Archive for May, 2018

May 31, 2018

Thursday, May 31st, 2018

The regulators’ campaign to eliminate competition in the Canadian financial services industry continues to bear fruit:

Bank of Nova Scotia is extending a string of acquisitions with a $2.6-billion deal to buy MD Financial Management, a leading wealth-management company catering to doctors.

Headquartered in Ottawa with more then $49-billion in assets under management, MD Financial specializes in providing financial products, services and investment counselling to physicians and their families.

As part of the deal, Scotiabank has also struck a 10-year agreement with the Canadian Medical Association (CMA), which owns MD Financial, to promote the bank as its “preferred provider” of financial services to Canadian doctors.

The acquisition builds on a pledge Scotiabank has made to invest in its wealth-management arm, which currently contributes about 12 per cent of the bank’s total earnings. In February, Scotiabank announced a deal to acquire investment firm Jarislowsky Fraser Ltd. for $950-million, bolstering its asset-management offerings for institutional investors.

MD has about 250 financial consultants, 80 portfolio managers and 40 estate, trust and insurance advisors.

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 -0.2631 % 2,983.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2631 % 5,474.6
Floater 3.35 % 3.59 % 68,704 18.25 4 -0.2631 % 3,155.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,179.2
SplitShare 4.62 % 4.55 % 82,081 5.04 5 0.0000 % 3,796.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,962.3
Perpetual-Premium 5.62 % -5.07 % 62,485 0.08 10 -0.0826 % 2,873.1
Perpetual-Discount 5.42 % 5.51 % 62,255 14.61 24 -0.1973 % 2,940.1
FixedReset 4.32 % 4.72 % 156,218 5.65 105 -0.2860 % 2,529.7
Deemed-Retractible 5.18 % 5.68 % 75,056 5.59 27 -0.1431 % 2,943.2
FloatingReset 3.23 % 3.90 % 34,721 3.48 8 -0.3778 % 2,778.0
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.61
Bid-YTW : 7.85 %
TRP.PR.H FloatingReset -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 3.90 %
TRP.PR.B FixedReset -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.02 %
BAM.PF.E FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 22.73
Evaluated at bid price : 23.09
Bid-YTW : 5.12 %
PWF.PR.P FixedReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.66 %
MFC.PR.B Deemed-Retractible -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 7.44 %
NA.PR.E FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 22.74
Evaluated at bid price : 23.90
Bid-YTW : 4.88 %
BAM.PR.R FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 5.26 %
BNS.PR.D FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 4.15 %
MFC.PR.H FixedReset -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.19 %
BAM.PF.B FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 22.89
Evaluated at bid price : 23.50
Bid-YTW : 5.10 %
TRP.PR.G FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 23.10
Evaluated at bid price : 24.09
Bid-YTW : 5.08 %
HSE.PR.C FixedReset 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 23.57
Evaluated at bid price : 24.66
Bid-YTW : 5.31 %
Volume Highlights
Issue Index Shares
Traded
Notes
EMA.PR.H FixedReset 1,345,583 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 23.11
Evaluated at bid price : 24.88
Bid-YTW : 4.85 %
RY.PR.I FixedReset 388,906 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.11 %
MFC.PR.H FixedReset 171,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.19 %
IFC.PR.G FixedReset 99,750 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 5.15 %
NA.PR.E FixedReset 66,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 22.74
Evaluated at bid price : 23.90
Bid-YTW : 4.88 %
MFC.PR.Q FixedReset 65,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.96 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.B FixedReset Quote: 16.40 – 17.25
Spot Rate : 0.8500
Average : 0.5335

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.02 %

GWO.PR.N FixedReset Quote: 18.61 – 19.25
Spot Rate : 0.6400
Average : 0.4311

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.61
Bid-YTW : 7.85 %

RY.PR.J FixedReset Quote: 24.24 – 24.79
Spot Rate : 0.5500
Average : 0.3589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 23.28
Evaluated at bid price : 24.24
Bid-YTW : 4.88 %

BNS.PR.D FloatingReset Quote: 23.51 – 23.98
Spot Rate : 0.4700
Average : 0.3045

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 4.15 %

MFC.PR.B Deemed-Retractible Quote: 21.38 – 21.75
Spot Rate : 0.3700
Average : 0.2155

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 7.44 %

TRP.PR.A FixedReset Quote: 19.79 – 20.50
Spot Rate : 0.7100
Average : 0.5668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-31
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 5.05 %

KML : DBRS Commences Review-Negative

Thursday, May 31st, 2018

DBRS has announced that it:

placed the following ratings Under Review with Negative Implications:

— Kinder Morgan Canada Limited (KML), Preferred Shares – Cumulative rating of Pfd-3 (high)
— Kinder Morgan Cochin ULC (KMU), Issuer Rating of BBB (high)

The rating action follows the announcement by KML’s board that the Government of Canada (Rated AAA with Stable trend by DBRS) has agreed to purchase the existing Trans Mountain Pipeline System and the $7.4 billion Trans Mountain Expansion Project (TMEP) for $4.5 billion. As part of the agreement, the Government of Canada has agreed to fund the resumption of TMEP planning and construction work by guaranteeing TMEP’s expenditures under a separate federal government recourse credit facility until the transaction closes. The parties expect to close the transaction by late Q3 2018 or early Q4 2018, subject to KML shareholder and applicable regulatory approvals.

