Archive for December, 2016

December 30, 2016

Friday, December 30th, 2016

And that’s a wrap for another year!

2016 began with appalling performance but since then we’ve done pretty well and all in all it’s been a pretty good year. Now we’ll see what 2017 will bring!

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 0.1756 % 1,826.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1756 % 3,335.9
Floater 4.14 % 4.22 % 58,616 16.95 4 0.1756 % 1,922.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1453 % 2,935.0
SplitShare 4.83 % 4.73 % 58,456 4.26 6 -0.1453 % 3,505.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1453 % 2,734.7
Perpetual-Premium 5.43 % 5.11 % 83,482 14.51 23 0.1396 % 2,675.6
Perpetual-Discount 5.41 % 5.45 % 102,461 14.71 15 0.5371 % 2,787.7
FixedReset 4.69 % 4.54 % 242,628 6.77 96 0.1182 % 2,183.1
Deemed-Retractible 5.15 % 4.54 % 131,006 4.51 32 0.2418 % 2,769.4
FloatingReset 2.79 % 3.71 % 42,643 4.78 12 0.0629 % 2,348.2
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 10.44 %
BAM.PR.X FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.97 %
GWO.PR.R Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.53
Bid-YTW : 6.42 %
IFC.PR.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.18
Bid-YTW : 8.51 %
FTS.PR.H FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 4.64 %
TRP.PR.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 21.67
Evaluated at bid price : 21.97
Bid-YTW : 4.64 %
HSE.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.21 %
IFC.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.07 %
BNS.PR.D FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.17
Bid-YTW : 5.83 %
VNR.PR.A FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.09 %
TRP.PR.E FixedReset 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.N Deemed-Retractible 137,965 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 2.78 %
FTS.PR.J Perpetual-Discount 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 22.21
Evaluated at bid price : 22.49
Bid-YTW : 5.33 %
HSE.PR.A FixedReset 49,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.21 %
BAM.PR.Z FixedReset 29,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.06 %
MFC.PR.R FixedReset 21,996 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.86 %
NA.PR.S FixedReset 21,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.67 %
There were 8 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: 20.51 – 23.00
Spot Rate : 2.4900
Average : 1.8057

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 5.96 %

BMO.PR.Z Perpetual-Premium Quote: 24.62 – 24.96
Spot Rate : 0.3400
Average : 0.2105

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 24.22
Evaluated at bid price : 24.62
Bid-YTW : 5.12 %

TRP.PR.H FloatingReset Quote: 11.90 – 12.38
Spot Rate : 0.4800
Average : 0.3516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 3.68 %

NA.PR.S FixedReset Quote: 19.36 – 19.62
Spot Rate : 0.2600
Average : 0.1479

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.67 %

BNS.PR.P FixedReset Quote: 24.61 – 24.90
Spot Rate : 0.2900
Average : 0.1942

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 3.54 %

HSE.PR.C FixedReset Quote: 21.73 – 22.00
Spot Rate : 0.2700
Average : 0.1786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-30
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 4.98 %

December 29, 2016

Friday, December 30th, 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 0.0220 % 1,822.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0220 % 3,330.1
Floater 4.15 % 4.21 % 60,843 16.98 4 0.0220 % 1,919.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,939.3
SplitShare 4.82 % 4.68 % 82,077 4.26 6 -0.0330 % 3,510.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,738.7
Perpetual-Premium 5.44 % 5.10 % 86,207 14.50 23 0.3541 % 2,671.9
Perpetual-Discount 5.44 % 5.46 % 106,668 14.69 15 0.5748 % 2,772.8
FixedReset 4.70 % 4.56 % 252,213 6.77 96 0.0718 % 2,180.6
Deemed-Retractible 5.16 % 4.54 % 136,082 4.51 32 0.2406 % 2,762.7
FloatingReset 2.79 % 3.73 % 44,395 4.78 12 0.5695 % 2,346.7
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.45 %
MFC.PR.M FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.03
Bid-YTW : 6.98 %
EML.PR.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.57 %
BAM.PF.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.47
Evaluated at bid price : 21.79
Bid-YTW : 5.64 %
TRP.PR.G FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 4.69 %
BAM.PF.G FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.97
Evaluated at bid price : 22.36
Bid-YTW : 4.58 %
BMO.PR.S FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.47 %
BAM.PF.F FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.61
Evaluated at bid price : 22.02
Bid-YTW : 4.64 %
SLF.PR.J FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 9.56 %
GWO.PR.N FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.31
Bid-YTW : 10.22 %
TRP.PR.C FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 4.71 %
IAG.PR.A Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.64 %
BAM.PR.R FixedReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.82 %
TRP.PR.A FixedReset 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 16.19
Evaluated at bid price : 16.19
Bid-YTW : 4.83 %
IFC.PR.D FloatingReset 4.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.N Deemed-Retractible 652,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 2.73 %
BAM.PF.I FixedReset 112,552 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.46 %
RY.PR.A Deemed-Retractible 110,409 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.49 %
HSE.PR.A FixedReset 108,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 5.27 %
TD.PF.A FixedReset 108,154 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.46 %
TRP.PR.D FixedReset 65,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.84 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Quote: 20.59 – 21.22
Spot Rate : 0.6300
Average : 0.4420

