August 21, 2014

August 21st, 2014

Nothing happened again today. Dull week.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 6bp, FixedResets up 10bp and DeemedRetractibles gaining 4bp. Volatility was nil. 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 -0.2232 % 2,612.6
FixedFloater 4.17 % 3.41 % 25,928 18.56 1 0.0000 % 4,156.5
Floater 2.94 % 3.07 % 46,255 19.51 4 -0.2232 % 2,701.6
OpRet 4.05 % -3.21 % 91,337 0.08 1 0.1582 % 2,728.2
SplitShare 4.23 % 3.79 % 72,384 3.99 6 0.2157 % 3,150.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1582 % 2,494.6
Perpetual-Premium 5.49 % -0.46 % 83,196 0.08 19 0.0496 % 2,437.0
Perpetual-Discount 5.23 % 5.17 % 111,046 15.18 17 -0.0554 % 2,594.4
FixedReset 4.29 % 3.63 % 188,998 8.63 76 0.0998 % 2,569.1
Deemed-Retractible 4.99 % 2.42 % 105,448 0.35 42 0.0370 % 2,556.5
FloatingReset 2.64 % 2.07 % 89,055 3.81 6 -0.0590 % 2,523.6
Performance Highlights
Issue Index Change Notes
No individual gains or losses exceeding 1%!
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset 262,112 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 3.88 %
CU.PR.E Perpetual-Discount 100,000 Nesbitt crossed 100,000 at 24.55.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-21
Maturity Price : 24.04
Evaluated at bid price : 24.45
Bid-YTW : 5.01 %
TD.PF.A FixedReset 60,080 Desjardins crossed 58,900 at 25.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-21
Maturity Price : 23.25
Evaluated at bid price : 25.32
Bid-YTW : 3.64 %
BNS.PR.O Deemed-Retractible 52,600 TD crossed 50,000 at 26.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-20
Maturity Price : 25.75
Evaluated at bid price : 26.20
Bid-YTW : -11.54 %
BAM.PR.B Floater 49,580 Nesbitt crossed 40,000 at 17.22.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-21
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.07 %
MFC.PR.H FixedReset 34,125 TD crossed 25,000 at 26.15.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 2.67 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PR.S FixedReset Quote: 25.31 – 25.89
Spot Rate : 0.5800
Average : 0.3601

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.10 %

RY.PR.F Deemed-Retractible Quote: 25.56 – 25.76
Spot Rate : 0.2000
Average : 0.1366

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-20
Maturity Price : 25.50
Evaluated at bid price : 25.56
Bid-YTW : 1.06 %

CU.PR.D Perpetual-Discount Quote: 24.36 – 24.64
Spot Rate : 0.2800
Average : 0.2184

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-21
Maturity Price : 23.96
Evaluated at bid price : 24.36
Bid-YTW : 5.03 %

ENB.PR.P FixedReset Quote: 24.25 – 24.44
Spot Rate : 0.1900
Average : 0.1310

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-21
Maturity Price : 22.92
Evaluated at bid price : 24.25
Bid-YTW : 4.04 %

ENB.PR.F FixedReset Quote: 24.76 – 24.97
Spot Rate : 0.2100
Average : 0.1528

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-21
Maturity Price : 23.19
Evaluated at bid price : 24.76
Bid-YTW : 3.95 %

HSB.PR.D Deemed-Retractible Quote: 25.20 – 25.45
Spot Rate : 0.2500
Average : 0.1945

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.76 %

August 20, 2014

August 21st, 2014

Nothing happened today, either.

