December 9, 2016

December 9th, 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 0.1812 % 1,753.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1812 % 3,204.1
Floater 4.27 % 4.44 % 54,470 16.45 4 0.1812 % 1,846.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1059 % 2,922.0
SplitShare 4.84 % 4.45 % 56,082 1.98 6 -0.1059 % 3,489.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1059 % 2,722.7
Perpetual-Premium 5.47 % 5.41 % 88,914 14.42 23 0.1195 % 2,643.0
Perpetual-Discount 5.49 % 5.51 % 96,074 14.60 15 0.0698 % 2,727.2
FixedReset 4.88 % 4.71 % 213,885 6.76 96 0.1019 % 2,093.1
Deemed-Retractible 5.21 % 5.20 % 140,777 4.57 32 0.1998 % 2,729.0
FloatingReset 2.83 % 3.86 % 46,461 4.83 12 0.5335 % 2,309.9
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.58
Bid-YTW : 10.87 %
BAM.PR.R FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 5.03 %
BAM.PR.X FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.11 %
BAM.PR.T FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 5.23 %
BNS.PR.A FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.62
Bid-YTW : 3.66 %
PWF.PR.T FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.56 %
BAM.PF.H FixedReset 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 3.86 %
FTS.PR.K FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.72 %
HSE.PR.G FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 21.26
Evaluated at bid price : 21.54
Bid-YTW : 5.35 %
SLF.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 : 22.25
Bid-YTW : 6.56 %
PWF.PR.P FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 4.84 %
BNS.PR.B FloatingReset 1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 3.86 %
TRP.PR.H FloatingReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.90 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 146,859 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 23.13
Evaluated at bid price : 24.98
Bid-YTW : 4.87 %
SLF.PR.I FixedReset 71,025 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.74
Bid-YTW : 7.29 %
MFC.PR.R FixedReset 67,627 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.00 %
HSE.PR.A FixedReset 65,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 12.42
Evaluated at bid price : 12.42
Bid-YTW : 5.49 %
BAM.PF.I FixedReset 61,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 23.14
Evaluated at bid price : 24.98
Bid-YTW : 4.84 %
MFC.PR.I FixedReset 53,556 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 7.09 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.G Perpetual-Discount Quote: 21.67 – 21.97
Spot Rate : 0.3000
Average : 0.2062

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 21.40
Evaluated at bid price : 21.67
Bid-YTW : 5.56 %

ELF.PR.F Perpetual-Discount Quote: 24.10 – 24.30
Spot Rate : 0.2000
Average : 0.1461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.58 %

MFC.PR.O FixedReset Quote: 26.25 – 26.53
Spot Rate : 0.2800
Average : 0.2280

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.37 %

BAM.PF.F FixedReset Quote: 21.19 – 21.41
Spot Rate : 0.2200
Average : 0.1703

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 4.85 %

TRP.PR.J FixedReset Quote: 26.05 – 26.20
Spot Rate : 0.1500
Average : 0.1009

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.51 %

ELF.PR.H Perpetual-Premium Quote: 24.55 – 24.74
Spot Rate : 0.1900
Average : 0.1457

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-09
Maturity Price : 24.26
Evaluated at bid price : 24.55
Bid-YTW : 5.68 %

BCE.PR.K: Convert or Hold?

December 9th, 2016

It will be recalled that BCE.PR.K will reset to 2.954% effective December 31.

Holders of BCE.PR.K have the option to convert to FloatingResets, which will pay 3-month bills plus 188bp on the par value of $25.00, reset quarterly. The deadline for notifying the company of the intent to convert is 5:00 p.m. (Montréal/Toronto time) on December 16, 2016.; but note that this is a company deadline and that brokers will generally set their deadlines a day or two in advance, so there’s not much time to lose if you’re planning to convert! However, if you miss the brokerage deadline they’ll probably do it on a ‘best efforts’ basis if you grovel in a sufficiently entertaining fashion. The ticker for the new FloatingReset has not yet been announced, but will probably be BCE.PR.L, based on the designation of the series and BCE’s very user-friendly ticker-name correlation.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., BAM.PR.R and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_161209
Click for Big

The market appears to have a distaste at the moment for floating rate product; most of the implied rates until the next interconversion are lower than the current 3-month bill rate and the averages for investment-grade and junk issues are both well below current market rates, at -0.04% and -0.42%, respectively! Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the BCE.PR.K FixedReset, we may construct the following table showing consistent prices for its soon-to-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for BCE.PR.K) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread +0.50% 0.00% -0.50%
BCE.PR.K 14.35 188bp 13.77 13.27 12.77

