May 25, 2017

May 25th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0933 % 2,164.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0933 % 3,971.2
Floater 3.52 % 3.69 % 55,196 18.03 4 0.0933 % 2,288.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1883 % 3,052.0
SplitShare 4.72 % 4.28 % 72,740 1.57 5 -0.1883 % 3,644.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1883 % 2,843.8
Perpetual-Premium 5.32 % 2.25 % 68,389 0.09 22 0.1175 % 2,781.8
Perpetual-Discount 5.12 % 5.10 % 100,516 15.24 14 0.0181 % 2,990.0
FixedReset 4.50 % 4.12 % 191,709 6.57 94 -0.1926 % 2,302.5
Deemed-Retractible 5.00 % 5.17 % 135,724 4.13 32 0.1464 % 2,888.8
FloatingReset 2.50 % 3.14 % 46,509 4.43 10 0.1869 % 2,529.6
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.83 %
SLF.PR.G FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 8.62 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.R FixedReset 354,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 3.30 %
BMO.PR.C FixedReset 175,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 23.28
Evaluated at bid price : 25.36
Bid-YTW : 4.22 %
RY.PR.R FixedReset 163,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.97
Bid-YTW : 3.51 %
IFC.PR.E Deemed-Retractible 163,011 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.27 %
TD.PF.H FixedReset 160,041 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.87 %
RY.PR.H FixedReset 106,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 3.94 %
TD.PF.D FixedReset 101,538 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 22.03
Evaluated at bid price : 22.40
Bid-YTW : 4.17 %
MFC.PR.R FixedReset 100,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.26 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.B SplitShare Quote: 25.10 – 25.45
Spot Rate : 0.3500
Average : 0.2335

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.02 %

BAM.PF.I FixedReset Quote: 26.06 – 26.35
Spot Rate : 0.2900
Average : 0.1813

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.01 %

CU.PR.H Perpetual-Premium Quote: 25.40 – 25.70
Spot Rate : 0.3000
Average : 0.2045

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.00 %

TRP.PR.G FixedReset Quote: 22.90 – 23.21
Spot Rate : 0.3100
Average : 0.2293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 22.32
Evaluated at bid price : 22.90
Bid-YTW : 4.23 %

MFC.PR.I FixedReset Quote: 22.30 – 22.49
Spot Rate : 0.1900
Average : 0.1221

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 5.56 %

BAM.PR.R FixedReset Quote: 18.40 – 18.64
Spot Rate : 0.2400
Average : 0.1748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.42 %

ECN.PR.C Sinks On Light Volume

May 25th, 2017

ECN Capital Corp. has announced:

that it has closed the previously announced offering of 4,000,000 6.25% Cumulative 5-Year Minimum Rate Reset Preferred Shares, Series C (the “Series C Preferred Shares”) at a price of $25.00 per share for aggregate gross proceeds of $100,000,000. The offering was conducted by a syndicate of underwriters co-led by BMO Capital Markets, CIBC Capital Markets, National Bank Financial, RBC Capital Markets, TD Securities, and including Cormark Securities, Desjardins Securities, GMP Securities, HSBC Securities (Canada) and Raymond James.

The Corporation intends to use the net proceeds to originate and finance, directly and indirectly, finance assets, to fund future acquisitions and for general corporate purposes.

“We are grateful for the support shown by the market in the successful completion of this financing”, said Steve Hudson, Chief Executive Officer, “and we look forward to executing on our business plan and delivering value for our shareholders.”

The Series C Preferred Shares will commence trading today on the Toronto Stock Exchange under the symbol “ECN.PR.C”.

ECN.PR.C is a FixedReset, 6.25%+519M625, announced 2017-5-15. It will be tracked by HIMIPref™ but relegated to the Scraps subindex on credit concerns.

The issue traded 99,442 shares today in a range of 24.43-75 before closing at 24.44-52. Vital statistics are:

ECN.PR.C FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 22.95
Evaluated at bid price : 24.44
Bid-YTW : 6.39 %

ENB.PR.B : 8% Conversion To FloatingResets

May 25th, 2017

In keeping with its policy of contempt for the preferred shareholders who provide a chunk of its financing, Enbridge has again decided not to publicize events related to its ENB.PR.B issue, its extension, reset and conversion privilege.