DBRS’s view is that, following the sale of the Trans Mountain Pipeline System and TMEP to the Government of Canada, KMU’s residual assets may not be supportive of the BBB (high) rating. The Company will continue to operate an integrated network of crude oil tank storage and rail terminals in Alberta; the Vancouver Wharves Terminal, a mineral concentrate export/import facility; and the Canadian portion of the Cochin Pipeline system, which transports light condensate originating from the United States to Fort Saskatchewan. Although the TMEP project overhang and legal risks are removed for the Company, the remaining assets have a relatively weaker credit profile compared with the assets being sold. The existing assets are contractually supported, but they lack the scale, diversification and the rate-regulated underpinnings that the Company had prior to the sale. Furthermore, the contract duration for the remaining assets are shorter, with a mix of investment grade and non-investment counterparties. DBRS notes that the Company had minimal debt at Q1 2018 and the capital expenditure requirements going forward are expected to be reasonable.

Affected issues are KML.PR.A and KML.PR.C

May 30, 2018

Wednesday, May 30th, 2018

The Bank of Canada has announced:

The Bank of Canada today maintained its target for the overnight rate at 1¼ per cent. The Bank Rate is correspondingly 1½ per cent and the deposit rate is 1 per cent.

Global economic activity remains broadly on track with the Bank’s April Monetary Policy Report (MPR) forecast. Recent data point to some upside to the outlook for the US economy. At the same time, ongoing uncertainty about trade policies is dampening global business investment and stresses are developing in some emerging market economies. Global oil prices have been higher than assumed in April, in part reflecting geopolitical developments.

Inflation in Canada has been close to the 2 per cent target and will likely be a bit higher in the near term than forecast in April, largely because of recent increases in gasoline prices. Core measures of inflation remain near 2 per cent, consistent with an economy operating close to potential. As usual, the Bank will look through the transitory impact of fluctuations in gasoline prices.

In Canada, economic data since the April MPR have, on balance, supported the Bank’s outlook for growth around 2 per cent in the first half of 2018. Activity in the first quarter appears to have been a little stronger than projected. Exports of goods were more robust than forecast, and data on imports of machinery and equipment suggest continued recovery in investment. Housing resale activity has remained soft into the second quarter, as the housing market continues to adjust to new mortgage guidelines and higher borrowing rates. Going forward, solid labour income growth supports the expectation that housing activity will pick up and consumption will continue to contribute importantly to growth in 2018.

Overall, developments since April further reinforce Governing Council’s view that higher interest rates will be warranted to keep inflation near target. Governing Council will take a gradual approach to policy adjustments, guided by incoming data. In particular, the Bank will continue to assess the economy’s sensitivity to interest rate movements and the evolution of economic capacity.

Barry McKenna of the Globe & Mail comments:

Bank of Canada Governor Stephen Poloz generally does not broadcast future rate moves with explicit forward guidance. But on Wednesday, it’s was what Mr. Poloz and members of the bank’s governing council didn’t say that shifted expectations. The statement accompanying the rate decision dropped two key phrases that have been a staple of the bank’s communication for months. Gone is the reference to being “cautious” about future policy changes. Also absent is the qualifier that higher rates will be needed “over time.”

Instead, the bank is offering new, more assertive language about where rates are headed now that the economy is running near full capacity.

“Developments since April further reinforce the governing council’s view that higher interest rates will be warranted to keep inflation near target,” the statement said. “Governing council will take a gradual approach to policy adjustments, guided by incoming data.”

The odds of a July rate hike is now just shy of 80 per cent, up from slightly more than 50 per cent on Tuesday, according to Bloomberg’s interest rate probability tracker.

Global investors decided Italy was no longer a problem:

Global stocks staged a recovery on Wednesday, buoyed by optimism that Italy may avoid a potentially damaging general election.

MSCI’s gauge of stocks across the globe gained 0.67 percent, lifted by a rebound in both Europe and the United States.

The recovery was partly driven by news that Italy’s two anti-establishment parties were renewing efforts to form a government, rather than force the country to the polls for the second time this year.

