June 27, 2017

June 27th, 2017
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 0.2645 % 2,118.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2645 % 3,888.1
Floater 3.74 % 3.74 % 72,769 17.98 3 0.2645 % 2,240.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.4242 % 3,066.4
SplitShare 4.69 % 4.17 % 60,027 1.48 5 0.4242 % 3,661.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4242 % 2,857.2
Perpetual-Premium 5.31 % 4.64 % 67,536 3.42 25 0.0503 % 2,784.7
Perpetual-Discount 5.12 % 5.09 % 85,453 15.23 12 0.1104 % 3,000.2
FixedReset 4.41 % 4.05 % 200,609 6.51 96 0.4070 % 2,358.0
Deemed-Retractible 5.00 % 5.05 % 125,862 6.21 30 0.0137 % 2,893.7
FloatingReset 2.55 % 3.07 % 47,705 4.33 10 0.1942 % 2,560.5
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 4.04 %
MFC.PR.M FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 5.76 %
TRP.PR.H FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 3.31 %
CM.PR.Q FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 22.74
Evaluated at bid price : 23.55
Bid-YTW : 4.02 %
BAM.PF.A FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 22.70
Evaluated at bid price : 23.17
Bid-YTW : 4.34 %
TRP.PR.E FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 22.03
Evaluated at bid price : 22.29
Bid-YTW : 4.02 %
MFC.PR.N FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 5.73 %
MFC.PR.F FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.55
Bid-YTW : 8.47 %
BAM.PR.Z FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.37 %
BAM.PR.X FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 4.37 %
MFC.PR.L FixedReset 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 6.33 %
TRP.PR.C FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 16.03
Evaluated at bid price : 16.03
Bid-YTW : 4.06 %
IAG.PR.G FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.84
Bid-YTW : 5.37 %
TRP.PR.G FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 22.99
Evaluated at bid price : 24.16
Bid-YTW : 4.11 %
TRP.PR.D FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 4.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 697,835 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 23.16
Evaluated at bid price : 25.02
Bid-YTW : 4.38 %
TD.PF.C FixedReset 184,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 4.05 %
BMO.PR.C FixedReset 149,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.27 %
BMO.PR.B FixedReset 142,966 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 3.82 %
TD.PF.H FixedReset 131,616 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.24
Bid-YTW : 3.82 %
TRP.PR.A FixedReset 107,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 4.04 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Quote: 21.85 – 22.32
Spot Rate : 0.4700
Average : 0.3194

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 5.58 %

IFC.PR.A FixedReset Quote: 18.06 – 18.40
Spot Rate : 0.3400
Average : 0.2085

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.06
Bid-YTW : 7.90 %

SLF.PR.G FixedReset Quote: 16.55 – 16.98
Spot Rate : 0.4300
Average : 0.3260

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.55
Bid-YTW : 8.57 %

MFC.PR.H FixedReset Quote: 24.97 – 25.24
Spot Rate : 0.2700
Average : 0.1825

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 4.29 %

TRP.PR.H FloatingReset Quote: 14.11 – 14.50
Spot Rate : 0.3900
Average : 0.3053

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-27
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 3.31 %

GWO.PR.N FixedReset Quote: 16.51 – 16.76
Spot Rate : 0.2500
Average : 0.1706

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.51
Bid-YTW : 8.44 %

June 26, 2017

June 26th, 2017

I thought this was an excellent article on index funds and corporate governance:

No passive investor cares much about governance of a particular company. The impact on an index when a single company underperforms is usually either slight or offset by gains from its competitors. It may be rational for index funds to ignore governance, since the money they spend on improving it benefits not just them but also rival funds that invest in the same stocks.

So it’s a problem when these investors control voting outcomes for the companies that they invest in. This is often the case, since 88% of public companies count one of three large institutional investors— State Street Global Advisors, Vanguard, and BlackRock—as their largest investor. All investors have a stake in companies being well-run, but they aren’t always willing to pay higher fees for monitoring or governance. And because there is no such thing as universally good governance, the blind application of one-size-fits-all governance solutions across vastly different companies often has negative effects.

Blackrock touts its Investment Stewardship team:

The BlackRock Investment Stewardship team is a centralized resource for portfolio managers. In our stewardship work we aim to:
1 Protect and enhance the value of clients’ assets through engagement with companies
2 Encourage business and management practices that support sustainable financial performance over the long-term
3 Provide specialist insight on environmental, social and governance (ESG) considerations to all investment strategies, whether indexed or actively managed.