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts. Therefore, I recommend that holders of BCE.PR.K continue to hold the issue and not to convert. I will note that, given the apparent cheapness of the FloatingResets, it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Note as well that conversion rights are dependent upon at least one million shares of each series being outstanding after giving effect to holders’ instructions; e.g., if only 100,000 shares of BCE.PR.K are tendered for conversion, then no conversions will be allowed; but if only 100,000 shares of BCE.PR.K will remain after the rest are all tendered, then conversion will be mandatory. However, this is relatively rare: all Strong Pairs have some version of this condition; there are 49 Strong Pairs outstanding; and only nine issues which did not create the potential Strong Pair.

SLF.PR.I: Convert or Hold?

December 9th, 2016

It will be recalled that SLF.PR.I will reset to 3.806% effective December 31; the extension was announced 2016-11-14.

Holders of SLF.PR.I have the option to convert to FloatingResets, which will pay 3-month bills plus 273bp on the par value of $25.00, reset quarterly. The deadline for notifying the company of the intent to convert is 5:00 p.m. (ET) on Friday, December 16, 2016.; but note that this is a company deadline and that brokers will generally set their deadlines a day or two in advance, so there’s not much time to lose if you’re planning to convert! However, if you miss the brokerage deadline they’ll probably do it on a ‘best efforts’ basis if you grovel in a sufficiently entertaining fashion. The ticker for the new FloatingReset has not yet been announced.

As this issue is from an insurer and there is no provision for conversion into common shares at the option of the issuer, I consider this to be subject to my Deemed Retraction policy; accordingly I have placed a maturity entry dated 2025-1-31 at par in the call schedule of this instrument for analytical purposes. Note that this approach is due to analysis and there is no contractual provision in the terms of issue for any such maturity. It will be noted that this does not affect the following analysis, which requires only the two issues be interconvertible and therefore equivalent five years hence.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., BAM.PR.R and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_161209
Click for Big

The market appears to have a distaste at the moment for floating rate product; most of the implied rates until the next interconversion are lower than the current 3-month bill rate and the averages for investment-grade and junk issues are both well below current market rates, at -0.04% and -0.42%, respectively! Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the SLF.PR.I FixedReset, we may construct the following table showing consistent prices for its soon-to-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for SLF.PR.I) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread +0.50% 0.00% -0.50%
SLF.PR.I 19.74 273bp 19.15 18.65 18.14

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts. Therefore, I recommend that holders of SLF.PR.I continue to hold the issue and not to convert. I will note that, given the apparent cheapness of the FloatingResets, it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Note as well that conversion rights are dependent upon at least one million shares of each series being outstanding after giving effect to holders’ instructions; e.g., if only 100,000 shares of SLF.PR.I are tendered for conversion, then no conversions will be allowed; but if only 100,000 shares of SLF.PR.I will remain after the rest are all tendered, then conversion will be mandatory. However, this is relatively rare: all Strong Pairs have some version of this condition; there are 49 Strong Pairs outstanding; and only nine issues which did not create the potential Strong Pair.

BNS.PR.N To Be Redeemed

December 9th, 2016

The Bank of Nova Scotia has announced:

that it intends to exercise its right to redeem all outstanding Non-cumulative Preferred Shares Series 16 of Scotiabank (the “Series 16 Shares”) on January 27, 2017, at a price equal to $25.00 per share, together with all declared and unpaid dividends. Formal notice will be issued to shareholders in accordance with the share conditions.

The redemption has been approved by the Office of the Superintendent of Financial Institutions and will be financed out of the general funds of Scotiabank.

On November 29, 2016, the Board of Directors of Scotiabank announced a quarterly dividend of $0.328125 per Series 16 Share. This will be the final dividend on the Series 16 Shares and will be paid in the usual manner on January 27, 2017, to shareholders of record at the close of business on January 3, 2017, as previously announced. After January 27, 2017, the Series 16 Shares will cease to be entitled to dividends.

BNS.PR.N is 5.25% Straight Perpetual that commenced trading 2007-10-15 after being announced 2007-9-25. It has been tracked by HIMIPref™ and, as it has not had an NVCC clause, been considered a Deemed Retractible.

For those keeping score … yes, this issue is being redeemed on the first day of its par-call eligibility.