The prospect that no government would be formed, leading to elections that could be a referendum on Italy’s euro membership, had sent short-term Italian bond yields up by the most in nearly 26 years.

The loonie did well:

The Canadian dollar strengthened against its U.S. counterpart by the most in more than two months on Wednesday after the Bank of Canada left interest rates on hold but boosted expectations for a hike at its next policy meeting in July.

At 4 p.m. EDT (2000 GMT), the Canadian dollar was trading 1.1 percent higher at C$1.2876 to the greenback, or 77.66 U.S. cents, its biggest gain since March 21.

The currency, which on Tuesday touched a more than two-month low at C$1.3047, notched its strongest since May 24 at C$1.2837.

… and the five-year Canada yield spiked up to 2.13%.

So it was a good day for preferreds.

PerpetualDiscounts now yield 5.48%, equivalent to 7.12% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 330bp, a whopping increase from the 310bp reported May 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 -0.6330 % 2,991.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6330 % 5,489.1
Floater 3.34 % 3.58 % 71,377 18.29 4 -0.6330 % 3,163.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3959 % 3,179.2
SplitShare 4.62 % 4.55 % 80,372 5.04 5 -0.3959 % 3,796.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3959 % 2,962.3
Perpetual-Premium 5.61 % -6.18 % 63,219 0.09 10 0.0669 % 2,875.5
Perpetual-Discount 5.41 % 5.48 % 64,821 14.64 24 0.1185 % 2,945.9
FixedReset 4.30 % 4.69 % 156,912 5.60 104 0.5844 % 2,537.0
Deemed-Retractible 5.14 % 5.69 % 74,576 5.53 27 0.0468 % 2,947.4
FloatingReset 3.21 % 3.76 % 35,177 3.49 8 0.5746 % 2,788.6
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 23.90
Evaluated at bid price : 24.26
Bid-YTW : 5.44 %
BAM.PR.R FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 5.19 %
MFC.PR.F FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.52 %
MFC.PR.I FixedReset 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 4.48 %
RY.PR.Z FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 23.06
Evaluated at bid price : 23.62
Bid-YTW : 4.59 %
TRP.PR.G FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 22.98
Evaluated at bid price : 23.85
Bid-YTW : 5.14 %
TD.PF.B FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 23.07
Evaluated at bid price : 23.58
Bid-YTW : 4.65 %
MFC.PR.H FixedReset 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.85 %
BMO.PR.W FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 22.75
Evaluated at bid price : 23.17
Bid-YTW : 4.67 %
MFC.PR.N FixedReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.79
Bid-YTW : 5.88 %
TRP.PR.J FixedReset 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.94 %
SLF.PR.I FixedReset 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.09
Bid-YTW : 4.85 %
BNS.PR.D FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.83
Bid-YTW : 3.76 %
TD.PF.A FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 23.14
Evaluated at bid price : 23.59
Bid-YTW : 4.63 %
MFC.PR.G FixedReset 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 4.76 %
RY.PR.H FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 23.14
Evaluated at bid price : 23.63
Bid-YTW : 4.63 %
SLF.PR.G FixedReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 7.48 %
IAG.PR.G FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 5.18 %
SLF.PR.H FixedReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 5.99 %
TRP.PR.D FixedReset 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 22.08
Evaluated at bid price : 22.73
Bid-YTW : 4.97 %
BMO.PR.S FixedReset 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 23.19
Evaluated at bid price : 23.75
Bid-YTW : 4.69 %
TRP.PR.K FixedReset 1.82 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.07 %
MFC.PR.K FixedReset 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.68
Bid-YTW : 6.06 %
RY.PR.M FixedReset 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 23.10
Evaluated at bid price : 24.10
Bid-YTW : 4.76 %
TRP.PR.E FixedReset 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 21.97
Evaluated at bid price : 22.56
Bid-YTW : 4.98 %
TRP.PR.H FloatingReset 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.81 %
HSE.PR.A FixedReset 4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.29 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.G FixedReset 225,389 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 5.07 %
MFC.PR.R FixedReset 82,154 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 3.92 %
TD.PF.I FixedReset 66,867 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.40 %
TRP.PR.K FixedReset 41,566 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.07 %
TD.PF.A FixedReset 38,724 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 23.14
Evaluated at bid price : 23.59
Bid-YTW : 4.63 %
PWF.PR.K Perpetual-Discount 31,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 22.29
Evaluated at bid price : 22.56
Bid-YTW : 5.54 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Quote: 19.91 – 20.50
Spot Rate : 0.5900
Average : 0.4098

