Archive for November, 2016

MFC.PR.G To Reset At 3.891%

Wednesday, November 23rd, 2016

Manulife Financial Corporation has announced:

the applicable dividend rates for its Non-cumulative Rate Reset Class 1 Shares Series 5 (the “Series 5 Preferred Shares”) (TSX: MFC.PR.G) and Non-cumulative Floating Rate Class 1 Shares Series 6 (the “Series 6 Preferred Shares”).

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

With respect to any Series 6 Preferred Shares that may be issued on December 19, 2016 in connection with the conversion of the Series 5 Preferred Shares into the Series 6 Preferred Shares, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, calculated on the basis of actual number of days elapsed in each quarterly floating rate period divided by 365, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the three-month period commencing on December 20, 2016, and ending on March 19, 2017, will be 0.83885% (3.40200% on an annualized basis) or $0.209713 per share, being equal to the sum of the three-month Government of Canada Treasury bill yield as at November 21, 2016, plus 2.90%, as determined in accordance with the terms of the Series 6 Preferred Shares.

Beneficial owners of Series 5 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Toronto time) on December 5, 2016. The news release announcing such conversion right was issued on October 20, 2016 and can be viewed on SEDAR or Manulife’s website. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, CST Trust Company, at 1-800-387-0825.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 6 Preferred Shares effective upon conversion. Listing of the Series 6 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 6 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.Q”.

The prior notice of extension was reported on PrefBlog.

I will make a recommendation regarding whether to convert or hold MFC.PR.G at month-end.

DBRS Maintains VSN on Review-Negative

Tuesday, November 22nd, 2016

DBRS has announced that it:

has today maintained its status of Under Review with Negative Implications on the BBB Issuer Rating and Senior Unsecured Notes rating and the Pfd-3 Preferred Share rating of Veresen Inc. (Veresen or the Company). The ratings were placed Under Review with Negative Implications on August 4, 2016, following the Company’s announcement that it will sell its power generation business, suspend its Premium Dividend and Dividend Reinvestment Plan (DRIP) from August 2016 and maintain its current dividend payout. Proceeds from the sale of the power business will be invested to develop Veresen’s midstream projects in the core natural gas and natural gas liquids infrastructure business.

Overall, DBRS believes that the weakness in Veresen’s business risk profile will not be mitigated by any meaningful improvement in the Company’s financial risk profile and will likely result in lower ratings. DBRS recognizes that there are execution risks related to the sale of the power business, and any delays in the execution and change in market conditions could affect the Company’s financial risk profile. Consequently, DBRS has placed Veresen’s ratings Under Review with Negative Implications. DBRS expects any downgrade of the Company’s ratings to be limited to one notch. DBRS will further review the details relating to the sale of the power business as they become available and aims to resolve the Under Review with Negative Implications status after the sale transactions have closed. Veresen expects to enter into binding sale agreements in Q1 2017, with closing in the first half of 2017.

I previously reported the placement on Review-Negative in early August, 2016.

Affected issues are VSN.PR.A, VSN.PR.C and VSN.PR.E.

TRP.PR.K Soft On Heavy Volume

Tuesday, November 22nd, 2016

TransCanada Corporation has announced:

that it has completed its public offering of cumulative redeemable minimum rate reset first preferred shares, series 15 (the “Series 15 Preferred Shares”). TransCanada issued 40 million Series 15 Preferred Shares for aggregate gross proceeds of $1.0 billion through a syndicate of underwriters co-led by Scotiabank, BMO Capital Markets, CIBC Capital Markets, RBC Capital Markets and TD Securities Inc.

The net proceeds of the offering will be used for general corporate purposes and to reduce short term indebtedness of TransCanada and its affiliates, which short term indebtedness was used to fund TransCanada’s capital program and for general corporate purposes.

The Series 15 Preferred Shares will begin trading today on the TSX under the symbol TRP.PR.K.

TRP.PR.K is a FixedReset, 4.90%+385M490, announced 2016-11-14. It will be tracked by HIMIPref™ and has been assigned to the FixedResets subindex.

The issue traded a whopping 1,943,523 shares today in a range of 24.80-99 before closing at 24.80-81, 316×12. The volume only places it 38th on my all-time high-volume list; it’s well behind the 4.3-million odd shares of BMO.PR.B traded 2016-10-21. Vital statistics are:

TRP.PR.K FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 23.06
Evaluated at bid price : 24.80
Bid-YTW : 4.86 %

Implied Volatility leads to a suspicion that this issue is overpriced in relation to its peers:

impVol_TRP_161121
Click for Big

November 21, 2016

Tuesday, November 22nd, 2016

I have long worried that the craze for alternative investments by pension funds and insurance companies was going to lead to trouble. Here’s an example from Dallas:

Dallas police and firefighters are withdrawing hundreds of millions from their retirement plan following a series of investment blunders, heightening the risk that a major U.S. pension fund could run out of money.

