Toronto Rock Lacrosse: Instant Playoff Ticket Contest!

April 30th, 2017

I have one pair of Toronto Rock Lacrosse playoff tickets to give away!

The Toronto Rock won their last regular season game:

The Toronto Rock (9-9) defeated the Buffalo Bandits (6-12) by a score of 19-15 and got the help they needed on Saturday night as the Vancouver Stealth defeated the New England Black Wolves in OT, meaning the Rock will now host the Black Wolves on Saturday, May 6 at 7pm at Air Canada Centre.

So I have an excellent pair of tickets for Saturday’s East Division Semi-Final at Air Canada Centre on Saturday, May 6 at 7 p.m. If you want them, entry deadline is 4pm, Monday May 1, which will allow me to post the tickets to the lucky winner in time for the 5pm pick-up time at my local post office box. Simply eMail me with your address if you want the tickets … preference will be given to clients and those who will be taking a kid who plays lacrosse to the game, but anybody can win. Determining the winner is not a mechanical scoring process, but it’s not completely random either! Let me know if I may announce your name if you win.

The games are a lot of fun. One thing that has impressed me is that these guys’ technical skills are so good they can concentrate on strategy … there are a lot fewer loose balls than I remember from my days of box lacrosse at age 10!

There will be more tickets next year!

MAPF Performance: April, 2017

April 29th, 2017

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close April 28, 2017, was $9.3037.

Returns to April 28, 2017
Period MAPF BMO-CM “50” Preferred Share Index TXPR*
Total Return
CPD – according to Blackrock
One Month -1.01% +% +0.00% N/A
Three Months +3.51% +% +3.33% N/A
One Year +25.64% +% +18.36% +%
Two Years (annualized) +1.98% +% +1.59% N/A
Three Years (annualized) +1.28% +% -0.03% +%
Four Years (annualized) +1.31% +% +0.00% N/A
Five Years (annualized) +2.82% +% +1.04% +%
Six Years (annualized) +3.01% +% +1.73%  
Seven Years (annualized) +5.74% +% +3.38%  
Eight Years (annualized) +8.33% +% +4.39%  
Nine Years (annualized) +9.47% +% +2.96%  
Ten Years (annualized) +8.53% +%    
Eleven Years (annualized) +8.36% +%    
Twelve Years (annualized) +8.19% +%    
Thirteen Years (annualized) +8.31% +%    
Fourteen Years (annualized) +9.45% +%    
Fifteen Years (annualized) +8.92% +%    
Sixteen Years (annualized) +9.36% +%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
“TXPR” is the S&P/TSX Preferred Share Index
CPD Returns are for the NAV and are after all fees and expenses.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +%, +% and +%, respectively, according to Morningstar after all fees & expenses. Three year performance is +%; five year is +%
Figures for Manulife Preferred Income Class Adv [into which was merged Manulife Preferred Income Fund (formerly AIC Preferred Income Fund)] (which are after all fees and expenses) for 1-, 3- and 12-months are -0.33%, +3.61% & +23.03%, respectively. It will be noted that AIC Preferred Income Fund was in existence prior to August, 2009, but long term performance figures have been suppressed.
Figures for Horizons Active Preferred Share ETF (which are after all fees and expenses) for 1-, 3- and 12-months are +0.06%, +3.64% & +19.84%, respectively. Three year performance is +1.78%, five-year is +2.39%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +%, +% and +% for one-, three- and twelve months, respectively. Three year performance is +%.

According to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.

The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is +% for the past twelve months. Two year performance is +%, three year is -%.
Figures for NexGen Canadian Preferred Share Tax Managed Fund (Dividend Tax Credit Class, the best performing) are -%, +% and -% for one-, three- and twelve-months, respectively.
Figures for BMO Preferred Share Fund are +% and +% for the past three- and twelve-months, respectively. Three year performance is -%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F are +% for the past twelve months. The three-year figure is +%; five years is +%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR)

MAPF returns assume reinvestment of dividends, and are shown after expenses but before fees. Past performance is not a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund. For more information, see the fund’s main page. The fund is available either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited.

Obviously, the last twelve months have been superb for both preferred shares in general and the fund in particular, but I think that there is still room for outsized gains. The Seniority Spread (the interest-equivalent yield on reasonably liquid, investment-grade PerpetualDiscounts less the yield on long term corporate bonds) is still quite elevated (chart end-date 2017-4-13):

pl_170413_body_chart_1
Click for Big

… and the relationship between five-year Canada yields and yields on investment-grade FixedResets is also well within what I consider ‘decoupled panic’ territory (chart end-date 2017-4-13):

pl_170413_body_chart_5
Click for Big

In addition, I feel that the yield on five-year Canadas is unsustainably low (it should be the inflation rate plus an increment of … 1%? 1.5%? 2.0%?),and a return to sustainable levels is likely over the medium term.

April was looking like a reasonable month until the last week, when FixedResets fell dramatically compared to PerpetualDiscounts:

normperf_170428
Click for Big

Of course, it’s one thing to say that ‘spreads are unsustainable and so are government yields’ and it’s quite another to forecast just how and when a more economically sustainable environment will take effect. It could be years. There could be a reversal, particularly if Trump’s international trade policies cause a severe recession or even a depression. And, of course, I could be just plain wrong about the sustainability of the current environment. The drop in FixedReset relative performance could be related to uninspiring economic news:

In the first official growth estimates of Trump’s presidency, federal economists reported gross domestic product, a broad measure of economic growth, grew at an annualized rate of just 0.7 percent in the year’s first quarter, down from 2.1 percent growth in the fourth quarter of 2016.

I think that a broad, sustainable rally in FixedResets will require higher five-year Canada yields (or a widespread expectation of them) … and although I’m sure this will happen eventually, it would be foolish to speculate on just when it will happen!