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.45 %

MFC.PR.O FixedReset Quote: 26.74 – 27.18
Spot Rate : 0.4400
Average : 0.2760

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 3.96 %

VNR.PR.A FixedReset Quote: 19.64 – 20.38
Spot Rate : 0.7400
Average : 0.5864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 19.64
Evaluated at bid price : 19.64
Bid-YTW : 5.18 %

TRP.PR.G FixedReset Quote: 21.73 – 22.12
Spot Rate : 0.3900
Average : 0.2675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 4.69 %

W.PR.K FixedReset Quote: 25.40 – 25.72
Spot Rate : 0.3200
Average : 0.2055

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.78 %

CU.PR.G Perpetual-Discount Quote: 21.20 – 21.50
Spot Rate : 0.3000
Average : 0.1893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.37 %

IGM.PR.B Placed On CreditWatch Negative By S&P

Friday, December 30th, 2016

Standard & Poor’s has announced:

  • •IGM Financial Inc. today announced that its subsidiary, Mackenzie Financial Corporation, has entered into an agreement to acquire a 10% interest in China Asset Management Co., Ltd. for approximately CAD$468 million.
  • •In our view, given that IGM may finance a significant portion of the acquisition through the issuance of debt and/or preferred shares, we would expect the company to operate with debt to EBITDA levels closer to 1.5x compared with our previous projections of 1.0x.
  • •We are placing our ‘A+/A-1+’ issuer credit ratings on IGM on CreditWatch with negative implications.
  • •The CreditWatch negative indicates that we could lower the ratings of IGM upon the close of the transaction due to higher leverage. We expect to resolve the CreditWatch once the transaction is consummated, or in the event the minority acquisition plans are called off.

S&P Global Ratings said today it placed its ‘A+/A-1+’ issuer credit ratings on IGM Financial Inc. on CreditWatch with negative implications. We also placed our ‘A+’ issue-level rating on IGM’s senior unsecured debt, ‘A-‘ issue-level rating on IGM’s preferred stock, and ‘P-1 (Low)’ Canadian national scale preferred share rating on CreditWatch negative.

As we believe, IGM intends to finance a significant portion of the acquisition through the issuance of debt and/or preferred shares, we would expect the company to operate with debt to EBITDA levels closer to 1.5x compared with our previous projections of 1.0x, and EBITDA coverage metrics between 9x and 10x compared with our previous assessment of 10x to 11x. As a result of the modest deterioration of credit protection measures, we would assess IGM’s financial risk profile to be more in line with the “modest” category compared with our previous assessment of “minimal” upon the close of the transaction. IGM does have a sizeable portfolio of investments on its balance sheet to provide additional credit protection measures beyond these metrics.

The IGM Press Release notes:

Mackenzie Investments’ interest in China AMC leverages Power Corporation of Canada’s long term presence and investment record in China which includes a 10% ownership in China AMC acquired in 2011.

The proposed transaction is expected to be accretive to IGM Financial’s earnings in the first full year of ownership. IGM Financial expects to finance the transaction with a combination of existing cash and the issuance of debt and/or preferred shares in the first half of 2017.

The transaction is expected to close in the first half of 2017, and is subject to customary closing conditions, including Chinese regulatory approvals.

Update, 2016-12-30: DBRS is more sanguine, but they’ve already got IGM a notch lower!

