August 31, 2016

August 31st, 2016

At month-end, PerpetualDiscounts yield 5.11%, equivalent to 6.64% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.65%, so the pre-tax interest-equivalent spread (in this context, the Seniority Spread) is now about 300bp, a widening from the 290bp reported July 27.

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 0.3225 % 1,684.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3225 % 3,077.4
Floater 4.87 % 4.65 % 77,495 16.07 4 0.3225 % 1,773.5
OpRet 4.84 % -9.10 % 61,201 0.08 1 0.0000 % 2,881.5
SplitShare 5.05 % 4.32 % 99,599 2.23 5 -0.0397 % 3,443.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0397 % 2,686.4
Perpetual-Premium 5.48 % 1.05 % 72,993 0.17 12 -0.1715 % 2,687.0
Perpetual-Discount 5.12 % 5.11 % 104,819 14.96 26 0.0300 % 2,907.3
FixedReset 4.93 % 4.30 % 144,208 7.23 89 -0.3555 % 2,060.1
Deemed-Retractible 5.01 % 4.57 % 112,490 0.40 32 -0.1980 % 2,803.0
FloatingReset 2.85 % 3.97 % 30,060 5.05 12 0.0653 % 2,211.9
Performance Highlights
Issue Index Change Notes
BAM.PF.A FixedReset -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.70 %
PWF.PR.T FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.93 %
PWF.PR.P FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 13.62
Evaluated at bid price : 13.62
Bid-YTW : 4.25 %
RY.PR.J FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.25 %
CM.PR.Q FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.31 %
MFC.PR.H FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.61
Bid-YTW : 5.93 %
MFC.PR.O FixedReset -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 4.39 %
MFC.PR.B Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.64 %
MFC.PR.F FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.98
Bid-YTW : 10.04 %
BAM.PF.G FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.53 %
RY.PR.M FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.22 %
SLF.PR.I FixedReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.54 %
BAM.PF.E FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.50 %
HSE.PR.A FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 12.22
Evaluated at bid price : 12.22
Bid-YTW : 4.95 %
RY.PR.H FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 4.10 %
BAM.PF.B FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 4.79 %
BAM.PR.S FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.99 %
TRP.PR.B FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 4.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.O Deemed-Retractible 107,963 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.70
Bid-YTW : -10.03 %
BAM.PR.T FixedReset 86,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.91 %
TD.PF.A FixedReset 81,324 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 4.09 %
HSB.PR.D Deemed-Retractible 78,893 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.62 %
BIP.PR.C FixedReset 73,935 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 23.23
Evaluated at bid price : 25.22
Bid-YTW : 5.26 %
BMO.PR.S FixedReset 62,197 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.09 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.S Perpetual-Discount Quote: 23.66 – 24.00
Spot Rate : 0.3400
Average : 0.2149

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 23.27
Evaluated at bid price : 23.66
Bid-YTW : 5.11 %

IAG.PR.A Deemed-Retractible Quote: 23.06 – 23.49
Spot Rate : 0.4300
Average : 0.3190

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 5.75 %

CM.PR.Q FixedReset Quote: 20.55 – 20.89
Spot Rate : 0.3400
Average : 0.2377

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.31 %

TRP.PR.C FixedReset Quote: 13.11 – 13.44
Spot Rate : 0.3300
Average : 0.2308

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 4.31 %

GWO.PR.R Deemed-Retractible Quote: 23.70 – 24.04
Spot Rate : 0.3400
Average : 0.2421

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.56 %

RY.PR.J FixedReset Quote: 20.50 – 20.76
Spot Rate : 0.2600
Average : 0.1633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-31
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.25 %

August 30, 2016

August 30th, 2016
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 -0.3036 % 1,679.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3036 % 3,067.5
Floater 4.89 % 4.67 % 76,851 16.02 4 -0.3036 % 1,767.8
OpRet 4.84 % -9.26 % 62,184 0.08 1 0.0000 % 2,881.5
SplitShare 5.05 % 4.30 % 100,535 2.24 5 0.3902 % 3,444.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3902 % 2,687.5
Perpetual-Premium 5.47 % -1.02 % 73,973 0.17 12 0.0421 % 2,691.6
Perpetual-Discount 5.12 % 5.08 % 106,297 14.97 26 -0.0805 % 2,906.4
FixedReset 4.91 % 4.25 % 146,550 7.20 89 0.2141 % 2,067.4
Deemed-Retractible 4.98 % 1.23 % 112,628 0.09 32 -0.0615 % 2,808.5
FloatingReset 2.85 % 4.02 % 29,338 5.06 12 -0.0087 % 2,210.4
Performance Highlights
Issue Index Change Notes
IAG.PR.G FixedReset -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.99
Bid-YTW : 6.75 %
IAG.PR.A Deemed-Retractible -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.07
Bid-YTW : 5.74 %
FTS.PR.F Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 24.33
Evaluated at bid price : 24.64
Bid-YTW : 4.98 %
FTS.PR.J Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 23.39
Evaluated at bid price : 23.85
Bid-YTW : 4.98 %
CU.PR.C FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 4.21 %
TRP.PR.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 4.49 %
MFC.PR.N FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.23 %
TRP.PR.E FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.31 %
TRP.PR.D FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.46 %
PVS.PR.D SplitShare 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 4.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.N Deemed-Retractible 103,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-29
Maturity Price : 25.25
Evaluated at bid price : 25.44
Bid-YTW : 1.23 %
BIP.PR.C FixedReset 99,053 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 23.21
Evaluated at bid price : 25.16
Bid-YTW : 5.27 %
BMO.PR.K Deemed-Retractible 71,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 0.84 %
MFC.PR.O FixedReset 70,445 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 4.08 %
RY.PR.E Deemed-Retractible 61,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-29
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -6.61 %
MFC.PR.K FixedReset 60,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 7.99 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.F Perpetual-Discount Quote: 24.64 – 25.00
Spot Rate : 0.3600
Average : 0.2334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 24.33
Evaluated at bid price : 24.64
Bid-YTW : 4.98 %