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW
Leverage
Divisor
Securities
Average
YTW
Capital
Gains
Multiplier
Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note
1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note
1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note
0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note
1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note
0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September, 2015 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
April, 2017 9.3037 6.43% 0.996 6.456% 1.0000 $0.6006
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or 2025-1-31 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See OSFI Does Not Grandfather Extant Tier 1 Capital, CM.PR.D, CM.PR.E, CM.PR.G: Seeking NVCC Status and the January, February, March and June, 2011, editions of PrefLetter for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
April, 2017 1.02% 0.55%

Significant positions were held in NVCC non-compliant regulated FixedReset issues on March 31, 2017; all of these currently have their yields calculated with the presumption that they will be called by the issuers at par prior to 2022-1-31 (banks) or 2025-1-31 (insurers and insurance holding companies) or on a different date (SplitShares) This presents another complication in the calculation of sustainable yield, which also assumes that redemption proceeds will be reinvested at the same rate.

I will also note that the sustainable yield calculated above is not directly comparable with any yield calculation currently reported by any other preferred share fund as far as I am aware. The Sustainable Yield depends on:
i) Calculating Yield-to-Worst for each instrument and using this yield for reporting purposes;
ii) Using the contemporary value of Five-Year Canadas to estimate dividends after reset for FixedResets. The assumption regarding the five-year Canada rate has become more important as the proportion of low-spread FixedResets in the portfolio has increased.
iii) Making the assumption that deeply discounted NVCC non-compliant issues from both banks and insurers, both Straight and FixedResets will be redeemed at par on their DeemedMaturity date as discussed above.

MAPF Portfolio Composition: April, 2017

April 29th, 2017

Turnover picked up in April, to about 7%.

There is extreme segmentation in the marketplace, with OSFI’s NVCC rule changes in February 2011 having had the effect of splitting the formerly relatively homogeneous Straight Perpetual class of preferreds into three parts:

  • Unaffected Straight Perpetuals
  • DeemedRetractibles explicitly subject to the rules (banks)
  • DeemedRetractibles considered by me, but not (yet!) by the market, to be likely to be explicitly subject to the rules in the future (insurers and insurance holding companies)

This segmentation, and the extreme valuation differences between the segments, has cut down markedly on the opportunities for trading.

To make this more clear, it used to be that there were 70-odd Straight Perpetuals and I was more or less indifferent as to which ones I owned (subject, of course, to issuer concentration concerns and other risk management factors). Thus, if any one of these 70 were to go down in price by – say – $0.25, I would quite often have something in inventory that I’d be willing to swap for it. The segmentation means that I am no longer indifferent; in addition to checking the valuation of a potential buy to other Straights, I also have to check its peer group. This cuts down on the potential for trading.

And, of course, the same segmentation has the same effect on trading opportunities between FixedReset issues.

There is no real hope that this situation will be corrected in the near-term. OSFI has indicated that the long-promised “Draft Definition of Capital” for insurers will not be issued “for public consultation in late 2012 or early 2013”, as they fear that it might encourage speculation in the marketplace. It is not clear why OSFI is so afraid of informed speculation, since the constant speculation in the marketplace is currently less informed than it would be with a little bit of regulatory clarity. While the framework has been updated, the modifications focus on the amount of capital required, not the required characteristics of that capital. However, OSFI has recently indicated that it would support a mechanism similar to the NVCC rule for banks, so we may see some developments as the IAIS deliberations regarding insurance capital continue.

As a result of this delay, I have extended the Deemed Maturity date for insurers and insurance holding companies by three years (to 2025-1-31), in the expectation that when OSFI finally does provide clarity, they will allow the same degree of lead-in time for these companies as they did for banks. This had a major effect on the durations of preferred shares subject to the change but, fortunately, not much on their calculated yields as most of these issues were either trading near par when the change was made or were trading at sufficient premium that a par call was expected on economic grounds. However, with the declines in the market over the past nine months, the expected capital gain on redemption of the insurance-issued DeemedRetractibles has become an important component of the calculated yield.

Due to the footdragging by OSFI, I will be extending the DeemedMaturity date for insurance issues by another few years in the near future.

Sectoral distribution of the MAPF portfolio on April 28 was as follows:

MAPF Sectoral Analysis 2017-4-28
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 2.1% 4.42% 5.81
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 9.3% 5.02% 15.38
Fixed-Reset 68.6% 6.54% 9.47
Deemed-Retractible 1.2% 6.01% 6.40
FloatingReset 8.2% 8.90% 6.85
Scraps (Various) 10.2% 5.78% 14.65
Cash +0.4% 0.00% 0.00
Total 100% 6.43% 10.18
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or 2025-1-3 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See OSFI Does Not Grandfather Extant Tier 1 Capital, CM.PR.D, CM.PR.E, CM.PR.G: NVCC Status Confirmed and the January, February, March and June, 2011, editions of PrefLetter for the rationale behind this analysis.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue.

Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 1.02% and a constant 3-Month Bill rate of 0.55%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2017-4-28
DBRS Rating Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 35.0%
Pfd-2 32.8%
Pfd-2(low) 21.7%
Pfd-3(high) 0.9%
Pfd-3 4.9%
Pfd-3(low) 3.7%
Pfd-4(high) 0%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0.7%
Pfd-5 0.0%
Cash +0.4%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.C, which is rated P-5(high) by S&P and is unrated by DBRS; it is included in the Pfd-5(high) total.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.
A position held in BIP.PR.A is not rated by DBRS, but has been included as “Pfd-2(low)” in the above table on the basis of its S&P rating of P-2(low).

Liquidity Distribution is:

MAPF Liquidity Analysis 2017-4-28
Average Daily Trading Weighting
<$50,000 3.5%
$50,000 – $100,000 32.0%
$100,000 – $200,000 41.4%
$200,000 – $300,000 7.6%
>$300,000 15.0%
Cash +0.4%
Totals will not add precisely due to rounding.