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts flat, FixedResets gaining 1bp and DeemedRetractibles off 8bp. Volatility was minimal. Volume was on the low side of 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 -0.1254 % 2,618.4
FixedFloater 4.17 % 3.41 % 26,205 18.56 1 -0.0439 % 4,156.5
Floater 2.93 % 3.07 % 45,466 19.51 4 -0.1254 % 2,707.7
OpRet 4.05 % -1.44 % 92,688 0.08 1 0.0000 % 2,723.9
SplitShare 4.24 % 3.86 % 73,412 3.99 6 0.1860 % 3,143.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,490.7
Perpetual-Premium 5.49 % -1.10 % 83,428 0.08 19 -0.0579 % 2,435.8
Perpetual-Discount 5.23 % 5.17 % 112,121 15.18 17 0.0025 % 2,595.8
FixedReset 4.29 % 3.63 % 189,155 8.60 76 0.0069 % 2,566.6
Deemed-Retractible 4.99 % 2.94 % 105,452 0.36 42 -0.0815 % 2,555.5
FloatingReset 2.64 % 2.03 % 88,185 3.75 6 -0.0131 % 2,525.1
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-20
Maturity Price : 21.52
Evaluated at bid price : 21.82
Bid-YTW : 5.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset 288,000 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 3.90 %
TD.PF.B FixedReset 117,066 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-20
Maturity Price : 23.18
Evaluated at bid price : 25.05
Bid-YTW : 3.66 %
PWF.PR.P FixedReset 88,760 Desjardins crossed blocks of 59,500 and 17,100, both at 23.49.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-20
Maturity Price : 23.04
Evaluated at bid price : 23.48
Bid-YTW : 3.38 %
ENB.PF.E FixedReset 66,673 RBC crossed 50,000 at 25.06.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-20
Maturity Price : 23.13
Evaluated at bid price : 25.05
Bid-YTW : 4.14 %
RY.PR.I FixedReset 55,870 RBC crossed 50,000 at 25.51.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 3.21 %
FTS.PR.J Perpetual-Discount 52,698 Desjardins crossed 50,000 at 24.20.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-20
Maturity Price : 23.74
Evaluated at bid price : 24.12
Bid-YTW : 4.92 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.D Deemed-Retractible Quote: 25.35 – 25.64
Spot Rate : 0.2900
Average : 0.1933

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.52 %

FTS.PR.K FixedReset Quote: 25.05 – 25.25
Spot Rate : 0.2000
Average : 0.1285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-20
Maturity Price : 23.21
Evaluated at bid price : 25.05
Bid-YTW : 3.51 %

TRP.PR.C FixedReset Quote: 22.35 – 22.70
Spot Rate : 0.3500
Average : 0.2890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-20
Maturity Price : 21.84
Evaluated at bid price : 22.35
Bid-YTW : 3.48 %

CU.PR.D Perpetual-Discount Quote: 24.43 – 24.64
Spot Rate : 0.2100
Average : 0.1509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-20
Maturity Price : 24.03
Evaluated at bid price : 24.43
Bid-YTW : 5.01 %

IAG.PR.E Deemed-Retractible Quote: 26.16 – 26.35
Spot Rate : 0.1900
Average : 0.1326

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 26.16
Bid-YTW : 5.07 %

PWF.PR.P FixedReset Quote: 23.48 – 23.69
Spot Rate : 0.2100
Average : 0.1529

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-20
Maturity Price : 23.04
Evaluated at bid price : 23.48
Bid-YTW : 3.38 %

AZP: DBRS Changes Trend To Stable, Discontinues Rating

August 21st, 2014

DBRS has announced that it:

has today changed the trend on its ratings of Atlantic Power Limited Partnership’s (APLP) Issuer Rating (rated B (high)) and its Senior Unsecured Debt & Medium-Term Notes (rated B (high)) to Stable from Negative, and subsequently discontinued these ratings. DBRS has also changed the rating trend of Atlantic Power Preferred Equity Ltd.’s (APPE) Cumulative Preferred Shares (rated at Pfd-5 (high)) to Stable from Negative and has discontinued this rating.

The discontinuation of the ratings of APLP and APPE is due to the request of the issuers.

The company announced in May that:

Consistent with the objective of acting in the best interests of the Company, its shareholders and its other stakeholders, the Company, as also previously disclosed, is committed to evaluating a broad range of potential options. These potential options include further selected asset sales or joint ventures to raise additional capital for growth or potential debt reduction, the acquisition of assets, including in exchange for shares, the dividend level, as well as broader strategic options, including a sale or merger of the Company. The Company has engaged Goldman, Sachs & Co. and Greenhill & Co., LLC to assist the Company in its evaluation of these potential options. No assurance can be given as to how the evaluation of any such potential options may evolve. The Company does not intend to comment further on its evaluation of potential options until it otherwise deems further disclosure is appropriate or required.

