Archive for February, 2012

February 22, 2012

Wednesday, February 22nd, 2012

A good day for the Canadian preferred share market, with PerpetualPremiums up 10bp, FixedResets winning 22bp and DeemedRetractibles gaining 16bp. PerpetualDiscounts rocketted up 94bp! Good volatility, highly skewed to the upside. Volume was well above average.

PerpetualDiscounts now yield 5.02%, equivalent to 6.53% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.6% (maybe just a hair lower) so the pre-tax interest-equivalent spread (which is in this context the Seniority Spread) is now about 195bp, unchanged from the figure reported February 15.

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 0.1598 % 2,391.1
FixedFloater 4.60 % 3.98 % 38,310 17.36 1 0.4866 % 3,389.5
Floater 2.79 % 3.05 % 59,151 19.55 3 0.1598 % 2,581.8
OpRet 4.89 % -0.69 % 59,191 1.25 6 0.2305 % 2,505.1
SplitShare 5.28 % -0.90 % 83,094 0.80 4 0.3603 % 2,674.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2305 % 2,290.7
Perpetual-Premium 5.39 % 3.32 % 113,755 0.87 26 0.0991 % 2,197.7
Perpetual-Discount 5.13 % 5.02 % 200,048 15.38 4 0.9423 % 2,411.6
FixedReset 5.05 % 2.84 % 212,937 2.33 66 0.2204 % 2,379.8
Deemed-Retractible 4.96 % 3.93 % 241,871 2.96 46 0.1557 % 2,289.2
Performance Highlights
Issue Index Change Notes
FTS.PR.G FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.87
Evaluated at bid price : 25.42
Bid-YTW : 3.52 %
SLF.PR.I FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.39 %
GWO.PR.G Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.49 %
MFC.PR.F FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.11
Bid-YTW : 3.89 %
BAM.PR.K Floater 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.07 %
PWF.PR.P FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.46
Evaluated at bid price : 25.65
Bid-YTW : 3.05 %
BNA.PR.D SplitShare 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-03-23
Maturity Price : 26.00
Evaluated at bid price : 26.56
Bid-YTW : -21.04 %
BAM.PR.T FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.29
Evaluated at bid price : 25.42
Bid-YTW : 3.77 %
MFC.PR.C Deemed-Retractible 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 5.48 %
BAM.PR.M Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.65
Evaluated at bid price : 23.93
Bid-YTW : 5.02 %
IGM.PR.B Perpetual-Premium 1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-31
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : 4.67 %
BAM.PR.N Perpetual-Discount 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.59
Evaluated at bid price : 24.07
Bid-YTW : 4.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.H FixedReset 649,139 New issue settled today.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.61 %
GWO.PR.P Deemed-Retractible 648,620 New issue settled today.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.43 %
MFC.PR.D FixedReset 263,195 Nesbitt crossed blocks of 148,500 and 100,000, both at 26.69.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.35 %
RY.PR.E Deemed-Retractible 78,998 Desjardins crossed 35,000 at 25.55.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 3.95 %
ENB.PR.F FixedReset 67,121 Desjardins crossed 45,000 at 25.38.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.22
Evaluated at bid price : 25.39
Bid-YTW : 3.79 %
RY.PR.F Deemed-Retractible 57,687 Desjardins crossed 20,000 at 25.55.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.95 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.H Deemed-Retractible Quote: 26.06 – 26.22
Spot Rate : 0.1600
Average : 0.0918

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 1.03 %

BAM.PR.Z FixedReset Quote: 25.62 – 25.90
Spot Rate : 0.2800
Average : 0.2189

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.30
Evaluated at bid price : 25.62
Bid-YTW : 4.32 %

BAM.PR.O OpRet Quote: 25.81 – 26.19
Spot Rate : 0.3800
Average : 0.3218

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 3.10 %

MFC.PR.A OpRet Quote: 25.35 – 25.59
Spot Rate : 0.2400
Average : 0.1866

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.64 %

TCA.PR.X Perpetual-Premium Quote: 52.00 – 52.29
Spot Rate : 0.2900
Average : 0.2451