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited. A “unit trust” is like a regular mutual fund, but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) (and other funds) as of August 31, 2012, and published in the October (mainly methodology), November (most funds), and December (ZPR) 2012, PrefLetter. While direct comparisons are difficult due to the introduction of the DeemedRetractible class of preferred share (see above) it is fair to say:

  • MAPF credit quality is better
  • MAPF liquidity is a bit lower
  • MAPF Yield is higher
  • Weightings
    • MAPF is less exposed to Straight Perpetuals (including DeemedRetractibles)
    • MAPF is less exposed to Operating Retractibles
    • MAPF is usually, but not currently, more exposed to SplitShares
    • MAPF is less exposed to FixFloat / Floater / Ratchet
    • MAPF is overweighted in FixedResets

April 28, 2017

April 28th, 2017

It was an up-and-down month, but in the end TXPR ended up with a tiny gain on a total return basis: 1527.46 on April 28 vs. 1527.41 on March 31.

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 -0.2248 % 2,148.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2248 % 3,943.1
Floater 3.55 % 3.67 % 49,156 18.14 4 -0.2248 % 2,272.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1370 % 3,028.8
SplitShare 4.93 % 4.13 % 53,666 0.60 6 0.1370 % 3,617.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1370 % 2,822.2
Perpetual-Premium 5.31 % 0.15 % 74,651 0.09 23 -0.1785 % 2,781.3
Perpetual-Discount 5.07 % 5.09 % 114,144 15.36 13 -0.0936 % 3,002.2
FixedReset 4.42 % 3.97 % 228,699 6.58 94 -0.2650 % 2,342.6
Deemed-Retractible 5.01 % 4.69 % 146,098 2.69 31 -0.0302 % 2,889.5
FloatingReset 2.52 % 3.05 % 53,378 4.50 9 0.0157 % 2,535.5
Performance Highlights
Issue Index Change Notes
BMO.PR.W FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 3.86 %
SLF.PR.G FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.25
Bid-YTW : 8.71 %
BAM.PF.E FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 21.47
Evaluated at bid price : 21.83
Bid-YTW : 4.25 %
SLF.PR.I FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.13
Bid-YTW : 5.03 %
SLF.PR.H FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 6.80 %
BAM.PR.Z FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 21.99
Evaluated at bid price : 22.57
Bid-YTW : 4.44 %
MFC.PR.L FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 6.33 %
TD.PF.F Perpetual-Premium -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.67 %
BMO.PR.T FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 21.32
Evaluated at bid price : 21.62
Bid-YTW : 3.83 %
BAM.PR.T FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.42 %
SLF.PR.J FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.47
Bid-YTW : 8.90 %
CCS.PR.C Deemed-Retractible 2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.K Deemed-Retractible 337,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-28
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 1.51 %
BMO.PR.L Deemed-Retractible 226,999 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.59 %
MFC.PR.R FixedReset 161,885 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.12 %
BNS.PR.Z FixedReset 43,990 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 4.69 %
TD.PF.H FixedReset 37,322 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.60 %
BMO.PR.W FixedReset 35,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 3.86 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.G Deemed-Retractible Quote: 25.23 – 25.95
Spot Rate : 0.7200
Average : 0.4463

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-28
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : -1.31 %

BAM.PR.X FixedReset Quote: 16.74 – 17.15
Spot Rate : 0.4100
Average : 0.2594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.26 %

HSE.PR.A FixedReset Quote: 16.20 – 16.53
Spot Rate : 0.3300
Average : 0.2020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.18 %

PWF.PR.T FixedReset Quote: 23.19 – 23.63
Spot Rate : 0.4400
Average : 0.3132

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 22.82
Evaluated at bid price : 23.19
Bid-YTW : 3.73 %

SLF.PR.D Deemed-Retractible Quote: 22.42 – 22.80
Spot Rate : 0.3800
Average : 0.2634

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 6.23 %

MFC.PR.N FixedReset Quote: 21.52 – 21.86
Spot Rate : 0.3400
Average : 0.2250

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 5.86 %

April 27, 2017

April 28th, 2017

It’s always nice when a sharp eMail comes in to spice up the day! Assiduous Reader JT writes in and says:

James I was surprised and shocked to see no comment on the PrefBlog about Home Capital!!

I am sure you have an opinion, since the regulator is deeply involved and may have pushed HCG into that capital raise.

I am sure I’m not the only regular viewer wondering what you might have to say.

I wait with interest with your comments.

Well! As we know the story so far begins with the OSC Statement of Allegations:

2. On July 10, 2015, HCG announced that an ongoing review of its business partners had led it to terminate certain brokers, causing an immediate drop in Originations. The next trading day, HCG’s stock price fell 18.9%, resulting in an approximate $600 million loss in market capitalization and significant investor harm.

3. Prior to this announcement, from February 2015 until July 2015, HCG misled its shareholders as to the immediate and on-going causes of the decline in Originations. Internally, HCG knew it had terminated certain brokers because it had discovered fraud in HCG’s broker channels. In fact, in February 2015, HCG was completing a six-month investigation into fraudulent employment income documentation (“Project Trillium”) which was overseen by a special committee of the Board of Directors (“the Board”). Project Trillium confirmed that HCG was receiving fraudulent employment income documentation through its broker channels which had not been detected by HCG’s underwriting controls. In particular, the findings of Project Trillium highlighted the scale of the fraudulent documentation flowing through HCG, and the serious systemic underwriting control deficiencies within HCG. Given the findings of Project Trillium, HCG implemented two significant changes: (1) termination of certain broker relationships; and (2) specific remediation of its underwriting processes and controls.

This gradually led to a very nasty time for the company’s investors:

Short sellers are gloating, investors are writhing in pain – and everyone else is wondering whether Home Capital Group Inc.’s troubles will reverberate beyond the home lender’s withering stock.

The share price of the Canadian mortgage lender fell 65 per cent on Wednesday, extending the total decline this year to more than 80 per cent.