This statement was repeated in the 14Q2 10Q.

14Q2 earnings were pretty dreary, with a loss of $0.49 per share. Somebody writing a round-up under the auspices of Sleek Money, whoever they are, claims:

A number of analysts have recently weighed in on AT shares. Analysts at Scotiabank reiterated a “sector underperform” rating on shares of Atlantic Power Corp in a research note on Thursday, June 26th. On a related note, analysts at Imperial Capital initiated coverage on shares of Atlantic Power Corp in a research note on Thursday, June 26th. They set an “outperform” rating and a $7.00 price target on the stock. Finally, analysts at National Bank Financial downgraded shares of Atlantic Power Corp from a “sector perform” rating to an “underperform” rating in a research note on Wednesday, June 25th. Five equities research analysts have rated the stock with a sell rating, two have given a hold rating and one has assigned a buy rating to the company. The company has a consensus rating of “Hold” and an average price target of $4.33.

S&P continues to rate the preferred shares at P-5 [Stable].

Atlantic Power Preferred Equity (a subsidiary that guarantees its parent’s debt) has two series of preferred shares outstanding: AZP.PR.A, a PerpetualDiscount, and AZP.PR.B, a FixedReset. Both are tracked by HIMIPref™; both are relegated to the Scraps index on credit concerns.

August 19, 2014

August 19th, 2014

US inflation news is pretty good:

The cost of living in the U.S. climbed in July at the slowest pace in five months, indicating price pressures remain limited even as the economy picks up.

The consumer price index increased 0.1 percent, matching the median forecast of 80 economists surveyed by Bloomberg, after rising 0.3 percent the prior month, a Labor Department report showed today in Washington. Stripping out volatile food and fuel, the so-called core measure also climbed 0.1 percent, less than projected.

Overall consumer prices rose 2 percent in the 12 months ended July, following a 2.1 percent year-over-year advance the prior month. The core measure increased 1.9 percent from July 2013, the same as in the prior 12-month period.

The Fed’s 2-percent inflation goal is based on the Commerce Department’s price gauge that is tied to consumer spending. That measure climbed 1.6 percent in the 12 months through June.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 3bp, FixedResets gaining 3bp and DeemedRetractibles off 2bp. Volatility was non-existent. 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 -0.3470 % 2,621.7
FixedFloater 4.17 % 3.41 % 26,137 18.57 1 0.0000 % 4,158.4
Floater 2.93 % 3.06 % 45,371 19.54 4 -0.3470 % 2,711.1
OpRet 4.05 % -1.57 % 93,067 0.08 1 0.0792 % 2,723.9
SplitShare 4.23 % 3.81 % 69,606 3.95 6 0.1920 % 3,137.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0792 % 2,490.7
Perpetual-Premium 5.49 % -1.23 % 84,269 0.08 19 0.0041 % 2,437.2
Perpetual-Discount 5.23 % 5.17 % 112,476 15.18 17 -0.0277 % 2,595.8
FixedReset 4.29 % 3.60 % 189,805 8.63 76 0.0319 % 2,566.4
Deemed-Retractible 4.99 % 2.39 % 101,108 0.36 42 -0.0180 % 2,557.6
FloatingReset 2.64 % 1.99 % 89,009 3.75 6 0.1510 % 2,525.4
Performance Highlights
Issue Index Change Notes
No individual gains or losses exceeding 1%!
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset 248,365 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.90 %
BMO.PR.W FixedReset 204,517 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-19
Maturity Price : 23.14
Evaluated at bid price : 25.00
Bid-YTW : 3.63 %
ENB.PR.Y FixedReset 126,759 Nesbitt crossed three blocks: 57,300 and 37,600 at 24.05 and 15,800 at 24.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-19
Maturity Price : 22.74
Evaluated at bid price : 23.91
Bid-YTW : 4.01 %
MFC.PR.B Deemed-Retractible 103,628 RBC bought 15,000 from anonymous at 23.20 and crossed 59,300 at 23.30.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.55 %
IFC.PR.A FixedReset 96,943 RBC crossed 90,900 at 24.00.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.13 %
BAM.PF.F FixedReset 65,728 RBC crossed 35,000 at 25.55; Scotia crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-19
Maturity Price : 23.32
Evaluated at bid price : 25.54
Bid-YTW : 4.23 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.D Perpetual-Discount Quote: 22.06 – 22.35
Spot Rate : 0.2900
Average : 0.2023

