Archive for May, 2017

May 31, 2017

Wednesday, May 31st, 2017

PerpetualDiscounts now yield 5.08%, equivalent to 6.60% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.65%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 295bp, the same as reported on May 24.

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 -0.2626 % 2,145.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2626 % 3,937.2
Floater 3.55 % 3.69 % 52,231 18.02 4 -0.2626 % 2,269.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0079 % 3,052.7
SplitShare 4.71 % 4.22 % 70,653 1.55 5 -0.0079 % 3,645.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0079 % 2,844.4
Perpetual-Premium 5.30 % -2.00 % 73,788 0.09 23 0.0680 % 2,789.4
Perpetual-Discount 5.09 % 5.08 % 97,253 15.28 14 0.2285 % 3,003.5
FixedReset 4.51 % 4.12 % 196,535 6.55 94 0.0694 % 2,299.7
Deemed-Retractible 4.97 % 4.90 % 128,110 6.29 30 0.3069 % 2,906.9
FloatingReset 2.51 % 3.06 % 48,838 4.41 10 0.2711 % 2,534.6
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.30 %
TRP.PR.D FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.17 %
TD.PF.F Perpetual-Premium -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.67 %
GWO.PR.N FixedReset 1.45 % 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 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 81,845 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.97 %
RY.PR.R FixedReset 67,640 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.66 %
BMO.PR.T FixedReset 48,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 3.96 %
PWF.PR.Z Perpetual-Premium 45,468 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 24.61
Evaluated at bid price : 25.00
Bid-YTW : 5.17 %
BAM.PF.I FixedReset 42,089 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.04 %
BMO.PR.S FixedReset 41,026 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 3.93 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.H FixedReset Quote: 26.10 – 26.58
Spot Rate : 0.4800
Average : 0.3739

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.94 %

TD.PF.F Perpetual-Premium Quote: 25.50 – 25.88
Spot Rate : 0.3800
Average : 0.2790

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.67 %

ELF.PR.G Perpetual-Discount Quote: 23.13 – 23.40
Spot Rate : 0.2700
Average : 0.1782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 22.86
Evaluated at bid price : 23.13
Bid-YTW : 5.19 %

TRP.PR.A FixedReset Quote: 18.27 – 18.58
Spot Rate : 0.3100
Average : 0.2215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.00 %

CU.PR.I FixedReset Quote: 26.12 – 26.34
Spot Rate : 0.2200
Average : 0.1496

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 3.15 %

PVS.PR.E SplitShare Quote: 26.36 – 26.70
Spot Rate : 0.3400
Average : 0.2698

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.36
Bid-YTW : -12.30 %

May 30, 2017

Tuesday, May 30th, 2017
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 -0.1872 % 2,151.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1872 % 3,947.5
Floater 3.54 % 3.69 % 54,091 18.03 4 -0.1872 % 2,275.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1810 % 3,052.9
SplitShare 4.71 % 4.34 % 71,655 1.55 5 0.1810 % 3,645.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1810 % 2,844.6
Perpetual-Premium 5.30 % -1.81 % 74,470 0.09 23 0.0374 % 2,787.5
Perpetual-Discount 5.11 % 5.09 % 97,439 15.24 14 -0.0391 % 2,996.6
FixedReset 4.52 % 4.12 % 197,937 6.55 94 -0.0222 % 2,298.1
Deemed-Retractible 4.97 % 5.06 % 129,588 6.24 30 0.1756 % 2,898.0
FloatingReset 2.52 % 3.11 % 49,108 4.41 10 -0.0981 % 2,527.8
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 3.89 %
TRP.PR.H FloatingReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 3.38 %
MFC.PR.F FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 9.54 %
TRP.PR.F FloatingReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 3.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset 161,025 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.85 %
TRP.PR.K FixedReset 104,403 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.10 %
PWF.PR.Z Perpetual-Premium 94,205 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 24.63
Evaluated at bid price : 25.02
Bid-YTW : 5.16 %
NA.PR.W FixedReset 87,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.03 %
TRP.PR.D FixedReset 79,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.12 %
TRP.PR.G FixedReset 66,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 22.21
Evaluated at bid price : 22.72
Bid-YTW : 4.26 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.L Deemed-Retractible Quote: 26.00 – 26.40
Spot Rate : 0.4000
Average : 0.2623