DBRS Limited (DBRS) today notes that it does not expect to be taking any action on IGM Financial Inc.’s (IGM) ratings following the December 29, 2016, announcement of an agreement by IGM’s subsidiary, Mackenzie Financial Corporation, to acquire a 10% interest in China Asset Management Co. Ltd (China AMC) and potentially acquire an additional 3.9% interest. The value of the acquired 10% share will be approximately $468 million.

Currently, IGM’s Issuer Rating and Unsecured Debentures rating are both A (high) and its First Preferred Shares rating is Pfd-2 (high). All trends are Stable.

Toronto Rock Lacrosse Tickets!

Wednesday, December 28th, 2016

I have five pairs of Toronto Rock Lacrosse tickets to give away!

The games take place at the Air Canada Centre and the seats are very good. Just tell me which ones you would like. A decision regarding who gets tickets will be made two weeks before each game and I will mail them to the lucky winner; while preference will be given to customers and those who tell me they’ve got a kid who plays lacrosse, anybody can win. If you win and don’t want your name publicized, that’s fine.

The games are:

Toronto Rock Lacrosse Ticket Giveaway
Date Opponent
Saturday
2017-1-28
7pm
Rochester Knighthawks
Friday
2017-2-3
7:30pm
Buffalo Bandits
Friday
2017-3-3
7:30pm
New England Black Wolves
Saturday
2017-3-11
7:00pm
Calgary Roughnecks
Saturday
2017-3-25
7:00pm
Vancouver Stealth

The games are a lot of fun. One thing that has impressed me is that these guys’ technical skills are so good they can concentrate on strategy … there are a lot fewer loose balls than I remember from my days of box lacrosse at age 10!

To try your luck at receiving a pair of tickets, just eMail me or comment on this post.

