Archive for August, 2017

TA.PR.H to Reset at 5.194%

Thursday, August 31st, 2017

TransAlta Corporation has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Cumulative Redeemable Rate Reset First Preferred Shares, Series E (“Series E Shares”) (TSX: TA.PR.H) on September 30, 2017 (the “Conversion Date”).

As a result, and subject to certain conditions set out in the prospectus supplement dated August 3, 2012 relating to the issuance of the Series E Shares, the holders of the Series E Shares will have the right to elect to convert all or any of their Series E Shares into Cumulative Redeemable Floating Rate First Preferred Shares, Series F of the Company (“Series F Shares”) on the basis of one Series F Share for each Series E Share on the Conversion Date.

With respect to any Series E Shares that remain outstanding after September 30, 2017, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of TransAlta. The annual dividend rate for the Series E Shares for the five-year period from and including September 30, 2017 to but excluding September 30, 2022, will be 5.194%, being equal to the five-year Government of Canada bond yield of 1.544% determined as of today plus 3.65%, in accordance with the terms of the Series E Shares.

With respect to any Series F Shares that may be issued on September 30, 2017, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board of Directors of TransAlta. The annual dividend rate for the 3-month floating rate period from and including September 30, 2017 to but excluding December 31, 2017 will be 4.392%, being equal to the annual rate for the most recent auction of 90-day Government of Canada Treasury Bills of 0.742% plus 3.65%, in accordance with the terms of the Series F Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

As provided in the share conditions of the Series E Shares: (i) if TransAlta determines that there would remain outstanding immediately following the conversion, less than 1,000,000 Series E Shares, all remaining Series E Shares shall be converted automatically into Series F Shares on a one-for one basis effective September 30, 2017; or (ii) if TransAlta determines that there would remain outstanding immediately after the conversion, less than 1,000,000 Series F Shares, holders of Series E Shares shall not be entitled to convert their shares into Series F Shares on the Conversion Date. There are currently 9,000,000 Series E Shares outstanding.

The Series E Shares are issued in “book entry only” form and must be purchased or transferred through a participant in the CDS depository service (“CDS Participant”). All rights of holders of Series E Shares must be exercised through CDS or the CDS Participant through which the Series E Shares are held. The deadline for the registered shareholder to provide notice of exercise of the right to convert Series E Shares into Series F Shares is 3:00 p.m. (MST) / 5:00 p.m. (EST) on September 15, 2017. Any notices received after this deadline will not be valid. As such, holders of Series E Shares who wish to exercise their right to convert their shares should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

If TransAlta does not receive an election notice from a holder of Series E Shares during the time fixed therefor, then the Series E Shares shall be deemed not to have been converted (except in the case of an automatic conversion). Holders of the Series E Shares and the Series F Shares will have the opportunity to convert their shares again on September 30, 2022, and every five years thereafter as long as the shares remain outstanding.

The Toronto Stock Exchange (TSX) has conditionally approved the listing of the Series F Shares effective upon conversion. Listing of the Series F Shares is subject to TransAlta fulfilling all the listing requirements of the TSX.

TA.PR.H is a FixedReset, 5.00%+365, that commenced trading 2012-8-10 after being announced 2012-8-2. The issue is tracked by HIMIPref™ but has been assigned to the Scraps index on credit concerns.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., TA.PR.H and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_170831
Click for Big

The market appears to have a distaste at the moment for floating rate product; most of the implied rates until the next interconversion are lower than the current 3-month bill rate and the averages for investment-grade and junk issues are both below current market rates, at +0.32% and +0.42%, respectively! Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the TA.PR.H FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for TA.PR.H) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.00% 0.50% 0.00%
TA.PR.H 21.07 365bp 20.54 20.06 19.58

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts. Therefore, it seems likely that I will recommend that holders of TA.PR.H continue to hold the issue and not to convert, but I will wait until it’s closer to the September 15 notification deadline before making a final pronouncement. I will note that, given the apparent cheapness of the FloatingResets, it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions

ALA.PR.U To Reset At 5.29%

Thursday, August 31st, 2017

AltaGas Ltd. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Five-Year Rate Reset Preferred Shares, Series C (the “Series C Shares”) (TSX:ALA.PR.U) on September 30, 2017. As a result, subject to certain conditions, the holders of the Series C Shares have the right to convert all or part of their Series C Shares on a one-for-one basis into Cumulative Redeemable Floating Rate Preferred Shares, Series D of AltaGas (the “Series D Shares”) on September 30, 2017. Holders who do not exercise their right to convert their Series C Shares into Series D Shares will retain their Series C Shares.

