Archive for March, 2016

March 30, 2016

Wednesday, March 30th, 2016

It’s nice to see a little high-level push-back against civil forfeiture:

Q: What reforms would help fix the flaws in the law?

A: I’m working to draft bipartisan reforms to fix these flaws. For starters, the direct quid pro quo between asset forfeiture and funding should be eliminated. Law enforcement shouldn’t be relying on funds obtained from forfeiting the particular assets that they have seized or shift crime-fighting priorities based on financial considerations. In addition, real procedural reforms must be enacted for people whose assets are seized, including prompt timelines for government action and the ability to challenge the seizure promptly before a judge. And, individuals who cannot afford a lawyer to guide them through the system should be provided one. Part of addressing this problem lies in reversing the Supreme Court’s recent decision that allows the government to prevent people from showing that they need access to their seized funds to hire a lawyer. We also need to codify changes in the use of civil asset forfeiture in structuring cases, where small business owners like Iowa’s Carole Hinders get unfairly caught up in forfeiture for depositing money in a bank without any indication of any underlying crime. The government’s burden of proof for forfeiting assets needs to be raised.

It’s clear the current process isn’t working as Congress intended. It is time to end seizure for suspicion’s sake and enact reforms that will help restore the proper mission of asset forfeiture laws and rebuild credibility in our law enforcement agencies.

Market and Fed policy rate expectations are converging:

The Federal Reserve looks to have outsourced monetary policy to the financial markets — and that may not necessarily be bad.

Fed Chair Janet Yellen told the Economic Club of New York on Tuesday that policy makers had scaled back the number of interest rate increases they expect to carry out this year after investors did the same.

She argued that the downgrading of rate expectations in the market had led to lower bond yields, providing the economy with needed support in the face of weaker growth overseas. The Fed then followed suit this month by reducing its anticipated rate hikes in 2016 to two from four quarter-percentage point moves projected in December.

policyExpectationConvergence
Click for Big

PerpetualDiscounts now yield 5.63%, equivalent to 7.32% interest at the standard conversion factor of 1.3x. Long corporates now yield about 4.1%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, unchanged from the figure reported March 23.

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 5.00 % 6.08 % 11,039 16.60 1 1.8854 % 1,571.9
FixedFloater 6.86 % 6.03 % 24,847 16.26 1 1.0949 % 2,898.4
Floater 4.63 % 4.76 % 62,625 15.93 4 -1.3050 % 1,672.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2997 % 2,791.1
SplitShare 4.75 % 5.27 % 88,709 1.61 6 0.2997 % 3,266.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2997 % 2,548.3
Perpetual-Premium 5.79 % -4.49 % 89,184 0.08 6 -0.2039 % 2,560.5
Perpetual-Discount 5.61 % 5.63 % 94,587 14.39 33 0.1798 % 2,592.5
FixedReset 5.31 % 4.81 % 184,776 13.94 87 -0.3188 % 1,921.6
Deemed-Retractible 5.20 % 5.55 % 130,740 5.08 34 0.1698 % 2,617.8
FloatingReset 3.04 % 5.04 % 37,342 5.39 16 -0.1836 % 2,018.4
Performance Highlights
Issue Index Change Notes
TRP.PR.I FloatingReset -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.49 %
TD.PR.S FixedReset -3.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 4.78 %
TRP.PR.G FixedReset -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 5.02 %
HSE.PR.A FixedReset -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 5.93 %
TRP.PR.B FixedReset -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 4.62 %
BAM.PR.T FixedReset -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.02 %
HSE.PR.E FixedReset -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 5.91 %
TRP.PR.D FixedReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.76 %
TRP.PR.C FixedReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 11.61
Evaluated at bid price : 11.61
Bid-YTW : 4.84 %
CIU.PR.C FixedReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 11.06
Evaluated at bid price : 11.06
Bid-YTW : 4.71 %
TRP.PR.A FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.59 %
BAM.PR.X FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.73 %
IAG.PR.G FixedReset -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.56 %
BNS.PR.Q FixedReset -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.67
Bid-YTW : 4.92 %
BAM.PR.K Floater -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.78 %
BAM.PR.B Floater -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 9.94
Evaluated at bid price : 9.94
Bid-YTW : 4.76 %
GWO.PR.N FixedReset -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.35
Bid-YTW : 10.29 %
RY.PR.I FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.26
Bid-YTW : 4.54 %
TRP.PR.E FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.62 %
RY.PR.K FloatingReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 4.87 %
PWF.PR.A Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 4.30 %
BIP.PR.B FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 22.86
Evaluated at bid price : 24.15
Bid-YTW : 5.66 %
NA.PR.S FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.57 %
MFC.PR.I FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.83
Bid-YTW : 7.67 %
CU.PR.C FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.55 %
HSE.PR.G FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 5.89 %
BAM.PR.G FixedFloater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 6.03 %
RY.PR.F Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 4.82 %
BAM.PF.G FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.81 %
PVS.PR.D SplitShare 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 5.87 %
PWF.PR.Q FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.60 %
FTS.PR.H FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 4.40 %
W.PR.K FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 23.16
Evaluated at bid price : 24.95
Bid-YTW : 5.18 %
FTS.PR.I FloatingReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.54 %
MFC.PR.F FixedReset 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.21
Bid-YTW : 10.47 %
BAM.PR.E Ratchet 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 25.00
Evaluated at bid price : 13.51
Bid-YTW : 6.08 %
PWF.PR.T FixedReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 87,594 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.79 %
BNS.PR.N Deemed-Retractible 67,005 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.86 %
RY.PR.Z FixedReset 60,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.22 %
RY.PR.D Deemed-Retractible 59,461 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.69 %
TD.PF.G FixedReset 56,716 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 5.01 %
BNS.PR.L Deemed-Retractible 39,093 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-27
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 3.14 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.O FloatingReset Quote: 12.01 – 14.25
Spot Rate : 2.2400
Average : 1.7176