December 28, 2016

Wednesday, December 28th, 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 0.8415 % 1,822.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8415 % 3,329.3
Floater 4.15 % 4.20 % 63,094 17.00 4 0.8415 % 1,918.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2381 % 2,940.2
SplitShare 4.82 % 4.68 % 79,690 4.26 6 0.2381 % 3,511.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2381 % 2,739.6
Perpetual-Premium 5.46 % 5.16 % 87,812 14.47 23 0.3212 % 2,662.5
Perpetual-Discount 5.46 % 5.49 % 107,491 14.59 15 0.8108 % 2,757.0
FixedReset 4.69 % 4.54 % 260,841 6.77 96 1.1426 % 2,179.0
Deemed-Retractible 5.17 % 4.64 % 141,672 4.51 32 0.2454 % 2,756.1
FloatingReset 2.80 % 3.79 % 45,929 4.78 12 0.8869 % 2,333.5
Performance Highlights
Issue Index Change Notes
BNS.PR.B FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 3.80 %
NA.PR.X FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.94
Bid-YTW : 3.85 %
W.PR.M FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.20 %
BAM.PF.B FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 4.96 %
NA.PR.S FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 4.70 %
MFC.PR.O FixedReset 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.80 %
GRP.PR.A SplitShare 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -18.33 %
CU.PR.D Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.64
Evaluated at bid price : 23.00
Bid-YTW : 5.37 %
CM.PR.P FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 4.51 %
BAM.PR.C Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 4.27 %
RY.PR.Z FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.47 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.01 %
FTS.PR.F Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.62
Evaluated at bid price : 22.87
Bid-YTW : 5.41 %
MFC.PR.F FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.39
Bid-YTW : 10.19 %
HSE.PR.C FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 5.04 %
TD.PF.E FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.13
Evaluated at bid price : 22.64
Bid-YTW : 4.40 %
TRP.PR.E FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.72 %
MFC.PR.L FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.69
Bid-YTW : 7.06 %
NA.PR.W FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.68 %
TD.PR.Z FloatingReset 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 3.70 %
BNS.PR.A FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.89
Bid-YTW : 3.46 %
CU.PR.H Perpetual-Premium 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 24.23
Evaluated at bid price : 24.63
Bid-YTW : 5.37 %
IFC.PR.C FixedReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.35 %
BMO.PR.Y FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.48
Evaluated at bid price : 21.83
Bid-YTW : 4.44 %
PWF.PR.T FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 4.37 %
TRP.PR.A FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.94 %
SLF.PR.H FixedReset 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.65
Bid-YTW : 8.06 %
CU.PR.F Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.40 %
FTS.PR.H FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 4.67 %
CM.PR.Q FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.45 %
RY.PR.H FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 4.51 %
RY.PR.M FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 4.45 %
PWF.PR.P FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 4.68 %
BAM.PR.B Floater 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.20 %
TD.PF.D FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.84
Evaluated at bid price : 22.18
Bid-YTW : 4.42 %
BAM.PF.A FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 4.87 %
CU.PR.G Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 5.40 %
FTS.PR.J Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.04
Evaluated at bid price : 22.41
Bid-YTW : 5.34 %
BAM.PF.E FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 4.70 %
MFC.PR.G FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 5.91 %
BAM.PF.F FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.44
Evaluated at bid price : 21.79
Bid-YTW : 4.70 %
HSE.PR.G FixedReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.26
Evaluated at bid price : 22.79
Bid-YTW : 5.11 %
CU.PR.E Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.69
Evaluated at bid price : 23.06
Bid-YTW : 5.35 %
MFC.PR.K FixedReset 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.19 %
BAM.PR.R FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.90 %
BAM.PF.G FixedReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.81
Evaluated at bid price : 22.13
Bid-YTW : 4.63 %
TD.PR.T FloatingReset 1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 3.57 %
CU.PR.C FixedReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.30 %
HSE.PR.E FixedReset 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 22.25
Evaluated at bid price : 22.74
Bid-YTW : 5.15 %
MFC.PR.J FixedReset 2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.00 %
MFC.PR.I FixedReset 2.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 5.67 %
FTS.PR.K FixedReset 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 4.59 %
HSE.PR.A FixedReset 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 13.23
Evaluated at bid price : 13.23
Bid-YTW : 5.27 %
MFC.PR.M FixedReset 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.24
Bid-YTW : 6.82 %
MFC.PR.N FixedReset 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.19
Bid-YTW : 6.79 %
IAG.PR.G FixedReset 2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 5.77 %
SLF.PR.I FixedReset 2.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.79
Bid-YTW : 5.94 %
TRP.PR.H FloatingReset 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 3.68 %
BAM.PR.X FixedReset 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 4.92 %
SLF.PR.G FixedReset 2.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.64
Bid-YTW : 9.08 %
MFC.PR.H FixedReset 2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.00 %
FTS.PR.G FixedReset 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 4.53 %
RY.PR.J FixedReset 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.54 %
FTS.PR.M FixedReset 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.60 %
TRP.PR.C FixedReset 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 4.79 %
IFC.PR.A FixedReset 3.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.06
Bid-YTW : 8.61 %
TRP.PR.B FixedReset 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 172,852 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.34 %
BNS.PR.N Deemed-Retractible 162,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 0.78 %
BAM.PR.B Floater 118,853 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.20 %
NA.PR.S FixedReset 81,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 4.70 %
TRP.PR.K FixedReset 77,805 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.68 %
IFC.PR.D FloatingReset 62,712 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 6.58 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 19.62 – 20.26
Spot Rate : 0.6400
Average : 0.4180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 5.18 %

TRP.PR.A FixedReset Quote: 15.82 – 16.24
Spot Rate : 0.4200
Average : 0.2696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-28
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.94 %

TD.PR.Z FloatingReset Quote: 23.20 – 23.58
Spot Rate : 0.3800
Average : 0.2436

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 3.70 %

SLF.PR.K FloatingReset Quote: 16.91 – 17.49
Spot Rate : 0.5800
Average : 0.4462

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.91
Bid-YTW : 8.19 %

TD.PR.T FloatingReset Quote: 23.25 – 23.62
Spot Rate : 0.3700
Average : 0.2765

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 3.57 %

RY.PR.I FixedReset Quote: 24.70 – 24.95
Spot Rate : 0.2500
Average : 0.1690

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.62 %

TransAlta plays the Grinch with its preferred share holders

Saturday, December 24th, 2016

Barry Critchley was kind enough to quote me in his article TransAlta plays the Grinch with its preferred share holders:

James Hymas, who runs Hymas Investment Management and who also publishes the PrefBlog, wrote “all of this analysis leads to the conclusion that this is a rotten deal for the preferred shareholders, so rotten that we may call it a sleazy attempt by the company to pull the wool over the eyes of unsophisticated retail investors. As the company admits, they look forward to reducing the corporation’s notional capital balance of preferred shares by approximately $300 million.”

