Archive for November, 2016

November 29, 2016

Tuesday, November 29th, 2016

Here’s a minor milestone for US house prices:

U.S. home prices have climbed back above the record reached more than a decade ago, bringing to a close the worst period for the housing market since the Great Depression and stoking optimism for a more sustainable expansion.

The average home price for September was 0.1% above the July 2006 peak, according to the S&P CoreLogic Case-Shiller U.S. National Home Price index released Tuesday. As of the previous month’s reading of the Case-Shiller index, a widely used benchmark for U.S. housing, prices remained 0.1% below the July 2006 record.

Adjusted for inflation, the index still is about 16% below the 2006 high. Home prices jumped 5.5% over the past year.

Europe has some new refinements to the regulation of banks, including:

The new provision would create a new asset class of “non-preferred” senior debt that can be bailed in in resolution, after other capital instruments, but before other senior liabilities

Well, I suppose I sympathize with them, up to a point, for not wanting to officially call it “bail-in debt”, but “non-preferred senior debt” is not really all that good a name!

DBRS comments:

One version of this instrument is already in the final stages of legislation in France (see “DBRS: Rating the New French Senior Non-preferred Debt Instruments,” published on November 22, 2016). By introducing this instrument across Europe, the EC’s intention is to try to introduce greater harmonisation in the creditor hierarchy in Europe at a time when the regimes of different countries are diverging (e.g. the German subordination of existing traded senior debt which will be in place from January 2017).

In its recent commentary DBRS has already clarified that it intends to rate the French non-preferred senior debt instrument one notch below the bank’s Intrinsic Assessment (IA), based on the DBRS Criteria: Rating Bank Capital Securities – Subordinated, Hybrid, Preferred & Contingent Capital Securities. At the same time, DBRS currently rates existing subordinated debt at European banks generally at one notch below the IA for dated subordinated debt and cumulative junior subordinated debt, but two notches below the IA for non-cumulative junior subordinated debt. However, given the increasing likelihood that all subordinated debt will be used to absorb losses alongside equity as the implementation of BRRD (Bank Recovery and Resolution Directive) evolves, DBRS expects to see negative rating pressure on the subordinated debt that is currently rated only 1 notch below the IA, and which is at the same level as potential future issuance of nonpreferred senior debt. One possible outcome of DBRS’s deliberations is that these instruments would be downgraded to the same level as existing non-cumulative junior debt (i.e. 2 notches below the IA).

These developments are currently restricted to Europe. DBRS does not see similar rating pressure on rated subordinated in the US, Canada or Asia, given the different regulatory regimes in these countries.

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 -0.3617 % 1,748.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3617 % 3,193.9
Floater 4.29 % 4.45 % 47,706 16.44 4 -0.3617 % 1,840.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1128 % 2,920.9
SplitShare 4.84 % 4.45 % 50,991 4.34 6 0.1128 % 3,488.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1128 % 2,721.6
Perpetual-Premium 5.44 % 5.09 % 81,987 14.46 23 0.1434 % 2,656.9
Perpetual-Discount 5.39 % 5.40 % 94,098 14.79 15 0.0953 % 2,777.6
FixedReset 4.89 % 4.63 % 208,165 6.84 96 0.1761 % 2,090.7
Deemed-Retractible 5.15 % 5.52 % 137,381 6.42 32 -0.0986 % 2,753.5
FloatingReset 2.89 % 3.89 % 43,225 4.85 12 -0.1616 % 2,301.6
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.57
Bid-YTW : 10.32 %
BAM.PF.E FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 4.75 %
MFC.PR.M FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.80 %
SLF.PR.G FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 9.95 %
TRP.PR.B FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 4.53 %
FTS.PR.K FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 4.52 %
BAM.PF.B FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 5.04 %
MFC.PR.F FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.50
Bid-YTW : 10.91 %
BAM.PR.X FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 14.99
Evaluated at bid price : 14.99
Bid-YTW : 4.80 %
GWO.PR.N FixedReset 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.72
Bid-YTW : 10.74 %
FTS.PR.G FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.49 %
BAM.PR.T FixedReset 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 512,356 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 23.10
Evaluated at bid price : 24.90
Bid-YTW : 4.85 %
MFC.PR.R FixedReset 199,165 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.90 %
BAM.PR.B Floater 125,018 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 4.45 %
RY.PR.L FixedReset 97,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.81 %
TD.PF.H FixedReset 96,341 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.63 %
TRP.PR.J FixedReset 94,741 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.57 %
There were 62 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.G FixedReset Quote: 19.81 – 20.15
Spot Rate : 0.3400
Average : 0.2214