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 5.02 %

HSE.PR.C FixedReset Quote: 24.26 – 24.80
Spot Rate : 0.5400
Average : 0.3895

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 23.90
Evaluated at bid price : 24.26
Bid-YTW : 5.44 %

TRP.PR.E FixedReset Quote: 22.56 – 23.18
Spot Rate : 0.6200
Average : 0.4757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-30
Maturity Price : 21.97
Evaluated at bid price : 22.56
Bid-YTW : 4.98 %

MFC.PR.R FixedReset Quote: 25.77 – 26.08
Spot Rate : 0.3100
Average : 0.1931

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 3.92 %

MFC.PR.K FixedReset Quote: 22.68 – 23.10
Spot Rate : 0.4200
Average : 0.3053

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.68
Bid-YTW : 6.06 %

SLF.PR.J FloatingReset Quote: 19.37 – 19.70
Spot Rate : 0.3300
Average : 0.2271

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.37
Bid-YTW : 6.95 %

FFH: Outlook Positive, says S&P

Wednesday, May 30th, 2018

Standard & Poor’s has announced:

  • •Fairfax Financial Holdings Ltd. and its subsidiaries’ (collectively, FFH)
    operating earnings outlook is improving as the company redeploys its substantial cash and short-term holdings.
  • •Our view of its competitive position has strengthened in the past few years due to the addition of strong operating assets that complement FFH’s insurance platform.
  • •We are revising our outlook on FFH to positive from stable, and affirming all of our ratings.
  • •The positive outlook means that we could upgrade FFH by one notch during the next 24 months if the group improves its fixed charge coverage, supported by a stable-to-declining trend in financial leverage, and maintains very strong capitalization redundant at the ‘AA’ level.


The positive outlook reflects the expansion of operating earnings primarily driven by an increase in investment earnings that should lead to steady improvement in debt serviceability and support prospective capitalization in the next two-to-three years. In addition, we expect FFH to build on its competitive position, leveraging further the strength of its combined insurance operating platform. We also expect group enterprise risk management (ERM) practices to continue to develop reflective of a large and complex organization.

Affected issues are FFH.PR.C, FFH.PR.D, FFH.PR.E, FFH.PR.F, FFH.PR.G, FFH.PR.H, FFH.PR.I, FFH.PR.J, FFH.PR.K and FFH.PR.M.

IFC.PR.G Holds Its Own on Modest Volume

Tuesday, May 29th, 2018

Intact Financial Corporation has announced:

that it has closed its previously announced bought deal offering (the “Offering”) of Non-cumulative Rate Reset Class A Shares, Series 7 (the “Series 7 Preferred Shares”) underwritten by a syndicate of underwriters (the “Underwriters”) led by TD Securities Inc. together with BMO Capital Markets, CIBC Capital Markets and National Bank Financial, resulting in aggregate gross proceeds (including the proceeds resulting from the exercise of their option) to IFC of $250 million. The net proceeds from the Offering will be used by IFC for general corporate purposes.

The holders of Series 7 Preferred Shares will be entitled to receive fixed non-cumulative preferential cash dividends, as and when declared by the Board of Directors of IFC, on a quarterly basis (with the first quarterly dividend, covering the period from issuance to September 30, 2018, to be paid on September 28, 2018), for the initial fixed rate period ending on June 30, 2023, based on an annual rate of 4.90%. The dividend rate will be reset on June 30, 2023 and every five years thereafter at a rate equal to the 5-year Government of Canada bond yield plus 2.55%.

Holders of the Series 7 Preferred Shares will have the right, at their option, to convert their Series 7 Preferred Shares into Non-cumulative Floating Rate Class A Shares, Series 8 (the “Series 8 Preferred Shares”), subject to certain conditions, on June 30, 2023 and on June 30 every five years thereafter. The holders of Series 8 Preferred Shares will be entitled to receive floating rate non-cumulative preferential cash dividends, as and when declared by the Board of Directors of IFC, at a rate equal to the 90-day Canadian Treasury Bill rate plus 2.55%.

DBRS Limited has assigned a rating of Pfd-2 with a Stable trend for the Series 7 Preferred Shares.

The Series 7 Preferred Shares will commence trading on the Toronto Stock Exchange on May 29, 2018 under the symbol IFC.PR.G.

IFC.PR.G is a FixedReset, 4.90%+255, announced 2018-5-17. It will be tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

As this issue is not NVCC compliant, it will be analyzed as having a Deemed Retraction – that is, a “DeemedMaturity” on 2025-1-31 will be assumed. This date may change in the future. 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 463,145 shares today in a range of 24.70-92 before closing at 24.80-82. Vital statistics are:

IFC.PR.G FixedReset YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 5.09 %

The TXPR price index is down 1.45% since the close prior to announcement (that is, from the close on May 16 until the close May 29), so the issue held its own against the overall market.