The revolt by members of the $2.27 billion Dallas Police and Fire Pension Fund offers an extreme case of what can happen when a pension wagers on lucrative returns to cover funding shortfalls.

A series of aggressive real-estate bets from Hawaii to Paris and a conflict over the value of those properties triggered more than $500 million in losses, leaving the fund with enough to pay just 45% of future benefits. Officials are warning the pension could go broke by 2027.

For 10 years, Dallas has had the highest percentage of assets in real estate of any of the about 150 plans tracked by the Public Plans Database. Pension officials traveled as far as Australia and Abu Dhabi to scope out prospective investments, according to a 2008 newsletter.

The strategy appeared to be working, with Dallas returns often beating national medians. But that success received scrutiny in 2013 when the Dallas Morning News reported that many properties hadn’t been appraised for years. Instead, certain holdings were valued based on their purchase price and in some cases by also adding development and operating expenses, said Chief Financial Officer Summer Loveland, who joined the fund in November 2013.

This revaluation loss leads one to wonder what will happen to this speculation:

While Chinese home buyers have sent prices soaring from Vancouver to Sydney, in this corner of Southeast Asia it’s China’s developers that are swamping the market, pushing prices lower with a glut of hundreds of thousands of new homes. They’re betting that the city of Johor Bahru, bordering Singapore, will eventually become the next Shenzhen.

“These Chinese players build by the thousands at one go, and they scare the hell out of everybody,” said Siva Shanker, head of investments at Axis-REIT Managers Bhd. and a former president of the Malaysian Institute of Estate Agents. “God only knows who is going to buy all these units, and when it’s completed, the bigger question is, who is going to stay in them?”

Developers have a pipeline of more than 350,000 private homes planned or under construction in Johor state, according to data from Malaysia’s National Property Information Centre. That’s more than all the privately built homes in Singapore. Forest City could add another 160,000 over its 30-year construction period, according to Bloomberg estimates, based on the projected population.

“Land is plentiful and cheap,” said Alan Cheong, senior director of research & consultancy at Savills Singapore. “But buyers don’t understand how real estate values play out when there is no shortage of land.”

Meanwhile, the TMX – acquired by the banks to extend their hegemony over the Canadian financial system in a transaction blessed by the regulators in exchange for extra payments to the regulators – continued to demonstrate its permanent free pass from the competition board:

The Competition Bureau has closed its investigation into TMX Group, concluding that owner of the Toronto Stock Exchange likely did not violate the Competition Act in the operation of its market data business.

Last year, TMX rival Aequitas Innovations Inc. complained to the Bureau about what it maintained was “anti-competitive conduct” from TMX Group in relation to its market data product. At the time, Aequitas was attempting to build out its own competing data product. Aequitas alleged that agreements between TMX and investment dealers prevented the sharing of private data without the consent of TMX Group.

Even though the Competition Bureau found in its investigation that this was indeed the case, there were other factors that had little to do with TMX, that made it difficult for Aequitas to launch a competing product, including dealers themselves having reservations about working with Aequitas. One such reservation was over the confidentiality of private market data, according to the Bureau’s statement.

The statement from the Bureau essentially states that it is the Bureau’s job to pick winners and they have picked their friends:

Abuse of dominance occurs when a dominant firm or group of firms in a market engages in a practice of anti-competitive acts, with the result that competition has been or is likely to be prevented or lessened substantially. The Bureau’s investigation focused on the last part of the abuse of dominance test – namely, whether the contractual clauses imposed by TMX Group were likely to substantially prevent competition in a market. Specifically, the Bureau examined whether sufficient future competition from the CMV would be likely to materialize in the absence of TMX Group’s alleged anti-competitive conduct.

Evidence obtained by the Bureau indicated that in order for the CMV to effectively compete with the current sources of indicative market data in Canada, Aequitas required a substantial volume of private market data from investment dealers. Accordingly, the Bureau considered whether there was compelling evidence that Aequitas would likely be able to obtain such a volume of private market data from investment dealers absent TMX Group’s contractual clauses. The Bureau found that:

  • •the level of interest among investment dealers in Aequitas’ proposed CMV product varied considerably;
  • •investment dealers had a number of concerns with respect to the CMV, including with respect to the confidentiality of private market data, and it was unlikely that Aequitas would be able to address these concerns within a reasonable period of time; and
  • •Aequitas had not obtained credible commitments from investment dealers to provide their private market data absent TMX Group’s contractual clauses. Moreover, it was unlikely that Aequitas would be able to obtain such commitments within a reasonable period of time given the preliminary status of negotiations between Aequitas and investment dealers.

Taken together, this evidence suggested that, even absent TMX Group’s contractual clauses, it was unlikely that Aequitas would be able to obtain a sufficient volume of private market data from investment dealers to develop a sufficiently competitive product.

It’s all very simple, isn’t it? Abuse of dominance is restraint of trade. If there’s no trade to restrain because it’s been snuffed out in the planning stages, then there can be no abuse of dominance. QED.