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 52.00
Bid-YTW : 3.32 %

NA.PR.O FixedReset Quote: 27.35 – 27.57
Spot Rate : 0.2200
Average : 0.1780

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-15
Maturity Price : 25.00
Evaluated at bid price : 27.35
Bid-YTW : 1.83 %

MFC.PR.H Firm on Good Volume

Wednesday, February 22nd, 2012

Manulife Financial Corporation has announced:

that it has completed its offering of 10 million Non-cumulative Rate Reset Class 1 Shares Series 7 (the “Series 7 Preferred Shares”) at a price of $25 per share to raise gross proceeds of $250 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 7 Preferred Shares commence trading on the Toronto Stock Exchange today under the ticker symbol MFC.PR.H.

The Series 7 Preferred Shares were issued under a prospectus supplement dated February 14, 2012 to Manulife’s short form base shelf prospectus dated September 3, 2010.

MFC.PR.H is a FixedReset, 4.60%+313 announced February 14.

The issue traded 649,139 shares today in a range of 24.90-05 before closing at 25.00-03, 25×141. The issue will be tracked by HIMIPref™ and assigned to the FixedReset index. Vital statistics are:

MFC.PR.H FixedReset Not Calc! YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.61 %

GWO.PR.P Firm on Good Volume

Wednesday, February 22nd, 2012

Great West Lifeco has announced:

the closing of its previously announced offering of 10,000,000 Non-Cumulative First Preferred Shares, Series P (the “Series P Shares”) through a syndicate of underwriters co-led by BMO Capital Markets, RBC Capital Markets, and Scotiabank for gross proceeds of $250 million. The Series P Shares will be posted for trading on the Toronto Stock Exchange under the symbol “GWO.PR.P”.

GWO.PR.P is a Straight Perpetual, coupon 5.40%, announced February 10.

The issue traded 648,620 shares today in a range of 24.95-09 before closing at 25.01-03, 24×21. This issue will be tracked by HIMIPref™ and assigned to the DeemedRetractibles index. Vital statistics are:

GWO.PR.P Deemed-Retractible YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.43 %

FTS on CreditWatch Negative by S&P

Wednesday, February 22nd, 2012

Standard & Poor’s has announced:

  • On Feb. 21, 2012, Fortis Inc. announced it entered into an agreement to acquire all of the shares of CH Energy Group Inc. for about C$1.5 billion.
  • As a result, we are placing our ratings, including our ‘A-’ long-term corporate credit rating, on Fortis Inc. on CreditWatch with negative implications.
  • The CreditWatch reflects our expectation of increased debt at the holding company level to finance the acquisition and that post-acquisition, deconsolidated credit metrics may be below our established thresholds.


“We will resolve the CreditWatch once greater details related to the transaction become available, including a financing plan, and the transaction closes,” said Standard & Poor’s credit analyst Gavin MacFarlane. We could lower the ratings if debt levels increase as a result of the transaction and the company is unable to meet established thresholds we associate with the current ratings, including company-level debt coverage from cash flows from its subsidiaries of more than 20% and consolidated adjusted funds from operations to debt of more than 10%. However, while less likely, we could still affirm the ratings on Fortis and return to a stable outlook if a very meaningful component of the financing plan consists of equity and we conclude
that forecast credit metrics are at levels consistent with the current ratings.

Fortis’ preferreds are currently rated P-2 [Watch Negative] by S&P and Pfd-2(low) [Review Developing] by DBRS.

Fortis has several series of preferred shares outstanding: FTS.PR.C & FTS.PR.E (Operating Retractible); FTS.PR.F (PerpetualPremium); FTS.PR.G & FTS.PR.H (FixedReset). All are tracked by HIMIPref™ and assigned to the indicated indices.