TD.PF.E FixedReset Quote: 21.40 – 21.74
Spot Rate : 0.3400
Average : 0.2265

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.24 %

FTS.PR.J Perpetual-Discount Quote: 23.85 – 24.18
Spot Rate : 0.3300
Average : 0.2202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 23.39
Evaluated at bid price : 23.85
Bid-YTW : 4.98 %

IAG.PR.G FixedReset Quote: 19.99 – 20.35
Spot Rate : 0.3600
Average : 0.2729

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.99
Bid-YTW : 6.75 %

ELF.PR.H Perpetual-Discount Quote: 25.20 – 25.55
Spot Rate : 0.3500
Average : 0.2657

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.50 %

ELF.PR.G Perpetual-Discount Quote: 22.85 – 23.18
Spot Rate : 0.3300
Average : 0.2597

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-30
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 5.26 %

New Issue: TD FixedReset, 4.85%+412, NVCC, Monster-size!

August 29th, 2016

The Toronto-Dominion Bank has announced:

a domestic public offering of Non-Cumulative 5-Year Rate Reset Preferred Shares (non-viability contingent capital (NVCC)), Series 14 (the “Series 14 Shares”).

TD has entered into an agreement with a group of underwriters led by TD Securities Inc. to issue, on a bought deal basis, 12 million Series 14 Shares at a price of $25.00 per share to raise gross proceeds of $300 million. TD has also granted the underwriters an option to purchase, on the same terms, up to an additional 2 million Series 14 Shares. This option is exercisable in whole or in part by the underwriters at any time up to two business days prior to closing.

The Series 14 Shares will yield 4.85% annually, with dividends payable quarterly, as and when declared by the Board of Directors of TD, for the initial period ending October 31, 2021. Thereafter, the dividend rate will reset every five years at a level of 4.12% over the then five-year Government of Canada bond yield.

Subject to regulatory approval, on October 31, 2021 and on October 31 every 5 years thereafter, TD may redeem the Series 14 Shares, in whole or in part, at $25.00 per share. Subject to TD’s right of redemption and certain other conditions, holders of the Series 14 Shares will have the right to convert their shares into Non-Cumulative Floating Rate Preferred Shares (NVCC), Series 15 (the “Series 15 Shares”), on October 31, 2021, and on October 31 every five years thereafter. Holders of the Series 15 Shares will be entitled to receive quarterly floating rate dividends, as and when declared by the Board of Directors of TD, equal to the three-month Government of Canada Treasury bill yield plus 4.12%.

The expected closing date is September 8, 2016. TD will make an application to list the Series 14 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of the offering will be used for general corporate purposes.

They later announced:

that as a result of strong investor demand for its previously announced domestic public offering of Non-Cumulative 5-Year Rate Reset Preferred Shares (non-viability contingent capital (NVCC)), Series 14 (the “Series 14 Shares”), the size of the offering has been increased to 40 million Series 14 Shares. The gross proceeds of the offering will now be $1 billion. The offering will be underwritten by a group of underwriters led by TD Securities Inc.

The expected closing date is September 8, 2016. TD will make an application to list the Series 14 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of the offering will be used for general corporate purposes.

Supersize me!

Implied Volatility analysis shows that the new issue is fairly priced relative to extant issues:

impVol_TD_160829
Click for Big

… provided one accepts that the calculated Implied Volatility value is OK. I claim that it isn’t – that the Implied Volatility of the spread should be in the high single digits and that therefore one can expect the curve to flatten, which implies that the high-spread issues are preferable. On the other hand, I also claim that spreads are currently far too high (a directional bias that contradicts the assumptions of Implied Volatility) and will decline substantially in the future, which implies that deeply discounted low-spread issues are preferable. So take your choice.

The issue attracted notice from David Berman in the Globe:

After five years, the yield on the new preferred shares will be 4.12 percentage points above the five-year bond yield, down more than half a percentage point.

For investors who love the idea of generating regular income in an environment where income is hard to find, the lower yields and reset rates are disappointing.

But TD is merely responding to market conditions. While preferred shares were a tough sell at the start of the year, the market appears more receptive today.

Yields may be down. But investor interest is heating up.

There were also some comments from Assiduous Readers.

Here’s a chart comparing the yield (median YTW) of the FixedReset subindex with the five-year Canada yield, taken from PrefLetter. We are a long way from normalizing!