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 -0.2724 % 1,742.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2724 % 3,183.8
Floater 4.30 % 4.49 % 48,252 16.39 4 -0.2724 % 1,834.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0199 % 2,906.8
SplitShare 4.86 % 4.28 % 49,387 2.03 6 -0.0199 % 3,471.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0199 % 2,708.5
Perpetual-Premium 5.44 % 5.06 % 79,947 14.43 23 0.1607 % 2,659.2
Perpetual-Discount 5.38 % 5.37 % 92,306 14.88 15 0.1129 % 2,786.5
FixedReset 4.92 % 4.63 % 203,842 6.82 95 0.3518 % 2,073.5
Deemed-Retractible 5.12 % 5.29 % 135,567 1.96 32 0.2443 % 2,761.3
FloatingReset 2.88 % 3.60 % 40,516 4.87 12 0.2168 % 2,306.0
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.47 %
W.PR.M FixedReset -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 5.14 %
BAM.PR.K Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 10.59
Evaluated at bid price : 10.59
Bid-YTW : 4.52 %
FTS.PR.K FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.53 %
HSE.PR.E FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.38 %
SLF.PR.H FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.50
Bid-YTW : 9.01 %
MFC.PR.I FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 6.88 %
MFC.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 : 22.36
Bid-YTW : 6.30 %
MFC.PR.M FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.67
Bid-YTW : 7.81 %
MFC.PR.N FixedReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.71
Bid-YTW : 7.70 %
GWO.PR.N FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.47
Bid-YTW : 10.98 %
MFC.PR.C Deemed-Retractible 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.58
Bid-YTW : 6.68 %
TRP.PR.D FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.90 %
PWF.PR.P FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 4.63 %
RY.PR.J FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.57 %
TRP.PR.C FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 4.72 %
IFC.PR.D FloatingReset 1.58 % 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 %
HSE.PR.C FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.32 %
IAG.PR.G FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 7.02 %
TRP.PR.G FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.85 %
RY.PR.M FixedReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.54 %
SLF.PR.J FloatingReset 2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.77
Bid-YTW : 10.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 1,943,523 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 23.06
Evaluated at bid price : 24.80
Bid-YTW : 4.86 %
BAM.PF.I FixedReset 450,641 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 23.09
Evaluated at bid price : 24.86
Bid-YTW : 4.77 %
TD.PF.H FixedReset 303,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.59 %
TRP.PR.D FixedReset 255,837 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.90 %
TRP.PR.E FixedReset 142,308 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.82 %
BNS.PR.N Deemed-Retractible 66,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 2.74 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.K FixedReset Quote: 25.30 – 25.99
Spot Rate : 0.6900
Average : 0.4921

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.10 %

PWF.PR.G Perpetual-Premium Quote: 25.41 – 25.71
Spot Rate : 0.3000
Average : 0.1901

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-21
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -9.58 %

TRP.PR.F FloatingReset Quote: 14.72 – 14.99
Spot Rate : 0.2700
Average : 0.1930

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 4.17 %

SLF.PR.G FixedReset Quote: 14.21 – 14.57
Spot Rate : 0.3600
Average : 0.2884

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.21
Bid-YTW : 10.36 %

PWF.PR.A Floater Quote: 12.05 – 12.35
Spot Rate : 0.3000
Average : 0.2292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-21
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 3.94 %

PWF.PR.I Perpetual-Premium Quote: 25.43 – 25.67
Spot Rate : 0.2400
Average : 0.1701

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-21
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : -10.33 %

IGM.PR.B Upgraded To P-1(low) By S&P

Tuesday, November 22nd, 2016

Standard & Poor’s has announced:

  • •We have revised our view of IGM’s importance to its ultimate parent, Power Corp. of Canada, to moderately strategic from nonstrategic.
  • •We are upgrading IGM to ‘A+/A-1+’ from ‘A/A-1’ and raising all of our
    issue-level ratings by one notch.
  • •The stable outlook reflects our expectation that IGM will maintain a strong market position in Canada while keeping stable-to-improving profitability and coverage ratios.


“The upgrade follows our reassessment of IGM as a moderately strategic subsidiary of Power Corp. of Canada compared with our previous assessment of nonstrategic under our group rating methodology,” said S&P Global Ratings credit analyst Brian Estiz. “We base our reassessment of the group credit profile on our belief that IGM is an important part of Power’s long-term strategy and is unlikely to be sold in the near term. We believe that Power would support the company to a limited extent if there was need. IGM represents about 20% of Power Financial Corp.’s earnings, which in turn represents about 85% of Power’s net earnings. We consider Power’s business risk profile excellent, largely because of the leading market positions of IGM and Great-West Life, which both have the No. 1 market position in Canada in their respective businesses and have reported stable earnings over the past few years.”

This follows the downgrade of December, 2014.

