September 19, 2016

September 20th, 2016
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2159 % 1,680.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2159 % 3,069.2
Floater 4.92 % 4.65 % 88,250 16.14 4 -0.2159 % 1,768.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2222 % 2,876.9
SplitShare 5.06 % 4.80 % 75,352 2.18 5 -0.2222 % 3,435.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2222 % 2,680.6
Perpetual-Premium 5.50 % 4.63 % 67,328 1.97 12 -0.0098 % 2,675.0
Perpetual-Discount 5.14 % 5.17 % 92,145 15.05 26 -0.0951 % 2,896.9
FixedReset 5.00 % 4.46 % 147,420 6.93 92 0.1545 % 2,036.4
Deemed-Retractible 5.03 % 4.68 % 114,175 3.21 32 -0.0866 % 2,793.3
FloatingReset 2.84 % 4.32 % 30,999 5.00 12 0.1359 % 2,199.8
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-19
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.42 %
TD.PF.E FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-19
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 4.41 %
TRP.PR.F FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-19
Maturity Price : 13.66
Evaluated at bid price : 13.66
Bid-YTW : 4.49 %
BIP.PR.B FixedReset 1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.76 %
PWF.PR.T FixedReset 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-19
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset 278,740 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.48 %
TD.PF.H FixedReset 183,426 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.39 %
TD.PF.G FixedReset 121,876 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 4.02 %
GWO.PR.R Deemed-Retractible 41,720 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.67
Bid-YTW : 5.62 %
SLF.PR.A Deemed-Retractible 41,260 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.42 %
CM.PR.O FixedReset 36,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-19
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.31 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 11.85 – 12.25
Spot Rate : 0.4000
Average : 0.2562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-19
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.18 %

IFC.PR.C FixedReset Quote: 17.46 – 17.84
Spot Rate : 0.3800
Average : 0.2549

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.46
Bid-YTW : 8.53 %

MFC.PR.B Deemed-Retractible Quote: 23.24 – 23.48
Spot Rate : 0.2400
Average : 0.1468

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.24
Bid-YTW : 5.76 %

GWO.PR.I Deemed-Retractible Quote: 22.52 – 22.77
Spot Rate : 0.2500
Average : 0.1641

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 6.04 %

MFC.PR.L FixedReset Quote: 17.77 – 18.00
Spot Rate : 0.2300
Average : 0.1496

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.77
Bid-YTW : 8.14 %

CU.PR.I FixedReset Quote: 25.52 – 25.85
Spot Rate : 0.3300
Average : 0.2587

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.04 %

BNS.PR.H Soars To Premium On Astounding Volume

September 16th, 2016

The Bank of Nova Scotia has announced:

that it has completed the domestic public offering of Non-cumulative 5-Year Rate Reset Preferred Shares Series 38 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 38″).

Scotiabank sold 20 million Preferred Shares Series 38 at a price of $25.00 per share and holders will be entitled to receive a non-cumulative quarterly fixed dividend for the initial period ending January 26, 2022, yielding 4.85% per annum, as and when declared by the Board of Directors of Scotiabank. The gross proceeds of the offering were $500 million.

The offering was made through a syndicate of underwriters led by Scotia Capital Inc. The Preferred Shares Series 38 commenced trading on the Toronto Stock Exchange today under the symbol BNS.PR.H.

On January 27, 2022 and on January 27 every five years thereafter, Scotiabank may, at its option, with the prior approval of the Superintendent of Financial Institutions (Canada), redeem all or any number of the then outstanding Preferred Shares Series 38 at a redemption price which is equal to par. Thereafter, the dividend rate will reset every five years at a rate equal to 4.19% over the 5-year Government of Canada bond yield. Holders of Preferred Shares Series 38 will, subject to certain conditions, have the right to convert all or any part of their shares to Non-cumulative Floating Rate Preferred Shares Series 39 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 39″) of Scotiabank on January 27, 2022 and on January 27 every five years thereafter.

Holders of the Preferred Shares Series 39 will be entitled to receive a non-cumulative quarterly floating dividend at a rate equal to the 3-month Government of Canada Treasury Bill yield plus 4.19%, as and when declared by the Board of Directors of Scotiabank. Holders of Preferred Shares Series 39 will, subject to certain conditions, have the right to convert all or any part of their shares to Preferred Shares Series 38 on January 27, 2027 and on January 27 every five years thereafter.