There were funding difficulties and speculation of a ‘Wile E. Coyote Moment’ for Canadian house prices:

Home Capital revealed Wednesday that clients pulled money out of its high-interest accounts over past four weeks, with balances falling $591-million to $1.4-billion. The company said the pace of withdrawals picked up in the past week. Many of Home Capital’s customers are relatively sophisticated.

Home Capital plans to right the ship by locking in capital, which in turn will stem the exodus of deposits. If that happens, this crisis of confidence will pass. Traditional factors such as interest rates, supply and demand will set prices in residential real estate markets. But if Canada’s alternative mortgage lenders face an unexpected liquidity crisis, the housing market is in for a potentially nasty downturn.

Now it seems that emergency funding at a penalty rate has alleviated the panic a little:

Home Capital Group Inc. shares roared back Thursday, as the beleaguered mortgage lender firmed up an emergency multibillion-dollar loan and signalled that it may sell itself.

The stock closed up 34 per cent on the Toronto Stock Exchange, its biggest one-day increase in more than 20 years, as some investors wagered that the company is regaining its financial footing – at least for the time being.

In a release on Thursday, the company said it had a firm commitment on a $2-billion credit line with a 10-per-cent initial interest rate and a $100-million initial fee from a “major Canadian institutional investor.”

However, DBRS has downgraded the firm:

DBRS Limited (DBRS) has today downgraded Home Capital Group’s (HCG or the Group) Senior Debt rating to BB from BBB (low) and its Short-Term Instruments rating to R-4 from R-2 (low).

Concurrently, DBRS has placed all ratings Under Review with Negative Implications

To address its deteriorating liquidity position, the Group announced this morning that it has reached an agreement in principle with a major institutional investor for a credit line of up to $2.0 billion, for which it expects a firm commitment later today. This high-cost 364-day facility would be secured against a portfolio of HTC mortgages. In exchange for the immediate liquidity, HTC would be required to pay a $100 million non-refundable commitment fee and make an initial withdrawal of $1.0 billion. The interest rate on outstanding balances would be 10.0% in addition to a standby fee on undrawn funds of 2.5%. In DBRS’s opinion, the resulting interest and fee payments totalling $225 million at best, or $300 million if fully drawn, over the next year on the facility would put material pressure on earnings. Indeed, even in the best-case scenario of drawing the minimum $1.0 billion on the facility, these costs would represent 67% of the Group’s FY2016 income before taxes of $335 million. Moreover, other funding costs are likely to trend higher while originations are likely to decline, given the recent provincial government’s proposed measures to temper the overheated Ontario housing market, placing further pressure on earnings.

… with S&P not far behind:

S&P Global Ratings said today it lowered its long-term issuer credit rating on Home Capital Group Inc. (HCG) to ‘B+’ from ‘BBB-‘ as well as its short-term issuer credit rating to ‘B’ from ‘A-3’. At the same time, we lowered the long-term and short-term issuer credit ratings on Home Trust Co. to ‘BB’ and ‘B’ from ‘BBB’ and ‘A-2’, respectively.

On April 27, HCG announced that its subsidiary, Home Trust, has reached a binding agreement with a major institutional investor for a 364-day credit line in the amount of C$2 billion (of which C$1 billion has to be initially drawn), which would be secured against a portfolio of mortgages originated by Home Trust. While the access to the credit facility serves to fortify liquidity amid increased market anxiety, we believe the terms are highly onerous. We estimate that with an upfront non-refundable commitment fee of C$100 million, an interest rate of 10% on balances outstanding, and an additional 2.5% standby fee on undrawn funds, the all-in cost to borrow the first C$1 billion is an effective annual rate of 22.5%.

Well, I don’t really have a big problem with the regulators on this one. The allegations are serious and will be hard to defend at the hearing. There may have been some regulatory involvement in the funding agreement and contemplated sale – which would be grossly improper – but I’m not going to jump the gun on this one; I’ll wait until evidence, if any, emerges regarding regulatory clerks pretending to be hot-shot determiners of corporate financing.

It is, however, interesting to compare this with what happened with Manulife during the crisis, in which a major capitalization problem was addressed by sucking political arse until the rules were changed, mitigating the problem dramatically. Being a member of the Club can have great value, well worth a few highly paid positions on the payroll for ex-regulators!

I’m much more interested in the recent regulatory grandstanding over binary options:

The Canadian Securities Administrators (CSA) today published for comment National Instrument 91-102 Prohibition of Binary Options. The proposed instrument would prohibit advertising, offering, selling or otherwise trading a binary option to an individual.

The details admit the pointlessness of this sound and fury:

By publishing the Proposed Instrument, we are not suggesting that current offerings of binary options in Canada are legal. Many of these products and the platforms selling them have been identified as vehicles to commit fraud. We emphasize that no offering of these products, including by a broker, dealer or platform, has been authorized in Canada. All current offerings in Canada are therefore illegal, with only limited and narrow exceptions for transactions with highly sophisticated investors.

Nevertheless, some persons are using misleading information to promote these products as legal and legally offered. It is our intention that the Proposed Instrument will make it explicitly clear that these products may not be advertised, offered, sold or otherwise traded to an individual in Canada

In other words, the regulators are so upset that criminals are offering these products that they’re going to make it illegal for Canadian firms to compete with the criminals to meet the demand. That’ll show ’em!

I discussed the regulators lackadaisical attitude toward binary options fraud on March 1, noting:

It’s much easier and just as well rewarded to simply sit in the office and play ticky-box with desperately cooperative Canadian firms.

Readers of the Globe story that I linked at the time will remember:

[senior investigator at the Manitoba Securities Commission ] Mr. [Jason] Roy said it is not easy for Canadian regulators to go to Israel to seek justice, however. He said investigators cannot identify the perpetrators behind the frauds.

[A fraud victim’s son] Mr. [Tomas] Ferreira said his family was contacted by a lawyer in Israel who is trying to win restitution for victims. He would also like Israeli police to investigate and lay fraud charges.