FTN.PR.A Gets Bigger

Tuesday, November 22nd, 2016

On November 17, Quadravest announced:

Financial 15 Split Corp. (the “Company”) is pleased to announce it has filed a preliminary short form prospectus in each of the provinces of Canada with respect to an offering of Preferred Shares and Class A Shares of the Company. The offering will be co-led by National Bank Financial Inc., CIBC, RBC Capital Markets, Scotia Capital Inc., and will also include BMO Capital Markets, GMP Securities L.P., Canaccord Genuity Corp., Raymond James, Desjardins Securities Inc., Mackie Research Capital Corporation and Manulife Securities Incorporated.

The Preferred Shares will be offered at a price of $10.00 per Preferred Share to yield 5.25% and the Class A Shares will be offered at a price of $8.75 per Class A Share to yield 17.24%.

The closing price on the TSX of each of the Preferred Shares and the Class A Shares on November 16, 2016 was $10.15 and $9.02, respectively.

Since inception of the Company, the aggregate dividends paid on the Preferred Shares have been $6.81 per share and the aggregate dividends paid on the Class A Shares have been $15.63 per share, for a combined total of $22.44. All distributions to date have been made in tax advantage eligible Canadian dividends or capital gains dividends.

The net proceeds of the offering will be used by the Company to invest in an actively managed, high quality portfolio consisting of 15 financial services companies made up of Canadian and U.S. issuers as follows:

Bank of Montreal National Bank of Canada Bank of America Corp.
The Bank of Nova Scotia Manulife Financial Corporation Citigroup Inc.
Canadian Imperial Bank of Commerce Sun Life Financial Services of Canada Inc. Goldman Sachs Group Inc.
Royal Bank of Canada Great-West Lifeco Inc. JP Morgan Chase & Co.
The Toronto-Dominion Bank CI Financial Corp. Wells Fargo & Co.

The Company’s investment objectives are:
Preferred Shares:
i. to provide holders of the Preferred Shares with fixed, cumulative preferential monthly cash dividends currently in the amount of 5.25% annually, to be set by the Board of Directors annually subject to a minimum of 5.25% until 2020; and
ii. on or about the termination date, currently December 1, 2020 (subject to further 5 year extensions thereafter), to pay the holders of the Preferred Shares $10.00 per Preferred Share.

Class A Shares:
i. to provide holders of the Class A Shares with regular monthly cash dividends in an amount to be determined by the Board of the Directors; and
ii. to permit holders to participate in all growth in the net asset value of the Company above $10 per Unit, by paying holders on or about the termination date of December 1, 2020 (subject to further 5 year extensions thereafter) such amounts as remain in the Company after paying $10 per Preferred Share.

The sales period of this overnight offering will end at 9:00 a.m. EST on November 18, 2016.

On November 18, Quadravest further announced:

Financial 15 Split Corp. (the “Company”) is pleased to announce it has completed the overnight marketing of up to 2,040,000 Preferred Shares and up to 2,040,000 Class A Shares of the Company. Total proceeds of the offering are expected to be approximately $38.3 million.

The offering is being co-led by National Bank Financial Inc., CIBC, RBC Capital Markets, Scotia Capital Inc., and also includes BMO Capital Markets, GMP Securities L.P., Canaccord Genuity Corp., Raymond James, Desjardins Securities Inc., Mackie Research Capital Corporation and Manulife Securities Incorporated.

The sales period of the overnight offering has now ended.

There was a similar offering in November 2015.

The offering price of $18.75 per unit looks pretty good compared to the November 15 NAVPU of $16.80. They’ve done well!

The fund is getting quite large (and therefore, the preferred shares are getting quite liquid!) – according to the 16H1 Financial Statements, total fund assets were $297.3-million with just over 19-million units outstanding.

Update 2016-12-2: Deal closed:

Financial 15 Split Corp. (the “Company”) is pleased to announce it has completed the overnight offering of 2,040,000 Preferred Shares and 2,040,000 Class A Shares of the Company. Total proceeds of the offering were $38.3 million, bringing the Company’s net assets to approximately $366.2 million. The shares will trade on the Toronto Stock Exchange under the existing symbols of FTN.PR.A (Preferred Shares) and FTN (Class A Shares).

The Preferred Shares were offered at a price of $10.00 per Preferred Share to yield 5.25% and the Class A Shares were offered at a price of $8.75 per Class A Share to yield 17.24%.

The offering was co-led by National Bank Financial Inc., CIBC, RBC Capital Markets, Scotia Capital Inc., and also included BMO Capital Markets, GMP Securities L.P., Canaccord Genuity Corp., Raymond James, Desjardins Securities Inc., Mackie Research Capital Corporation and Manulife Securities Incorporated.

BAM.PF.I Holds Its Own On Excellent Volume

Saturday, November 19th, 2016

Brookfield Asset Management Inc. has announced:

the completion of its previously announced Class A Preference Shares, Series 46 issue in the amount of C$300,000,000. The offering was underwritten on a bought deal basis by a syndicate led by TD Securities Inc. and Scotiabank.

