Thursday, January 16th, 2014

Pembina Pipeline Corporation has announced:

that it has closed its previously announced public offering of 10,000,000 cumulative redeemable rate reset class A preferred shares, series 5 (the “Series 5 Preferred Shares”) for aggregate gross proceeds of $250 million (the “Offering”).

The Offering was announced on January 7, 2014 when Pembina entered into an agreement with a syndicate of underwriters led by Scotiabank and RBC Capital Markets. Due to strong investor demand, the size of the Offering was increased from an originally proposed offering of 6,000,000 Series 5 Preferred Shares plus an underwriters’ option to purchase up to an additional 2,000,000 Series 5 Preferred Shares (for aggregate gross proceeds of $200 million assuming the underwriters’ option had been exercised in full).

Proceeds from the Offering will be used to partially fund Pembina’s 2014 capital expenditure program, including capital expenditures relating to Pembina’s current expansion and growth projects, to reduce indebtedness under the Company’s credit facilities, and for general corporate purposes of the Company and its affiliates.

The Series 5 Preferred Shares will begin trading on the Toronto Stock Exchange today under the symbol PPL.PR.E.

Pembina’s Board of Directors also declared an initial dividend of $0.1507 per Series 5 Preferred Share for the period from January 16, 2014 to February 28, 2014 which is payable on March 1, 2014 to shareholders of record at the close of business on February 1, 2014.

Future dividends on the Series 5 Preferred Shares are expected to be $0.3125 quarterly, or $1.25 per share on an annualized basis, payable on the 1st day of March, June, September and December, as and when declared by the Board of Directors of Pembina, for the initial fixed rate period to but excluding June 1, 2019.

All of Pembina’s dividends are designated “eligible dividends” for Canadian income tax purposes.

PPL.PR.E is a FixedReset, 5.00%+300, announced January 7. It will be tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

The issue traded 761,612 shares today in a range of 24.90-09 before closing at 25.05-06, 3×20. Vital statistics are:

PPL.PR.E FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-16
Maturity Price : 23.15
Evaluated at bid price : 25.05
Bid-YTW : 4.74 %

Posted in Issue Comments | No Comments »

January 15, 2014

Wednesday, January 15th, 2014

Looks like there’s some support for my view that public dissent is good policy:

The central bank’s governing council was created to reassure the public that setting interest rates in Canada wasn’t a one-man show. Yet the bank kept on speaking with one man’s voice: the governor’s. The institution likes it this way. Too much loose talk only creates confusion. The best way for the central bank’s junior players to stay on message is to limit their public appearances. Timothy Lane, a former IMF official who has been on the governing council since 2009, gave three speeches last year, according to the Bank of Canada’s website. Agathe Côté, a 30-year veteran of the Bank of Canada, has given seven speeches in three years as the governing council’s only woman. The public has heard from Lawrence Schembri once in the 11 months that he’s been a member of the policy committee.
…
In Wrong: Nine Economic Policy Disasters and What We Can Learn from Them, economics professor Richard Grossman chronicles the human cost of ideological blindness. There is no cure for the affliction, but Prof. Grossman argues forcefully that the kind of debate that goes on at the Fed is the best way to avoid mistakes that result in stubborn, arrogant and ill-informed thinking. Prof. Grossman actually uses Canada’s central bank as a counterpoint. He shares a conversation he had with a Fed economist, who, after visiting Canada to present new research, complained of a “Bank of Canada view,” rather than a free-flowing exchange of ideas.

It won’t happen. The feds have gotten far too fond of having the BoC as just another department of the Ministry of Finance. It will take another disaster – on the scale (domestically speaking) of Nixon / Burns – before the public pressures the politicians towards the view that Central Bank independence isn’t just a feel-good catchphrase. And right now, the trend is in the other direction; What Debt made public his most recent instructions:

“So look, it’s not a reason to panic; in fact, we’ve actually seen Canadian debt beginning to level off. But we would obviously encourage people to look at their debt levels carefully. Eventually, it may not be for two, three years, but eventually interest rates will start to rise. And Canadians should ask themselves serious questions about if interest rates came up significantly, would I still be able to afford my debt payments?”

In more ways than one! Inflation is not the problem:

Central banks in the U.S., Japan and the euro area face inflation levels under their targets while trying to accelerate growth with policies including benchmark interest rates near zero and bond-buying programs. Lagarde said that while “the deep freeze is behind,” world growth remains “too low, too fragile and too uneven,” with some 200 million people needing employment.

“The world could create more jobs before we would need to worry about the global inflation genie coming out of its bottle,” [International Monetary Fund Managing Director Christine] Lagarde said in a speech at the National Press Club in Washington today. “With inflation running below many central banks’ targets, we see rising risks of deflation, which could prove disastrous for the recovery.”

