Archive for June, 2014

New Issue: BNA 7-Year Split, 4.50%

Monday, June 16th, 2014

Partners Value Split Corp. has announced (although not yet on their website [update: here it is]):

that it has entered into an agreement to sell 8,000,000 Class AA Preferred Shares, Series 6 (the “Series 6 Preferred Shares”) to a syndicate of underwriters led by Scotiabank, CIBC, RBC Capital Markets, and TD Securities Inc. on a bought deal basis. The Series 6 Preferred Shares will be issued at a price of $25.00 per share, for gross proceeds of $200,000,000. The Series 6 Preferred Shares will carry a fixed coupon of 4.50% and will have a final maturity of October 8, 2021. The Series 6 Preferred Shares have a provisional rating of Pfd-2 (low) from DBRS. The net proceeds of the offering will be used to redeem the Company’s outstanding Class AA Preferred Shares, Series 4 and to pay a special cash dividend to holders of the Company’s capital shares.

The Company has granted the underwriters an option, exercisable at any time, not later than 30 days after closing, to purchase up to an additional 1,200,000 Series 6 Preferred Shares, which, if exercised, would increase the gross offering size to $230,000,000. Closing of the offering is expected to occur on or about July 4, 2014.

The Company owns a portfolio consisting of 53,160,644 Class A Limited Voting Shares of Brookfield Asset Management Inc. (the “Brookfield Shares”), which is expected to yield quarterly dividends that are sufficient to fund quarterly fixed cumulative preferential dividends for the holders of the Company’s preferred shares and to enable the holders of the Company’s capital shares to participate in any capital appreciation of the Brookfield Shares. Brookfield Asset Management Inc. (“Brookfield”) is a global alternative asset manager with over $175 billion in assets under management. Brookfield has over a 100-year history of owning and operating assets with a focus on property, renewable energy, infrastructure and private equity and is co-listed on the New York and Toronto Stock Exchanges under the symbols BAM and BAM.A, respectively, and on NYSE Euronext under the symbol BAMA.

This issue is more-or-less in-line with BNA’s other issues at today’s close:

Comparison of BNA issues
Ticker Bid Yield-to-Maturity Maturity
BNA.PR.B 25.46 3.96% 2016-3-25
BNA.PR.E 25.57 4.20% 2017-12-10
BNA.PR.C 24.96 4.44% 2019-1-10
New Issue 25.00 4.50% 2021-10-8

Update, 2014-6-19: Rated Pfd-2(low) by DBRS.

June PrefLetter Released!

Monday, June 16th, 2014

The June, 2014, 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 June, 2014, issue, while the “Next Edition” will be the July, 2014, issue, scheduled to be prepared as of the close July 11 and eMailed to subscribers prior to market-opening on July 14.

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.

It appears that the server problems that have bedevilled the site recently have been solved … well, perhaps, not so much ‘solved’ as ‘worked around’. If you deserve a link but did not get a link, please let me know.

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!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

FTN.PR.A Annual Report 2013

Sunday, June 15th, 2014

Financial 15 Split Inc. has released its Annual Report to November 30, 2013.

FTN / FTN.PR.A Performance
Instrument One
Year
Three
Years
Five
Years
Ten
Years
Whole Unit +34.15% +11.20% +11.19% +3.76%
FTN.PR.A +5.38% +5.38% +5.38% +5.40%
FTN +104.94% +20.45% +20.22% +2.88%
S&P/TSX Financial Index +25.17% +12.64% +15.34% +9.81%
S&P 500 Financial Index +48.38% +17.49% +9.75% -1.99%

Figures of interest are:

MER: 1.17% of thw whole unit value, excluding one time initial offering expenses.

Average Net Assets: We need this to calculate portfolio yield. MER of 1.17% Total Expenses of 1,735,619 implies $148-million net assets. Preferred Share distributions of 4,921,219 @ 0.525 / share implies 9.37-million shares out on average. Average Unit Value (beginning & end of year) = (17.14 + 14.37) / 2 = 15.75. Therefore 9.37-million @ 15.75 = 147-million average net assets. Good agreement between these two methods! Call it 148-million average.

Underlying Portfolio Yield: Dividends received (net of withholding) of 4,234,884 divided by average net assets of 148-million is 2.86%

Income Coverage: Net Investment Income of 2,499,265 divided by Preferred Share Distributions of 4,921,219 is 51%.

BPO.PR.U, BPO.PR.H, BPO.PR.J, BPO.PR.K Partially Exchanged for BPS.PR.U, BPS.PR.A, BPS.PR.B and BPS.PR.C

Friday, June 13th, 2014

Brookfield Property Partners L.P. has announced:

that Brookfield Property Partners has completed its previously announced acquisition of the remaining common shares of BPO. The acquisition was completed by way of a plan of arrangement (the “Arrangement”) pursuant to which Brookfield Property Partners, and its indirect subsidiaries Brookfield Office Properties Exchange LP and Brookfield Property Split Corp. (“BOP Split”), acquired all of the remaining common shares of BPO.

The 38,183,084 additional BPO common shares taken up pursuant to the Arrangement represent approximately 7.5% of the BPO common shares. Brookfield Property Partners now owns 100% of the issued and outstanding common shares of BPO.

The BPO common shares are expected to be de-listed from the Toronto Stock Exchange (“TSX”) at market close on June 10, 2014 and from the New York Stock Exchange at market close on June 20, 2014.

Based on shareholder elections received as of the election deadlines, holders of BPO securities will receive the consideration described below. Shareholders will receive their consideration shortly.

Pursuant to the terms of the Arrangement, holders of outstanding BPO preference shares series G, H, J and K, which are convertible into BPO common shares, were able to exchange a portion of their shares for BOP Split preferred shares. Based on shareholder elections, 92.9% of the BPO preference shares series G that holders elected (or are deemed to have elected) to exchange for BOP Split preferred shares were exchanged, 56.8% of the BPO preference shares series H that holders elected (or are deemed to have elected) to exchange for BOP Split preferred shares were exchanged, 62.7% of the BPO preference shares series J that holders elected (or are deemed to have elected) to exchange for BOP Split preferred shares were exchanged and 77.1% of the BPO preference shares series K that holders elected (or are deemed to have elected) to exchange for BOP Split preferred shares were exchanged. In aggregate, $25 million of each of the four series of BOP Split preferred shares were issued. BPO preference shares series G, H, J and K which were not exchanged will remain outstanding with modified share conditions to make them exchangeable into BPY units rather than convertible into BPO common shares.

Preferred shares of BOP Split will begin trading on the TSX at market open on June 11, 2014. The Class A senior preferred shares, Series 1 will trade under the symbol BPS.PR.U. The Class A senior preferred shares, Series 2 will trade under the symbol BPS.PR.A. The Class A senior preferred shares, Series 3 will trade under the symbol BPS.PR.B. The Class A senior preferred shares, Series 4 will trade under the symbol BPS.PR.C.

Pursuant to the Arrangement, BPO Class A preference shares held by the public were redeemed by BPO under the Arrangement for C$1.11111 per share, plus any accrued and unpaid dividends.

This reorganization was discussed in the post BPO.PR.U, BPO.PR.H, BPO.PR.J, BPO.PR.K Reorg.

Brookfield Property Split Corp. does not appear to have a website at this time. None of the preferred shares issued will be tracked by HIMIPref™ as they are all too small; in addition, BPS.PR.U is Us Pay.