The Preferred Shares, Series 46 were issued at a price of C$25.00 per share, for gross proceeds of C$300,000,000. Holders of the Series 46 Shares will be entitled to receive a cumulative quarterly fixed dividend yielding 4.80% annually for the initial period ending March 31, 2022. Thereafter, the dividend rate will be reset every five years at a rate equal to the greater of: (i) the 5-year Government of Canada bond yield plus 3.85%, and (ii) 4.80%. The Series 44 Shares will commence trading on the Toronto Stock Exchange this morning under the ticker symbol BAM.PF.I. The Preferred Shares, Series 46 may not be offered or sold in the United States or to U.S. persons absent registration or an applicable exemption from the registration requirements under the U.S. Securities Act.

BAM.PF.I is a FixedReset, 4.80%+385M480 announced November 10. It will be tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

BAM.PF.I traded a very good 1,374,591 shares today in a range of 24.85-00 before closing at 24.95-96, 85×1. Vital statistics are:

BAM.PF.I FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 23.12
Evaluated at bid price : 24.95
Bid-YTW : 4.72 %

An Implied Volatility analysis yields ambiguous results:

impVol_BAM_161118
Click for Big

While BAM.PF.I looks a little expensive in this analysis (with a theoretical price of 24.58), it must be remembered that
i) the fit is very messy
ii) the analysis makes no accounting for the reset floor

November 18, 2016

Saturday, November 19th, 2016

The war on banks has not been without its hilarious moments; JPMorgan provides another example:

JPMorgan Chase & Co. intern had poor grades at the Wharton School. His supervisor in Asia told colleagues that “he’s not really built” for investment banking. He had “attitude issues,” had trouble “following basic rules” and was a prolific napper. Yet in 2010 he was offered a full-time job, over the reservations of some executives.

Those details emerged on Thursday as JPMorgan agreed to pay about $264 million to settle U.S. allegations that it hired children of Chinese decision-makers to win business in violation of anti-bribery laws. Investigators described a systematic effort to curry favor with government officials and business executives.

The Wharton student’s father was an executive of a Taiwanese company offering an $800 million transaction to the bank. In an e-mail, one banker wrote, “The quid pro quo is an analyst job for his son.

The government’s 21-page agreement with JPMorgan ended an almost three-year investigation that set off a debate on Wall Street over whether U.S. business standards should be applied in foreign countries and whether favors to influential officials amounted to criminal activity.

U.S. officials said JPMorgan employees at the bank’s Hong Kong subsidiary sought to maximize profits by providing jobs and internships to children of individuals it hoped to do business with. In spite of a company policy prohibiting such quid pro quo, employees kept a spreadsheet that tracked the recruits and the revenue attributable to each one — and then doctored or altered paperwork about the hiring activity “to conceal the corrupt arrangement.” In all, the bank generated at least $35 million in profits as a result of those hires, U.S. officials said.

The WSJ has further details.

This is exactly how business is done in the West, except that we’re more adept at nodding and winking. Just ask Trust Fund Johnnie, Mayor of Toronto, about his long and arduous ascent to the executive ranks at Rogers.

I can just imagine the scenes at the prosecuting attorney’s offices … all those well paid government lackeys who got their jobs – and their entry to law school, and their partnerships at spiffy law firms – strictly on merit, dammit, strictly on merit, with just a little help from Daddykins, having apoplectic rages about horrific corruption. Of course, a lot of that is covered up by a disingenuous pleading that it’s because the hoi polloi wear brown shoes.

There’s plenty of merit in the financial services industry – more, now, with the rise of high frequency trading – but trust me, there’s no shortage of nods and winks either.

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 0.4560 % 1,747.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4560 % 3,192.5
Floater 4.29 % 4.46 % 47,153 16.44 4 0.4560 % 1,839.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.4972 % 2,907.4
SplitShare 4.85 % 4.27 % 49,421 2.04 6 0.4972 % 3,472.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4972 % 2,709.1
Perpetual-Premium 5.45 % 5.07 % 79,578 14.40 23 0.0682 % 2,654.9
Perpetual-Discount 5.38 % 5.38 % 93,432 14.86 15 0.1428 % 2,783.3
FixedReset 4.94 % 4.61 % 204,013 6.85 94 -0.0649 % 2,066.3
Deemed-Retractible 5.13 % 5.41 % 135,729 4.51 32 0.2959 % 2,754.6
FloatingReset 2.82 % 3.62 % 41,973 4.89 12 0.0043 % 2,301.0
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.83 %
RY.PR.M FixedReset -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.52 %
BAM.PF.G FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 4.76 %
CM.PR.Q FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 4.49 %
SLF.PR.H FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.33
Bid-YTW : 9.10 %
HSE.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 5.34 %
SLF.PR.E Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 6.89 %
SLF.PR.D Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 6.95 %
PWF.PR.A Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 3.94 %
RY.PR.P Perpetual-Premium 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 5.07 %
IFC.PR.C FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 7.24 %
TRP.PR.B FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.47 %
SLF.PR.A Deemed-Retractible 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 6.14 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.I FixedReset 1,374,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 23.12
Evaluated at bid price : 24.95
Bid-YTW : 4.72 %
BNS.PR.N Deemed-Retractible 102,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.20 %
MFC.PR.O FixedReset 67,934 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.64 %
GWO.PR.I Deemed-Retractible 63,890 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.83 %
BAM.PR.Z FixedReset 61,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.19 %
CM.PR.O FixedReset 55,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.36 %
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: 19.00 – 22.50
Spot Rate : 3.5000
Average : 3.1566