Assiduous Readers will recall that ENB.PR.B will reset to 3.415% effective 2017-6-1. It was issued as a 4.00%+240 FixedReset which commenced trading 2011-9-30 after being announced 2011-9-21.

An inquiry to Enbridge Investor Relations elicited the response:

Approximately 1.7 million Series B will be converted into Cs and those Cs will start to trade on the TSX on June 1.

It will be remembered that I recommended against conversion.

Market conditions with respect to FixedReset / FloatingReset equivalency have not changed significantly since my recommendation:

pairs_fr_170525
Click for Big

New Issue: CM FixedReset, 4.40%+338, NVCC Compliant

May 25th, 2017

The Canadian Imperial Bank of Commerce has announced:

that it had entered into an agreement with a group of underwriters led by CIBC World Markets Inc. for an issue of 16 million Basel III-compliant Non-cumulative Rate Reset Class A Preferred Shares, Series 45 (the “Series 45 Shares”) priced at $25.00 per Series 45 Share to raise gross proceeds of $400 million.

CIBC has granted the underwriters an option to purchase up to an additional four million Series 45 Shares at the same offering price, exercisable at any time up to two days prior to closing. Should the underwriters’ option be fully exercised, the total gross proceeds of the financing will be $500 million.

The Series 45 Shares will yield 4.40% per annum, payable quarterly, as and when declared by the Board of Directors of CIBC, for an initial period ending July 31, 2022. On July 31, 2022, and on July 31 every five years thereafter, the dividend rate will reset to be equal to the then current five-year Government of Canada bond yield plus 3.38%.

Subject to regulatory approval and certain provisions of the Series 45 Shares, on July 31, 2022 and on July 31 every five years thereafter, CIBC may, at its option, redeem all or any part of the then outstanding Series 45 Shares at par.

Subject to the right of redemption, holders of the Series 45 Shares will have the right to convert their shares into Non-cumulative Floating Rate Class A Preferred Shares, Series 46 (the “Series 46 Shares”), subject to certain conditions, on July 31, 2022 and on July 31 every five years thereafter. Holders of the Series 46 Shares will be entitled to receive a quarterly floating rate dividend, as and when declared by the Board of Directors of CIBC, equal to the three-month Government of Canada Treasury Bill yield plus 3.38%.

Holders of the Series 46 Shares may convert their Series 46 Shares into Series 45 Shares, subject to certain conditions, on July 31, 2027 and on July 31 every five years thereafter.

The expected closing date is June 2, 2017. CIBC will make an application to list the Series 45 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of this offering will be used for general purposes of CIBC.

Later, they announced:

that as a result of strong investor demand for its previously announced domestic public offering of non-cumulative Rate Reset Class A Preferred Shares, Series 45, the size of the offering has been increased to 32 million shares. The gross proceeds of the offering will now be $800 million. The offering will be underwritten by a syndicate led by CIBC World Markets Inc. The expected closing date is June 2, 2017.

The net proceeds from this transaction will be used for general purposes of CIBC.

A good sized issue!

Implied Volatility analysis for FixedResets suggests the issue may be a little expensive:

impvol_cm_170525
Click for Big

The theoretical price implied by the above calculation is 24.76.

IFC.PR.E A Little Soft On Decent Volume

May 24th, 2017

Intact Financial Corporation has announced:

that it has closed its previously announced bought deal offering of 6,000,000 Class A Series 5 Preferred Shares (the “Series 5 Shares”) (the “Offering”) underwritten by a syndicate of underwriters (the “Underwriters”) led by CIBC Capital Markets together with BMO Capital Markets, National Bank Financial and TD Securities Inc., resulting in gross proceeds (including the proceeds resulting from the exercise of their option) to IFC of $150 million.