June 13, 2014

Friday, June 13th, 2014

There’s an interesting paper by Lauren E. Willis of the U of Pennsylvania Law School titled Against Financial Literacy:

The dominant model of regulation in the United States for consumer credit, insurance, and investment products is disclosure and unfettered choice. As these products have become increasingly complex, consumers’ inability to understand them has become increasingly apparent, and the consequences of this inability more dire. In response, policymakers have embraced financial literacy education as a necessary corollary to the disclosure model of regulation. This education is widely believed to turn consumers into “responsible” and “empowered” market players, motivated and competent to make financial decisions that increase their own welfare. The vision is of educated consumers handling their own credit, insurance, and retirement planning matters by confidently navigating the bountiful unrestricted marketplace.

Although the vision is seductive, promising both a free market and increased consumer welfare, the predicate belief in the effectiveness of financial literacy education lacks empirical support. Moreover, the belief is implausible, given the velocity of change in the financial marketplace, the gulf between current consumer skills and those needed to understand today’s complex non-standardized financial products, the persistence of biases in financial decisionmaking, and the disparity between educators and financial services firms in resources with which to reach consumers.

Harboring this belief may be innocent, but it is not harmless; the pursuit of financial literacy poses costs that almost certainly swamp any benefits. For some consumers, financial education appears to increase confidence without improving ability, leading to worse decisions. When consumers find themselves in dire financial straits, the regulation through education model blames them for their plight, shaming them and deflecting calls for effective market regulation. Consumers generally do not serve as their own doctors and lawyers and for reasons of efficient division of labor alone, generally should not serve as their own financial experts. The search for effective financial literacy education should be replaced by a search for policies more conducive to good consumer financial outcomes.

I’m very pleased to learn that London, Ontario, mayor Joe Fontana has been found guilty of fraud; the charge was discussed on November 21, 2012:

Fontana testified during the trial that it was “stupid” of him to alter the document, but he insisted it was no forgery.

He admitted making seven changes – including whiting out his wife’s signature, replacing it with his own and writing the word original in quotation marks at the top – to an existing contract with the Marconi Club for his son’s 2005 wedding to reflect an event he planned for then finance minister Ralph Goodale at the same venue.

Other alterations on the contract were changing the date of the event from June 25, 2005, to Feb. 25, 2004, the word “wedding” to “reception” and the addition of a yellow sticky note saying “misc constituents reception.”

A Commons committee has recommended increased paperwork as a means of creating jobs:

The Conservative-dominated finance committee is calling for a new tax credit for businesses that hire Canadians aged 18 to 30 after a detailed study of youth unemployment.

The proposal is among the finance committee’s 23 recommendations in a report tabled this week. The report notes that youth unemployment varies considerably by age.

They’ve still got a way to go before they can create as much paperwork as the FDIC does, though:

Discover Financial Services (DFS) agreed with regulators to bolster its payment systems against money launderers. No financial penalty was imposed.

The Federal Deposit Insurance Corp. told Discover “to correct any unsafe or unsound banking practices and prevent any violations of law or regulation” cited in a Sept. 9 report by the regulator, according to a filing today. The lender consented to the order “without admitting or denying any charges” related to weaknesses in its compliance with the Bank Secrecy Act, according to the filing.

Regulators are pressing the world’s biggest lenders to verify that transactions are tied to legitimate business. They’re also scrutinizing banks that have made acquisitions to ensure controls are updated to match the new size and complexity of the combined companies. The Federal Reserve has delayed M&T Bank Corp.’s takeover of Hudson City Bancorp Inc. for almost two years while demanding stronger controls.

The telecoms have lost an lost an avenue to indulge their informing:

Anonymity is key to Canadians’ right to privacy on the Internet, and as a general rule police are not permitted to disrupt that anonymity by asking Internet companies for information on their consumers without a judge’s authorization, the Supreme Court said in a ruling Friday.

“Anonymity is an important safeguard for privacy interests online,” Justice Thomas Cromwell wrote for a unanimous court.

There are concerns regarding Ontario’s credit rating:

Kathleen Wynne’s Liberals climbed a mountain to get re-elected, with a majority no less, in Ontario’s provincial election. But that looks like a stroll in the park compared with the Everest of debt her government faces. And convincing the world’s credit-rating agencies that she can conquer it may prove tougher than it was to convince the Ontario electorate to give her the chance.

Ms. Wynne has already vowed to reintroduce the May budget that got her minority government defeated and triggered the election – a budget heavy on spending and carrying an even bigger deficit ($12.5-billion) than the previous year’s ($11.3-billion), despite her government’s repeated pledges to move its budgets toward balance.

Now that the budget looks likely to become reality, the big global bond-rating agencies such as Moody’s and Standard & Poor’s will certainly reconsider whether Ontario still warrants its current high-quality ratings on its debts – which are closing in on an alarming $300-billion and climbing, posing a growing risk to Ontario’s lenders and a threat to its long-term economic health.

Moody’s has already expressed doubts. In an update published shortly after the May budget announcement, it called the budget “a credit negative,” and warned that “the path back to balanced budgets presents more risk than previously assessed.” (The note didn’t constitute a formal reassessment of Ontario’s debt ratings, but that would be the next logical step.)

Correlation is not causation, so we can argue a bit about the timing of this:

DBRS notes that Toronto Hydro Corporation (THC; rated A (high), Stable trend), has increased the limit of its commercial paper (CP) program to CAD 500 million from CAD 400 million, effective June 13, 2014. THC’s current CP rating of R-1 (low), with a Stable trend, remains unchanged. THC continues to maintain adequate liquidity to manage the refinancing risk associated with the CP program

There’s been an outbreak of common sense in the US:

Goldman Sachs Group Inc. (GS) won dismissal of a suit over $450 million in residential mortgage-backed securities, with a New York judge saying that the firms that bought the bonds should have done more research beforehand.

State Supreme Court Justice Charles Ramos dismissed the claims against Goldman Sachs today, saying the investors only reviewed data presented in offering documents for the securities and never asked to review files for the underlying loans.

“The true nature of the risk being assumed could, admittedly, have been ascertained from reviewing these loan files and plaintiffs never asked for them,” Ramos wrote.

Who wants to make a bet? I’ve got a nickel that says they received the offering documents as a matter of routine and didn’t even read those as a matter of routine.

And the Civil Service Superannuation Scheme has a new messenger boy:

The government has chosen Jeremy Rudin, a former economics professor who worked at the department of finance during the financial crisis, as the new head of Canada’s banking and insurance regulator.

Finance Minister Joe Oliver announced late Friday that Mr. Rudin will begin a seven-year term as Superintendent of Financial Institutions effective June 29. He replaces Julie Dickson, who announced last year that she planned to retire at the end of her term.

Mr. Rudin, who is currently the assistant deputy minister of the financial sector policy branch of the department of finance, was one of two contenders whose names were widely rumoured in financial circles over the past couple of months.

The regulators are pricing themselves (and their buddies) out of the market:

The rise of off-exchange trading in the U.S. stock market continues unabated even as regulators question the wisdom of allowing the shift to continue.

Shares changing hands in private venues such as dark pools accounted for 40.4 percent of total share volume on June 10, according to data compiled by Bloomberg. That’s the most since 41.7 percent took place off-exchange on June 22, 2012. The three biggest exchange companies each matched about 20 percent of trading on June 10.

“Its been clearly demonstrated that the less volatile markets are, the more people trade away from exchanges,” Justin Schack, partner and managing director for market structure analysis at Rosenblatt Securities Inc., said in a phone interview. “Brokers also have an incentive to avoid exchanges and their fees, and with overall volumes low, the pressure to avoid costs is quite high.”