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-29
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : -6.84 %

ELF.PR.F Perpetual-Discount Quote: 25.19 – 25.60
Spot Rate : 0.4100
Average : 0.2838

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-29
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 3.64 %

RY.PR.N Perpetual-Premium Quote: 25.59 – 25.99
Spot Rate : 0.4000
Average : 0.2884

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 4.56 %

BAM.PF.I FixedReset Quote: 25.95 – 26.35
Spot Rate : 0.4000
Average : 0.2984

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.13 %

MFC.PR.F FixedReset Quote: 15.25 – 15.52
Spot Rate : 0.2700
Average : 0.1758

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 9.54 %

BMO.PR.Q FixedReset Quote: 21.50 – 21.84
Spot Rate : 0.3400
Average : 0.2552

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.27 %

May 29, 2017

Monday, May 29th, 2017
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 -0.7432 % 2,155.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7432 % 3,955.0
Floater 3.54 % 3.69 % 56,226 18.04 4 -0.7432 % 2,279.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0708 % 3,047.4
SplitShare 4.72 % 4.29 % 71,578 1.56 5 -0.0708 % 3,639.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0708 % 2,839.5
Perpetual-Premium 5.30 % 1.01 % 73,963 0.09 23 0.0953 % 2,786.4
Perpetual-Discount 5.10 % 5.09 % 98,126 15.24 14 0.1203 % 2,997.8
FixedReset 4.52 % 4.12 % 198,975 6.56 94 0.0803 % 2,298.6
Deemed-Retractible 4.97 % 5.11 % 128,780 6.24 30 0.1048 % 2,892.9
FloatingReset 2.52 % 3.18 % 47,916 4.41 10 0.1157 % 2,530.3
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.25 %
IFC.PR.C FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 6.03 %
BIP.PR.C FixedReset 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.29 %
VNR.PR.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 4.57 %
SLF.PR.J FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.35
Bid-YTW : 8.99 %
TRP.PR.H FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 3.33 %
TRP.PR.B FixedReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 3.81 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.Z Perpetual-Premium 92,824 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 24.63
Evaluated at bid price : 25.02
Bid-YTW : 5.16 %
IFC.PR.E Deemed-Retractible 87,230 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 5.19 %
HSE.PR.G FixedReset 62,293 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 22.96
Evaluated at bid price : 23.99
Bid-YTW : 4.69 %
TRP.PR.B FixedReset 51,989 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 3.81 %
TD.PR.T FloatingReset 50,641 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 2.87 %
RY.PR.H FixedReset 44,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 3.94 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Quote: 20.80 – 21.46
Spot Rate : 0.6600
Average : 0.3955

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.05 %

PWF.PR.A Floater Quote: 14.60 – 15.19
Spot Rate : 0.5900
Average : 0.4261

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.25 %

BAM.PF.H FixedReset Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2767

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.92 %

IFC.PR.C FixedReset Quote: 21.24 – 21.50
Spot Rate : 0.2600
Average : 0.1719

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 6.03 %

BNS.PR.Y FixedReset Quote: 21.93 – 22.18
Spot Rate : 0.2500
Average : 0.1670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 4.89 %

SLF.PR.B Deemed-Retractible Quote: 23.85 – 24.10
Spot Rate : 0.2500
Average : 0.1677

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.51 %

PWF.PR.Z Firm On Good Volume

Friday, May 26th, 2017

Power Financial Corporation has announced:

the closing of an offering of 10,000,000 5.15% Non-Cumulative First Preferred Shares, Series V (the “Series V Shares”) priced at $25.00 per share for gross proceeds of $250 million.