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-19
Maturity Price : 21.76
Evaluated at bid price : 22.06
Bid-YTW : 5.63 %

PWF.PR.A Floater Quote: 20.00 – 20.34
Spot Rate : 0.3400
Average : 0.2594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-19
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 2.63 %

SLF.PR.C Deemed-Retractible Quote: 22.64 – 22.90
Spot Rate : 0.2600
Average : 0.1816

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 5.77 %

RY.PR.E Deemed-Retractible Quote: 25.50 – 25.79
Spot Rate : 0.2900
Average : 0.2149

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-24
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 2.40 %

GWO.PR.H Deemed-Retractible Quote: 24.20 – 24.40
Spot Rate : 0.2000
Average : 0.1286

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.37 %

IAG.PR.A Deemed-Retractible Quote: 23.14 – 23.49
Spot Rate : 0.3500
Average : 0.2949

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.14
Bid-YTW : 5.66 %

August 18, 2014

August 18th, 2014

Nothing happened today.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 3bp, FixedResets up 10bp and DeemedRetractibles gaining 1bp. Volatility was nil. 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 0.1390 % 2,630.9
FixedFloater 4.17 % 3.41 % 26,121 18.57 1 0.0000 % 4,158.4
Floater 2.92 % 3.04 % 45,256 19.59 4 0.1390 % 2,720.5
OpRet 4.06 % -0.75 % 86,182 0.08 1 -0.1975 % 2,721.7
SplitShare 4.23 % 4.00 % 69,167 3.95 6 -0.1061 % 3,131.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1975 % 2,488.7
Perpetual-Premium 5.49 % -3.32 % 85,778 0.08 19 0.0807 % 2,437.1
Perpetual-Discount 5.23 % 5.20 % 114,071 15.13 17 -0.0277 % 2,596.5
FixedReset 4.29 % 3.61 % 190,899 8.63 76 0.1047 % 2,565.6
Deemed-Retractible 4.98 % 2.24 % 102,507 0.27 42 0.0114 % 2,558.1
FloatingReset 2.64 % 2.07 % 87,080 3.82 6 -0.0722 % 2,521.6
Performance Highlights
Issue Index Change Notes
No individual gains or losses exceeding 1%!
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset 208,181 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 3.95 %
TD.PF.B FixedReset 153,622 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-18
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 3.67 %
RY.PR.X FixedReset 142,340 Called for redemption August 24.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 5.68 %
CM.PR.O FixedReset 73,729 RBC crossed 65,000 at 25.52.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-18
Maturity Price : 23.29
Evaluated at bid price : 25.39
Bid-YTW : 3.69 %
ENB.PF.E FixedReset 44,140 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-18
Maturity Price : 23.11
Evaluated at bid price : 24.99
Bid-YTW : 4.15 %
NA.PR.S FixedReset 41,745 TD crossed 40,000 at 25.54.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.61 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.F Perpetual-Discount Quote: 24.56 – 25.24
Spot Rate : 0.6800
Average : 0.4162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-18
Maturity Price : 24.27
Evaluated at bid price : 24.56
Bid-YTW : 4.99 %

NEW.PR.D SplitShare Quote: 32.28 – 32.61
Spot Rate : 0.3300
Average : 0.2434

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-06-26
Maturity Price : 32.07
Evaluated at bid price : 32.28
Bid-YTW : 4.12 %

BAM.PR.M Perpetual-Discount Quote: 21.55 – 21.87
Spot Rate : 0.3200
Average : 0.2420

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-18
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.60 %

TRP.PR.A FixedReset Quote: 23.18 – 23.41
Spot Rate : 0.2300
Average : 0.1631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-18
Maturity Price : 22.36
Evaluated at bid price : 23.18
Bid-YTW : 3.71 %