May 29, 2018

Tuesday, May 29th, 2018

It used to be that bond yields were headed straight up. Not any more:

U.S. benchmark 10-year Treasury yields posted their largest one-day drop on Tuesday since Britain voted to exit the European Union nearly two years ago, as a political crisis in Italy, the third-largest euro zone economy, fueled a flight to safe-haven assets.

The steep rally in Treasury prices on Tuesday could be a blip in what has been a relentless sell-off since early September. Interest rates have been supported by the Federal Reserve’s tightening policy with 10-year Treasury yields rising to a high of 3.12 percent earlier this month.

In afternoon trading, U.S. 10-year yields dropped to seven-week lows of 2.759 percent and were last at 2.788 percent. Yields fell 14.6 basis points, the largest decline since June 24, 2016.

U.S. 10-year Treasury futures were on track to record their highest single-day volume ever, according to a CME Group spokeswoman said. As of late Tuesday, a combined 8.58 million 10-year T-note futures changed hands with roughly 5.31 million contracts for June delivery transacted TYM8, according to CME data.

The vital-for-FixedResets-and-mortgages Canada 5-year rate dropped to 2.03% … there will be some who will think that’s a typo given recent history:

goc5_180529
Click for Big

And so, of course, preferreds got whacked, with TXPR down 62bp on the day.

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 1.2399 % 3,010.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2399 % 5,524.0
Floater 3.32 % 3.56 % 73,839 18.33 4 1.2399 % 3,183.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2381 % 3,191.8
SplitShare 4.60 % 4.39 % 80,558 5.05 5 0.2381 % 3,811.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2381 % 2,974.1
Perpetual-Premium 5.62 % -7.74 % 65,355 0.09 10 -0.0236 % 2,873.6
Perpetual-Discount 5.42 % 5.50 % 64,434 14.62 24 0.0000 % 2,942.4
FixedReset 4.32 % 4.74 % 155,503 5.72 104 -0.7091 % 2,522.2
Deemed-Retractible 5.15 % 5.69 % 75,278 5.54 27 0.2380 % 2,946.0
FloatingReset 3.23 % 3.97 % 34,833 3.49 8 -0.9102 % 2,772.6
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -5.38 % A nonsensical quote from Nonsense Central, as this issue traded a whopping 2,670 shares in a range of 17.45-67 (closing at the low) before being quoted at 16.70-17.62.

I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.52 %

TRP.PR.H FloatingReset -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 3.97 %
RY.PR.M FixedReset -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.83
Evaluated at bid price : 23.55
Bid-YTW : 4.88 %
MFC.PR.K FixedReset -2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 6.44 %
TRP.PR.E FixedReset -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 21.46
Evaluated at bid price : 21.80
Bid-YTW : 5.18 %
MFC.PR.N FixedReset -2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 6.09 %
MFC.PR.M FixedReset -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 6.13 %
NA.PR.S FixedReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.77
Evaluated at bid price : 23.33
Bid-YTW : 4.86 %
SLF.PR.G FixedReset -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.06
Bid-YTW : 7.74 %
BNS.PR.D FloatingReset -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 4.15 %
RY.PR.H FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.82
Evaluated at bid price : 23.30
Bid-YTW : 4.70 %
BMO.PR.S FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.79
Evaluated at bid price : 23.34
Bid-YTW : 4.77 %
RY.PR.Z FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.81
Evaluated at bid price : 23.36
Bid-YTW : 4.64 %
SLF.PR.J FloatingReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.21
Bid-YTW : 7.09 %
IAG.PR.G FixedReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 5.45 %
BAM.PR.X FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 5.14 %
CM.PR.Q FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 23.22
Evaluated at bid price : 24.21
Bid-YTW : 4.91 %
BAM.PF.B FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.91
Evaluated at bid price : 23.52
Bid-YTW : 5.10 %
IAG.PR.I FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.05 %
CM.PR.P FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.71
Evaluated at bid price : 23.09
Bid-YTW : 4.71 %
MFC.PR.Q FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.00 %
CM.PR.O FixedReset -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.90
Evaluated at bid price : 23.40
Bid-YTW : 4.75 %
RY.PR.J FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 23.23
Evaluated at bid price : 24.15
Bid-YTW : 4.90 %
TD.PF.D FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 23.27
Evaluated at bid price : 24.32
Bid-YTW : 4.88 %
TRP.PR.K FixedReset -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 4.57 %
NA.PR.W FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.60
Evaluated at bid price : 22.97
Bid-YTW : 4.75 %
MFC.PR.L FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.48
Bid-YTW : 6.10 %
BMO.PR.W FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.50
Evaluated at bid price : 22.90
Bid-YTW : 4.73 %
CM.PR.S FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.80
Evaluated at bid price : 24.01
Bid-YTW : 4.74 %
TD.PF.B FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.81
Evaluated at bid price : 23.31
Bid-YTW : 4.71 %
PWF.PR.T FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 23.65
Evaluated at bid price : 24.29
Bid-YTW : 4.65 %
SLF.PR.H FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 6.27 %
BIP.PR.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 23.23
Evaluated at bid price : 24.20
Bid-YTW : 5.79 %
TD.PF.C FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.87
Evaluated at bid price : 23.26
Bid-YTW : 4.68 %
TD.PF.E FixedReset -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 4.71 %
GWO.PR.H Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.53 %
BAM.PR.K Floater 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.56 %
BAM.PR.C Floater 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.56 %
BAM.PR.B Floater 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.G FixedReset 463,145 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 5.09 %
TD.PF.C FixedReset 140,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.87
Evaluated at bid price : 23.26
Bid-YTW : 4.68 %
PWF.PR.I Perpetual-Premium 88,607 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-28
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : -17.29 %
TD.PF.E FixedReset 83,624 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 4.71 %
RY.PR.H FixedReset 63,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.82
Evaluated at bid price : 23.30
Bid-YTW : 4.70 %
BAM.PF.H FixedReset 52,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.18 %
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.M FixedReset Quote: 23.55 – 24.55
Spot Rate : 1.0000
Average : 0.6062