December 8, 2016

December 9th, 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 -0.8535 % 1,750.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8535 % 3,198.3
Floater 4.28 % 4.42 % 52,179 16.48 4 -0.8535 % 1,843.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0132 % 2,925.1
SplitShare 4.83 % 4.44 % 51,924 4.32 6 0.0132 % 3,493.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0132 % 2,725.5
Perpetual-Premium 5.48 % 5.39 % 88,636 14.40 23 -0.4617 % 2,639.8
Perpetual-Discount 5.50 % 5.52 % 95,097 14.57 15 -0.3506 % 2,725.3
FixedReset 4.89 % 4.70 % 213,753 6.78 96 -0.4026 % 2,091.0
Deemed-Retractible 5.22 % 5.26 % 141,099 4.57 32 -0.3679 % 2,723.6
FloatingReset 2.84 % 3.97 % 45,583 4.83 12 -0.6825 % 2,297.7
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 3.97 %
TRP.PR.A FixedReset -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.95 %
TRP.PR.C FixedReset -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 4.97 %
TRP.PR.B FixedReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.78 %
TRP.PR.F FloatingReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 4.06 %
HSE.PR.G FixedReset -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.38 %
SLF.PR.B Deemed-Retractible -1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.98
Bid-YTW : 6.74 %
BNS.PR.B FloatingReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 4.19 %
TD.PF.D FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.65 %
PWF.PR.A Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 4.02 %
FTS.PR.J Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 21.53
Evaluated at bid price : 21.85
Bid-YTW : 5.46 %
SLF.PR.D Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.56
Bid-YTW : 7.38 %
IAG.PR.A Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 6.93 %
FTS.PR.G FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 4.67 %
SLF.PR.C Deemed-Retractible -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.59
Bid-YTW : 7.36 %
TD.PF.F Perpetual-Premium -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 24.11
Evaluated at bid price : 24.50
Bid-YTW : 5.04 %
SLF.PR.E Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.72
Bid-YTW : 7.32 %
POW.PR.B Perpetual-Premium -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 5.59 %
FTS.PR.F Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 22.21
Evaluated at bid price : 22.48
Bid-YTW : 5.48 %
BMO.PR.Y FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 4.52 %
BMO.PR.S FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.52 %
MFC.PR.F FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.51
Bid-YTW : 10.97 %
SLF.PR.J FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.71
Bid-YTW : 10.15 %
BMO.PR.T FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 4.54 %
ELF.PR.G Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 21.50
Evaluated at bid price : 21.76
Bid-YTW : 5.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 157,565 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 23.10
Evaluated at bid price : 24.90
Bid-YTW : 4.85 %
TD.PF.H FixedReset 97,945 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.49 %
NA.PR.A FixedReset 81,213 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.56 %
BAM.PF.I FixedReset 80,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 23.14
Evaluated at bid price : 24.98
Bid-YTW : 4.80 %
BNS.PR.C FloatingReset 75,967 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 3.82 %
BIP.PR.C FixedReset 60,018 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.02 %
There were 84 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 11.01 – 11.77
Spot Rate : 0.7600
Average : 0.4647

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 3.97 %

TD.PF.F Perpetual-Premium Quote: 24.50 – 25.00
Spot Rate : 0.5000
Average : 0.3151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 24.11
Evaluated at bid price : 24.50
Bid-YTW : 5.04 %

PWF.PR.T FixedReset Quote: 19.48 – 19.93
Spot Rate : 0.4500
Average : 0.2765

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.55 %

TD.PR.S FixedReset Quote: 23.86 – 24.25
Spot Rate : 0.3900
Average : 0.2646

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.86
Bid-YTW : 3.96 %

HSE.PR.G FixedReset Quote: 21.28 – 21.59
Spot Rate : 0.3100
Average : 0.1992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.38 %

POW.PR.B Perpetual-Premium Quote: 24.26 – 24.53
Spot Rate : 0.2700
Average : 0.1817

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-08
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 5.59 %

December 7, 2016

December 8th, 2016

I mentioned coding schools on August 11, 2016. Here’s a cautionary tale:

It was a calamitous job interview two years ago that prompted Jose Contreras to demand his money back from the coding school he attended. His interviewer, the chief technology officer of a startup, watched as Contreras struggled with basics on JavaScript, a coding language he was supposed to be learning during his courses. “Given you can’t answer this question,” Contreras, now 27, recalls the interviewer saying, “You should ask for a refund.” A few months later, jobless and out $14,400 in tuition and fees, Contreras followed his advice.