… but the opinion piece points out:

But there is reason to believe that these teams are not up to the task. As of October 2016, Vanguard’s governance team employed 15 people to cover some 13,000 companies; BlackRock employed about 20 for its 14,000 companies; and State Street employed fewer than 10 for about 9,000 companies.

The Globe had an excellent article on productivity in Ontario which well illustrates my view on the minimum wage controversy:

Don’t lecture Jocelyn Bamford about lack of ambition. She helps run Automatic Coating Ltd., a company founded by her husband’s family in the 1950s.

“We are absolutely losing our competitiveness,” Ms. Bamford said.

The culprit, she said, is a provincial government that has rained blows on small and mid-sized businesses over the past two years. The unwelcome changes include unpredictable energy costs, a complicated cap-and-trade system for greenhouse-gas emitters, the planned hike in the minimum wage and new rules that will make it far easier for organizers to unionize workplaces.

Right now, she says, the only factor that allows many of the province’s manufacturers to compete against U.S. rivals is the low Canadian dollar. But she worries about the impact of the new workplace legislation, especially the radical hike to the minimum wage.

The problem, she says, is that a higher minimum wage forces up wages across the entire pay scale. Experienced workers who are already making $15 an hour will demand a few dollars more, and the ripple effect will result in dramatically higher labour costs over all.

What are her alternatives? She and her husband have debated whether it makes sense to cut jobs and automate more of their factory operations. Even simpler, though, would be a move to Mississippi, where the state is dangling a tempting package of relocation benefits.

Well, I’m not impressed by business owners who seek success through cheap labour and government handouts. Fortunately, the Globe also interviewed a man after my own heart:

“But all that being said, I don’t think the $15 minimum is likely to be a game changer in the long run,” says Craig Alexander, chief economist of the Conference Board of Canada, a not-for-profit research organization.

He notes that several U.S. states have announced their own plans to move to similar wage levels over the next few years. Rather than relocating operations, many employers in Ontario are likely to respond to higher wages by reducing jobs and installing more automation.

“You already see the trend at some fast-food restaurants, where you order at a screen instead of talking to a human,” Mr. Alexander says.

His analysis demonstrates the complexity of any policy change: By encouraging automation, higher minimum wages could boost productivity over the long run, which the province badly needs.

… and at least one of the interviewed business owners gets it:

Mr. Josephs, the freezie maker, acknowledges the many conflicting factors. It’s difficult to find anyone who will work for minimum wage these days, he says. His big worry is not so much the hike itself but the knock-on effect it will have on workers who may be making slightly more than the $15-an-hour level and will want raises of their own.

If he decides to stay in Ontario, he’s looking at automating his plant to drastically reduce his use of seasonal workers, slashing the number of hires from 100 to about 40. “And we’ll be looking to reduce even further,” he says.

Meanwhile CRM2 is having its intended effect:

Financial advisors who work at three of the Big Six banks had much to complain about concerning their pay as a result of recent changes to their compensation packages.

Notably, advisors who work at Toronto-based Bank of Nova Scotia, Montreal-based National Bank of Canada and Toronto-based Canadian Imperial Bank of Commerce (CIBC) either gave their firms the lowest or much lower ratings in the “firm’s total compensation” category in this year’s Report Card on Banks because of changes that led to drastic reductions in their take-home pay.

Scotiabank received the lowest rating in the category (6.9) – a tie with National Bank – because advisors are dissatisfied that Scotiabank eliminated the investment bonus from advisors’ pay packages.

“[The bank] took away about $16,000 to $18,000 – or 20% of my salary,” says a Scotiabank advisor in British Columbia.

Similarly, advisors with National Bank took issue with several recent tweaks to the firm’s compensation regime. For starters, the bank announced a new compensation structure this past January, through which advisors will take an 8% cut in their salary as of July 1; this did not sit well with many advisors surveyed.

The new payout structure for National Bank advisors is 70% base salary and 30% variable compensation, says Nancy Paquet, vice president, partnerships, with National Bank. The changes include an 8% reduction to advisors’ salary, as well as changes to how the variable portion is calculated; specifically, the latter now is paid quarterly instead of annually.