The issue was bought by an underwriting syndicate co-led by BMO Capital Markets, RBC Capital Markets, Scotiabank and TD Securities Inc.

The Series V Shares will be listed and posted for trading on the Toronto Stock Exchange under the symbol “PWF.PR.Z”. The net proceeds from the issue will be used to supplement Power Financial’s financial resources and for general corporate purposes.

PWF.PR.Z is a Straight Perpetual, 5.15%, announced 2017-5-16. It will be tracked by HIMIPref™ and has been assigned to the PerpetualPremium subindex.

The issue traded 755,121 shares today in a range of 24.96-05 before closing at 25.03-06. Vital statistics are:

PWF.PR.Z Perpetual-Premium YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 24.64
Evaluated at bid price : 25.03
Bid-YTW : 5.15 %

Implied Volatility for Straights analysis shows a very high level of implied volatility – but this is not surprising when so many of the issues are trading significantly above their call price.

impvol_pwf_170526
Click for Big

May 26, 2017

Friday, May 26th, 2017

S&P has downgraded Alberta:

  • •Alberta’s projected deficits after capex over the next two years are among the highest of rated non-U.S. local and regional governments and, absent other measures, our expectation is that this will lead to further rapid growth in the province’s debt burden.
  • •As a result, we are lowering our long-term issuer credit and senior unsecured debt ratings on Alberta two notches to ‘A+’ from ‘AA’ and affirming our short-term rating at ‘A-1+’.
  • •We are also lowering our senior unsecured debt rating on Alberta’s Crown Corporation, Alberta Capital Finance Authority, to ‘A+’ from ‘AA’.
  • •The stable outlook reflects our expectations that Alberta will, on average, continue to post after-capital deficits of greater than 23% of total adjusted revenues in the next two years.


The downgrade reflects our assessment of the continued impact of depressed oil prices on Alberta’s important resource revenues and the province’s approach toward addressing its structural budget shortfall in a timeframe that is unlikely to prevent excessive growth in debt. To help stimulate the economy, the province has elevated its level of spending on infrastructure. As a result, in our fiscal 2016-2020 base-case forecast, our assessment of the province’s budgetary performance particularly on an after-capital basis has significantly deteriorated and is materially weaker compared with that of both domestic and international peers. In addition, we expect that for Alberta to fund its growing capital expenditure program, its debt burden will continue to
grow rapidly.

Nevertheless, we recognize that Alberta has good budgetary flexibility. Although it possesses strong tax advantages, compared with other Canadian provinces, that could be tapped, we believe it has yet to use these in a significant way to improve its fiscal position. We estimate that modifiable revenues and capital spending, on average, will represent about 84% of operating revenues and about 13% of total expenditures, respectively, for the fiscal 2016-2020 period.

Naturally, the pretend-conservatives are outraged:

Progressive Conservative caucus leader Ric McIver said Ceci and Premier Rachel Notley were oblivious to the fact they were turning Alberta’s finances into a “train wreck.”

“It’s going to be more expensive to provide services or there will be less of everything, including teachers, doctors, roads, schools, hospitals, all the things Albertans care about,” said McIver.

In news releases, Wildrose said the situation was due to the government’s “budget disaster,” while the Alberta Party chalked it up to “poor choices” by the NDP.

Hey! Pretend-conservatives! How much of the oil revenue from the past forty years is on deposit with the reserve fund?

