{"id":26922,"date":"2014-11-28T22:21:53","date_gmt":"2014-11-29T03:21:53","guid":{"rendered":"http:\/\/prefblog.com\/?p=26922"},"modified":"2014-11-28T22:21:53","modified_gmt":"2014-11-29T03:21:53","slug":"november-28-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=26922","title":{"rendered":"November 28, 2014"},"content":{"rendered":"

Update, 2014-11-30<\/b>: A large portion of the material previously published in this post has been given its own dedicated post, Prof. Jeffrey MacIntosh on the National Securities Regulator<\/a><\/i><\/p>\n

European inflation is still elusive<\/a>:<\/p>\n

Consumer prices rose 0.3 percent from a year earlier, the European Union\u2019s statistics office in Luxembourg said today. That was in line with the median forecast of 41 economists in a Bloomberg News survey. Unemployment (UMRTEMU) held at 11.5 percent in October, Eurostat said in a separate report.
…<\/b>
The Eurostat report showed that energy prices fell 2.5 percent in November from a year earlier. Crude oil has plunged more than 30 percent in the past three months. Food, alcohol and tobacco prices increased 0.5 percent.<\/p>\n

Core inflation, which strips out volatile items such as energy, food, tobacco and alcohol, stayed at 0.7 percent in November, according to Eurostat.<\/p>\n

\u201cThe only crumb of comfort for the ECB \u2013- and it is not much -\u2013 is that November\u2019s renewed drop in inflation was entirely due to an increased year-on-year drop in energy prices,\u201d said Howard Archer, chief European economist at IHS Global Insight in London.<\/p><\/blockquote>\n

… and at least one pundit is muttering that the oil price graph will not be V-shaped<\/a>:<\/p>\n

But Andy Xie, the often-contrarian former top Asia-Pacific economist for Morgan Stanley, warned that the massive investment overhang in China, valued at more than $6-trillion, will dramatically affect its energy demand growth, and will, as a result, rein in oil prices for a long time to come.<\/p>\n

\u201cChina\u2019s energy demand, the only source of growth for a decade, has fallen sharply,\u201d he said in an interview. \u201cThere are several conspiracy theories out there. None can affect demand supply balance, which determines prices.\u201d<\/p>\n

In mid-September, more than a month before Goldman Sachs rocked markets with its prediction that oil prices would fall to $70 a barrel, Mr. Xie told a conference in Kuwait that he expected oil prices to nosedive to $60. The audience laughed. Now, he\u2019s being invited back to speak again.<\/p><\/blockquote>\n

BMO Capital Trust is redeeming a big slug of Innovative Tier 1 Capital<\/a> (or AT1, as the cool guys call it):<\/p>\n

BMO Capital Trust (the “Trust”), a subsidiary of Bank of Montreal, today announced its intention to redeem at par all of its Trust Capital Securities – Series D (“BMO BOaTS – Series D”), on December 31, 2014. The BMO BOaTS – Series D are redeemable at the Trust’s option from December 31, 2014, at a redemption amount equal to $1,000 plus unpaid indicated distributions. Notice will be delivered to BMO BOaTS – Series D holders in accordance with the terms outlined in the BMO BOaTS – Series D prospectus.<\/p>\n

After December 31, 2014, holders of BMO BOaTS – Series D will be entitled only to receiving the redemption price and will no longer be entitled to indicated distributions and exercising any other rights.<\/p><\/blockquote>\n

According to the 2013 Annual Report<\/a>:<\/p>\n

After December 31, 2014, the distribution [on BOaTS Series D] will be at the Bankers\u2019 Acceptance Rate plus 1.5%.
…<\/b>
The BMO BOaTS Series D and E and BMO T1Ns \u2013 Series A will each be automatically exchanged for 40 Class B non-cumulative preferred shares of the bank, Series 11, 12 and 20, respectively, without the consent of the holders on the occurrence of specific events, such as a wind-up of the bank, a regulatory requirement to increase capital or violations of regulatory capital requirements.<\/p><\/blockquote>\n

LBS.PR.A was confirmed at Pfd-3(low) by DBRS<\/a>:<\/p>\n

The performance of the Portfolio has experienced some volatility over the past few months, with the downside protection fluctuating between 46.4% and 52.0% from July to October. As of October 31, 2014, the downside protection available to the Preferred Shares is approximately 49.2% and the dividend coverage ratio is about 1.1 times. The Pfd-3 (low) rating of the Preferred Shares is based primarily on the downside protection available and the additional protection provided by an asset coverage test, which does not permit any distributions to holders of the Class A Shares if the NAV of the Company falls below $15.<\/p>\n

The main constraints to the rating are (1) the Company\u2019s dependence on the value and dividend policies of the securities in the Portfolio and (2) the reliance on the manager to generate a high yield on the Portfolio to meet distributions and other trust expenses without having to liquidate portfolio securities.<\/p><\/blockquote>\n