He’s one of many students who say they felt duped by Coding House, a Silicon Valley school that advertises an average starting salary of $91,000 for its graduates. On Nov. 7, the Bureau for Private Postsecondary Education, the regulator that oversees coding schools in California, assessed Nicholas James, the founder of Coding House, a $50,000 fine and ordered the school to shut down. (The BPPE had previously denied Coding School’s application to operate, in November 2015, June 2016, and again on Nov. 4, 2016.) The regulators have told the school to give refunds to all students who have attended since it opened its doors in 2014. Coding House has filed an appeal. In the meantime it has suspended its programs, students said.

Coding House’s spectacular fall is an extreme case, but interviews with more than a dozen coding school graduates reveal that when they do land a job, often their engineering education doesn’t cut it. Many admit they lack the big-picture skills that employers say they want. Training them often requires hours of hand-holding by more experienced staff, employers say. The same holds true for graduates holding computer science degrees, but those employees generally have a better grasp of broader concepts and algorithms, recruiters said.

This is the proper way to be in the landlording business!

Jonathan Gray of Blackstone Group LP went on the biggest homebuying spree in history after the U.S. foreclosure crisis, purchasing repossessed properties from the courthouse steps and through online auctions.

Four years, $10 billion and roughly 50,000 homes later, he will find out if his gambit will pay off. Invitation Homes LP, the Dallas-based company Blackstone formed to maintain and rent those homes, has filed confidentially for an initial public offering that could come as soon as January.

Though Blackstone is unlikely to sell much or even any of its stake in an IPO, the stock market debut will test investors’ interest in the idea that the rental-home business can be institutionalized as apartments, shopping centers and office towers were before.

They’re big enough with holdings concentrated enough to get good tradesmen service – perhaps even hire some full-timers.

When you write cheques worth half your electrician’s revenue … he answers your calls same day!

The Bank of Canada stood pat on rates:

The Bank of Canada today announced that it is maintaining its target for the overnight rate at 1/2 per cent. The Bank Rate is correspondingly 3/4 per cent and the deposit rate is 1/4 per cent.

Economic data suggest that global economic conditions have strengthened, as the Bank anticipated in its October Monetary Policy Report (MPR). However, uncertainty, which has been undermining business confidence and dampening investment in Canada’s major trading partners, remains undiminished. Following the election in the United States, there has been a rapid back-up in global bond yields, partly reflecting market anticipation of fiscal expansion in a US economy that is near full capacity. Canadian yields have risen significantly in this context.

In Canada, the dynamics of growth are largely as the Bank anticipated. Following a very weak first half of 2016, growth in the third quarter rebounded strongly, but more moderate growth is anticipated in the fourth quarter. Consumption growth was robust in the third quarter, supported by the new Canada Child Benefit, while the effects of federal infrastructure spending are not yet evident in the GDP data. Meanwhile, business investment and non-energy goods exports continue to disappoint. There have been ongoing gains in employment, but a significant amount of economic slack remains in Canada, in contrast to the United States. While household imbalances continue to rise, these will be mitigated over time by announced changes to housing finance rules.

Total CPI inflation has picked up in recent months but is slightly below expectations, largely because of lower food prices. Core inflation is close to 2 per cent because the effect of persistent economic slack is still being offset by that of past exchange rate depreciation, although the latter effect is dissipating.

Overall, the Bank’s Governing Council judges that the current stance of monetary policy remains appropriate. Therefore, the target for the overnight rate remains at 1/2 per cent.

It looks like the Banca Monte dei Paschi di Siena bail-out is going to be another brain-dead one, with recoveries based on who you are rather than what you own:

Monte dei Paschi must raise 5 billion euros ($5.4 billion) by the end of this month to avoid being wound down, but private investors are reluctant to provide cash after Renzi lost a referendum on Sunday and announced plans to resign.

The bank is set to raise 1 billion euros from a bond swap with institutional investors and Rome is hoping the 2 billion euros participation from the government could help persuade private investors to fill the 2 billion euros gap.

Italy’s treasury would buy the bonds held by around 40,000 retail investors at face value, the sources said.

That way, the government would ensure retail investors do not suffer any losses in the bank’s bailout, making it politically more palatable and staving off the risk of a run on deposits that could trigger a wider banking crisis.

The retail bail-out has been linked to fears of a run, which makes no sense:

Any state intervention to help Monte dei Paschi would entail losses for the bank’s subordinated bondholders in line with European bank crisis rules – something Renzi’s government had desperately sought to avoid to stave off the risk of a run on deposits and a domino effect engulfing other lenders.