Isn’t it great? Trailer fee disclosure will drive a lot of business away from independents to the banks, where the nice man at the bank will put investors into the bank’s funds and GICs (because GICs are safe!) – with no fee! Well, sure, there’s a MER, but all funds have MERs … advice will be free, free, free!

I am sure we all look forward to the day when trailer fees are banned completely; then all those expensive bank advisors can be replaced with high school students working part time. The banks were successful in implementing such a change (as far as I was ever able to tell) with respect to institutional salesmen in the first decade of this century and we can all look forward to universality.

The trouble is that nobody ever asks, considers or resolves the question: ‘what are the capital markets for? How can the capital markets accomplish their purpose more efficiently?’. Nobody’s paid to do it. In an ideal world the regulators would have these questions front and centre of every proposal, but in this world regulators are mandated to make sure there are no scandals that might embarrass their political masters. And so public markets get more inefficient, investment outcomes become more of a one-size-fits-all plain-vanilla whitewash and – most importantly – big banks get bigger and find they need more ex-regulators on staff.

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 -0.5000 % 2,113.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5000 % 3,877.8
Floater 3.75 % 3.75 % 75,759 17.95 3 -0.5000 % 2,234.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,053.4
SplitShare 4.71 % 4.32 % 58,893 1.48 5 0.0000 % 3,646.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,845.1
Perpetual-Premium 5.31 % 4.64 % 68,173 3.43 25 -0.1490 % 2,783.3
Perpetual-Discount 5.12 % 5.09 % 85,896 15.24 12 -0.3300 % 2,996.9
FixedReset 4.43 % 4.09 % 197,940 6.51 96 -0.2013 % 2,348.5
Deemed-Retractible 5.00 % 5.11 % 130,855 6.21 30 -0.2848 % 2,893.3
FloatingReset 2.55 % 3.10 % 49,482 4.34 10 -0.3042 % 2,555.6
Performance Highlights
Issue Index Change Notes
PWF.PR.K Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.28 %
IAG.PR.A Deemed-Retractible -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 6.08 %
TRP.PR.H FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 13.96
Evaluated at bid price : 13.96
Bid-YTW : 3.35 %
SLF.PR.J FloatingReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.70
Bid-YTW : 8.82 %
SLF.PR.H FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.39
Bid-YTW : 6.87 %
BAM.PR.B Floater -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.76 %
TRP.PR.F FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 3.36 %
VNR.PR.A FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 21.61
Evaluated at bid price : 21.61
Bid-YTW : 4.61 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 378,355 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 23.15
Evaluated at bid price : 24.97
Bid-YTW : 4.39 %
NA.PR.A FixedReset 173,141 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.63
Bid-YTW : 3.87 %
PWF.PR.I Perpetual-Premium 75,052 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-07-26
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : -20.85 %
CU.PR.E Perpetual-Discount 60,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 24.12
Evaluated at bid price : 24.41
Bid-YTW : 5.05 %
MFC.PR.R FixedReset 56,004 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.17 %
BMO.PR.C FixedReset 55,970 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 23.34
Evaluated at bid price : 25.55
Bid-YTW : 4.31 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 13.96 – 14.25
Spot Rate : 0.2900
Average : 0.2123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 13.96
Evaluated at bid price : 13.96
Bid-YTW : 3.35 %

BAM.PR.R FixedReset Quote: 19.22 – 19.47
Spot Rate : 0.2500
Average : 0.1771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.34 %

TRP.PR.G FixedReset Quote: 23.80 – 24.00
Spot Rate : 0.2000
Average : 0.1349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-26
Maturity Price : 22.82
Evaluated at bid price : 23.80
Bid-YTW : 4.19 %

IAG.PR.G FixedReset Quote: 22.50 – 22.79
Spot Rate : 0.2900
Average : 0.2284

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 5.61 %

BAM.PF.H FixedReset Quote: 26.35 – 26.59
Spot Rate : 0.2400
Average : 0.1829

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.36 %

SLF.PR.B Deemed-Retractible Quote: 23.77 – 23.97
Spot Rate : 0.2000
Average : 0.1576

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 5.63 %

June 23, 2017

June 23rd, 2017

A rate hike in Canada won’t come as soon as some people think, according to recent inflation numbers:

The Bank of Canada’s efforts to set the stage for a rate increase were set back Friday after data showed inflation pressures continuing to ease.