Desperately Seeking Value

Wednesday, February 22nd, 2012

Andrew Allentuck was kind enough to both me and Malachite Aggressive Preferred Fund in his Financial Post article today, Desperately Seeking Value:

Some managers add value to market returns. James Hymas’s Toronto-based Malachite Aggressive Preferred Fund, for example, produced a 14.8% average annual gain for the five years ended Jan. 31, 2012 vs. the 4.15% average annual gain of its benchmark, the BMO Capital Markets 50 Index.

His fees, which start at 1.34% of net asset value and drop as amounts invested grow, are below average.

.His style is the rigorous fundamental analysis used for fixed income assets – balance sheets, study of corporate capital structure, and a good deal of what one might call iconoclastic beliefs in the market. His territory, preferred shares, is usually ignored by other managers. But his returns show that a maverick manager who does not follow the market can perform well for clients.

There’s a rather good picture of me with the article:


Click for Big
Perfect for Sorority parties!

Those who are fixated on the phrase produced a 14.8% average annual gain for the five years ended Jan. 31, 2012 vs. the 4.15% average annual gain of its benchmark are reminded that the five year period to 2012-1-31 included the Credit Crunch, when market conditions were perfect for my investment style. While I certainly hope to continue delivering performance that earns my fee, I do not expect to see such ideal conditions ever again. See Annualized Performance to Fourth Quarter for a good historical overview.

Update: The on-line version posted on canada.com has the picture that was printed in the paper:


Click for very big

LFE.PR.A Holders to Vote on Secret Resolution!

Wednesday, February 22nd, 2012

Canadian Life Companies Split Corp has announced:

that a special meeting of the holders of the Company’s Preferred Shares and Class A Shares will be held at 10:00 a.m. (Eastern standard time) on April 16, 2012. The purpose of the meeting is to consider a special resolution to approve a reorganization of the Company which includes among other things, a capital reorganization of the Preferred Shares and extending the mandatory termination date for the Company from December 1, 2012 to December 1, 2018. Shareholders of record at the close of business on March 6, 2012 will be provided with the notice of meeting and management information circular in respect of the meeting and will be entitled to vote at the meeting. Details of the matters to be voted on at the special meeting will be provided in the management information circular for the meeting to be mailed to shareholders on or about March 16, 2012.

The Company invests in a portfolio of four publicly traded Canadian life insurance companies as follows: Great-West Life, Industrial Alliance, Manulife Financial and Sun Life Financial. Shares held within the portfolio are expected to range between 10-30% in weight but may vary at any time.

A capital reorganization of the Preferred Shares, eh? Not too surprising seeing as the company’s NAV is only 11.64 as of February 15. We will see on March 16 just what exactly capital reorganization of the Preferred Shares entails, but the fact that the directors were too embarrassed to write it down in the press release is not a good sign.

LFE.PR.A was last mentioned on PrefBlog when it was downgraded to Pfd-4(low) by DBRS. LFE.PR.A is tracked by HIMIPref™ but is relegated to the Scraps index on credit concerns.

February 21, 2012

Tuesday, February 21st, 2012

The Greek crisis is resolved! Or is it?:

Seven months of negotiations ended in the pre-dawn hours in Brussels with Greece winning 130 billion euros ($172 billion) in aid it needs to avoid a March bankruptcy. Any respite may prove temporary after it signed up to a program of austerity and economic reform aimed at slashing debt to 120.5 percent of gross domestic product by 2020 from about 160 percent last year.

Even with investors and central bankers chipping in to relieve the debt burden, economists from Citigroup Inc. to Commerzbank AG concluded Greece may again fail to deliver amid a fifth year of recession, looming elections and social unrest. The upshot could be the removal of aid and renewed debate over the merits of fresh assistance before year-end as policy makers shift toward doing more to inoculate the rest of Europe.