It was not immediately clear to what extent retail investors, who hold 2.1 billion euros of Monte dei Paschi junior debt, could be spared in the event of a state rescue.

PerpetualDiscounts now yield 5.50%, equivalent to 7.15% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a significant widening from the 300bp reported November 16.

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 0.1800 % 1,765.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1800 % 3,225.8
Floater 4.25 % 4.39 % 52,432 16.54 4 0.1800 % 1,859.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0265 % 2,924.7
SplitShare 4.83 % 4.55 % 52,470 4.32 6 -0.0265 % 3,492.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0265 % 2,725.2
Perpetual-Premium 5.45 % 5.26 % 83,834 14.43 23 -0.0017 % 2,652.1
Perpetual-Discount 5.48 % 5.50 % 93,661 14.63 15 -0.3104 % 2,734.9
FixedReset 4.87 % 4.68 % 213,687 6.79 96 -0.2126 % 2,099.4
Deemed-Retractible 5.20 % 5.25 % 135,925 4.57 32 -0.0540 % 2,733.6
FloatingReset 2.82 % 3.80 % 44,472 4.83 12 -0.0762 % 2,313.4
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-07
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 4.52 %
HSE.PR.A FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-07
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 5.43 %
IFC.PR.D FloatingReset -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 6.79 %
MFC.PR.G FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.37
Bid-YTW : 6.98 %
IFC.PR.C 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 : 6.99 %
MFC.PR.I FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.33
Bid-YTW : 7.01 %
TRP.PR.C FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-07
Maturity Price : 13.06
Evaluated at bid price : 13.06
Bid-YTW : 4.86 %
CU.PR.C FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-07
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.50 %
SLF.PR.J FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 10.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.O Deemed-Retractible 353,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-06
Maturity Price : 25.25
Evaluated at bid price : 25.47
Bid-YTW : 1.77 %
BAM.PF.I FixedReset 119,095 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-07
Maturity Price : 23.14
Evaluated at bid price : 25.00
Bid-YTW : 4.80 %
TRP.PR.K FixedReset 102,891 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-07
Maturity Price : 23.09
Evaluated at bid price : 24.88
Bid-YTW : 4.86 %
RY.PR.J FixedReset 88,315 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.60 %
MFC.PR.R FixedReset 87,074 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.97 %
BAM.PR.C Floater 73,936 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-07
Maturity Price : 10.82
Evaluated at bid price : 10.82
Bid-YTW : 4.43 %
There were 61 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Quote: 19.80 – 20.24
Spot Rate : 0.4400
Average : 0.3313

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 6.99 %

BAM.PF.E FixedReset Quote: 19.97 – 20.24
Spot Rate : 0.2700
Average : 0.1785

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-07
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 4.77 %

MFC.PR.I FixedReset Quote: 20.33 – 20.50
Spot Rate : 0.1700
Average : 0.1081

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.33
Bid-YTW : 7.01 %

W.PR.K FixedReset Quote: 25.45 – 25.73
Spot Rate : 0.2800
Average : 0.2193

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.00 %

IGM.PR.B Perpetual-Premium Quote: 25.36 – 25.60
Spot Rate : 0.2400
Average : 0.1812

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 5.50 %

ELF.PR.F Perpetual-Discount Quote: 24.06 – 24.28
Spot Rate : 0.2200
Average : 0.1713

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-07
Maturity Price : 23.75
Evaluated at bid price : 24.06
Bid-YTW : 5.58 %

MFC.PR.G: No Conversion to FloatingReset

December 7th, 2016

Manulife Financial Corporation has announced:

that after having taken into account all election notices received by the December 5, 2016 deadline for conversion of its currently outstanding 8,000,000 Non-cumulative Rate Reset Class 1 Shares Series 5 (the “Series 5 Preferred Shares”) (TSX: MFC.PR.G) into Non-cumulative Floating Rate Class 1 Shares Series 6 of Manulife (the “Series 6 Preferred Shares”), the holders of Series 5 Preferred Shares are not entitled to convert their Series 5 Preferred Shares into Series 6 Preferred Shares. There were 818,716 Series 5 Preferred Shares elected for conversion, which is less than the minimum one million shares required to give effect to conversions into Series 6 Preferred Shares.

