April 19, 2018

April 19th, 2018

The strength of US institutions was on display again today, as the New York Fed published a blog post titled Will New Steel Tariffs Protect U.S. Jobs?:

We argue that the new tariffs are likely to lead to a net loss in U.S. employment, at least in the short to medium run.

Research on markup adjustments more generally shows that a 10 percent increase in competitor prices leads to a 5 percent increase in domestic prices. With a 25 percent tax on imported steel, local steel producers can increase their markups and prices, and still stay competitive relative to foreign-produced inputs. This is the so-called protection that tariffs confer.

However, firms that are dependent on steel and aluminum inputs—both importers and non-importers—will face higher prices. Downstream domestic producers will have to increase their prices or reduce markups, which makes them uncompetitive relative to competing imports. Similarly, U.S. exporters that need steel or steel-related inputs will face higher input costs and will have to either increase export prices or reduce their profit margins. These effects could lead to lower employment in these steel-intensive industries and possibly plant shut downs. Researchers estimate that the number of jobs in steel-intensive industries, which they define as industries with steel inputs of at least 5 percent of total, is around 2 million—for example, manufacturers of auto parts, motorcycles, and household appliances.

steelproduction
Click for Big

I can’t imagine either Poluz or Carney authorizing the publication of anything like that! Canada is poorly served by its bootlicking class.

The 10-Year Treasury yield increased by 4bp today, which some blame on the commodity markets:

The recent weeks of sanctions, tariff dust-ups and tight oil supplies that jolted commodities prices higher have now got equities and Treasuries investors on the run, according to Weeden & Co.

Unlike in February, when optimism over global growth sent Treasury yields higher, this time it’s the price pressure from rising metals, Weeden’s Michael Purves wrote in a note to investors Thursday.

treasuries_180419
Click for Big

Five year Canada yields were higher as well, closing at 2.16% … this should have been good news for FixedResets but, perversely, they got hit today along with everything else.

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 -0.7463 % 2,969.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7463 % 5,449.4
Floater 3.36 % 3.58 % 95,928 18.35 4 -0.7463 % 3,140.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0874 % 3,151.2
SplitShare 4.61 % 4.58 % 78,070 5.10 5 0.0874 % 3,763.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0874 % 2,936.2
Perpetual-Premium 5.55 % -7.68 % 75,734 0.09 11 -0.2323 % 2,873.4
Perpetual-Discount 5.38 % 5.42 % 64,749 14.79 24 -0.3042 % 2,949.2
FixedReset 4.31 % 4.73 % 160,597 5.65 104 -0.3088 % 2,510.7
Deemed-Retractible 5.13 % 5.73 % 85,238 5.65 28 -0.2035 % 2,945.0
FloatingReset 3.03 % 2.90 % 32,205 3.59 11 -0.1406 % 2,762.8
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 3.97 %
BAM.PF.E FixedReset -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 22.45
Evaluated at bid price : 22.77
Bid-YTW : 5.10 %
BAM.PF.C Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.75 %
IFC.PR.A FixedReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 7.55 %
TRP.PR.E FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 21.66
Evaluated at bid price : 22.09
Bid-YTW : 5.01 %
TRP.PR.B FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 4.94 %
HSE.PR.A FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 5.14 %
MFC.PR.I FixedReset -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 4.91 %
BAM.PF.B FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 22.66
Evaluated at bid price : 23.21
Bid-YTW : 5.08 %
BAM.PR.Z FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 22.92
Evaluated at bid price : 24.30
Bid-YTW : 5.07 %
TD.PF.D FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 23.14
Evaluated at bid price : 24.10
Bid-YTW : 4.85 %
BAM.PR.B Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.59 %
BAM.PR.C Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 3.58 %
TRP.PR.D FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 5.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.S FixedReset 89,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 3.61 %
BMO.PR.Q FixedReset 66,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 4.50 %
BMO.PR.W FixedReset 58,890 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 22.24
Evaluated at bid price : 22.60
Bid-YTW : 4.77 %
POW.PR.D Perpetual-Discount 58,016 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 22.74
Evaluated at bid price : 23.03
Bid-YTW : 5.45 %
NA.PR.S FixedReset 44,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 22.50
Evaluated at bid price : 23.00
Bid-YTW : 4.84 %
EIT.PR.B SplitShare 43,343 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.80 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 22.77 – 23.10
Spot Rate : 0.3300
Average : 0.2098