The net proceeds from the Offering are intended to be used by IFC to fund a portion of the purchase price for its previously announced acquisition (the “Acquisition”) of all of the issued and outstanding shares of OneBeacon Insurance Group, Ltd. (“OneBeacon”). The closing of the Acquisition is expected to occur in the fourth quarter of 2017 and is subject to approval by OneBeacon’s shareholders and receipt of required regulatory approvals. If the Acquisition is not completed, the net proceeds of this Offering will be used for general corporate purposes.

Each Series 5 Share entitles the holder thereof to receive quarterly non-cumulative preferential cash dividends, if, as and when declared by the Board of Directors, on the last day of March, June, September and December in each year at a rate equal to $0.325 per share. The initial dividend, if declared, will be payable on September 30, 2017 and will be $0.45945 per share.

The Series 5 Shares will commence trading today on the Toronto Stock Exchange under the symbol IFC.PR.E

IFC.PR.E is a Straight Perpetual, 5.20%, announced 2017-5-12. It will be tracked by HIMIPref™ and has been assigned to the DeemedRetractible subindex.

As this issue is not NVCC compliant, it will be analyzed as a DeemedRetractible. Note, however, that this carries more uncertainty than it does with most other insurers because Intact is a P&C insurer, not a life company.

The issue traded 601,313 shares today in a range of 24.90-00 before closing at 24.91-95. Vital statistics are:

IFC.PR.E Deemed-Retractible YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.29 %

May 24, 2017

May 24th, 2017

PerpetualDiscounts now yield 5.11%, equivalent to 6.64% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a widening from the 285bp reported May 17.

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 0.0373 % 2,162.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0373 % 3,967.5
Floater 3.53 % 3.70 % 57,208 18.02 4 0.0373 % 2,286.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2596 % 3,057.7
SplitShare 4.71 % 4.12 % 73,861 1.57 5 0.2596 % 3,651.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2596 % 2,849.1
Perpetual-Premium 5.33 % 0.86 % 67,554 0.09 22 -0.0231 % 2,778.5
Perpetual-Discount 5.12 % 5.11 % 101,151 15.23 14 0.0482 % 2,989.5
FixedReset 4.49 % 4.11 % 198,825 6.58 94 0.0688 % 2,307.0
Deemed-Retractible 5.01 % 5.24 % 135,105 6.26 32 -0.0460 % 2,884.6
FloatingReset 2.51 % 3.08 % 46,720 4.43 10 0.0093 % 2,524.9
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.33 %
SLF.PR.J FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 9.13 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.E Deemed-Retractible 601,313 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.29 %
GWO.PR.T Deemed-Retractible 183,066 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.22 %
BNS.PR.H FixedReset 171,363 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 3.63 %
TD.PF.C FixedReset 127,703 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 3.99 %
SLF.PR.H FixedReset 101,504 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.08 %
TRP.PR.K FixedReset 94,579 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.97 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 20.85 – 21.30
Spot Rate : 0.4500
Average : 0.3406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.59 %

IFC.PR.A FixedReset Quote: 18.22 – 18.72
Spot Rate : 0.5000
Average : 0.3967

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.22
Bid-YTW : 7.64 %

BMO.PR.C FixedReset Quote: 25.56 – 25.80
Spot Rate : 0.2400
Average : 0.1478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 23.34
Evaluated at bid price : 25.56
Bid-YTW : 4.18 %

TRP.PR.F FloatingReset Quote: 18.57 – 18.80
Spot Rate : 0.2300
Average : 0.1637

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.33 %

SLF.PR.D Deemed-Retractible Quote: 22.50 – 22.70
Spot Rate : 0.2000
Average : 0.1356

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.25 %

BNS.PR.D FloatingReset Quote: 21.65 – 21.91
Spot Rate : 0.2600
Average : 0.2041

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 4.79 %

CU.PR.C : No Conversion to FloatingReset

May 24th, 2017

Canadian Utilities Limited has announced:

that after having taken into account all election notices following the conversion deadline for the Cumulative Redeemable Second Preferred Shares Series Y (“Series Y Preferred Shares”) tendered for conversion into Cumulative Redeemable Second Preferred Shares Series Z (“Series Z Preferred Shares”), the holders of Series Y Preferred Shares are not entitled to convert their Series Y Preferred Shares into Series Z Preferred Shares. There were approximately 508,379 Series Y Preferred Shares tendered for conversion, which is less than the two million shares required to give effect to conversions into Series Z Preferred Shares.