As announced by Manulife on November 21, 2016, after December 19, 2016, holders of Series 5 Preferred Shares will be entitled to receive fixed rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the five-year period commencing on December 20, 2016, and ending on December 19, 2021, will be 3.89100% per annum or $0.243188 per share per quarter, being equal to the sum of the five-year Government of Canada bond yield as at November 21, 2016, plus 2.90%, as determined in accordance with the terms of the Series 5 Preferred Shares.

Subject to certain conditions described in the prospectus supplement dated November 29, 2011 relating to the issuance of the Series 5 Preferred Shares, Manulife may redeem the Series 5 Preferred Shares, in whole or in part, on December 19, 2021 and on December 19 every five years thereafter.

It was previously reported on PrefBlog that MFC.PR.G would be extended; that the reset rate was 3.891% and that I recommended holders not convert.

As this issue is from an insurer and there is no provision for conversion into common shares at the option of the issuer, I consider this to be subject to my Deemed Retraction policy; accordingly I have placed a maturity entry dated 2025-1-31 at par in the call schedule of this instrument for analytical purposes. Note that this approach is due to analysis and there is no contractual provision in the terms of issue for any such maturity.

December 6, 2016

December 7th, 2016

There was an interesting nugget buried in the discussion of the IAG purchase of Hollis Wealth from Scotia:

Clients with less than $500,000 in investable assets are now often referred to bank branches for investment advice.

The Globe and Mail was the first to report on the sale talks between the two firms. Following the reports, Scotiabank chief financial officer Sean McGuckin was asked about a potential HollisWealth sale on a conference call. The CFO declined to comment, but added that in wealth management, “a lot of the value comes through our branch distribution,” suggesting an independent adviser network is less desirable to the bank.

So, a lot of the value in investment management, as far as the banks are concerned, is having branch level chimpanzees put mom and pop into the banks’ own products … and trailer fees are not an issue because it’s the bank taking a big cut off the top in the first place.

Don’t say I didn’t tell you!

An additional benefit the self-proclaimed investor advocates have brought us is a reduction in investment options:

Peter Moulson, head of wealth management compliance at Canadian Imperial Bank of Commerce, told an OSC roundtable event in Toronto it is unclear how financial firms would be expected to apply a more stringent regulatory standard in practical terms, and said it could even jeopardize the existence of the traditional advice model in which financial advisers work largely on commission and receive fees from companies whose financial products they sell.

Mr. Moulson said big financial firms could end up narrowing their business lines to provide just discount brokerage operations that simply fill orders without providing advice, as well as full-service advice for which clients pay a flat fee. Those are the safest ways to ensure no possible conflicts of interest arise in how advisers are paid, he said.

Mr. Moulson is, of course, talking through his hat. Huge conflicts of interest arise from the treatment of new issues. It is surprisingly difficult nowadays to get statistics on new issue revenue in the brokerage industry, but I can assure you … it’s a lot.

As long as a firm is both advising clients and getting new issue revenue … there’s a conflict. Somebody has to sell these new issues and therefore somebody’s got to get paid.

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 0.2481 % 1,762.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2481 % 3,220.0
Floater 4.25 % 4.39 % 48,512 16.54 4 0.2481 % 1,855.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0265 % 2,925.5
SplitShare 4.83 % 4.54 % 52,969 4.32 6 -0.0265 % 3,493.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0265 % 2,725.9
Perpetual-Premium 5.45 % 5.25 % 82,731 14.41 23 0.0577 % 2,652.1
Perpetual-Discount 5.46 % 5.47 % 94,198 14.65 15 -0.0993 % 2,743.4
FixedReset 4.86 % 4.65 % 209,418 6.80 96 -0.0773 % 2,103.9
Deemed-Retractible 5.20 % 5.23 % 136,557 4.57 32 -0.1960 % 2,735.1
FloatingReset 2.82 % 3.78 % 44,827 4.83 12 0.3059 % 2,315.2
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-06
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 5.10 %
IFC.PR.A FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.37
Bid-YTW : 9.34 %
FTS.PR.K FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-06
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 4.64 %
CCS.PR.C Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.42 %
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 : 20.04
Bid-YTW : 7.00 %
MFC.PR.C Deemed-Retractible -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.82
Bid-YTW : 7.27 %
MFC.PR.B Deemed-Retractible -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.84 %
SLF.PR.D Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.77
Bid-YTW : 7.22 %
IFC.PR.D FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 6.56 %
TD.PR.T FloatingReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 3.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 314,525 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.48 %
TRP.PR.J FixedReset 149,005 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.55 %
MFC.PR.R FixedReset 138,275 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.97 %
TRP.PR.K FixedReset 127,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-06
Maturity Price : 23.10
Evaluated at bid price : 24.90
Bid-YTW : 4.85 %
RY.PR.J FixedReset 87,176 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-06
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 4.59 %
BMO.PR.S FixedReset 60,223 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-06
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 4.46 %
There were 52 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 19.80 – 22.50
Spot Rate : 2.7000
Average : 2.1902