Canada’s consumer price index rose 1.3 percent in May from a year ago, the slowest pace this year, down from an annual pace of 1.6 percent in April, Statistics Canada said Friday from Ottawa. Another key gauge of price pressures that excludes gasoline and some other more volatile items fell to the lowest since 1999.

The inflation report undermines the case for a quick rate hike by the Bank of Canada even as the nation’s economy has been growing at a pace that is among the fastest in the developed world.

I remain convinced that it will come eventually – but trying to time it is a mug’s game. But there are doubts about US inflation:

Barely a week after raising short-term interest rates for the second time this year, Federal Reserve officials are increasingly divided on the timing of their next move, with some saying they won’t support another increase until they see a pickup in inflation.

Inflation, as measured by the Fed’s preferred gauge, breached its annual 2% goal in February for the first time in nearly five years but has since retreated, sinking to 1.7% in April.

Fed officials in their public remarks since their policy meeting last week have disagreed on whether the recent weakening of price pressures is likely transitory or perhaps more persistent.

Fed Chairwoman Janet Yellen, New York Fed President William Dudley and Cleveland Fed chief Loretta Mester view the recent sluggishness as probably temporary, driven by some one-time factors such as new, more generous cellphone plans and slower growth in prescription drug prices.

Others such as regional Fed bank presidents Charles Evans of Chicago, Neel Kashkari of Minneapolis, Robert Kaplan of Dallas and James Bullard of St. Louis have expressed more concern about slower inflation.

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 0.5823 % 2,123.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5823 % 3,897.3
Floater 3.73 % 3.73 % 74,693 18.01 3 0.5823 % 2,246.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0942 % 3,053.4
SplitShare 4.71 % 4.32 % 59,532 3.88 5 -0.0942 % 3,646.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0942 % 2,845.1
Perpetual-Premium 5.30 % 4.53 % 67,096 3.43 25 0.1241 % 2,787.4
Perpetual-Discount 5.10 % 5.08 % 83,150 15.30 12 0.1777 % 3,006.8
FixedReset 4.42 % 4.11 % 198,252 6.51 96 0.0834 % 2,353.2
Deemed-Retractible 4.99 % 5.11 % 127,317 6.22 30 0.1474 % 2,901.6
FloatingReset 2.46 % 3.00 % 51,413 4.35 10 0.1524 % 2,563.4
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-23
Maturity Price : 24.28
Evaluated at bid price : 24.57
Bid-YTW : 5.02 %
W.PR.K FixedReset 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.88 %
TRP.PR.A FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-23
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.11 %
SLF.PR.H FixedReset 1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 6.71 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 540,805 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-23
Maturity Price : 23.16
Evaluated at bid price : 25.02
Bid-YTW : 4.41 %
HSE.PR.C FixedReset 251,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-23
Maturity Price : 22.60
Evaluated at bid price : 23.17
Bid-YTW : 4.64 %
CM.PR.Q FixedReset 227,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-23
Maturity Price : 22.81
Evaluated at bid price : 23.69
Bid-YTW : 4.09 %
RY.PR.H FixedReset 146,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-23
Maturity Price : 21.25
Evaluated at bid price : 21.53
Bid-YTW : 4.04 %
CM.PR.P FixedReset 86,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-23
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 4.09 %
RY.PR.C Deemed-Retractible 51,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-07-23
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : -4.35 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.H FixedReset Quote: 24.76 – 24.98
Spot Rate : 0.2200
Average : 0.1487

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 4.46 %

SLF.PR.D Deemed-Retractible Quote: 22.33 – 22.50
Spot Rate : 0.1700
Average : 0.1177

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.33
Bid-YTW : 6.25 %

SLF.PR.J FloatingReset Quote: 15.90 – 16.15
Spot Rate : 0.2500
Average : 0.2009

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.90
Bid-YTW : 8.53 %

TRP.PR.E FixedReset Quote: 22.01 – 22.21
Spot Rate : 0.2000
Average : 0.1561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-23
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.11 %

NA.PR.X FixedReset Quote: 26.83 – 26.98
Spot Rate : 0.1500
Average : 0.1131

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.83
Bid-YTW : 3.75 %

VNR.PR.A FixedReset Quote: 21.38 – 21.65
Spot Rate : 0.2700
Average : 0.2363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-23
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 4.72 %

