Continued Delay For August PrefLetter

August 23rd, 2016

As previously noted, my server has recently been “upgraded” ha-ha.

While my regular eMail now works the PrefLetter functionality, which uses PHP code on the server to send eMail, has been broken by this upgrade.

I am working to get PrefLetter out as soon as possible.

August 19, 2016

August 23rd, 2016

Who woulda thunk it? Fiduciary rules have some drawbacks:

As brokers lay plans to satisfy new federal rules governing their relationships with retirement savers, one thing is becoming clear: Some clients will see their investment options diminished or face the prospect of higher fees.

Brokerage Edward Jones, anticipating the fiduciary rule that will require brokers to put the interests of retirement savers ahead of their own, said on Wednesday that it would stop offering mutual funds and exchange-traded funds in retirement accounts that charge investors a commission. The move makes the St. Louis firm the first big player to disclose detailed plans on retirement accounts that charge a commission.

Retirement savers could be forced to make decisions in the months ahead as other firms determine how they plan to operate under the Obama administration’s new rule, which starts to take effect in April. The rule doesn’t extend to nonretirement accounts.

I’ve heard that regulators everywhere are calling their kindergarten teachers and asking why everybody doesn’t just play nicely.

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 -0.0702 % 1,713.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0702 % 3,129.6
Floater 4.79 % 4.46 % 79,258 16.30 4 -0.0702 % 1,803.6
OpRet 4.84 % -10.50 % 63,024 0.08 1 0.0396 % 2,881.5
SplitShare 5.07 % 4.62 % 116,443 2.26 5 -0.1035 % 3,428.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1035 % 2,674.9
Perpetual-Premium 5.44 % -6.60 % 76,010 0.09 12 -0.0805 % 2,703.9
Perpetual-Discount 5.10 % 5.06 % 108,410 14.95 26 -0.1084 % 2,917.7
FixedReset 4.88 % 4.13 % 146,949 7.10 89 -0.0065 % 2,089.4
Deemed-Retractible 4.96 % 1.44 % 118,761 0.26 32 0.1536 % 2,811.8
FloatingReset 2.86 % 3.97 % 32,250 5.08 11 0.1474 % 2,217.9
Performance Highlights
Issue Index Change Notes
W.PR.K FixedReset -2.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.81 %
RY.PR.Q FixedReset -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.30 %
CU.PR.G Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-22
Maturity Price : 22.44
Evaluated at bid price : 22.72
Bid-YTW : 4.96 %
PWF.PR.P FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-22
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 4.04 %
CCS.PR.C Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.29 %
SLF.PR.J FloatingReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.64
Bid-YTW : 10.11 %
TRP.PR.D FixedReset 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-22
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 4.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.C FixedReset 122,110 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 5.13 %
BAM.PR.R FixedReset 106,706 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-22
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 4.58 %
BNS.PR.E FixedReset 99,773 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 4.01 %
GWO.PR.H Deemed-Retractible 81,136 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 5.45 %
NA.PR.A FixedReset 77,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 4.46 %
BMO.PR.S FixedReset 56,798 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-22
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 3.95 %
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.S FloatingReset Quote: 14.75 – 15.50
Spot Rate : 0.7500
Average : 0.5516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-22
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.83 %

CM.PR.O FixedReset Quote: 19.42 – 19.92
Spot Rate : 0.5000
Average : 0.3041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-22
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.01 %

RY.PR.Q FixedReset Quote: 26.30 – 26.72
Spot Rate : 0.4200
Average : 0.2996

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.30 %

CU.PR.E Perpetual-Discount Quote: 24.70 – 25.05
Spot Rate : 0.3500
Average : 0.2303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-22
Maturity Price : 24.22
Evaluated at bid price : 24.70
Bid-YTW : 4.95 %

BNS.PR.E FixedReset Quote: 26.70 – 26.94
Spot Rate : 0.2400
Average : 0.1586

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 4.01 %

CU.PR.G Perpetual-Discount Quote: 22.72 – 23.01
Spot Rate : 0.2900
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-22
Maturity Price : 22.44
Evaluated at bid price : 22.72
Bid-YTW : 4.96 %

New Issue: W FixedReset 5.20%+452M520

August 22nd, 2016

Spectra Energy has announced:

Westcoast Energy Inc. (the “Corporation”) announced today that it has entered into an agreement with a syndicate of underwriters co-led by TD Securities Inc. and CIBC Capital Markets. The underwriters have agreed to buy 8 million Cumulative 5-Year Minimum Rate Reset Redeemable First Preferred Shares, Series 12 (the “Series 12 First Preferred Shares”) at a price of $25.00 per share for aggregate gross proceeds of $200,000,000. The proceeds are expected to be used to fund capital expenditures and for general corporate purposes.

