May 19, 2017

May 19th, 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 3.0483 % 2,168.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 3.0483 % 3,979.4
Floater 3.52 % 3.67 % 58,785 18.09 4 3.0483 % 2,293.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0157 % 3,049.3
SplitShare 4.72 % 4.21 % 73,062 1.58 5 0.0157 % 3,641.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0157 % 2,841.3
Perpetual-Premium 5.33 % 2.24 % 67,411 0.09 22 0.0339 % 2,776.9
Perpetual-Discount 5.11 % 5.16 % 102,517 15.21 14 0.2535 % 2,992.9
FixedReset 4.51 % 4.15 % 202,490 6.58 94 0.2240 % 2,299.5
Deemed-Retractible 5.01 % 5.16 % 142,243 3.45 31 0.0263 % 2,881.8
FloatingReset 2.52 % 3.34 % 49,086 4.44 10 0.0376 % 2,511.7
Performance Highlights
Issue Index Change Notes
TD.PR.Y FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 3.29 %
MFC.PR.H FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 4.41 %
TRP.PR.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 4.06 %
BAM.PF.D Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 23.22
Evaluated at bid price : 23.65
Bid-YTW : 5.23 %
BMO.PR.Q FixedReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 5.13 %
TRP.PR.E FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.16 %
BAM.PF.H FixedReset 1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.32 %
IFC.PR.A FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.31
Bid-YTW : 7.60 %
TD.PF.H FixedReset 1.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.70 %
BAM.PR.B Floater 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.67 %
BAM.PR.K Floater 4.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.71 %
BAM.PR.C Floater 4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.T Deemed-Retractible 279,028 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.22 %
TD.PF.C FixedReset 79,535 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.06 %
BMO.PR.C FixedReset 71,116 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.12 %
HSE.PR.C FixedReset 50,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 22.64
Evaluated at bid price : 23.25
Bid-YTW : 4.52 %
MFC.PR.R FixedReset 40,592 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.44 %
EIT.PR.A SplitShare 34,050 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.32 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 24.89 – 26.13
Spot Rate : 1.2400
Average : 0.7190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 24.64
Evaluated at bid price : 24.89
Bid-YTW : 5.16 %

TD.PF.E FixedReset Quote: 22.67 – 23.05
Spot Rate : 0.3800
Average : 0.2363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 22.18
Evaluated at bid price : 22.67
Bid-YTW : 4.23 %

MFC.PR.R FixedReset Quote: 25.37 – 25.76
Spot Rate : 0.3900
Average : 0.2494

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.44 %

BNS.PR.D FloatingReset Quote: 21.60 – 21.99
Spot Rate : 0.3900
Average : 0.2665

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 4.82 %

TD.PR.T FloatingReset Quote: 24.19 – 24.50
Spot Rate : 0.3100
Average : 0.1925

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 2.90 %

BAM.PR.Z FixedReset Quote: 21.90 – 22.31
Spot Rate : 0.4100
Average : 0.2935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 4.59 %

GWO.PR.T Firm On Good Volume

May 18th, 2017

Great-West Lifeco Inc. has announced:

the completion of its offering of 8,000,000 5.15% Non-Cumulative First Preferred Shares, Series T through a syndicate of underwriters co-led by BMO Capital Markets, CIBC Capital Markets, Scotiabank and TD Securities Inc. for gross proceeds of $200 million. The Series T Shares will be listed for trading on the Toronto Stock Exchange under the symbol “GWO.PR.T”.

GWO.PR.T is a Straight Perpetual, 5.15%, announced 2017-05-09. The issue will be tracked by HIMIPref™ and has been assigned to the DeemedRetractible subindex.

As this issue is not NVCC compliant, it will be analyzed as a DeemedRetractible.

The issue traded 837,263 shares in a range of 24.95-05 before closing at 24.95-96. Vital statistics are:

GWO.PR.T Deemed-Retractible YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.21 %

There has been a little flattening in the curve (i.e., a decline of Implied Volatility) in the Implied Volatility for Straights analysis:

impvol_gwo_170518
Click for Big

May 18, 2017

May 18th, 2017

The Toronto housing market is getting weird:

Agents are also reporting price cuts for some listings, bidding delirium for others, and a swarm of investors looking for deals.

After holding on to their rapidly appreciating asset for so long, some sellers in the Greater Toronto Area appear to be rushing headlong to cash in. Buyers who lamented that there were so few listings now seem incapacitated by the amount of choice.

“I think they’re overwhelmed – there are so many houses to look at,” says Ms. [Davelle] Morrison of Bosley Real Estate Ltd. “No matter what neighbourhood they want to be in, there are so many houses to look at.”

There will be ups and downs, all magnified by reporters who have to convince their readers that they will miss important news if they don’t read the story right now, but I continue to believe that the Canadian housing market and the preferred share market are linked by one thing: there won’t be a dramatic change until five-year yields start rising substantially.