The foregoing conversion right is subject to the conditions that: (i) if AltaGas determines that there would be less than 1,000,000 Series C Shares outstanding after September 30, 2017, then all remaining Series C Shares will automatically be converted into Series D Shares on a one-for-one basis on September 30, 2017; and (ii) alternatively, if AltaGas determines that there would be less than 1,000,000 Series D Shares outstanding after September 30, 2017, no Series C Shares will be converted into Series D Shares. There are currently 8,000,000 Series C Shares outstanding.

With respect to any Series C Shares that remain outstanding after September 30, 2017, holders shall be entitled to receive, as and when declared by the Board of Directors of AltaGas, fixed cumulative preferential cash dividends, payable quarterly. The new annual dividend rate applicable to the Series C Shares for the five-year period commencing on September 30, 2017 to, but excluding, September 30, 2022 will be 5.29 percent, being equal to the five-year United States Government bond yield of 1.71 percent determined as of today plus 3.58 percent.

With respect to any Series D Shares that may be issued on September 30, 2017, holders shall be entitled to receive, as and when declared by the Board of Directors of AltaGas, quarterly floating rate cumulative preferential cash dividends. The dividend rate applicable to the Series D Shares for the three-month floating rate period commencing on September 30, 2017 to, but excluding, December 31, 2017 will be 4.62 percent, based on the annual rate on three-month United States Government treasury bills for the most recent treasury bills auction of 1.04 percent plus 3.58 percent (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series C Shares who wish to exercise their right of conversion during the conversion period, which runs from August 31, 2017 until 5:00 p.m. (Toronto time) on September 15, 2017, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps. Any notices received after this deadline will not be valid.

Subject to the terms and conditions of the Series C Shares and Series D Shares and AltaGas’ right to redeem such shares, holders of the Series C Shares and the Series D Shares will have the opportunity to convert their shares again on September 30, 2022, and every five years thereafter as long as the Series C and Series D Shares remain outstanding.

ALA.PR.U was issued FixedReset, US-Pay, 4.40%+358, that commenced trading 2012-6-6 after being announced 2012-5-29.

As this is a USD-denominated issue it is not tracked by HIMIPref™ and there will be no recommendation regarding converting or holding.

IGM.PR.B Downgraded to P-2(High) by S&P

Thursday, August 31st, 2017

Standard & Poor’s has announced:

  • •On Aug. 31, 2017, IGM announced the closing of a minority stake acquisition in China Asset Management Co. Ltd.
  • •We revised the financial risk profile assessment to “modest” from “minimal” because of the increase in debt to fund the transaction combined with lower coverage metrics.
  • •We are lowering our long-term issuer credit rating and unsecured debt ratings on IGM to ‘A’ from ‘A+’ and lowering our preferred stock ratings to ‘BBB+/P-2(high)’ from ‘A-/P-1(low)’. We are also removing these ratings from CreditWatch, where they were placed with negative implications on Dec. 29, 2016.
  • •The stable outlook on IGM reflects our expectation that the company will operate with leverage levels slightly below 1.5x and interest coverage metrics between 9x and 10x during the next 18 to 24 months. It also incorporates our view that investment performance will remain solid and assets under management will grow organically at a modest pace.


The downgrade of IGM reflects the completion of the China Asset Management Co. Ltd. (CAMC) transaction, which was initially announced in December 2016. Through Mackenzie Investments, a subsidiary of IGM, the company acquired a 13.9% stake in CAMC for a purchase price of approximately C$633 million. The acquisition was funded primarily through the issuance of C$600 million in unsecured notes (split in a C$400 million 10-year tranche and a C$200 million 30-year tranche) in January 2017.

The stable outlook reflects S&P Global Ratings’ expectation that IGM will operate with leverage metrics slightly below 1.5x and interest coverage metrics between 9x and 10x during the next 18 to 24 months. The stable outlook also incorporates our expectation that IGM will continue to exhibit positive organic inflows, solid investment performance and sizeable on-balance-sheet investments.

