February 16, 2017

February 16th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0795 % 2,012.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0795 % 3,691.9
Floater 3.75 % 3.94 % 50,062 17.49 4 0.0795 % 2,127.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1077 % 2,970.8
SplitShare 4.70 % 4.51 % 56,853 4.13 4 -0.1077 % 3,547.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1077 % 2,768.1
Perpetual-Premium 5.42 % -3.21 % 73,220 0.09 16 0.1247 % 2,733.1
Perpetual-Discount 5.16 % 5.16 % 103,752 15.06 22 0.0305 % 2,912.8
FixedReset 4.48 % 4.14 % 228,690 6.72 97 0.0278 % 2,296.8
Deemed-Retractible 5.02 % 0.46 % 128,088 0.12 31 0.2560 % 2,844.0
FloatingReset 2.49 % 3.22 % 48,030 4.67 9 0.1130 % 2,453.3
Performance Highlights
Issue Index Change Notes
GWO.PR.P Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.25
Evaluated at bid price : 25.83
Bid-YTW : 4.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.I FixedReset 364,210 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 5.33 %
MFC.PR.H FixedReset 200,896 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.04
Bid-YTW : 4.95 %
TD.PF.C FixedReset 144,747 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 4.08 %
BAM.PR.T FixedReset 109,586 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 4.54 %
RY.PR.H FixedReset 86,824 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.04 %
MFC.PR.R FixedReset 72,799 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.42 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.E SplitShare Quote: 26.21 – 26.99
Spot Rate : 0.7800
Average : 0.5076

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 4.77 %

TRP.PR.E FixedReset Quote: 21.65 – 22.02
Spot Rate : 0.3700
Average : 0.2314

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.11 %

TRP.PR.D FixedReset Quote: 21.00 – 21.40
Spot Rate : 0.4000
Average : 0.2690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.24 %

PWF.PR.A Floater Quote: 14.14 – 14.60
Spot Rate : 0.4600
Average : 0.3431

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 3.36 %

SLF.PR.J FloatingReset Quote: 15.17 – 15.45
Spot Rate : 0.2800
Average : 0.1782

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.17
Bid-YTW : 8.94 %

BAM.PR.R FixedReset Quote: 19.05 – 19.34
Spot Rate : 0.2900
Average : 0.2151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.39 %

February 15, 2017

February 16th, 2017

There’s a great piece in the WSJ about the practical effects of the fiduciary rule:

Judith Friedlander, an 80-year-old retiree from Murrieta, Calif., doesn’t appreciate the government trying to regulate how she manages her roughly $400,000 individual retirement account.

After the Labor Department last year approved the fiduciary rule, which generally requires advice on retirement assets to be conflict-free, Ms. Friedlander says her financial adviser suggested she transition from a commission-based account of the sort that could run afoul of the rule into a fee-only account.

But Ms. Friedlander isn’t interested in a switch. She trades only a few times a year and says moving to a fee-only account that charges a percentage of her assets would be far pricier than the periodic commissions she currently pays. “I don’t see any advantage to the regulation for someone like me,” says Ms Friedlander, who adds that she hasn’t decided what to do.

As brokerage firms over the past several months have announced their compliance plans, some approaches have put new limits on IRA investors. Bank of America Corp.’s Merrill Lynch, for example, has said it will no longer offer individual retirement accounts that charge commissions, and will instead favor charging retirement savers a fee based on a percentage of their assets. J.P. Morgan Chase is taking a similar tack, offering brokerage retirement clients only a fee-based IRA.

Of course, fee-based accounts in a sell-side brokerage is a whole nuther can of worms. New issue commissions, proxy solicitation fees … the potential for conflict is endless. I continue to advocate that buy-side and sell-side be strictly separated, with the former charging account fees and the latter charging commissions; that anybody on the buy-side be required to publish a performance history from inception that is subject to audit and in which any defined groups be strictly mapped onto the fiduciary’s contemporary KYC form; and that only one ‘side’ can be owned by a single entity (e.g., brokerages and advisory firms can’t have a common owner).