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.01
Bid-YTW : 11.14 %

TD.PR.S FixedReset Quote: 22.61 – 23.77
Spot Rate : 1.1600
Average : 0.8311

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 4.78 %

SLF.PR.J FloatingReset Quote: 12.30 – 13.00
Spot Rate : 0.7000
Average : 0.4251

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.30
Bid-YTW : 10.99 %

TD.PR.Z FloatingReset Quote: 21.32 – 22.00
Spot Rate : 0.6800
Average : 0.5336

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.32
Bid-YTW : 5.07 %

IAG.PR.G FixedReset Quote: 18.85 – 19.30
Spot Rate : 0.4500
Average : 0.3204

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.56 %

BAM.PR.G FixedFloater Quote: 13.85 – 14.24
Spot Rate : 0.3900
Average : 0.2611

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-30
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 6.03 %

March 29, 2016

Tuesday, March 29th, 2016

My old buddy Bing Li is now the proud co-author of a book, Multi-Asset Investing: A Practitioner’s Framework:

Despite the accepted fact that a substantial part of the risk and return of any portfolio comes from asset allocation, we find today that the majority of investment professionals worldwide are focused on security selection. Multi-Asset Investing: A Practitioner’s Framework questions this basic structure of the investment process and investment industry.
  • •Who says we have to separate alpha and beta?
  • •Are the traditional definitions for risk and risk premium relevant in a multi-asset class world?
  • •Do portfolios cater for the ‘real risks’ in their investment processes?
  • •Does the whole Emerging Markets demarcation make sense for investing?
  • •Why do active Asian managers perform much poorer compared to developed market managers?
  • •Can you distinguish how much of a strategy’s performance comes from skill rather than luck?
  • •Does having a performance fee for your manager create alignment or misalignment?
  • •Why is the asset management transitioning from multi-asset strategies to multi-asset solutions?

These and many other questions are asked, and suggestions provided as potential solutions. Having worked together for fifteen years, the authors’ present implementable solutions which have helped them successfully manage large asset pools.

And Yellen has made a major speech:

Federal Reserve Chair Janet Yellen spelled out on Tuesday what she means by data dependence, asserting her leadership of the U.S. central bank with a clear message that interest rates will be raised at a cautious pace.

In one of her most detailed policy discussions this year, Yellen gave investors a list of conditions they need to watch for future rate hikes. Here they are:

  • •Foreign economies and their financial markets need to stabilize.
  • •The dollar can’t appreciate further. That would depress inflation and exports, and hurt U.S. manufacturing.
  • •Commodity prices need to stabilize to help foreign producers find a better footing for growth.
  • •The housing sector needs to make a larger contribution to U.S. output.
  • •Inflation is a two-sided risk: Yellen is skeptical that the recent rise in core inflation, which strips out food and energy, “will prove durable.” She is watching closely.

It would be interesting, to say the least, if real-estate were to become a tradeable commodity:

Canadian house prices climbed 27 per cent over the five years from February, 2011, to February, 2016, according to the Teranet-National Bank Composite House Price index. But many foreign buyers are seeing price declines, after currency conversion (see chart below).

The currencies of China, the United States and Switzerland have gained so much against the Canadian dollar that they have outrun the increase in Canadian house prices. As a result, the citizens of these countries can buy at a lower price than in 2011: For the Chinese and Americans, it is nearly 10 per cent less; for the Swiss, it is 5 per cent less.

In most other countries, currencies rose less than Canadian house prices. Some, like the

British pound, came up just a bit short – leaving a small price increase of 2.6 per cent. Others were further behind.