After noting that an analysis based on implied volatility would require an even higher dividend than the 6.50 per cent TransAlta is offering, Hymas said the $300-million “is money that currently can potentially be earned by the current shareholders.”

That $300 million could occur with price increases on the extant issues; from an increase in the five-year government of Canada yield, or “from straightforward spread narrowing. The company is giving up nothing – NOTHING! – in order to capture this entire amount for themselves,” he wrote.

Assiduous Readers will remember that my views on the proposed Exchange (which will be voted on as a Plan of Arrangement) were published in the post TA Proposes Sleazy Exchange Offer.

Update, 2016-12-24 I was perplexed by a comment on Financial Wisdom Forum:

More on the TransAlta exchange.

http://business.financialpost.com/news/ … picks=true

FWIW, I am quite satisfied with the offer because I’m a trader and am more than happy to bail on these PF-3 issues because I really believe that one would have to be wearing super sized rose coloured glasses to think that they would someday trade or be redeemed at par, especially with a company like TA that has slashed the dividend on the common to 4 cents/quarter.

The case for the “No” vote does not depend on the hope that the shares will “someday trade or be redeemed at par”, and demonstrating this should actually make the argument more clear for those who have difficulty with the concept of Implied Volatility.

Let us examine the specific case of TA.PR.D; the following analysis framework may be applied to the other series with changes in numbers.

TA.PR.D:

  • pays $0.67725 p.a. until the next Exchange Date
  • will reset to GOC-5 + 203bp (paid on par value of $25) on each Exchange Date
    • This is equal to (25 * GOC-5) + (25 * 203bp)
    • which is equal to (25 * GOC-5) + $0.5075
  • may be redeemed at $25 on each Exchange Date
  • Exchange Dates are 2021-3-31 and every five years thereafter

The company proposes to exchange each share of this for 0.503 of a New Preferred Share; each New Preferred Share will

  • Pay 6.50% of $25.00 = 1.625 until the next Exchange Date
  • will reset to GOC-5 + 529bp (paid on par value of $25) on each Exchange Date
  • may be redeemed at $25 on each Exchange Date
  • Exchange Dates are 2021-12-31 and every five years thereafter

The fact that holders will be getting only 0.503 New Preferred Shares for each share of TA.PR.D makes the changes a little more complex for many investors, so as a thought experiment, let’s design a Notional Share which we will assume will be offered 1 for 1 for TA.PR.D, with the new holdings, in total, having exactly the same characteristics as the proposed new holdings of the New Preferred Shares.

A Notional Preferred Share:

  • pays $0.817375 until the next Exchange Date
  • will reset to 0.503 (GOC-5 + 529bp) * 25 on each Exchange Date
    • This is equal to (0.503 * 25 * GOC-5) + (0.503 * 25 * 529bp)
    • which is equal to 12.575 * GOC-5 + $0.6652175
    • subject to a minimum rate of $0.817375
  • may be redeemed at $12.575 on each Exchange Date
  • Exchange Dates are 2021-12-31 and every five years thereafter

So when we compare the currently held TA.PR.D to the Notional Share we see that:

  • The Notional Share will pay an extra $0.14 annually for each of the next five years (approximately), for a total of $0.70.
  • The redemption price will drop from $25 to $12.575
  • The dividends after the next Exchange Date (if it is left outstanding) will depend on the GOC-5 yield, as indicated on the following chart
taprd_notional_dividendsafterreset_rev1
Click for Big

The big problem, of course, is the change in redemption price – holders lose out on a lot of potential capital gains if the market improves, either through increases in the GOC-5 yield (which should increase the trading price of the preferreds) or through a narrowing of spreads (which may occur because the market improves, or TA’s credit improves, or both). In addition, we see that increases in the GOC-5 rate greatly improve the dividend payout from TA.PR.D and the much higher redemption price means these potential increases will not be called away unless for a gigantic premium over the current price.