The Corporation has granted the underwriters an option to purchase up to 2 million additional Series 12 First Preferred Shares at the offering price, exercisable until 48 hours prior to closing, which, if fully exercised, would increase the total gross proceeds of the Series 12 First Preferred Share offering to $250,000,000.

The Series 12 First Preferred Shares will be issued to the public at a price of $25.00 per share and holders will be entitled to receive fixed cumulative preferential cash dividends, payable by quarterly instalments for an initial period of five years, as and when declared by the Board of Directors of the Corporation, at a rate of $1.30 per share per annum, to yield 5.20% annually. Thereafter, the dividend rate will reset every five years to the sum of the then current 5-Year Government of Canada Bond yield and 4.52%, provided that, in any event, such rate shall not be less than 5.20%. On October 15, 2021, and on October 15 of every fifth year thereafter, the Corporation may redeem the Series 12 First Preferred Shares in whole or in part at par.

Holders will have the right to elect to convert all or any of their Series 12 First Preferred Shares into an equal number of Cumulative Floating Rate Redeemable First Preferred Shares, Series 13 (the “Series 13 First Preferred Shares”) on October 15, 2021, and on October 15 of every fifth year thereafter. Holders of the Series 13 First Preferred Shares will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of the Corporation, equal to the sum of the then current 3-month Government of Canada Treasury Bill yield and 4.52%. On October 15, 2026, and on October 15 of every fifth year thereafter, the Corporation may redeem the Series 13 First Preferred Shares in whole or in part at par. On any other date after October 15, 2026, the Corporation may redeem the Series 13 First Preferred Shares in whole or in part by the payment of $25.50 for each share to be redeemed.

The offering is being made only in the provinces of Canada under the Corporation’s short form base shelf prospectus dated March 18, 2016, and a prospectus supplement to such short form prospectus. The closing date of the offering is expected to be on or about August 30, 2016.

This news release does not constitute an offer to sell securities, nor is it a solicitation of an offer to buy securities, in any jurisdiction. All sales will be made through registered securities dealers in jurisdictions where the offering has been qualified for distribution.

Westcoast Energy Inc. is an indirect subsidiary of Spectra Energy Corp.

They later announced:

that as a result of strong demand for its previously announced offering it has agreed to increase the size of the offering to 12 million Cumulative 5-Year Minimum Rate Reset Redeemable First Preferred Shares, Series 12 (the “Series 12 First Preferred Shares”) at a price of $25.00 per share for aggregate gross proceeds of $300,000,000. There will not be an underwriters’ option as was previously granted. The Series 12 Preferred Shares are being offered on a bought deal basis by a syndicate of underwriters co-led by TD Securities Inc. and CIBC Capital Markets.

The proceeds are expected to be used to fund capital expenditures and for general corporate purposes.

The offering is being made only in the provinces of Canada under the Corporation’s short form base shelf prospectus dated March 18, 2016, and a prospectus supplement to such short form prospectus. The closing date of the offering is expected to be on or about August 30, 2016.

This news release does not constitute an offer to sell securities, nor is it a solicitation of an offer to buy securities, in any jurisdiction. All sales will be made through registered securities dealers in jurisdictions where the offering has been qualified for distribution.

Westcoast Energy Inc. is an indirect subsidiary of Spectra Energy Corp.

This creates an interesting tension with W.PR.K, which is a FixedReset, 5.25%+426M525, that commenced 2015-12-15 after having been announced 2015-11-24, in that the new issue has a significantly higher spread but a slightly lower guarantee.