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 22.83
Evaluated at bid price : 23.55
Bid-YTW : 4.88 %

HSE.PR.A FixedReset Quote: 16.70 – 17.60
Spot Rate : 0.9000
Average : 0.5442

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.52 %

BAM.PF.G FixedReset Quote: 24.10 – 24.95
Spot Rate : 0.8500
Average : 0.5808

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 23.18
Evaluated at bid price : 24.10
Bid-YTW : 5.14 %

GWO.PR.I Deemed-Retractible Quote: 21.35 – 21.99
Spot Rate : 0.6400
Average : 0.4186

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 7.50 %

TRP.PR.K FixedReset Quote: 25.32 – 25.85
Spot Rate : 0.5300
Average : 0.3291

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 4.57 %

TRP.PR.E FixedReset Quote: 21.80 – 22.29
Spot Rate : 0.4900
Average : 0.3175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-29
Maturity Price : 21.46
Evaluated at bid price : 21.80
Bid-YTW : 5.18 %

New Issue: Global Dividend Growth Split Corp., 5%, 3-Year

Tuesday, May 29th, 2018

Global Dividend Growth Split Corp, which commenced marketing in late April has released its final prospectus on SEDAR (as usual, the Canadian Securities Administrators will not allow me to link to this public document. Search for “Global Dividend Growth Split Corp. May 23 2018 22:26:01 ET Final long form prospectus – English PDF 832 K”)”):

The investment objectives for the Preferred Shares are to provide their holders with fixed cumulative preferential quarterly cash
distributions and to return the original issue price of $10.00 to holders on June 30, 2021 (the ‘‘Maturity Date’’), subject to extension for successive terms of up to five years as determined by the board of directors of the Company. See ‘‘Investment Objectives’’. The quarterly cash distribution will be $0.1250 per Preferred Share ($0.50 per annum or 5.0% per annum) on the issue price of $10.00 per Preferred Share until June 30, 2021. See ‘‘Distribution Policy’’.

Closing of the Offering is expected to occur on or about June 15, 2018, but no later than 90 days after a receipt for this prospectus has been issued (the ‘‘Closing Date’’).

No distributions will be paid on the Class A Shares if (i) the distributions payable on the Preferred Shares are in arrears, or (ii) in respect of a cash distribution by the Company, the NAV per Unit would be less than $15.00.

Assuming that the gross proceeds of the Offering are $75 million and fees and expenses are as presented in this prospectus, in order to achieve the Company’s targeted annual distributions for the Class A Shares and the Preferred Shares while maintaining a stable NAV per Unit, the Company will be required to generate an average annual total return (comprised of net realized capital gains, option premiums and dividends) on the Portfolio of approximately 9.2%. The Portfolio currently generates dividend income of 3.2% per annum net of withholding taxes and would be required to generate an additional 6.1% per annum from other sources to return and distribute such amounts.

The Preferred Shares will be redeemed by the Company on the Maturity Date. The redemption price payable by the Company for a Preferred Share on that date will be equal to the lesser of (i) $10.00 plus any accrued and unpaid distributions thereon and (ii) the NAV of the Company on that date divided by the total number of Preferred Shares then outstanding.