S&P’s Credit Watch Negative was reported on PrefBlog.

IGM.PR.B is a 5.90% Straight Perpetual that commenced trading 2009-12-8 after being announced 2009-11-30. The issue was poorly received and underwriters had to blow out their inventory shortly after opening day.

The issue is tracked by HIMIPref™ and is included in the PerpetualPremium subindex.

August 31, 2017

Thursday, August 31st, 2017

Natalie Obiko Pearson of Bloomberg comes up with an explanation of housing costs that’s as good as any I’ve seen:

In the spring of 2012, Dustan Woodhouse, then a 40-year-old Vancouver mortgage broker, broke the cardinal rule of saving for retirement: he liquidated his retirement fund, took the tax hit and plowed the rest into the local real estate market.

“People told me I was crazy,” says Woodhouse, 45, whose plan is to buy and have paid off 10 such investments by his late sixties. “But that’s our pension — that’s what that property is.”

Woodhouse’s decision to flout traditional investment strategies has so far proved to be a winner. With the roughly C$60,000 ($47,000) he had in hand, he took out a mortgage and bought a wood-shingled townhouse near a coastal inlet east of Vancouver for C$240,000. Five years later, he figures his house has risen about 60 percent in value if sales of nearby properties are anything to go by. In the meantime, he’s accrued a nest egg of roughly C$24,000 from rental income, even after accounting for expenses, mortgage payments and taxes.

The price of a typical detached home in Vancouver rose 69 percent in the five years through July, compared with a return of 51 percent for the S&P/TSX Composite Index, the country’s benchmark equity index, and 7.6 percent for Canadian government bonds. Some 41 percent of baby boomers said home equity made up more than 60 percent of their household wealth, according to a survey by Manuflife Bank published in May. For 21 percent, it made up more than 80 percent.

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 1.1976 % 2,361.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1976 % 4,333.2
Floater 3.67 % 3.70 % 115,797 17.99 3 1.1976 % 2,497.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1574 % 3,088.6
SplitShare 4.72 % 3.89 % 53,690 1.32 5 0.1574 % 3,688.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1574 % 2,877.9
Perpetual-Premium 5.40 % 4.84 % 55,641 6.06 17 -0.0650 % 2,781.1
Perpetual-Discount 5.31 % 5.34 % 60,821 14.87 20 0.0256 % 2,928.3
FixedReset 4.37 % 4.42 % 144,887 6.33 98 0.1589 % 2,391.6
Deemed-Retractible 5.10 % 5.41 % 101,235 6.08 31 0.0807 % 2,875.6
FloatingReset 2.63 % 3.13 % 41,034 4.17 9 0.1534 % 2,619.7
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 22.02
Evaluated at bid price : 22.39
Bid-YTW : 5.55 %
BAM.PF.B FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 22.30
Evaluated at bid price : 22.67
Bid-YTW : 4.64 %
CM.PR.O FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 21.64
Evaluated at bid price : 22.07
Bid-YTW : 4.38 %
PWF.PR.Z Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 24.41
Evaluated at bid price : 24.80
Bid-YTW : 5.30 %
MFC.PR.C Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.72
Bid-YTW : 6.78 %
MFC.PR.M FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.86
Bid-YTW : 6.01 %
BAM.PR.B Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 3.70 %
SLF.PR.H FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 5.89 %
BAM.PR.C Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 14.09
Evaluated at bid price : 14.09
Bid-YTW : 3.70 %
SLF.PR.J FloatingReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.85
Bid-YTW : 7.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.E Deemed-Retractible 181,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 5.62 %
CM.PR.R FixedReset 145,965 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.55 %
RY.PR.B Deemed-Retractible 110,442 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 1.90 %
RY.PR.R FixedReset 81,190 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.60 %
TD.PF.C FixedReset 52,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 4.36 %
TRP.PR.J FixedReset 42,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.61
Bid-YTW : 3.67 %
There were 14 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: 24.70 – 25.25
Spot Rate : 0.5500
Average : 0.3933

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.41 %

BAM.PF.D Perpetual-Discount Quote: 22.39 – 22.78
Spot Rate : 0.3900
Average : 0.2682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 22.02
Evaluated at bid price : 22.39
Bid-YTW : 5.55 %

BMO.PR.B FixedReset Quote: 26.13 – 26.40
Spot Rate : 0.2700
Average : 0.1559

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 3.79 %

BNS.PR.D FloatingReset Quote: 22.24 – 22.49
Spot Rate : 0.2500
Average : 0.1378

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.24
Bid-YTW : 4.53 %

TRP.PR.A FixedReset Quote: 19.26 – 19.56
Spot Rate : 0.3000
Average : 0.1962

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.45 %

RY.PR.O Perpetual-Premium Quote: 25.20 – 25.47
Spot Rate : 0.2700
Average : 0.1729

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.81 %

MFC.PR.I : Convert or Hold?