GWO.PR.N FixedReset Quote: 21.33 – 21.55
Spot Rate : 0.2200
Average : 0.1558

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.33
Bid-YTW : 4.82 %

ENB.PR.F FixedReset Quote: 24.65 – 24.83
Spot Rate : 0.1800
Average : 0.1167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-18
Maturity Price : 23.15
Evaluated at bid price : 24.65
Bid-YTW : 3.97 %

XTD.PR.A To Get Bigger

August 18th, 2014

TD Securities has announced:

TDb Split Corp. (the “Company”) is pleased to announce it has filed a preliminary short form prospectus in each of the provinces of Canada with respect to an offering of Priority Equity Shares and Class A Shares of the Company. The offering will be co-led by National Bank Financial Inc., CIBC, RBC Capital Markets and will also include Scotia Capital Inc., TD Securities Inc., BMO Capital Markets, GMP Securities L.P., Canaccord Genuity Corp. and Raymond James.

The Priority Equity Shares will be offered at a price of $10.20 per Priority Equity Share to yield 5.15% on the issue price and the Class A Shares will be offered at a price of $6.10 per Class A Share to yield 9.83% on the issue price. The closing price on the TSX of each of the Priority Equity Shares and Class A Shares on August 15, 2014 was $10.29 and $6.17, respectively.

Since inception of the Company, the aggregate dividends paid on the Priority Equity Shares have been $3.67 per share and the aggregate dividends paid on the Class A Shares have been $3.05 per share, for a combined total of $6.72. All distributions to date have been made in tax advantage eligible Canadian dividends or capital gains dividends.

The net proceeds of the secondary offering will be used by the Company to invest in common shares of Toronto-Dominion Bank, a leading Canadian Financial institution.

XTD.PR.A was last mentioned on PrefBlog when it was entered the Protection Plan during the depths of the Credit Crunch.

XTD.PR.A is not tracked by HIMIPref™ since it is too small … but this can always change!

Post and headline corrected to reflect correct ticker, as pointed out by prefQC in the comments

Update, 2014-8-19: The offering was successful:

TDb Split Corp. (the “Company”) is pleased to announce it has completed the overnight marketing of up to 1,500,000 Priority Equity Shares and up to 1,500,000 Class A Shares. Total proceeds of the offering are expected to be approximately $24.45 million.

The Company has granted the dealers an overallotment of 225,000 units if exercised, bringing the total proceeds to $28.1 million

The offering is being co-led by National Bank Financial Inc., CIBC, RBC Capital Markets and also includes Scotia Capital Inc., TD Securities Inc., BMO Capital Markets, GMP Securities L.P., Canaccord Genuity Corp. and Raymond James.

The sales period of the overnight offering has now ended.

The Priority Equity Shares will be offered at a price of $10.20 per Priority Equity Share to yield 5.15% on the issue price and the Class A Shares will be offered at a price of $6.10 per Class A Share to yield 9.83% on the issue price. The closing price on the TSX of each of the Priority Equity Shares and Class A Shares on August 18, 2014 was $10.20 and $6.28, respectively.

The net proceeds of the secondary offering will be used by the Company to invest in common shares of Toronto-Dominion Bank, a leading Canadian Financial institution.

LCS.PR.A To Get Bigger

August 18th, 2014

Brompton Funds has announced:

Brompton Lifeco Split Corp. (the “Company”) is pleased to announce it has filed a preliminary short form prospectus with respect to a treasury offering of class A shares and preferred shares.

The Company invests in a portfolio, on an approximately equal weight basis, of common shares of Canada’s four largest publicly-listed life insurance companies: Great-West Lifeco Inc., Industrial Alliance Insurance and Financial Services Inc., Manulife Financial Corporation and Sun Life Financial Inc.

The investment objectives of the class A shares are to provide holders with regular monthly cash distributions targeted to be $0.075 per class A share and to provide the opportunity for growth in net asset value per class A share.