Holders of Preferred Shares whose Preferred Shares are surrendered for [monthly] retraction will be entitled to receive a retraction price per Preferred Share (the “Preferred Share Retraction Price”) equal to 96% of the lesser of (i) the Net Asset Value per Unit determined as of such Retraction Date, less the cost to the Company of the purchase of a Class A Share for cancellation; and (ii) $10.00.

There is also a press release (link address adjusted 2018-6-15).

Those familiar with Split Share Credit Quality will recognize that the computed return of 9.2% required to meet the portfolio objectives is highly optimistic. The significant cash drag on the portfolio introduces material sequence of return risk and the long-term results will be highly dependent upon the variation of returns as well as their time-weighted average value.

And some will remember my views on Split Share Capital Units … although some will point out that special circumstances can alter cases.

May 28, 2018

Monday, May 28th, 2018
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 -0.0557 % 2,973.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0557 % 5,456.4
Floater 3.36 % 3.61 % 76,644 18.21 4 -0.0557 % 3,144.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1829 % 3,184.3
SplitShare 4.61 % 4.44 % 80,660 5.05 5 0.1829 % 3,802.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1829 % 2,967.0
Perpetual-Premium 5.62 % -5.63 % 64,918 0.09 10 0.0197 % 2,874.2
Perpetual-Discount 5.42 % 5.51 % 64,891 14.60 24 -0.0879 % 2,942.4
FixedReset 4.29 % 4.66 % 155,297 4.25 103 -0.2023 % 2,540.2
Deemed-Retractible 5.15 % 5.74 % 73,395 5.54 27 -0.0593 % 2,939.0
FloatingReset 3.20 % 3.66 % 34,381 3.49 8 -0.2101 % 2,798.1
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.21 %
MFC.PR.M FixedReset -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 5.77 %
CU.PR.I FixedReset -1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.49 %
BAM.PF.E FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 22.95
Evaluated at bid price : 23.31
Bid-YTW : 5.07 %
MFC.PR.K FixedReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 5.95 %
TRP.PR.G FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 22.88
Evaluated at bid price : 23.65
Bid-YTW : 5.19 %
BAM.PF.F FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 24.06
Evaluated at bid price : 24.45
Bid-YTW : 5.14 %
TRP.PR.A FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.03 %
MFC.PR.L FixedReset -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 5.88 %
BAM.PR.R FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.G Perpetual-Premium 100,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 5.50 %
PWF.PR.R Perpetual-Premium 77,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 24.65
Evaluated at bid price : 24.95
Bid-YTW : 5.56 %
GWO.PR.M Deemed-Retractible 69,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-27
Maturity Price : 25.25
Evaluated at bid price : 26.01
Bid-YTW : -18.30 %
BNS.PR.G FixedReset 60,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 3.57 %
GWO.PR.L Deemed-Retractible 43,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-27
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : -11.75 %
TD.PF.J FixedReset 41,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 23.21
Evaluated at bid price : 25.13
Bid-YTW : 4.76 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.O Perpetual-Premium Quote: 25.60 – 26.15
Spot Rate : 0.5500
Average : 0.3167

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-27
Maturity Price : 25.25
Evaluated at bid price : 25.60
Bid-YTW : -5.63 %

BMO.PR.Y FixedReset Quote: 24.47 – 24.99
Spot Rate : 0.5200
Average : 0.3459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 23.32
Evaluated at bid price : 24.47
Bid-YTW : 4.80 %

TD.PF.H FixedReset Quote: 26.01 – 26.39
Spot Rate : 0.3800
Average : 0.2526

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.72 %

BAM.PF.I FixedReset Quote: 25.90 – 26.23
Spot Rate : 0.3300
Average : 0.2046

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.01 %

BAM.PF.F FixedReset Quote: 24.45 – 24.80
Spot Rate : 0.3500
Average : 0.2261

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 24.06
Evaluated at bid price : 24.45
Bid-YTW : 5.14 %

BAM.PR.T FixedReset Quote: 20.67 – 21.01
Spot Rate : 0.3400
Average : 0.2215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-28
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.21 %