BNS.PR.H is a FixedReset, 4.85%+419, NVCC, announced 2016-9-7. It will be tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

The issue traded 2,738,643 shares in a range of 25.41-49 before closing at 25.46-47. This represents the tenth largest daily volume in my database, just behind TD.PF.H, which settled last week, despite having only half the number of shares outstanding. Vital statistics are:

BNS.PR.H FixedReset YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.49 %

September 16, 2016

September 16th, 2016
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3586 % 1,683.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3586 % 3,075.8
Floater 4.91 % 4.64 % 89,675 16.17 4 -0.3586 % 1,772.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0556 % 2,883.3
SplitShare 5.05 % 4.78 % 72,373 2.19 5 0.0556 % 3,443.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0556 % 2,686.6
Perpetual-Premium 5.50 % 4.60 % 67,103 1.97 12 0.0423 % 2,675.3
Perpetual-Discount 5.14 % 5.17 % 92,170 15.00 26 0.0159 % 2,899.7
FixedReset 5.00 % 4.46 % 151,249 6.95 92 0.1109 % 2,033.3
Deemed-Retractible 5.03 % 4.49 % 116,086 3.21 32 -0.0967 % 2,795.7
FloatingReset 2.83 % 4.32 % 31,424 5.01 12 -0.3800 % 2,196.8
Performance Highlights
Issue Index Change Notes
BMO.PR.A FloatingReset -2.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.04
Bid-YTW : 5.06 %
CU.PR.C FixedReset -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-16
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 4.44 %
IAG.PR.A Deemed-Retractible -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.86 %
BNS.PR.D FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 6.57 %
TRP.PR.B FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-16
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 4.28 %
TRP.PR.H FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-16
Maturity Price : 10.41
Evaluated at bid price : 10.41
Bid-YTW : 4.32 %
NA.PR.W FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.40 %
CU.PR.H Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.10 %
TRP.PR.C FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-16
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset 2,738,643 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.49 %
TD.PF.H FixedReset 401,773 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.53 %
CM.PR.O FixedReset 213,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-16
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.30 %
BMO.PR.T FixedReset 104,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-16
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 4.21 %
BMO.PR.S FixedReset 59,156 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-16
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.22 %
CCS.PR.C Deemed-Retractible 54,534 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.31
Bid-YTW : 5.42 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Quote: 19.53 – 20.22
Spot Rate : 0.6900
Average : 0.4239

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-16
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 4.18 %

PWF.PR.P FixedReset Quote: 13.08 – 13.60
Spot Rate : 0.5200
Average : 0.3425

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-16
Maturity Price : 13.08
Evaluated at bid price : 13.08
Bid-YTW : 4.47 %

IFC.PR.A FixedReset Quote: 15.16 – 15.60
Spot Rate : 0.4400
Average : 0.2884

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.16
Bid-YTW : 9.83 %

IAG.PR.A Deemed-Retractible Quote: 22.95 – 23.29
Spot Rate : 0.3400
Average : 0.2368

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.86 %

BMO.PR.A FloatingReset Quote: 21.04 – 21.75
Spot Rate : 0.7100
Average : 0.6095

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.04
Bid-YTW : 5.06 %

GWO.PR.L Deemed-Retractible Quote: 25.30 – 25.68
Spot Rate : 0.3800
Average : 0.2874

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.03 %

September 15, 2016

September 15th, 2016
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1796 % 1,689.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1796 % 3,086.9
Floater 4.89 % 4.62 % 89,967 16.22 4 0.1796 % 1,779.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0635 % 2,881.7
SplitShare 5.05 % 4.67 % 72,585 2.19 5 0.0635 % 3,441.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0635 % 2,685.1
Perpetual-Premium 5.51 % 4.62 % 67,607 2.12 12 0.1011 % 2,674.2
Perpetual-Discount 5.14 % 5.20 % 95,450 15.08 26 0.0667 % 2,899.2
FixedReset 5.01 % 4.47 % 153,371 6.95 91 0.1187 % 2,031.1
Deemed-Retractible 5.02 % 3.34 % 116,977 0.29 32 0.0853 % 2,798.4
FloatingReset 2.82 % 4.33 % 31,279 5.01 12 0.5358 % 2,205.2
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 4.37 %
BAM.PF.B FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.95 %
BAM.PF.G FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.67 %
BAM.PF.A FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.90 %
TD.PR.Y FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 3.85 %
NA.PR.S FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.44 %
MFC.PR.F FixedReset 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.50
Bid-YTW : 10.60 %
NA.PR.W FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.45 %
IAG.PR.A Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.29
Bid-YTW : 5.64 %
CM.PR.Q FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.46 %
BNS.PR.D FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.57
Bid-YTW : 6.34 %
BMO.PR.A FloatingReset 6.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 332,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.22 %
TD.PF.H FixedReset 179,434 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 4.54 %
TD.PF.G FixedReset 136,323 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 4.03 %
CM.PR.O FixedReset 106,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.31 %
BIP.PR.C FixedReset 61,385 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 5.04 %
MFC.PR.K FixedReset 50,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.20
Bid-YTW : 8.48 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 12.76 – 13.25
Spot Rate : 0.4900
Average : 0.3107