How about that, eh? It never occurs to our Wise Regulators to go after the fraudsters in their home jurisdictions. It never occurs to them to pick up the damn ‘phone and call the damn Israeli Securities Authority to develop a campaign … or to hire their own Israeli lawyer to start causing trouble for the crooks. The only thing our beloved regulators know how to do well is play ticky-box with desperately cooperative Canadian firms.

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 0.8311 % 2,153.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8311 % 3,952.0
Floater 3.54 % 3.67 % 51,013 18.13 4 0.8311 % 2,277.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1569 % 3,024.7
SplitShare 4.93 % 4.37 % 55,803 0.61 6 0.1569 % 3,612.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1569 % 2,818.3
Perpetual-Premium 5.30 % -0.14 % 75,148 0.09 23 0.0769 % 2,786.3
Perpetual-Discount 5.07 % 5.06 % 113,752 15.34 13 0.2393 % 3,005.0
FixedReset 4.41 % 3.99 % 229,513 6.59 94 -0.6214 % 2,348.9
Deemed-Retractible 5.01 % 4.74 % 149,442 0.16 31 -0.0811 % 2,890.4
FloatingReset 2.52 % 3.03 % 53,899 4.50 9 -0.4070 % 2,535.1
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.27
Bid-YTW : 9.09 %
MFC.PR.F FixedReset -1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.48
Bid-YTW : 9.36 %
BAM.PF.A FixedReset -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.68
Evaluated at bid price : 23.11
Bid-YTW : 4.30 %
RY.PR.M FixedReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.12
Evaluated at bid price : 22.58
Bid-YTW : 3.99 %
CCS.PR.C Deemed-Retractible -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 5.86 %
BAM.PF.E FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 21.85
Evaluated at bid price : 22.12
Bid-YTW : 4.20 %
BAM.PF.H FixedReset -1.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.73 %
HSE.PR.C FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.57
Evaluated at bid price : 23.15
Bid-YTW : 4.54 %
MFC.PR.I FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.13
Bid-YTW : 5.18 %
IAG.PR.G FixedReset -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 5.32 %
BAM.PR.T FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.37 %
MFC.PR.J FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.15 %
BAM.PF.G FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.57
Evaluated at bid price : 23.26
Bid-YTW : 4.25 %
TRP.PR.C FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 4.06 %
BIP.PR.A FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.78
Evaluated at bid price : 23.65
Bid-YTW : 4.82 %
RY.PR.J FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.47
Evaluated at bid price : 23.06
Bid-YTW : 4.01 %
TRP.PR.E FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 21.57
Evaluated at bid price : 21.97
Bid-YTW : 3.95 %
BAM.PF.F FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.61
Evaluated at bid price : 23.16
Bid-YTW : 4.27 %
TRP.PR.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.98 %
MFC.PR.K FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.93
Bid-YTW : 6.10 %
BAM.PR.Z FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.16
Evaluated at bid price : 22.85
Bid-YTW : 4.38 %
BAM.PF.B FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 21.74
Evaluated at bid price : 22.22
Bid-YTW : 4.17 %
TRP.PR.G FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.76
Evaluated at bid price : 23.70
Bid-YTW : 4.15 %
GWO.PR.G Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-27
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 1.91 %
GRP.PR.A SplitShare 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-27
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -23.41 %
PWF.PR.A Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 3.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.K Deemed-Retractible 324,829 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-27
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 1.33 %
BNS.PR.H FixedReset 188,630 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 3.55 %
GWO.PR.H Deemed-Retractible 110,065 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.48 %
BMO.PR.L Deemed-Retractible 85,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.53 %
BAM.PF.I FixedReset 47,114 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.90 %
BMO.PR.C FixedReset 46,370 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.02 %
There were 54 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.81 – 24.64
Spot Rate : 0.8300
Average : 0.5850

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 5.86 %

TRP.PR.H FloatingReset Quote: 13.79 – 14.17
Spot Rate : 0.3800
Average : 0.2585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 13.79
Evaluated at bid price : 13.79
Bid-YTW : 3.34 %

BAM.PR.R FixedReset Quote: 19.21 – 19.64
Spot Rate : 0.4300
Average : 0.3329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 4.27 %

GWO.PR.G Deemed-Retractible Quote: 25.16 – 25.40
Spot Rate : 0.2400
Average : 0.1462

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-27
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 1.91 %

IAG.PR.G FixedReset Quote: 22.83 – 23.14
Spot Rate : 0.3100
Average : 0.2176

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 5.32 %

BAM.PR.T FixedReset Quote: 19.45 – 19.72
Spot Rate : 0.2700
Average : 0.1805

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.37 %

New Issue: BPO FixedReset 4.85%+374M485

April 27th, 2017

Brookfield Office Properties Inc. has announced:

that it has agreed to issue to a syndicate of underwriters led by TD Securities Inc., CIBC Capital Markets, RBC Capital Markets and Scotiabank, for distribution to the public, ten million Cumulative Minimum Rate Reset Class AAA Preference Shares, Series GG (the “Preferred Shares, Series GG”). The Preferred Shares, Series GG will be issued at a price of C$25.00 per share, for aggregate proceeds of C$250 million. Holders of the Preferred Shares, Series GG will be entitled to receive a cumulative quarterly fixed dividend yielding 4.85% annually for the initial period ending June 30, 2022. Thereafter, the dividend rate will be reset every five years at a rate equal to the greater of (i) the five-year Government of Canada bond yield plus 3.74% and (ii) 4.85%.

Holders of Preferred Shares, Series GG will have the right, at their option, to convert their shares into Cumulative Floating Rate Class AAA Preference Shares, Series HH (the “Preferred Shares, Series HH”), subject to certain conditions, on June 30, 2022 and on June 30 every five years thereafter. Holders of Preferred Shares, Series HH will be entitled to receive cumulative quarterly floating dividends at a rate equal to the 90-day Government of Canada Treasury Bill yield plus 3.74%.

