May 15, 2014

Scotiabank will be selling its minority position in CI Financial:

Scotiabank owns 37 per cent of CI Financial Corp., a position now worth $3.8-billion. The country’s third-largest lender intends to “monetize” the stake at a time when wealth managers are in heavy demand and the S&P/TSX composite index nears a record high. Since the start of 2013, CI’s stock has climbed 44 per cent and the company now has $97-billion worth of assets under management.

Under the terms of an agreement between the two parties, Scotiabank cannot sell more than 20 per cent of CI to one purchaser. For that reason, the position could either be split up among multiple strategic parties, or could be sold directly to investors through a public offering.

DBRS confirmed FFN.PR.A at Pfd-4(high):

Although downside protection has increased over the past year, the Preferred Share dividend coverage ratio is below 1.0 times and the monthly Class A Share distribution is expected to result in a grind on the portfolio of 4.5% for the remaining six months until maturity. As a result, the rating of the Preferred Shares has been confirmed at Pfd-4 (high).

DBRS is behind the times – the term was extended yesterday.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 4bp, FixedResets off 7bp and DeemedRetractibles gaining 3bp. Volatility was minimal. Volume was below average.

PerpetualDiscounts now yield 5.24%, equivalent to 6.81% interest at the standard equivalency factor of 1.3x. Long corporates yield about 4.4%, so the pre-tax interest-equivalent spread is now about 240bp, a significant tightening from the 250bp reported May 7.

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 0.2678 % 2,470.6
FixedFloater 4.53 % 3.77 % 33,479 17.89 1 1.8447 % 3,791.9
Floater 2.95 % 3.09 % 51,439 19.47 4 0.2678 % 2,667.6
OpRet 4.38 % -6.23 % 32,203 0.13 2 0.0585 % 2,709.5
SplitShare 4.79 % 4.38 % 64,338 4.16 5 0.1824 % 3,099.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0585 % 2,477.5
Perpetual-Premium 5.50 % -11.33 % 96,857 0.09 15 0.0052 % 2,405.9
Perpetual-Discount 5.28 % 5.24 % 113,710 14.95 21 0.0444 % 2,554.0
FixedReset 4.53 % 3.51 % 206,676 4.26 75 -0.0731 % 2,561.3
Deemed-Retractible 4.98 % -3.82 % 142,678 0.11 42 0.0265 % 2,526.1
FloatingReset 2.65 % 2.33 % 145,024 4.05 6 0.0726 % 2,495.1
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.56 %
GCS.PR.A SplitShare 1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.10 %
BAM.PR.G FixedFloater 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-15
Maturity Price : 21.58
Evaluated at bid price : 20.98
Bid-YTW : 3.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset 60,608 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.49
Bid-YTW : 3.64 %
MFC.PR.B Deemed-Retractible 51,538 TD crossed 47,000 at 22.93.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 5.72 %
MFC.PR.L FixedReset 39,285 Desjardins crossed 13,000 at 24.95.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.87 %
MFC.PR.G FixedReset 37,616 Scotia crossed 25,200 at 26.05.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 2.65 %
GWO.PR.Q Deemed-Retractible 34,910 RBC bought 30,800 from CIBC at 24.85.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.33 %
POW.PR.D Perpetual-Discount 30,738 Nesbitt crossed 27,100 at 24.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-15
Maturity Price : 23.70
Evaluated at bid price : 24.00
Bid-YTW : 5.25 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.K Perpetual-Discount Quote: 23.88 – 24.20
Spot Rate : 0.3200
Average : 0.2259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-15
Maturity Price : 23.58
Evaluated at bid price : 23.88
Bid-YTW : 5.21 %

SLF.PR.H FixedReset Quote: 25.32 – 25.50
Spot Rate : 0.1800
Average : 0.1071

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.56 %

ENB.PR.A Perpetual-Premium Quote: 25.29 – 25.52
Spot Rate : 0.2300
Average : 0.1642

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : -11.33 %

BAM.PF.D Perpetual-Discount Quote: 22.42 – 22.59
Spot Rate : 0.1700
Average : 0.1096

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-15
Maturity Price : 22.10
Evaluated at bid price : 22.42
Bid-YTW : 5.53 %

TRP.PR.D FixedReset Quote: 25.12 – 25.28
Spot Rate : 0.1600
Average : 0.1078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-15
Maturity Price : 23.20
Evaluated at bid price : 25.12
Bid-YTW : 3.88 %

BAM.PF.A FixedReset Quote: 26.00 – 26.18
Spot Rate : 0.1800
Average : 0.1319

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.66 %

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