December 23, 2016

Saturday, December 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 0.0221 % 1,807.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0221 % 3,301.6
Floater 4.19 % 4.27 % 63,853 16.88 4 0.0221 % 1,902.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1190 % 2,933.3
SplitShare 4.82 % 4.64 % 82,974 4.28 6 0.1190 % 3,502.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1190 % 2,733.1
Perpetual-Premium 5.46 % 5.40 % 89,148 14.45 23 0.0403 % 2,654.0
Perpetual-Discount 5.50 % 5.50 % 111,380 14.59 15 0.1612 % 2,734.8
FixedReset 4.75 % 4.67 % 262,106 6.76 96 -0.3475 % 2,154.4
Deemed-Retractible 5.18 % 4.64 % 138,922 4.53 32 -0.1860 % 2,749.3
FloatingReset 2.84 % 4.00 % 46,012 4.79 12 -0.3636 % 2,312.9
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -1.86 % 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 %
MFC.PR.G FixedReset -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.15 %
TD.PR.T FloatingReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 3.98 %
RY.PR.J FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.68 %
MFC.PR.I FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.97
Bid-YTW : 6.01 %
SLF.PR.I FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 6.31 %
MFC.PR.N FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 7.13 %
IFC.PR.A FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.50
Bid-YTW : 9.11 %
MFC.PR.H FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 5.40 %
IAG.PR.A Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.84 %
BAM.PF.A FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 4.96 %
MFC.PR.J FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 6.32 %
CM.PR.O FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.59 %
HSE.PR.E FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 21.93
Evaluated at bid price : 22.27
Bid-YTW : 5.28 %
BNS.PR.A FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 3.75 %
FTS.PR.F Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 22.32
Evaluated at bid price : 22.59
Bid-YTW : 5.47 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 117,114 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 4.43 %
MFC.PR.R FixedReset 114,858 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.87 %
TRP.PR.D FixedReset 91,469 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.96 %
RY.PR.Z FixedReset 53,148 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 4.53 %
BMO.PR.T FixedReset 50,054 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.57 %
BMO.PR.S FixedReset 48,445 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.55 %
There were 56 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 : 2.3824

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 6.58 %

GWO.PR.N FixedReset Quote: 14.06 – 14.70
Spot Rate : 0.6400
Average : 0.4039

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.06
Bid-YTW : 10.46 %

GRP.PR.A SplitShare Quote: 25.55 – 25.94
Spot Rate : 0.3900
Average : 0.2969

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-22
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -6.11 %

RY.PR.J FixedReset Quote: 20.80 – 21.15
Spot Rate : 0.3500
Average : 0.2571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-23
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.68 %

BNS.PR.A FloatingReset Quote: 23.57 – 23.80
Spot Rate : 0.2300
Average : 0.1411

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 3.75 %

BNS.PR.B FloatingReset Quote: 22.88 – 23.15
Spot Rate : 0.2700
Average : 0.1831

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 4.02 %

December 22, 2016

Friday, December 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 0.7588 % 1,806.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7588 % 3,300.8
Floater 4.19 % 4.27 % 61,777 16.87 4 0.7588 % 1,902.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0858 % 2,929.8
SplitShare 4.82 % 4.62 % 63,539 4.28 6 -0.0858 % 3,498.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0858 % 2,729.9
Perpetual-Premium 5.47 % 5.45 % 88,885 14.45 23 -0.0193 % 2,652.9
Perpetual-Discount 5.51 % 5.51 % 111,999 14.59 15 -0.1427 % 2,730.4
FixedReset 4.73 % 4.62 % 264,106 6.78 96 0.3488 % 2,161.9
Deemed-Retractible 5.17 % 4.56 % 141,001 4.53 32 -0.0157 % 2,754.5
FloatingReset 2.83 % 3.89 % 46,737 4.79 12 0.2331 % 2,321.4
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.07 %
GWO.PR.N FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.15
Bid-YTW : 10.36 %
MFC.PR.B Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.84
Bid-YTW : 6.75 %
BAM.PR.N Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 5.74 %
TRP.PR.B FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 4.71 %
TD.PR.Y FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 3.31 %
BAM.PF.A FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.90 %
RY.PR.M FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.51 %
HSE.PR.G FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 22.10
Evaluated at bid price : 22.55
Bid-YTW : 5.18 %
BNS.PR.Y FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.14 %
HSE.PR.E FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 22.09
Evaluated at bid price : 22.50
Bid-YTW : 5.22 %
BNS.PR.A FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 3.53 %
MFC.PR.G FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 5.92 %
MFC.PR.H FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.22 %
MFC.PR.M FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.93
Bid-YTW : 7.05 %
CM.PR.Q FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.48 %
SLF.PR.G FixedReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.37
Bid-YTW : 9.32 %
MFC.PR.N FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 6.94 %
MFC.PR.I FixedReset 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.24
Bid-YTW : 5.83 %
BAM.PR.C Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 4.30 %
CCS.PR.C Deemed-Retractible 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.40 %
MFC.PR.K FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 7.38 %
SLF.PR.I FixedReset 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 6.12 %
MFC.PR.J FixedReset 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.15 %
IAG.PR.G FixedReset 3.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 6.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset 264,679 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.35 %
BNS.PR.B FloatingReset 233,726 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 3.87 %
TD.PF.H FixedReset 178,932 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.44 %
MFC.PR.R FixedReset 126,730 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.88 %
TRP.PR.K FixedReset 108,808 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.73 %
FTS.PR.M FixedReset 72,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.76 %
There were 94 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: 19.64 – 23.00
Spot Rate : 3.3600
Average : 1.8698