June 22, 2017

June 22nd, 2017
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 -0.6835 % 2,111.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6835 % 3,874.8
Floater 3.75 % 3.75 % 77,767 17.97 3 -0.6835 % 2,233.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0550 % 3,056.3
SplitShare 4.71 % 4.32 % 61,985 3.88 5 0.0550 % 3,649.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0550 % 2,847.8
Perpetual-Premium 5.31 % 4.56 % 67,228 3.44 25 -0.1036 % 2,784.0
Perpetual-Discount 5.11 % 5.08 % 86,567 15.25 12 -0.0639 % 3,001.4
FixedReset 4.42 % 4.13 % 198,943 6.50 96 -0.1100 % 2,351.2
Deemed-Retractible 4.99 % 5.16 % 129,206 6.23 30 -0.0873 % 2,897.3
FloatingReset 2.47 % 2.99 % 51,517 4.36 10 0.3103 % 2,559.5
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.77
Bid-YTW : 8.20 %
BAM.PR.K Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-22
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 3.77 %
RY.PR.N Perpetual-Premium -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.79 %
MFC.PR.J FixedReset -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 5.19 %
SLF.PR.H FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 673,966 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-22
Maturity Price : 23.16
Evaluated at bid price : 25.02
Bid-YTW : 4.41 %
BMO.PR.C FixedReset 394,314 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.26 %
RY.PR.F Deemed-Retractible 337,490 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-07-22
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -3.37 %
MFC.PR.O FixedReset 196,679 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.93
Bid-YTW : 3.55 %
RY.PR.Z FixedReset 187,129 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-22
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 4.01 %
BAM.PF.A FixedReset 132,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-22
Maturity Price : 22.55
Evaluated at bid price : 23.00
Bid-YTW : 4.42 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Quote: 22.66 – 23.11
Spot Rate : 0.4500
Average : 0.2643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-22
Maturity Price : 22.05
Evaluated at bid price : 22.66
Bid-YTW : 4.54 %

TRP.PR.A FixedReset Quote: 18.70 – 19.18
Spot Rate : 0.4800
Average : 0.3000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-22
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.16 %

W.PR.K FixedReset Quote: 26.10 – 26.44
Spot Rate : 0.3400
Average : 0.2120

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.23 %

RY.PR.N Perpetual-Premium Quote: 25.31 – 25.65
Spot Rate : 0.3400
Average : 0.2147

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.79 %

MFC.PR.N FixedReset Quote: 21.45 – 21.81
Spot Rate : 0.3600
Average : 0.2390

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 5.97 %

W.PR.M FixedReset Quote: 26.45 – 26.74
Spot Rate : 0.2900
Average : 0.1735

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.00 %

CSE.PR.A Now Unrated

June 22nd, 2017

Standard & Poor’s has announced:

S&P Global Ratings today said it affirmed its ‘BB+’ long-term corporate credit rating on Capstone Infrastructure Corp. (CIC). At the same time, S&P Global Ratings affirmed its ‘B+’ preferred stock rating and ‘P-4(High)’ Canada national scale preferred share rating on the company’s preferred shares. The outlook is stable.

Subsequently, S&P Global Ratings withdrew its ratings on CIC at the company’s request.

The ratings on CIC before the withdrawal primarily reflected our view of a fair business risk profile, underpinned by a high proportion of cash flows from long-term term contracts with investment-grade counterparties, which provides stability to cash flows. The company had no corporate-level debt and in our debt calculations we used imputed debt from the 50% of the preferred shares. We expect the available cash flows will be used to finance general and administrative expenses and preferred share dividends at the corporate level. We also expected Capstone to maintain credit metrics commensurate with the intermediate financial risk profile.

The company is wholly owned by Irving Infrastructure Corp., a subsidiary of iCON Infrastructure Partners III, L.P., a fund advised by London, UK-based iCON Infrastructure LLP.

CSE.PR.A is a FixedReset, 3.271%+271. It is tracked by HIMIPref™ but has been relegated to the Scraps index since issue on credit concerns.