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 6.56 %

CGI.PR.D SplitShare Quote: 25.08 – 25.35
Spot Rate : 0.2700
Average : 0.1848

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 3.70 %

CU.PR.C FixedReset Quote: 19.50 – 19.80
Spot Rate : 0.3000
Average : 0.2149

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-06
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.45 %

TRP.PR.E FixedReset Quote: 18.58 – 18.82
Spot Rate : 0.2400
Average : 0.1627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-06
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 4.81 %

BMO.PR.B FixedReset Quote: 25.51 – 25.72
Spot Rate : 0.2100
Average : 0.1437

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.57 %

GWO.PR.H Deemed-Retractible Quote: 22.32 – 22.49
Spot Rate : 0.1700
Average : 0.1076

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.32
Bid-YTW : 6.56 %

December 5, 2016

December 6th, 2016

Canadian provinces are borrowing as fast as they can:

Canadian provinces have rolled out a flurry of bond sales as they scramble to lock in borrowing costs before a global-market rout intensifies.

Five of Canada’s 10 provinces sold bonds last week, raising C$2.55 billion ($1.92 billion). That boosted last month’s total to the largest for a November since 2012, according to data compiled by Bloomberg. The country’s oil-rich province of Alberta followed up its Canadian dollar issue with the sale of $2.25 billion of U.S. dollar bonds on Thursday.

Ontario sold C$750 million of bonds maturing in 2048 on Tuesday, while Quebec found buyers for C$500 million of similar-maturity securities on the same day. On Wednesday, Newfoundland and Labrador followed up with a sale of C$500 million of 2048 notes, while Alberta and Saskatchewan sold C$500 million and C$300 million of 10-year securities respectively. On Thursday, Alberta took to the markets again, selling $2.25 billion of three-year bonds.

Canadian provinces and municipalities sold C$13.1 billion of local-currency debt last month, taking the total for the year to C$121.2 billion, which is C$7.4 billion short of the record 2012, data compiled by Bloomberg show.

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 0.1355 % 1,758.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1355 % 3,212.1
Floater 4.26 % 4.41 % 48,382 16.50 4 0.1355 % 1,851.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2055 % 2,926.3
SplitShare 4.83 % 4.53 % 52,322 4.33 6 0.2055 % 3,494.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2055 % 2,726.6
Perpetual-Premium 5.46 % 5.21 % 83,837 14.37 23 -0.0769 % 2,650.6
Perpetual-Discount 5.46 % 5.47 % 93,247 14.66 15 -0.0150 % 2,746.1
FixedReset 4.85 % 4.64 % 207,278 6.81 96 -0.0718 % 2,105.5
Deemed-Retractible 5.19 % 5.29 % 137,685 4.58 32 -0.1799 % 2,740.5
FloatingReset 2.83 % 3.83 % 45,159 4.83 12 0.0808 % 2,308.2
Performance Highlights
Issue Index Change Notes
FTS.PR.M FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-05
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 4.75 %
TD.PR.T FloatingReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 3.83 %
MFC.PR.O FixedReset -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 4.49 %
GWO.PR.Q Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.08 %
GWO.PR.S Deemed-Retractible -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.13
Bid-YTW : 5.77 %
TRP.PR.D FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-05
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 4.91 %
HSE.PR.G FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-05
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 5.24 %
GWO.PR.N FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.70
Bid-YTW : 10.69 %
HSE.PR.A FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-05
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 5.31 %
SLF.PR.K FloatingReset 2.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.75
Bid-YTW : 8.26 %
CCS.PR.C Deemed-Retractible 2.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 6.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 279,705 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 4.96 %
TRP.PR.K FixedReset 177,481 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-05
Maturity Price : 23.09
Evaluated at bid price : 24.89
Bid-YTW : 4.85 %
GWO.PR.G Deemed-Retractible 149,990 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.86 %
FTS.PR.K FixedReset 120,074 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-05
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 4.57 %
BAM.PF.B FixedReset 92,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-05
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.01 %
TRP.PR.H FloatingReset 65,602 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-05
Maturity Price : 11.37
Evaluated at bid price : 11.37
Bid-YTW : 3.84 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 19.60 – 22.50
Spot Rate : 2.9000
Average : 1.6313