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 0.1991 % 2,010.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1991 % 3,688.9
Floater 3.76 % 3.94 % 48,490 17.51 4 0.1991 % 2,125.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0490 % 2,974.0
SplitShare 4.70 % 4.17 % 57,396 0.79 4 0.0490 % 3,551.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0490 % 2,771.1
Perpetual-Premium 5.43 % -3.39 % 70,487 0.09 16 -0.0196 % 2,729.7
Perpetual-Discount 5.17 % 5.17 % 102,773 15.07 22 -0.1161 % 2,911.9
FixedReset 4.48 % 4.13 % 229,690 6.72 97 0.3169 % 2,296.2
Deemed-Retractible 5.04 % 0.45 % 128,795 0.12 31 -0.0633 % 2,836.8
FloatingReset 2.49 % 3.22 % 49,177 4.68 9 0.0431 % 2,450.5
Performance Highlights
Issue Index Change Notes
FTS.PR.J Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 5.17 %
SLF.PR.J FloatingReset -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 8.96 %
TRP.PR.A FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 4.27 %
BNS.PR.P FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.32 %
VNR.PR.A FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 4.62 %
BAM.PR.R FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.35 %
PWF.PR.T FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 22.22
Evaluated at bid price : 22.52
Bid-YTW : 3.93 %
TRP.PR.D FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.20 %
BAM.PF.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 22.93
Evaluated at bid price : 23.33
Bid-YTW : 4.35 %
FTS.PR.H FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 4.08 %
BAM.PR.T FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.51 %
GWO.PR.N FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 9.42 %
CU.PR.C FixedReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 21.69
Evaluated at bid price : 22.09
Bid-YTW : 3.93 %
TRP.PR.F FloatingReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 3.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 236,521 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.41 %
BMO.PR.S FixedReset 120,938 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 4.00 %
MFC.PR.H FixedReset 105,781 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.94 %
BNS.PR.Z FixedReset 90,405 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.32
Bid-YTW : 4.61 %
TRP.PR.K FixedReset 86,235 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.38 %
IAG.PR.G FixedReset 79,902 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 5.21 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.J Perpetual-Discount Quote: 22.95 – 23.30
Spot Rate : 0.3500
Average : 0.2319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 5.17 %

GWO.PR.P Deemed-Retractible Quote: 25.51 – 25.80
Spot Rate : 0.2900
Average : 0.2024

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 5.22 %

FTS.PR.F Perpetual-Discount Quote: 23.65 – 23.90
Spot Rate : 0.2500
Average : 0.1772

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.18 %

CU.PR.I FixedReset Quote: 26.36 – 26.67
Spot Rate : 0.3100
Average : 0.2461

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 2.94 %

NA.PR.W FixedReset Quote: 21.04 – 21.22
Spot Rate : 0.1800
Average : 0.1162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 4.09 %

TD.PR.Z FloatingReset Quote: 23.64 – 23.88
Spot Rate : 0.2400
Average : 0.1815

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.64
Bid-YTW : 3.28 %

FTN.PR.A To Get Bigger

February 15th, 2017

Quadravest has announced:

Financial 15 Split Corp. (the “Company”) is pleased to announce it has filed a preliminary short form prospectus in each of the provinces of Canada with respect to an offering of Preferred Shares and Class A Shares of the Company. The offering will be co-led by National Bank Financial Inc., CIBC, RBC Capital Markets, Scotia Capital Inc., and will also include BMO Capital Markets, GMP Securities L.P., Canaccord Genuity Corp., Raymond James, Desjardins Securities Inc., Echelon Wealth Partners, Mackie Research Capital Corporation and Manulife Securities Incorporated.

The Preferred Shares will be offered at a price of $10.00 per Preferred Share to yield 5.25% and the Class A Shares will be offered at a price of $10.50 per Class A Share to yield 14.37%.

The closing price on the TSX of each of the Preferred Shares and the Class A Shares on February 14, 2017 was $10.24
and $10.79, respectively.