August 19, 2016

August 19th, 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 0.4229 % 1,714.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4229 % 3,131.8
Floater 4.79 % 4.47 % 80,201 16.30 4 0.4229 % 1,804.9
OpRet 4.85 % -10.50 % 65,297 0.08 1 0.0000 % 2,880.4
SplitShare 5.06 % 4.55 % 107,724 2.26 5 0.0717 % 3,431.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0717 % 2,677.7
Perpetual-Premium 5.44 % -8.93 % 75,587 0.09 12 0.0612 % 2,706.1
Perpetual-Discount 5.09 % 4.93 % 109,552 14.96 26 0.2378 % 2,920.9
FixedReset 4.88 % 4.08 % 147,030 7.12 89 0.0425 % 2,089.5
Deemed-Retractible 4.97 % 2.47 % 118,523 0.36 32 -0.0529 % 2,807.5
FloatingReset 2.86 % 3.96 % 32,611 5.09 11 0.4778 % 2,214.6
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-19
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 4.41 %
CU.PR.C FixedReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-19
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.10 %
IAG.PR.A Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.66 %
SLF.PR.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 9.34 %
SLF.PR.I FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 6.61 %
CU.PR.I FixedReset 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.57
Bid-YTW : 2.91 %
BAM.PR.S FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-19
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.82 %
HSE.PR.E FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-19
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.E OpRet 105,000 YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2016-09-18
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : -10.50 %
TD.PF.G FixedReset 63,754 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.83
Bid-YTW : 3.87 %
RY.PR.H FixedReset 45,614 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-19
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 3.91 %
BAM.PF.E FixedReset 45,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-19
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 4.28 %
BMO.PR.T FixedReset 39,480 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-19
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 3.92 %
BNS.PR.Q FixedReset 39,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.33
Bid-YTW : 3.43 %
There were 13 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: 17.76 – 18.40
Spot Rate : 0.6400
Average : 0.4109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-19
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 4.41 %

IAG.PR.A Deemed-Retractible Quote: 23.45 – 24.00
Spot Rate : 0.5500
Average : 0.3639

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.66 %

CU.PR.C FixedReset Quote: 18.45 – 18.80
Spot Rate : 0.3500
Average : 0.2405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-19
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.10 %

GWO.PR.M Deemed-Retractible Quote: 26.58 – 26.90
Spot Rate : 0.3200
Average : 0.2440

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-18
Maturity Price : 25.75
Evaluated at bid price : 26.58
Bid-YTW : -22.35 %

POW.PR.G Perpetual-Premium Quote: 26.50 – 26.80
Spot Rate : 0.3000
Average : 0.2379

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-15
Maturity Price : 26.00
Evaluated at bid price : 26.50
Bid-YTW : 3.18 %

SLF.PR.G FixedReset Quote: 14.75 – 14.98
Spot Rate : 0.2300
Average : 0.1698

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 9.34 %

August 18, 2016

August 18th, 2016

Hampton Creek, last discussed here on August 4 may have bought itself a world of trouble:

The U.S. Securities and Exchange Commission is looking into whether a San Francisco-based food technology startup broke the law by not disclosing that it was buying its own vegan mayonnaise from stores, which made the product appear to be more successful than it was, according to people familiar with the matter.

The agency is trying to determine whether Josh Tetrick’s Hampton Creek Inc. improperly recognized revenue from purchases made with company money, said the people, who asked not to be named because the matter isn’t public. The opening of an SEC inquiry into the buybacks is a preliminary step and doesn’t mean the company will face an enforcement action.

In drone news, Intel touts a drone platform:

Intel Corporation today announced its involvement in the development of multiple best-in-class unmanned aerial vehicles (UAVs), commonly called drones, showcasing how they interact with their environment, solve problems and thrill users by helping them explore and interact with their worlds unlike ever before.

Intel® Aero Platform for UAVs

Intel’s® Aero Platform is available today for developers to build their own drones. This purpose-built, UAV developer kit powered by an Intel® Atom™ quad-core processor combines compute, storage, communications and flexible I/O all in a form factor the size of a standard playing card. When matched with the optional Vision Accessory Kit, developers will have tremendous opportunities to launch sophisticated drone applications into the sky. Aero supports several “plug and play” options, including a flight controller with Dronecode PX4 software, Intel® RealSense™ technology for vision, AirMap SDK for airspace services, and will support LTE for communications. The Intel Aero Platform is available for pre-order now on click.intel.com – the Intel Aero compute board is $399, the Intel Aero Vision Accessory Kit is $149, and the Intel Aero Enclosure Kit is $69. A separate Intel Aero Platform Ready-to-Fly Drone will be available in Q4.