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.11 %

EML.PR.A FixedReset Quote: 25.90 – 26.29
Spot Rate : 0.3900
Average : 0.2437

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.99 %

IAG.PR.G FixedReset Quote: 20.01 – 20.44
Spot Rate : 0.4300
Average : 0.3057

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.01
Bid-YTW : 7.14 %

RY.PR.M FixedReset Quote: 19.51 – 19.82
Spot Rate : 0.3100
Average : 0.1997

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.52 %

BAM.PR.T FixedReset Quote: 15.96 – 16.28
Spot Rate : 0.3200
Average : 0.2158

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 5.13 %

HSE.PR.C FixedReset Quote: 19.63 – 19.96
Spot Rate : 0.3300
Average : 0.2440

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-18
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 5.30 %

November 17, 2016

Friday, November 18th, 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 0.8740 % 1,739.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8740 % 3,178.0
Floater 4.31 % 4.47 % 47,512 16.42 4 0.8740 % 1,831.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1258 % 2,893.0
SplitShare 4.84 % 4.70 % 45,756 2.02 6 -0.1258 % 3,454.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1258 % 2,695.7
Perpetual-Premium 5.45 % 5.13 % 82,875 14.57 23 0.5590 % 2,653.1
Perpetual-Discount 5.39 % 5.39 % 94,698 14.82 15 0.8398 % 2,779.4
FixedReset 4.93 % 4.58 % 195,501 6.78 93 -0.3137 % 2,067.6
Deemed-Retractible 5.14 % 5.44 % 132,216 4.51 32 0.6488 % 2,746.4
FloatingReset 2.82 % 3.61 % 42,192 4.89 12 -0.3094 % 2,300.9
Performance Highlights
Issue Index Change Notes
IFC.PR.D FloatingReset -2.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.11 %
CU.PR.C FixedReset -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.24 %
BAM.PR.R FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.93 %
SLF.PR.G FixedReset -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 10.39 %
BAM.PR.X FixedReset -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 4.90 %
BMO.PR.M FixedReset -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 3.89 %
BAM.PR.T FixedReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.15 %
BAM.PR.Z FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 5.21 %
TRP.PR.G FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.68 %
RY.PR.J FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 4.50 %
SLF.PR.J FloatingReset -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.42
Bid-YTW : 10.48 %
CU.PR.I FixedReset -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 3.71 %
BMO.PR.Y FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 4.37 %
BMO.PR.Q FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.93
Bid-YTW : 6.48 %
GWO.PR.N FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.20
Bid-YTW : 11.20 %
BAM.PF.E FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.77 %
FTS.PR.M FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.51 %
GWO.PR.G Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.68 %
GWO.PR.I Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.47
Bid-YTW : 6.92 %
VNR.PR.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.94 %
FTS.PR.J Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 22.31
Evaluated at bid price : 22.61
Bid-YTW : 5.26 %
GWO.PR.H Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 6.21 %
BNS.PR.R FixedReset 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.33
Bid-YTW : 3.85 %
BAM.PR.C Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 10.64
Evaluated at bid price : 10.64
Bid-YTW : 4.49 %
FTS.PR.H FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 4.25 %
CU.PR.D Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 22.89
Evaluated at bid price : 23.30
Bid-YTW : 5.25 %
POW.PR.A Perpetual-Premium 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.97 %
CU.PR.E Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 22.84
Evaluated at bid price : 23.24
Bid-YTW : 5.27 %
CU.PR.H Perpetual-Premium 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 24.45
Evaluated at bid price : 24.86
Bid-YTW : 5.28 %
IFC.PR.C FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.47 %
TRP.PR.H FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 3.94 %
SLF.PR.D Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.09
Bid-YTW : 7.14 %
PWF.PR.S Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 22.09
Evaluated at bid price : 22.35
Bid-YTW : 5.41 %
POW.PR.D Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.34 %
GWO.PR.Q Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.76 %
TRP.PR.F FloatingReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 4.03 %
SLF.PR.E Deemed-Retractible 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 7.07 %
POW.PR.B Perpetual-Premium 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 24.51
Evaluated at bid price : 24.76
Bid-YTW : 5.46 %
IAG.PR.A Deemed-Retractible 1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.38 %
MFC.PR.C Deemed-Retractible 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 6.99 %
SLF.PR.B Deemed-Retractible 1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.30 %
SLF.PR.C Deemed-Retractible 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 7.02 %
MFC.PR.B Deemed-Retractible 2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.T FloatingReset 101,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 3.34 %
BMO.PR.B FixedReset 98,860 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.61 %
NA.PR.X FixedReset 93,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 4.43 %
TD.PF.H FixedReset 88,135 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.64 %
BNS.PR.H FixedReset 83,950 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.53 %
RY.PR.Q FixedReset 83,710 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.50 %
There were 84 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: 19.00 – 22.50
Spot Rate : 3.5000
Average : 2.7801