Since inception of the Company, the aggregate dividends paid on the Preferred Shares have been $6.94 per share and the aggregate dividends paid on the Class A Shares have been $16.00 per share, for a combined total of $22.94. All
distributions to date have been made in tax advantage eligible Canadian dividends or capital gains dividends.

The net proceeds of the offering will be used by the Company to invest in an actively managed, high quality portfolio
consisting of 15 financial services companies made up of Canadian and U.S. issuers as follows:

Bank of Montreal National Bank of Canada Bank of America Corp.
The Bank of Nova Scotia Manulife Financial Corporation Citigroup Inc.
Canadian Imperial Bank of Commerce Sun Life Financial Services of Canada Inc. Goldman Sachs Group Inc.
Royal Bank of Canada Great-West Lifeco Inc. JP Morgan Chase & Co.
The Toronto-Dominion Bank CI Financial Corp. Wells Fargo & Co.

The Company’s investment objectives are:

Preferred Shares:
i. to provide holders of the Preferred Shares with fixed, cumulative preferential monthly cash dividends currently in
the amount of 5.25% annually, to be set by the Board of Directors annually subject to a minimum of 5.25% until 2020; and
ii. on or about the termination date, currently December 1, 2020 (subject to further 5 year extensions thereafter), to pay the holders of the Preferred Shares $10.00 per Preferred Share.

Class A Shares:
i. to provide holders of the Class A Shares with regular monthly cash dividends in an amount to be determined by the Board of the Directors; and
ii. to permit holders to participate in all growth in the net asset value of the Company above $10 per Unit, by paying holders on or about the termination date of December 1, 2020 (subject to further 5 year extensions thereafter) such amounts as remain in the Company after paying $10 per Preferred Share.

The sales period of this overnight offering will end at 9:00 a.m. EST on February 16, 2017.

FTN.PR.A is tracked by HIMIPref™ but is relegated to the Scraps index on credit concerns.

Update, 2017-2-17: The offering appears to have been successful:

Financial 15 Split Corp. (the “Company”) is pleased to announce it has completed the overnight marketing of up to 2,980,000 Preferred Shares and up to 2,980,000 Class A Shares of the Company. The total proceeds of the offering are expected to be approximately $61.1 million.

February 14, 2017

February 15th, 2017

Wow. Toshiba might be going down:

The chaos at Toshiba, the Japanese corporate giant, deepened Tuesday, with its chairman resigning and the company saying it would book a $6.3 billion loss related to its U.S. nuclear business.

Then, after the stock market had closed, Toshiba said that it would take a $6.3 billion hit related to Westinghouse’s acquisition in December of Stone & Webster, a nuclear construction business, from Chicago Bridge & Iron in December.

Analysts are now speculating about the possibility that Toshiba, which employs almost 200,000 people in Japan and has significant investments in the United States, will have to file for bankruptcy.

Toshiba, which bought a majority stake in Pennsylvania-based nuclear power company Westinghouse in 2006, earlier said that it had received internal information late last month about irregularities during the acquisition. It had learned that controls at Westinghouse had been “insufficient” and that the company had used “inappropriate pressure” to make the acquisition.

“We concluded on Monday afternoon that we need further research on the internal reporting . . . and its impact on financial results,” the company said in a statement, adding that its lawyers and an independent auditing firm were still poring over the details.