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.76
Bid-YTW : 11.03 %

FTS.PR.M FixedReset Quote: 20.05 – 20.27
Spot Rate : 0.2200
Average : 0.1364

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.20 %

FTS.PR.H FixedReset Quote: 13.75 – 13.95
Spot Rate : 0.2000
Average : 0.1205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 4.07 %

NA.PR.Q FixedReset Quote: 23.65 – 23.90
Spot Rate : 0.2500
Average : 0.1785

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 4.51 %

PWF.PR.P FixedReset Quote: 13.08 – 13.29
Spot Rate : 0.2100
Average : 0.1478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 13.08
Evaluated at bid price : 13.08
Bid-YTW : 4.47 %

FTS.PR.G FixedReset Quote: 17.80 – 17.99
Spot Rate : 0.1900
Average : 0.1286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.16 %

September PrefLetter Released!

September 15th, 2016

The September, 2016, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

The regular appendix reporting on DeemedRetractibles is included. The appendix dealing with FixedResets was not prepared for September, but will be published next month. In the future, these two appendices will alternate; purchasers of a single issue may obtain a copy of the ‘other’ appendix from me on request.

Note that due to problems in August, the August edition is included with the September edition. Clients will not be charged for the August issue.

As previously reported, I now have a new server. Unfortunately, this means that I also have a new IP address for the server and this has caused a recurrence of the bouncing eMail problem reported last February. Twenty-two clients had their eMails bounced and I have sent their copies via wetransfer.com. Most of these clients have eMails hosted at Hotmail.com, outlook.com and live.com; there were a few other addresses also bounced, mainly from financial institutions. So I have to go through the rigamarole of registering the new IP address with the central authority; this process is currently underway.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the September, 2016, issue, while the “Next Edition” will be the October, 2016, issue, scheduled to be prepared as of the close October 14 and eMailed to subscribers prior to market-opening on October 17.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

So cross your fingers!

September 14, 2016

September 14th, 2016

PerpetualDiscounts now yield 5.17%, equivalent to 6.72% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.80%, so the pre-tax interest-equivalent spread is now about 290bp, a significant narrowing from the 305bp reported September 7.

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 -0.2151 % 1,686.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2151 % 3,081.4
Floater 4.90 % 4.63 % 90,808 16.20 4 -0.2151 % 1,775.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2389 % 2,879.9
SplitShare 5.05 % 4.78 % 73,107 2.19 5 0.2389 % 3,439.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2389 % 2,683.4
Perpetual-Premium 5.51 % 4.63 % 66,648 2.12 12 0.0033 % 2,671.5
Perpetual-Discount 5.14 % 5.17 % 96,219 15.11 26 0.0603 % 2,897.3
FixedReset 5.02 % 4.49 % 155,247 6.95 91 -0.0219 % 2,028.6
Deemed-Retractible 5.03 % 4.48 % 120,298 3.22 32 0.0357 % 2,796.0
FloatingReset 2.84 % 4.20 % 28,950 5.02 12 -0.4373 % 2,193.5
Performance Highlights
Issue Index Change Notes
BNS.PR.D FloatingReset -3.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.24
Bid-YTW : 6.68 %
TRP.PR.B FixedReset -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 4.32 %
TRP.PR.C FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 13.06
Evaluated at bid price : 13.06
Bid-YTW : 4.37 %
TRP.PR.A FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 4.64 %
BNS.PR.A FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.02
Bid-YTW : 4.20 %
SLF.PR.J FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.80
Bid-YTW : 10.99 %
IFC.PR.C FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.51
Bid-YTW : 8.45 %
VNR.PR.A FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 4.91 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 402,304 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.53 %
TD.PF.G FixedReset 288,385 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 4.03 %
W.PR.M FixedReset 88,668 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.83 %
TD.PF.C FixedReset 72,843 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 4.31 %
TD.PF.A FixedReset 63,038 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 4.26 %
BAM.PF.C Perpetual-Discount 55,512 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 22.66
Evaluated at bid price : 22.99
Bid-YTW : 5.27 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 11.91 – 12.25
Spot Rate : 0.3400
Average : 0.2187

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 5.12 %

PWF.PR.S Perpetual-Discount Quote: 23.48 – 23.75
Spot Rate : 0.2700
Average : 0.1750