Thursday, August 31st, 2017

It will be recalled that MFC.PR.I will reset to 4.351% (paid on par) effective September 19.

Holders of MFC.PR.I have the option to convert to FloatingResets, which will pay 3-month bills plus 286bp on the par value of $25.00, reset quarterly. The deadline for notifying the company of the intent to convert is 5:00 p.m. (Toronto time) on September 5, 2017; but note that this is a company deadline and that brokers will generally set their deadlines a day or two in advance, so there’s not much time to lose if you’re planning to convert! However, if you miss the brokerage deadline they’ll probably do it on a ‘best efforts’ basis if you grovel in a sufficiently entertaining fashion. The ticker for the new FloatingReset, if it is issued, will be MFC.PR.T.

MFC.PR.I is a FixedReset, 4.40%+286, that commenced trading 2012-5-24 after being announced 2012-5-16. It is tracked by HIMIPref™ and is included in the FixedReset subindex. The extension of this issue was announced 2017-7-27.

As this issue (and the possibly forthcoming MFC.PR.T) is not NVCC compliant, it is analyzed as having a Deemed Retraction.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., MFC.PR.I and the FloatingReset MFC.PR.T that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_170830
Click for Big

The market appears to have a distaste at the moment for floating rate product; most of the implied rates until the next interconversion are lower than the current 3-month bill rate and the averages for investment-grade and junk issues are both well below current market rates, at +0.29% and +0.28%, respectively! Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the MFC.PR.I FixedReset, we may construct the following table showing consistent prices for its soon-to-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset MFC.PR.T (received in exchange for MFC.PR.I) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread +1.00% +0.50% 0.00%
MFC.PR.I 23.64 286bp 23.14 22.62 22.11

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts. Therefore, I recommend that holders of MFC.PR.I continue to hold the issue and not to convert. I will note that, given the apparent cheapness of the FloatingResets, it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the new pair will reflect these conditions.

August 30, 2017

Wednesday, August 30th, 2017

PerpetualDiscounts now yield 5.35%, equivalent to 6.96% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a slight (and perhaps spurious) widening from the 305bp reported August 23.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0240 % 2,333.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0240 % 4,281.9
Floater 3.71 % 3.75 % 119,603 17.89 3 0.0240 % 2,467.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1340 % 3,083.8
SplitShare 4.72 % 4.10 % 49,704 1.32 5 0.1340 % 3,682.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1340 % 2,873.4
Perpetual-Premium 5.40 % 4.81 % 54,898 5.87 17 0.0000 % 2,782.9
Perpetual-Discount 5.31 % 5.35 % 61,042 14.87 20 0.0341 % 2,927.6
FixedReset 4.37 % 4.43 % 147,177 6.32 98 0.1921 % 2,387.8
Deemed-Retractible 5.10 % 5.46 % 102,638 6.08 31 0.0388 % 2,873.3
FloatingReset 2.63 % 3.09 % 39,474 4.18 9 0.0205 % 2,615.6
Performance Highlights
Issue Index Change Notes
PWF.PR.Z Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 24.13
Evaluated at bid price : 24.50
Bid-YTW : 5.36 %
IFC.PR.A FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 7.04 %
CU.PR.C FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 4.58 %
IAG.PR.A Deemed-Retractible 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 6.16 %
VNR.PR.A FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 21.50
Evaluated at bid price : 21.81
Bid-YTW : 5.03 %
TRP.PR.D FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 21.72
Evaluated at bid price : 22.18
Bid-YTW : 4.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.B Deemed-Retractible 200,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-29
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 2.24 %
GWO.PR.I Deemed-Retractible 102,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.56
Bid-YTW : 6.87 %
TD.PF.A FixedReset 86,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 4.37 %
NA.PR.A FixedReset 41,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 4.14 %
CM.PR.R FixedReset 35,833 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.57 %
CU.PR.I FixedReset 31,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.53 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 23.67 – 24.17
Spot Rate : 0.5000
Average : 0.3956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 22.78
Evaluated at bid price : 23.67
Bid-YTW : 4.58 %