I think all they’re doing is providing the incubator for the next Hitler. I wonder what this one will be like. Fortunately, Greece isn’t as large or industrialized or revanchist as 1930 Germany … except for maybe Macedonia.

The internal report isn’t too cheery:

Experts from the European Commission, the European Central Bank and the International Monetary Fund highlighted the risks and questioned the assumption that Greece will be able to return to capital markets in the coming years.

“There is a fundamental tension between the program objectives of reducing debt and improving competitiveness, in that the internal devaluation needed to restore Greece’s competitiveness will inevitably lead to a higher debt to GDP ratio in the near term,” the analysis said.

“Given the risks, the Greek program may thus remain accident-prone, with questions about sustainability hanging over it.”

However, the Europeans are trying very hard to prove the truth of the maxim: Don’t invest in European sovereigns unless you’ve got a little bit of insider pull:

Euro-area central banks will swap the Greek bonds in their investment portfolios for similar securities to avoid enforced losses during a debt restructuring, a euro-area official said.

The swap will happen today and is identical to one the European Central Bank carried out last week with the Greek bonds acquired in its asset-purchase program, the official said. The new Greek bonds will be immune to collective action clauses, or CACs, ensuring central banks don’t incur any losses when a private-sector debt write-down takes place, the official said on condition of anonymity. A spokesman for the Frankfurt-based ECB declined to comment.

The Canadian preferred share market came back a little today,with PerpetualPremiums winning 13bp, FixedResets gaining 7bp and DeemedRetractibles up 5bp. Reasonable volatility, with the Performance Highlights table skewed towards the upside and to insurance issues. Volume was a little above 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 0.4817 % 2,387.3
FixedFloater 4.62 % 4.00 % 38,366 17.32 1 -1.6276 % 3,373.1
Floater 2.80 % 3.03 % 58,003 19.60 3 0.4817 % 2,577.7
OpRet 4.90 % 2.76 % 59,881 1.25 6 -0.2490 % 2,499.3
SplitShare 5.30 % -0.90 % 81,978 0.80 4 0.1905 % 2,664.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2490 % 2,285.4
Perpetual-Premium 5.40 % 3.52 % 114,833 0.19 26 0.1326 % 2,195.5
Perpetual-Discount 5.17 % 5.21 % 74,890 15.06 4 0.3506 % 2,389.0
FixedReset 5.07 % 2.86 % 211,753 2.28 65 0.0696 % 2,374.5
Deemed-Retractible 4.96 % 3.81 % 199,140 2.96 45 0.0543 % 2,285.6
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset -1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 4.58 %
BAM.PR.G FixedFloater -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-21
Maturity Price : 21.60
Evaluated at bid price : 20.55
Bid-YTW : 4.00 %
GWO.PR.G Deemed-Retractible 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 5.08 %
CIU.PR.A Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-21
Maturity Price : 24.42
Evaluated at bid price : 24.71
Bid-YTW : 4.65 %
BAM.PR.N Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-21
Maturity Price : 23.15
Evaluated at bid price : 23.59
Bid-YTW : 5.09 %
MFC.PR.D FixedReset 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.43 %
MFC.PR.B Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.52 %
PWF.PR.A Floater 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-21
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 2.39 %
PWF.PR.K Perpetual-Premium 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-21
Maturity Price : 24.16
Evaluated at bid price : 24.68
Bid-YTW : 5.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.D Deemed-Retractible 74,555 TD crossed 50,000 at 25.56.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.91 %
TD.PR.I FixedReset 65,417 TD crossed 50,000 at 27.05.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.13
Bid-YTW : 2.79 %
MFC.PR.D FixedReset 58,725 RBC crossed 13,000 at 26.72.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.43 %
RY.PR.Y FixedReset 53,476 RBC crossed 49,100 at 27.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-24
Maturity Price : 25.00
Evaluated at bid price : 27.16
Bid-YTW : 2.83 %
RY.PR.P FixedReset 51,755 TD crossed 50,000 at 26.77.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 2.71 %
BMO.PR.J Deemed-Retractible 50,102 Nesbitt crossed 22,400 at 25.70.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.81 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.G FixedFloater Quote: 20.55 – 21.00
Spot Rate : 0.4500
Average : 0.2966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-21
Maturity Price : 21.60
Evaluated at bid price : 20.55
Bid-YTW : 4.00 %