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 0.1235 % 1,707.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1235 % 3,118.6
Floater 4.81 % 4.51 % 80,217 16.24 4 0.1235 % 1,797.3
OpRet 4.85 % -10.66 % 60,446 0.08 1 -0.0395 % 2,880.4
SplitShare 5.07 % 4.36 % 111,611 2.27 5 0.5235 % 3,429.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5235 % 2,675.7
Perpetual-Premium 5.44 % -9.55 % 75,450 0.09 12 -0.0612 % 2,704.4
Perpetual-Discount 5.10 % 4.96 % 109,581 15.00 26 -0.2936 % 2,914.0
FixedReset 4.89 % 4.07 % 148,535 7.13 89 -0.0800 % 2,088.6
Deemed-Retractible 4.97 % 1.95 % 120,007 0.27 32 -0.0252 % 2,808.9
FloatingReset 2.88 % 4.07 % 33,798 5.09 11 -0.0287 % 2,204.1
Performance Highlights
Issue Index Change Notes
BAM.PR.S FloatingReset -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.87 %
PWF.PR.P FixedReset -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 4.04 %
TRP.PR.E FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.19 %
PWF.PR.S Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 23.26
Evaluated at bid price : 23.65
Bid-YTW : 5.10 %
IAG.PR.G FixedReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.53
Bid-YTW : 6.41 %
HSE.PR.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 4.71 %
PVS.PR.D SplitShare 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 4.69 %
TRP.PR.F FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 13.97
Evaluated at bid price : 13.97
Bid-YTW : 4.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.C FixedReset 182,860 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 5.11 %
VNR.PR.A FixedReset 149,255 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.69 %
BNS.PR.E FixedReset 131,342 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.87
Bid-YTW : 3.84 %
TD.PF.C FixedReset 67,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 3.96 %
RY.PR.H FixedReset 57,055 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 3.91 %
BNS.PR.Q FixedReset 49,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.32
Bid-YTW : 3.44 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.F Perpetual-Discount Quote: 24.78 – 25.23
Spot Rate : 0.4500
Average : 0.2942

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 24.53
Evaluated at bid price : 24.78
Bid-YTW : 4.95 %

PWF.PR.S Perpetual-Discount Quote: 23.65 – 24.00
Spot Rate : 0.3500
Average : 0.2359

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-18
Maturity Price : 23.26
Evaluated at bid price : 23.65
Bid-YTW : 5.10 %