MFC.PR.M FixedReset Quote: 21.57 – 21.85
Spot Rate : 0.2800
Average : 0.1764

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.57
Bid-YTW : 6.22 %

BAM.PF.B FixedReset Quote: 22.42 – 22.70
Spot Rate : 0.2800
Average : 0.1906

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 21.88
Evaluated at bid price : 22.42
Bid-YTW : 4.68 %

MFC.PR.L FixedReset Quote: 20.63 – 20.94
Spot Rate : 0.3100
Average : 0.2356

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.63
Bid-YTW : 6.78 %

CU.PR.H Perpetual-Premium Quote: 24.90 – 25.25
Spot Rate : 0.3500
Average : 0.2776

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 24.48
Evaluated at bid price : 24.90
Bid-YTW : 5.28 %

TD.PF.E FixedReset Quote: 24.00 – 24.23
Spot Rate : 0.2300
Average : 0.1608

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 22.95
Evaluated at bid price : 24.00
Bid-YTW : 4.43 %

August 29, 2017

Tuesday, August 29th, 2017

Conversion to T+2 settlement is now underway:

The implementation of T+2 settlement formally takes place next week, on Tues. Sept. 5, but the transition effectively begins on Mon. Aug. 28.

The Canadian Capital Markets Association (CCMA) has published a support plan stressing that the move to shorter settlement cycles “is more than a one-day event.” The transition starts with the last few days of T+3 trading, it notes, and ends Sept. 8, “assuming everything goes as planned.”

The shift to T+2 involves all segments of the investment industry, including brokerage firms, investors, exchanges and other components of trading infrastructure.

It’s a good move, reducing counterparty exposure during the pre-settlement period, but doesn’t go far enough. Why isn’t T+1 standard?

The newest crypto-currency is WhopperCoins:

Fast-food chain Burger King has launched its own crypto-currency, called WhopperCoin, in Russia.

Customers will be able to claim one coin for every rouble (1.3p) they spend on the Whopper sandwich.

Russians will be able to buy a Whopper with the virtual cash, once they have amassed 1,700 whoppercoins.

The company said it would release Apple and Android apps next month so people could save, share and trade their wallet full of whoppercoins.

It’s a great idea – I don’t know what, if anything, Aimia’s doing to exploit this new technology.

The OSC Superannuation Company, which has the official name of Canadian Foundation for Advancement of Investor Rights, “FAIR Canada” for short, has appointed a new Executive Director:

Fair Canada Chair, Ermanno Pascutto, announced that Frank Allen, a seasoned securities lawyer and executive leader, has been appointed its Executive Director. Frank begins his role effective immediately.

Frank also acted as the General Counsel at the Ontario Securities Commission and played a leading role in the development and drafting of the OSC’s rule protecting minority security holders in related party transactions.

Mr. Allen’s tenure at the OSC was from January 1988 to January 1990, thus overlapping with FAIR’s founder and Chair Ermanno Pascutto’s tenure as OSC Executive Director from 1984-89.

Long term readers will remember that FAIR and the OSC have been in bed together for a long time – I regard FAIR as nothing more than a stalking horse for the OSC. However, there is a chance – just a chance, but it’s there! – that we will soon have seen the last of FAIR, as indicated by their Annual Report to June 30, 2016:

fairfunding
Click for Big

We’ll see what happens!

