{"id":28694,"date":"2015-04-16T22:33:50","date_gmt":"2015-04-17T03:33:50","guid":{"rendered":"http:\/\/prefblog.com\/?p=28694"},"modified":"2015-04-16T22:33:50","modified_gmt":"2015-04-17T03:33:50","slug":"april-16-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=28694","title":{"rendered":"April 16, 2015"},"content":{"rendered":"

Aston Hill is looking for a buyer<\/a>:<\/p>\n

Executives at Aston Hill Financial Inc. have been shopping their firm to other asset managers, hoping to find a buyer.<\/p>\n

Over the past two months, senior employees at Aston Hill have reached out to several Canadian firms and expressed interest in selling their company, according to multiple people familiar with the discussions.<\/p>\n

The overtures have been made at a volatile time for the company, which recently lost a high profile mandate to manage $2.2-billion \u200eworth of funds for IA Clarington Investments Inc. which prompted Aston Hill to slash its dividend.<\/p><\/blockquote>\n

In January 2011, Aston Hill renamed its subsidiary<\/a>, Catapult Financial Management Inc. to Aston Hill Investments Inc.<\/p>\n

Catapult was mentioned on PrefBlog in February 2009 as offering a closed-end actively managed preferred share fund<\/a>, Preferred Share Investment Trust. This fund now has $68.1-million under management<\/a> and is still managed by Aston Hill Investments Inc. Performance has been disappointing.<\/p>\n

It was another poor day for the Canadian preferred share market, with PerpetualDiscounts off 13bp, FixedResets losing 27bp and DeemedRetractibles down 15bp. The lengthy Performance Highlights table is dominated by losing FixedResets. Volume was extremely high.<\/p>\n

For as long as the FixedReset market is so violently unsettled, I\u2019ll keep publishing updates of the more interesting and meaningful series of FixedResets\u2019 Implied Volatilities. This doesn\u2019t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.<\/p>\n

Remember that all rich \/cheap assessments are:
\n\u00bb based on Implied Volatility Theory only
\n\u00bb are relative only to other FixedResets from the same issuer
\n\u00bb assume constant GOC-5 yield
\n\u00bb assume constant Implied Volatility
\n\u00bb assume constant spread<\/p>\n

Here\u2019s TRP:<\/p>\n

\"impVol_TRP_150416\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 22.96 to be $1.11 rich, while TRP.PR.B, resetting 2015-6-30 at +128, is $0.98 cheap at its bid price of 13.50.<\/p>\n

\"impVol_MFC_150416\"<\/a>
Click for Big<\/i><\/div>\n

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).<\/p>\n

Most expensive is MFC.PR.J, resetting at +261 on 2018-3-19, bid at 24.30 to be $0.49 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 25.12 to be $0.70 cheap.<\/p>\n

\"impVol_BAM_150416\"<\/a>
Click for Big<\/i><\/div>\n

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.06 to be $0.56 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 23.61 and appears to be $0.57 rich.<\/p>\n

\"impVol_FTS_150416\"<\/a>
Click for Big<\/i><\/div>\n

This is just weird because the middle is expensive and the ends are cheap but anyway \u2026 FTS.PR.H, with a spread of +145bp, and bid at 15.25, looks $1.01 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.05 and is $0.46 rich.<\/p>\n

\"pairs_FR_150416\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs other than TRP.PR.A \/ TRP.PR.F now predict an average over the next five years of about 0.30%, up marginally on the day. TRP.PR.A \/ TRP.PR.F remains an outlier, predicting 0.70%. The DC.PR.B \/ DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3\/4 years of -1.29%.<\/p>\n