The Series Y Preferred Shares will continue to pay on a quarterly basis, for the five-year period from and including June 1, 2017 to but excluding June 1, 2022, as and when declared by the Board of Directors of Canadian Utilities Limited, a fixed dividend based on an annual dividend rate of 3.40%.

Assiduous Readers will remember that I recommended against conversion after the reset to 3.40% for CU.PR.C.

So CU.PR.C is now a FixedReset, 3.4O%+240. It is tracked by HIMIPref™ and is assigned to the FixedReset subindex.

May 23, 2017

May 24th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3349 % 2,161.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3349 % 3,966.1
Floater 3.53 % 3.68 % 58,069 18.06 4 -0.3349 % 2,285.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0157 % 3,049.8
SplitShare 4.72 % 4.17 % 75,056 1.57 5 0.0157 % 3,642.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0157 % 2,841.7
Perpetual-Premium 5.32 % 4.28 % 67,815 0.09 22 0.0819 % 2,779.2
Perpetual-Discount 5.12 % 5.14 % 101,326 15.23 14 -0.1625 % 2,988.1
FixedReset 4.50 % 4.11 % 201,015 6.58 94 0.2566 % 2,305.4
Deemed-Retractible 5.00 % 5.21 % 136,929 4.14 31 0.1448 % 2,885.9
FloatingReset 2.51 % 3.17 % 48,434 4.43 10 0.5166 % 2,524.6
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.94
Evaluated at bid price : 23.33
Bid-YTW : 5.31 %
CM.PR.Q FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.20
Evaluated at bid price : 22.65
Bid-YTW : 4.11 %
SLF.PR.I FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 5.24 %
BNS.PR.C FloatingReset 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.09
Bid-YTW : 3.30 %
IFC.PR.C FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 5.68 %
IAG.PR.G FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 5.56 %
HSE.PR.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 4.33 %
TRP.PR.F FloatingReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 3.29 %
TRP.PR.C FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 3.96 %
TRP.PR.B FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 14.47
Evaluated at bid price : 14.47
Bid-YTW : 3.90 %
SLF.PR.H FixedReset 1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.07
Bid-YTW : 7.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.T Deemed-Retractible 164,775 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.22 %
TRP.PR.G FixedReset 69,904 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.22
Evaluated at bid price : 22.73
Bid-YTW : 4.27 %
HSE.PR.C FixedReset 25,259 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.62
Evaluated at bid price : 23.21
Bid-YTW : 4.49 %
HSE.PR.E FixedReset 23,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.96
Evaluated at bid price : 23.92
Bid-YTW : 4.74 %
BMO.PR.C FixedReset 19,721 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 23.33
Evaluated at bid price : 25.55
Bid-YTW : 4.18 %
MFC.PR.R FixedReset 16,587 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.27 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.A Deemed-Retractible Quote: 25.22 – 25.57
Spot Rate : 0.3500
Average : 0.2215

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-22
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : -6.27 %

BAM.PF.D Perpetual-Discount Quote: 23.33 – 23.70
Spot Rate : 0.3700
Average : 0.2795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.94
Evaluated at bid price : 23.33
Bid-YTW : 5.31 %

BAM.PF.F FixedReset Quote: 22.43 – 22.86
Spot Rate : 0.4300
Average : 0.3402

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.13
Evaluated at bid price : 22.43
Bid-YTW : 4.40 %

BAM.PF.C Perpetual-Discount Quote: 23.04 – 23.28
Spot Rate : 0.2400
Average : 0.1581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.68
Evaluated at bid price : 23.04
Bid-YTW : 5.33 %

MFC.PR.B Deemed-Retractible Quote: 23.34 – 23.65
Spot Rate : 0.3100
Average : 0.2295