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.81
Bid-YTW : 7.23 %

BMO.PR.M FixedReset Quote: 23.81 – 24.09
Spot Rate : 0.2800
Average : 0.1749

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 3.93 %

FTS.PR.M FixedReset Quote: 19.30 – 19.60
Spot Rate : 0.3000
Average : 0.2012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.63 %

NA.PR.W FixedReset Quote: 18.14 – 18.45
Spot Rate : 0.3100
Average : 0.2116

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.64 %

BAM.PR.R FixedReset Quote: 16.70 – 17.00
Spot Rate : 0.3000
Average : 0.2067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.88 %

VNR.PR.A FixedReset Quote: 18.92 – 19.20
Spot Rate : 0.2800
Average : 0.1967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-29
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.10 %

November 28, 2016

Tuesday, November 29th, 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 0.0452 % 1,754.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0452 % 3,205.5
Floater 4.27 % 4.43 % 47,422 16.49 4 0.0452 % 1,847.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1090 % 2,917.6
SplitShare 4.84 % 4.40 % 51,006 2.01 6 0.1090 % 3,484.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1090 % 2,718.5
Perpetual-Premium 5.45 % 5.33 % 80,831 14.46 23 0.0332 % 2,653.1
Perpetual-Discount 5.40 % 5.37 % 95,655 14.80 15 0.2090 % 2,775.0
FixedReset 4.89 % 4.60 % 207,533 6.84 96 0.1017 % 2,087.1
Deemed-Retractible 5.14 % 5.52 % 137,603 6.42 32 0.2280 % 2,756.2
FloatingReset 2.88 % 3.84 % 42,302 4.85 12 0.0680 % 2,305.3
Performance Highlights
Issue Index Change Notes
GWO.PR.M Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.74 %
GWO.PR.N FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.51
Bid-YTW : 10.97 %
SLF.PR.E Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 6.73 %
SLF.PR.D Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.33
Bid-YTW : 6.79 %
SLF.PR.B Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.92
Bid-YTW : 6.08 %
MFC.PR.B Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 6.39 %
FTS.PR.M FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-28
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.60 %
MFC.PR.C Deemed-Retractible 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 6.82 %
RY.PR.M FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-28
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 4.46 %
RY.PR.J FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-28
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.52 %
SLF.PR.C Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.76 %
SLF.PR.K FloatingReset 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.70
Bid-YTW : 8.33 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.I FixedReset 452,668 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-28
Maturity Price : 23.15
Evaluated at bid price : 25.04
Bid-YTW : 4.73 %
TD.PF.H FixedReset 426,019 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.60 %
BMO.PR.B FixedReset 352,910 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.57 %
MFC.PR.R FixedReset 221,965 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.89 %
TRP.PR.K FixedReset 175,465 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-28
Maturity Price : 23.10
Evaluated at bid price : 24.92
Bid-YTW : 4.84 %
CU.PR.D Perpetual-Discount 71,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-28
Maturity Price : 22.85
Evaluated at bid price : 23.26
Bid-YTW : 5.27 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.21 – 23.90
Spot Rate : 0.6900
Average : 0.4562

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 6.30 %

MFC.PR.F FixedReset Quote: 13.33 – 13.69
Spot Rate : 0.3600
Average : 0.2571

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.33
Bid-YTW : 11.09 %

RY.PR.P Perpetual-Premium Quote: 25.31 – 25.60
Spot Rate : 0.2900
Average : 0.1896

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 5.11 %

GWO.PR.I Deemed-Retractible Quote: 21.73 – 21.98
Spot Rate : 0.2500
Average : 0.1593