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 0.3798 % 2,006.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3798 % 3,681.6
Floater 3.76 % 3.95 % 48,314 17.49 4 0.3798 % 2,121.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0588 % 2,972.6
SplitShare 4.70 % 4.17 % 58,127 0.79 4 0.0588 % 3,549.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0588 % 2,769.7
Perpetual-Premium 5.43 % -1.72 % 70,961 0.09 16 0.0489 % 2,730.3
Perpetual-Discount 5.16 % 5.14 % 104,046 15.08 22 -0.0146 % 2,915.3
FixedReset 4.50 % 4.16 % 216,553 6.73 97 -0.2478 % 2,288.9
Deemed-Retractible 5.03 % 0.45 % 133,450 0.13 31 -0.1015 % 2,838.6
FloatingReset 2.49 % 3.20 % 45,810 4.68 9 -0.0054 % 2,449.4
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 21.88
Evaluated at bid price : 22.19
Bid-YTW : 4.28 %
GWO.PR.N FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.04
Bid-YTW : 9.62 %
BAM.PR.R FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.40 %
BAM.PF.A FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 22.66
Evaluated at bid price : 23.05
Bid-YTW : 4.41 %
BAM.PF.F FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 22.78
Evaluated at bid price : 23.51
Bid-YTW : 4.29 %
RY.PR.M FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 22.13
Evaluated at bid price : 22.63
Bid-YTW : 4.05 %
HSE.PR.A FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 4.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.C FixedReset 102,439 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.44
Bid-YTW : 5.85 %
IFC.PR.A FixedReset 81,454 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.18
Bid-YTW : 7.73 %
RY.PR.W Perpetual-Discount 75,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-16
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.29 %
IAG.PR.G FixedReset 74,139 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.97
Bid-YTW : 5.32 %
BIP.PR.D FixedReset 52,691 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 23.18
Evaluated at bid price : 25.09
Bid-YTW : 4.92 %
BAM.PF.B FixedReset 49,340 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 4.37 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 13.12 – 13.45
Spot Rate : 0.3300
Average : 0.2492

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 13.12
Evaluated at bid price : 13.12
Bid-YTW : 3.36 %

RY.PR.P Perpetual-Premium Quote: 25.61 – 25.85
Spot Rate : 0.2400
Average : 0.1642

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.89 %

HSE.PR.C FixedReset Quote: 22.95 – 23.17
Spot Rate : 0.2200
Average : 0.1447

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 22.42
Evaluated at bid price : 22.95
Bid-YTW : 4.67 %

TRP.PR.F FloatingReset Quote: 16.71 – 17.05
Spot Rate : 0.3400
Average : 0.2669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 3.61 %

W.PR.K FixedReset Quote: 25.80 – 26.05
Spot Rate : 0.2500
Average : 0.1784

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.50 %

PVS.PR.E SplitShare Quote: 26.30 – 26.54
Spot Rate : 0.2400
Average : 0.1749

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-16
Maturity Price : 26.00
Evaluated at bid price : 26.30
Bid-YTW : 3.63 %

BEP.PR.K Firm On Good Volume

February 15th, 2017

Brookfield Renewable Partners L.P. has announced that it has:

completed its previously announced issue of Cumulative Minimum Rate Reset Class A Preferred Limited Partnership Units, Series 11 (the “Series 11 Preferred Units”). The offering was underwritten by a syndicate led by TD Securities Inc., CIBC Capital Markets, RBC Capital Markets and Scotiabank.

Brookfield Renewable issued 10,000,000 Series 11 Preferred Units at a price of $25.00 per unit, for total gross proceeds of CDN$250,000,000.

The Series 11 Preferred Units will commence trading on the Toronto Stock Exchange this morning under the ticker symbol BEP.PR.K.

BEP.PR.K is a FixedReset, 5.00%+382M500, announced 2017-2-7. Note that distributions on this security will be a mix of ordinary income and return of capital. It will be tracked by HIMIPref™ but relegated to the Scraps subindex on credit concerns.

The issue traded 784,722 shares today in a range of 24.88-00 before closing at 24.97-99, 54×45. Vital statistics are:

BEP.PR.K FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 23.14
Evaluated at bid price : 24.97
Bid-YTW : 4.93 %

February 13, 2017

February 14th, 2017

Preferred shares? There’s drone news to report!

Dubai has tested a Chinese prototype of a self-driving hover-taxi, its transport authority said on Monday, with the aim of introducing the aerial vehicle in the emirate by July.

The test of the one-man electric vehicle comes as the city state in the United Arab Emirates seeks to ensure a quarter of its means of transport are self-driving by 2030.