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 6bp and both FixedResets and DeemedRetractibles off 4bp. Volatility was minimal, but what there was of it was comprised exclusively of FixedReset losers. Volume was extremely low.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2102 % 2,486.5
FixedFloater 4.54 % 3.79 % 27,926 17.80 1 0.0478 % 3,782.9
Floater 2.95 % 3.06 % 45,271 19.59 4 -0.2102 % 2,684.8
OpRet 4.39 % -10.55 % 24,415 0.08 2 -0.1946 % 2,706.3
SplitShare 4.81 % 4.29 % 56,582 4.13 5 -0.2223 % 3,113.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1946 % 2,474.7
Perpetual-Premium 5.52 % 1.02 % 82,829 0.08 17 0.0254 % 2,401.8
Perpetual-Discount 5.27 % 5.29 % 109,863 14.93 20 0.0644 % 2,546.5
FixedReset 4.50 % 3.73 % 215,494 8.64 79 -0.0364 % 2,532.8
Deemed-Retractible 5.00 % 0.67 % 146,354 0.13 43 -0.0418 % 2,531.4
FloatingReset 2.66 % 2.45 % 128,236 3.97 6 0.1322 % 2,491.8
Performance Highlights
Issue Index Change Notes
CIU.PR.C FixedReset -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-13
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 3.68 %
MFC.PR.K FixedReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.93 %
BAM.PF.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset 405,125 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-13
Maturity Price : 23.17
Evaluated at bid price : 25.04
Bid-YTW : 3.79 %
TD.PR.I FixedReset 154,900 TD crossed 150,000 at 25.33.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 1.05 %
BMO.PR.T FixedReset 68,245 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-13
Maturity Price : 23.16
Evaluated at bid price : 25.03
Bid-YTW : 3.73 %
TD.PR.R Deemed-Retractible 67,984 RBC crossed 55,400 at 26.62.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-13
Maturity Price : 25.75
Evaluated at bid price : 26.43
Bid-YTW : -17.58 %
RY.PR.I FixedReset 56,870 TD crossed 53,900 at 25.30.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.39 %
BAM.PF.F FixedReset 36,095 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-13
Maturity Price : 23.20
Evaluated at bid price : 25.18
Bid-YTW : 4.33 %
There were 16 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: 25.71 – 26.71
Spot Rate : 1.0000
Average : 0.5626

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.02 %

W.PR.H Perpetual-Premium Quote: 25.16 – 26.16
Spot Rate : 1.0000
Average : 0.5675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-13
Maturity Price : 24.87
Evaluated at bid price : 25.16
Bid-YTW : 5.55 %

MFC.PR.A OpRet Quote: 25.41 – 26.24
Spot Rate : 0.8300
Average : 0.4727

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.25
Evaluated at bid price : 25.41
Bid-YTW : -3.01 %

MFC.PR.C Deemed-Retractible Quote: 22.45 – 23.00
Spot Rate : 0.5500
Average : 0.3449

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 5.82 %

MFC.PR.K FixedReset Quote: 24.75 – 25.20
Spot Rate : 0.4500
Average : 0.2894

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.93 %

BAM.PF.A FixedReset Quote: 25.30 – 25.69
Spot Rate : 0.3900
Average : 0.2663

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.16 %

June 12, 2014

Thursday, June 12th, 2014

It’s a wonderful economic recovery we’re having:

Retail sales rose 0.3 percent in May as American consumers took a respite following a three-month surge in shopping. The gain followed a revised 0.5 percent gain in April that was much larger than previously estimated, Commerce Department figures showed. The median forecast of 83 economists surveyed by Bloomberg called for a 0.6 percent advance.

A separate report indicated applications for unemployment benefits in the U.S. rose to 317,000 last week. The median forecast of 52 economists surveyed by Bloomberg called for 310,000. Claims have averaged around 324,000 so far in 2014.

The Bank of Canada has published the Financial System Review, June 2014. They cite four main risks:

  • A sharp correction in house prices prices, resulting from a large, macroeconomic shock that leads to higher unemployment and a reduced ability of Canadian households to service their debts.
  • A sharp increase in long-term interest rates globally, including in Canada, likely resulting from an overshoot in U.S. long-term interest rates.
  • Stress emanating from China and other EMEs, triggered by a severe financial disruption in China associated with a significant slowdown in Chinese economic growth. There would be widespread repercussions on global economic and financial systems that would feed back to Canada. (The Globe highlighted this one).
  • Serious financial stress from the euro area with global consequences, possibly caused by market concern about the adequacy of bank balance sheet repair or a sudden economic shock related to heightened geopolitical stress in Ukraine and Russia.

In Making Banks Safer: Implementing Basel III, Éric Chouinard and Graydon Paulin sing the usual Rah-Rah-Canada song and make a plea for more cushy foreign based jobs for ex-Bank of Canada personnel:

Early evidence that the Canadian and international banking systems have already made good progress in implementing Basel III—particularly by augmenting the quantity and quality of capital—is excellent news. As this process continues, it is imperative to continuously assess the impact of the reforms on financial stability and their macroeconomic implications more broadly.

Additional analysis and rigorous monitoring are essential, in part to identify any unexpected adverse consequences should they occur. It is also critical that the minimum standards be rigorously respected across all jurisdictions to achieve the full benefits of the reforms and to maintain a level playingfield. This is why the Basel Committee’s enhanced efforts with respect to monitoring are so important. It is essential that, in future impact analyses and consistency assessments, authorities continue to improve prudential standards for the banking sector by supporting greater consistency in risk weights and by addressing the implementation gaps that have been identified.

In Reforming Financial Benchmarks: An International Perspective, Thomas Thorn and Harri Vikstedt emphasize that there must be new employment possibilities for domestic regulators as well:

Public sector authorities around the world are developing and implementing their responses to the allegations of manipulation that have emerged for many financial benchmarks. These efforts seek to ensure that benchmarks are robust without compromising their intended economic role, while also taking into account the complex issues that can arise in transitioning to alternative benchmarks. Canada is no exception: our public sector authorities are working closely with the industry to ensure that our financial benchmarks are robust and meet international standards.

And in Stress Testing the Canadian Banking System: A System-Wide Approach a case is made for more back-room staff:

Stress testing is an important component of the tool kit available to authorities, including the Bank of Canada, to assess risks to the financial system. However, it is important to highlight that, despite recent significant progress in the development of stress-testing models, stress testing remains challenging because it attempts to capture the effects of tail events.

In most stress tests, solvency risk explains a large share of the deterioration in the capital ratios of banks during periods of severe stress. As demonstrated by the recent financial crisis, however, liquidity risk and network spillover effects can generate substantial additional losses for banks. Hence, it is important to take them into account when assessing risks. To this end, the Bank of Canada has developed an innovative stress-testing model, the Macro Financial Risk Assessment Framework (MFRAF), which incorporates various sources of risk for banks—solvency risk, liquidity risk and spillover effects.

Research is ongoing to improve MFRAF in two directions. First, the liquidity module could be enhanced by developing a model to link the evolution of market liquidity conditions with the behaviour of banks under stress (e.g., their decision to sell liquid or illiquid assets to meet their funding needs). Second, MFRAF should incorporate a model of risk-weighted assets to more accurately estimate the effects of solvency risk, liquidity risk and network effects on bank capital levels.

Not mentioned in all of this were the implications of the Ban the Bond movement:

As governments around the world implement “bail-in” provisions to avoid taxpayer-funded bank bailouts, Moody’s Investors Service took action in Canada on Wednesday by changing the outlook to negative from stable on some of the senior debt and uninsured deposits of Canada’s largest seven banks.