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 22.45
Evaluated at bid price : 22.77
Bid-YTW : 5.10 %

BAM.PF.B FixedReset Quote: 23.21 – 23.45
Spot Rate : 0.2400
Average : 0.1522

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 22.66
Evaluated at bid price : 23.21
Bid-YTW : 5.08 %

TRP.PR.F FloatingReset Quote: 19.47 – 19.71
Spot Rate : 0.2400
Average : 0.1574

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-19
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 3.97 %

BAM.PF.H FixedReset Quote: 25.76 – 25.97
Spot Rate : 0.2100
Average : 0.1312

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.92 %

CU.PR.I FixedReset Quote: 26.00 – 26.26
Spot Rate : 0.2600
Average : 0.1829

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.15 %

MFC.PR.I FixedReset Quote: 24.57 – 24.80
Spot Rate : 0.2300
Average : 0.1545

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 4.91 %

April 18, 2018

April 18th, 2018

PerpetualDiscounts now yield 5.41%, equivalent to 7.03% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a slight (and perhaps spurious) narrowing from the 315bp reported April 11.

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 1.1886 % 2,992.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1886 % 5,490.4
Floater 3.34 % 3.54 % 97,351 18.44 4 1.1886 % 3,164.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0715 % 3,148.5
SplitShare 4.62 % 4.58 % 78,321 5.10 5 0.0715 % 3,759.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0715 % 2,933.6
Perpetual-Premium 5.54 % -11.94 % 75,376 0.09 11 0.1431 % 2,880.1
Perpetual-Discount 5.37 % 5.41 % 65,683 14.81 24 0.0587 % 2,958.2
FixedReset 4.30 % 4.70 % 159,504 4.35 104 0.2155 % 2,518.4
Deemed-Retractible 5.12 % 5.69 % 85,037 5.65 28 -0.0703 % 2,951.0
FloatingReset 3.02 % 2.86 % 32,356 3.59 11 0.2215 % 2,766.7
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-18
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 3.56 %
TRP.PR.D FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-18
Maturity Price : 21.83
Evaluated at bid price : 22.33
Bid-YTW : 4.98 %
BMO.PR.Q FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 4.47 %
TRP.PR.E FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-18
Maturity Price : 21.85
Evaluated at bid price : 22.38
Bid-YTW : 4.94 %
PWF.PR.A Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-18
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 2.88 %
BAM.PR.C Floater 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 124,214 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-18
Maturity Price : 22.36
Evaluated at bid price : 22.78
Bid-YTW : 4.77 %
EIT.PR.B SplitShare 96,665 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.83 %
W.PR.M FixedReset 80,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.37 %
BMO.PR.Q FixedReset 60,255 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 4.47 %
TD.PF.B FixedReset 56,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-18
Maturity Price : 22.27
Evaluated at bid price : 22.69
Bid-YTW : 4.76 %
GWO.PR.S Deemed-Retractible 54,541 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 5.30 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Quote: 20.47 – 20.80
Spot Rate : 0.3300
Average : 0.2110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-18
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 5.18 %

MFC.PR.K FixedReset Quote: 22.93 – 23.21
Spot Rate : 0.2800
Average : 0.1856

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 5.88 %

IAG.PR.G FixedReset Quote: 23.36 – 23.61
Spot Rate : 0.2500
Average : 0.1700

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.36
Bid-YTW : 5.43 %

IFC.PR.E Deemed-Retractible Quote: 24.41 – 24.64
Spot Rate : 0.2300
Average : 0.1670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 5.70 %

MFC.PR.N FixedReset Quote: 22.94 – 23.18
Spot Rate : 0.2400
Average : 0.1780

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.94
Bid-YTW : 5.79 %

TRP.PR.A FixedReset Quote: 19.78 – 20.05
Spot Rate : 0.2700
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-18
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 5.04 %