GWO.PR.M Deemed-Retractible Quote: 26.18 – 26.59
Spot Rate : 0.4100
Average : 0.2624

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 5.33 %

BAM.PR.K Floater Quote: 17.07 – 17.49
Spot Rate : 0.4200
Average : 0.2937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-21
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 3.10 %

MFC.PR.C Deemed-Retractible Quote: 22.76 – 23.08
Spot Rate : 0.3200
Average : 0.2058

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.76
Bid-YTW : 5.68 %

PWF.PR.I Perpetual-Premium Quote: 25.46 – 25.80
Spot Rate : 0.3400
Average : 0.2305

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : -1.96 %

RY.PR.C Deemed-Retractible Quote: 25.71 – 26.02
Spot Rate : 0.3100
Average : 0.2081

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 3.80 %

February 17, 2012

Friday, February 17th, 2012

Greece is preparing a collective action clause:

The Greek government is drawing up legislation that could be used to impose losses on investors who don’t support the debt swap that’s part of the country’s new bailout package, said two euro-region officials familiar with the situation.

The law may be introduced to parliament in Athens in the coming days, said one of the officials, who spoke on condition of anonymity because the deliberations are confidential. Euro region finance ministers are prepared to back the use of so- called collective action clauses if a voluntary debt swap doesn’t draw enough participation, the other person said.

Collective action will trigger payments on Credit Default Swaps. But here’s the really disgraceful part:

The European Central Bank is swapping its Greek bonds for new ones to ensure it isn’t forced to take losses in a debt restructuring, three euro-area officials said.

The Frankfurt-based ECB is exchanging its Greek bonds for bonds of an identical structure and nominal value, the only difference being that they would be exempt from so-called collective action clauses, the officials said late yesterday on condition of anonymity. One said the bonds have a face value of about 50 billion euros ($65 billion).

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 8bp, FixedResets off 1bp and DeemedRetractibles also gaining 8bp. There was good volatility, with all three Floaters listed in the Performance Highlights on the losing side. Volume was 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 -1.3204 % 2,375.9
FixedFloater 4.55 % 3.92 % 38,156 17.46 1 0.0000 % 3,428.9
Floater 2.81 % 3.06 % 59,933 19.54 3 -1.3204 % 2,565.3
OpRet 4.89 % 2.65 % 60,403 1.31 6 0.0933 % 2,505.6
SplitShare 5.31 % -0.65 % 82,278 0.81 4 0.5520 % 2,659.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0933 % 2,291.1
Perpetual-Premium 5.40 % 3.45 % 115,412 0.93 26 0.0804 % 2,192.6
Perpetual-Discount 5.19 % 5.20 % 77,833 15.09 4 0.1809 % 2,380.7
FixedReset 5.07 % 2.94 % 215,500 2.30 65 -0.0107 % 2,372.9
Deemed-Retractible 4.96 % 3.85 % 200,669 2.62 45 0.0790 % 2,284.4
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 4.19 %
BAM.PR.K Floater -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-17
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 3.07 %
BAM.PR.B Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-17
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 3.06 %
PWF.PR.A Floater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-17
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 2.45 %
PWF.PR.P FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-17
Maturity Price : 23.44
Evaluated at bid price : 25.60
Bid-YTW : 3.04 %
SLF.PR.B Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.77 %
BNA.PR.E SplitShare 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.F FixedReset 63,401 RBC crossed 50,100 at 26.45.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.88 %
ENB.PR.F FixedReset 54,134 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-17
Maturity Price : 23.20
Evaluated at bid price : 25.31
Bid-YTW : 3.79 %
BMO.PR.J Deemed-Retractible 46,243 Nesbitt crossed 12,000 at 25.57.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.85 %
TD.PR.I FixedReset 42,111 TD crossed 32,800 at 27.00
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 2.94 %
MFC.PR.A OpRet 24,656 RBC crossed 11,000 at 25.46.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 3.56 %
BNS.PR.Z FixedReset 22,685 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.21 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.A Perpetual-Premium Quote: 24.44 – 24.85
Spot Rate : 0.4100
Average : 0.2799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-17
Maturity Price : 24.15
Evaluated at bid price : 24.44
Bid-YTW : 4.70 %