PL_160812_Chart_B_5
Click for Big

August 29, 2016

August 29th, 2016

Remember how I said on August 26 that:

But eventually (probably after the Fed Rate has struggled carefully and cautiously to 1% and above) there will be a series of hikes, bang, bang, bang, bang, that will result in a very nasty environment for bonds.

Well, here’s a different view:

Some at the U.S. central bank may still be too optimistic about how high interest rates can rise in the longer run, based on new Federal Reserve Bank of San Francisco research.

San Francisco Fed economist Kevin Lansing started with a simple premise: estimates of the inflation-adjusted neutral interest rate — the one that neither stokes nor slows growth — track pretty well with the U.S. Congressional Budget Office’s four-quarter growth rate of potential GDP estimates. Looking at the CBO’s projections for the next decade, he predicts “a very gradual rise” in the neutral rate, referred to as r-star in standard economic models, from near-zero in 2016 to about 1 percent in 2026.

“If the long-run value of r-star is indeed only around 1 percent or less, then the process of normalizing the federal funds rate may end up being more gradual than the midpoint paths implied,” Lansing wrote. He notes that excluding high and low outliers, officials at the middle of the Fed’s June projection see a longer-run real rate of 1.15 percent.

But don’t be too quick to write of growth! There’s a new growth industry in Germany:

German savers are leaving the security of savings banks for what many now consider an even safer place to park their cash: home safes.

For years, Germans kept socking money away in savings accounts despite plunging interest rates. Savers deemed the accounts secure, and they still offered easy cash access. But recently, many have lost faith.

“It doesn’t pay to keep money in the bank, and on top of that you’re being taxed on it,” said Uwe Wiese, an 82-year-old pensioner who recently bought a home safe to stash roughly €53,000 ($59,344), including part of his company pension that he took as a payout.

Interest rates’ plunge into negative territory is now accelerating demand for impregnable metal boxes.

Burg-Waechter KG, Germany’s biggest safe manufacturer, posted a 25% jump in sales of home safes in the first half of this year compared with the year earlier, said sales chief Dietmar Schake, citing “significantly higher demand for safes by private individuals, mainly in Germany.”

And don’t forget drones!

Before some cutting-edge online retailer can use a drone to drop granola bars on your doorstep, a railroad born when Abe Lincoln was in Congress will first have to iron out the kinks.

BNSF Railway Co. is flying drones as far as 150 miles (240 kilometers) along the New Mexico desert to inspect tracks, helping the Federal Aviation Administration develop rules for operating unmanned aircraft beyond the pilot’s line of sight. That’s an essential step for expanding use to such commercial endeavors as deliveries by Amazon.com Inc. and other companies.

BNSF, owned by Buffett’s Berkshire Hathaway Inc., is particularly suited for the task. The railroad operates 32,500 miles of track crisscrossing sparsely populated areas along a well-defined right of way, which eases planning. Communications towers that are part of a safety system for trains can be used to help guide drones.

The railroad also has a compelling business case. The Latitude HQ-40 drone that Graetz supervises has a six-foot wingspan and is equipped with cameras that when paired with special software can potentially detect track anomalies more quickly, possibly preventing derailments. The flights, from just outside of Playas, New Mexico, lay the groundwork for drone inspections of other fixed infrastructure, such as pipelines and power lines.

The British aren’t satisfied with the calibre of their secret policemen:

Once again, the British government has decided that US technology companies should shoulder more responsibility for preventing terrorism.

Facebook, Twitter and YouTube are ‘the lifeblood of Daesh’ and are ‘consciously failing’ to prevent the spread of terrorist material, a panel of lawmakers said today, adding that they are ‘hiding behind their supranational legal status’.

In its report, parliament’s home affairs committee accuses the companies of passing the buck when it comes to cracking down on propaganda online.

“They must accept that the hundreds of millions in revenues generated from billions of people using their products needs to be accompanied by a greater sense of responsibility and ownership for the impact that extremist material on their sites is having,” it reads.

The MPs are calling for the web firms to move far more quickly to close down infringing accounts – or give a good reason why not. It also wants them to second staff to work within the Metropolitan Police’s counter-terrorism internet referral unit (CITRU).

But the American Secret Police are very active:

Lorne Wald thought he had run into a technical glitch on a Friday night in early August when PayPal halted his attempts to purchase two books. The 60-year-old retired IT worker in Mount Royal, Que., has had a PayPal Inc. account since the online payment platform came to Canada in late 1990s and has never had any trouble buying things online.

But Mr. Wald’s transaction hit a roadblock when an error message warned that he had violated PayPal’s “terms of use” when he tried to buy The New Persian Kitchen, a cookbook by Louisa Shafia, and The House of God, a satirical novel about Beth Israel hospital in Boston – from Canadian online bookseller BookOutlet.ca.

When he contacted the company’s customer service, he was informed by a representative that “the payment was pending clearance by OFAC [the U.S. Office of Foreign Asset Control].” He asked if he could simply cancel the purchase, and was told no, it would have to be adjudicated by PayPal’s compliance team. “It sort of creeped me out,” Mr. Wald says. “If they are going to try to crack down on crime that’s all very noble, but then it’s in your face; and this is a $20 transaction.”