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 6.76 %

CU.PR.H Perpetual-Premium Quote: 24.69 – 25.04
Spot Rate : 0.3500
Average : 0.2624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-28
Maturity Price : 24.29
Evaluated at bid price : 24.69
Bid-YTW : 5.33 %

MFC.PR.B Deemed-Retractible Quote: 22.26 – 22.52
Spot Rate : 0.2600
Average : 0.1782

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 6.39 %

November 25, 2016

Friday, November 25th, 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 0.2267 % 1,753.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2267 % 3,204.1
Floater 4.27 % 4.43 % 47,986 16.49 4 0.2267 % 1,846.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0996 % 2,914.4
SplitShare 4.84 % 4.31 % 52,796 2.02 6 0.0996 % 3,480.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0996 % 2,715.5
Perpetual-Premium 5.45 % 5.11 % 83,871 14.49 23 -0.0594 % 2,652.2
Perpetual-Discount 5.41 % 5.38 % 91,371 14.80 15 -0.1014 % 2,769.2
FixedReset 4.89 % 4.62 % 207,550 6.80 96 0.0876 % 2,084.9
Deemed-Retractible 5.14 % 5.27 % 136,277 4.60 32 0.0651 % 2,749.9
FloatingReset 2.88 % 3.83 % 43,998 4.86 12 -0.2541 % 2,303.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.46
Bid-YTW : 10.94 %
EML.PR.A FixedReset -1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 5.09 %
BNS.PR.C FloatingReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 3.83 %
BNS.PR.B FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 3.83 %
BAM.PR.R FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-25
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 4.84 %
VNR.PR.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-25
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.06 %
SLF.PR.J FloatingReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.05
Bid-YTW : 9.92 %
TRP.PR.C FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-25
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 4.62 %
IFC.PR.A FixedReset 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 9.58 %
IFC.PR.D FloatingReset 2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 6.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset 310,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-25
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 4.84 %
TD.PF.H FixedReset 233,332 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.57 %
TRP.PR.K FixedReset 222,465 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-25
Maturity Price : 23.11
Evaluated at bid price : 24.93
Bid-YTW : 4.84 %
RY.PR.Q FixedReset 212,864 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.25 %
RY.PR.J FixedReset 126,982 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-25
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.58 %
TRP.PR.J FixedReset 125,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 4.49 %
BAM.PF.I FixedReset 116,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-25
Maturity Price : 23.15
Evaluated at bid price : 25.02
Bid-YTW : 4.74 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 19.65 – 22.50
Spot Rate : 2.8500
Average : 2.5331

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 6.69 %

SLF.PR.H FixedReset Quote: 16.92 – 17.18
Spot Rate : 0.2600
Average : 0.1759

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.92
Bid-YTW : 8.65 %

SLF.PR.A Deemed-Retractible Quote: 22.87 – 23.15
Spot Rate : 0.2800
Average : 0.2064

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.87
Bid-YTW : 6.24 %

RY.PR.J FixedReset Quote: 20.30 – 20.52
Spot Rate : 0.2200
Average : 0.1520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-25
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.58 %

TRP.PR.G FixedReset Quote: 20.06 – 20.30
Spot Rate : 0.2400
Average : 0.1757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-25
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 4.90 %

EML.PR.A FixedReset Quote: 25.83 – 26.20
Spot Rate : 0.3700
Average : 0.3069

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 5.09 %

LBS.PR.A Upgraded to Pfd-3 By DBRS

Friday, November 25th, 2016

DBRS has announced that it:

has today upgraded the rating on the Preferred Shares issued by Life & Banc Split Corp. (the Company) to Pfd-3. In October 2006, the Company raised gross proceeds of $300 million by issuing 12 million Preferred Shares at $10 each and an equal number of Class A Shares at $15 each. Since then, the Company has completed several additional treasury offerings. The redemption date for both classes of shares issued is November 29, 2018. The board of directors may extend the Company’s term and the shares by successive terms of up to five years, provided that shareholders are given an optional retraction right at the end of each successive term.

