December 8, 2011

Three cheers for BMO!

The consortium, known as Maple Group, wants to buy TMX for $3.8-billion. It also wants to buy privately-held Alpha, TMX’s biggest competitor in the stock market business in Canada, then combine Alpha and TMX into an entity that would be home to more than 80 per cent of all share trading in Canada.

However, the parties are nowhere close on a value for Alpha, according to people familiar with the situation. Maple is offering something in the range of $100-million to $200-million, while Alpha is looking for something in the range of $450-million to $600-million, the people said. The expectation is that the parties will likely have to go to binding arbitration to set a price.

Should regulators block the Alpha deal, Maple has said it will drop plans to buy TMX. On the other side, if TMX thinks Maple is paying too much for Alpha, TMX can back out of the deal to merge with Maple.

What’s more, the Alpha situation is complicated by an interlocking web of conflicts of interest.

Another Alpha shareholder, Bank of Montreal, is not a member of Maple but it is advising TMX on its plan to merge with Maple

DBRS downgraded Spain to AA(low) Trend Negative.

BSD.PR.A was confirmed at Pfd-4(low) by DBRS:

Despite a deterioration in the Portfolio metrics since the previous rating review, specifically with respect to the Preferred Security downside protection (currently at 23.9%, down from 30.6% since December 31, 2010) and dividend yield, DBRS remains comfortable with the current assessment of the Portfolio and the confirmation of the Pfd-4 (low) rating. DBRS will continue to monitor the performance of Brookfield Soundvest Split Trust to determine the required level of downside protection for the assigned rating, and take appropriate action as needed.

The redemption date for the Preferred Securities is March 31, 2015.

Due to collywobbles at TMX DataLinx, the preferred share report has been prepared using Yahoo! data again.

It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 14bp, FixedResets up 6bp and DeemedRetractible gaining 8bp. Volatility was muted, although Floaters bounced back from yesterday’s debacle. Volume was 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 2.6447 % 2,073.1
FixedFloater 4.87 % 4.61 % 34,493 17.10 1 -0.3067 % 3,163.2
Floater 3.20 % 3.52 % 66,235 18.39 3 2.6447 % 2,238.4
OpRet 4.90 % 1.51 % 59,645 1.43 6 -0.2107 % 2,477.6
SplitShare 5.81 % 6.60 % 60,371 5.12 3 -0.3659 % 2,526.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2107 % 2,265.5
Perpetual-Premium 5.51 % 2.97 % 94,394 0.87 18 0.0011 % 2,161.0
Perpetual-Discount 5.23 % 5.19 % 105,346 15.06 12 0.1415 % 2,311.4
FixedReset 5.10 % 3.06 % 225,975 2.50 64 0.0564 % 2,341.1
Deemed-Retractible 5.04 % 4.30 % 196,960 3.39 46 0.0819 % 2,228.2
Performance Highlights
Issue Index Change Notes
BAM.PR.O OpRet -1.11 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.62 %
BAM.PR.B Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-08
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 3.52 %
PWF.PR.A Floater 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 2.71 %
BAM.PR.K Floater 4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-08
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 3.61 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PR.D FixedReset 177,355 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-08
Maturity Price : 23.15
Evaluated at bid price : 25.16
Bid-YTW : 3.66 %
CM.PR.E Perpetual-Premium 146,788 TD bought 10,000 from Nesbitt at 25.25; Scotia crossed 25,000 at the same price. RBC crossed two blocks of 25,000 each at the same price. TD closed off by crossing 35,000 at the same price again.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 5.13 %
CM.PR.D Perpetual-Premium 97,980 Desjardins crossed 30,000 at 25.69; Scotia crossed blocks of 30,000 and 25,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-01-07
Maturity Price : 25.25
Evaluated at bid price : 25.67
Bid-YTW : -7.12 %
BMO.PR.H Deemed-Retractible 92,200 National crossed 90,000 at 26.15.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 1.86 %
RY.PR.P FixedReset 62,685 TD crossed blocks of 25,000 and 29,800 at 27.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.93
Bid-YTW : 2.76 %
RY.PR.X FixedReset 43,550 RBC crossed blocks of 24,500 and 14,700, both at 27.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.20
Bid-YTW : 2.97 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.G Perpetual-Discount Quote: 21.26 – 21.93
Spot Rate : 0.6700
Average : 0.5559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-08
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.68 %

RY.PR.H Deemed-Retractible Quote: 26.75 – 27.10
Spot Rate : 0.3500
Average : 0.2577

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-24
Maturity Price : 26.00
Evaluated at bid price : 26.75
Bid-YTW : 3.54 %

BAM.PR.O OpRet Quote: 25.76 – 26.10
Spot Rate : 0.3400
Average : 0.2523

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.62 %

FTS.PR.E OpRet Quote: 27.00 – 27.42
Spot Rate : 0.4200
Average : 0.3325

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-01
Maturity Price : 25.75
Evaluated at bid price : 27.00
Bid-YTW : 1.51 %

BAM.PR.G FixedFloater Quote: 19.50 – 20.00
Spot Rate : 0.5000
Average : 0.4233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-08
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 4.61 %

RY.PR.I FixedReset Quote: 26.05 – 26.25
Spot Rate : 0.2000
Average : 0.1324

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.13 %

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