May 25, 2018

Friday, May 25th, 2018
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 0.4335 % 2,975.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4335 % 5,459.4
Floater 3.36 % 3.59 % 79,497 18.26 4 0.4335 % 3,146.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0953 % 3,178.4
SplitShare 4.62 % 4.54 % 80,519 5.06 5 -0.0953 % 3,795.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0953 % 2,961.6
Perpetual-Premium 5.62 % -6.18 % 65,201 0.08 10 0.0000 % 2,873.7
Perpetual-Discount 5.42 % 5.51 % 65,460 14.62 24 0.0790 % 2,945.0
FixedReset 4.28 % 4.77 % 156,744 3.92 103 -0.2180 % 2,545.4
Deemed-Retractible 5.14 % 5.72 % 73,925 5.55 27 0.0000 % 2,940.7
FloatingReset 3.17 % 3.51 % 34,592 3.51 8 -0.2832 % 2,804.0
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.13 %
BAM.PR.X FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.22 %
PWF.PR.P FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 4.77 %
TRP.PR.A FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.14 %
MFC.PR.I FixedReset -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset 102,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 21.97
Evaluated at bid price : 22.55
Bid-YTW : 5.17 %
BAM.PR.R FixedReset 101,730 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 5.28 %
BAM.PF.A FixedReset 77,808 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 24.27
Evaluated at bid price : 24.92
Bid-YTW : 5.25 %
BNS.PR.B FloatingReset 64,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.24 %
GWO.PR.Q Deemed-Retractible 52,915 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 6.03 %
TRP.PR.J FixedReset 47,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.21 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.S FixedReset Quote: 23.60 – 24.00
Spot Rate : 0.4000
Average : 0.2643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 23.04
Evaluated at bid price : 23.60
Bid-YTW : 4.86 %

MFC.PR.N FixedReset Quote: 23.16 – 23.52
Spot Rate : 0.3600
Average : 0.2367

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.69 %

BAM.PR.X FixedReset Quote: 18.35 – 18.83
Spot Rate : 0.4800
Average : 0.3652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.22 %

TRP.PR.H FloatingReset Quote: 17.15 – 17.59
Spot Rate : 0.4400
Average : 0.3365

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.80 %

SLF.PR.G FixedReset Quote: 19.58 – 19.88
Spot Rate : 0.3000
Average : 0.2010

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.58
Bid-YTW : 7.50 %

BMO.PR.T FixedReset Quote: 23.20 – 23.48
Spot Rate : 0.2800
Average : 0.1842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 22.73
Evaluated at bid price : 23.20
Bid-YTW : 4.84 %

May 24, 2018

Thursday, May 24th, 2018
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 -0.3067 % 2,962.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3067 % 5,435.9
Floater 3.38 % 3.61 % 80,292 18.21 4 -0.3067 % 3,132.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,181.5
SplitShare 4.62 % 4.56 % 80,167 5.06 5 0.0000 % 3,799.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,964.4
Perpetual-Premium 5.62 % -5.90 % 65,700 0.08 10 0.0985 % 2,873.7
Perpetual-Discount 5.42 % 5.53 % 64,309 14.57 24 0.0413 % 2,942.6
FixedReset 4.27 % 4.74 % 155,056 3.93 103 -0.1433 % 2,551.0
Deemed-Retractible 5.14 % 5.72 % 76,813 5.55 27 -0.0858 % 2,940.7
FloatingReset 3.16 % 3.44 % 33,511 3.51 8 0.6785 % 2,812.0
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 22.06
Evaluated at bid price : 22.69
Bid-YTW : 5.13 %
CU.PR.C FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 21.99
Evaluated at bid price : 22.44
Bid-YTW : 4.91 %
PWF.PR.P FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.72 %
TRP.PR.A FixedReset 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.08 %
TRP.PR.B FixedReset 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.05 %
MFC.PR.M FixedReset 3.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 5.56 %
PWF.PR.Q FloatingReset 6.75 % A reversal of yesterday‘s nonsense.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.44 %

Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset 150,791 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 22.25
Evaluated at bid price : 22.64
Bid-YTW : 5.13 %
BNS.PR.B FloatingReset 105,235 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 3.04 %
TD.PF.B FixedReset 104,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 23.07
Evaluated at bid price : 23.57
Bid-YTW : 4.80 %
MFC.PR.B Deemed-Retractible 97,077 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 7.23 %
TD.PF.C FixedReset 95,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 23.11
Evaluated at bid price : 23.50
Bid-YTW : 4.77 %
TD.PR.S FixedReset 92,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.95 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 20.93 – 21.23
Spot Rate : 0.3000
Average : 0.1963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 2.90 %

W.PR.J Perpetual-Discount Quote: 24.75 – 25.10
Spot Rate : 0.3500
Average : 0.2598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.73 %

BIP.PR.B FixedReset Quote: 25.60 – 25.91
Spot Rate : 0.3100
Average : 0.2203

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.87 %

IFC.PR.A FixedReset Quote: 19.64 – 19.87
Spot Rate : 0.2300
Average : 0.1434

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 7.89 %

W.PR.K FixedReset Quote: 25.78 – 26.20
Spot Rate : 0.4200
Average : 0.3389

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.24 %

TD.PF.J FixedReset Quote: 25.15 – 25.38
Spot Rate : 0.2300
Average : 0.1587

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.79 %