The Asset Coverage Ratio for this issue was 2.1-:1 as of November 27<\/a>.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 26bp, FixedResets off 9bp and DeemedRetractibles gaining 4bp. Volatility was high, with the winners being exclusively BAM PerpetualDiscounts. Volume was quite low.<\/p>\n

And that’s it for November!<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0565 %<\/td>\n2,543.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0565 %<\/td>\n4,026.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.96 %<\/td>\n3.08 %<\/td>\n63,165<\/td>\n19.47<\/td>\n4<\/td>\n0.0565 %<\/td>\n2,703.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.04 %<\/td>\n-3.56 %<\/td>\n98,179<\/td>\n0.08<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,760.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.27 %<\/td>\n3.89 %<\/td>\n49,223<\/td>\n3.76<\/td>\n5<\/td>\n-0.2898 %<\/td>\n3,198.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n2,523.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.44 %<\/td>\n-8.19 %<\/td>\n71,631<\/td>\n0.09<\/td>\n19<\/td>\n-0.0123 %<\/td>\n2,485.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.11 %<\/td>\n5.01 %<\/td>\n110,753<\/td>\n15.41<\/td>\n16<\/td>\n0.2586 %<\/td>\n2,682.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.16 %<\/td>\n3.57 %<\/td>\n184,950<\/td>\n4.90<\/td>\n73<\/td>\n-0.0873 %<\/td>\n2,587.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.95 %<\/td>\n-1.48 %<\/td>\n99,875<\/td>\n0.09<\/td>\n40<\/td>\n0.0414 %<\/td>\n2,617.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.55 %<\/td>\n-4.71 %<\/td>\n59,284<\/td>\n0.08<\/td>\n6<\/td>\n-0.0456 %<\/td>\n2,555.8<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.52
\nBid-YTW : 3.23 %<\/td>\n<\/tr>\n
CGI.PR.D<\/td>\nSplitShare<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2023-06-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 3.47 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-28
\nMaturity Price : 21.46
\nEvaluated at bid price : 21.46
\nBid-YTW : 3.98 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Premium<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-28
\nMaturity Price : 24.69
\nEvaluated at bid price : 25.01
\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n
BAM.PF.C<\/td>\nPerpetual-Discount<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-28
\nMaturity Price : 22.14
\nEvaluated at bid price : 22.46
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-28
\nMaturity Price : 21.98
\nEvaluated at bid price : 22.36
\nBid-YTW : 5.38 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-28
\nMaturity Price : 21.88
\nEvaluated at bid price : 22.36
\nBid-YTW : 5.37 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\n62,900<\/td>\nRBC bought 11,000 from Desjardins at 25.35.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.32
\nBid-YTW : -0.18 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nDeemed-Retractible<\/td>\n62,674<\/td>\nNesbitt crossed blocks of 28,600 and 30,000, both at 25.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-28
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.84
\nBid-YTW : -7.48 %<\/td>\n<\/tr>\n
BAM.PF.F<\/td>\nFixedReset<\/td>\n37,330<\/td>\nDesjardins crossed 31,000 at 25.76.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.73
\nBid-YTW : 4.02 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n30,180<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 3.54 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n26,000<\/td>\nNesbitt crossed 22,000 at 25.95.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.81
\nBid-YTW : 3.81 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n24,537<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-28
\nMaturity Price : 18.54
\nEvaluated at bid price : 18.54
\nBid-YTW : 3.76 %<\/td>\n<\/tr>\n
There were 19 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.52 – 25.93
\nSpot Rate : 0.4100
\nAverage : 0.2564<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.52
\nBid-YTW : 3.23 %<\/td>\n<\/tr>\n

W.PR.J<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.20 – 25.46
\nSpot Rate : 0.2600
\nAverage : 0.1694<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : 4.07 %<\/td>\n<\/tr>\n

SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.45 – 24.69
\nSpot Rate : 0.2400
\nAverage : 0.1601<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.45
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n

ENB.PR.F<\/td>\nFixedReset<\/td>\nQuote: 24.54 – 24.79
\nSpot Rate : 0.2500
\nAverage : 0.1778<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-28
\nMaturity Price : 23.14
\nEvaluated at bid price : 24.54
\nBid-YTW : 3.99 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.61 – 23.95
\nSpot Rate : 0.3400
\nAverage : 0.2720<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.61
\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n

TD.PR.R<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.46 – 26.77
\nSpot Rate : 0.3100
\nAverage : 0.2423<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-28
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.46
\nBid-YTW : -21.41 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Update, 2014-11-30: A large portion of the material previously published in this post has been given its own dedicated post, Prof. Jeffrey MacIntosh on the National Securities Regulator European inflation is still elusive: Consumer prices …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-26922","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26922","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=26922"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26922\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=26922"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=26922"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=26922"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}