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 -0.5153 % 1,684.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5153 % 3,076.8
Floater 4.88 % 4.67 % 76,379 16.03 4 -0.5153 % 1,773.2
OpRet 4.84 % -9.41 % 64,582 0.08 1 0.0000 % 2,881.5
SplitShare 5.07 % 4.26 % 104,653 2.24 5 -0.3017 % 3,431.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3017 % 2,677.0
Perpetual-Premium 5.47 % 0.12 % 76,440 0.17 12 -0.2519 % 2,690.5
Perpetual-Discount 5.11 % 4.97 % 106,954 14.99 26 -0.2204 % 2,908.7
FixedReset 4.92 % 4.27 % 143,534 7.19 89 -0.5318 % 2,063.0
Deemed-Retractible 4.98 % 1.95 % 114,224 0.24 32 0.0191 % 2,810.3
FloatingReset 2.85 % 4.06 % 30,517 5.06 12 0.1203 % 2,210.6
Performance Highlights
Issue Index Change Notes
MFC.PR.I FixedReset -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.49
Bid-YTW : 6.46 %
MFC.PR.J FixedReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.36
Bid-YTW : 7.03 %
TD.PF.F Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.84 %
FTS.PR.H FixedReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 4.09 %
IFC.PR.A FixedReset -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 10.05 %
MFC.PR.K FixedReset -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.59
Bid-YTW : 8.08 %
MFC.PR.L FixedReset -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.45 %
MFC.PR.N FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.76
Bid-YTW : 7.41 %
MFC.PR.G FixedReset -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.93
Bid-YTW : 6.80 %
CU.PR.I FixedReset -1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.64 %
TD.PF.D FixedReset -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 4.27 %
PVS.PR.D SplitShare -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.43
Bid-YTW : 5.02 %
MFC.PR.F FixedReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.05
Bid-YTW : 9.96 %
BAM.PR.K Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 10.26
Evaluated at bid price : 10.26
Bid-YTW : 4.67 %
FTS.PR.M FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.11 %
FTS.PR.K FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 4.03 %
SLF.PR.I FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 7.30 %
RY.PR.O Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 24.65
Evaluated at bid price : 25.06
Bid-YTW : 4.90 %
PWF.PR.T FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 3.89 %
MFC.PR.M FixedReset -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.91
Bid-YTW : 7.35 %
TRP.PR.C FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 4.32 %
PWF.PR.P FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 4.16 %
BNS.PR.D FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.58
Bid-YTW : 6.31 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.C FixedReset 782,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 5.27 %
TD.PF.G FixedReset 269,005 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 4.11 %
MFC.PR.O FixedReset 157,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 4.03 %
TD.PF.A FixedReset 128,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 4.06 %
TRP.PR.J FixedReset 104,755 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 4.34 %
FTS.PR.M FixedReset 70,763 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.11 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.F Perpetual-Discount Quote: 25.25 – 25.80
Spot Rate : 0.5500
Average : 0.3363

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.84 %

VNR.PR.A FixedReset Quote: 18.70 – 19.26
Spot Rate : 0.5600
Average : 0.3561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-29
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.82 %

BNS.PR.P FixedReset Quote: 24.39 – 24.69
Spot Rate : 0.3000
Average : 0.1827

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.39
Bid-YTW : 3.50 %

PVS.PR.D SplitShare Quote: 24.43 – 24.70
Spot Rate : 0.2700
Average : 0.1836

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.43
Bid-YTW : 5.02 %

SLF.PR.I FixedReset Quote: 19.01 – 19.40
Spot Rate : 0.3900
Average : 0.3074

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 7.30 %

SLF.PR.H FixedReset Quote: 16.30 – 16.58
Spot Rate : 0.2800
Average : 0.1999

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.30
Bid-YTW : 8.79 %

August 26, 2016

August 26th, 2016

There was some moderately hawkish Fed chatter today:

Federal Reserve Chair Janet Yellen still has faith.

On Friday she expressed confidence that tighter labor markets over time will push inflation back to the central bank’s 2 percent goal, setting up a rate hike this year — possibly as soon as next month — if jobs data remain strong. That view breaks with a minority group of Fed officials who are more pessimistic about the relationship between labor markets and prices.

Ending two months of public silence about her views, Yellen cited “continued solid performance of the labor market” and said the “case for an increase in the federal funds rate has strengthened in recent months” in her speech Friday to central bankers and economists in Jackson Hole, Wyoming.

Stocks initially rose after Yellen’s remarks, only to decline after Stanley Fischer, the Fed’s vice chairman, reiterated in an interview on CNBC that the possibility exists for two rate increases this year, starting as soon as September.

Yellen’s remarks also signaled she didn’t need to see actual inflation rising toward 2 percent to raise interest rates. She said inflation would reach their 2 percent target “over the next couple of years,” and emphasized that gradual, timely moves were required “to achieve and sustain employment and inflation near our statutory objectives.”

So for what it’s worth – and remember, you’re reading this for free – I think that for the next year or so Fed hikes will be of the ‘one and done’ variety, rather than the steady increase variety. But eventually (probably after the Fed Rate has struggled carefully and cautiously to 1% and above) there will be a series of hikes, bang, bang, bang, bang, that will result in a very nasty environment for bonds.

