I mentioned a new LRCN issued by iA Financial yesterday, but had no further information. A press release has been issued; Assiduous Reader skeptical has kindly provided the text.
The LRCN is a FixedReset, 6.611%+400, paid as interest, which is the equivalent of a dividend paying FixedReset, 5.085%+308 240. That’s a wider spread than the soon to be redeemed IAF.PR.G, which had been scheduled to reset at +285; but on the other hand it moves the liability to higher up on the capital structure (to the holdco from the opco) as well as diversifying the firm’s funding base … and issuers like to diversify their funders as much as funders like to diversify their issuers!
Of course, in the present case, a lot of the new funders will have been put in that position by sleazy or ignorant portfolio management firms, eager to stuff preferred shares (there is no meaningful difference between a preferred share and a LRCN – only technicalities of tax law, which won’t help much when the shit hits the fan) into a bond portfolio, thanks to the naivety of gullible clients with a badly written mandate … but who cares? OSFI wants gullible bond investors to take unsuspected risks, because, um, Canada.
| 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 | 3.94 % | 4.60 % | 17,389 | 18.12 | 1 | 0.6149 % | 2,564.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8182 % | 4,993.3 |
| Floater | 4.13 % | 4.16 % | 41,080 | 17.03 | 3 | 0.8182 % | 2,877.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1399 % | 3,509.7 |
| SplitShare | 4.85 % | 5.22 % | 39,906 | 3.24 | 8 | -0.1399 % | 4,191.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1399 % | 3,270.3 |
| Perpetual-Premium | 5.90 % | 5.96 % | 65,318 | 13.92 | 1 | 0.0000 % | 2,958.2 |
| Perpetual-Discount | 5.71 % | 5.81 % | 61,959 | 14.18 | 35 | 0.7066 % | 3,254.2 |
| FixedReset Disc | 4.54 % | 5.77 % | 117,603 | 14.41 | 58 | 0.5199 % | 2,557.6 |
| Insurance Straight | 5.62 % | 5.79 % | 88,452 | 14.13 | 20 | 1.0534 % | 3,194.6 |
| FloatingReset | 4.65 % | 4.96 % | 56,673 | 15.50 | 2 | 1.8663 % | 2,658.2 |
| FixedReset Prem | 5.09 % | 5.09 % | 117,720 | 2.05 | 9 | 0.1649 % | 2,590.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5199 % | 2,614.4 |
| FixedReset Ins Non | 4.44 % | 5.65 % | 70,683 | 14.51 | 15 | 0.2483 % | 2,702.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PVS.PR.I | SplitShare | -1.62 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.31 Bid-YTW : 5.62 % |
| BIP.PR.A | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 22.10 Evaluated at bid price : 22.50 Bid-YTW : 6.51 % |
| TD.PF.D | FixedReset Disc | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.30 Evaluated at bid price : 21.60 Bid-YTW : 5.83 % |
| PWF.PR.S | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 5.84 % |
| IFC.PR.A | FixedReset Ins Non | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.65 % |
| POW.PR.A | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 23.85 Evaluated at bid price : 24.10 Bid-YTW : 5.89 % |
| BIP.PR.F | FixedReset Prem | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 23.19 Evaluated at bid price : 23.60 Bid-YTW : 5.95 % |
| FTS.PR.K | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 6.32 % |
| CM.PR.P | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.66 % |
| SLF.PR.D | Insurance Straight | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.47 % |
| PWF.PR.L | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.74 Evaluated at bid price : 21.99 Bid-YTW : 5.86 % |
| PWF.PR.R | Perpetual-Discount | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 23.21 Evaluated at bid price : 23.51 Bid-YTW : 5.91 % |
| TRP.PR.E | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.33 % |
| MFC.PR.J | FixedReset Ins Non | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 23.23 Evaluated at bid price : 23.85 Bid-YTW : 5.49 % |
| SLF.PR.C | Insurance Straight | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 20.59 Evaluated at bid price : 20.59 Bid-YTW : 5.50 % |