EIT.PR.B Firm on Good Volume

April 17th, 2018

Canoe Financial has announced (bolding from original):

Canoe EIT Income Fund (the “Fund”) (TSX – EIT.UN, EIT.PR.A, EIT.PR.B) announced today that it has closed the previously announced offering of 4.80% Cumulative Redeemable Series 2 Preferred Units (the “Series 2 Preferred Units”). The Series 2 Preferred Units were offered to the public through a syndicate of underwriters led by Scotiabank which also included CIBC Capital Markets, RBC Capital Markets, BMO Capital Markets, TD Securities Inc., National Bank Financial Inc., Industrial Alliance Securities Inc., Canaccord Genuity Corp., and Manulife Securities Incorporated.

The Fund issued 2,800,000 Series 2 Preferred Units at a price of $25.00 per Series 2 Preferred Unit for gross proceeds of $70,000,000. The Fund has also granted the underwriters an option, exercisable at the offering price for a period of 30 days from today’s date, to purchase up to an additional 420,000 Series 2 Preferred Units to cover over-allotments, if any. Holders of the Series 2 Preferred Units will be entitled to fixed cumulative preferential cash distributions of $1.20 per Series 2 Preferred Unit per annum, as and when declared, which will accrue from the date of issue and will be payable quarterly on the 15th day of March, June, September and December in each year with the initial distribution, if declared, payable on June 15, 2018. The Series 2 Preferred Units are listed for trading on the Toronto Stock Exchange under the symbol “EIT.PR.B”.

The Fund intends to use the proceeds from the Offering in accordance with the investment objectives and investment strategies of the Fund, subject to the investment restrictions of the Fund.

The Fund’s regular monthly distribution of $0.10 per unit for unitholders of EIT.UN units remains unchanged. The Fund has maintained the $0.10 per unit monthly distribution since August 2009, through varying market conditions. The Fund’s annual voluntary redemption feature for unitholders of EIT.UN units remains unchanged. Once a date has been set for the 2018 annual redemption, the Fund will issue a news release with the details.

A final short form prospectus dated April 10, 2018 containing important information relating to the Series 2 Preferred Units has been filed with securities commissions or similar authorities in all provinces and territories of Canada. Copies of the final short form prospectus may be obtained from your registered financial advisor using the contact information for such advisor, or from representatives of the underwriters listed above.

EIT.PR.B is a 7-year Retractible, 4.80%, issue. I consider it to be a Split Share since it’s value is derived from an underlying portfolio of equities – it is not an operating company.

The prospectus is not (yet) available on the Canoe Financial website and I am not permitted to link to the public filing directly by the notoriously secretive Canadian Securities Administrators; those who want to see it will have to go through the ‘search’ rigamarole on SEDAR to find “Canoe EIT Income Fund Apr 10 2018 15:34:35 ET Final short form prospectus – English PDF 608 K”.

The prospectus is important because of the unusual tax treatment of distributions for this issue:

Historical Distributions
Set out below are the tax classifications of the historical distributions on the Units of the Fund (which were $0.10 per Unit per month for the entire period presented) for the past five years, and the Manager expects the Series 2 Preferred Units to have a similar breakdown:
% 2017 2016 2015 2014 2013
Capital gain 46.79% 53.10% 60.92% 59.89% 32.73%
Actual amount of eligible dividends 4.75% 8.89% 9.29% 5.33% 18.18%
Actual amount of ineligible dividends
Foreign income, net of tax
Other income
Return of Capital(1) 48.46% 38.01% 29.79% 34.78% 49.09%
Total 100.00% 100.00% 100.00% 100.00% 100.00%
(1) Includes warrants from 2013-2017.


Distributions in any given period may consist of net income, net capital gains and/or returns of capital. The Fund’s income and net taxable gains for the purposes of the Tax Act will be allocated to the holders of Units and Preferred Units in the same proportion as the distributions received by such holders. See “Principal Canadian Federal Income Tax Considerations”.