The Series GG Shares and Series HH Shares will be fully and unconditionally guaranteed, jointly and severally, as to: (i) the payment of dividends, as and when declared, (ii) the payment of amounts due on redemption, and (iii) the payment of amounts due on the liquidation, dissolution or winding-up of Brookfield Office Properties, by the following entities: Brookfield Property Partners L.P., Brookfield Property L.P., Brookfield BPY Holdings Inc., Brookfield BPY Retail Holdings II Inc., BPY Bermuda Holdings Limited, BPY Bermuda Holdings II Limited, BPY Bermuda Holdings IV Limited and BPY Bermuda Holdings V Limited.

Brookfield Office Properties has granted the underwriters an option, exercisable in whole or in part anytime up to two business days prior to closing, to purchase an additional 2,000,000 Preferred Shares, Series GG at the same offering price. Should the option be fully exercised, the total gross proceeds of the financing will be C$300 million.

The Preferred Shares, Series GG will be offered in all provinces of Canada by way of a supplement to Brookfield Office Properties’ existing Canadian short form base shelf prospectus dated August 29, 2016.

The net proceeds of the issue will be used for general corporate purposes which may include the redemption of existing preferred shares. The offering is expected to close on or about May 4, 2017.

The reference to possibly using proceeds to redeem extant preferred shares may mean that BPO.PR.J, which was partially redeemed 2017-3-29 will finally disappear. But we will see!

The issue seems quite expensive to me:

impvol_bpo_170426
Click for Big

Of course, promoters will protest that I think it’s expensive because I’m assigning zero value to the minimum rate guarantee, a practice for which I have been criticized in the past. And, of course, it should be clear that as has been remarked:

I guess you mean by that that you CURRENTLY do not give much value to this feature given your conviction that interest rates will go up in the upcoming years (what we have been hearing for a quite a while now)?

So take it as you will!

New Issue: EFN FixedReset 5.75%+464M575

April 27th, 2017

Element Fleet Management Corp. has announced:

that it has entered into an agreement with a syndicate of underwriters led by BMO Capital Markets, CIBC Capital Markets, National Bank Financial Inc., RBC Capital Markets, and TD Securities Inc. The underwriters have agreed to buy 4,000,000 Cumulative 5-Year Minimum Rate Reset Preferred Shares, Series I (the “Series I Preferred Shares”) at a price of $25.00 per share for aggregate gross proceeds of $100,000,000. The net proceeds are expected to be used to fund the growth of Element’s business and for general corporate purposes.

Element has granted the underwriters an option to purchase at the offering price up to an additional 2,000,000 Series I Preferred Shares exercisable, in whole or in part, at any time up to 48 hours prior to closing of the offering. Should the option be fully exercised, the total gross proceeds of the Series I Preferred Share offering will be $150,000,000.

The Series I Preferred Shares will be issued to the public at a price of $25.00 per share and holders will be entitled to receive fixed cumulative preferential cash dividends, payable by quarterly installments for an initial period of five years, as and when declared by the Board of Directors of the Company, at a rate of $1.4375 per share per annum, to yield 5.75% annually. Thereafter, the dividend rate will reset every five years to the sum of the then current 5-Year Government of Canada Bond yield and 4.64%, provided that, in any event, such sum shall not be less than 5.75%. On June 30, 2022, and on June 30 of every fifth year thereafter, the Company may redeem the Series I Preferred Shares in whole or in part at par.

Holders will have the right to elect to convert all or any of their Series I Preferred Shares into an equal number of Cumulative Floating Rate Preferred Shares, Series J (the “Series J Preferred Shares”) on June 30, 2022, and on June 30 of every fifth year thereafter. Holders of the Series J Preferred Shares will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of the Company, equal to the sum of the then current 3-month Government of Canada Treasury Bill yield and 4.64%. On June 30, 2027 and on June 30, of every fifth year thereafter (a “Series J Redemption Date”), the Company may redeem the Series J Preferred Shares in whole or in part at par. On any other date that is not a Series J Redemption Date after June 30, 2022, the Company may redeem the Series J Preferred Shares in whole or in part by the payment of $25.50 for each share to be redeemed.

The offering is being made only in the provinces of Canada by means of a prospectus supplement to the Company’s base shelf prospectus. The closing date of the offering is expected to be on or about May 5, 2017.

DBRS has assigned a rating of Pfd-3(high) to the issue.

The omission of Scotia from the list of dealers is interesting and consistent with most of the company’s past offerings. There’s a story there, somewhere!

The issue is attractively priced relative to other EFN issues:

impvol_efn_170426
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April 26, 2017

April 27th, 2017

PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, a slight (and perhaps spurious) widening from the 285bp reported April 19.

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 -1.1391 % 2,136.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1391 % 3,919.4
Floater 3.57 % 3.69 % 51,689 18.10 4 -1.1391 % 2,258.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0718 % 3,019.9
SplitShare 4.94 % 4.27 % 53,141 0.61 6 -0.0718 % 3,606.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0718 % 2,813.9
Perpetual-Premium 5.30 % 0.24 % 75,286 0.09 23 0.0476 % 2,784.1
Perpetual-Discount 5.08 % 5.10 % 113,577 15.33 13 0.2496 % 2,997.8
FixedReset 4.38 % 3.93 % 229,186 6.60 94 -0.0289 % 2,363.6
Deemed-Retractible 5.00 % 4.75 % 146,070 0.16 31 -0.1360 % 2,892.7
FloatingReset 2.51 % 2.96 % 55,968 4.50 9 0.7883 % 2,545.4
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 14.29
Evaluated at bid price : 14.29
Bid-YTW : 3.30 %
BAM.PR.R FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.25 %
BAM.PR.Z FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 22.32
Evaluated at bid price : 23.13
Bid-YTW : 4.31 %
BAM.PF.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 22.19
Evaluated at bid price : 22.49
Bid-YTW : 4.13 %
BAM.PR.T FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.31 %
TRP.PR.D FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 21.32
Evaluated at bid price : 21.62
Bid-YTW : 3.99 %
BMO.PR.Z Perpetual-Premium 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.49 %
BNS.PR.E FixedReset 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 27.28
Bid-YTW : 3.07 %
TRP.PR.F FloatingReset 8.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 292,428 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.16
Bid-YTW : 3.26 %
TD.PF.G FixedReset 212,840 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.17
Bid-YTW : 3.18 %
TD.PF.H FixedReset 203,805 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.47 %
TRP.PR.K FixedReset 119,831 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 3.93 %
IFC.PR.A FixedReset 110,606 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 7.53 %
RY.PR.Q FixedReset 62,907 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 27.24
Bid-YTW : 3.05 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.G FixedReset Quote: 27.17 – 27.35
Spot Rate : 0.1800
Average : 0.1055