| GWO.PR.P | Insurance Straight | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 23.27 Evaluated at bid price : 23.57 Bid-YTW : 5.81 % |
| PWF.PR.E | Perpetual-Discount | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 23.22 Evaluated at bid price : 23.52 Bid-YTW : 5.90 % |
| PWF.PR.P | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 6.27 % |
| RY.PR.H | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.58 % |
| POW.PR.G | Perpetual-Discount | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 24.00 Evaluated at bid price : 24.25 Bid-YTW : 5.85 % |
| GWO.PR.Y | Insurance Straight | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.62 % |
| TD.PF.A | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 5.61 % |
| PWF.PR.K | Perpetual-Discount | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.83 % |
| BMO.PR.E | FixedReset Disc | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 24.08 Evaluated at bid price : 24.44 Bid-YTW : 5.45 % |
| SLF.PR.E | Insurance Straight | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 5.49 % |
| GWO.PR.H | Insurance Straight | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.81 % |
| BAM.PR.M | Perpetual-Discount | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.17 Evaluated at bid price : 21.17 Bid-YTW : 5.71 % |
| RY.PR.J | FixedReset Disc | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.90 Evaluated at bid price : 22.20 Bid-YTW : 5.68 % |
| POW.PR.D | Perpetual-Discount | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.97 Evaluated at bid price : 22.20 Bid-YTW : 5.70 % |
| BAM.PR.N | Perpetual-Discount | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.71 % |
| PWF.PR.F | Perpetual-Discount | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 5.81 % |
| BAM.PR.K | Floater | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 4.23 % |
| NA.PR.S | FixedReset Disc | 2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.78 Evaluated at bid price : 22.27 Bid-YTW : 5.58 % |
| BNS.PR.I | FixedReset Disc | 2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 24.19 Evaluated at bid price : 24.50 Bid-YTW : 5.22 % |
| TRP.PR.C | FixedReset Disc | 2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 13.93 Evaluated at bid price : 13.93 Bid-YTW : 6.68 % |
| MFC.PR.C | Insurance Straight | 2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.47 % |
| GWO.PR.T | Insurance Straight | 3.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 22.49 Evaluated at bid price : 22.85 Bid-YTW : 5.71 % |
| TRP.PR.F | FloatingReset | 3.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 4.96 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.C | FixedReset Disc | 92,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 24.25 Evaluated at bid price : 24.84 Bid-YTW : 6.14 % |
| PWF.PR.H | Perpetual-Discount | 50,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 24.30 Evaluated at bid price : 24.61 Bid-YTW : 5.90 % |
| RY.PR.Z | FixedReset Disc | 24,671 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.57 % |
| TD.PF.B | FixedReset Disc | 22,335 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.29 Evaluated at bid price : 21.29 Bid-YTW : 5.65 % |
| BAM.PF.D | Perpetual-Discount | 21,640 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 5.70 % |
| BAM.PF.A | FixedReset Disc | 18,603 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-26 Maturity Price : 22.68 Evaluated at bid price : 23.13 Bid-YTW : 6.06 % |
| There were 5 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.L | FixedReset Ins Non | Quote: 19.94 – 24.35 Spot Rate : 4.4100 Average : 2.4790 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 21.09 – 25.12 Spot Rate : 4.0300 Average : 2.2859 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 19.35 – 23.64 Spot Rate : 4.2900 Average : 3.5750 YTW SCENARIO |
| PWF.PR.Z | Perpetual-Discount | Quote: 22.55 – 24.00 Spot Rate : 1.4500 Average : 0.8682 YTW SCENARIO |
| GWO.PR.S | Insurance Straight | Quote: 22.70 – 23.89 Spot Rate : 1.1900 Average : 0.6941 YTW SCENARIO |
| BMO.PR.S | FixedReset Disc | Quote: 21.80 – 23.00 Spot Rate : 1.2000 Average : 0.8054 YTW SCENARIO |