DBRS has rated the preferreds at Pfd-2(high):

DBRS Limited (DBRS) finalized the provisional rating of Pfd-2 (high) assigned to the Cumulative Redeemable Series 2 Preferred Units (the Series 2 Preferred Units) issued by Canoe EIT Income Fund (the Fund) and confirmed the rating of the previously issued Cumulative Redeemable Series 1 Preferred Units (the Series 1 Preferred Units, collectively with the Series 2 Preferred Units, the Preferred Units).

Following the new issue and assuming no capital distributions or special dividends paid, the net asset value of the Fund would have to fall by approximately 77% for the holders of the Preferred Units to be in a loss position. Considering the expected level of downside protection available to holders of the Preferred Units and the composition and diversification of the Fund’s portfolio, DBRS has finalized the provisional rating of Pfd-2 (high) assigned to the Series 2 Preferred Units and confirmed the Series 1 Preferred Units at Pfd-2 (high).

The main constraints to the rating are the following:

(1) The potential grind on the Portfolio arising from redemption rights and distributions to the Units.
(2) The foreign-exchange risk due to the absence of a hedge on some investments in foreign currencies.
(3) The priority of the lenders under the Credit Facility over the Fund’s assets up to the amount of credit outstanding.

The issue traded 330,753 shares today in a range of 24.96-05 before closing at 24.99-00. Vital statistics are:

EIT.PR.B SplitShare YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.83 %

April 17, 2018

April 17th, 2018
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 0.4072 % 2,957.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4072 % 5,425.9
Floater 3.38 % 3.59 % 98,341 18.32 4 0.4072 % 3,127.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1486 % 3,146.2
SplitShare 4.62 % 4.68 % 79,198 5.10 5 -0.1486 % 3,757.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1486 % 2,931.5
Perpetual-Premium 5.55 % -9.76 % 72,801 0.09 11 0.1577 % 2,876.0
Perpetual-Discount 5.37 % 5.41 % 66,587 14.80 24 0.1319 % 2,956.4
FixedReset 4.31 % 4.72 % 162,052 4.45 104 0.0618 % 2,513.0
Deemed-Retractible 5.11 % 5.63 % 85,834 5.66 28 0.2157 % 2,953.1
FloatingReset 3.03 % 2.94 % 33,627 3.59 11 -0.0523 % 2,760.6
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.76
Bid-YTW : 5.90 %
Volume Highlights
Issue Index Shares
Traded
Notes
EIT.PR.B SplitShare 330,753 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.83 %
TRP.PR.J FixedReset 306,842 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.93 %
VNR.PR.A FixedReset 151,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-17
Maturity Price : 23.02
Evaluated at bid price : 24.49
Bid-YTW : 4.88 %
BAM.PF.I FixedReset 93,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 3.97 %
BAM.PF.J FixedReset 82,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.44 %
MFC.PR.Q FixedReset 74,369 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.71 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 18.01 – 18.55
Spot Rate : 0.5400
Average : 0.3325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-17
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.08 %

BAM.PF.J FixedReset Quote: 25.40 – 25.77
Spot Rate : 0.3700
Average : 0.2326

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.44 %

MFC.PR.O FixedReset Quote: 26.38 – 26.69
Spot Rate : 0.3100
Average : 0.1865

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 3.91 %

TRP.PR.E FixedReset Quote: 22.10 – 22.39
Spot Rate : 0.2900
Average : 0.1830

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-17
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 5.01 %

TRP.PR.B FixedReset Quote: 16.56 – 16.90
Spot Rate : 0.3400
Average : 0.2332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-17
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 4.92 %