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.17
Bid-YTW : 3.18 %

MFC.PR.O FixedReset Quote: 27.30 – 27.53
Spot Rate : 0.2300
Average : 0.1609

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 27.30
Bid-YTW : 3.38 %

BAM.PR.B Floater Quote: 12.91 – 13.19
Spot Rate : 0.2800
Average : 0.2152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 12.91
Evaluated at bid price : 12.91
Bid-YTW : 3.69 %

PVS.PR.E SplitShare Quote: 26.37 – 26.65
Spot Rate : 0.2800
Average : 0.2191

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 26.00
Evaluated at bid price : 26.37
Bid-YTW : -3.16 %

BAM.PF.F FixedReset Quote: 23.45 – 23.70
Spot Rate : 0.2500
Average : 0.1904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 22.78
Evaluated at bid price : 23.45
Bid-YTW : 4.21 %

ELF.PR.H Perpetual-Premium Quote: 25.22 – 25.47
Spot Rate : 0.2500
Average : 0.1915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 24.92
Evaluated at bid price : 25.22
Bid-YTW : 5.48 %

April 25, 2017

April 25th, 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 1.7287 % 2,160.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7287 % 3,964.6
Floater 3.53 % 3.65 % 48,776 18.18 4 1.7287 % 2,284.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,022.1
SplitShare 4.94 % 4.23 % 53,370 0.61 6 0.0000 % 3,609.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,815.9
Perpetual-Premium 5.30 % -3.37 % 74,667 0.09 23 0.1175 % 2,782.8
Perpetual-Discount 5.09 % 5.09 % 112,592 15.36 13 0.5738 % 2,990.4
FixedReset 4.37 % 3.93 % 229,083 6.62 94 0.2836 % 2,364.2
Deemed-Retractible 4.99 % 4.74 % 145,346 0.09 31 0.2267 % 2,896.6
FloatingReset 2.53 % 2.97 % 56,655 4.50 9 -0.4447 % 2,525.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.55 %
BNS.PR.E FixedReset -1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.46 %
BAM.PR.B Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 3.65 %
CU.PR.E Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 24.36
Evaluated at bid price : 24.65
Bid-YTW : 5.03 %
BAM.PR.R FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.17 %
BAM.PF.B FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 22.44
Evaluated at bid price : 22.77
Bid-YTW : 4.08 %
BAM.PR.K Floater 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 12.96
Evaluated at bid price : 12.96
Bid-YTW : 3.67 %
CU.PR.H Perpetual-Premium 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 4.83 %
HSE.PR.A FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.16 %
MFC.PR.F FixedReset 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.85
Bid-YTW : 8.99 %
PWF.PR.T FixedReset 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 23.17
Evaluated at bid price : 23.55
Bid-YTW : 3.67 %
PWF.PR.A Floater 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.A FixedReset 354,492 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.51 %
TRP.PR.E FixedReset 245,254 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 22.02
Evaluated at bid price : 22.30
Bid-YTW : 3.90 %
TD.PF.C FixedReset 158,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 21.44
Evaluated at bid price : 21.78
Bid-YTW : 3.82 %
TD.PF.E FixedReset 143,006 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 22.77
Evaluated at bid price : 23.71
Bid-YTW : 4.01 %
TD.PF.H FixedReset 118,991 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.46 %
TRP.PR.K FixedReset 108,758 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.29
Bid-YTW : 3.96 %
PWF.PR.L Perpetual-Premium 105,023 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 5.13 %
There were 51 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 17.50 – 19.00
Spot Rate : 1.5000
Average : 0.9589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.55 %

BNS.PR.E FixedReset Quote: 26.90 – 27.40
Spot Rate : 0.5000
Average : 0.3234

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.46 %

PWF.PR.O Perpetual-Premium Quote: 25.95 – 26.25
Spot Rate : 0.3000
Average : 0.2024

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-25
Maturity Price : 25.50
Evaluated at bid price : 25.95
Bid-YTW : -15.90 %

IGM.PR.B Perpetual-Premium Quote: 25.61 – 25.90
Spot Rate : 0.2900
Average : 0.2103

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-25
Maturity Price : 25.50
Evaluated at bid price : 25.61
Bid-YTW : -0.43 %

CU.PR.G Perpetual-Discount Quote: 22.68 – 22.95
Spot Rate : 0.2700
Average : 0.1930

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 22.38
Evaluated at bid price : 22.68
Bid-YTW : 5.02 %

TRP.PR.J FixedReset Quote: 27.21 – 27.42
Spot Rate : 0.2100
Average : 0.1476

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 27.21
Bid-YTW : 3.41 %

April 24, 2017

April 24th, 2017

One thing struck me when reading an account of how some Syrian refugees are doing, now that the first year of special supports has come to an end:

A few among the 28 government-assisted families who have settled in Leaside Towers have found work in the neighbourhood – some frying up halal chicken at the Popeyes, or stocking shelves at Iqbal Halal Market. But some see a disincentive to taking a minimum-wage job: In Ontario, if you are on Ontario Works and get a job, half your earnings over $200 are deducted from your welfare cheque. As they see it, they’d be bringing home so little money that they’re better off using that time to focus on improving English, or running their households, which can consume much of their day.

half your earnings over $200 are deducted? Well of course they’re better off using that time to focus on improving their English or running their households. That’s a complete no-brainer and returns us to a question I have often discussed on PrefBlog, the effective tax rate for low earners.