June 21, 2017

June 21st, 2017

Change and confusion all ’round! Last Friday, Quebec was upgraded. Today Saskatchewan is downgraded:

  • •Weaker commodity prices and elevated capital spending are negatively affecting the Province of Saskatchewan’s budgetary performance and debt burden.
  • •As a result, we are lowering our long-term issuer credit and senior unsecured debt ratings on Saskatchewan to ‘AA’ from ‘AA+’ and affirming our ‘A-1+’ global scale and ‘A-1(High)’ Canada scale short-term ratings.
  • •The stable outlook reflects our expectation that, in the next two years, as Saskatchewan realizes positive results from its revenue measures and cost efficiencies, its budgetary performance will continue to stabilize, leading to near-balanced operating balances and declining after-capital deficits of less than 10% of total revenues


The downgrade reflects the province’s weakened budget performance and growing debt burden, which are symptoms of low commodity prices in two of
Saskatchewan’s key economic sectors: oil and gas, and potash. Low commodity prices have prompted the province to implement tax reforms and cost control targets, which are expected to support an improvement in budget outcomes. However, despite these efforts, Saskatchewan’s budget trajectory is now weaker than it was last year, due to slower economic growth and higher near-term capital spending intentions under its Saskatchewan Builds Capital Program. We now expect Saskatchewan’s after-capital balances to remain negative over the next two years. We also expect new borrowing requirements tied to SaskBuilds and government-related entities (GREs) to cause its tax-supported debt burden to approach 150% of consolidated operating revenues, which is high compared with similarly rated international peers’.

We expect Saskatchewan will record, on average, a modest operating deficit of about 2% of operating revenues and an after-capital deficit of 10% of total revenues for fiscal years 2016-2020. We expect that new revenue measures, such as eliminating certain exemptions and increasing the provincial sales tax, will help to mitigate the negative influence of weak commodity prices, leading to a steady improvement in budget outcomes over the next two years. Saskatchewan is forecasting operating revenue growth of 3.7% per year, on average, between fiscal years 2018 and 2020. On the expense side, considering continued spending control and a projected return to more moderate levels of capital spending in the outer years of our forecast, we expect that the province’s after-capital budgetary performance will moderately improve. Saskatchewan is projecting an operating expenditure decline of 1.2% in fiscal 2018, followed by expenditure growth of 1.2% per year, on average, between fiscal years 2019 and 2020.

PerpetualDiscounts now yield 5.08%, equivalent to 6.60% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.60% (maybe a little over) and so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a widening from the 290bp reported June 14.

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 -0.5230 % 2,126.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5230 % 3,901.4
Floater 3.73 % 3.72 % 78,544 18.04 3 -0.5230 % 2,248.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0941 % 3,054.6
SplitShare 4.71 % 4.36 % 64,023 3.89 5 -0.0941 % 3,647.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0941 % 2,846.2
Perpetual-Premium 5.30 % 4.57 % 69,574 3.44 25 -0.1256 % 2,786.9
Perpetual-Discount 5.11 % 5.08 % 87,674 15.25 12 -0.0913 % 3,003.4
FixedReset 4.42 % 4.11 % 201,246 6.52 96 0.1528 % 2,353.8
Deemed-Retractible 4.99 % 5.10 % 123,308 6.23 30 -0.0463 % 2,899.8
FloatingReset 2.47 % 3.06 % 52,068 4.36 10 -0.2218 % 2,551.5
Performance Highlights
Issue Index Change Notes
BAM.PF.H FixedReset -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 3.67 %
MFC.PR.G FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.98
Bid-YTW : 4.62 %
SLF.PR.H FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 6.83 %
SLF.PR.G FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.61
Bid-YTW : 8.53 %
IFC.PR.A FixedReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.07
Bid-YTW : 7.93 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 306,648 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-21
Maturity Price : 23.17
Evaluated at bid price : 25.04
Bid-YTW : 4.41 %
NA.PR.C FixedReset 174,865 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-21
Maturity Price : 23.12
Evaluated at bid price : 24.94
Bid-YTW : 4.47 %
IFC.PR.E Deemed-Retractible 87,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.28 %
BAM.PR.T FixedReset 69,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-21
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 4.42 %
RY.PR.A Deemed-Retractible 66,404 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-07-21
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : -2.08 %
BMO.PR.W FixedReset 64,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-21
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 4.07 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.R Perpetual-Premium Quote: 25.57 – 25.75
Spot Rate : 0.1800
Average : 0.1176