HSB.PR.D Deemed-Retractible Quote: 25.55 – 25.89
Spot Rate : 0.3400
Average : 0.2246

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.55
Bid-YTW : 4.67 %

BNS.PR.O Deemed-Retractible Quote: 26.75 – 27.10
Spot Rate : 0.3500
Average : 0.2384

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-04-26
Maturity Price : 26.00
Evaluated at bid price : 26.75
Bid-YTW : 3.11 %

RY.PR.A Deemed-Retractible Quote: 25.41 – 25.65
Spot Rate : 0.2400
Average : 0.1479

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-24
Maturity Price : 25.25
Evaluated at bid price : 25.41
Bid-YTW : 4.09 %

ELF.PR.F Perpetual-Discount Quote: 24.41 – 24.80
Spot Rate : 0.3900
Average : 0.3003

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-17
Maturity Price : 24.11
Evaluated at bid price : 24.41
Bid-YTW : 5.48 %

POW.PR.B Perpetual-Premium Quote: 24.85 – 25.13
Spot Rate : 0.2800
Average : 0.1996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-17
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 5.44 %

NBF.PR.A Matures on Schedule

Friday, February 17th, 2012

NB Split Corp has announced:

the redemption prices for all outstanding Capital Shares and Preferred Shares as follows:

- Redemption Price per two Capital Shares: $43.94

- Redemption Price per Preferred Share: $32.72

Holders of 34,600 Capital Shares requested delivery of and will receive their pro rata share of National Bank shares in payment for their Capital Shares instead of cash.

All redemption payments are expected to be made on or about February 21, 2012.

DBRS has discontinued the rating.

NBF.PR.A was last mentioned on PrefBlog when it was upgraded to Pfd-3(high) by DBRS. NBF.PR.A was not tracked by HIMIPref™.

February 16, 2012

Thursday, February 16th, 2012

The Europeans are going to solve all their problems by monetizing the Greek default:

European governments are considering cutting interest rates on emergency loans to Greece and using contributions from the European Central Bank to plug a new financing gap in the second bailout program for Athens, two people familiar with the discussions said.

Finance ministers wrangled over how to close the funding hole in a teleconference last night after seeing estimates that Greece’s debt would fall to 129 percent of gross domestic product in 2020, missing a target of 120 percent, said the people, who declined to be named because the talks are still in progress. Last year, the level was about 160 percent.