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 5.10 % 6.20 % 10,953 16.46 1 1.3118 % 1,542.8
FixedFloater 6.93 % 6.10 % 24,689 16.18 1 0.3663 % 2,867.1
Floater 4.57 % 4.69 % 62,018 16.06 4 3.0378 % 1,694.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.3100 % 2,782.8
SplitShare 4.76 % 5.50 % 82,133 1.61 6 0.3100 % 3,256.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3100 % 2,540.7
Perpetual-Premium 5.78 % -7.00 % 84,944 0.09 6 0.2565 % 2,565.7
Perpetual-Discount 5.61 % 5.61 % 95,746 14.41 33 0.0364 % 2,587.8
FixedReset 5.30 % 4.80 % 186,095 13.85 87 0.0797 % 1,927.7
Deemed-Retractible 5.21 % 5.65 % 125,473 5.08 34 0.0475 % 2,613.3
FloatingReset 3.03 % 4.93 % 37,154 5.40 16 0.5563 % 2,022.1
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset -3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.95 %
TRP.PR.D FixedReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.68 %
TD.PR.Y FixedReset -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.49
Bid-YTW : 4.23 %
PWF.PR.P FixedReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 12.53
Evaluated at bid price : 12.53
Bid-YTW : 4.67 %
TRP.PR.G FixedReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.87 %
BNS.PR.F FloatingReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.77
Bid-YTW : 8.19 %
GWO.PR.M Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-31
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 5.65 %
BAM.PF.E FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 4.81 %
SLF.PR.I FixedReset -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.15
Bid-YTW : 7.89 %
RY.PR.M FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 4.36 %
RY.PR.H FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.28 %
BAM.PR.E Ratchet 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 25.00
Evaluated at bid price : 13.26
Bid-YTW : 6.20 %
NA.PR.S FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 4.50 %
BMO.PR.T FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 4.28 %
MFC.PR.N FixedReset 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 7.61 %
MFC.PR.M FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.49 %
FTS.PR.H FixedReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 4.46 %
BNS.PR.D FloatingReset 2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.78
Bid-YTW : 7.74 %
PWF.PR.A Floater 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.24 %
TRP.PR.A FixedReset 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.51 %
CIU.PR.C FixedReset 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.63 %
TRP.PR.H FloatingReset 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 9.60
Evaluated at bid price : 9.60
Bid-YTW : 4.48 %
BAM.PR.K Floater 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.71 %
BAM.PR.B Floater 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 10.09
Evaluated at bid price : 10.09
Bid-YTW : 4.69 %
BAM.PF.A FixedReset 3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.93 %
BAM.PR.C Floater 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 9.99
Evaluated at bid price : 9.99
Bid-YTW : 4.74 %
TRP.PR.I FloatingReset 12.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.29 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 162,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.80 %
BNS.PR.Z FixedReset 145,598 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.16 %
MFC.PR.L FixedReset 110,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.65
Bid-YTW : 8.07 %
TD.PF.G FixedReset 68,810 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.94 %
RY.PR.Q FixedReset 67,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 4.89 %
RY.PR.J FixedReset 59,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 4.43 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Quote: 19.11 – 20.00
Spot Rate : 0.8900
Average : 0.6569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.31 %

ALB.PR.C SplitShare Quote: 25.91 – 26.44
Spot Rate : 0.5300
Average : 0.3110

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 25.91
Bid-YTW : 4.12 %

BMO.PR.R FloatingReset Quote: 21.65 – 22.30
Spot Rate : 0.6500
Average : 0.4322

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 4.73 %

BAM.PR.E Ratchet Quote: 13.26 – 14.40
Spot Rate : 1.1400
Average : 0.9285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 25.00
Evaluated at bid price : 13.26
Bid-YTW : 6.20 %

TD.PF.E FixedReset Quote: 20.40 – 21.12
Spot Rate : 0.7200
Average : 0.5244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.48 %

PWF.PR.P FixedReset Quote: 12.53 – 12.95
Spot Rate : 0.4200
Average : 0.2799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-29
Maturity Price : 12.53
Evaluated at bid price : 12.53
Bid-YTW : 4.67 %

March 28, 2016

Monday, March 28th, 2016

Another bare-bones report, I’m afraid! Geez, I hate the first quarter of the year!

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 5.14 % 6.27 % 10,200 16.30 1 0.3817 % 1,522.8
FixedFloater 6.96 % 6.12 % 24,021 16.16 1 0.7380 % 2,856.6
Floater 4.71 % 4.84 % 62,553 15.79 4 1.3629 % 1,644.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1802 % 2,774.2
SplitShare 4.80 % 5.87 % 79,195 1.62 7 0.1802 % 3,246.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1802 % 2,532.9
Perpetual-Premium 5.78 % -2.99 % 85,052 0.08 6 0.0263 % 2,559.1
Perpetual-Discount 5.61 % 5.63 % 94,578 14.39 33 0.2186 % 2,586.9
FixedReset 5.30 % 4.75 % 180,939 14.11 87 0.9345 % 1,926.2
Deemed-Retractible 5.21 % 5.45 % 126,107 5.08 34 0.7006 % 2,612.1
FloatingReset 3.05 % 4.95 % 37,253 5.40 16 0.2605 % 2,010.9
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.33 %
BNS.PR.C FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.33
Bid-YTW : 5.37 %
BNS.PR.Q FixedReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.22
Bid-YTW : 4.45 %
SLF.PR.B Deemed-Retractible 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.18
Bid-YTW : 6.53 %
SLF.PR.A Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.04
Bid-YTW : 6.57 %
SLF.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 7.24 %
BAM.PR.K Floater 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 9.75
Evaluated at bid price : 9.75
Bid-YTW : 4.85 %
W.PR.K FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 23.26
Evaluated at bid price : 25.26
Bid-YTW : 5.22 %
RY.PR.A Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.43
Bid-YTW : 5.01 %
BIP.PR.B FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 22.91
Evaluated at bid price : 24.28
Bid-YTW : 5.62 %
MFC.PR.F FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.95
Bid-YTW : 10.74 %
PVS.PR.D SplitShare 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 6.28 %
BNS.PR.Z FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.06
Bid-YTW : 7.07 %
NA.PR.W FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.66 %
BAM.PR.B Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 9.78
Evaluated at bid price : 9.78
Bid-YTW : 4.84 %
VNR.PR.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.23 %
NA.PR.S FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.57 %
GWO.PR.M Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-31
Maturity Price : 25.25
Evaluated at bid price : 25.60
Bid-YTW : 5.00 %
HSB.PR.C Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.45 %
MFC.PR.H FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.70 %
BMO.PR.S FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.33 %
GWO.PR.G Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.12 %
IFC.PR.C FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.52
Bid-YTW : 8.26 %
BNS.PR.Y FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.04
Bid-YTW : 6.88 %
SLF.PR.D Deemed-Retractible 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 7.28 %
BNS.PR.F FloatingReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 7.82 %
TD.PF.C FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.23 %
RY.PR.Z FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.23 %
BAM.PR.R FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.96 %
TRP.PR.A FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.62 %
RY.PR.K FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 4.61 %
MFC.PR.N FixedReset 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.11
Bid-YTW : 7.84 %
IAG.PR.G FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 7.35 %
MFC.PR.J FixedReset 1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.22
Bid-YTW : 7.85 %
SLF.PR.H FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.05
Bid-YTW : 8.87 %
RY.PR.I FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 4.14 %
BAM.PF.F FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.93 %
BAM.PR.X FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 4.65 %
PWF.PR.P FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 12.76
Evaluated at bid price : 12.76
Bid-YTW : 4.58 %
FTS.PR.M FixedReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.72 %
BAM.PF.G FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.89 %
TRP.PR.D FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 4.60 %
MFC.PR.M FixedReset 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.34
Bid-YTW : 7.73 %
BMO.PR.Q FixedReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.56 %
IFC.PR.A FixedReset 1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 10.01 %
SLF.PR.I FixedReset 1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.73 %
BAM.PF.B FixedReset 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 4.90 %
TRP.PR.F FloatingReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 4.67 %
GWO.PR.N FixedReset 2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.58
Bid-YTW : 10.05 %
TD.PR.Y FixedReset 2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.93
Bid-YTW : 3.88 %
TRP.PR.G FixedReset 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.79 %
RY.PR.J FixedReset 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 4.41 %
BAM.PF.E FixedReset 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.75 %
PWF.PR.A Floater 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.34 %
CIU.PR.C FixedReset 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 4.75 %
BMO.PR.Y FixedReset 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.34 %
HSE.PR.A FixedReset 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 5.81 %
TRP.PR.B FixedReset 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 11.18
Evaluated at bid price : 11.18
Bid-YTW : 4.54 %
BNS.PR.L Deemed-Retractible 2.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-04-27
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 1.50 %
TD.PF.D FixedReset 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 4.47 %
BNS.PR.M Deemed-Retractible 2.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-27
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.65 %
BAM.PR.Z FixedReset 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.99 %
GWO.PR.O FloatingReset 3.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.02
Bid-YTW : 11.12 %
HSE.PR.G FixedReset 4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.71 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 152,079 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.91 %
BNS.PR.Z FixedReset 61,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.06
Bid-YTW : 7.07 %
MFC.PR.O FixedReset 54,601 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 5.08 %
W.PR.J Perpetual-Discount 43,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 23.23
Evaluated at bid price : 23.53
Bid-YTW : 6.07 %
TD.PF.G FixedReset 37,396 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.70 %
BNS.PR.G FixedReset 34,357 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.93 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 11.11 – 15.35
Spot Rate : 4.2400
Average : 3.4515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 4.65 %