I advocate a guaranteed minimum income – administered through the tax system, as a refundable tax credit – with more rational marginal tax rates … if you make $20,000 per year, you should pay a tax rate of – say – 10% on your next $1,000, regardless of where the $20,000 comes from. Only in this way can we really say we are making an effort to help people get out of the poverty trap. When we tax that $1,000 at 50%+, we’re clearly just chanting slogans and affirming our moral superiority.

Where’s the incentive to volunteer for an extra shift? Where’s the incentive to take a risk and move in order to get a slightly better job? Nowhere, that’s where. It’s craziness.

So it was with interest that I read today of an Ontario pilot project with respect to basic income:

About 4,000 recipients will be randomly chosen from the three regions. One group will start receiving the so-called basic income as soon as this summer, and the remainder will be part of the control group, which will not receive any payments, according to a provincial spokesman. A single person could receive up to $16,989 per year. A couple could get up to $24,027 annually.

However, if an individual is receiving income from a job, the government will deduct half of his or her earned income.

Utterly moronic. I have no words to express my disgust at the cruelty of those who would even consider slapping the poor with a 50%+ tax rate – or perhaps it is their cynical machinations to ensure the failure of the pilot programme that disgusts me. I’m not sure how explicit taxes will work, but I suspect that in practice the “+” in “50%+” will be a significant number – particularly when more subtle taxes, like disqualification from ‘geared to income’ pricing, are considered.

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 0.7464 % 2,123.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7464 % 3,897.2
Floater 3.59 % 3.69 % 45,093 18.09 4 0.7464 % 2,246.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0196 % 3,022.1
SplitShare 4.94 % 4.15 % 54,183 0.61 6 0.0196 % 3,609.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0196 % 2,815.9
Perpetual-Premium 5.31 % -3.70 % 75,078 0.09 23 0.1381 % 2,779.5
Perpetual-Discount 5.12 % 5.10 % 111,452 15.30 13 0.3796 % 2,973.3
FixedReset 4.39 % 3.94 % 232,099 6.62 94 0.6673 % 2,357.5
Deemed-Retractible 5.00 % 4.70 % 146,624 0.09 31 0.5442 % 2,890.1
FloatingReset 2.52 % 3.09 % 57,307 4.50 9 0.5683 % 2,536.8
Performance Highlights
Issue Index Change Notes
W.PR.M FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 4.02 %
GWO.PR.H Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 5.49 %
IFC.PR.C FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.78
Bid-YTW : 5.59 %
NA.PR.X FixedReset 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.16
Bid-YTW : 3.24 %
MFC.PR.N FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.69 %
MFC.PR.B Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.53
Bid-YTW : 5.70 %
SLF.PR.C Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.48
Bid-YTW : 6.18 %
MFC.PR.H FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 4.38 %
PWF.PR.P FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.94 %
MFC.PR.K FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 5.95 %
MFC.PR.C Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.68
Bid-YTW : 6.12 %
GWO.PR.R Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 5.48 %
BAM.PR.K Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 3.73 %
POW.PR.D Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 24.49
Evaluated at bid price : 24.72
Bid-YTW : 5.08 %
NA.PR.A FixedReset 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.34 %
SLF.PR.E Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.63
Bid-YTW : 6.13 %
NA.PR.S FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 22.10
Evaluated at bid price : 22.34
Bid-YTW : 3.89 %
MFC.PR.F FixedReset 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.60
Bid-YTW : 9.23 %
BAM.PR.C Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.70 %
SLF.PR.I FixedReset 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 4.78 %
SLF.PR.A Deemed-Retractible 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 5.52 %
HSE.PR.A FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.22 %
SLF.PR.D Deemed-Retractible 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.58
Bid-YTW : 6.11 %
MFC.PR.I FixedReset 1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 5.08 %
MFC.PR.G FixedReset 2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 4.95 %
MFC.PR.J FixedReset 2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.04 %
PWF.PR.S Perpetual-Discount 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 23.37
Evaluated at bid price : 23.84
Bid-YTW : 5.03 %
VNR.PR.A FixedReset 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 21.44
Evaluated at bid price : 21.75
Bid-YTW : 4.42 %
IAG.PR.G FixedReset 2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.20 %
TRP.PR.F FloatingReset 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 3.31 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.Q FixedReset 291,702 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.64 %
TD.PF.G FixedReset 120,406 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.18
Bid-YTW : 3.16 %
BAM.PR.R FixedReset 89,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.22 %
PWF.PR.P FixedReset 72,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.94 %
BNS.PR.D FloatingReset 72,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 4.54 %
BNS.PR.H FixedReset 64,039 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.54 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 25.51 – 25.95
Spot Rate : 0.4400
Average : 0.3056

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 5.07 %

PWF.PR.A Floater Quote: 14.13 – 14.75
Spot Rate : 0.6200
Average : 0.5207

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 14.13
Evaluated at bid price : 14.13
Bid-YTW : 3.33 %

PWF.PR.T FixedReset Quote: 23.01 – 23.36
Spot Rate : 0.3500
Average : 0.2609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 22.65
Evaluated at bid price : 23.01
Bid-YTW : 3.75 %

W.PR.J Perpetual-Premium Quote: 25.35 – 25.64
Spot Rate : 0.2900
Average : 0.2128

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.44 %

RY.PR.Q FixedReset Quote: 27.20 – 27.40
Spot Rate : 0.2000
Average : 0.1248

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 27.20
Bid-YTW : 3.08 %

TRP.PR.B FixedReset Quote: 14.47 – 14.70
Spot Rate : 0.2300
Average : 0.1646

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 14.47
Evaluated at bid price : 14.47
Bid-YTW : 3.97 %