IAG.PR.I FixedReset Quote: 25.46 – 25.75
Spot Rate : 0.2900
Average : 0.2132

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.55 %

April 16, 2018

April 17th, 2018
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 -1.8873 % 2,945.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8873 % 5,403.9
Floater 3.39 % 3.59 % 99,549 18.32 4 -1.8873 % 3,114.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1681 % 3,150.9
SplitShare 4.57 % 4.60 % 77,201 5.11 4 -0.1681 % 3,762.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1681 % 2,935.9
Perpetual-Premium 5.56 % -9.60 % 72,421 0.09 11 0.1112 % 2,871.5
Perpetual-Discount 5.38 % 5.43 % 66,107 14.78 24 0.1142 % 2,952.5
FixedReset 4.31 % 4.73 % 164,539 5.66 104 -0.1331 % 2,511.5
Deemed-Retractible 5.13 % 5.65 % 86,064 5.66 28 -0.0479 % 2,946.7
FloatingReset 3.03 % 2.98 % 35,025 3.59 11 -0.1166 % 2,762.0
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-16
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 3.62 %
BAM.PR.B Floater -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-16
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 3.62 %
BAM.PR.C Floater -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-16
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.59 %
MFC.PR.L FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.10 %
PWF.PR.A Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-16
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 2.93 %
PVS.PR.F SplitShare -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.85 %
SLF.PR.H FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 6.39 %
PWF.PR.P FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-16
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.47 %
TRP.PR.A FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-16
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.04 %
W.PR.H Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-16
Maturity Price : 24.47
Evaluated at bid price : 24.71
Bid-YTW : 5.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.Q FixedReset 62,419 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.66 %
TD.PF.J FixedReset 48,710 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 4.52 %
BMO.PR.M FixedReset 48,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.93 %
RY.PR.J FixedReset 35,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-16
Maturity Price : 23.27
Evaluated at bid price : 24.29
Bid-YTW : 4.84 %
TD.PR.S FixedReset 34,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.82 %
TD.PF.G FixedReset 26,233 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.39
Bid-YTW : 3.50 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Quote: 22.00 – 22.30
Spot Rate : 0.3000
Average : 0.1880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-16
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 5.06 %

IGM.PR.B Perpetual-Premium Quote: 25.52 – 25.79
Spot Rate : 0.2700
Average : 0.1664

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-05-16
Maturity Price : 25.25
Evaluated at bid price : 25.52
Bid-YTW : -9.60 %

MFC.PR.L FixedReset Quote: 22.50 – 22.87
Spot Rate : 0.3700
Average : 0.2671

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.10 %

PVS.PR.F SplitShare Quote: 25.10 – 25.40
Spot Rate : 0.3000
Average : 0.1987

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.85 %

SLF.PR.E Deemed-Retractible Quote: 21.37 – 21.60
Spot Rate : 0.2300
Average : 0.1401

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 7.32 %

TRP.PR.A FixedReset Quote: 19.77 – 20.05
Spot Rate : 0.2800
Average : 0.1966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-16
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.04 %

April PrefLetter Released!

April 15th, 2018

The April, 2018, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the April, 2018, issue, while the “Next Edition” will be the May, 2018, issue, scheduled to be prepared as of the close May 11 and eMailed to subscribers prior to market-opening on May 14.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

SBC.PR.A : Annual Report 2017

April 14th, 2018

Brompton Split Banc Corp. has released its Annual Report to December 31, 2017.

SBC / SBC.PR.A Performance
Instrument One
Year
Three
Years
Five
Years
Ten
Years
SBC +20.3% +16.4% +20.6% +14.1%
SBC.PR.A +4.6% +4.6% +4.6% +5.0%
Whole Unit +14.1% +11.5% +13.5% +10.0%
S&P/TSX Capped Financials Index +13.3% +10.9% +14.3% +8.3%
S&P/TSX Composite +9.1% +6.6% +8.6% +4.6%

Figures of interest are:

MER: “The MER per unit, excluding Preferred share distributions, was 0.97% in 2017 and 0.99% for 2016. This
ratio is more representative of the ongoing efficiency of the administration of the Fund.”

Average Net Assets: We need this to calculate portfolio yield. MER of 0.97% Total Expenses of 2,160,416 implies $223-million net assets. Preferred Share distributions of 3,414,174 @ 0.50 / share implies 6.828-million shares out on average. Average Unit Value (beginning & end of year) = (24.46 + 23.10) / 2 = 23,67. Therefore 6.828-million @ 23.67 = 234-million average net assets. Good agreement – call it 228-million.

Underlying Portfolio Yield: Dividends received of 6.982-million divided by average net assets of 228-million is 3.06%

Income Coverage: Net Investment Income of 4.833-million divided by Preferred Share Distributions of 3.414-million is 142%.