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.57
Bid-YTW : 5.29 %

BAM.PF.I FixedReset Quote: 25.90 – 26.14
Spot Rate : 0.2400
Average : 0.1808

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.96 %

MFC.PR.L FixedReset Quote: 20.55 – 20.77
Spot Rate : 0.2200
Average : 0.1667

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 6.51 %

PVS.PR.E SplitShare Quote: 26.06 – 26.50
Spot Rate : 0.4400
Average : 0.3885

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.67 %

BMO.PR.R FloatingReset Quote: 24.05 – 24.20
Spot Rate : 0.1500
Average : 0.0988

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 3.02 %

NA.PR.Q FixedReset Quote: 24.85 – 25.00
Spot Rate : 0.1500
Average : 0.1014

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.85 %

June 20, 2017

June 21st, 2017
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 -0.2608 % 2,137.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2608 % 3,922.0
Floater 3.71 % 3.71 % 78,507 18.06 3 -0.2608 % 2,260.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0157 % 3,057.5
SplitShare 4.71 % 4.15 % 64,920 1.50 5 -0.0157 % 3,651.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0157 % 2,848.9
Perpetual-Premium 5.29 % 4.47 % 69,890 3.40 25 -0.0734 % 2,790.4
Perpetual-Discount 5.10 % 5.08 % 87,104 15.26 12 -0.2193 % 3,006.1
FixedReset 4.42 % 4.12 % 200,641 6.51 96 0.0122 % 2,350.2
Deemed-Retractible 4.99 % 5.10 % 120,675 6.23 30 -0.0695 % 2,901.2
FloatingReset 2.47 % 3.00 % 53,913 4.36 10 0.0370 % 2,557.2
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.24
Bid-YTW : 7.00 %
VNR.PR.A FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-20
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.75 %
EML.PR.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.11 %
CU.PR.C FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-20
Maturity Price : 21.61
Evaluated at bid price : 21.61
Bid-YTW : 4.14 %
GWO.PR.N FixedReset 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.54
Bid-YTW : 8.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.Z Perpetual-Premium 411,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-20
Maturity Price : 24.60
Evaluated at bid price : 24.99
Bid-YTW : 5.19 %
NA.PR.C FixedReset 307,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-20
Maturity Price : 23.12
Evaluated at bid price : 24.94
Bid-YTW : 4.47 %
CM.PR.R FixedReset 199,977 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-20
Maturity Price : 23.17
Evaluated at bid price : 25.05
Bid-YTW : 4.40 %
BMO.PR.C FixedReset 136,661 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.31 %
BNS.PR.H FixedReset 95,268 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 3.77 %
RY.PR.Q FixedReset 77,968 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.94
Bid-YTW : 3.49 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.E SplitShare Quote: 26.11 – 26.65
Spot Rate : 0.5400
Average : 0.3321

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-07-20
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : 2.43 %

SLF.PR.H FixedReset Quote: 19.24 – 19.79
Spot Rate : 0.5500
Average : 0.3467

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.24
Bid-YTW : 7.00 %

MFC.PR.G FixedReset Quote: 23.74 – 24.17
Spot Rate : 0.4300
Average : 0.2494

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 4.77 %

HSE.PR.G FixedReset Quote: 24.17 – 24.49
Spot Rate : 0.3200
Average : 0.1905

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-20
Maturity Price : 23.05
Evaluated at bid price : 24.17
Bid-YTW : 4.77 %

CU.PR.F Perpetual-Discount Quote: 22.50 – 22.83
Spot Rate : 0.3300
Average : 0.2192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-20
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.03 %

TD.PF.G FixedReset Quote: 26.82 – 27.10
Spot Rate : 0.2800
Average : 0.1746

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.82
Bid-YTW : 3.69 %

New Issue: BMO FixedReset, 4.40%+317, NVCC

June 21st, 2017

Bank of Montreal has announced:

a domestic public offering of $400 million of Non-Cumulative 5-Year Rate Reset Class B Preferred Shares Series 42 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 42”). The offering will be underwritten on a bought-deal basis by a syndicate of underwriters led by BMO Capital Markets.

The Preferred Shares Series 42 will be issued to the public at a price of $25.00 per share. Holders will be entitled to receive non-cumulative preferential fixed quarterly dividends for the initial period to August 25, 2022, as and when declared by the Board of Directors of the Bank, payable in the amount of $0.275 per share, to yield 4.40 per cent annually.