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 -2.1205 % 2,104.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.1205 % 3,861.7
Floater 3.62 % 3.80 % 58,965 17.80 4 -2.1205 % 2,225.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0124 % 3,048.9
SplitShare 4.72 % 4.20 % 69,842 1.59 5 0.0124 % 3,641.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0124 % 2,840.8
Perpetual-Premium 5.33 % 1.00 % 67,070 0.09 22 -0.1104 % 2,776.0
Perpetual-Discount 5.13 % 5.16 % 103,661 15.20 14 -0.6713 % 2,985.4
FixedReset 4.52 % 4.16 % 204,085 6.57 94 -0.5646 % 2,294.4
Deemed-Retractible 5.01 % 4.94 % 140,518 0.10 31 -0.0966 % 2,881.0
FloatingReset 2.52 % 3.32 % 49,638 4.44 10 -0.6395 % 2,510.7
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 3.86 %
BAM.PR.K Floater -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 3.87 %
TRP.PR.A FixedReset -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.11 %
IFC.PR.A FixedReset -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 7.85 %
CM.PR.Q FixedReset -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 21.95
Evaluated at bid price : 22.29
Bid-YTW : 4.22 %
MFC.PR.G FixedReset -2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.53
Bid-YTW : 5.45 %
BAM.PR.B Floater -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 12.54
Evaluated at bid price : 12.54
Bid-YTW : 3.80 %
NA.PR.W FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.09 %
TD.PF.H FixedReset -1.90 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 4.15 %
BAM.PF.H FixedReset -1.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.82 %
IAG.PR.G FixedReset -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.85 %
RY.PR.H FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 4.01 %
TRP.PR.E FixedReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.22 %
BAM.PR.R FixedReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.44 %
BAM.PF.D Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 22.98
Evaluated at bid price : 23.37
Bid-YTW : 5.30 %
SLF.PR.I FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.57
Bid-YTW : 5.44 %
SLF.PR.H FixedReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.63
Bid-YTW : 7.47 %
BIP.PR.A FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 22.53
Evaluated at bid price : 23.18
Bid-YTW : 4.94 %
MFC.PR.M FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.54 %
NA.PR.Q FixedReset -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 4.03 %
BAM.PF.C Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 22.67
Evaluated at bid price : 23.03
Bid-YTW : 5.32 %
BMO.PR.W FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 4.03 %
SLF.PR.J FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.20
Bid-YTW : 9.21 %
MFC.PR.K FixedReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 6.81 %
TD.PR.Y FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 3.54 %
TRP.PR.F FloatingReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 3.33 %
TD.PF.A FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 4.01 %
BAM.PR.Z FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 4.59 %
PWF.PR.K Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 23.88
Evaluated at bid price : 24.13
Bid-YTW : 5.16 %
MFC.PR.L FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 6.83 %
BAM.PR.N Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 22.50
Evaluated at bid price : 22.76
Bid-YTW : 5.28 %
TRP.PR.B FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.00 %
BMO.PR.S FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.T Deemed-Retractible 837,263 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.21 %
TRP.PR.D FixedReset 104,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 4.23 %
BMO.PR.C FixedReset 46,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.15 %
MFC.PR.M FixedReset 39,710 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.54 %
BAM.PF.I FixedReset 35,561 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.14 %
POW.PR.A Perpetual-Premium 24,764 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-17
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -14.26 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.C Floater Quote: 12.35 – 13.25
Spot Rate : 0.9000
Average : 0.5816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 3.86 %

IAG.PR.G FixedReset Quote: 22.11 – 22.85
Spot Rate : 0.7400
Average : 0.4318

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.85 %

TRP.PR.E FixedReset Quote: 20.67 – 21.28
Spot Rate : 0.6100
Average : 0.3632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.22 %

IFC.PR.A FixedReset Quote: 18.01 – 18.63
Spot Rate : 0.6200
Average : 0.3922

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 7.85 %

BIP.PR.A FixedReset Quote: 23.18 – 23.70
Spot Rate : 0.5200
Average : 0.3465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 22.53
Evaluated at bid price : 23.18
Bid-YTW : 4.94 %

BAM.PR.K Floater Quote: 12.32 – 12.89
Spot Rate : 0.5700
Average : 0.3975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 3.87 %

May 17, 2017

May 17th, 2017

FixedResets got whacked today, probably due to strength in the bond market. The five-year Canada yield dropped to 0.91%.

PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.80%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 285bp, a narrowing from the 295bp reported May 3.