The investment objectives of the preferred shares are to provide holders with fixed cumulative preferential quarterly cash distributions in the amount of $0.575 per annum and to return the original issue price ($10.00) to holders of preferred shares on the maturity date of the Company, April 29, 2019.

The syndicate of agents for the offering is being led by RBC Capital Markets, CIBC, and Scotiabank, and includes BMO Capital Markets, National Bank Financial Inc., GMP Securities L.P., Raymond James Ltd., Canaccord Genuity Corp., Desjardins Securities Inc., Dundee Securities Ltd., Industrial Alliance Securities Inc., Mackie Research Capital Corporation, and Manulife Securities Incorporated.

LCS.PR.A was last mentioned on PrefBlog in connection with a similar exercise last April.

LCS.PR.A is not tracked by HIMIPref™ as it is a small issue. There are slightly less than 2.7-million units outstanding but it’s growing rapidly and things could change!

August 15, 2014

August 15th, 2014

The OSC is taking an interest in high-MERs:

Recently, staff completed a review of investment funds with high management expense ratios (MERs). In selecting our sample, we focussed on investment funds domiciled in Ontario, excluding labour sponsored investment funds due to their different fee structure. We sent letters to seven fund managers, asking questions relating to 11 of their investment funds which, in aggregate, had a net asset value (NAV) of $43.2 million.

Approximately half of the investment funds in our sample were selected because they disclosed MERs in excess of 5%. In our comment letters, we asked the fund managers of these funds to explain the nature and appropriateness of expenses charged to their funds. The average NAV for funds in this category was $3.4 million. These fund managers consistently commented that most fund expenses are fixed and the small size of the investment funds contributed to high MERs. The fund managers are planning to make their funds grow by focussing on marketing and distribution channels going forward, in an effort to increase the fund size and reduce MER. While fixed expenses are higher in proportion to the NAV of new funds, if such funds are not able to demonstrate that they are viable after a reasonable period of time, we would expect fund managers to consider all options available to them in order to improve performance, increase fund size, manage fund costs, achieve efficiencies of scale and, ultimately, reduce MER.

For the other half of our sample, fund managers had absorbed a significant level of expenses in order to present MERs after absorptions consistent with the industry average. We asked the fund managers whether this level of absorption was sustainable and what their plan was to reduce MERs in the future. Consistently, we heard that funds in this category were new funds and each fund manager intended to absorb expenses until their NAV grew to a size associated with an MER that investors would feel is reasonable. While waiving fund expenses is within the rights of fund managers, a pattern of absorbing expenses for many years may set investor expectations. Fund managers should make sure that those expectations are managed appropriately so that investors understand that waivers or absorptions could cease in the future, potentially resulting in a higher MER.

I don’t know which funds they looked at, but did dig out one fund – subsequently closed – with a Management Expense Ratio in excess of 5%:

Expenses for a High-MER Fund
2009
Management fee (note 7) 66,016
Security holder reporting costs 77,265
Custodian fee 15,973
Independent Review Committee fees 54,070
Legal and filing fees 34,675
Audit fee 15,257
Goods and Services Tax 13,163
  276,419

That was an MER of 5.23%

In 2010, the MER increased to 5.44%:

Expenses for a High-MER Fund
2010
Management fee (note 7) 65,694
Security holder reporting costs 77,564
Custodian fee 16,931
Independent Review Committee fees 53,609
Legal and filing fees 33,311
Audit fee 16,805
Harmonized Sales Tax or Goods and Services Tax 21,928
  285,842

“Holy Smokes”, I can hear you guys thinking. “The Independent Review Committee made almost as much as the manager! They must have done a lot of work!”.

You silly, gullible people. The IRC report for 2010 states:

Recommendations and Approvals

The Committee made no recommendations or approvals during the Reporting Period.

It’s a regulatory requirement to have an Independent Review Committee; this rule, introduced in mid-2000′s, was enthusiastically supported by Investor Advocates because people who describe themselves as Investor Advocates are basically brain-dead.