W.PR.K FixedReset Quote: 25.95 – 26.25
Spot Rate : 0.3000
Average : 0.1864

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.44 %

TD.PR.S FixedReset Quote: 23.83 – 24.19
Spot Rate : 0.3600
Average : 0.2638

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.83
Bid-YTW : 3.62 %

BMO.PR.M FixedReset Quote: 24.00 – 24.35
Spot Rate : 0.3500
Average : 0.2739

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 3.48 %

BNS.PR.Z FixedReset Quote: 20.39 – 20.60
Spot Rate : 0.2100
Average : 0.1415

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.39
Bid-YTW : 6.11 %

August 17, 2016

August 17th, 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 0.2122 % 1,705.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2122 % 3,114.7
Floater 4.82 % 4.53 % 78,777 16.21 4 0.2122 % 1,795.0
OpRet 4.84 % -11.26 % 56,593 0.08 1 1.2112 % 2,881.5
SplitShare 5.05 % 4.68 % 109,608 2.24 5 -0.1030 % 3,411.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1030 % 2,661.8
Perpetual-Premium 5.44 % -8.84 % 73,707 0.09 12 -0.1029 % 2,706.1
Perpetual-Discount 5.09 % 4.95 % 106,671 15.00 26 0.0554 % 2,922.5
FixedReset 4.88 % 4.09 % 149,962 7.14 89 0.0057 % 2,090.3
Deemed-Retractible 4.97 % 1.79 % 120,016 0.09 32 0.0466 % 2,809.6
FloatingReset 2.88 % 4.08 % 35,160 5.09 11 -0.1050 % 2,204.7
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-17
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.69 %
FTS.PR.H FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-17
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 3.74 %
GWO.PR.F Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-16
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : -39.63 %
POW.PR.D Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-17
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.04 %
GWO.PR.M Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-16
Maturity Price : 25.75
Evaluated at bid price : 26.82
Bid-YTW : -32.12 %
SLF.PR.G FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.95
Bid-YTW : 9.14 %
FTS.PR.E OpRet 1.21 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2016-09-16
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : -11.26 %
TRP.PR.E FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-17
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.12 %
BAM.PR.X FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-17
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.37 %
HSE.PR.A FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-17
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.66 %
PWF.PR.P FixedReset 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-17
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 3.94 %
SLF.PR.H FixedReset 2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.02
Bid-YTW : 8.14 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.K Deemed-Retractible 143,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 0.15 %
RY.PR.R FixedReset 108,444 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.97 %
BAM.PF.C Perpetual-Discount 59,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-17
Maturity Price : 22.88
Evaluated at bid price : 23.25
Bid-YTW : 5.27 %
BNS.PR.Q FixedReset 42,250 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.32
Bid-YTW : 3.44 %
TD.PR.S FixedReset 37,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 3.60 %
BIP.PR.C FixedReset 34,551 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 5.09 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.P FixedReset Quote: 24.40 – 24.75
Spot Rate : 0.3500
Average : 0.2376

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.39 %

FTS.PR.M FixedReset Quote: 20.34 – 20.70
Spot Rate : 0.3600
Average : 0.2587

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-17
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 3.98 %

RY.PR.I FixedReset Quote: 24.17 – 24.43
Spot Rate : 0.2600
Average : 0.1632

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.17
Bid-YTW : 3.66 %

GWO.PR.Q Deemed-Retractible Quote: 25.20 – 25.48
Spot Rate : 0.2800
Average : 0.1870

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.16 %

BNS.PR.R FixedReset Quote: 24.51 – 24.73
Spot Rate : 0.2200
Average : 0.1361

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 3.55 %

CU.PR.F Perpetual-Discount Quote: 22.91 – 23.15
Spot Rate : 0.2400
Average : 0.1573

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-17
Maturity Price : 22.59
Evaluated at bid price : 22.91
Bid-YTW : 4.91 %

CF.PR.A To Be Extended

August 17th, 2016

Canaccord Genuity Group Inc. has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Cumulative 5-Year Rate Reset First Preferred Shares, Series A of the Company (the “Series A Preferred Shares”) on September 30, 2016 (the “Conversion Date”). There are currently 4,540,000 Series A Preferred Shares outstanding.

As a result and subject to certain conditions set out in the short form prospectus dated June 16, 2011 relating to the issuance of the Series A Preferred Shares, the holders of the Series A Preferred Shares have the right, at their option, to convert all or any of their Series A Preferred Shares, on a one-for-one basis, into Cumulative Floating Rate First Preferred Shares, Series B of the Company (the “Series B Preferred Shares”) on the Conversion Date (the “Conversion Privilege”). A formal notice of the Conversion Privilege will be sent to the registered holder of the Series A Preferred Shares.
Holders who do not exercise their right to convert their Series A Preferred Shares into Series B Preferred Shares will continue to hold their Series A Preferred Shares and will have the opportunity to convert their shares again on September 30, 2021, and every five years thereafter as long as the shares remain outstanding.

The foregoing Conversion Privilege is subject to the following conditions: (i) if the Company determines that there would be less than 1,000,000 Series B Preferred Shares outstanding on the Conversion Date, then holders of Series A Preferred Shares will not be entitled to convert their shares into Series B Preferred Shares; and (ii) alternatively, if the Company determines that there would remain outstanding less than 1,000,000 Series A Preferred Shares on the Conversion Date, then all remaining Series A Preferred Shares will automatically be converted into Series B Preferred Shares on a one-for-one basis on the Conversion Date. In either case, the Company will give written notice to that effect to any registered holders affected by the preceding conditions of the Series A Preferred Shares no later than September 23, 2016.

The dividend rate applicable to the Series A Preferred Shares for the five-year period commencing on October 1, 2016 and ending on and including September 30, 2021, and the dividend rate applicable to the Series B Preferred Shares for the three-month period commencing on October 1, 2016 and ending on and including December 31, 2016, will be determined and announced by way of a press release on September 1, 2016.