The ratings agency, which at the same time affirmed the long-term ratings of the banks, said it took the action on the supported senior debt and uninsured deposit ratings “in the context of previously announced plans by the Canadian government to implement a ‘bail-in’ regime for domestic systemically important banks.”

Moody’s also cited an “accelerating” global trend towards reducing the public cost of future bank “resolutions.”

“The negative outlook reflects Moody’s view that the balance of risk for the Canadian bank’s senior debt holders and uninsured depositors has shifted to the downside.”

Sure. Before, the senior debt holders and uninsured depositors could rely on bankruptcy court. Now they’ve got to hope that an unaccountable bureaucrat or panicking politician will give their interests some weight. Result – I’ll bet there ain’t gonna be no more long term senior bank debt.

But most of the interesting news today comes from Britain where, after twenty-two years of intensive study, they have decided what to do if speculators like George Soros attack the sterling: jail ’em:

British finance minister George Osborne will reject European Union plans to outlaw currency market manipulation on Thursday and instead set out his own proposals to make rigging exchange rates a criminal offence.

EU laws taking effect in 2016 will make it a criminal offence with a four-year jail term to rig key prices in a wide range of financial markets.

Britain has already introduced a maximum seven-year jail term for trying to manipulate the LIBOR interbank interest rate, and plans to introduce similar criminal penalties for rigging benchmarks in currency, commodity and fixed income markets.

“Our own rules will be as strong or stronger than those of the EU, but will preserve flexibility to reflect specific circumstances in the UK’s globally important financial sector,” Britain’s finance ministry said in a statement late on Wednesday.

We know that this flexibility to reflect specific circumstances will never, ever be misused by the government of the day. After all, as discussed on Guy Fawkes Day, 2008, the counter-terrorist rules have never been misused. Well, hardly ever.

The UK government has instructed one of its junior spokesmen to prepare the market for higher policy rates:

Mark Carney said the Bank of England could raise interest rates from a record low earlier than investors expect as he expressed concern that mounting debt related to the housing market could undermine stability.

“There’s already great speculation about the exact timing of the first rate hike and this decision is becoming more balanced,” the BOE governor said in a speech at the Mansion House in London today. “It could happen sooner than markets currently expect.” The pound strengthened after the remarks.

And future recessions will be completely eliminated through the miracle of central planning!

Chancellor of the Exchequer George Osborne promised the Bank of England new powers over mortgage lending to prevent the strengthening housing market derailing the recovery.

While real estate poses no immediate threat, it could do in the future unless action is taken, Osborne said his annual speech at the Mansion House in London tonight. Under the plans, financial-stability officials would be able to cap the size of mortgages as a proportion of income or property value.

“I want to make sure the Bank of England has all the weapons it needs to guard against risks in the housing market,” Osborne said. “I want to protect those who own homes, protect those who aspire to own a home, and protect the millions who suffer when boom turns to bust.”

The new controls will give Carney more power over the mortgage market than his predecessor, Mervyn King, wanted when he was governor. When the Financial Policy Committee was deciding in 2012 on the “powers of direction” it might need, it resisted requesting authority over loan-to-income and loan-to-value ratios as these would require a high level of “public acceptability.”

Such measures are now publicly acceptable due to the Global War on Traders; the public has been properly conditioned into a state of highly advantageous fear and loathing.

Bloomberg reports that Larry Tabb is pushing block-trades:

If you’re a whale in the stock market, maybe it’s time to stop pretending you’re a guppy.

That’s basically the case being made these days by market researcher [Tabb Group LLC head] Larry Tabb, who argues that the time is right to revive the art of block trading for institutional investors.

The status quo among brokers currently is to slice and dice large trades into tiny orders in an effort to quickly access liquidity scattered across multiple exchanges and dark pools. Much of the song and dance performed by computer algorithms is an effort to buy or sell large chunks of stock without throwing off a scent to high-frequency trading computers trying to sniff out big buyers and sellers in the market.

VWAP became a standard for trading execution, in Tabb’s view, amid the proliferation of exchanges and alternative trading venues coupled with paranoia that super-fast computers will exploit “information leakage.”

The youngest traders may be most uncomfortable with the patience needed to trade blocks and the notion that faster is not always better, according to Tabb.

VWAP is a standard due to the general incompetence of portfolio managers exacerbated by separation of duties between PMs and traders. I mean, really! If I want to sell A to buy B and take out $X, who really gives a flying Fibonacci Sequence about what the VWAP was, is or might be? But it is very helpful in providing a lowest common denominator in the de-skilling of the market place.

VWAP is useful only in those situations in which the PM says ‘Hey – I have no idea what the fair values for A & B are, but not only is there a headline in the Wall Street Journal today about how wonderful B is, but my big toe is hurting, which I’ve always found to be an excellent indicator, and I have a client meeting next week and haven’t figured out what to talk about yet. So sell A and buy B, will ya? Price doesn’t matter, I don’t have a clue. Just do the VWAP.’

I haven’t been hanging around the institutional trading desks much in the last decade, but I have in the past and probably will in the future. A good salesman will understand what you’re trying to do and how you’re trying to do it and bring things to your attention when he thinks it might get him some business (“Hey – that 5-10-20 butterfly you were trying yesterday is a dime better now!”). In a lot of cases, the salesman is the only person in the entire process who has a clue about the market, because the putative portfolio manager is just a jumped-up stockbroker whose only interest is in sales; or, on the other hand, he’s just a dork off the street, inventing and implementing some dorky strategy and employed only because the front office needs an actual product to sell; performance is not important.

A good salesman will make a huge amount of money because his calls to investment management firms get returned and a lot of the buy side will trust him unquestioningly when a trade is suggested. That adds up to deal flow and deal flow makes the world go ’round.

However, in some third world countries such as Canada, it doesn’t matter all that much. You don’t like us? You want to know something about something that’s not in my script? So what? Where else are you gonna go? The banks have bought up the dealers and banks make their money by deskilling their personnel and running an ice-cream stand with one flavour. In my intermittent exposures to bond institutional desks over the past decade, I certainly got the impression that the actual salesmen (good, bad and indifferent) of the ’90’s were gradually being replaced by high school students spending Career Day at the bank to write down the orders, get the prices from one of the Smart People, and read them back to the client. They’re much cheaper for the bank to hire. So I suspect Mr. Tabb won’t be drumming up much consulting business in Canada.

GMP Capital, proud issuer of GMP.PR.B, was confirmed at Pfd-3(low) [Trend Negative] by DBRS:

DBRS has today confirmed the Pfd-3 (low) rating on the Cumulative Preferred Shares of GMP Capital Inc. (GMP or the Company). The trend remains Negative. The rating reflects the strength of the Company’s business franchise as a provider of investment banking and capital markets products and services to its targeted market of mid-sized, primarily Canadian companies, many operating in the resource and energy sectors. While DBRS recognizes the Company’s demonstrated resilience through the prolonged challenging market environment, the Negative trend reflects the current adverse commodities and M&A market environment, GMP’s modest earnings and coverage ratios and the uncertain outlook going forward given the uneven global economic recovery and overall subdued client demand. While the Company is more diverse geographically and by business line than in the past, GMP has yet to demonstrate the benefits originally anticipated by its U.S. acquisition.