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.34
Bid-YTW : 5.70 %

VNR.PR.A FixedReset Quote: 21.00 – 21.30
Spot Rate : 0.3000
Average : 0.2206

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.55 %

May 19, 2017

May 19th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 3.0483 % 2,168.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 3.0483 % 3,979.4
Floater 3.52 % 3.67 % 58,785 18.09 4 3.0483 % 2,293.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0157 % 3,049.3
SplitShare 4.72 % 4.21 % 73,062 1.58 5 0.0157 % 3,641.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0157 % 2,841.3
Perpetual-Premium 5.33 % 2.24 % 67,411 0.09 22 0.0339 % 2,776.9
Perpetual-Discount 5.11 % 5.16 % 102,517 15.21 14 0.2535 % 2,992.9
FixedReset 4.51 % 4.15 % 202,490 6.58 94 0.2240 % 2,299.5
Deemed-Retractible 5.01 % 5.16 % 142,243 3.45 31 0.0263 % 2,881.8
FloatingReset 2.52 % 3.34 % 49,086 4.44 10 0.0376 % 2,511.7
Performance Highlights
Issue Index Change Notes
TD.PR.Y FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 3.29 %
MFC.PR.H FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 4.41 %
TRP.PR.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 4.06 %
BAM.PF.D Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 23.22
Evaluated at bid price : 23.65
Bid-YTW : 5.23 %
BMO.PR.Q FixedReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 5.13 %
TRP.PR.E FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.16 %
BAM.PF.H FixedReset 1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.32 %
IFC.PR.A FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.31
Bid-YTW : 7.60 %
TD.PF.H FixedReset 1.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.70 %
BAM.PR.B Floater 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.67 %
BAM.PR.K Floater 4.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.71 %
BAM.PR.C Floater 4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.T Deemed-Retractible 279,028 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.22 %
TD.PF.C FixedReset 79,535 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.06 %
BMO.PR.C FixedReset 71,116 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.12 %
HSE.PR.C FixedReset 50,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 22.64
Evaluated at bid price : 23.25
Bid-YTW : 4.52 %
MFC.PR.R FixedReset 40,592 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.44 %
EIT.PR.A SplitShare 34,050 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.32 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 24.89 – 26.13
Spot Rate : 1.2400
Average : 0.7190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 24.64
Evaluated at bid price : 24.89
Bid-YTW : 5.16 %

TD.PF.E FixedReset Quote: 22.67 – 23.05
Spot Rate : 0.3800
Average : 0.2363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 22.18
Evaluated at bid price : 22.67
Bid-YTW : 4.23 %

MFC.PR.R FixedReset Quote: 25.37 – 25.76
Spot Rate : 0.3900
Average : 0.2494

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.44 %

BNS.PR.D FloatingReset Quote: 21.60 – 21.99
Spot Rate : 0.3900
Average : 0.2665

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 4.82 %

TD.PR.T FloatingReset Quote: 24.19 – 24.50
Spot Rate : 0.3100
Average : 0.1925

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 2.90 %

BAM.PR.Z FixedReset Quote: 21.90 – 22.31
Spot Rate : 0.4100
Average : 0.2935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 4.59 %

GWO.PR.T Firm On Good Volume

May 18th, 2017

Great-West Lifeco Inc. has announced:

the completion of its offering of 8,000,000 5.15% Non-Cumulative First Preferred Shares, Series T through a syndicate of underwriters co-led by BMO Capital Markets, CIBC Capital Markets, Scotiabank and TD Securities Inc. for gross proceeds of $200 million. The Series T Shares will be listed for trading on the Toronto Stock Exchange under the symbol “GWO.PR.T”.

GWO.PR.T is a Straight Perpetual, 5.15%, announced 2017-05-09. The issue will be tracked by HIMIPref™ and has been assigned to the DeemedRetractible subindex.

As this issue is not NVCC compliant, it will be analyzed as a DeemedRetractible.

The issue traded 837,263 shares in a range of 24.95-05 before closing at 24.95-96. Vital statistics are:

GWO.PR.T Deemed-Retractible YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.21 %

There has been a little flattening in the curve (i.e., a decline of Implied Volatility) in the Implied Volatility for Straights analysis:

impvol_gwo_170518
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