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 23.10
Evaluated at bid price : 23.48
Bid-YTW : 5.16 %

CU.PR.H Perpetual-Discount Quote: 25.01 – 25.42
Spot Rate : 0.4100
Average : 0.3154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 24.60
Evaluated at bid price : 25.01
Bid-YTW : 5.27 %

BMO.PR.A FloatingReset Quote: 20.26 – 20.90
Spot Rate : 0.6400
Average : 0.5536

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.26
Bid-YTW : 5.81 %

W.PR.H Perpetual-Discount Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.3180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-14
Maturity Price : 24.88
Evaluated at bid price : 25.10
Bid-YTW : 5.57 %

GWO.PR.N FixedReset Quote: 14.05 – 14.35
Spot Rate : 0.3000
Average : 0.2192

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.05
Bid-YTW : 9.95 %

September 13, 2016

September 14th, 2016

We are approaching the end-game of the US Money Market Fund re-regulation:

With a seismic overhaul of the $2.6 trillion money-market industry weeks away from kicking in, money managers are bracing for a last-minute exodus of as much as $300 billion from funds in regulators’ cross hairs.

Prime funds, which seek higher yields by buying securities like commercial paper, are at the center of the upheaval. Their assets have already plunged by almost $700 billion since the start of 2015, to $789 billion, Investment Company Institute data show. The outflow has rippled across financial markets, shattering demand for banks’ and other companies’ short-term debt and raising their funding costs.

The transformation of the money-fund industry, where investors turn to park cash, is a result of regulators’ efforts to make the financial system safer in the aftermath of the credit crisis. The key date is Oct. 14, when rules take effect mandating that institutional prime and tax-exempt funds end an over-30-year tradition of fixing shares at $1. Funds that hold only government debt will be able to maintain that level. Companies such as Federated Investors Inc. and Fidelity Investments, which have already reduced or altered prime offerings, are preparing in case investors yank more money as the new era approaches.

A major repercussion of the flight from prime funds is that there’s less money flowing into commercial paper and certificates of deposit, which banks depend on for funding. As a result, banks’ unsecured lending rates, such as the dollar London interbank offered rate, have soared. Three-month Libor reached about 0.86 percent Tuesday, the highest since 2009.

PrimeFundAssets_160913
Click for Big
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 0.6155 % 1,690.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6155 % 3,088.0
Floater 4.89 % 4.61 % 88,507 16.24 4 0.6155 % 1,779.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1749 % 2,873.0
SplitShare 5.07 % 4.72 % 73,931 2.19 5 -0.1749 % 3,431.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1749 % 2,677.0
Perpetual-Premium 5.51 % 4.64 % 68,955 1.98 12 -0.1530 % 2,671.4
Perpetual-Discount 5.15 % 5.17 % 100,156 15.09 26 -0.0359 % 2,895.6
FixedReset 5.01 % 4.50 % 153,014 6.95 91 -0.0695 % 2,029.1
Deemed-Retractible 5.03 % 4.04 % 118,542 0.37 32 -0.0673 % 2,795.0
FloatingReset 2.83 % 3.99 % 26,983 5.02 12 -0.0393 % 2,203.1
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 4.56 %
CU.PR.C FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 4.37 %
PWF.PR.T FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 4.19 %
IFC.PR.C FixedReset -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.62 %
MFC.PR.N FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.13
Bid-YTW : 7.97 %
VNR.PR.A FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 4.98 %
TRP.PR.G FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 4.64 %
GWO.PR.N FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.17
Bid-YTW : 9.82 %
BAM.PF.F FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 4.68 %
BAM.PF.G FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 4.62 %
BAM.PR.Z FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.93 %
BAM.PF.A FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.85 %
BAM.PR.K Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 4.59 %
BAM.PF.E FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 4.63 %
BAM.PF.B FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.85 %
BAM.PR.R FixedReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 4.89 %
BAM.PR.X FixedReset 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.79 %
BAM.PR.T FixedReset 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 4.99 %
BAM.PR.S FloatingReset 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 4.80 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 663,207 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 4.51 %
BAM.PF.C Perpetual-Discount 166,291 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 22.58
Evaluated at bid price : 22.90
Bid-YTW : 5.29 %
FTS.PR.H FixedReset 132,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 4.07 %
TD.PF.G FixedReset 115,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 4.01 %
BMO.PR.Z Perpetual-Premium 84,833 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.49
Bid-YTW : 4.77 %
TD.PF.A FixedReset 66,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.28 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Quote: 15.24 – 15.75
Spot Rate : 0.5100
Average : 0.2929