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 6.56 %

SLF.PR.K FloatingReset Quote: 16.75 – 17.99
Spot Rate : 1.2400
Average : 0.8311

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.75
Bid-YTW : 8.26 %

MFC.PR.O FixedReset Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2775

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 4.49 %

TD.PR.T FloatingReset Quote: 22.91 – 23.30
Spot Rate : 0.3900
Average : 0.2967

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 3.83 %

FTS.PR.G FixedReset Quote: 17.83 – 18.04
Spot Rate : 0.2100
Average : 0.1290

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-05
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 4.56 %

BAM.PR.T FixedReset Quote: 17.20 – 17.41
Spot Rate : 0.2100
Average : 0.1307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-05
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.01 %

FBS.PR.C To Mature on Schedule at Par

December 6th, 2016

On October 31, Timbercreek Asset Management announced:

5Banc Split Inc. (the “Company”) (TSX: FBS.B) (TSX: FBS.PR.C) announced today that, in accordance with the expiration of the term and as set out in the short form prospectus of the Company dated December 8, 2011 (the “Prospectus”), the Company will redeem all outstanding Class C Preferred Shares and Class B Capital Shares (collectively, the “Shares”) on December 15, 2016 (the “Redemption Date”) as scheduled and in accordance with their share provisions.

Prior to the Redemption Date, Timbercreek Asset Management Ltd. will sell the Company’s portfolio of common shares of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada and The Toronto-Dominion Bank to fund the redemptions. On the Redemption Date, in accordance with the share provisions for the Shares, holders of Class C Preferred Shares shall be entitled to receive a redemption price per share equal to the lesser of $10.00 and the Company’s unit value. Holders of Class B Capital Shares shall be entitled to receive a redemption price per share equal to the amount by which the unit value exceeds $10.00, or provided the holder tenders to the Company at least 20 business days prior to the Redemption Date a cash amount of $10.00 for each Class B Capital Share redeemed, such holder’s pro rata share of the Company’s portfolio of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada and The Toronto-Dominion Bank common shares plus (or minus) the pro rata share of the amount by which the value of the other assets of the Company exceed (or are less than) the liabilities of the Company as at the Redemption Date and the redemption value at the Class E Shares.

The Company was established to provide holders of Class C Preferred Shares with fixed cumulative preferential dividends, while providing holders of the Class B Capital Shares with a leveraged opportunity to participate in capital appreciation from a portfolio of common shares of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada and The Toronto-Dominion Bank. In that respect, as of August 15, 2016, the Class C Preferred Shares, since the reorganization on December 15, 2011, have generated a consistent 4.75% annual yield, with no change to the par value, while the Class B Capital Shares have delivered a net capital appreciation of 15.14% annualized, which compares to the underlying stock appreciation of 9.29%.

Information concerning 5Banc Split Inc. is available on our website at
http://www.timbercreek.com/investments/managed-companies/5banc-split-inc/overview

They have now announced (although not yet on their website):

5Banc Split Inc. (the “Company”) (TSX:FBS.B)(TSX:FBS.PR.C) announced today that in connection with the previously announced upcoming maturity of the fund on December 15, 2016, 1,077,529 Class C Preferred Shares and 1,077,529 Class B Capital Shares have been tendered for redemption on December 15, 2016. The redemption price paid for the Class C Preferred Shares will be $10.00 per Class C Preferred Share, and the redemption price for the Class B Capital Shares will be $27.51 per Class B Capital Share.

Holders of Class B Capital Shares tendered 136,043 Class B Capital Shares (representing approximately 12.63% of the outstanding Class B Capital Shares), together with a cash amount of $10.00 per Class B Capital Share tendered (together, a “5Banc Split Unit”), in exchange for the holder’s pro rata share of the Company’s shares of Toronto Dominion Bank, Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada and Bank of Montreal.

Payments of cash and delivery of the underlying portfolio shares owing to shareholders as a result of the final redemptions will be made by the Company on December 15, 2016.

FBS.PR.C has been tracked by HIMIPref™ but relegated to the Scraps subindex on volume concerns.

The issue was recently upgraded to Pfd-2(high) by DBRS. FBS.PR.C was issued to refund FBS.PR.B; the company sponsorship was sold by TD to Timbercreek in 2014.