As far as I am aware, there has never been a review of the concept to determine whether these things have actually accomplished anything since inception and, if by odd chance they have, whether these things could have been accomplished more cheaply. It would also be interesting to perform a detailed analysis of the other expenses to determine how much of these expenses are incurred simply because of regulation and whether those regulated expenses served any useful purpose. Then, of course, there’s the whole question of inflated prices being charged for simple services by effective monopolies … owned by the banks, but that’s OK because they charge the bank funds the exact same amount! Also, of course, banks get forbearance with respect to the Competition act because they pay a kickback to the regulators. To hire more staff, you know.

But we’ll never see the regulators examining themselves to see if they and their friends should be laid off. And no pressure from the politicians, either.

In other news, the previously announced recession has been cancelled:

The Canadian economy created 42,000 jobs in July – not 200 as mistakenly reported last week by Statistics Canada – as revised numbers beat market expectations.

The unemployment rate declined 0.1 percentage points to 7 per cent.

The release of a revised Labour Force Survey comes after the federal agency took the unprecedented move Tuesday of pulling its monthly Labour Force Survey that had been released last Friday. The agency had said it uncovered an error but had declined to quantify the mistake or offer much of an explanation until Friday morning.

It was a mildly negative day for the Canadian preferred share market, with PerpetualDiscounts down 3bp, FixedResets off 1bp and DeemedRetractibles losing 7bp. Volatility was minimal. Volume was pathetically 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 -0.3463 % 2,627.2
FixedFloater 4.17 % 3.41 % 26,001 18.58 1 0.0439 % 4,158.4
Floater 2.92 % 3.05 % 45,368 19.55 4 -0.3463 % 2,716.7
OpRet 4.05 % -3.53 % 82,573 0.08 1 0.2205 % 2,727.1
SplitShare 4.23 % 3.82 % 72,023 3.96 6 -0.0910 % 3,135.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2205 % 2,493.7
Perpetual-Premium 5.49 % -3.42 % 87,001 0.08 19 -0.0930 % 2,435.2
Perpetual-Discount 5.23 % 5.20 % 114,533 15.14 17 -0.0302 % 2,597.2
FixedReset 4.30 % 3.58 % 188,685 8.74 76 -0.0123 % 2,562.9
Deemed-Retractible 4.98 % 2.19 % 106,169 0.28 42 -0.0746 % 2,557.8
FloatingReset 2.65 % 1.92 % 87,394 0.16 6 0.0263 % 2,523.4
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-15
Maturity Price : 22.17
Evaluated at bid price : 22.57
Bid-YTW : 3.81 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset 849,907 New issue settled today.
YTW SCENARIO
Deemed Maturity, 2025-1-31 at 25.00.
FTS.PR.K FixedReset 35,365 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-15
Maturity Price : 23.17
Evaluated at bid price : 24.92
Bid-YTW : 3.48 %
SLF.PR.G FixedReset 21,304 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.32
Bid-YTW : 4.33 %
ENB.PF.E FixedReset 19,038 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-15
Maturity Price : 23.12
Evaluated at bid price : 25.00
Bid-YTW : 4.09 %
TD.PF.B FixedReset 18,203 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-15
Maturity Price : 23.16
Evaluated at bid price : 24.99
Bid-YTW : 3.61 %
BMO.PR.T FixedReset 17,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-15
Maturity Price : 23.24
Evaluated at bid price : 25.24
Bid-YTW : 3.60 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.B SplitShare Quote: 25.16 – 25.77
Spot Rate : 0.6100
Average : 0.3597

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.42 %

IFC.PR.A FixedReset Quote: 24.16 – 24.45
Spot Rate : 0.2900
Average : 0.1888

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.16
Bid-YTW : 4.02 %

PVS.PR.C SplitShare Quote: 26.13 – 27.13
Spot Rate : 1.0000
Average : 0.9183

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-12-10
Maturity Price : 25.50
Evaluated at bid price : 26.13
Bid-YTW : 3.54 %

TRP.PR.E FixedReset Quote: 25.34 – 25.58
Spot Rate : 0.2400
Average : 0.1597

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-15
Maturity Price : 23.26
Evaluated at bid price : 25.34
Bid-YTW : 3.72 %

MFC.PR.K FixedReset Quote: 24.73 – 24.96
Spot Rate : 0.2300
Average : 0.1602

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 3.82 %

ENB.PR.Y FixedReset Quote: 23.89 – 24.19
Spot Rate : 0.3000
Average : 0.2363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-15
Maturity Price : 22.73
Evaluated at bid price : 23.89
Bid-YTW : 3.96 %

MFC.PR.M Firm On Good Volume

August 15th, 2014

Manulife Financial Corporation has announced:

that it has completed its offering of 14 million Non-cumulative Rate Reset Class 1 Shares Series 17 (the “Series 17 Preferred Shares”) at a price of $25 per share to raise gross proceeds of $350 million.