Versesen, proud issuer of VSN.PR.A and VSN.PR.C, was confirmed at Pfd-3(high) [Stable] by DBRS:

DBRS has today confirmed the Issuer Rating and Senior Unsecured Notes rating of Veresen Inc. (Veresen or the Company) at BBB (high) and the Preferred Shares at Pfd-3 (high), all with Stable trends. The confirmation reflects the Company’s strong business risk profile supported by (1) a diverse portfolio of energy infrastructure assets, and (2) stable cash flows underpinned by firm ship-or-pay contracts in the pipeline business and long-term contracts in the power and midstream operations, with strong counterparties. The Company has the potential to further grow and diversify its business through liquefied natural gas (LNG) exports from Jordan Cove Energy Project (Jordan Cove, or the Project) by 2019, subject to Company securing FERC approval and long-term tolling agreements with customers. Veresen’s financial metrics are consistent with current rating category.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 18bp, FixedResets gaining 7bp and DeemedRetractibles up 9bp. Volatility was minimal. Volume was 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 -1.1085 % 2,491.8
FixedFloater 4.54 % 3.80 % 29,072 17.80 1 0.0000 % 3,781.1
Floater 2.94 % 3.05 % 44,498 19.61 4 -1.1085 % 2,690.4
OpRet 4.38 % -9.80 % 25,422 0.08 2 0.1364 % 2,711.6
SplitShare 4.80 % 4.27 % 57,373 4.13 5 0.1033 % 3,120.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1364 % 2,479.5
Perpetual-Premium 5.52 % 1.68 % 82,724 0.08 17 -0.0761 % 2,401.1
Perpetual-Discount 5.27 % 5.28 % 111,309 14.96 20 -0.1800 % 2,544.8
FixedReset 4.50 % 3.73 % 217,429 6.70 79 0.0747 % 2,533.7
Deemed-Retractible 5.00 % -0.37 % 144,086 0.13 43 0.0911 % 2,532.5
FloatingReset 2.67 % 2.45 % 129,956 3.97 6 0.0264 % 2,488.5
Performance Highlights
Issue Index Change Notes
FTS.PR.J Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 23.10
Evaluated at bid price : 23.42
Bid-YTW : 5.09 %
BAM.PR.C Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 3.05 %
PWF.PR.A Floater -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 2.62 %
IFC.PR.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 4.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset 304,855 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 23.16
Evaluated at bid price : 25.03
Bid-YTW : 3.80 %
BAM.PF.D Perpetual-Discount 130,280 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 21.79
Evaluated at bid price : 22.10
Bid-YTW : 5.54 %
BNS.PR.P FixedReset 90,805 RBC crossed 90,300 at 25.13.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.33 %
MFC.PR.E FixedReset 64,211 TD crossed 50,000 at 25.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.83 %
BMO.PR.T FixedReset 57,001 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 23.15
Evaluated at bid price : 25.02
Bid-YTW : 3.74 %
BAM.PF.F FixedReset 55,094 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 23.18
Evaluated at bid price : 25.12
Bid-YTW : 4.36 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.J Perpetual-Discount Quote: 23.42 – 23.80
Spot Rate : 0.3800
Average : 0.2348

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 23.10
Evaluated at bid price : 23.42
Bid-YTW : 5.09 %

FTS.PR.F Perpetual-Discount Quote: 23.60 – 24.03
Spot Rate : 0.4300
Average : 0.2999

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 23.14
Evaluated at bid price : 23.60
Bid-YTW : 5.21 %

TRP.PR.A FixedReset Quote: 23.33 – 23.65
Spot Rate : 0.3200
Average : 0.2252

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 22.43
Evaluated at bid price : 23.33
Bid-YTW : 3.75 %

PWF.PR.A Floater Quote: 20.15 – 20.61
Spot Rate : 0.4600
Average : 0.3672

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-12
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 2.62 %

ENB.PR.A Perpetual-Premium Quote: 25.26 – 25.55
Spot Rate : 0.2900
Average : 0.2126

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-12
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -5.04 %

TD.PR.Y FixedReset Quote: 25.25 – 25.47
Spot Rate : 0.2200
Average : 0.1475

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.38 %

June 11, 2014

Wednesday, June 11th, 2014

The OECD has released its OECD Economic Surveys – CANADA – June 2014 – OVERVIEW.

Housing issues and monetary policy

  • • Tighten mortgage insurance to cover only part of lenders’ losses in case of mortgage default. Continue to increase the private-sector share of the market by gradually reducing the cap on the Canada Mortgage and Housing Corporation’s (CMHC) insured mortgages. The government would also need to carefully consider its ability to achieve its housing-finance and financial-stability objectives in the context of a smaller mortgage insurance-market share for CMHC.


Low borrowing costs and loosening credit restrictions over the mid-2000s made it easier for homeowners to carry larger mortgages, driving household debt to a historical high of 166% of disposable income. Easier credit over this period partly reflected growing mortgage securitisation by the Canada Mortgage and Housing Corporation (CMHC), which is wholly owned by the federal government.

The extent of federal government involvement in mortgage markets via mortgage insurance and CMHC securitisation operations is unusual by international standards. Some 65% of mortgages in Canada are insured, three-quarters of them by CMHC and the rest by private-sector insurers. The government fully backs all CMHC-insured mortgages and, in the event that a private insurer becomes insolvent, 90% of the value of the mortgages it insures (i.e. the government would honour lender claims for privately insured mortgages under insolvency, less 10% of the original principal amount of the mortgage and any applicable liquidation proceeds). Furthermore, mortgage insurance covers 100% of the loan balance (less the 10% in the event of private insurer insolvency), compared with losses of only up to 10-30% of outstanding balances in most other countries (BIS, 2013).

This extensive role exposes the taxpayer to potentially large risks, although the track record has been good so far.

CMHC’s currently dominant role could be reduced by progressively lowering the amount of insurance it can write (currently capped at CAD 600 billion) and raising that of the private providers (currently CAD 300 billion). Over the longer run the insurance activities of CMHC could be privatised, shifting the government’s role to one of guaranteeing only against catastrophic losses.

Oddly, these recommendations regarding the CMHC were not highlighted by either G&M story, which focussed on inequality and labour mobility barriers.

It was another good day for the Canadian preferred share market, with PerpetualDiscounts up 14bp, FixedResets winning 16bp and DeemedRetractibles gaining 10bp. There was a fair bit of volatility, but not with any clear trends. Volume was very low.

PerpetualDiscounts now yield 5.30%, equivalent to 6.89% at the standard equivalency factor of 1.3x. Long corporates now yield a hair under 4.4%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 250bp, a slight (and perhaps spurious) tightening from the 255bp reported June 4.