Speaking of ethics, we are now increasing our reliance on paid informants:

The federal Conservatives are following through on a budget promise to set up the snitch hotline.
People who report major international tax evasion over $100,000 can get a share of the money recovered.

Be the first kid on your block to denounce his parents!

And in today’s mixed-up world, nobody knows or cares about the difference between trading as principal or agent:

Front running occurs when someone with advance knowledge of another market participant’s plan to make a sizable transaction puts an order in first, often profiting from a market move that can occur once the big trade has gone through.

Wrong. For it to be front running, you need to have obtained the information while acting as a fiduciary. And guess what? Institutional desks trade as principals. The current fashion for turning them into order-takers will have a severely negative influence on the market. But who cares, as long as it happens after the next election?
It was a poor day for the Canadian preferred share market, with PerpetualDiscounts losing 22bp, FixedResets off 2bp and DeemedRetractibles down 9bp. Volatility was muted. Volume was on the high side of average.

PerpetualDiscounts now yield 5.67%, equivalent to 7.37% interest at the standard 1.3x equivalency factor. Long corporates now yield about 4.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 265bp, a significant widening from the 255bp reported January 8.

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 -0.3900 % 2,545.8
FixedFloater 4.46 % 3.70 % 32,880 18.03 1 -0.9767 % 3,803.2
Floater 2.94 % 2.95 % 66,943 19.86 3 -0.3900 % 2,748.7
OpRet 4.62 % 0.07 % 77,291 0.08 3 0.0128 % 2,674.6
SplitShare 4.84 % 4.69 % 64,667 4.42 5 0.2969 % 3,029.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0128 % 2,445.6
Perpetual-Premium 5.63 % 3.68 % 128,248 0.13 13 -0.0460 % 2,321.2
Perpetual-Discount 5.63 % 5.67 % 165,300 14.42 25 -0.2159 % 2,357.3
FixedReset 4.95 % 3.49 % 219,560 3.44 82 -0.0178 % 2,485.7
Deemed-Retractible 5.15 % 4.37 % 164,309 1.99 42 -0.0931 % 2,401.7
FloatingReset 2.60 % 2.31 % 222,027 4.32 5 -0.0712 % 2,473.9
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 4.86 %
MFC.PR.B Deemed-Retractible -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 6.85 %
ENB.PR.Y FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-15
Maturity Price : 22.61
Evaluated at bid price : 23.71
Bid-YTW : 4.31 %
GWO.PR.N FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 4.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.Y FixedReset 72,557 Added to TXPL.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-15
Maturity Price : 22.61
Evaluated at bid price : 23.71
Bid-YTW : 4.31 %
IAG.PR.G FixedReset 64,670 Nesbitt crossed 49,800 at 25.89.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.82
BNS.PR.O DeemedRetractible 55,350 RBC crossed two blocks of 25,000 each, both at 26.15.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-14
Maturity Price : 26.00
Evaluated at bid price : 26.05
Bid-YTW : -0.01 %
TD.PR.Z FloatingReset 51,750 Added to TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 2.34 %
PWF.PR.K Perpetual-Discount 41,244 Scotia crossed blocks of 10,300 and 25,000, both at 22.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-15
Maturity Price : 21.92
Evaluated at bid price : 22.22
Bid-YTW : 5.57 %
RY.PR.C Deemed-Retractible 39,355 RBC crossed 25,000 at 26.35.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.35 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Quote: 22.11 – 22.59
Spot Rate : 0.4800
Average : 0.3093

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 4.86 %
MFC.PR.B Deemed-Retractible Quote: 20.95 – 21.27
Spot Rate : 0.3200
Average : 0.2214

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 6.85 %
FTS.PR.J Perpetual-Discount Quote: 21.88 – 22.30
Spot Rate : 0.4200
Average : 0.3243

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-15
Maturity Price : 21.57
Evaluated at bid price : 21.88
Bid-YTW : 5.49 %
TD.PR.G FixedReset Quote: 25.22 – 25.44
Spot Rate : 0.2200
Average : 0.1269

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.16 %
BAM.PR.T FixedReset Quote: 23.70 – 23.99
Spot Rate : 0.2900
Average : 0.2068

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-15
Maturity Price : 22.80
Evaluated at bid price : 23.70
Bid-YTW : 4.35 %
POW.PR.C Perpetual-Premium Quote: 25.12 – 25.34
Spot Rate : 0.2200
Average : 0.1508

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-14
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : -0.04 %

Posted in Market Action | No Comments »

AIM.PR.C Firm on Excellent Volume

Wednesday, January 15th, 2014

Aimia Inc. has announced:

the closing of its previously announced offering of 6,000,000 Cumulative Rate Reset Preferred Shares, Series 3 (the “Series 3 Preferred Shares”), including 1,000,000 Series 3 Preferred Shares that were issued upon the exercise in full of the underwriters’ option to purchase additional shares, at a price of C$25.00 per Series 3 Preferred Share for gross proceeds of C$150 million. The Series 3 Preferred Shares were purchased by a syndicate of underwriters led by CIBC, TD Securities Inc., RBC Capital Markets and BMO Capital Markets.