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 -0.7757 % 1,693.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7757 % 3,092.8
Floater 4.85 % 4.63 % 76,552 16.10 4 -0.7757 % 1,782.4
OpRet 4.84 % -9.88 % 64,708 0.08 1 0.0396 % 2,881.5
SplitShare 5.05 % 4.22 % 104,131 2.25 5 0.0397 % 3,441.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0397 % 2,685.1
Perpetual-Premium 5.46 % -0.95 % 76,907 0.18 12 -0.0420 % 2,697.3
Perpetual-Discount 5.10 % 4.98 % 107,183 14.99 26 -0.0441 % 2,915.1
FixedReset 4.89 % 4.14 % 147,225 7.09 89 0.3583 % 2,074.0
Deemed-Retractible 4.97 % 3.78 % 114,797 0.34 32 -0.0113 % 2,809.7
FloatingReset 2.80 % 3.99 % 31,743 5.07 12 0.1959 % 2,208.0
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-26
Maturity Price : 10.33
Evaluated at bid price : 10.33
Bid-YTW : 4.63 %
SLF.PR.J FloatingReset -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 10.37 %
BAM.PR.K Floater -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-26
Maturity Price : 10.39
Evaluated at bid price : 10.39
Bid-YTW : 4.61 %
BAM.PR.B Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-26
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.56 %
CU.PR.F Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-26
Maturity Price : 22.26
Evaluated at bid price : 22.62
Bid-YTW : 4.98 %
MFC.PR.K FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.86
Bid-YTW : 7.77 %
RY.PR.R FixedReset 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.83
Bid-YTW : 3.91 %
NA.PR.Q FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 3.98 %
PWF.PR.T FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.75 %
HSE.PR.A FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-26
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 4.88 %
MFC.PR.N FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.04
Bid-YTW : 7.13 %
SLF.PR.I FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.03 %
TRP.PR.C FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-26
Maturity Price : 13.23
Evaluated at bid price : 13.23
Bid-YTW : 4.15 %
BMO.PR.M FixedReset 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.08
Bid-YTW : 3.44 %
MFC.PR.I FixedReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.89
Bid-YTW : 6.10 %
TRP.PR.A FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-26
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.45 %
BAM.PR.S FloatingReset 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-26
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 4.86 %
MFC.PR.L FixedReset 2.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.79
Bid-YTW : 7.16 %
TRP.PR.B FixedReset 3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-26
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.C FixedReset 180,740 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 5.18 %
BMO.PR.K Deemed-Retractible 154,283 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 1.12 %
NA.PR.A FixedReset 99,418 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.46 %
RY.PR.L FixedReset 49,925 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.55 %
MFC.PR.B Deemed-Retractible 43,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.63
Bid-YTW : 5.46 %
BNS.PR.Y FixedReset 38,426 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.84
Bid-YTW : 5.37 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 14.29 – 14.53
Spot Rate : 0.2400
Average : 0.1735

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.29
Bid-YTW : 9.72 %

MFC.PR.F FixedReset Quote: 14.23 – 14.49
Spot Rate : 0.2600
Average : 0.2083

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.23
Bid-YTW : 9.73 %

W.PR.J Perpetual-Discount Quote: 25.20 – 25.47
Spot Rate : 0.2700
Average : 0.2183

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.70 %

PVS.PR.E SplitShare Quote: 25.15 – 25.40
Spot Rate : 0.2500
Average : 0.1985

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.39 %

BNS.PR.B FloatingReset Quote: 22.74 – 22.92
Spot Rate : 0.1800
Average : 0.1339

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.74
Bid-YTW : 4.03 %

W.PR.H Perpetual-Discount Quote: 25.22 – 25.42
Spot Rate : 0.2000
Average : 0.1561

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-25
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.48 %

BMO.PR.A Commences Trading After Partial Exchange From BMO.PR.Q

August 26th, 2016

BMO.PR.A, the new FloatingReset that has come into existence via partial exchange from BMO.PR.Q, is now trading.

The 19% conversion rate has been reported previously. BMO.PR.Q now pays 1.805% (on par) until 2021-8-25, while BMO.PR.A will pay 3-month bills +115bp, reset quarterly.

BMO.PR.A closed August 26 with a quote of 20.00-25.00 (!).

Vital statistics are:

BMO.PR.A FloatingReset YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 6.00 %

It will be noted that the prospectus does not mention the NVCC rules except as follows:

The Basel Committee on Banking Supervision has announced new international bank capital adequacy rules (commonly called Basel III) which will amend the existing Basel II capital management framework. The Office of the Superintendent of Financial Institutions of Canada (‘‘OSFI’’) has announced that it plans to adopt the new Basel III rules for purposes of Canadian bank capital guidelines. Under the new Basel III rules, effective January 1, 2013, all non-common Tier 1 and Tier 2 capital instruments issued by a bank must have, either in their contractual terms and conditions or by way of statute in the issuer’s home country, a clause requiring a full and permanent conversion into common shares of such bank upon certain trigger events at the point where such bank is determined to be no longer viable. The Preferred Shares Series 25 and, if and when issued, the Preferred Shares Series 26 as a result may not fully qualify as non-common Tier 1 capital under the new capital rules as no such conversion mechanism exists. For purposes of being included in the Bank’s regulatory capital under the new capital rules, the Preferred Shares Series 25 and the Preferred Shares Series 26 would be phased out beginning January 31, 2013 (their recognition will be capped at 90% of total Tier 1 capital from January 1, 2013, with the cap reducing by 10% in each subsequent year). As a result, the Bank may, with the prior approval of the Superintendent, redeem the Preferred Shares Series 25 and the Preferred Shares Series 26, if any, in accordance with their respective terms.