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 -0.2423 % 2,519.7
FixedFloater 4.54 % 3.80 % 28,774 17.80 1 0.3357 % 3,781.1
Floater 2.91 % 3.01 % 45,019 19.72 4 -0.2423 % 2,720.6
OpRet 4.39 % -9.95 % 26,471 0.08 2 -0.0779 % 2,707.9
SplitShare 4.81 % 4.29 % 59,724 4.13 5 -0.0397 % 3,117.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0779 % 2,476.1
Perpetual-Premium 5.51 % -1.87 % 83,352 0.08 17 0.1247 % 2,403.0
Perpetual-Discount 5.27 % 5.30 % 115,236 14.92 20 0.1441 % 2,549.4
FixedReset 4.50 % 3.75 % 218,422 6.78 79 0.1554 % 2,531.8
Deemed-Retractible 5.00 % 1.47 % 145,119 0.20 43 0.1043 % 2,530.2
FloatingReset 2.67 % 2.43 % 131,051 3.97 6 0.1656 % 2,487.8
Performance Highlights
Issue Index Change Notes
FTS.PR.H FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 3.71 %
TRP.PR.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 22.39
Evaluated at bid price : 23.25
Bid-YTW : 3.77 %
CIU.PR.C FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.62 %
FTS.PR.J Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 23.40
Evaluated at bid price : 23.75
Bid-YTW : 5.02 %
BAM.PF.A FixedReset 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.90 %
ENB.PR.D FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 23.06
Evaluated at bid price : 24.40
Bid-YTW : 4.01 %
BAM.PF.E FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 23.08
Evaluated at bid price : 24.90
Bid-YTW : 4.13 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset 1,524,069 New issue settled today.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 23.16
Evaluated at bid price : 25.01
Bid-YTW : 3.81 %
TRP.PR.B FixedReset 135,089 RBC crossed 130,000 at 20.30.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 3.63 %
BAM.PF.F FixedReset 93,320 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 23.17
Evaluated at bid price : 25.09
Bid-YTW : 4.37 %
RY.PR.H FixedReset 84,930 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 23.16
Evaluated at bid price : 25.05
Bid-YTW : 3.76 %
BMO.PR.T FixedReset 53,980 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 23.15
Evaluated at bid price : 25.01
Bid-YTW : 3.75 %
MFC.PR.D FixedReset 51,181 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 5.66 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PR.P Deemed-Retractible Quote: 26.05 – 26.50
Spot Rate : 0.4500
Average : 0.3400

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-11
Maturity Price : 25.75
Evaluated at bid price : 26.05
Bid-YTW : -1.92 %

IFC.PR.A FixedReset Quote: 23.86 – 24.20
Spot Rate : 0.3400
Average : 0.2327

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.86
Bid-YTW : 4.33 %

HSE.PR.A FixedReset Quote: 22.71 – 22.99
Spot Rate : 0.2800
Average : 0.1845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 22.37
Evaluated at bid price : 22.71
Bid-YTW : 3.78 %

FTS.PR.K FixedReset Quote: 24.75 – 24.99
Spot Rate : 0.2400
Average : 0.1517

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 23.09
Evaluated at bid price : 24.75
Bid-YTW : 3.67 %

SLF.PR.G FixedReset Quote: 22.12 – 22.40
Spot Rate : 0.2800
Average : 0.1981

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.12
Bid-YTW : 4.52 %

RY.PR.Z FixedReset Quote: 25.12 – 25.39
Spot Rate : 0.2700
Average : 0.1892

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 23.20
Evaluated at bid price : 25.12
Bid-YTW : 3.73 %

CM.PR.O Firm On Immense Volume

Wednesday, June 11th, 2014

The Canadian Imperial Bank of Commerce has announced:

that it has completed the offering of 16 million non-cumulative Rate Reset Class A Preferred Shares Series 39 (the “Series 39 Shares”) priced at $25.00 per share to raise gross proceeds of $400 million.

The offering was made through a syndicate of underwriters led by CIBC World Markets Inc. The Series 39 Shares commence trading on the Toronto Stock Exchange today under the ticker symbol CM.PR.O.

The Series 39 Shares were issued under a prospectus supplement dated June 2, 2014, to CIBC’s short form base shelf prospectus dated March 11, 2014.

CM.PR.O is a FixedReset, 3.90%+232, announced June 2. The issue will be tracked by HIMIPref™ and is assigned to the FixedReset subindex.

The issue has had its DBRS rating confirmed at Pfd-2 [Stable].

CM.PR.O traded 1,912,169 shares today (consolidated exchanges) in a range of 24.95-02 before closing at 25.01-02, 128×258. Vital statistics are:

CM.PR.O FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-11
Maturity Price : 23.16
Evaluated at bid price : 25.01
Bid-YTW : 3.81 %

June 10, 2014

Tuesday, June 10th, 2014

OK, so it looks like this series on power storage has turned into a three-day rant; particularly disconcerting because it has nothing whatsoever to do with Canadian preferred shares or even financial markets in general. Sorry, guys, but in the first place it’s interesting and in the second place Assiduous Reader JP keeps sending me interesting links, unlike youse other bums, who never send me NUTHIN’.

One thing I found myself was the 2011 Ontario Auditor General’s Report on Renewable Energy:

Since the prevalence of SBG events could threaten the reliability of the electricity system, the IESO has been taking action to ease the power surplus. However, there are technical difficulties and cost implications of these actions. Among them:

  • • Storing surplus power is difficult because of the seasonal nature of renewable energy and the need for unrealistically large storage capacity.


However, intermittent renewable energy sources such as wind and solar require fast-responding backup power and/or storage capacity to keep the supply of electricity steady when the skies are cloudy or the wind dies down. The OPA informed us that because viable large-scale energy storage is not available in Ontario, wind and solar power must be backed up by other forms of generation.

Despite these concerns, the cost and environmental impacts of such backup generation capacity were not formally analyzed to ensure that this information would be available to policy decision-makers. We noted that:

  • • Prior to the passage of the Green Energy and Green Economy Act in 2009, the Ministry did not quantify how much backup power would be required. It was not until February 2011 that the Minister issued a new supply-mix directive that asked the OPA to consider backup options, such as converting coal-fired plants to gas-fired operation, importing power from other jurisdictions, and developing storage systems. The OPA has not yet made any recommendations to the Ministry.
  • • The only analysis on backup power that the Ministry cited was a study done by a third party engaged by the OPA as part of its 2007 IPSP development. The study noted that 10,000 MW of wind would require an extra 47% of non-wind sources to handle extreme drops in wind. We noted that the third party who carried out this study also operated an Ontario wind farm, raising questions about the study’s objectivity. In spite of this, the OPA and the Ministry did not confirm or update
    this study’s projections and did not determine how much backup power would be required.

The only question left in my mind is: Is Ontario energy policy determined by morons, or is it determined by dolts? Never mind. Don’t answer. I don’t want to know.

Assiduous Reader JP sends me a link to a US Department of Energy report: Grid Energy Storage:

At present, the U.S. has about 24.6GW (approx. 2.3% of total electric production capacity) of grid storage, 95% of which is pumped storage hydro. Europe and Japan have notably higher fractions of grid storage. Pursuit of a clean energy future is motivating significantly increased storage development efforts in Europe and Asia, as well as the U.S.

In the past few years, the urgency of energy storage requirements has become a greater, more pressing issue that is expected to continue growing over the next decade:

  • California enacted a law in October 2010 requiring the California Public Utilities Commission (CPUC) to establish appropriate 2015 and 2020 energy storage procurement targets for California load serving entities, if cost effective and commercially viable by October 2013 (AB 2514). In February 2013, the CPUC determined that Southern California Edison must procure 50 MW of energy storage capacity by 2021 in Los Angeles area. Additionally, in June 2013, the CPUC proposed storage procurement targets and mechanisms totaling 1,325 MW of storage. Other States are looking to the example that California is setting, and Congress has introduced two bills that establish incentives for storage deployment.

    New capabilities of pumped hydro, through the use of variable speed pumping, is opening up the potential for the provision of additional services that may be used to assist in the integration of variable generation sources. Projects may be practically sized up to 4,000 MW and operate at about 76%–85% efficiency, depending on design. Pumped hydro plants have long lives, on the order of 50-60 years. As a general rule, a reservoir one kilometer in diameter, 25 meters deep, and having an average head of 200 meters would hold enough water to generate 10,000 MWh.