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 0.3356 % 2,171.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3356 % 3,984.6
Floater 3.51 % 3.66 % 57,051 18.11 4 0.3356 % 2,296.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0786 % 3,049.6
SplitShare 4.72 % 4.28 % 72,370 1.57 5 -0.0786 % 3,641.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0786 % 2,841.5
Perpetual-Premium 5.31 % 1.94 % 73,733 0.09 23 0.0711 % 2,783.8
Perpetual-Discount 5.11 % 5.08 % 99,346 15.23 14 0.1386 % 2,994.2
FixedReset 4.51 % 4.12 % 198,657 6.56 94 -0.2501 % 2,296.8
Deemed-Retractible 5.00 % 5.17 % 135,475 4.13 32 0.0356 % 2,889.9
FloatingReset 2.51 % 3.12 % 47,660 4.42 10 -0.0886 % 2,527.3
Performance Highlights
Issue Index Change Notes
BMO.PR.Q FixedReset -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 5.35 %
IFC.PR.A FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.95
Bid-YTW : 7.88 %
BAM.PF.H FixedReset -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.82 %
SLF.PR.G FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.20
Bid-YTW : 8.82 %
VNR.PR.A FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.Z Perpetual-Premium 755,121 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 24.64
Evaluated at bid price : 25.03
Bid-YTW : 5.15 %
CM.PR.Q FixedReset 275,286 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 21.99
Evaluated at bid price : 22.35
Bid-YTW : 4.18 %
BIP.PR.D FixedReset 217,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.84 %
RY.PR.E Deemed-Retractible 162,348 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -4.85 %
MFC.PR.M FixedReset 87,252 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.66
Bid-YTW : 6.41 %
IFC.PR.E Deemed-Retractible 84,305 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.23 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.F Perpetual-Premium Quote: 25.55 – 25.84
Spot Rate : 0.2900
Average : 0.1916

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.63 %

PWF.PR.F Perpetual-Premium Quote: 25.00 – 25.25
Spot Rate : 0.2500
Average : 0.1673

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.29 %

GWO.PR.M Deemed-Retractible Quote: 26.00 – 26.18
Spot Rate : 0.1800
Average : 0.1289

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-25
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : -7.13 %

HSE.PR.E FixedReset Quote: 23.74 – 23.92
Spot Rate : 0.1800
Average : 0.1297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 22.87
Evaluated at bid price : 23.74
Bid-YTW : 4.78 %

BMO.PR.Q FixedReset Quote: 21.41 – 21.70
Spot Rate : 0.2900
Average : 0.2415

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 5.35 %

MFC.PR.O FixedReset Quote: 26.60 – 26.80
Spot Rate : 0.2000
Average : 0.1550

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.82 %

May 25, 2017

Thursday, May 25th, 2017
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 0.0933 % 2,164.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0933 % 3,971.2
Floater 3.52 % 3.69 % 55,196 18.03 4 0.0933 % 2,288.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1883 % 3,052.0
SplitShare 4.72 % 4.28 % 72,740 1.57 5 -0.1883 % 3,644.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1883 % 2,843.8
Perpetual-Premium 5.32 % 2.25 % 68,389 0.09 22 0.1175 % 2,781.8
Perpetual-Discount 5.12 % 5.10 % 100,516 15.24 14 0.0181 % 2,990.0
FixedReset 4.50 % 4.12 % 191,709 6.57 94 -0.1926 % 2,302.5
Deemed-Retractible 5.00 % 5.17 % 135,724 4.13 32 0.1464 % 2,888.8
FloatingReset 2.50 % 3.14 % 46,509 4.43 10 0.1869 % 2,529.6
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.83 %
SLF.PR.G FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 8.62 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.R FixedReset 354,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 3.30 %
BMO.PR.C FixedReset 175,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 23.28
Evaluated at bid price : 25.36
Bid-YTW : 4.22 %
RY.PR.R FixedReset 163,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.97
Bid-YTW : 3.51 %
IFC.PR.E Deemed-Retractible 163,011 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.27 %
TD.PF.H FixedReset 160,041 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.87 %
RY.PR.H FixedReset 106,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 3.94 %
TD.PF.D FixedReset 101,538 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 22.03
Evaluated at bid price : 22.40
Bid-YTW : 4.17 %
MFC.PR.R FixedReset 100,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.26 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.B SplitShare Quote: 25.10 – 25.45
Spot Rate : 0.3500
Average : 0.2335