GWO.PR.O FloatingReset Quote: 12.02 – 14.25
Spot Rate : 2.2300
Average : 1.6327

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.02
Bid-YTW : 11.12 %

TRP.PR.E FixedReset Quote: 18.35 – 19.50
Spot Rate : 1.1500
Average : 0.7176

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.55 %

TRP.PR.A FixedReset Quote: 14.95 – 15.85
Spot Rate : 0.9000
Average : 0.5412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.62 %

BAM.PR.E Ratchet Quote: 13.15 – 14.20
Spot Rate : 1.0500
Average : 0.6967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 25.00
Evaluated at bid price : 13.15
Bid-YTW : 6.27 %

RY.PR.M FixedReset Quote: 19.43 – 20.20
Spot Rate : 0.7700
Average : 0.5109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-28
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.41 %

FN.PR.A / FN.PR.B : 28% Conversion to FloatingReset

Monday, March 28th, 2016

First National Financial Corporation has announced:

that 1,112,853 of its 4,000,000 issued and outstanding cumulative 5-year rate reset Class A Preference Shares, Series 1 (“Series 1 Preference Shares”) were tendered for conversion, on a one-for-one basis, into cumulative floating rate Class A Preference Shares, Series 2 (“Series 2 Preference Shares”). Effective April 1, 2016, the Company will have 2,887,147 Series 1 Preference Shares and 1,112,853 Series 2 Preference Shares outstanding and issued. The Series 1 Preference Shares will continue to be listed on the Toronto Stock Exchange (“TSX”) under the symbol FN.PR.A. The Series 2 Preference Shares will be listed on the TSX under the symbol FN.PR.B.

Assiduous Readers will remember that FN.PR.A will reset to 2.79%, while the FloatingReset issue, FN.PR.B, will pay 3-Month T-Bills + 207bp, reset quarterly. I recommended against conversion.

The not-so-pleasant choices faced by RONA’s preferred shareholders [RON.PR.A]

Monday, March 28th, 2016

Barry Critchley was kind enough to quote me in his piece titled The not-so-pleasant choices faced by RONA’s preferred shareholders. First he gives some space to an argument I don’t understand:

According to some holders, agreeing to that low price would set a bad precedent given that there are a slew of rate-reset prefs which are trading at a substantial discount to their purchase price. If one issuer gets away with such a deal, others will follow suit.

Accordingly, it is not in the interests of pref share holders, who put up $25 when the issue came to market in the expectation they would get $25 of value when the time rolled around for the rates to be reset, to encourage such behaviour. So Lowe’s bid $20 – which represented a premium to the recent trading price but a total acquisition savings of $34.5 million – knowing that if it’s rejected it will be required to remain a reporting issuer.