\"pairs_FF_150416\"<\/a>
Click for Big<\/i><\/div>\n

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?<\/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>\n1.2637 %<\/td>\n2,211.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.2637 %<\/td>\n3,866.6<\/td>\n<\/tr>\n
Floater<\/td>\n3.28 %<\/td>\n3.41 %<\/td>\n58,156<\/td>\n18.74<\/td>\n4<\/td>\n1.2637 %<\/td>\n2,350.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.43 %<\/td>\n-1.59 %<\/td>\n38,516<\/td>\n0.13<\/td>\n2<\/td>\n0.0000 %<\/td>\n2,762.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.58 %<\/td>\n4.57 %<\/td>\n62,057<\/td>\n3.42<\/td>\n3<\/td>\n-0.0668 %<\/td>\n3,219.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n2,525.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.33 %<\/td>\n-0.12 %<\/td>\n64,639<\/td>\n0.08<\/td>\n25<\/td>\n-0.1598 %<\/td>\n2,516.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.15 %<\/td>\n5.08 %<\/td>\n145,758<\/td>\n14.91<\/td>\n9<\/td>\n-0.1327 %<\/td>\n2,770.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.61 %<\/td>\n3.80 %<\/td>\n263,395<\/td>\n16.35<\/td>\n85<\/td>\n-0.2724 %<\/td>\n2,316.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.90 %<\/td>\n2.38 %<\/td>\n106,875<\/td>\n0.16<\/td>\n36<\/td>\n-0.1484 %<\/td>\n2,653.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.54 %<\/td>\n2.99 %<\/td>\n77,851<\/td>\n6.25<\/td>\n8<\/td>\n-0.0535 %<\/td>\n2,344.0<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\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
BAM.PF.E<\/td>\nFixedReset<\/td>\n-4.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 21.56
\nEvaluated at bid price : 21.56
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset<\/td>\n-2.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.46
\nBid-YTW : 5.24 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n-2.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 22.28
\nEvaluated at bid price : 22.96
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n-1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 21.98
\nEvaluated at bid price : 22.42
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 23.27
\nEvaluated at bid price : 24.31
\nBid-YTW : 3.31 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 22.80
\nEvaluated at bid price : 24.00
\nBid-YTW : 3.25 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Premium<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 24.29
\nEvaluated at bid price : 24.72
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.30
\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n
FTS.PR.M<\/td>\nFixedReset<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 22.69
\nEvaluated at bid price : 23.75
\nBid-YTW : 3.59 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.39
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 21.35
\nEvaluated at bid price : 21.35
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n
CIU.PR.C<\/td>\nFixedReset<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 16.30
\nEvaluated at bid price : 16.30
\nBid-YTW : 3.46 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 14.70
\nEvaluated at bid price : 14.70
\nBid-YTW : 3.41 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n2.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 14.65
\nEvaluated at bid price : 14.65
\nBid-YTW : 3.42 %<\/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
RY.PR.J<\/td>\nFixedReset<\/td>\n152,806<\/td>\nRBC crossed 90,000 at 25.02.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 23.12
\nEvaluated at bid price : 24.90
\nBid-YTW : 3.47 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n131,600<\/td>\nTD crossed 120,000 at 24.04.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 22.66
\nEvaluated at bid price : 23.71
\nBid-YTW : 3.29 %<\/td>\n<\/tr>\n
BIP.PR.A<\/td>\nFixedReset<\/td>\n88,298<\/td>\nTD crossed two blocks of 40,000 each, both at 24.60.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 22.97
\nEvaluated at bid price : 24.50
\nBid-YTW : 4.42 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n80,400<\/td>\nTD crossed 70,000 at 24.40.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 22.91
\nEvaluated at bid price : 24.30
\nBid-YTW : 3.20 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset<\/td>\n73,200<\/td>\nRBC crossed 25,000 at 24.80.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 23.03
\nEvaluated at bid price : 24.67
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
TRP.PR.G<\/td>\nFixedReset<\/td>\n70,700<\/td>\nDesjardins crossed 50,000 at 24.87.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 23.07
\nEvaluated at bid price : 24.85
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
There were 69 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.K<\/td>\nFixedReset<\/td>\nQuote: 21.46 – 22.14
\nSpot Rate : 0.6800
\nAverage : 0.4802<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.46
\nBid-YTW : 5.24 %<\/td>\n<\/tr>\n

CU.PR.D<\/td>\nPerpetual-Premium<\/td>\nQuote: 24.80 – 25.21
\nSpot Rate : 0.4100
\nAverage : 0.2512<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 24.34
\nEvaluated at bid price : 24.80
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n

MFC.PR.N<\/td>\nFixedReset<\/td>\nQuote: 22.79 – 23.49
\nSpot Rate : 0.7000
\nAverage : 0.5427<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.79
\nBid-YTW : 4.66 %<\/td>\n<\/tr>\n

TD.PF.C<\/td>\nFixedReset<\/td>\nQuote: 23.71 – 24.14
\nSpot Rate : 0.4300
\nAverage : 0.2890<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 22.66
\nEvaluated at bid price : 23.71
\nBid-YTW : 3.29 %<\/td>\n<\/tr>\n

BAM.PR.X<\/td>\nFixedReset<\/td>\nQuote: 16.46 – 16.89
\nSpot Rate : 0.4300
\nAverage : 0.2895<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-16
\nMaturity Price : 16.46
\nEvaluated at bid price : 16.46
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n

NA.PR.M<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.61 – 25.94
\nSpot Rate : 0.3300
\nAverage : 0.2081<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-06-14
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.61
\nBid-YTW : 0.32 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Aston Hill is looking for a buyer: Executives at Aston Hill Financial Inc. have been shopping their firm to other asset managers, hoping to find a buyer. Over the past two months, senior employees at …<\/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-28694","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/28694","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=28694"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/28694\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=28694"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=28694"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=28694"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}