Although the performance of the Portfolio has experienced some volatility over the past year, the downside protection has shown a steady recovery in the last four months. It stands at 47.7% as of November 17, 2016. The dividend coverage ratio is about 1.1 times (x).

Update, 2016-11-28: Brompton press release.

November 24, 2016

Friday, November 25th, 2016

In response to overwhelming public demand (SafetyinNumbers asked me), I present a chart of Canada Prime and the interest-equivalent yield of Floaters.

PrimeAndFloaters_161124
Click for Big

There are problems with this chart:

  • Often, Floaters have traded above their contemporary call price. When this has happened I have set the interest-equivalent yield to zero.
  • In late years, the Floater index has been dominated by BAM issues, which often trade differently from the market as a whole due to credit worries and investor concentration concerns.
  • In later years, PWF.PR.A has drifted in and out of the index, relegated intermittently to Scraps on volume concerns. As PWF.PR.A has a significantly lower yield than the BAM Floaters, this creates inconsistencies when comparing one period to another.
  • At the beginning of February, 2011, I abruptly changed the interest-equivalency factor from 1.4x to 1.3x
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 0.0680 % 1,750.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0680 % 3,196.8
Floater 4.28 % 4.45 % 47,922 16.44 4 0.0680 % 1,842.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2847 % 2,911.5
SplitShare 4.85 % 4.30 % 52,565 2.02 6 -0.2847 % 3,476.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2847 % 2,712.8
Perpetual-Premium 5.45 % 5.08 % 78,671 14.41 23 -0.2058 % 2,653.8
Perpetual-Discount 5.41 % 5.37 % 91,538 14.82 15 0.0000 % 2,772.0
FixedReset 4.90 % 4.61 % 207,126 6.81 96 0.1275 % 2,083.1
Deemed-Retractible 5.14 % 5.31 % 136,327 4.51 32 -0.1664 % 2,748.1
FloatingReset 2.87 % 3.65 % 42,493 4.87 12 0.0678 % 2,309.6
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -1.36 % 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 %
VNR.PR.A FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.12 %
PWF.PR.E Perpetual-Premium -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.63 %
PWF.PR.P FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 13.62
Evaluated at bid price : 13.62
Bid-YTW : 4.67 %
TRP.PR.C FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 4.68 %
BAM.PR.Z FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 5.21 %
MFC.PR.F FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.65
Bid-YTW : 10.73 %
TRP.PR.A FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.78 %
TRP.PR.F FloatingReset 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.11 %
TRP.PR.H FloatingReset 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 377,038 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 23.10
Evaluated at bid price : 24.91
Bid-YTW : 4.84 %
TRP.PR.G FixedReset 237,996 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 4.86 %
MFC.PR.R FixedReset 203,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.87 %
TD.PF.H FixedReset 198,328 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.51 %
TD.PF.B FixedReset 118,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.52 %
TRP.PR.E FixedReset 113,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.79 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 19.25 – 22.00
Spot Rate : 2.7500
Average : 2.1856

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 6.99 %

PWF.PR.E Perpetual-Premium Quote: 24.65 – 24.94
Spot Rate : 0.2900
Average : 0.1878

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-24
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.63 %

SLF.PR.C Deemed-Retractible Quote: 21.16 – 21.45
Spot Rate : 0.2900
Average : 0.1980