I don’t get it. It’s a vote. You can vote yes or you can vote no. One likes to imagine that good proposals will succeed and bad proposals will fail. The above argument is equivalent to saying that you have to vote Conservative in the Federal election, because if you vote Liberal this time you’ll have to vote Liberal every time. It makes no sense.

But after that, it’s my turn:

James Hymas, of Hymas Investment Management, has a different take, arguing RONA pref shareholders could tender and redeploy the proceeds in other rate reset prefs that generate about the same cash flow.

Hymas, who does not own RONA preferreds either personally or through the funds he manages, argues that if the $20 a share offer is turned down, the price of the RONA prefs will fall below $20. In other words: make the trade.

For more detail regarding my views, see RON.PR.A Vote: Yes or No?.

Mr. Critchley also commented on the Stirling Funds joke:

Numerous attempts have been made to reach Stirling and its Swedish-based advisor ÖstVäst Advisory to find out its next steps. The first call elicited the response that it had received numerous responses from holders. Since then nothing.

He also pointed out one little nugget of information:

But there may be another twist given that as of the end of 2015, Fidelity Investments owned more than 10 per cent of the issue — more than three times what it owned at the end of the first quarter of 2015. We couldn’t reach Fidelity for a comment.

Well done Fidelity! That’s a trade that has worked out very nicely indeed!

RON.PR.A / RON.PR.B : 32% Conversion To FloatingReset

Monday, March 28th, 2016

RONA Inc. has announced:

that holders of its Cumulative 5-Year Rate Reset Series 6 Class A Preferred Shares of RONA (the “Series 6 Shares”) have elected to convert 2,222,137 of the 6,900,000 Series 6 Shares currently outstanding, on a one-for-one basis, into Cumulative Floating Rate Series 7 Class A Preferred Shares of RONA (the “Series 7 Shares”) on March 31, 2016. Consequently, on March 31, 2016, RONA will have 4,677,863 Series 6 Shares and 2,222,137 Series 7 Shares issued and outstanding. The Series 6 Shares will continue to be listed and the Series 7 Shares will be listed and start trading at market open on March 31, 2016 on the Toronto Stock Exchange under the symbols RON.PR.A and RON.PR.B, respectively.

As previously announced, on February 3, 2016, RONA entered into an arrangement agreement (the “Arrangement Agreement”) under which a subsidiary of Lowe’s Companies, Inc. (“Lowe’s”) has agreed to acquire all of the issued and outstanding common shares of RONA at a price of $24.00 per share in cash by way of a statutory plan of arrangement (the “Arrangement”). Under the terms of the Arrangement Agreement, a subsidiary of Lowe’s has also agreed to acquire all of the outstanding Series 6 Shares and any then outstanding Series 7 Shares for $20.00 per share in cash (plus any accrued but unpaid dividends thereon up to, but excluding, the date of the closing of the Arrangement), which represents a premium of approximately 59% to the closing price of the Series 6 Shares on the TSX on February 2, 2016, the day prior to the announcement of the Arrangement. RONA’s board of directors has unanimously approved the Arrangement Agreement and unanimously recommends that the holders of RONA’ common shares, Series 6 Shares and Series 7 Shares vote FOR the Arrangement at the special meeting to be held on March 31, 2016 concerning the Arrangement (the “Meeting”).

Completion of the Arrangement is conditional upon approval of at least 66⅔% of the votes cast by the common shareholders at the Meeting and satisfaction of other customary conditions. Preferred shareholders will vote on the Arrangement as a separate class of securities and their participation in the Arrangement will require the approval of 66⅔% of the votes cast by holders of preferred shares represented in person or by proxy at the Meeting. However, completion of the Arrangement is not conditional on approval by the preferred shareholders and, if the requisite approval of the preferred shareholders is not obtained, the Series 6 Shares and Series 7 Shares will be excluded from the Arrangement and will remain outstanding in accordance with their terms. It is expected that the Arrangement will be completed in the second half of 2016.

A copy of the Arrangement Agreement, the information circular and related documents have been filed with Canadian securities regulators and are available on RONA’s profile at www.sedar.com.

Assiduous Readers will remember that RON.PR.A will reset to 3.324%, while the FloatingReset issue, RON.PR.B, will pay 3-Month T-Bills + 265bp, reset quarterly. I recommended against conversion.

It will also be remembered that RON.PR.A is the subject of a Plan of Arrangement that is part of the proposed acquisition of RONA by Lowe’s Companies. This has been discussed several times on PrefBlog:

If the acquisition of RON.PR.A by Lowe’s under the plan of arrangement succeeds, then the conversion will become moot.

BCE.PR.G / BCE.PR.H Conversion Letters Sent

Monday, March 28th, 2016

BCE Inc. has mailed its Notice to Holders of BCE Inc. Series AG Preferred Shares:

Beginning on March 17, 2016 and ending on April 21, 2016, holders of Series AG Preferred Shares will have the right to choose one of the following options with regards to their shares:
1. To retain any or all of their Series AG Preferred Shares and continue to receive a fixed quarterly dividend; or
2. To convert, on a one-for-one basis, any or all of their Series AG Preferred Shares into BCE Inc. Cumulative Redeemable First Preferred Shares, Series AH (the “Series AH Preferred Shares”) and receive a floating monthly dividend.

Effective May 1, 2016, the fixed dividend rate for the Series AG Preferred Shares will be set for a five-year period as explained in more detail in paragraph 5 of the attached Notice of Conversion Privilege.