Japan is an emerging storage powerhouse:

Japan is emerging as a hot-spot for energy storage projects, as utilities and technology companies look to battery-based solutions in response to the surge in solar PV installations.

Two new battery storage projects have been announced in the past week, with Toshiba to install a 20MWh/40MW lithium-ion battery project in Tohuku, and the island of Okinawa announcing a 2MW battery storage project on Tuesday.

Japan is expected to be the largest market for solar PV installations in 2013, with around 9GW to be installed following the introduction of feed in tariffs last year in response to the Fukushima nuclear disaster.

… and Israel’s getting in on the action:

Alstom has signed two contracts totaling around €120 million1 with PSP Investment Ltd for the supply of two 150 MW pump-turbines with the associated balance of plant equipment and Alstom’s Distributed Control System (DCS) for the 300 MW Gilboa pumped storage power plant in Israel.

Alstom also signed an eighteen-year operation & maintenance (O&M) agreement, covering day-to-day operation and maintenance of the power plant. The project represents Alstom’s first entry into the Israeli hydro market and will be the country’s first pumped storage power station, Alstom already has a proven track record in the Israeli power generation market with respect to existing steam plants and gas plants.

The power plant, located 60 km east of Haifa, will be commissioned in 2018, and will increase the country’s installed power generation capacity by 2.5%. It will contribute to increasing the reliability of electricity supply and will provide an important tool to control the demand and distribution of electricity.

During off-peak hours, pumped storage uses the energy from other power stations to transfer water to a high storage reservoir. The stored water will later be reused to generate electricity to cover temporary peaks. This helps lower the overall operation cost of power production and levels the fluctuating output of intermittent power sources.

And what are we doing here in Ontari-ari-ari-owe, barely years after the Auditor-General’s report? Flywheels!

There’s nothing like a 4,000-kilogram spinning steel cylinder to smooth out the ups and downs of the power system.

At least, that’s what Temporal Power is betting on.

The fledgling firm showed off its technology to Ontario energy minister Bob Chiarelli on Wednesday.

Temporal is betting on flywheels as a solution to an increasing problem on Ontario’s power system: With an increasing amount of wind and solar power flowing onto the grid, you need systems that can counterbalance the natural ebbs and flows of renewables.

Temporal has an agreement with Ontario Power Generation and NRStore — a firm headed by Annette Verschuren —– for a flywheel facility to counter-balance the minute-by-minute voltage variations on the power grid.

As far as I can tell – from the DoE report – flywheels are good for conditioning power. For load-shifting … not so much.

But fear not! Time-of-Use Billing with our billion dollar smart meter programme will save us! Right? Right?

The most significant result of those presented below is that both the conventional impact analysis and the elasticity analysis report the same result for the estimated residential summer weekday On-Peak reduction, 3.3%.

The following is not a figure, it’s a table, but never mind.

Figure ES- 12: Approximate Impact on Average Residential Commodity Costs
Season On-Peak Mid-Peak Off-Peak Weekdays Weekend Total Within Season
Summer -$2 -$2 $0 $2 -$2
Summer Shoulder -$2 -$1 $0 $1 -$2
Winter -$2 -$2 $0 $0 -$3
Winter Shoulder $0 $0 $1 $0 $0
Total Across Seasons -$6 -$5 $2 $3 -$6

Turning back to finance, just as a change of pace, it seems that while Canadian household income coverage is still lousy, asset coverage is much better:

In a new report from Merrill Lynch, economist Emanuella Enenajor says Canadian consumers have been undergoing a “stealth deleveraging” – a significant reduction in debt accumulation that has largely flown under the radar because of the focus on the market’s favoured measure of household debt loads, the debt-to-disposable-income ratio. This sat at a record 164 per cent at the end of 2013 – widely seen as evidence that Canadians simply can’t break their reckless and unsustainable debt habit.

Statistics Canada data show that household debt growth in the fourth quarter was just 4.5 per cent year over year, the slowest since 2001. Non-mortgage debt (credit plus loans) grew just 0.1 per cent last year.

The problem is, the other half of the equation has slowed as well. Disposable income has grown 4.3 per cent annually, on average, since 2010, compared with 5.1 per cent annually in the decade before the financial crisis.

Canadian households’ debt-to-net-worth ratio – which takes into account the value of the assets acquired with much of that debt, such as real estate, and thus may be a more complete measure of the household debt burden – has been generally declining since the recession, and ended 2013 at its lowest level since the middle of 2008. Ms. Enenajor said that while rising asset values (namely, the continued strength in the residential real estate market) have helped, the key has been the slowdown in household debt growth. People are also saving more as their borrowing has slowed.

Bloomberg has a story about how the ECB’s negative interest rates are bringing back the carry trade, but I was more interested in the gorgeous collection of trite slogans and thought-substitutes embodied in a single quote:

“The ECB has signaled risk is on again,” Eric Busay, a Sacramento-based money manager at the California Public Employees’ Retirement System, the largest U.S. public pension fund with $294 billion in assets, said in a June 6 phone interview. “People are concerned when to exit the trade and they understand the rush to exit could be crowded. But at the same time, you have to be in it to win it.”

I love it! Say it with a straight face, win a CFA charter!

It was another positive day for the Canadian preferred share market, with PerpetualDiscounts winning 14bp, FixedResets up 8bp and DeemedRetractibles gaining 5bp. Volatility was virtually nonexistent. Volume was a little above average.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4974 % 2,525.8
FixedFloater 4.56 % 3.81 % 29,955 17.78 1 0.0000 % 3,768.4
Floater 2.89 % 3.02 % 45,131 19.60 4 0.4974 % 2,727.2
OpRet 4.38 % -10.11 % 26,719 0.08 2 -0.1167 % 2,710.0
SplitShare 4.81 % 4.24 % 62,170 4.14 5 0.1273 % 3,118.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1167 % 2,478.0
Perpetual-Premium 5.52 % 1.43 % 82,308 0.08 17 0.0532 % 2,400.0
Perpetual-Discount 5.26 % 5.29 % 115,809 14.95 20 0.1393 % 2,545.8
FixedReset 4.51 % 3.74 % 220,218 6.78 78 0.0765 % 2,527.9
Deemed-Retractible 5.00 % 1.03 % 147,343 0.14 43 0.0521 % 2,527.6
FloatingReset 2.67 % 2.51 % 132,919 3.97 6 0.1525 % 2,483.7
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-10
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 2.59 %
MFC.PR.K FixedReset 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 125,224 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-10
Maturity Price : 23.15
Evaluated at bid price : 25.01
Bid-YTW : 3.75 %
RY.PR.H FixedReset 120,030 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-10
Maturity Price : 23.16
Evaluated at bid price : 25.04
Bid-YTW : 3.76 %
TD.PF.A FixedReset 110,150 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-10
Maturity Price : 23.15
Evaluated at bid price : 25.04
Bid-YTW : 3.74 %
RY.PR.I FixedReset 82,215 RBC crossed 73,200 at 25.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.41 %
ENB.PR.T FixedReset 78,136 Scotia crossed blocks of 35,000 and 25,000, both at 24.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-10
Maturity Price : 22.91
Evaluated at bid price : 24.30
Bid-YTW : 4.13 %
SLF.PR.A Deemed-Retractible 72,189 RBC crossed 60,000 at 23.84.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.88
Bid-YTW : 5.30 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.C FixedReset Quote: 20.93 – 21.69
Spot Rate : 0.7600
Average : 0.5882

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-10
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 3.66 %