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.16
Bid-YTW : 7.10 %

TD.PR.Z FloatingReset Quote: 23.23 – 23.55
Spot Rate : 0.3200
Average : 0.2281

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.23
Bid-YTW : 3.64 %

TD.PR.S FixedReset Quote: 23.99 – 24.24
Spot Rate : 0.2500
Average : 0.1807

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.99
Bid-YTW : 3.77 %

TD.PR.Y FixedReset Quote: 24.16 – 24.39
Spot Rate : 0.2300
Average : 0.1638

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.16
Bid-YTW : 3.79 %

November 23, 2016

Thursday, November 24th, 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 0.2501 % 1,748.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2501 % 3,194.7
Floater 4.29 % 4.46 % 48,506 16.43 4 0.2501 % 1,841.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.3255 % 2,919.8
SplitShare 4.83 % 4.29 % 50,721 2.03 6 0.3255 % 3,486.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3255 % 2,720.6
Perpetual-Premium 5.44 % 5.05 % 78,553 14.41 23 -0.0732 % 2,659.3
Perpetual-Discount 5.41 % 5.39 % 92,545 14.81 15 -0.2083 % 2,772.0
FixedReset 4.90 % 4.61 % 208,315 6.81 96 0.0479 % 2,080.5
Deemed-Retractible 5.13 % 5.30 % 138,156 4.51 32 -0.1351 % 2,752.7
FloatingReset 2.87 % 3.64 % 43,821 4.87 12 0.0424 % 2,308.0
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.97
Bid-YTW : 6.57 %
FTS.PR.H FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-23
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.54 %
PWF.PR.P FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-23
Maturity Price : 13.78
Evaluated at bid price : 13.78
Bid-YTW : 4.61 %
SLF.PR.J FloatingReset 2.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.03
Bid-YTW : 9.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 394,198 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-23
Maturity Price : 23.08
Evaluated at bid price : 24.85
Bid-YTW : 4.85 %
MFC.PR.R FixedReset 276,908 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 4.91 %
BAM.PF.I FixedReset 131,310 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-23
Maturity Price : 23.14
Evaluated at bid price : 25.00
Bid-YTW : 4.74 %
TD.PR.Z FloatingReset 100,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.37
Bid-YTW : 3.52 %
CM.PR.O FixedReset 75,780 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-23
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 4.47 %
TD.PF.H FixedReset 72,021 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 4.55 %
There were 47 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.C Perpetual-Premium Quote: 25.50 – 25.77
Spot Rate : 0.2700
Average : 0.1679

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-23
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -10.55 %

W.PR.K FixedReset Quote: 25.30 – 25.90
Spot Rate : 0.6000
Average : 0.5106

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.11 %

IGM.PR.B Perpetual-Premium Quote: 25.28 – 25.70
Spot Rate : 0.4200
Average : 0.3360

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 5.55 %

BMO.PR.Y FixedReset Quote: 20.82 – 21.07
Spot Rate : 0.2500
Average : 0.1682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-23
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.48 %

CU.PR.H Perpetual-Premium Quote: 24.73 – 25.04
Spot Rate : 0.3100
Average : 0.2346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-23
Maturity Price : 24.33
Evaluated at bid price : 24.73
Bid-YTW : 5.31 %

TD.PF.G FixedReset Quote: 26.38 – 26.57
Spot Rate : 0.1900
Average : 0.1222

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 4.23 %

ENB.PF.I Firm On Excellent Volume

Thursday, November 24th, 2016

Enbridge Inc. has announced:

that it has closed its previously announced public offering of Cumulative Redeemable Minimum Rate Reset Preference Shares, Series 17 (the “Series 17 Preferred Shares”) by a syndicate of underwriters led by TD Securities Inc., CIBC Capital Markets, Scotiabank, and RBC Capital Markets. Enbridge issued 30 million Series 17 Preferred Shares for gross proceeds of $750 million. The Series 17 Preferred Shares will begin trading on the TSX today under the symbol ENB.PF.I. Proceeds are expected to be used to partially fund capital projects, to reduce existing indebtedness and for other general corporate purposes of the Company and its affiliates.

ENB.PF.I is a FixedReset 5.15%+414M515, announced November 15. It will be tracked by HIMIPref™ and has been added to the Scraps index due to credit concerns.

The issue traded 1,825,658 shares today in a range of 24.85-00 before closing at 24.95-96, 20×16. Vital statistics are:

ENB.PF.I FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-23
Maturity Price : 23.13
Evaluated at bid price : 24.95
Bid-YTW : 5.09 %

New Issue: ECN FixedReset, 6.50%+544M650

Thursday, November 24th, 2016

ECN Capital Corp. has announced:

that it has entered into an agreement with a syndicate of underwriters led by BMO Capital Markets, CIBC World Markets, National Bank Financial, RBC Capital Markets and TD Securities. The underwriters have agreed to buy 4,000,000 Cumulative 5-Year Minimum Rate Reset Preferred Shares, Series A (the “Series A Preferred Shares”) at a price of $25.00 per share for aggregate gross proceeds of $100,000,000. The proceeds are expected to be used to originate and finance, directly and indirectly, finance assets and for general corporate purposes.