As of May 1, 2016, the Series AG Preferred Shares, should they remain outstanding, will pay, on a quarterly basis, as and when declared by the Board of Directors of BCE Inc., a fixed cash dividend for the following five years that will be determined by BCE Inc. on April 6, 2016 but which shall not be less than 80% of the five-year Government of Canada Yield (as defined in BCE Inc.’s articles) compounded semi-annually and computed on April 6, 2016 by two investment dealers appointed by BCE Inc. The annual dividend rate applicable to the Series AG Preferred Shares will be published on April 8, 2016 in the national edition of The Globe and Mail, the Montreal Gazette and Le Devoir and will be posted on BCE Inc.’s website at www.bce.ca.

A similar notice has been sent to the Holders of BCE Inc. Series AH Preferred Shares.

The new dividend rate for BCE.PR.G is not yet known, but I will pass on the information when it becomes available. The observed relationship of reset rates to market rates has been discussed in comments fairly recently.

BCE.PR.G currently pays 4.50% after having been reset in 2011. At that time, holders overwhelmingly preferred BCE.PR.G the FixedFloater, over BCE.PR.H, the Ratchet Rate preferred. As these issues are interconvertible every five years, they comprise a Strong Pair.

BNS.PR.L To Be Redeemed

Monday, March 28th, 2016

The Bank of Nova Scotia has announced:

that it intends to exercise its right to redeem all outstanding Non-cumulative Preferred Shares Series 14 of Scotiabank (the “Series 14 Shares”) on April 27, 2016, 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 February 29, 2016, the Board of Directors of Scotiabank approved a quarterly dividend of $0.28125 per Series 14 Share. This will be the final dividend on the Series 14 Shares and will be paid in the usual manner on April 27, 2016, to shareholders of record at the close of business on April 5, 2016, as previously announced. After April 27, 2016, the Series 14 Shares will cease to be entitled to dividends.

BNS.PR.L is a Straight Perpetual, 4.50%, that commenced trading 2007-1-24 after being announced 2007-1-8. It has been tracked by HIMIPref™ throughout its existence; since the announcement of the NVCC Rules it has been assigned to the DeemedRetractibles subindex.

RON.PR.A Vote: Yes or No?

Friday, March 25th, 2016

Assiduous Readers will remember that my post regarding the proposed RON.PR.A arrangement sparked a fair amount of comment – by PrefBlog standards – with several commenters expressing horror at the idea of a preferred share being taken out below par and heaping me with opprobrium for suggesting it was a pretty good deal for holders.

I based that opinion on a comparison with similar issues and reiterated that opinion when the grumblers got an ally.I’ll take the opportunity to update prices for that list one last time:

Ticker Issue
Reset
Spread
Bid
2016-2-3
Bid
2016-3-8
Bid
2016-3-24
MFC.PR.J +261 17.89 17.00 17.95
RY.PR.M 262 18.45 17.70 19.25
TD.PF.D 279 19.00 18.85 19.45
SLF.PR.I 273 17.45 17.10 18.00
BAM.PF.B 263 16.46 16.88 17.47
BMO.PR.Y 271 19.35 18.56 19.90

So the preferred share market has made a valiant effort to muddy the waters since the February 3 announcement date, but on the whole I’d say it has still come short.

Of the six comparators – chosen for having a ‘similar’ credit quality as will the issue when it’s part of Lowe’s and for having similar Issue Reset Spreads – three are trading in excess of $19.00. If they were all like that, I’d probably just throw up my hands and tell you to flip a coin. But if we look at these issues with a (tiny) bit more care, we see that the issues trading north of $19.00 are all banks, which continue to exhibit a decent funding advantage over non-banks in the Canadian preferred share market (this is discussed in PrefLetter). The three non-banks are trading at or below $18.00 and I suggest they are more indicative of where RON.PR.A might be expected to trade assuming that the common is acquired and the preferred isn’t. I will say additionally that adjustment to the new price might happen very swiftly if the Plan is rejected, since disappointed arbitrageurs will be dumping the stock, which will suddenly reset to a markedly lower dividend at the same time.

As noted in the March 9 update to the post about the grumblers’ ally, there were rumours that:

This week, and possibly as early as Thursday, more information is expected to be released about the extent of the opposition to the terms offered to the pref shareholders. “We have had lots of emails and calls from retail investors about the situation and we will be responding,” said an adviser with knowledge of what’s being planned.

All I can say is: I ain’t seen nuthin’ ’bout this t’ing.

What I have seen is some support from the regulatory parasites:

RONA inc. (TSX: RON, RON.PR.A) (“RONA” or the “Corporation”) is pleased to announce that leading advisory firm Glass, Lewis & Co., LLC (“Glass Lewis”) has recommended that common and preferred shareholders of RONA vote in favour of the previously announced statutory arrangement (the “Arrangement”) involving RONA and Lowe’s Companies, Inc. at the special meeting of common and preferred shareholders to be held on March 31, 2016 (the “Meeting”). The other leading advisory firm Institutional Shareholder Services Inc. (“ISS”) has also recommended that common shareholders of RONA vote in favour of the Arrangement at the Meeting. Per its policy, ISS does not make recommendations to preferred shareholders.

Under the statutory arrangement, holders of common shares of RONA will receive $24.00 in cash per share, representing a premium of 104% to the closing price of the common shares on the Toronto Stock Exchange (the “TSX”) on February 2, 2016, the day prior to the announcement of the Arrangement. Holders of preferred shares of RONA will receive $20.00 in cash per share, representing a premium of 59% to the closing price of the preferred shares on the TSX on February 2, 2016.