Beneficial owners of Series A Preferred Shares who wish to exercise their Conversion Privilege should communicate as soon as possible with their broker or other nominee to obtain instructions for exercising such right during the conversion period, which runs from August 31, 2016 until 5:00 p.m. (Toronto time) on September 15, 2016.

No surprise here, since CF.PR.A is a 5.50%+321 FixedReset that commenced trading 2016-6-23 after being announced 2011-6-6. CF.PR.A is tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

SLF.PR.H To Be Extended

August 17th, 2016

Sun Life Financial Inc. has announced:

that it does not intend to exercise its right to redeem its outstanding Class A Non-Cumulative Rate Reset Preferred Shares Series 10R (the “Series 10R Shares”) on September 30, 2016. As a result, subject to certain conditions, the holders of Series 10R Shares will have the right, at their option, to convert all or part of their Series 10R Shares on a one-for-one basis into Class A Non-Cumulative Floating Rate Preferred Shares Series 11QR of Sun Life Financial (the “Series 11QR Shares”) on September 30, 2016. Holders of Series 10R Shares who do not exercise their right to convert their Series 10R Shares into Series 11QR Shares on that date will retain their Series 10R Shares.

The foregoing conversions are subject to the following conditions: (i) if Sun Life Financial determines that there would be less than one million Series 10R Shares outstanding after September 30, 2016, then all remaining Series 10R Shares will automatically be converted into Series 11QR Shares on a one-for-one basis on September 30, 2016, and (ii) alternatively, if Sun Life Financial determines that there would be less than one million Series 11QR Shares outstanding after September 30, 2016, no Series 10R Shares will be converted into Series 11QR Shares. In either case, Sun Life Financial will give written notice to that effect to any registered holder affected by the preceeding minimums on or before Thursday, September 22, 2016.

The dividend rate applicable to the Series 10R Shares for the five-year period commencing on September 30, 2016 to but excluding September 30, 2021, and the dividend rate applicable to the Series 11QR Shares for the three-month period commencing on September 30, 2016 to but excluding December 31, 2016, will be determined on Wednesday, August 31, 2016 and will be announced in a news release on August 31, 2016.

Beneficial owners of Series 10R Shares who wish to exercise their right of conversion should communicate as soon as possible with their broker or other nominee and should ensure that their instructions are followed in order to ensure that the deadline to exercise such right of conversion is met, which is 5:00 p.m. (ET) on Thursday, September 15, 2016.

Subject to regulatory approval, Sun Life Financial: (i) may redeem the Series 10R Shares and the Series 11QR Shares in whole or in part on September 30, 2021 and on the 30th of September in every fifth year thereafter by the payment of an amount for each share so redeemed of $25.00, together with all declared and unpaid dividends to the date fixed for such redemption, and (ii) may redeem the Series 11QR Shares in whole or in part on any other date after September 30, 2016 by the payment of an amount for each share so redeemed of $25.50, together with all declared and unpaid dividends to the date fixed for such redemption.

An application will be made to list the Series 11QR Shares on the Toronto Stock Exchange.

No surprises here, since SLF.PR.H is a FixedReset, 3.90%+217, that commenced trading 2011-8-12 after being announced 2011-8-4. SLF.PR.H is tracked by HIMIPref™ and assigned to the FixedResets subindex; in my analysis I assume a Deemed Retraction. I will report on the new dividend rate when it is announced.

August 16, 2016

August 17th, 2016

The Fed is attempting to keep uncertainty in the market, with Dudley making hawkish noises:

“We’re edging closer towards the point in time where it will be appropriate, I think, to raise interest rates further,” Dudley, who serves as vice chairman of the rate-setting Federal Open Market Committee, said Tuesday on Fox Business Network. Asked whether the FOMC could vote to raise the benchmark rate at its next meeting Sept. 20-21, Dudley said, “I think it’s possible.”

Investors expect about one rate hike between now and the end of next year, according to federal funds futures contracts, and they marked up probabilities only slightly on Tuesday. Dudley said such estimates are “too low” and that “the market is complacent about the need for gradually snugging up short-term interest rates over the next year or so.”