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 -1.2071 % 2,333.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2071 % 4,280.9
Floater 3.71 % 3.76 % 124,463 17.87 3 -1.2071 % 2,467.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0709 % 3,079.6
SplitShare 4.73 % 4.17 % 51,743 1.32 5 -0.0709 % 3,677.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0709 % 2,869.5
Perpetual-Premium 5.40 % 4.81 % 53,980 5.87 17 0.0255 % 2,782.9
Perpetual-Discount 5.31 % 5.34 % 62,043 14.87 20 0.0234 % 2,926.6
FixedReset 4.38 % 4.43 % 148,656 6.32 98 -0.5103 % 2,383.3
Deemed-Retractible 5.07 % 5.51 % 103,167 6.03 31 0.0653 % 2,872.2
FloatingReset 2.63 % 3.08 % 40,062 4.18 9 -0.2752 % 2,615.1
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 3.76 %
BMO.PR.Y FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.65
Evaluated at bid price : 23.36
Bid-YTW : 4.44 %
IFC.PR.C FixedReset -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 5.79 %
CM.PR.O FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.44 %
TRP.PR.H FloatingReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.31 %
PWF.PR.P FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.53 %
RY.PR.J FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.63
Evaluated at bid price : 23.26
Bid-YTW : 4.47 %
MFC.PR.G FixedReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.13 %
MFC.PR.K FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 6.41 %
BAM.PF.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.92
Evaluated at bid price : 22.49
Bid-YTW : 4.66 %
TRP.PR.D FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.48
Evaluated at bid price : 21.83
Bid-YTW : 4.51 %
TRP.PR.C FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 4.54 %
MFC.PR.L FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.76 %
MFC.PR.F FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.80
Bid-YTW : 8.57 %
BAM.PF.E FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.97
Evaluated at bid price : 22.24
Bid-YTW : 4.70 %
BMO.PR.T FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.37 %
BAM.PR.K Floater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 3.76 %
TRP.PR.B FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.50 %
TD.PF.D FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.79
Evaluated at bid price : 23.61
Bid-YTW : 4.44 %
EML.PR.A FixedReset -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.18 %
TD.PF.A FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.36
Evaluated at bid price : 21.68
Bid-YTW : 4.38 %
BAM.PR.X FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.64 %
CU.PR.C FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.64 %
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 : 19.69
Bid-YTW : 7.21 %
RY.PR.Z FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.35 %
RY.PR.M FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.39
Evaluated at bid price : 22.96
Bid-YTW : 4.40 %
ELF.PR.G Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.09
Evaluated at bid price : 22.37
Bid-YTW : 5.37 %
BMO.PR.W FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 4.41 %
MFC.PR.N FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.64
Bid-YTW : 6.09 %
RY.PR.H FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.38 %
POW.PR.D Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 129,575 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 4.00 %
RY.PR.B Deemed-Retractible 100,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-28
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 2.08 %
GWO.PR.H Deemed-Retractible 80,191 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.38
Bid-YTW : 6.12 %
IFC.PR.F Deemed-Retractible 53,392 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 5.51 %
PWF.PR.T FixedReset 33,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.62
Evaluated at bid price : 23.05
Bid-YTW : 4.26 %
BAM.PR.K Floater 32,048 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 3.76 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 22.24 – 22.72
Spot Rate : 0.4800
Average : 0.3061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.97
Evaluated at bid price : 22.24
Bid-YTW : 4.70 %

EML.PR.A FixedReset Quote: 26.50 – 26.90
Spot Rate : 0.4000
Average : 0.2517

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.18 %

TRP.PR.G FixedReset Quote: 23.79 – 24.20
Spot Rate : 0.4100
Average : 0.2811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.84
Evaluated at bid price : 23.79
Bid-YTW : 4.55 %

TRP.PR.D FixedReset Quote: 21.83 – 22.17
Spot Rate : 0.3400
Average : 0.2118

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.48
Evaluated at bid price : 21.83
Bid-YTW : 4.51 %

BMO.PR.Y FixedReset Quote: 23.36 – 23.81
Spot Rate : 0.4500
Average : 0.3231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.65
Evaluated at bid price : 23.36
Bid-YTW : 4.44 %

BAM.PR.R FixedReset Quote: 19.86 – 20.25
Spot Rate : 0.3900
Average : 0.2674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.67 %