FTN To Get Bigger by Exchange Offer

April 14th, 2018

Quadravest has announced:

Financial 15 Split Corp. (the “Company”) is pleased to announce it will undertake an exchange offering for holders of units of SCITI Trust whereby one Class A Share of the Company will be offered in exchange for 1.17614 freely-tradable listed units of SCITI Trust (the “Exchange Offer”). The maximum number of Class A Shares to be issued by the Company in the Exchange Offer will be 2,917,000.

In conjunction with the Exchange Offer, the Company will also undertake to offer up to 2,917,000 Preferred Shares of the Company at a price of $9.90 per Preferred Share to yield 5.55%. The offering will be led by National Bank Financial Inc., CIBC Capital Markets and BMO Capital Markets.

The closing price on the TSX of each of the Preferred Shares and the Class A Shares on April 6, 2018 was $10.11 and $10.36, respectively. The closing price on the TSX of the SCITI Trust units on April 5, 2018 was $7.52.

Since inception of the Company, the aggregate dividends paid on the Preferred Shares have been $7.51 per share and the aggregate dividends paid on the Class A Shares have been $17.64 per share, for a combined total of $25.15. All distributions to date have been made in tax advantaged eligible Canadian dividends or capital gains dividends.

The Company will not receive cash proceeds from the issuance of the Class A Shares. In consideration for issuing each Class A Share, the Company will receive 1.17614 units of SCITI Trust. The investment fund manager of SCITI Trust confirmed on March 21, 2018 that SCITI Trust would be terminating on its scheduled termination date of April 30, 2018. At that time, SCITI Trust will distribute to its unitholders, including the Company to the extent it acquires SCITI Trust units under the Exchange Offer, the net asset value of SCITI Trust in cash.

The net proceeds of the offering, consisting of the net cash proceeds from the issuance of the Preferred Shares, and the net cash proceeds received on the wind-up of SCITI Trust in respect of the SCITI Trust units received as consideration for the issuance of the Class A Shares, will be used by the Company to invest in an actively managed, high quality portfolio consisting of 15 financial services companies made up of Canadian and U.S. issuers as follows

Bank of Montreal National Bank of Canada Bank of America Corp.
The Bank of Nova Scotia Manulife Financial Corporation Citigroup Inc.
Canadian Imperial Bank of Commerce Sun Life Financial Services of Canada Inc. Goldman Sachs Group Inc.
Royal Bank of Canada Great-West Lifeco Inc. JP Morgan Chase & Co.
The Toronto-Dominion Bank CI Financial Corp. Wells Fargo & Co

The Company’s investment objectives are:

Preferred Shares:
i. to provide holders of the Preferred Shares with fixed, cumulative preferential monthly cash dividends currently in the amount of 5.50% annually, to be set by the Board of Directors annually subject to a minimum of 5.25% until 2020; and
ii. on or about the termination date, currently December 1, 2020 (subject to further 5 year extensions thereafter), to pay the holders of the Preferred Shares $10.00 per Preferred Share.

Class A Shares:
i. to provide holders of the Class A Shares with regular monthly cash dividends in an amount to be determined by the Board of the Directors; and
ii. to permit holders to participate in all growth in the net asset value of the Company above $10 per Unit, by paying holders on or about the termination date of December 1, 2020 (subject to further 5 year extensions thereafter) such amounts as remain in the Company after paying $10 per Preferred Share.

The sales period of the Exchange Offer will end at 5:00 p.m. EST on April 16, 2018. The Exchange Offer is expected to close on or about April 24, 2018 and is subject to certain closing conditions including approval by the TSX.

The sales period for the offering of Preferred Shares will end at 9:00 a.m. EST on April 24, 2018. The offering of Preferred Shares is expected to close on or about April 30, 2018. The offering is subject to certain closing conditions including approval by the TSX.

The press release issued by SCITI Trust on March 21 makes no mention of the potential for an exchange offer.

Scotia Managed Companies Administration Inc. (the “Manager”) confirmed today that SCITI Trust (the “Trust”) (TSX: SIN.UN) will terminate on its scheduled termination date of April 30, 2018 (the “Termination Date”). The last day on which the Trust’s units will trade on the Toronto Stock Exchange (the “TSX”) is April 26, 2018.