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.02 %

BAM.PF.I FixedReset Quote: 26.06 – 26.35
Spot Rate : 0.2900
Average : 0.1813

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.01 %

CU.PR.H Perpetual-Premium Quote: 25.40 – 25.70
Spot Rate : 0.3000
Average : 0.2045

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.00 %

TRP.PR.G FixedReset Quote: 22.90 – 23.21
Spot Rate : 0.3100
Average : 0.2293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 22.32
Evaluated at bid price : 22.90
Bid-YTW : 4.23 %

MFC.PR.I FixedReset Quote: 22.30 – 22.49
Spot Rate : 0.1900
Average : 0.1221

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 5.56 %

BAM.PR.R FixedReset Quote: 18.40 – 18.64
Spot Rate : 0.2400
Average : 0.1748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.42 %

ECN.PR.C Sinks On Light Volume

Thursday, May 25th, 2017

ECN Capital Corp. has announced:

that it has closed the previously announced offering of 4,000,000 6.25% Cumulative 5-Year Minimum Rate Reset Preferred Shares, Series C (the “Series C Preferred Shares”) at a price of $25.00 per share for aggregate gross proceeds of $100,000,000. The offering was conducted by a syndicate of underwriters co-led by BMO Capital Markets, CIBC Capital Markets, National Bank Financial, RBC Capital Markets, TD Securities, and including Cormark Securities, Desjardins Securities, GMP Securities, HSBC Securities (Canada) and Raymond James.

The Corporation intends to use the net proceeds to originate and finance, directly and indirectly, finance assets, to fund future acquisitions and for general corporate purposes.

“We are grateful for the support shown by the market in the successful completion of this financing”, said Steve Hudson, Chief Executive Officer, “and we look forward to executing on our business plan and delivering value for our shareholders.”

The Series C Preferred Shares will commence trading today on the Toronto Stock Exchange under the symbol “ECN.PR.C”.

ECN.PR.C is a FixedReset, 6.25%+519M625, announced 2017-5-15. It will be tracked by HIMIPref™ but relegated to the Scraps subindex on credit concerns.

The issue traded 99,442 shares today in a range of 24.43-75 before closing at 24.44-52. Vital statistics are:

ECN.PR.C FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 22.95
Evaluated at bid price : 24.44
Bid-YTW : 6.39 %

ENB.PR.B : 8% Conversion To FloatingResets

Thursday, May 25th, 2017

In keeping with its policy of contempt for the preferred shareholders who provide a chunk of its financing, Enbridge has again decided not to publicize events related to its ENB.PR.B issue, its extension, reset and conversion privilege.

Assiduous Readers will recall that ENB.PR.B will reset to 3.415% effective 2017-6-1. It was issued as a 4.00%+240 FixedReset which commenced trading 2011-9-30 after being announced 2011-9-21.

An inquiry to Enbridge Investor Relations elicited the response:

Approximately 1.7 million Series B will be converted into Cs and those Cs will start to trade on the TSX on June 1.

It will be remembered that I recommended against conversion.

Market conditions with respect to FixedReset / FloatingReset equivalency have not changed significantly since my recommendation:

pairs_fr_170525
Click for Big

New Issue: CM FixedReset, 4.40%+338, NVCC Compliant

Thursday, May 25th, 2017

The Canadian Imperial Bank of Commerce has announced:

that it had entered into an agreement with a group of underwriters led by CIBC World Markets Inc. for an issue of 16 million Basel III-compliant Non-cumulative Rate Reset Class A Preferred Shares, Series 45 (the “Series 45 Shares”) priced at $25.00 per Series 45 Share to raise gross proceeds of $400 million.

CIBC has granted the underwriters an option to purchase up to an additional four million Series 45 Shares at the same offering price, exercisable at any time up to two days prior to closing. Should the underwriters’ option be fully exercised, the total gross proceeds of the financing will be $500 million.