Accordingly, I treat these shares as having a DeemedRetraction for analytical purposes, which results in the ‘Hard Maturity’ dated 2022-1-31 in the box above.

The $0.10 price difference between the two elements of the Strong Pair BMO.PR.Q / BMO.PR.A implies a break-even three-month bill rate of +0.57% – at the high end of the range defined by other investment-grade Strong Pairs.

pairs_FR_160826
Click for Big

HSE: Credit Outlook Improves To ‘Stable’ Says S&P

August 26th, 2016

Standard & Poor’s has announced:

  • •We are revising our outlook on Husky Energy Inc. to stable from negative.
  • •We are also affirming our ratings on the company, including our ‘BBB+’ long-term corporate credit rating (CCR) on Husky.
  • •The outlook revision reflects the company’s successful completion of asset sales to date, which have strengthened cash flow metrics (on a net debt basis) above our forecast estimates from October 2015.
  • •The ‘BBB+’ CCR reflects a ‘bbb’ initial anchor score, and the application of a one-notch enhancement due to our assessment of Husky as a moderately strategic holding for its major shareholder.
  • •We are also removing the positive CRA modifier, because the factors supporting its initial application have been satisfied.


We would lower the rating to ‘BBB’ if the company’s financial risk profile deteriorates materially from our current estimates. Specifically, we would lower the rating if Husky’s three-year, weighted-average FFO-to-debt ratio fell below 30%, and we believed it would remain below this threshold consistently. FFO-to-debt ratios below this level would neither support a ‘bbb’ anchor nor the application of a positive CRA modifier.

Based on our current assessment of Husky’s business risk profile, which we do not expect to strengthen during our 24-month outlook period, we do not believe the company’s financial risk profile could strengthen to the level necessary to support an ‘A-’ rating. To support that rating, Husky’s three-year, weighted-average FFO-to-debt ratio would have to strengthen and remain above 60%, and the company would need to consistently generate positive FOCF such that its FOCF-to-debt ratio would remain above 40%. Due to the oil and gas industry’s capital-intensive nature, we do not believe an oil and gas company could generate and sustain positive FOCF at these levels, so an upgrade to ‘A-’ is not likely during our outlook period.

Affected issues are HSE.PR.A, HSE.PR.B, HSE.PR.C, HSE.PR.E and HSE.PR.G.

August 25, 2016

August 25th, 2016
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 0.1059 % 1,706.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1059 % 3,116.9
Floater 4.81 % 4.55 % 77,586 16.25 4 0.1059 % 1,796.3
OpRet 4.85 % -9.57 % 67,363 0.08 1 0.1188 % 2,880.4
SplitShare 5.05 % 4.22 % 105,369 2.25 5 0.0636 % 3,440.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0636 % 2,684.1
Perpetual-Premium 5.46 % -3.23 % 76,284 0.18 12 -0.0355 % 2,698.4
Perpetual-Discount 5.10 % 4.98 % 106,445 14.99 26 0.0835 % 2,916.4
FixedReset 4.91 % 4.20 % 148,868 7.08 89 0.0000 % 2,066.6
Deemed-Retractible 4.97 % 2.43 % 116,231 0.42 32 -0.1018 % 2,810.0
FloatingReset 2.88 % 3.99 % 32,036 5.08 11 0.1484 % 2,203.6
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 5.18 %
MFC.PR.L FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 7.49 %
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 : 19.25
Bid-YTW : 7.22 %
HSE.PR.G FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.17 %
HSE.PR.E FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 5.23 %
HSE.PR.A FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 4.94 %
SLF.PR.G FixedReset -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 9.63 %
TRP.PR.H FloatingReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 10.61
Evaluated at bid price : 10.61
Bid-YTW : 4.27 %
BNS.PR.Y FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.88
Bid-YTW : 5.33 %
TRP.PR.C FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 13.06
Evaluated at bid price : 13.06
Bid-YTW : 4.20 %
IFC.PR.A FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.45
Bid-YTW : 9.60 %
TRP.PR.F FloatingReset 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.C FixedReset 83,551 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.19 %
BMO.PR.T FixedReset 78,264 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 3.98 %
BMO.PR.S FixedReset 64,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 3.96 %
MFC.PR.I FixedReset 59,816 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.30 %
CM.PR.P FixedReset 52,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 4.04 %
BAM.PF.G FixedReset 51,670 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 4.40 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Quote: 18.36 – 18.77
Spot Rate : 0.4100
Average : 0.2941

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 7.49 %

TRP.PR.A FixedReset Quote: 15.00 – 15.46
Spot Rate : 0.4600
Average : 0.3480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.53 %

SLF.PR.I FixedReset Quote: 19.25 – 19.64
Spot Rate : 0.3900
Average : 0.2903

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.22 %

HSE.PR.C FixedReset Quote: 19.14 – 19.50
Spot Rate : 0.3600
Average : 0.2703

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-25
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 5.18 %