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 6.58 %

SLF.PR.K FloatingReset Quote: 16.90 – 17.25
Spot Rate : 0.3500
Average : 0.2659

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.90
Bid-YTW : 8.19 %

TRP.PR.E FixedReset Quote: 19.13 – 19.39
Spot Rate : 0.2600
Average : 0.1811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 4.83 %

BNS.PR.H FixedReset Quote: 25.82 – 26.10
Spot Rate : 0.2800
Average : 0.2048

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.44 %

CU.PR.C FixedReset Quote: 20.31 – 20.67
Spot Rate : 0.3600
Average : 0.2908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-22
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.44 %

PVS.PR.B SplitShare Quote: 24.89 – 25.15
Spot Rate : 0.2600
Average : 0.1913

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.89
Bid-YTW : 4.70 %

BK.PR.A To Get Bigger

Thursday, December 22nd, 2016

Quadravest has announced:

Canadian Banc Corp. (the “Company”) is pleased to announce it has filed a preliminary short form prospectus with respect to an additional offering of its Preferred Shares. This offering is being led by National Bank Financial Inc.

The Preferred Shares are listed and posted for trading on the Toronto Stock Exchange (the “TSX”) under the symbol “BK.PR.A”. On December 21, 2016 the closing price of the Preferred Shares on the TSX was $10.56.

The authorized capital of the Company also consists of Class A Shares (the “Class A Shares”). On December 12, 2016 the Company declared a special capital gains dividend, payable partially in cash and partially in Class A Shares, to holders of Class A Shares of record on January 5, 2017. The special dividend will be payable on January 9, 2017, the same date the Preferred Shares will be issued under the short form prospectus. The number of Class A Shares being issued as a result of this special dividend will be equal to the number of Preferred Shares expected to be issued in the offering.

A copy of the preliminary short form prospectus will be available from National Bank Financial Inc.

BK.PR.A is tracked by HIMIPref™ but is relegated to the Scraps subindex on both volume and credit concerns.

Update, 2017-1-15: Just a few more shares:

Canadian Banc Corp. (the “Company”) is pleased to announce it has completed its Offering of 393,602 Preferred Shares at $10.35 per share for aggregate gross proceeds of $4,073,781. The Preferred Shares will trade on the Toronto Stock Exchange under the symbol BK.PR.A.

The authorized capital of the Company also consists of Class A Shares (the “Class A Shares”). The Company declared a special capital gains dividend, payable partially in cash and partially in Class A Shares, to holders of Class A Shares of record on January 5, 2017. The number of Class A Shares being issued as a result of this special dividend will be equal to the number of Preferred Shares issued in this offering.