GCS.PR.A SplitShare Quote: 24.90 – 25.24
Spot Rate : 0.3400
Average : 0.2200

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.24 %

IAG.PR.A Deemed-Retractible Quote: 22.66 – 22.95
Spot Rate : 0.2900
Average : 0.2018

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 5.79 %

PWF.PR.K Perpetual-Discount Quote: 23.66 – 23.88
Spot Rate : 0.2200
Average : 0.1478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-10
Maturity Price : 23.38
Evaluated at bid price : 23.66
Bid-YTW : 5.29 %

CU.PR.F Perpetual-Discount Quote: 22.25 – 22.45
Spot Rate : 0.2000
Average : 0.1302

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-10
Maturity Price : 21.91
Evaluated at bid price : 22.25
Bid-YTW : 5.07 %

PWF.PR.E Perpetual-Premium Quote: 25.10 – 25.34
Spot Rate : 0.2400
Average : 0.1848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-10
Maturity Price : 24.88
Evaluated at bid price : 25.10
Bid-YTW : 5.55 %

June 9, 2014

Monday, June 9th, 2014

Assiduous Reader JP brings the following to my attention, in response to the bit about renewables’ effect on utilities:

Europe’s drive toward a power system based on renewable energy has gone so far that output will probably need to be cut within months because of oversupply.

Network operators are likely to curb solar and wind generation at times of low demand to prevent overloading the region’s 188,000 miles (302,557 kilometers) of power lines, Entso-e, the grid association in Brussels, said last month. Renewable output is poised to almost double to 18 percent by 2020, according to Energy Brainpool GmbH & Co. KG, a consulting firm in Berlin.

Europe’s fivefold surge in green energy in the past decade pushed prices to a nine-year low and wiped out $400 billion in market value of utilities from Germany’s RWE AG to GDF Suez SA in Paris.

European governments handed out $57 billion in 2012 for green energy projects, more than half of the global $101 billion, according to the International Energy Agency in Paris.

Investment in new European projects slowed to $43 billion last year from as much as $80.2 billion in 2012, according to Bloomberg New Energy Finance in London.

The spending came even as EU’s power demand peaked in 2008 and is poised to slide 0.3 percent this year, according to IHS Inc., a consulting firm based in Englewood, Colorado.

At some point, grid operators and power suppliers are going to have to come up with some way to store electricity, de facto if not de jure. My guess is that the best way to do this is to increase surge capacity in hydroelectric plants, so you just turn off the generators and let the water build up a little bit more behind the dam, until you need the power and can let things run flat out. This happens every day at Niagara Falls; surely the method could be extended to cover intermittent wind and solar supply with minimal tinkering.

Anybody with more insights into this … eMail me! I have posted a question on the Straight Dope Message Board, which is always a good resource.

What with it being close to election day and all, I thought I’d pass along Assiduous Reader JP’s note about promises, promises:

In what appears to be a first, the Lisgar GO station in Mississauga is going green.

As of about April 1 [2009], if plans stay on track, about 80 per cent of the busy train station’s electrical needs will be powered by the wind, courtesy of a brand new turbine that will generate roughly 56,000 kilowatts a day.

GO Transit spokeswoman Jessica Kosmack suggests the turbine’s $620,000 price tag will prove a bargain and perhaps become a prototype for other eco-oriented initiatives across the 8,000-kilometre GO network, which comprises 59 rail stations and numerous bus routes.

reality, reality:

A wind turbine pilot project at a GO station in Mississauga, built for $620,000, is producing 91 per cent less electricity than originally projected.

The turbine, unveiled at Lisgar GO station in April 2009, was expected to produce 98,550 kilowatt hours (kWh) per year — enough to power 80 per cent of the station’s electricity needs.

More than four years later, it is only producing around 9,000 kWh per year, or about 9 per cent of projections.

That’s enough electricity to power a single typical household in Toronto for nine months.

Metrolinx blamed “inconsistent localized wind levels” and new development in the area for the turbine’s underperformance. A spokeswoman still called it a “marginal success.”

Other marginal successes include Enron, Chrysler, Bre-X and Nortel.

It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 14bp, FixedResets up 12bp and DeemedRetractibles gaining 8bp. Volatility was average and the Performance Highlights table is comprised entirely of FixedResets, which continue to adjust after the recent carnage and partial recovery. Volume was very low.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2618 % 2,513.3
FixedFloater 4.56 % 3.81 % 30,237 17.78 1 0.0000 % 3,768.4
Floater 2.90 % 3.03 % 45,595 19.58 4 -0.2618 % 2,713.7
OpRet 4.38 % -12.47 % 27,822 0.08 2 -0.1748 % 2,713.2
SplitShare 4.81 % 4.30 % 64,716 4.14 5 0.1753 % 3,114.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1748 % 2,480.9
Perpetual-Premium 5.52 % 2.65 % 82,715 0.08 17 -0.0139 % 2,398.7
Perpetual-Discount 5.27 % 5.28 % 107,160 14.97 20 0.1374 % 2,542.2
FixedReset 4.51 % 3.74 % 220,259 6.78 78 0.1214 % 2,525.9
Deemed-Retractible 5.01 % 1.44 % 148,691 0.21 43 0.0773 % 2,526.2
FloatingReset 2.68 % 2.52 % 134,814 3.97 6 -0.0199 % 2,479.9
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.32
Bid-YTW : 4.14 %
CU.PR.C FixedReset -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.61 %
MFC.PR.J FixedReset -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 3.66 %
BAM.PR.T FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-09
Maturity Price : 23.34
Evaluated at bid price : 24.79
Bid-YTW : 4.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 239,548 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-09
Maturity Price : 23.15
Evaluated at bid price : 25.00
Bid-YTW : 3.75 %
IFC.PR.A FixedReset 215,207 RBC crossed blocks of 133,700 and 64,800, both at 23.75.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 4.38 %
BAM.PF.F FixedReset 135,410 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-09
Maturity Price : 23.14
Evaluated at bid price : 24.98
Bid-YTW : 4.39 %
RY.PR.H FixedReset 113,905 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-09
Maturity Price : 23.15
Evaluated at bid price : 25.01
Bid-YTW : 3.76 %
BAM.PF.C Perpetual-Discount 110,571 Scotia crossed blocks of 58,200 and 30,000, both at 22.10.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-09
Maturity Price : 21.82
Evaluated at bid price : 22.12
Bid-YTW : 5.57 %
TD.PF.A FixedReset 106,020 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-09
Maturity Price : 23.15
Evaluated at bid price : 25.04
Bid-YTW : 3.74 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Quote: 24.32 – 24.95
Spot Rate : 0.6300
Average : 0.4507

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.32
Bid-YTW : 4.14 %

HSB.PR.C Deemed-Retractible Quote: 25.46 – 25.70
Spot Rate : 0.2400
Average : 0.1604

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : -1.03 %

ELF.PR.H Perpetual-Discount Quote: 24.75 – 25.03
Spot Rate : 0.2800
Average : 0.2075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-09
Maturity Price : 24.33
Evaluated at bid price : 24.75
Bid-YTW : 5.63 %

RY.PR.I FixedReset Quote: 25.12 – 25.33
Spot Rate : 0.2100
Average : 0.1390

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 3.46 %

VNR.PR.A FixedReset Quote: 25.65 – 26.00
Spot Rate : 0.3500
Average : 0.2827

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.75 %

ENB.PF.A FixedReset Quote: 25.10 – 25.33
Spot Rate : 0.2300
Average : 0.1648

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-06-09
Maturity Price : 23.17
Evaluated at bid price : 25.10
Bid-YTW : 4.19 %