It was another down day for the Canadian preferred share market, with PerpetualPremiums off 5bp, and both FixedResets and DeemedRetractibles losing 31bp. PerpetualDiscounts (all four of them) were hammered for 194bp. Lots of volatility, heavily skewed towards losers. Volume was above 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 -1.4402 % 2,407.7
FixedFloater 4.55 % 3.92 % 38,276 17.46 1 0.0000 % 3,428.9
Floater 2.77 % 3.02 % 61,887 19.65 3 -1.4402 % 2,599.6
OpRet 4.88 % 2.50 % 59,222 1.32 6 0.0511 % 2,503.2
SplitShare 5.29 % -0.76 % 81,635 0.81 4 -0.1495 % 2,645.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0511 % 2,289.0
Perpetual-Premium 5.41 % 4.02 % 116,607 1.58 26 -0.0493 % 2,190.8
Perpetual-Discount 5.20 % 5.20 % 78,648 15.08 4 -1.9413 % 2,376.4
FixedReset 5.07 % 2.92 % 214,787 2.28 65 -0.3066 % 2,373.1
Deemed-Retractible 4.96 % 3.93 % 201,544 3.03 45 -0.3134 % 2,282.6
Performance Highlights
Issue Index Change Notes
BAM.PR.N Perpetual-Discount -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 22.80
Evaluated at bid price : 23.20
Bid-YTW : 5.17 %
PWF.PR.A Floater -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 2.39 %
BAM.PR.M Perpetual-Discount -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 23.00
Evaluated at bid price : 23.46
Bid-YTW : 5.11 %
BAM.PR.Z FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 23.31
Evaluated at bid price : 25.63
Bid-YTW : 4.30 %
W.PR.H Perpetual-Premium -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 24.79
Evaluated at bid price : 25.11
Bid-YTW : 5.53 %
SLF.PR.G FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 4.00 %
SLF.PR.B Deemed-Retractible -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.90 %
MFC.PR.C Deemed-Retractible -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 5.73 %
ELF.PR.F Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 24.00
Evaluated at bid price : 24.30
Bid-YTW : 5.50 %
CU.PR.C FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 23.23
Evaluated at bid price : 25.27
Bid-YTW : 3.68 %
IFC.PR.C FixedReset -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.05 %
RY.PR.F Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 4.00 %
SLF.PR.I FixedReset -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.54 %
SLF.PR.A Deemed-Retractible -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.85 %
SLF.PR.E Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.01 %
BNS.PR.M Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-07-27
Maturity Price : 25.25
Evaluated at bid price : 25.52
Bid-YTW : 4.21 %
IAG.PR.A Deemed-Retractible 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.99
Bid-YTW : 5.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PR.F FixedReset 118,141 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 23.19
Evaluated at bid price : 25.30
Bid-YTW : 3.79 %
RY.PR.X FixedReset 48,731 Scotia crossed blocks of 16,900 and 25,000 at 27.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.14
Bid-YTW : 2.69 %
BMO.PR.Q FixedReset 48,482 RBC crossed blocks of 14,500 and 20,000 at 25.80.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 2.86 %
BNS.PR.Z FixedReset 45,079 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 3.24 %
RY.PR.A Deemed-Retractible 42,264 TD crossed 17,900 at 25.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 3.73 %
BNS.PR.N Deemed-Retractible 30,615 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-01-29
Maturity Price : 26.00
Evaluated at bid price : 26.30
Bid-YTW : 4.05 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.H Perpetual-Premium Quote: 25.11 – 25.99
Spot Rate : 0.8800
Average : 0.5394

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 24.79
Evaluated at bid price : 25.11
Bid-YTW : 5.53 %

BAM.PR.R FixedReset Quote: 26.30 – 27.00
Spot Rate : 0.7000
Average : 0.4689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 23.58
Evaluated at bid price : 26.30
Bid-YTW : 3.74 %

SLF.PR.G FixedReset Quote: 23.92 – 24.64
Spot Rate : 0.7200
Average : 0.5068

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 4.00 %

BAM.PR.N Perpetual-Discount Quote: 23.20 – 23.60
Spot Rate : 0.4000
Average : 0.2783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 22.80
Evaluated at bid price : 23.20
Bid-YTW : 5.17 %

BNS.PR.K Deemed-Retractible Quote: 25.60 – 25.89
Spot Rate : 0.2900
Average : 0.1875

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-28
Maturity Price : 25.50
Evaluated at bid price : 25.60
Bid-YTW : 3.70 %

PWF.PR.P FixedReset Quote: 25.34 – 25.69
Spot Rate : 0.3500
Average : 0.2505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-16
Maturity Price : 23.36
Evaluated at bid price : 25.34
Bid-YTW : 3.09 %