RY.PR.R FixedReset Quote: 26.54 – 26.79
Spot Rate : 0.2500
Average : 0.1618

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.54
Bid-YTW : 4.16 %

SLF.PR.G FixedReset Quote: 14.50 – 14.78
Spot Rate : 0.2800
Average : 0.2011

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 9.63 %

August 24, 2016

August 24th, 2016
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 0.1060 % 1,704.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1060 % 3,113.6
Floater 4.82 % 4.56 % 77,141 16.23 4 0.1060 % 1,794.4
OpRet 4.85 % -8.35 % 67,392 0.08 1 -0.1582 % 2,876.9
SplitShare 5.06 % 4.27 % 109,675 2.25 5 0.0318 % 3,437.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0318 % 2,682.3
Perpetual-Premium 5.45 % -3.18 % 76,074 0.19 12 -0.0613 % 2,699.4
Perpetual-Discount 5.10 % 4.97 % 107,073 14.99 26 0.0268 % 2,914.0
FixedReset 4.94 % 4.20 % 149,574 7.09 89 -0.1056 % 2,066.6
Deemed-Retractible 4.96 % 2.31 % 117,552 0.35 32 0.2128 % 2,812.9
FloatingReset 2.88 % 3.98 % 32,712 5.08 11 -0.3149 % 2,200.4
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 4.58 %
BAM.PR.X FixedReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 13.98
Evaluated at bid price : 13.98
Bid-YTW : 4.56 %
IFC.PR.A FixedReset -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.22
Bid-YTW : 9.82 %
BMO.PR.M FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.67
Bid-YTW : 3.79 %
ELF.PR.F Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 24.44
Evaluated at bid price : 24.68
Bid-YTW : 5.43 %
NA.PR.Q FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.86
Bid-YTW : 4.20 %
GWO.PR.N FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.38
Bid-YTW : 9.62 %
SLF.PR.I FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.03 %
NA.PR.S FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.16 %
NA.PR.W FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.14 %
PWF.PR.O Perpetual-Premium 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-10-31
Maturity Price : 25.50
Evaluated at bid price : 26.02
Bid-YTW : -3.18 %
HSE.PR.E FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 5.16 %
TRP.PR.A FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.48 %
SLF.PR.G FixedReset 1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.66
Bid-YTW : 9.47 %
TRP.PR.E FixedReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 4.24 %
TRP.PR.D FixedReset 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.37 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.M FixedReset 64,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 3.97 %
BMO.PR.S FixedReset 63,662 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 3.97 %
FTS.PR.E OpRet 63,200 YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2016-09-23
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -8.35 %
BMO.PR.Y FixedReset 51,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.07 %
BMO.PR.L Deemed-Retractible 40,208 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-23
Maturity Price : 25.25
Evaluated at bid price : 25.86
Bid-YTW : -22.19 %
TD.PF.G FixedReset 34,652 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.95 %
There were 50 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Quote: 20.97 – 21.38
Spot Rate : 0.4100
Average : 0.2699

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 4.44 %

TRP.PR.F FloatingReset Quote: 13.43 – 13.90
Spot Rate : 0.4700
Average : 0.3582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 4.58 %

SLF.PR.I FixedReset Quote: 19.50 – 19.77
Spot Rate : 0.2700
Average : 0.1810

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.03 %

FTS.PR.H FixedReset Quote: 13.69 – 13.99
Spot Rate : 0.3000
Average : 0.2135

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 3.93 %

CCS.PR.C Deemed-Retractible Quote: 24.54 – 24.90
Spot Rate : 0.3600
Average : 0.2745

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.54
Bid-YTW : 5.42 %

TD.PF.B FixedReset Quote: 19.04 – 19.29
Spot Rate : 0.2500
Average : 0.1656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-24
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 4.00 %

August 23, 2016

August 24th, 2016

Assiduous Readers will remember my rants about risk; risk is not something dumb, like “monthly volatility of portfolio value” (which, by the way, implicitly assumes that the critical consideration is Preservation of Capital); risk is the chance that a portfolio will not meet its objectives and hence cause the portfolio holder to revise his lifestyle downward from the expected level. I was pleased to find an essay today on this topic by Jean L.P. Brunel, titled Goals-Based Wealth Management in Practice:

Wealth management processes have not always been responsive to individual clients’ priorities and modes of thinking. A model is presented and evaluated that uses goals-based wealth management concepts to generate module-built portfolios, each of which is driven by a client’s expressed goals. This model allows for a high degree of flexibility and responsiveness to client needs with a practical level of standardization.

I can’t say I’m a fan of the module-based approach to implementation, however:

GenSpring uses four sets of goals-focused modules in creating portfolios:
1. Tax aware with nontraditional strategies,
2. Tax agnostic with nontraditional strategies,
3. Tax aware with only traditional strategies, and
4. Tax agnostic with only traditional strategies.

Goals-Focused Modules. Each of the four sets consists of nine modules that address all the categories of a client family’s needs. The modules are contiguous, but each module must be sufficiently different to distinguish it from the others. Each module must also be optimal within the constraints created by inevitable trade-offs while leaving room for flexibility.