The Series 45 Shares will yield 4.40% per annum, payable quarterly, as and when declared by the Board of Directors of CIBC, for an initial period ending July 31, 2022. On July 31, 2022, and on July 31 every five years thereafter, the dividend rate will reset to be equal to the then current five-year Government of Canada bond yield plus 3.38%.

Subject to regulatory approval and certain provisions of the Series 45 Shares, on July 31, 2022 and on July 31 every five years thereafter, CIBC may, at its option, redeem all or any part of the then outstanding Series 45 Shares at par.

Subject to the right of redemption, holders of the Series 45 Shares will have the right to convert their shares into Non-cumulative Floating Rate Class A Preferred Shares, Series 46 (the “Series 46 Shares”), subject to certain conditions, on July 31, 2022 and on July 31 every five years thereafter. Holders of the Series 46 Shares will be entitled to receive a quarterly floating rate dividend, as and when declared by the Board of Directors of CIBC, equal to the three-month Government of Canada Treasury Bill yield plus 3.38%.

Holders of the Series 46 Shares may convert their Series 46 Shares into Series 45 Shares, subject to certain conditions, on July 31, 2027 and on July 31 every five years thereafter.

The expected closing date is June 2, 2017. CIBC will make an application to list the Series 45 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of this offering will be used for general purposes of CIBC.

Later, they announced:

that as a result of strong investor demand for its previously announced domestic public offering of non-cumulative Rate Reset Class A Preferred Shares, Series 45, the size of the offering has been increased to 32 million shares. The gross proceeds of the offering will now be $800 million. The offering will be underwritten by a syndicate led by CIBC World Markets Inc. The expected closing date is June 2, 2017.

The net proceeds from this transaction will be used for general purposes of CIBC.

A good sized issue!

Implied Volatility analysis for FixedResets suggests the issue may be a little expensive:

impvol_cm_170525
Click for Big

The theoretical price implied by the above calculation is 24.76.

IFC.PR.E A Little Soft On Decent Volume

Wednesday, May 24th, 2017

Intact Financial Corporation has announced:

that it has closed its previously announced bought deal offering of 6,000,000 Class A Series 5 Preferred Shares (the “Series 5 Shares”) (the “Offering”) underwritten by a syndicate of underwriters (the “Underwriters”) led by CIBC Capital Markets together with BMO Capital Markets, National Bank Financial and TD Securities Inc., resulting in gross proceeds (including the proceeds resulting from the exercise of their option) to IFC of $150 million.

The net proceeds from the Offering are intended to be used by IFC to fund a portion of the purchase price for its previously announced acquisition (the “Acquisition”) of all of the issued and outstanding shares of OneBeacon Insurance Group, Ltd. (“OneBeacon”). The closing of the Acquisition is expected to occur in the fourth quarter of 2017 and is subject to approval by OneBeacon’s shareholders and receipt of required regulatory approvals. If the Acquisition is not completed, the net proceeds of this Offering will be used for general corporate purposes.

Each Series 5 Share entitles the holder thereof to receive quarterly non-cumulative preferential cash dividends, if, as and when declared by the Board of Directors, on the last day of March, June, September and December in each year at a rate equal to $0.325 per share. The initial dividend, if declared, will be payable on September 30, 2017 and will be $0.45945 per share.

The Series 5 Shares will commence trading today on the Toronto Stock Exchange under the symbol IFC.PR.E

IFC.PR.E is a Straight Perpetual, 5.20%, announced 2017-5-12. It will be tracked by HIMIPref™ and has been assigned to the DeemedRetractible subindex.

As this issue is not NVCC compliant, it will be analyzed as a DeemedRetractible. Note, however, that this carries more uncertainty than it does with most other insurers because Intact is a P&C insurer, not a life company.

The issue traded 601,313 shares today in a range of 24.90-00 before closing at 24.91-95. Vital statistics are:

IFC.PR.E Deemed-Retractible YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.29 %