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 -0.5784 % 2,150.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5784 % 3,945.3
Floater 3.55 % 3.73 % 60,958 17.96 4 -0.5784 % 2,273.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.7522 % 3,048.5
SplitShare 4.71 % 4.16 % 65,640 1.59 5 0.7522 % 3,640.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7522 % 2,840.5
Perpetual-Premium 5.32 % 3.76 % 69,819 0.09 22 -0.0480 % 2,779.0
Perpetual-Discount 5.09 % 5.10 % 104,377 15.30 14 -0.1347 % 3,005.5
FixedReset 4.49 % 4.13 % 206,233 6.57 94 -0.8627 % 2,307.4
Deemed-Retractible 5.00 % 5.03 % 137,429 3.46 30 -0.1616 % 2,883.8
FloatingReset 2.51 % 3.16 % 49,686 4.45 10 -0.5247 % 2,526.9
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -4.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.42 %
MFC.PR.N FixedReset -2.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.29 %
MFC.PR.M FixedReset -2.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.78
Bid-YTW : 6.33 %
TD.PF.D FixedReset -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.07
Evaluated at bid price : 22.47
Bid-YTW : 4.18 %
BAM.PF.B FixedReset -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.44 %
RY.PR.M FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 4.13 %
CM.PR.O FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 4.02 %
VNR.PR.A FixedReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.58 %
BAM.PR.T FixedReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.47 %
CU.PR.C FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.06 %
BAM.PF.A FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.71
Evaluated at bid price : 22.16
Bid-YTW : 4.48 %
TRP.PR.H FloatingReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 3.32 %
TRP.PR.G FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.13
Evaluated at bid price : 22.60
Bid-YTW : 4.33 %
CU.PR.I FixedReset -1.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.25 %
CM.PR.P FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 4.01 %
BAM.PR.Z FixedReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.72
Evaluated at bid price : 22.15
Bid-YTW : 4.53 %
MFC.PR.K FixedReset -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.06
Bid-YTW : 6.61 %
TD.PF.C FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.02 %
TD.PF.E FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 4.16 %
BAM.PF.E FixedReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.43 %
BAM.PR.K Floater -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 3.75 %
CM.PR.Q FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.29
Evaluated at bid price : 22.80
Bid-YTW : 4.11 %
RY.PR.J FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.02
Evaluated at bid price : 22.37
Bid-YTW : 4.14 %
TD.PF.B FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 3.99 %
MFC.PR.J FixedReset -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 5.64 %
MFC.PR.L FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.06
Bid-YTW : 6.67 %
SLF.PR.H FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.24 %
IFC.PR.C FixedReset -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 5.87 %
TRP.PR.C FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 15.42
Evaluated at bid price : 15.42
Bid-YTW : 4.07 %
TD.PF.A FixedReset -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 3.96 %
TRP.PR.B FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 3.96 %
TRP.PR.F FloatingReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 3.29 %
RY.PR.H FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.94 %
BAM.PF.G FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.32
Evaluated at bid price : 22.83
Bid-YTW : 4.35 %
NA.PR.W FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.01 %
MFC.PR.H FixedReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 4.58 %
BAM.PR.M Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.68
Evaluated at bid price : 22.92
Bid-YTW : 5.24 %
W.PR.K FixedReset -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.56 %
BAM.PR.X FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 4.34 %
TRP.PR.D FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.20 %
BMO.PR.Y FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.09
Evaluated at bid price : 22.50
Bid-YTW : 4.12 %
IFC.PR.A FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 7.47 %
BMO.PR.S FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.98 %
BMO.PR.W FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 3.98 %
TRP.PR.E FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.16 %
RY.PR.Z FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 3.88 %
RY.PR.I FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 3.57 %
EIT.PR.A SplitShare 1.05 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.37 %
PVS.PR.E SplitShare 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-16
Maturity Price : 26.00
Evaluated at bid price : 26.15
Bid-YTW : -5.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.D FixedReset 130,508 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.75 %
MFC.PR.R FixedReset 119,414 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.22 %
MFC.PR.O FixedReset 87,651 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.59 %
TD.PF.G FixedReset 76,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.97
Bid-YTW : 3.44 %
RY.PR.P Perpetual-Premium 67,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 4.62 %
BAM.PR.K Floater 42,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 3.75 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Quote: 20.75 – 21.31
Spot Rate : 0.5600
Average : 0.3846

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.29 %

W.PR.K FixedReset Quote: 25.71 – 26.20
Spot Rate : 0.4900
Average : 0.3421

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.56 %

HSE.PR.A FixedReset Quote: 15.24 – 15.72
Spot Rate : 0.4800
Average : 0.3356

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.42 %

GWO.PR.S Deemed-Retractible Quote: 25.35 – 25.76
Spot Rate : 0.4100
Average : 0.2665

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.16 %

BAM.PR.T FixedReset Quote: 19.01 – 19.37
Spot Rate : 0.3600
Average : 0.2228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.47 %