After the close of business on the Termination Date, the Trust will distribute to its unitholders their pro rata share of the net assets of the Trust, being the net asset value per unit as of the close of business on the Termination Date after paying its final distribution. Prior to the Termination Date, the Trust will liquidate all of its assets.

EIT.PR.A : Annual Report 2017

April 14th, 2018

Canoe EIT Income Fund has released its Annual Report to December 31, 2017.

EIT Performance
Instrument One
Year
Three
Years
Five
Years
Ten
Years
EIT
(based on NAV)
+10.1% +10.6% +10.3% +8.7%
S&P/TSX Composite Total Return Index +9.1% +6.6% +8.6% +4.7%

Sadly, they did not publish a “whole fund” return.

Figures of interest are:

MER: “Management expense ratio excluding issue costs, interest, and distributions to preferred redeemable units” “as a percentage of net asset value” (which I take to mean, based only on the equity represented by the Capital Units).
1.63% “as a percentage of net asset value” (which I take to mean, based only on the equity represented by the Capital Units).

Average Net Assets: There was no particularly enormous change in either the number of capital units outstanding or of the net asset value per capital unit, so let’s just take the average of the year-beginning and year-ending NAVs: )(1,073-million + 1,151-million) / 2 = 1,112-million

Underlying Portfolio Yield: Dividends received of 32.122-million + interest of 1.084-million is 33.206-million divided by average net assets of 1,112-million is 3.00%

Income Coverage: Net Investment Income of 8.227-million divided by Preferred Share Distributions (annualized) of 6.544-million is 126%.

Asset Coverage: NET ASSETS ATTRIBUTABLE TO HOLDERS OF COMMON REDEEMABLE UNITS of 1,073-million + Preferred redeemable units of 136.3-million, all divided by Preferred redeemable units of 136.3-million is 8.9x.

April 13, 2018

April 13th, 2018

The Ontario Securities Commission has announced:

The Canadian Securities Administrators (CSA) today published for comment CSA Staff Notice 61-303 and Request for Comment Soliciting Dealer Arrangements. The notice outlines regulatory issues raised by soliciting dealer arrangements and seeks input on the practice, which generally involves an issuer paying a dealer to successfully solicit securities from a securityholder in connection with corporate transactions.

The actual notice asks:

3. Are soliciting dealer arrangement fees typically only paid in respect of votes “for” management’s recommendations? Is that appropriate in all circumstances? Is there a reason to distinguish proxy contests in this regard?

5. Do you think that the potential conflict of interest on the part of an investment dealer or a dealing representative can be effectively managed?

a. If so, what steps should an investment dealer take to appropriately manage or avoid the conflict of interest? What steps should a dealing representative take, beyond disclosure, to appropriately manage or avoid the conflict of interest?

b. Does the answer differ depending on whether the transaction is

i. a take-over bid tender,

ii. a securityholder vote in relation to a merger or acquisition transaction,

iii. a securityholder vote to amend the terms of a security, or

iv. a securityholder vote in the context of a proxy contest?

c. In the context of a securityholder vote in relation to a merger and acquisition transaction, does the answer to #5 differ depending on whether the fee is contingent on the securityholder voting in favour of the transaction and/or the transaction being approved?

d. In the context of a proxy contest, does the answer to #5 differ if the fee is contingent on the securityholder voting in favour of management’s nominees and/or management’s nominees being elected?

e. What type of communication and disclosure by investment dealers and dealing representatives should be made to the securityholder respecting the existence of a soliciting dealer arrangement?

6. Do you think that there are circumstances in which it would never be appropriate for an investment dealer to enter into a soliciting dealer arrangement? If so, please discuss what such circumstances would be.

7. Are soliciting dealer fees paid to investment dealers and/or dealing representatives in connection with securities held in managed accounts? If so, in what circumstances?

8. How can investment dealers and dealing representatives participating in a soliciting dealer arrangement in respect of a proxy contest ensure compliance with the proxy solicitation rules?

9. Are investment dealers and/or dealing representatives involved in proxy contests where a proxy solicitation firm has been retained?