Subject to regulatory approval, on August 25, 2022 and on August 25 of every fifth year thereafter, the Bank may redeem the Preferred Shares Series 42 in whole or in part at par. On August 25, 2022, the dividend rate will reset and will reset thereafter every five years to be equal to the 5-Year Government of Canada Bond Yield plus 3.17 per cent. Subject to certain conditions, holders may elect to convert any or all of their Preferred Shares Series 42 into an equal number of Non-Cumulative Floating Rate Class B Preferred Shares Series 43 (Non-Viability Contingent Capital (NVCC)) (“Preferred Shares Series 43”) on August 25, 2022, and on August 25 of every fifth year thereafter. Holders of the Preferred Shares Series 43 will be entitled to receive non-cumulative preferential floating rate quarterly dividends, as and when declared by the Board of Directors of the Bank, equal to the then 3-month Government of Canada Treasury Bill Yield plus 3.17 per cent. Subject to certain conditions, holders may elect to convert any or all of their Preferred Shares Series 43 into an equal number of Preferred Shares Series 42 on August 25, 2027, and on August 25 of every fifth year thereafter.

The anticipated closing date is June 29, 2017. The net proceeds from the offering will be used by the Bank for general banking purposes.

This isn’t a badly priced new issue, as new issues go, but can’t be called cheap – at least, not according to Implied Volatility for FixedResets analysis:

impvol_bmo_170620
Click for Big

According to this, the fair bid price for the new issue, given the closing bids of BMO’s other NVCC-compliant issues, is 24.84.

CF.PR.C : No Conversion to FloatingReset

June 20th, 2017

Canaccord Genuity Group Inc. has announced:

that after having taken into account all election notices received by the June 15, 2017 conversion deadline in respect of the Cumulative 5-Year Rate Reset First Preferred Shares, Series C (the “Series C Preferred Shares”) tendered for conversion into Cumulative Floating Rate First Preferred Shares, Series D (the “Series D Preferred Shares”), the holders of the Series C Preferred Shares are not entitled to convert their shares. There were 136,467 Series C Preferred Shares tendered for conversion, which is less than the 1,000,000 shares required for the ability to proceed with the conversion into Series D Preferred Shares, in accordance with the terms of the Series C Preferred Shares.

As outlined in a press release on June 1, 2017, holders of Series C Preferred Shares will be entitled to receive quarterly fixed, cumulative, preferential cash dividends, if, as and when declared by the Board of Directors of the Company, subject to the provisions of the Business Corporations Act (British Columbia). The dividend rate for the five-year period commencing on July 1, 2017 and ending on and including June 30, 2022 will be 4.993% per annum, being equal to the sum of the five year Government of Canada bond yield determined as of June 1, plus 4.03%, in accordance with the terms of the Series C Preferred Shares. This new dividend rate is expected to deliver approximately $750,000 in annual savings for common shareholders.

There are currently 4,000,000 Series C Preferred Shares listed on the Toronto Stock Exchange under the symbol CF.PR.C.

Assiduous Readers will recall that CF.PR.C will reset at 4.993% and should now be referred to as a FixedReset, 4.993%+403. I recommended against conversion.

The issue commenced trading 2012-4-10 after being announced 2012-3-22. It has been relegated to the Scraps subindex since inception on credit concerns.

TA.PR.F : No Conversion to FloatingReset

June 20th, 2017

TransAlta Corporation has announced:

that after having taken into account all election notices received by the June 15, 2017 deadline for the conversion of the Cumulative Redeemable Rate Reset Preferred Shares, Series C (the “Series C Shares”) into Cumulative Redeemable Floating Rate Preferred Shares, Series D (the “Series D Shares”), there were 827,628 Series C Shares tendered for conversion, which is less than the one million shares required to give effect to conversions into Series D Shares. As a result, none of the Series C Shares will be converted into Series D Shares on June 30, 2017.

Assiduous Readers will recall that TA.PR.F will reset at 4.027% and should now be referred to as a FixedReset, 4.027%+310. I recommended against conversion.

The issue commenced trading 2011-11-30 after being announced 2011-11-22. It has been relegated to the Scraps subindex since inception on credit concerns.