August 28, 2017

Monday, August 28th, 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 0.6192 % 2,361.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6192 % 4,333.2
Floater 3.67 % 3.70 % 118,063 18.01 3 0.6192 % 2,497.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,081.8
SplitShare 4.73 % 4.13 % 50,580 1.32 5 0.0158 % 3,680.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 2,871.6
Perpetual-Premium 5.40 % 4.77 % 55,698 5.87 17 0.0070 % 2,782.2
Perpetual-Discount 5.31 % 5.34 % 64,628 14.89 20 -0.0192 % 2,925.9
FixedReset 4.36 % 4.40 % 147,923 6.33 98 -0.1165 % 2,395.5
Deemed-Retractible 5.07 % 5.50 % 103,742 6.03 31 0.0808 % 2,870.3
FloatingReset 2.62 % 3.00 % 39,833 4.18 9 0.2182 % 2,622.3
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 22.80
Evaluated at bid price : 23.61
Bid-YTW : 5.31 %
HSE.PR.C FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 22.32
Evaluated at bid price : 22.69
Bid-YTW : 5.17 %
TRP.PR.F FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 3.38 %
IAG.PR.A Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.30 %
TRP.PR.H FloatingReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 125,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.59 %
RY.PR.Q FixedReset 94,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.49 %
RY.PR.I FixedReset 78,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 3.77 %
CM.PR.R FixedReset 76,532 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.55 %
IFC.PR.F Deemed-Retractible 54,250 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 5.55 %
TD.PF.A FixedReset 37,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 4.33 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Discount Quote: 23.90 – 24.40
Spot Rate : 0.5000
Average : 0.3454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.29 %

W.PR.H Perpetual-Discount Quote: 24.56 – 24.94
Spot Rate : 0.3800
Average : 0.2315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 5.67 %

RY.PR.L FixedReset Quote: 25.25 – 25.59
Spot Rate : 0.3400
Average : 0.1945

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.61 %

SLF.PR.I FixedReset Quote: 23.18 – 23.53
Spot Rate : 0.3500
Average : 0.2066

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.18
Bid-YTW : 5.13 %

MFC.PR.C Deemed-Retractible Quote: 21.46 – 21.89
Spot Rate : 0.4300
Average : 0.2903

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 6.97 %

GWO.PR.L Deemed-Retractible Quote: 25.72 – 26.18
Spot Rate : 0.4600
Average : 0.3304

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : 2.76 %

August 25, 2017

Monday, August 28th, 2017

Sorry it’s late!

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 0.0477 % 2,347.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0477 % 4,306.6
Floater 3.69 % 3.73 % 116,588 17.95 3 0.0477 % 2,481.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1183 % 3,081.3
SplitShare 4.73 % 4.02 % 52,658 1.33 5 0.1183 % 3,679.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1183 % 2,871.1
Perpetual-Premium 5.40 % 4.80 % 56,233 2.43 17 0.0767 % 2,782.0
Perpetual-Discount 5.31 % 5.34 % 63,052 14.89 20 -0.1022 % 2,926.4
FixedReset 4.35 % 4.36 % 144,332 6.34 98 0.3518 % 2,398.3
Deemed-Retractible 5.07 % 5.50 % 104,971 6.04 31 0.0308 % 2,868.0
FloatingReset 2.63 % 3.05 % 40,398 4.19 9 -0.0765 % 2,616.6
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 3.33 %
RY.PR.W Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.01 %
PWF.PR.Z Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 24.15
Evaluated at bid price : 24.52
Bid-YTW : 5.35 %
POW.PR.D Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.24 %
TRP.PR.D FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 4.43 %
BMO.PR.T FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 4.28 %
TD.PF.D FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 22.92
Evaluated at bid price : 23.86
Bid-YTW : 4.36 %
CM.PR.P FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.30 %
BMO.PR.W FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.29 %
RY.PR.J FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 22.79
Evaluated at bid price : 23.56
Bid-YTW : 4.37 %
SLF.PR.D Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.98 %
HSE.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.63 %
TD.PF.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 4.30 %
TD.PF.E FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 23.06
Evaluated at bid price : 24.26
Bid-YTW : 4.35 %
PWF.PR.P FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 4.40 %
TD.PF.B FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 4.32 %
TRP.PR.E FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 22.03
Evaluated at bid price : 22.26
Bid-YTW : 4.40 %
BMO.PR.Y FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 22.86
Evaluated at bid price : 23.77
Bid-YTW : 4.32 %
HSE.PR.G FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 23.01
Evaluated at bid price : 24.02
Bid-YTW : 5.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 317,045 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.56 %
RY.PR.R FixedReset 258,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.79
Bid-YTW : 3.59 %
MFC.PR.I FixedReset 164,421 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 5.15 %
BMO.PR.S FixedReset 131,767 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.81
Evaluated at bid price : 22.31
Bid-YTW : 4.29 %
BMO.PR.R FloatingReset 99,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.27
Bid-YTW : 2.97 %
RY.PR.Q FixedReset 91,621 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.79
Bid-YTW : 3.47 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.W Perpetual-Discount Quote: 24.52 – 24.95
Spot Rate : 0.4300
Average : 0.2751