10. Do you believe that an investment dealer or a dealing representative has a responsibility to encourage its client to respond to proxy solicitations, rights offerings, take-over bids or other corporate transactions such as conversion of convertible securities?

Steven M. Harris, Jennifer F. Longhurst and Gilles R. Comeau of DAVIES WARD PHILLIPS & VINEBERG LLP have issued a bulletin titled CSA Reviewing and Seeking Comments on Soliciting Dealer Arrangements in Proxy Contests and Corporate Transactions in which they provide a little background. Naturally, the emphasis is on proxy contests, in which the legal fees are higher than in ‘change of terms’ solicitations.

My own views on sleaze fees has been made public for some time, most recently with respect to the aborted TransAlta preferred share exchange in early 2017. In a nutshell: it is grossly improper for a portfolio manager to accept payola for voting in a certain way but I see nothing wrong with a salesman collecting his little envelope for voting in a certain way (let’s just make sure that their business card says “salesman”, OK? and that there is no corporate overlap whatsoever between companies that employ salesmen paid by issuers and transaction charges and those which employ portfolio managers paid solely by clients). However, as has been discussed on PrefBlog far too often, there is a vast constituency of ha-ha “investor advocates” ho-ho who believe that paying salesmen commission is an affront to capitalism and should be banned. So there might be some who disagree with me regarding the propriety of salesmen getting their palms greased – it’s self-evident that if trailers are improper then so are solicitation fees.

Anyway … now it’s time for PrefLetter!

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 -0.3022 % 3,001.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3022 % 5,507.8
Floater 3.33 % 3.53 % 100,753 18.48 4 -0.3022 % 3,174.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0198 % 3,156.2
SplitShare 4.56 % 4.62 % 79,815 5.11 4 -0.0198 % 3,769.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0198 % 2,940.9
Perpetual-Premium 5.56 % -8.79 % 72,763 0.09 11 0.0826 % 2,868.3
Perpetual-Discount 5.38 % 5.41 % 68,751 14.82 24 0.1913 % 2,949.2
FixedReset 4.30 % 4.70 % 163,011 4.46 104 0.2437 % 2,514.8
Deemed-Retractible 5.12 % 5.59 % 84,913 5.67 28 0.1290 % 2,948.1
FloatingReset 3.02 % 2.91 % 33,905 3.60 11 0.2095 % 2,765.3
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.56 %
TRP.PR.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-13
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 4.99 %
MFC.PR.N FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 5.71 %
GWO.PR.S Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 5.32 %
MFC.PR.M FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 5.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.J FixedReset 183,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.44 %
TD.PF.A FixedReset 175,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-13
Maturity Price : 22.28
Evaluated at bid price : 22.65
Bid-YTW : 4.73 %
TRP.PR.J FixedReset 84,552 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 3.96 %
TD.PF.H FixedReset 78,085 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 3.57 %
RY.PR.H FixedReset 63,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-13
Maturity Price : 22.75
Evaluated at bid price : 23.20
Bid-YTW : 4.70 %
IFC.PR.E Deemed-Retractible 53,632 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.59 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.H Perpetual-Discount Quote: 24.45 – 24.90
Spot Rate : 0.4500
Average : 0.2798

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-13
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 5.65 %

HSE.PR.G FixedReset Quote: 25.01 – 25.27
Spot Rate : 0.2600
Average : 0.1915

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.68 %

CU.PR.D Perpetual-Discount Quote: 23.43 – 23.69
Spot Rate : 0.2600
Average : 0.1941

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-13
Maturity Price : 23.16
Evaluated at bid price : 23.43
Bid-YTW : 5.29 %

RY.PR.J FixedReset Quote: 24.20 – 24.33
Spot Rate : 0.1300
Average : 0.0890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-13
Maturity Price : 23.23
Evaluated at bid price : 24.20
Bid-YTW : 4.85 %

SLF.PR.C Deemed-Retractible Quote: 21.21 – 21.34
Spot Rate : 0.1300
Average : 0.0893

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 7.39 %

TRP.PR.J FixedReset Quote: 26.32 – 26.43
Spot Rate : 0.1100
Average : 0.0749

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 3.96 %