The EHang 184 can travel on a programmed course at 100 kilometres an hour (60 mph) at an altitude of 300 metres (1,000 feet), the authority said in a statement. The new version has an endurance of about 30 minute flying time. This is about 30 mile range. The drones can handle a flier and a small bag weighing up to a combined total of 220 pounds.

A passenger simply needs to select a destination for the autonomous taxi to take off, fly the route and touch down in the chosen spot monitored by a ground control center, it said.

The EHang 184 is very similar to a multicopter UAV with an X8 configuration.

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 0.0800 % 1,998.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0800 % 3,667.7
Floater 3.78 % 3.97 % 47,430 17.45 4 0.0800 % 2,113.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0196 % 2,970.8
SplitShare 4.70 % 4.53 % 54,030 4.14 4 0.0196 % 3,547.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0196 % 2,768.1
Perpetual-Premium 5.43 % -1.91 % 75,103 0.09 16 0.0612 % 2,728.9
Perpetual-Discount 5.15 % 5.17 % 103,808 15.09 22 0.0914 % 2,915.7
FixedReset 4.48 % 4.14 % 216,888 6.73 97 0.2235 % 2,294.6
Deemed-Retractible 5.03 % 0.24 % 135,057 0.13 31 -0.0277 % 2,841.4
FloatingReset 2.49 % 3.24 % 47,269 4.68 9 0.1618 % 2,449.6
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 4.27 %
CU.PR.C FixedReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 21.51
Evaluated at bid price : 21.84
Bid-YTW : 3.98 %
TRP.PR.H FloatingReset 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 3.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.K Floater 170,890 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 12.02
Evaluated at bid price : 12.02
Bid-YTW : 3.97 %
TD.PF.H FixedReset 159,626 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 4.11 %
SLF.PR.D Deemed-Retractible 74,764 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.35 %
MFC.PR.B Deemed-Retractible 64,724 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 5.87 %
IAG.PR.G FixedReset 57,393 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.37 %
TRP.PR.K FixedReset 56,636 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.23 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 15.26 – 15.79
Spot Rate : 0.5300
Average : 0.3531

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.26
Bid-YTW : 9.41 %

CCS.PR.C Deemed-Retractible Quote: 23.80 – 24.24
Spot Rate : 0.4400
Average : 0.3299

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.90 %

TRP.PR.F FloatingReset Quote: 16.74 – 17.00
Spot Rate : 0.2600
Average : 0.1869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 3.60 %

BMO.PR.Z Perpetual-Premium Quote: 25.40 – 25.60
Spot Rate : 0.2000
Average : 0.1288

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.75 %

BNS.PR.D FloatingReset Quote: 21.35 – 21.55
Spot Rate : 0.2000
Average : 0.1330

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 4.76 %

BIP.PR.A FixedReset Quote: 23.15 – 23.35
Spot Rate : 0.2000
Average : 0.1356

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 22.49
Evaluated at bid price : 23.15
Bid-YTW : 5.02 %

New Issue: ALA FixedReset, 5.00%+380M500

February 14th, 2017

AltaGas Ltd. has announced:

that it will issue 8,000,000 Cumulative 5-Year Minimum Rate Reset Redeemable Preferred Shares, Series K (the “Series K Preferred Shares”), at a price of $25.00 per Series K Preferred Share (the “Offering”) for aggregate gross proceeds of $200 million on a bought deal basis. The Series K Preferred Shares will be offered to the public through a syndicate of underwriters co-led by CIBC Capital Markets, BMO Capital Markets, National Bank Financial Inc. and Scotiabank.

Holders of the Series K Preferred Shares will be entitled to receive a cumulative quarterly fixed dividend for the initial period ending on but excluding March 31, 2022 (the “Initial Period”) at an annual rate of 5.00%, payable on the last day of March, June, September and December, as and when declared by the Board of Directors of AltaGas. The first quarterly dividend payment is payable on June 30, 2017 and shall be $0.4384 per Series K Preferred Share. The dividend rate will reset on March 31, 2022 and every five years thereafter at a rate equal to the sum of the then five-year Government of Canada bond yield plus 3.80%, provided that, in any event, such rate shall not be less than 5.00% per annum. The Series K Preferred Shares are redeemable by AltaGas, at its option, on March 31, 2022 and on March 31 of every fifth year thereafter.