ECN Capital has granted the underwriters an option to purchase at the offering price up to an additional 2,000,000 Series A Preferred Shares exercisable, in whole or in part, at any time up to 48 hours prior to closing of the offering. Should the option be fully exercised, the total gross proceeds of the Series A Preferred Share offering will be $150,000,000.
The Series A 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 installments for an initial period of five years, as and when declared by the Board of Directors of the Corporation, at a rate of $1.625 per share per annum, to yield 6.50% 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 5.44%, provided that, in any event, such sum shall not be less than 6.50%. On December 31, 2021, and on December 31 of every fifth year thereafter, the Corporation may redeem the Series A Preferred Shares in whole or in part at par.

Holders will have the right to elect to convert all or any of their Series A Preferred Shares into an equal number of Cumulative Floating Rate Preferred Shares, Series B (the “Series B Preferred Shares”) on December 31, 2021, and on December 31 of every fifth year thereafter. Holders of the Series B 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 5.44%. On December 31, 2026 and on December 31, of every fifth year thereafter (a “Series B Redemption Date”), the Corporation may redeem the Series B Preferred Shares in whole or in part at par. On any other date that is not a Series B Redemption Date after December 31, 2021, the Corporation may redeem the Series B 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 by means of a prospectus supplement to the Corporation’s base shelf prospectus. The closing date of the offering is expected to be on or about December 2, 2016.

“We see growth opportunities in the North American specialty finance market that we believe can offer very attractive returns for a non-bank participant with sector expertise and an investment-grade balance sheet,” said Steven Hudson, ECN Capital’s CEO. “The proceeds from this Offering bring these growth opportunities closer to hand by adding to the capacity, quality and depth of our current capital structure,” added Mr. Hudson.

ECN Capital was formed when Element Financial Corporation was partitioned into EFN (Element Fleet Management Corp.) and ECN. EFN was quickly upgraded to Pfd-3(high) by DBRS.

This new issue from ECN has been rated Pfd-3(low) by DBRS:

DBRS, Inc. (DBRS) has today assigned a rating of Pfd-3 (low) to the C$100 million Cumulative Five-Year Minimum Reset Preferred Shares, Series A (the Preferred Shares) issued by ECN Capital Corporation (ECN or the Company). The trend on the Preferred Shares is Stable. The proceeds from the Preferred Shares will be included in the general funds of ECN and available for general corporate purposes.

While near-term upward ratings migration is unlikely, over the medium-term, ratings could be positively impacted by a successful execution on the “asset-lite” strategy while maintaining asset quality within expectations and balance sheet leverage at current levels. Sustained earnings expansion that is supported by a more balanced mix of revenues would also be viewed positively by DBRS. A more balanced funding profile and lower asset encumbrance resulting in improved financial flexibility would be viewed favorably. Conversely, a noteworthy increase in leverage, sustained deterioration in operating performance, or indications of miss-steps in the execution of the “asset-lite” strategy evidenced by loss of key customers or operational-related charges could result in negative ratings pressure. Ratings could also be pressured by a material acquisition that DBRS views as outside of ECN’s core verticals and capabilities.

MFC.PR.R Soft On Decent Volume

Wednesday, November 23rd, 2016

Manulife Financial Corporation has announced:

that it has completed its offering of 19 million Non-cumulative Rate Reset Class 1 Shares Series 23 (the “Series 23 Preferred Shares”) at a price of $25 per share to raise gross proceeds of $475 million.

The offering was underwritten by a syndicate of investment dealers co-led by RBC Capital Markets, BMO Capital Markets and Scotiabank. The Series 23 Preferred Shares commence trading on the Toronto Stock Exchange today under the ticker symbol MFC.PR.R.

The Series 23 Preferred Shares were issued under a prospectus supplement dated November 15, 2016 to Manulife’s short form base shelf prospectus dated December 17, 2015.