The net proceeds of the issue will be used by Aimia to supplement its financial resources and for general corporate purposes.

AIM.PR.C is a FixedReset, 6.25%+420, announced January 6. The issue will be tracked by HIMIPref™ but relegated to the Scraps subindex on credit concerns.

The issue traded 537,900 shares today in a range of 25.00-10 before closing at 25.05-07, 6×50. Vital statistics are:

AIM.PR.C FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-15
Maturity Price : 23.17
Evaluated at bid price : 25.07
Bid-YTW : 5.99 %

Posted in Issue Comments | No Comments »

January 14, 2014

Wednesday, January 15th, 2014

Nothing happened today, either.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 20bp, FixedResets gaining 2bp and DeemedRetractibles off 4bp. The Performance Highlights table is notable for a fine complement of winning BAM PerpetualDiscounts. Volume was high, with many issues trading over 100,000 shares.

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 -0.6458 % 2,555.7
FixedFloater 4.42 % 3.65 % 32,591 18.10 1 0.0000 % 3,840.7
Floater 2.92 % 2.94 % 67,263 19.90 3 -0.6458 % 2,759.5
OpRet 4.62 % 0.34 % 75,815 0.08 3 0.0642 % 2,674.2
SplitShare 4.85 % 4.73 % 67,323 4.43 5 -0.0882 % 3,020.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0642 % 2,445.3
Perpetual-Premium 5.63 % 3.61 % 128,187 0.14 13 0.0061 % 2,322.3
Perpetual-Discount 5.62 % 5.64 % 166,660 14.48 25 0.1967 % 2,362.4
FixedReset 4.95 % 3.49 % 221,783 3.45 82 0.0242 % 2,486.1
Deemed-Retractible 5.14 % 4.33 % 164,652 1.99 42 -0.0382 % 2,403.9
FloatingReset 2.60 % 2.25 % 225,169 4.33 5 0.1347 % 2,475.7
Performance Highlights
Issue Index Change Notes
PWF.PR.S Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 21.81
Evaluated at bid price : 22.13
Bid-YTW : 5.42 %
FTS.PR.F Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 22.13
Evaluated at bid price : 22.41
Bid-YTW : 5.53 %
BAM.PF.D Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.07 %
BAM.PF.C Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.07 %
BAM.PR.M Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.14 %
BAM.PR.N Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 6.13 %
CIU.PR.C FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 3.88 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset 300,560 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 1.89 %
TRP.PR.D FixedReset 263,134 Added to TXPL.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 23.08
Evaluated at bid price : 24.82
Bid-YTW : 4.03 %
BNS.PR.Q FixedReset 173,800 RBC crossed blocks of 98,100 and 63,200, both at 25.10.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.49 %
MFC.PR.E FixedReset 154,215 RBC crossed blocks of 48,400, 26,600 and 74,800, all at 25.62.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 2.76 %
TD.PR.G FixedReset 146,700 Scotia crossed 80,000 at 25.22; Nesbitt crossed 64,300 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.14 %
BNS.PR.R FixedReset 138,115 Will reset at 3.83%. Yield to Deemed Maturity is 3.58%.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : -3.02 %
TD.PR.Y FixedReset 136,000 RBC crossed 124,900 at 25.10.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.49 %
CM.PR.L FixedReset 127,435 Scotia crossed 70,000 at 25.24; Desjardins crossed 55,800 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 2.20 %
BMO.PR.R FloatingReset 101,460 Nesbitt crossed 100,000 at 25.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 2.33 %
RY.PR.N FixedReset 100,505 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.60 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.E Deemed-Retractible Quote: 21.07 – 21.28
Spot Rate : 0.2100
Average : 0.1370

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.07
Bid-YTW : 6.58 %
CIU.PR.A Perpetual-Discount Quote: 21.51 – 21.79
Spot Rate : 0.2800
Average : 0.2102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.43 %
FTS.PR.F Perpetual-Discount Quote: 22.41 – 22.64
Spot Rate : 0.2300
Average : 0.1621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 22.13
Evaluated at bid price : 22.41
Bid-YTW : 5.53 %
SLF.PR.A Deemed-Retractible Quote: 22.01 – 22.28
Spot Rate : 0.2700
Average : 0.2041

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 6.33 %
CGI.PR.D SplitShare Quote: 24.65 – 25.01
Spot Rate : 0.3600
Average : 0.3042

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 3.99 %
FTS.PR.J Perpetual-Discount Quote: 22.00 – 22.27
Spot Rate : 0.2700
Average : 0.2193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.46 %

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