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.01 %

TRP.PR.H FloatingReset Quote: 15.02 – 15.68
Spot Rate : 0.6600
Average : 0.5172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 3.33 %

MFC.PR.H FixedReset Quote: 24.36 – 24.76
Spot Rate : 0.4000
Average : 0.2611

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 5.02 %

BMO.PR.C FixedReset Quote: 25.40 – 25.70
Spot Rate : 0.3000
Average : 0.1740

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.14 %

GWO.PR.P Deemed-Retractible Quote: 25.18 – 25.55
Spot Rate : 0.3700
Average : 0.2460

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.45 %

W.PR.M FixedReset Quote: 26.18 – 26.50
Spot Rate : 0.3200
Average : 0.2159

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 4.13 %

August 24, 2017

Thursday, August 24th, 2017

Some hilarity about account statements:

Whether it’s out of dread or complacency, a lot of investors aren’t reading their account statements.

That’s the conclusion to be drawn from a J.D. Power survey in which investors were asked if they noticed any change during the past year in how fees and performance information was communicated by their advisory firm. Just 23 per cent noticed a change, a strikingly low number in light of the fact that new regulatory transparency rules have added some key data to client statements. Over all, the number of investors reporting a complete understanding of fees was 24 per cent, down from 27 per cent in 2016.

Let us all congratulate the Canadian Securities Administrators on their fine work in performing user acceptance testing prior to enacting a vast load of idiocy!

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 -0.1665 % 2,345.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1665 % 4,304.5
Floater 3.69 % 3.73 % 116,545 17.94 3 -0.1665 % 2,480.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1103 % 3,077.7
SplitShare 4.73 % 3.98 % 54,382 1.34 5 -0.1103 % 3,675.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1103 % 2,867.7
Perpetual-Premium 5.40 % 4.80 % 57,680 5.88 17 0.0093 % 2,779.9
Perpetual-Discount 5.31 % 5.32 % 64,078 14.89 20 -0.0021 % 2,929.4
FixedReset 4.36 % 4.41 % 139,871 6.35 98 0.2956 % 2,389.9
Deemed-Retractible 5.07 % 5.49 % 105,819 6.04 31 -0.0815 % 2,867.1
FloatingReset 2.62 % 3.04 % 39,708 4.19 9 -0.0204 % 2,618.6
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 22.83
Evaluated at bid price : 23.67
Bid-YTW : 5.26 %
HSE.PR.A FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.68 %
BAM.PR.X FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 4.55 %
RY.PR.Z FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 4.30 %
TD.PF.C FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.36 %
NA.PR.W FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.38 %
IFC.PR.A FixedReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.02
Bid-YTW : 6.89 %
MFC.PR.J FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 5.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.B Deemed-Retractible 319,647 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-23
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 1.29 %
TD.PR.Z FloatingReset 211,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.46
Bid-YTW : 2.82 %
RY.PR.R FixedReset 160,498 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.54 %
RY.PR.L FixedReset 104,117 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.67 %
TRP.PR.J FixedReset 72,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 3.67 %
HSE.PR.A FixedReset 67,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.68 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 15.26 – 15.80
Spot Rate : 0.5400
Average : 0.3607

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 3.27 %

VNR.PR.A FixedReset Quote: 21.40 – 21.90
Spot Rate : 0.5000
Average : 0.3628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.10 %

GWO.PR.I Deemed-Retractible Quote: 21.91 – 22.25
Spot Rate : 0.3400
Average : 0.2031

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.91
Bid-YTW : 6.80 %

HSE.PR.E FixedReset Quote: 23.71 – 24.14
Spot Rate : 0.4300
Average : 0.2997

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 22.89
Evaluated at bid price : 23.71
Bid-YTW : 5.28 %

PVS.PR.E SplitShare Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2653

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-23
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : -2.31 %

TRP.PR.A FixedReset Quote: 19.30 – 19.71
Spot Rate : 0.4100
Average : 0.2910

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.47 %