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 -0.6146 % 1,702.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6146 % 3,110.3
Floater 4.82 % 4.51 % 78,079 16.20 4 -0.6146 % 1,792.5
OpRet 4.84 % -10.34 % 62,390 0.08 1 0.0000 % 2,881.5
SplitShare 5.06 % 4.30 % 113,950 2.25 5 0.2470 % 3,436.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2470 % 2,681.5
Perpetual-Premium 5.45 % 2.17 % 76,429 0.19 12 -0.1063 % 2,701.0
Perpetual-Discount 5.11 % 4.96 % 107,615 14.93 26 -0.1541 % 2,913.2
FixedReset 4.93 % 4.16 % 150,219 7.10 89 -0.9843 % 2,068.8
Deemed-Retractible 4.97 % 1.61 % 118,365 0.26 32 -0.1722 % 2,806.9
FloatingReset 2.87 % 3.97 % 31,856 5.08 11 -0.4748 % 2,207.3
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 11.81
Evaluated at bid price : 11.81
Bid-YTW : 4.17 %
BAM.PR.S FloatingReset -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 4.96 %
SLF.PR.G FixedReset -2.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.43
Bid-YTW : 9.69 %
TRP.PR.E FixedReset -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.33 %
HSE.PR.A FixedReset -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 4.86 %
TRP.PR.D FixedReset -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 4.48 %
BAM.PF.F FixedReset -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.46 %
MFC.PR.K FixedReset -2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 7.86 %
TRP.PR.A FixedReset -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 14.94
Evaluated at bid price : 14.94
Bid-YTW : 4.54 %
BAM.PF.G FixedReset -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.42 %
HSE.PR.E FixedReset -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.23 %
FTS.PR.H FixedReset -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.91 %
BAM.PF.B FixedReset -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.68 %
MFC.PR.F FixedReset -2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 9.70 %
TRP.PR.F FloatingReset -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 13.78
Evaluated at bid price : 13.78
Bid-YTW : 4.46 %
BAM.PR.Z FixedReset -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.79 %
NA.PR.Q FixedReset -2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 3.95 %
FTS.PR.G FixedReset -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 3.91 %
BAM.PR.T FixedReset -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 4.74 %
CM.PR.Q FixedReset -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 4.16 %
IFC.PR.C FixedReset -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.17
Bid-YTW : 7.88 %
MFC.PR.I FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.26 %
BAM.PF.A FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.55 %
TRP.PR.H FloatingReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 10.59
Evaluated at bid price : 10.59
Bid-YTW : 4.27 %
RY.PR.J FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.14 %
MFC.PR.N FixedReset -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.91
Bid-YTW : 7.23 %
BAM.PF.E FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.39 %
FTS.PR.K FixedReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.82 %
RY.PR.H FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.00 %
TD.PF.A FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.00 %
MFC.PR.L FixedReset -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.18 %
BAM.PF.H FixedReset -1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.80 %
BAM.PR.X FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 4.48 %
PWF.PR.O Perpetual-Premium -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-10-31
Maturity Price : 25.50
Evaluated at bid price : 25.76
Bid-YTW : 2.17 %
BAM.PR.R FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 4.64 %
NA.PR.X FixedReset -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 4.45 %
TRP.PR.C FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 4.22 %
TD.PF.B FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.03 %
TD.PF.E FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 4.08 %
BAM.PR.C Floater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 10.44
Evaluated at bid price : 10.44
Bid-YTW : 4.58 %
RY.PR.M FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 4.08 %
TD.PF.C FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.05 %
BAM.PR.K Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 10.46
Evaluated at bid price : 10.46
Bid-YTW : 4.57 %
BNS.PR.Q FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.08
Bid-YTW : 3.67 %
BAM.PR.B Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 4.51 %
GWO.PR.N FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.55
Bid-YTW : 9.45 %
SLF.PR.H FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 8.56 %
CCS.PR.C Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.44 %
PWF.PR.P FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 13.79
Evaluated at bid price : 13.79
Bid-YTW : 4.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.K Floater 199,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 10.46
Evaluated at bid price : 10.46
Bid-YTW : 4.57 %
SLF.PR.I FixedReset 146,945 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.72
Bid-YTW : 6.86 %
BIP.PR.C FixedReset 78,455 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.14 %
TRP.PR.J FixedReset 61,368 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.15 %
BMO.PR.T FixedReset 59,480 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.98 %
BAM.PR.R FixedReset 54,819 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 4.64 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.M Deemed-Retractible Quote: 26.66 – 27.25
Spot Rate : 0.5900
Average : 0.4140

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-22
Maturity Price : 25.75
Evaluated at bid price : 26.66
Bid-YTW : -24.93 %

HSE.PR.E FixedReset Quote: 20.67 – 21.15
Spot Rate : 0.4800
Average : 0.3112

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.23 %

RY.PR.F Deemed-Retractible Quote: 25.15 – 25.55
Spot Rate : 0.4000
Average : 0.2406

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-22
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : -2.97 %

NA.PR.Q FixedReset Quote: 24.15 – 24.64
Spot Rate : 0.4900
Average : 0.3370

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 3.95 %

MFC.PR.M FixedReset Quote: 19.03 – 19.47
Spot Rate : 0.4400
Average : 0.2993

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.03
Bid-YTW : 7.19 %

CU.PR.F Perpetual-Discount Quote: 22.75 – 23.17
Spot Rate : 0.4200
Average : 0.2969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-23
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 4.95 %