Holders of Series K Preferred Shares will have the right to convert all or any part of their shares into Cumulative Redeemable Floating Rate Preferred Shares, Series L (the “Series L Preferred Shares”), subject to certain conditions, on March 31, 2022 and on March 31 every fifth year thereafter. Holders of Series L Preferred Shares will be entitled to receive a cumulative quarterly floating dividend at a rate equal to the sum of the then 90-day Government of Canada Treasury Bill yield plus 3.80%, as and when declared by the Board of Directors of AltaGas.

The Offering is expected to close on or about February 22, 2017. Net proceeds will be used to reduce existing indebtedness and for general corporate purposes. AltaGas has granted to the underwriters an option, exercisable in whole or in part at any time up to 48 hours prior to closing of the Offering, to purchase up to an additional 2,000,000 Series K Preferred Shares at a price of $25.00 per share.

The Series K Preferred Shares will be issued pursuant to a prospectus supplement that will be filed with securities regulatory authorities in Canada under AltaGas’ short form base shelf prospectus dated August 10, 2015. The Offering is only being made by way of a prospectus. The prospectus contains important detailed information about the securities being offered. The Offering is subject to receipt of all necessary regulatory and stock exchange approvals.

They later announced:

that as a result of strong investor demand for its previously announced bought deal offering of Cumulative 5-Year Minimum Rate Reset Redeemable Preferred Shares, Series K (the “Series K Preferred Shares”), the size of the offering has been increased to 12,000,000 shares at a price of $25.00 per Series K Preferred Share (the “Offering”), for aggregate gross proceeds of $300 million. In connection with the increase in the size of the Offering, the previously granted underwriters’ option has been terminated. The syndicate of underwriters is being co-led by CIBC Capital Markets, BMO Capital Markets, National Bank Financial Inc. and Scotiabank.

Andrew Willis of the Globe has some colour on the background:

Executives at capital-hungry companies such as utilities are always conscious of their credit ratings. This is especially true of CEOs and boards at U.S. pipelines: Enron’s meltdown and the near-death experience of the global financial crisis made top-notch ratings a priority. As a result, many U.S. utilities carry relatively little debt. That’s “lazy” in the sense that the company could easily borrow more money, while continuing to be judged as investment grade by the likes of S&P and Moody’s.

While utility executives might care about ratings, the credit market stopped paying much attention last year. In the spring of 2016, borrowing costs began to fall for any investment grade-rated company. At the same time, the spread or gap narrowed between the interest rates paid by a blue-chip double-A-rated borrower and a still-respectable but more leveraged triple B-rated business. And credit markets opened up – massive loans and bond sales were possible.

The most recent and most revealing of these takeovers came from AltaGas, which is buying WGL Holdings in a takeover that has an enterprise value – debt plus equity – of $8.4-billion. To pay for the acquisition, AltaGas rolled out an equity offering that was larger than the company’s market capitalization at the time. AltaGas sold $2.1-billion in stock to a team of banks led by TD Securities, RBC Capital Markets and JPMorgan, and an additional $400-million of equity to the OMERS pension plan. In addition, AltaGas took out a $4.95-billion (U.S.) bridge loan from JPMorgan, TD and RBC.

Implied Volatility analysis indicates that while the new issue is reasonably priced, cheaper alternatives for this name are available with ALA.PR.A and ALA.PR.I:

impvol_ala_170213
Click for Big

February, 2017, PrefLetter Released!

February 13th, 2017

The February, 2017, 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.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the February, 2017, issue, while the “Next Edition” will be the March, 2017, issue, scheduled to be prepared as of the close March 10 and eMailed to subscribers prior to market-opening on March 13.

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!