The offering was underwritten by a syndicate of investment dealers co-led by Scotia Capital Inc., RBC Capital Markets and TD Securities. The Series 17 Preferred Shares commence trading on the Toronto Stock Exchange today under the ticker symbol MFC.PR. M.

The Series 17 Preferred Shares were issued under a prospectus supplement dated August 11, 2014 to Manulife’s short form base shelf prospectus dated June 23, 2014.

MFC.PR.M is a FixedReset, 3.90%+236, announced August 11. It will be tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

The issue traded 1,121,407 shares today (consolidated exchanges) in a range of 24.90-99 before closing at 24.97-99, 10×557. Vital statistics are:

Implied Volatility theory suggests that this issue is priced in-line with the other MFC FixedResets, with a fair value of 25.07. The outlier on the chart, with the highest Issue Reset Spread, is MFC.PR.E, which has been called for redemption.

ImpVol_MFC_140815
Click for Big

Update: On review, I find that I forgot to put a DeemedMaturity entry into the embedded option schedule. This has been fixed.

TA.PR.J Soft On Low Volume

August 15th, 2014

TransAlta Corporation has announced:

it has completed its public offering (the “Offering”) of 6,600,000 Cumulative Redeemable Rate Reset First Preferred Shares, Series G (the “Series G Shares”) at a price of $25.00 per Series G Share.

The Offering, previously announced on August 6, 2014, includes the partial exercise of the underwriters’ option of an additional 600,000 Series G Shares for proceeds of an additional $15 million bringing the aggregate gross proceeds of the Offering to $165 million. The net proceeds of the Offering will be used for general corporate purposes in support of our business, to reduce short term indebtedness and to fund capital investments of the Corporation and its affiliates.

The Series G Shares were offered to the Canadian public through a syndicate of underwriters led by RBC Capital Markets, CIBC and Scotiabank by way of a prospectus supplement that was filed on August 8, 2014 with securities regulatory authorities in Canada under TransAlta’s short form base shelf prospectus dated December 9, 2013.

Holders of Series G Shares are entitled to receive a cumulative quarterly fixed dividend yielding 5.30% annually for the initial period ending September 30, 2019. Thereafter, the dividend rate will be reset every five years at a rate equal to the 5-year Government of Canada bond yield plus 3.80%. Holders of Series G Shares will have the right, at their option, to convert their Series G shares into Cumulative Redeemable Floating Rate First Preferred Shares, Series H (the “Series H Shares”), subject to certain conditions, on September 30, 2019 and on September 30 every five years thereafter. Holders of Series H Shares will be entitled to receive cumulative quarterly floating dividends at a rate equal to the three-month Government of Canada Treasury Bill yield plus 3.80%. The Series G Shares are listed on the Toronto Stock Exchange under the ticker symbol TA.PR.J.

TA.PR.J is a FixedReset, 5.30%+380, announced August 6. It will be tracked by HIMIPref™ and has been assigned to the Scraps index on credit concerns.

The issue traded 307,925 shares today (consolidated exchanges) in a range of 24.65-84 before closing at 24.72-75, 204×92. Vital statistics are:

TA.PR.J FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-15
Maturity Price : 23.06
Evaluated at bid price : 24.72
Bid-YTW : 5.25 %

Implied Volatility theory suggests that this issue is about $0.50 expensive, being fairly priced at 24.22 compared to its closing bid of 24.72. TA.PR.F, on the other hand, is about $0.66 cheap, fairly priced at 22.36 compared to its closing bid of 21.70.

ImpVol_TA_140815
Click for Big