Glass Lewis has recommended that RONA common and preferred shareholders vote FOR the Arrangement, which allows common and preferred shareholders to cash out their investment and immediately realize an assured value at a substantial premium. In addition, Glass Lewis considers the price for preferred shares to be fair and attractive to preferred shareholders considering, among other factors, the limited liquidity of the preferred shares.

ISS has recommended that RONA common shareholders vote FOR the Arrangement for a number of reasons, including the substantial cash premium and the fact that RONA’s largest shareholder, Caisse de dépôt et placement du Québec, supports the Arrangement.

RONA shareholders are encouraged to read the Corporation’s management proxy circular with respect to the Arrangement which is available on SEDAR at www.sedar.com. The circular contains a detailed description of the Arrangement. RONA’s Board unanimously recommends that all RONA common and preferred shareholders vote FOR the Arrangement to be considered at the Meeting.

RONA shareholders are reminded to vote before the proxy cut-off time at 10:30 a.m. (Montreal Time) on Tuesday, March 29, 2016.

I’m not inclined to put too much weight on the Glass, Lewis recommendation. The quoted rationale is just a touch on the skimpy side and I have no intention of paying an extortionate price for the full report. I would not give Glass Lewis or ISS benefit of any doubt, either, because their business model is a joke. The only reason proxy advisory firms exist is because regulators insist that investment funds vote their shares with lots of written rationale. Ain’t nobody got time for that. Significant votes, such as acquisitions, or an attempted coup d’état by a respected activist firm, will be examined closely by Portfolio Managers, but most votes have historically been determined by the Wall Street Rule: If you like the company, vote with management. If you don’t like the company, sell the stock. End of story. But that’s not allowed any more, so the firms will happily pay the proxy advisory firms a bit of money to generate the required weight of paperwork for them, which will free up some time for application of more useful and sophisticated portfolio management techniques such as having lunch with clients.

So who cares, really, what Glass Lewis thinks? It simply doesn’t matter.

The only other thing I’ve seen is a post on the unsigned blog “Canadian Value Investing” titled Rona Merger Arbitrage: Heads I Win, Tails I Don’t Lose Much. Actually, the blog isn’t quite as unsigned as appears to be intended, because GoDaddy provides the following information:

Registrant Name: Nelson Smith
Registrant Organization:
Registrant Street: 414 14th Street East
Registrant City: Drumheller
Registrant State/Province: Alberta
Registrant Postal Code: T0J 0Y5
Registrant Country: CA
Registrant Phone: +1.4033345555
Registrant Phone Ext:
Registrant Fax:
Registrant Fax Ext:
Registrant Email: nsmith1983@gmail.com

It might be that Mr. Smith, if he exists at all, is merely an intermediary, but I suppose those in dire need of entertainment could follow up the clue. There is a Nelson Smith from Drumheller on LinkedIn with a consistent biography, for what that’s worth.

Anyway, the blog post suggests:

There are a number of reasons why people suspect a higher bid for the preferred shares are coming. Rona’s investor relations department is reportedly swamped with emails and phone calls from pissed off retail investors making a big stink about the whole situation.

According to at least two different articles I’ve read, insiders with a close knowledge of the situation say the two companies are working on some sort of alternative plan to make things right with the preferred shareholders.

I haven’t seen those articles – unless you count the Grumblers’ Ally and the Critchley column referenced therein – and Canadian Value Investing did not see fit to link them. Anyway, these mysterious stories are used to justify the investment thesis:

Say the deal closes on April 30th. Investors who buy today at $20.25 would get approximately $0.28 in dividends between now and the closing date, which pushes their cost down to $19.97 per share. If shareholders agree to the $20, you get your money back.

But if a higher offer comes, there’s potential for a maximum of 25% upside. Even a 10% upside would be spectacular over a period of a few weeks. You could then hold until the transaction date, saving yourself the commission on selling. That’s not much these days, but hey, every few bucks helps.

The market is clearly pricing in a higher offer coming for the preferreds, or else they’d be trading at a slight discount like the common shares. I’ll gladly take a shot at a 25% upside with very little risk to the downside. Worse case scenario I can see is I just get my money back.

There’s one rather important scenario missing from the list: No change to preferred plan, common is acquired, preferred isn’t, preferred trades like its comparables, which I suggest is something like 10% below $20. I suggest this scenario is the main alternative to an acquisition at $20, but hey … it takes two to make a market!

It should also be noted that there is a small, but finite chance that the common shareholders will reject the deal they are offered – in which case the credit quality of RON.PR.A returns to its prior state of ‘horrible’ and the trading price can be generously predicted to return to the low teens.

I don’t understand the rationale that might support a higher offer. The post suggests it is because of “emails and phone calls from pissed off retail investors making a big stink about the whole situation.” Now, in this day and age of governance by Internet meme it may well be that the Public Relations department is perturbed. But from a hard-headed point of view, who cares? RON.PR.A represents cheap financing, it is unlikely that Lowe’s will be issuing equity of any kind in Canada in the future, and the $34.5-million additional cost to acquire at par isn’t chump change.

I’ve been wrong before and I’ll be wrong again, but in this case I suggest that the rational course of action is to vote in favour of the Preferred Share Resolution. Be quick though, voting closes very soon! The safest course of action is, however, to sell on the market – the price is very close to $20 and such a sale would eliminate the potential for nasty consequences should either the common or preferred shareholders vote against their respective resolutions.