“We are looking for growth in the second half of the year that will be stronger than the first half,” Dudley said. “I think the labor market is going to continue to tighten, and in that environment I think we are getting closer to the day where we are going to have to snug up interest rates a little bit.”

as did Lockhart:

Federal Reserve Bank of Atlanta President Dennis Lockhart said he’s confident that U.S. economic growth is accelerating, setting the stage for at least one increase in interest rates this year.

“I’m not locked in to any policy position at this stage, but if my confidence in the economy proves to be justified, I think at least one increase of the policy rate could be appropriate later this year,” Lockhart said in the text of remarks on Tuesday to the Rotary Club of Knoxville, Tennessee.

Lockhart described the labor market as nearing full employment, with wages showing signs of a pickup.

“Recent price data hint at the firming of underlying price pressures,” he said. “I’m reasonably comfortable with a forecast of reaching 2 percent by year-end 2017.”

Lockhart said he was focused on monitoring business investment, which he said could have been hurt by uncertainty over U.S. policies. “It’s possible the election is a factor,” he said.

The median estimate of Fed officials in June was for two quarter-point increases this year, though six policy makers projected only one increase.

… and Car Wars continues to heat up:

Ford Motor Co. aims to have a fully autonomous vehicle available by 2021 for ride-hailing services, skipping the interim steps of driver-assisted technology and matching BMW’s ambitious timeframe.

The second-biggest U.S. automaker said earlier Tuesday that it’s doubling the number of people at its Silicon Valley technical center while expanding to two more buildings. Ford also invested $75 million in the leading maker of an advanced radar system to accelerate its development of self-driving cars.

Ford chose to focus on purely self-driving vehicles that don’t require a human to take over in complex situations, said Raj Nair, Ford’s head of product development. The automaker is chasing Alphabet Inc.’s Google self-driving car project as well as efforts by General Motors Co. and other automakers. Ford said today it’s investing in or collaborating with four startups on autonomous vehicles, bringing its roster of such partnerships to 40.

Ford and China’s top search engine company, Baidu Inc., are each investing $75 million in Velodyne Lidar Inc., the automaker said in a statement. Lidar bounces light off objects to assess shape and location, giving self-driving cars a 360-degree view of their environment with the help of cameras and traditional radar. Morgan Hill, California-based Velodyne said the money will help it improve design and expand production, making the sensors more affordable for mass adoption.

Meanwhile, here in the frozen North, some degree of success is being achieved in the regulatory campaign to shut down markets:

As Canada’s regulatory regime has evolved and, in some cases, become more onerous, many American investment dealers have reduced their trading operations in Canada. That hurts Canadian institutional investors that are trying to build diversified portfolios for ordinary Canadian clients.

In a recent letter to provincial securities regulators, the Canadian Bond Investors’ Association (CBIA) said its members are having difficulty trading and tracking the debt of Canadian companies issued in the U.S. market, such as the bonds of Valeant Pharmaceuticals International Inc. and Bombardier Inc.

That’s because many foreign banks, including Goldman Sachs Group Inc. and Citigroup Inc., have stopped trading Canadian bonds with Canadian investors in the U.S. secondary market, the CBIA letter states. The reason derives from a 2015 amendment that prevented foreign investment dealers from being classified as both an exempt-market dealer and an international dealer.

The CBIA’s second concern pertains to the regulators’ bid to better track the sales of bonds and stocks sold without a prospectus. The change, introduced June 30, requires banks to collect more details about the issuer and the Canadian purchaser. Then, it requires a banker to certify its accuracy, creating new personal liability risks.

“It’s going to become more expensive and time-consuming to sell into Canada,” said Anthony Spadaro, a lawyer at Davies Ward Phillips & Vineberg LLP.

As the saying goes in the regulators’ offices: “The only fair market is a closed market”. And what we want is fairness, right?