MFC.PR.R is a FixedReset, 4.85%+383, announced November 14. The issue will be tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

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

The issue traded 989,738 shares today in a range of 24.68-90 before closing at 24.84-89, 5×74. Vital statistics are:

MFC.PR.R FixedReset Not Calc! YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 4.96 %

Implied Volatility analysis suggests the issue is rich relative to its peers – the theoretical price is 23.95.

impVol_MFC_161122
Click for Big

November 22, 2016

Wednesday, November 23rd, 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 0.0910 % 1,744.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0910 % 3,186.7
Floater 4.30 % 4.47 % 48,723 16.42 4 0.0910 % 1,836.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1197 % 2,910.3
SplitShare 4.85 % 4.27 % 49,154 2.03 6 0.1197 % 3,475.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1197 % 2,711.8
Perpetual-Premium 5.44 % 5.05 % 79,810 14.37 23 0.0750 % 2,661.2
Perpetual-Discount 5.39 % 5.39 % 92,001 14.82 15 -0.3115 % 2,777.8
FixedReset 4.90 % 4.63 % 209,073 6.84 96 0.2857 % 2,079.5
Deemed-Retractible 5.13 % 5.53 % 138,702 6.48 32 -0.1763 % 2,756.4
FloatingReset 2.87 % 3.59 % 40,554 4.87 12 0.0467 % 2,307.1
Performance Highlights
Issue Index Change Notes
FTS.PR.H FixedReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 4.49 %
MFC.PR.M FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.43
Bid-YTW : 8.00 %
MFC.PR.N FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.86 %
PWF.PR.S Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 5.39 %
BAM.PF.A FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.15 %
BAM.PF.E FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.87 %
BAM.PF.F FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 4.87 %
BMO.PR.S FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.40 %
HSE.PR.C FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.26 %
BAM.PR.T FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 16.29
Evaluated at bid price : 16.29
Bid-YTW : 5.19 %
BAM.PF.B FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 5.17 %
SLF.PR.H FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.73
Bid-YTW : 8.80 %
BAM.PF.G FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.81 %
HSE.PR.E FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.27 %
PVS.PR.E SplitShare 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 5.07 %
SLF.PR.G FixedReset 2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 10.07 %
HSE.PR.A FixedReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 12.48
Evaluated at bid price : 12.48
Bid-YTW : 5.36 %
HSE.PR.G FixedReset 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 21.85
Evaluated at bid price : 22.20
Bid-YTW : 5.15 %
GWO.PR.N FixedReset 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.76
Bid-YTW : 10.67 %
BAM.PR.X FixedReset 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 4.95 %
BAM.PR.R FixedReset 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 4.90 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 989,738 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 4.96 %
TRP.PR.K FixedReset 762,444 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 23.07
Evaluated at bid price : 24.81
Bid-YTW : 4.86 %
BAM.PF.I FixedReset 479,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 23.12
Evaluated at bid price : 24.94
Bid-YTW : 4.75 %
TRP.PR.D FixedReset 223,212 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 4.87 %
TD.PF.H FixedReset 143,073 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.56 %
BMO.PR.B FixedReset 140,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.60 %
TRP.PR.H FloatingReset 136,441 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-22
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 4.11 %
BAM.PF.H FixedReset 128,988 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 4.37 %
There were 62 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 19.30 – 22.50
Spot Rate : 3.2000
Average : 3.0654

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 6.95 %

IFC.PR.A FixedReset Quote: 15.81 – 16.32
Spot Rate : 0.5100
Average : 0.3818

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.81
Bid-YTW : 9.75 %

IFC.PR.C FixedReset Quote: 19.30 – 19.60
Spot Rate : 0.3000
Average : 0.1902

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 7.30 %

IGM.PR.B Perpetual-Premium Quote: 25.31 – 25.65
Spot Rate : 0.3400
Average : 0.2439

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 5.48 %

NA.PR.X FixedReset Quote: 26.27 – 26.50
Spot Rate : 0.2300
Average : 0.1456

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 4.39 %

PVS.PR.D SplitShare Quote: 24.53 – 24.86
Spot Rate : 0.3300
Average : 0.2458

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.92 %