MFC.PR.H To Be Extended

February 11th, 2017

Manulife Financial Corporation has announced:

that it does not intend to exercise its right to redeem all or any of its currently outstanding 10,000,000 Non-cumulative Rate Reset Class 1 Shares Series 7 (the “Series 7 Preferred Shares”) (TSX: MFC.PR.H) on March 19, 2017. As a result, subject to certain conditions described in the prospectus supplement dated February 14, 2012 relating to the issuance of the Series 7 Preferred Shares (the “Prospectus”), the holders of the Series 7 Preferred Shares have the right, at their option, to convert all or part of their Series 7 Preferred Shares on a one-for-one basis into Non-cumulative Floating Rate Class 1 Shares Series 8 of Manulife (the “Series 8 Preferred Shares”) on March 19, 2017. A formal notice of the right to convert Series 7 Preferred Shares into Series 8 Preferred Shares will be sent to the registered holders of the Series 7 Preferred Shares in accordance with the share conditions of the Series 7 Preferred Shares. Holders of Series 7 Preferred Shares are not required to elect to convert all or any part of their Series 7 Preferred Shares into Series 8 Preferred Shares. Holders who do not exercise their right to convert their Series 7 Preferred Shares into Series 8 Preferred Shares on such date will retain their Series 7 Preferred Shares, unless automatically converted in accordance with the conditions below.

The foregoing conversion right is subject to the conditions that: (i) if, after March 6, 2017, Manulife determines that there would be less than 1,000,000 Series 7 Preferred Shares outstanding on March 20, 2017, then all remaining Series 7 Preferred Shares will automatically be converted into an equal number of Series 8 Preferred Shares on March 19, 2017, and (ii) alternatively, if, after March 6, 2017, Manulife determines that there would be less than 1,000,000 Series 8 Preferred Shares outstanding on March 20, 2017, then no Series 7 Preferred Shares will be converted into Series 8 Preferred Shares. In either case, Manulife will give written notice to that effect to any registered holders of Series 7 Preferred Shares affected by the preceding minimums on or before March 12, 2017.

The dividend rate applicable to the Series 7 Preferred Shares for the 5-year period commencing on March 20, 2017, and ending on March 19, 2022, and the dividend rate applicable to the Series 8 Preferred Shares for the 3-month period commencing on March 20, 2017, and ending on June 19, 2017, will be determined and announced by way of a news release on February 21, 2017. Manulife will also give written notice of these dividend rates to the registered holders of Series 7 Preferred Shares.

Beneficial owners of Series 7 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Toronto time) on March 6, 2017. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, CST Trust Company, at 1-800-387-0825.

Subject to certain conditions described in the Prospectus, Manulife may redeem the Series 7 Preferred Shares, in whole or in part, on March 19, 2022 and on March 19 every five years thereafter and may redeem the Series 8 Preferred Shares, in whole or in part, after March 19, 2017.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 8 Preferred Shares effective upon conversion. Listing of the Series 8 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 8 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.S”.

MFC.PR.H is a FixedReset, 4.60%+313, that commenced trading 2012-2-22 after being announced 2012-2-14.

I will report the reset rate on MFC.PR.H when it becomes available.

February 10, 2017

February 10th, 2017

McJobs, McJobs, McJobs!

Data released Friday show a labor market that’s finally beginning to create new jobs, while at the same time offering little evidence that’s translating into higher incomes for workers as wage growth and hours worked slump.

Still, wage data showed underlying weakness that may complicate matters for Bank of Canada policy makers. Average hourly wages for permanent employees increased 1 percent in January from a year earlier, the slowest pace of growth since at least 2003. Hours worked also fell 0.8 percent from a year earlier.

Most of the gains came from two categories — a 20,500 increase in finance, insurance, real estate and leasing and another 16,400 in business, building and other support services — and for men aged 25 to 54, with the increase of about 30,000 the largest in more than two years.

It was split between 32,400 part-time positions and 15,800 full-time jobs.