March 24, 2016

Friday, March 25th, 2016

It’s nice to see University of Toronto as a major partner in a new advance in energy storage:

Now, a group of researchers led by Professor Ted Sargent at the University of Toronto’s Faculty of Applied Science & Engineering may have a solution inspired by nature.

The team has designed the most efficient catalyst for storing energy in chemical form, by splitting water into hydrogen and oxygen, just like plants do during photosynthesis. Oxygen is released harmlessly into the atmosphere, and hydrogen, as H2, can be converted back into energy using hydrogen fuel cells.

You may have seen the popular high-school science demonstration where the teacher splits water into its component elements, hydrogen and oxygen, by running electricity through it. Today this requires so much electrical input that it’s impractical to store energy this way — too great proportion of the energy generated is lost in the process of storing it.

This new catalyst facilitates the oxygen-evolution portion of the chemical reaction, making the conversion from H2O into O2 and H2 more energy-efficient than ever before. The intrinsic efficiency of the new catalyst material is over three times more efficient than the best state-of-the-art catalyst.

The new catalyst is made of abundant and low-cost metals tungsten, iron and cobalt, which are much less expensive than state-of-the-art catalysts based on precious metals. It showed no signs of degradation over more than 500 hours of continuous activity, unlike other efficient but short-lived catalysts. Their work was published online today in the leading journal Science.

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 5.16 % 6.29 % 10,625 16.29 1 0.6918 % 1,517.0
FixedFloater 7.01 % 6.16 % 24,356 16.11 1 0.3704 % 2,835.7
Floater 4.77 % 4.89 % 62,497 15.70 4 -1.1970 % 1,622.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1521 % 2,769.2
SplitShare 4.81 % 5.71 % 77,711 1.63 7 0.1521 % 3,240.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1521 % 2,528.3
Perpetual-Premium 5.78 % -3.28 % 84,945 0.08 6 0.0790 % 2,558.5
Perpetual-Discount 5.62 % 5.64 % 95,385 14.41 33 -0.0418 % 2,581.2
FixedReset 5.35 % 4.91 % 185,765 13.82 87 0.1432 % 1,908.4
Deemed-Retractible 5.25 % 5.61 % 128,044 5.09 34 -0.2935 % 2,593.9
FloatingReset 3.07 % 4.93 % 37,752 5.41 16 0.1210 % 2,005.7
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.44 %
BAM.PR.R FixedReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 15.04
Evaluated at bid price : 15.04
Bid-YTW : 5.06 %
TD.PR.Y FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.43
Bid-YTW : 4.28 %
IFC.PR.C FixedReset -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.45 %
TD.PF.A FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 4.34 %
HSB.PR.C Deemed-Retractible -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.31
Bid-YTW : 5.67 %
BAM.PR.T FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 4.99 %
CM.PR.P FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 4.35 %
GWO.PR.G Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 6.29 %
SLF.PR.D Deemed-Retractible -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.24
Bid-YTW : 7.45 %
HSE.PR.C FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.06 %
SLF.PR.B Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 6.66 %
BAM.PR.K Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 9.65
Evaluated at bid price : 9.65
Bid-YTW : 4.90 %
BAM.PR.B Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 9.67
Evaluated at bid price : 9.67
Bid-YTW : 4.89 %
PWF.PR.Q FloatingReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 4.67 %
BMO.PR.T FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 4.35 %
TRP.PR.A FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.71 %
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 : 18.92
Bid-YTW : 7.60 %
SLF.PR.J FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.30
Bid-YTW : 10.98 %
MFC.PR.F FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.81
Bid-YTW : 10.90 %
FTS.PR.H FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.53 %
CM.PR.Q FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.61 %
BAM.PF.G FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.00 %
MFC.PR.M FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 7.99 %
MFC.PR.L FixedReset 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.62
Bid-YTW : 8.09 %
CIU.PR.C FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 10.71
Evaluated at bid price : 10.71
Bid-YTW : 4.91 %
TRP.PR.C FixedReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 11.96
Evaluated at bid price : 11.96
Bid-YTW : 4.80 %
FTS.PR.M FixedReset 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.82 %
BMO.PR.Y FixedReset 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.46 %
PWF.PR.T FixedReset 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.28 %
RY.PR.J FixedReset 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.52 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 177,897 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 4.92 %
RY.PR.Q FixedReset 169,826 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 5.08 %
BMO.PR.L Deemed-Retractible 90,419 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-25
Maturity Price : 25.25
Evaluated at bid price : 25.84
Bid-YTW : -5.26 %
CU.PR.I FixedReset 78,520 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.21 %
RY.PR.Z FixedReset 73,779 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.31 %
BAM.PR.M Perpetual-Discount 65,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.00 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 11.11 – 15.35
Spot Rate : 4.2400
Average : 2.5870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 4.67 %

GWO.PR.O FloatingReset Quote: 11.65 – 12.95
Spot Rate : 1.3000
Average : 0.9778

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.65
Bid-YTW : 11.54 %

PWF.PR.A Floater Quote: 10.75 – 11.38
Spot Rate : 0.6300
Average : 0.3957

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.44 %

RY.PR.K FloatingReset Quote: 21.85 – 22.46
Spot Rate : 0.6100
Average : 0.3950

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 4.86 %

BNS.PR.D FloatingReset Quote: 17.42 – 18.12
Spot Rate : 0.7000
Average : 0.5054

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.42
Bid-YTW : 8.06 %

TD.PR.Y FixedReset Quote: 23.43 – 24.00
Spot Rate : 0.5700
Average : 0.3980

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.43
Bid-YTW : 4.28 %