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.11 %

GWO.PR.N FixedReset Quote: 13.20 – 13.62
Spot Rate : 0.4200
Average : 0.2871

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.20
Bid-YTW : 11.20 %

PWF.PR.O Perpetual-Premium Quote: 25.39 – 25.72
Spot Rate : 0.3300
Average : 0.2102

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 5.13 %

BAM.PR.X FixedReset Quote: 14.14 – 14.54
Spot Rate : 0.4000
Average : 0.2867

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 4.90 %

PWF.PR.S Perpetual-Discount Quote: 22.35 – 22.67
Spot Rate : 0.3200
Average : 0.2133

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-17
Maturity Price : 22.09
Evaluated at bid price : 22.35
Bid-YTW : 5.41 %

SLF.PR.D Deemed-Retractible Quote: 21.09 – 21.35
Spot Rate : 0.2600
Average : 0.1609

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.09
Bid-YTW : 7.14 %

November 16, 2016

Thursday, November 17th, 2016

Remember the thirty months following the dividend reset on TRP.PR.A that kicked off the bear market. Wasn’t that awful? It seems like every day the Government of Canada Five Year Yield would go down a little bit and the preferred share market would go down in sympathy.

Well, things are different now, thanks to President-elect Trump and his intended fiscal stimulus! Now the Government of Canada Five Year Yield goes up a little nearly every day and the preferred share market goes down in sympathy. Totally different environment.

PerpetualDiscounts now yield 5.39%, equivalent to 7.01% interest at the standard equivalency factor of 1.3x. Long corporates now yield just over 4.0%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a dramatic widening from the 275bp reported November 9.