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.24
Bid-YTW : 9.74 %

TRP.PR.F FloatingReset Quote: 13.38 – 13.90
Spot Rate : 0.5200
Average : 0.3269

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 4.56 %

TRP.PR.H FloatingReset Quote: 10.45 – 10.95
Spot Rate : 0.5000
Average : 0.3902

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 4.30 %

PVS.PR.B SplitShare Quote: 24.78 – 25.09
Spot Rate : 0.3100
Average : 0.2153

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 4.82 %

MFC.PR.F FixedReset Quote: 13.32 – 13.59
Spot Rate : 0.2700
Average : 0.1876

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.32
Bid-YTW : 10.79 %

POW.PR.B Perpetual-Discount Quote: 25.06 – 25.27
Spot Rate : 0.2100
Average : 0.1436

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-09-13
Maturity Price : 24.85
Evaluated at bid price : 25.06
Bid-YTW : 5.42 %

BSC.PR.C Upgraded to Pfd-2 by DBRS

September 13th, 2016

DBRS has announced that it:

has today upgraded the Class B Preferred Shares, Series 2 (the Preferred Shares) rating of BNS Split Corp. II (the Company) to Pfd-2 from Pfd-2 (low). The Preferred Shares were issued in September 2015 following a reorganization of the Company at an issue price of $19.71 each. At the same time, the Company redeemed all of the outstanding Class B Preferred Shares, Series 1. The redemption date of the Preferred Shares is September 22, 2020.

The Company holds a portfolio (the Portfolio) of common shares of Bank of Nova Scotia (BNS) (rated AA, Negative trend by DBRS). The dividends received from the Portfolio are used to pay fixed cumulative quarterly distributions to the holders of the Preferred Shares in the amount of $0.1971 per quarter, representing 4.0% per annum on the issue price. Excess dividends net of all expenses of the Company, after the preferred cumulative dividends have been paid to the holders of the Preferred Shares, may be paid as dividends on the Capital Shares or re-invested by the Company in additional BNS Shares as determined by the board of directors of the Company. The distributions of dividends on the Preferred Shares may be additionally funded from the sale of the underlying shares. The Company may engage in securities lending to supplement the income generated by the dividends.

As of September 1, 2016, the downside protection is 68.4%, an increase from the initial 61.6% recorded in September 2015 at the time of the Preferred Shares issuance. An increase in dividend distributions from BNS helped boost the dividend coverage ratio, which is approximately 2.7 times. Taking into consideration the dividend coverage, the amount of downside protection available, and the absence of the grind on the Portfolio, the rating of the Preferred Shares has been upgraded to Pfd-2.

BSC.PR.C is tracked by HIMIPref™ but relegated to the Scraps index on volume concerns – the average trading volume is less than 100 shares daily.

Server Problems Mostly Fixed; PrefLetter Coming Soon

September 13th, 2016

Well it’s been a nightmare, but my month-long server problems appear to be coming to an end.

The problem, I believe, was Plesk, a server maintenance utility that works with Windows. Fixing my eMail did horrible things to all the server’s other functions. I have now moved back to Linux/cPanel; I have much more faith in cPanel as a server utility because it’s a purpose-built programme; my understanding is that Plesk is largely a collection of third-party utilities licensed and gathered under one roof, with the result that not only are things not always in alignment, but that problems tend to bog down in spaghetti code.

But my server now seems to be fixed except for one problem: I can receive eMail, but I can’t currently send it! I hope to have this resolved shortly.

On a related note, PrefLetter for September is now at the typesetter’s office and will be ready soon. The long-overdue August edition will be appended to it – subscribers will be charged for only one issue.

W.PR.M Closes At Premium On Excellent Volume (Belated Post)

September 13th, 2016

This issue actually settled on August 30, but I neglected to post.

Westcoast Energy Inc. has announced:

that it has closed its previously announced offering of 12,000,000 Cumulative 5-Year Minimum Rate Reset Redeemable First Preferred Shares, Series 12 (the “Series 12 First Preferred Shares”) at a price of $25.00 per Series 12 First Preferred Share for aggregate gross proceeds of $300,000,000. The offering was made through a syndicate of underwriters led by TD Securities Inc. and CIBC Capital Markets.

The proceeds are expected to be used to fund capital expenditures and for general corporate purposes.

The Series 12 First Preferred Shares will begin trading on the Toronto Stock Exchange today under the symbol “W.PR.M”.

W.PR.M will be tracked by HIMIPref™; it has been assigned to the FixedResets subindex.

The issue traded 1,764,113 in a range of 25.23-34 before closing at 25.29-32.

Vital statistics on August 30 were:

W.PR.M FixedReset YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.98 %