December 21, 2016

Thursday, December 22nd, 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 -0.5327 % 1,793.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5327 % 3,276.0
Floater 4.22 % 4.30 % 58,523 16.83 4 -0.5327 % 1,888.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0859 % 2,932.3
SplitShare 4.82 % 4.61 % 62,189 4.28 6 0.0859 % 3,501.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0859 % 2,732.2
Perpetual-Premium 5.46 % 5.43 % 88,337 14.44 23 0.4701 % 2,653.4
Perpetual-Discount 5.50 % 5.51 % 111,158 14.57 15 0.5223 % 2,734.3
FixedReset 4.74 % 4.61 % 245,436 6.77 96 0.7125 % 2,154.4
Deemed-Retractible 5.17 % 4.66 % 141,896 4.53 32 0.4657 % 2,754.9
FloatingReset 2.84 % 4.01 % 47,076 4.79 12 0.2975 % 2,316.0
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 10.81
Evaluated at bid price : 10.81
Bid-YTW : 4.37 %
IFC.PR.A FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.62
Bid-YTW : 8.99 %
BAM.PR.B Floater -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 10.98
Evaluated at bid price : 10.98
Bid-YTW : 4.30 %
BAM.PF.H FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.84 %
BAM.PF.E FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.77 %
SLF.PR.I FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 6.40 %
MFC.PR.K FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.88
Bid-YTW : 7.63 %
SLF.PR.C Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 6.92 %
BMO.PR.M FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 3.50 %
TRP.PR.C FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 4.89 %
TD.PF.A FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 4.52 %
CU.PR.G Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.47 %
CM.PR.Q FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.58 %
SLF.PR.D Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.89 %
TD.PF.E FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 21.97
Evaluated at bid price : 22.40
Bid-YTW : 4.46 %
BNS.PR.P FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.38 %
TD.PF.B FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 4.57 %
TD.PF.C FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 4.58 %
SLF.PR.H FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.39
Bid-YTW : 8.26 %
PWF.PR.P FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 4.75 %
RY.PR.H FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.55 %
SLF.PR.B Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.69
Bid-YTW : 6.29 %
GWO.PR.I Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.88 %
SLF.PR.K FloatingReset 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.85
Bid-YTW : 8.23 %
FTS.PR.H FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 4.72 %
POW.PR.G Perpetual-Premium 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 24.73
Evaluated at bid price : 25.02
Bid-YTW : 5.59 %
BMO.PR.S FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.53 %
IFC.PR.C FixedReset 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.53
Bid-YTW : 6.39 %
FTS.PR.M FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 4.74 %
FTS.PR.G FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 4.60 %
MFC.PR.H FixedReset 1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.24
Bid-YTW : 5.42 %
BMO.PR.Y FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.48 %
BAM.PR.N Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.68 %
TD.PF.D FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 21.61
Evaluated at bid price : 21.87
Bid-YTW : 4.49 %
MFC.PR.N FixedReset 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.66
Bid-YTW : 7.17 %
MFC.PR.L FixedReset 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.38
Bid-YTW : 7.28 %
SLF.PR.J FloatingReset 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 9.66 %
HSE.PR.A FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 5.38 %
BAM.PR.R FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.93 %
MFC.PR.M FixedReset 1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 7.26 %
MFC.PR.G FixedReset 2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.66
Bid-YTW : 6.10 %
MFC.PR.J FixedReset 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.93
Bid-YTW : 6.46 %
MFC.PR.F FixedReset 2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 10.20 %
MFC.PR.I FixedReset 2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 6.07 %
CU.PR.C FixedReset 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset 145,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.77 %
BAM.PR.Z FixedReset 128,255 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.09 %
MFC.PR.R FixedReset 115,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.97 %
BMO.PR.S FixedReset 97,916 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.53 %
RY.PR.Z FixedReset 86,167 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.52 %
TD.PF.C FixedReset 85,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 4.58 %
There were 107 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Deemed-Retractible Quote: 24.40 – 24.98
Spot Rate : 0.5800
Average : 0.3545

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.64 %

IAG.PR.G FixedReset Quote: 21.06 – 21.52
Spot Rate : 0.4600
Average : 0.2815

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.06
Bid-YTW : 6.59 %

CU.PR.C FixedReset Quote: 20.28 – 20.64
Spot Rate : 0.3600
Average : 0.2148

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 4.45 %

CU.PR.I FixedReset Quote: 27.07 – 27.45
Spot Rate : 0.3800
Average : 0.2408

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.07
Bid-YTW : 2.37 %

RY.PR.M FixedReset Quote: 20.77 – 21.09
Spot Rate : 0.3200
Average : 0.2076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.56 %

ELF.PR.F Perpetual-Discount Quote: 24.04 – 24.34
Spot Rate : 0.3000
Average : 0.1981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-12-21
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 5.60 %