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 -0.4123 % 1,724.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4123 % 3,150.5
Floater 4.35 % 4.51 % 47,439 16.35 4 -0.4123 % 1,815.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0728 % 2,896.7
SplitShare 4.83 % 4.77 % 45,468 4.32 6 -0.0728 % 3,459.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0728 % 2,699.1
Perpetual-Premium 5.48 % 5.32 % 83,203 14.53 23 -0.8627 % 2,638.4
Perpetual-Discount 5.44 % 5.41 % 90,140 14.76 15 -0.6209 % 2,756.2
FixedReset 4.91 % 4.63 % 186,769 6.79 93 -1.2917 % 2,074.1
Deemed-Retractible 5.17 % 5.35 % 131,963 4.51 32 -0.4450 % 2,728.7
FloatingReset 2.81 % 3.54 % 42,475 4.90 12 -0.6318 % 2,308.0
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 4.58 %
TRP.PR.B FixedReset -3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 4.54 %
TRP.PR.F FloatingReset -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 4.09 %
TRP.PR.A FixedReset -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 15.28
Evaluated at bid price : 15.28
Bid-YTW : 4.78 %
RY.PR.P Perpetual-Premium -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 24.40
Evaluated at bid price : 24.80
Bid-YTW : 5.30 %
BAM.PF.A FixedReset -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 5.02 %
BAM.PF.E FixedReset -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.72 %
BAM.PF.F FixedReset -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.73 %
TRP.PR.H FloatingReset -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 3.99 %
RY.PR.M FixedReset -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 4.39 %
BAM.PR.X FixedReset -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 4.81 %
MFC.PR.I FixedReset -2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.45
Bid-YTW : 6.88 %
BAM.PR.Z FixedReset -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 5.13 %
FTS.PR.H FixedReset -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 4.30 %
IFC.PR.C FixedReset -2.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.66 %
CM.PR.P FixedReset -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 4.38 %
GWO.PR.N FixedReset -2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.35
Bid-YTW : 11.03 %
FTS.PR.M FixedReset -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.46 %
HSE.PR.G FixedReset -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 5.24 %
VNR.PR.A FixedReset -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.99 %
MFC.PR.M FixedReset -2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.82
Bid-YTW : 7.79 %
MFC.PR.N FixedReset -2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.65 %
HSE.PR.E FixedReset -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 5.34 %
CM.PR.Q FixedReset -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.43 %
RY.PR.J FixedReset -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.44 %
RY.PR.W Perpetual-Premium -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 24.02
Evaluated at bid price : 24.27
Bid-YTW : 5.06 %
BAM.PF.B FixedReset -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 5.04 %
BAM.PF.G FixedReset -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.67 %
GWO.PR.Q Deemed-Retractible -2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.97 %
MFC.PR.H FixedReset -2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.04 %
POW.PR.D Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 23.06
Evaluated at bid price : 23.32
Bid-YTW : 5.41 %
TD.PF.F Perpetual-Premium -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 23.91
Evaluated at bid price : 24.29
Bid-YTW : 5.07 %
TD.PF.E FixedReset -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.43 %
MFC.PR.G FixedReset -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 6.61 %
BNS.PR.R FixedReset -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 4.09 %
IAG.PR.A Deemed-Retractible -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.65 %
CM.PR.O FixedReset -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 4.37 %
MFC.PR.J FixedReset -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.36
Bid-YTW : 7.43 %
HSE.PR.A FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 12.04
Evaluated at bid price : 12.04
Bid-YTW : 5.37 %
CU.PR.I FixedReset -1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.35 %
BNS.PR.Q FixedReset -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.86
Bid-YTW : 4.01 %
ELF.PR.G Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 21.91
Evaluated at bid price : 22.15
Bid-YTW : 5.41 %
BAM.PR.C Floater -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.54 %
MFC.PR.L FixedReset -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.28
Bid-YTW : 8.02 %
MFC.PR.K FixedReset -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.82
Bid-YTW : 8.31 %
RY.PR.O Perpetual-Premium -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 23.89
Evaluated at bid price : 24.26
Bid-YTW : 5.05 %
PWF.PR.T FixedReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 4.25 %
BAM.PR.T FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.06 %
RY.PR.N Perpetual-Premium -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 23.90
Evaluated at bid price : 24.27
Bid-YTW : 5.05 %
POW.PR.B Perpetual-Premium -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.55 %
TD.PF.B FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 4.40 %
FTS.PR.K FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.33 %
BNS.PR.G FixedReset -1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 4.63 %
RY.PR.Q FixedReset -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.56 %
TRP.PR.D FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.75 %
NA.PR.X FixedReset -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 4.62 %
TD.PF.G FixedReset -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.53 %
TD.PF.D FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.43 %
BNS.PR.E FixedReset -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.54 %
SLF.PR.H FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.66
Bid-YTW : 8.79 %
MFC.PR.F FixedReset -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.42
Bid-YTW : 11.03 %
TRP.PR.E FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 4.70 %
PWF.PR.S Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 21.75
Evaluated at bid price : 22.04
Bid-YTW : 5.48 %
RY.PR.R FixedReset -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.51 %
SLF.PR.G FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.37
Bid-YTW : 10.10 %
BNS.PR.Y FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 5.78 %
BMO.PR.S FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.30 %
POW.PR.A Perpetual-Premium -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 24.60
Evaluated at bid price : 24.86
Bid-YTW : 5.69 %
HSE.PR.C FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.32 %
BMO.PR.Z Perpetual-Premium -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 24.11
Evaluated at bid price : 24.50
Bid-YTW : 5.10 %
RY.PR.H FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 4.29 %
MFC.PR.C Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 7.27 %
IGM.PR.B Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.76 %
GWO.PR.R Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.60 %
PWF.PR.L Perpetual-Premium -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 23.44
Evaluated at bid price : 23.73
Bid-YTW : 5.41 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset 101,296 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.72 %
PWF.PR.P FixedReset 95,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.58 %
TRP.PR.H FloatingReset 86,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 3.99 %
BMO.PR.L Deemed-Retractible 74,568 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.57 %
RY.PR.A Deemed-Retractible 61,968 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.29 %
RY.PR.G Deemed-Retractible 61,960 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 2.83 %
There were 81 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: 19.55 – 22.00
Spot Rate : 2.4500
Average : 1.9908

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 6.69 %

RY.PR.W Perpetual-Premium Quote: 24.27 – 24.80
Spot Rate : 0.5300
Average : 0.3263

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 24.02
Evaluated at bid price : 24.27
Bid-YTW : 5.06 %

W.PR.K FixedReset Quote: 25.28 – 25.89
Spot Rate : 0.6100
Average : 0.4140

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 5.10 %

TRP.PR.H FloatingReset Quote: 11.00 – 11.50
Spot Rate : 0.5000
Average : 0.3420

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 3.99 %

RY.PR.P Perpetual-Premium Quote: 24.80 – 25.25
Spot Rate : 0.4500
Average : 0.3066

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 24.40
Evaluated at bid price : 24.80
Bid-YTW : 5.30 %

POW.PR.A Perpetual-Premium Quote: 24.86 – 25.15
Spot Rate : 0.2900
Average : 0.1676

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-11-16
Maturity Price : 24.60
Evaluated at bid price : 24.86
Bid-YTW : 5.69 %