There’s a fascinating story about Nav Sarao, the Flash Crash scapegoat, that shows once again that trading and investment management are two completely different things:

After four months of dead ends, his legal team struck a deal with the authorities: If the U.S. Justice Department and the Commodity Futures Trading Commission agreed not to oppose a reduction in bail to 50,000 pounds, the firm would act as a bounty hunter, taking on responsibility for tracking down the missing millions on the condition that its fees be paid if it did.

They were going down a rabbit hole. A review of Sarao’s investments from 2005 to the present day, based on dozens of interviews and thousands of pages of documents, reveals another twist in an already remarkable story. Navinder Sarao, the trading savant accused of sabotaging the world’s financial markets from his bedroom, may himself have been the naïve victim of what his lawyers portray as a series of cons that stripped him of almost every cent he earned.

Sarao declined to comment for this article. His lawyer, Roger Burlingame of Kobre & Kim in London, told a U.S. judge in November that all of the defendant’s assets “have been stolen.” Sarao invested in ventures from which he, the law firm and the CFTC had been unable to recover the funds, Burlingame said. “Basically, he has some extraordinary abilities with respect to pattern recognition and certain sorts of mathematical abilities, but he has some fairly severe social limitations.”

The story also illustrates the regulatory penchant for going after the easy marks for trivial infringements of arbitrary rules while ignoring the real crooks in the industry.

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 0.1603 % 1,997.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1603 % 3,664.7
Floater 3.78 % 3.96 % 47,260 17.47 4 0.1603 % 2,112.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1079 % 2,970.2
SplitShare 4.70 % 4.51 % 56,174 4.15 4 0.1079 % 3,547.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1079 % 2,767.6
Perpetual-Premium 5.44 % -1.70 % 77,668 0.09 16 0.0245 % 2,727.3
Perpetual-Discount 5.16 % 5.18 % 107,437 15.10 22 0.2978 % 2,913.1
FixedReset 4.49 % 4.16 % 223,928 6.74 97 -0.1447 % 2,289.5
Deemed-Retractible 5.03 % 0.13 % 131,640 0.14 31 0.1980 % 2,842.2
FloatingReset 2.50 % 3.16 % 47,455 4.69 9 0.1837 % 2,445.6
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 5.84 %
TRP.PR.E FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 4.18 %
PWF.PR.P FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 4.24 %
CU.PR.I FixedReset -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 2.99 %
BNS.PR.Z FixedReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 4.72 %
SLF.PR.D Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.29
Bid-YTW : 6.32 %
CU.PR.C FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.07 %
MFC.PR.O FixedReset 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 27.08
Bid-YTW : 3.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.F FixedReset 46,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 22.81
Evaluated at bid price : 23.56
Bid-YTW : 4.27 %
TRP.PR.K FixedReset 36,821 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.24 %
RY.PR.J FixedReset 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 22.35
Evaluated at bid price : 22.91
Bid-YTW : 4.11 %
RY.PR.Z FixedReset 35,585 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 4.02 %
BIP.PR.D FixedReset 34,166 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 23.20
Evaluated at bid price : 25.13
Bid-YTW : 4.90 %
TRP.PR.E FixedReset 32,587 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 4.18 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 21.00 – 21.50
Spot Rate : 0.5000
Average : 0.3742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.71 %

IFC.PR.C FixedReset Quote: 21.43 – 21.75
Spot Rate : 0.3200
Average : 0.1989

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 5.84 %

HSE.PR.A FixedReset Quote: 14.94 – 15.35
Spot Rate : 0.4100
Average : 0.2983

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 14.94
Evaluated at bid price : 14.94
Bid-YTW : 4.62 %

BAM.PR.T FixedReset Quote: 18.80 – 19.10
Spot Rate : 0.3000
Average : 0.2005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.58 %

CU.PR.I FixedReset Quote: 26.30 – 26.67
Spot Rate : 0.3700
Average : 0.2763

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 2.99 %

CU.PR.C FixedReset Quote: 21.51 – 22.00
Spot Rate : 0.4900
Average : 0.4030

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.07 %