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 0.5332 % 1,701.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5332 % 3,108.1
Floater 4.83 % 4.55 % 79,480 16.16 4 0.5332 % 1,791.2
OpRet 4.84 % 3.08 % 56,555 0.08 1 0.0000 % 2,847.0
SplitShare 5.04 % 4.73 % 107,915 2.25 5 -0.0792 % 3,415.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0792 % 2,664.5
Perpetual-Premium 5.43 % -12.11 % 73,801 0.09 12 -0.0257 % 2,708.8
Perpetual-Discount 5.09 % 4.97 % 106,576 14.98 26 -0.1254 % 2,920.9
FixedReset 4.88 % 4.11 % 147,998 7.14 89 0.0550 % 2,090.2
Deemed-Retractible 4.97 % 2.18 % 120,895 0.09 32 -0.2223 % 2,808.3
FloatingReset 2.87 % 4.08 % 34,847 5.10 11 0.2775 % 2,207.0
Performance Highlights
Issue Index Change Notes
TD.PF.G FixedReset -1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 4.15 %
MFC.PR.F FixedReset -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.32 %
GWO.PR.F Deemed-Retractible -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-15
Maturity Price : 25.00
Evaluated at bid price : 25.98
Bid-YTW : -29.37 %
MFC.PR.J FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.11
Bid-YTW : 6.35 %
PVS.PR.E SplitShare -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.39 %
TRP.PR.H FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 4.20 %
BAM.PR.B Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.55 %
TRP.PR.C FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.11 %
FTS.PR.G FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 3.82 %
HSE.PR.A FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.73 %
FTS.PR.K FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 3.74 %
TRP.PR.F FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 13.78
Evaluated at bid price : 13.78
Bid-YTW : 4.46 %
HSE.PR.E FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.12 %
FTS.PR.M FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 4.00 %
BAM.PF.B FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.48 %
GWO.PR.N FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.82
Bid-YTW : 9.15 %
CU.PR.C FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 3.98 %
HSE.PR.G FixedReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.07 %
HSE.PR.C FixedReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.E OpRet 493,950 YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2016-09-15
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 3.08 %
TD.PF.G FixedReset 140,988 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 4.15 %
BNS.PR.G FixedReset 94,636 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.81
Bid-YTW : 3.97 %
RY.PR.Z FixedReset 85,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 3.85 %
RY.PR.R FixedReset 75,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.97 %
TD.PF.C FixedReset 75,333 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 3.97 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Quote: 19.00 – 19.59
Spot Rate : 0.5900
Average : 0.4217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.17 %

GWO.PR.F Deemed-Retractible Quote: 25.98 – 26.44
Spot Rate : 0.4600
Average : 0.2933

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-15
Maturity Price : 25.00
Evaluated at bid price : 25.98
Bid-YTW : -29.37 %

HSE.PR.G FixedReset Quote: 21.05 – 21.63
Spot Rate : 0.5800
Average : 0.4256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.07 %

PWF.PR.T FixedReset Quote: 21.00 – 21.48
Spot Rate : 0.4800
Average : 0.3362

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.72 %

BMO.PR.M FixedReset Quote: 24.00 – 24.45
Spot Rate : 0.4500
Average : 0.3115

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 3.47 %

BAM.PR.S FloatingReset Quote: 15.10 – 15.60
Spot Rate : 0.5000
Average : 0.4060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-08-16
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.71 %

BMO.PR.Q: 19% Conversion to BMO.PR.A

August 16th, 2016

Bank of Montreal has announced:

that 2,174,393 of its 11.6 million Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 25 (the “Preferred Shares Series 25″) will be converted on August 25, 2016, on a one-for-one basis, into Non-Cumulative Floating Rate Class B Preferred Shares, Series 26 of the Bank (the “Preferred Shares Series 26″). As a result, on August 25, 2016, the Bank will have 9,425,607 Preferred Shares Series 25 and 2,174,393 Preferred Shares Series 26 issued and outstanding. The Preferred Shares Series 25 are listed and the Preferred Shares Series 26 will be listed on the Toronto Stock Exchange under the symbols BMO.PR.Q and BMO.PR.A, respectively.

BMO.PR.Q was issued 2011-3-11 as a FixedReset 3.90%+115 announced 2011-3-2. Its extension and reset to 1.805% have been reported on PrefBlog. It will be noted that the prospectus does not mention the NVCC rules except as follows:

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

Accordingly, I treat these shares as having a DeemedRetraction for analytical purposes.

BMO.PR.Q is tracked by HIMIPref™ and assigned to the FixedReset subindex. I regret to say I neglected to make a recommendation regarding conversion.