BAM.PR.M Perpetual-Discount Quote: 22.92 – 23.23
Spot Rate : 0.3100
Average : 0.1945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.68
Evaluated at bid price : 22.92
Bid-YTW : 5.24 %

New Issue: PWF Straight Perpetual, 5.15%

May 17th, 2017

Power Financial Corporation has announced:

that it has agreed to issue 8,000,000 Non-Cumulative First Preferred Shares, Series V (the “Series V Shares”) on a bought deal basis, for gross proceeds of $200 million. The Series V Shares will be priced at $25.00 per share and will carry an annual dividend yield of 5.15%. Closing is expected to occur on or about May 26, 2017. The issue will be underwritten by a syndicate of underwriters co-led by BMO Capital Markets, RBC Capital Markets, Scotiabank and TD Securities Inc.

Power Financial has also granted the underwriters an option to purchase an additional 2,000,000 Series V Shares at the same offering price. Should the underwriters’ option be exercised fully, the total gross proceeds of the Series V Share offering will be $250 million.

Proceeds from the issue will be used to supplement Power Financial’s financial resources and for general corporate purposes.

They later announced:

that due to strong demand, the underwriters have exercised their option to purchase an additional 2,000,000 Non-Cumulative First Preferred Shares, Series V (the “Series V Shares”), which increases the size of the previously announced bought deal public offering to 10,000,000 Series V Shares for gross proceeds of $250 million. The Series V Shares will be priced at $25.00 per share and will carry an annual dividend yield of 5.15%. Closing is expected to occur on or about May 26, 2017. The issue will be underwritten by a syndicate of underwriters co-led by BMO Capital Markets, RBC Capital Markets, Scotiabank and TD Securities Inc.

Implied Volatility analysis (as derived for Straight Perpetuals) suggests that the issue is fairly priced:

impvol_pwf_170516
Click for Big

Note, however, that the implied volatility is very high at 31%, and therefore it might be expected that the higher-coupon, higher-yielding issues are the better bet, being expected to outperform on a flattening (lowering of implied volatility). However, the five issues with the highest coupons are all currently callable and are all trading with a negative yield to worst.

May 16, 2017

May 17th, 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 -1.1253 % 2,162.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1253 % 3,968.3
Floater 3.53 % 3.69 % 57,519 18.04 4 -1.1253 % 2,286.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1408 % 3,025.7
SplitShare 4.70 % 4.56 % 66,208 3.94 5 -0.1408 % 3,613.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1408 % 2,819.3
Perpetual-Premium 5.32 % -0.80 % 70,638 0.09 22 -0.2024 % 2,780.4
Perpetual-Discount 5.08 % 5.12 % 105,136 15.24 14 -0.0060 % 3,009.6
FixedReset 4.46 % 4.06 % 208,880 6.59 94 -0.0443 % 2,327.5
Deemed-Retractible 4.99 % 4.85 % 139,580 0.11 30 -0.0163 % 2,888.5
FloatingReset 2.49 % 3.06 % 49,497 4.45 10 0.2280 % 2,540.2
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 3.73 %
HSE.PR.A FixedReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 4.23 %
IAG.PR.A Deemed-Retractible -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.04 %
BAM.PR.B Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 12.91
Evaluated at bid price : 12.91
Bid-YTW : 3.69 %
POW.PR.D Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.12 %
TRP.PR.D FixedReset -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.14 %
TRP.PR.E FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 4.11 %
ELF.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 22.70
Evaluated at bid price : 22.94
Bid-YTW : 5.22 %
TRP.PR.B FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 3.90 %
TRP.PR.H FloatingReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 13.98
Evaluated at bid price : 13.98
Bid-YTW : 3.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSE.PR.G FixedReset 157,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 22.91
Evaluated at bid price : 23.91
Bid-YTW : 4.74 %
BMO.PR.C FixedReset 153,374 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.06 %
BMO.PR.K Deemed-Retractible 117,635 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-15
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.20 %
BAM.PR.M Perpetual-Discount 63,599 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 22.93
Evaluated at bid price : 23.21
Bid-YTW : 5.17 %
RY.PR.D Deemed-Retractible 57,762 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-15
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : -6.77 %
TD.PF.G FixedReset 56,630 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.40 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.A Deemed-Retractible Quote: 23.00 – 23.49
Spot Rate : 0.4900
Average : 0.3374

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.04 %

POW.PR.D Perpetual-Discount Quote: 24.60 – 25.05
Spot Rate : 0.4500
Average : 0.3177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.12 %

BAM.PR.C Floater Quote: 12.78 – 13.14
Spot Rate : 0.3600
Average : 0.2681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 3.73 %

TRP.PR.A FixedReset Quote: 18.91 – 19.20
Spot Rate : 0.2900
Average : 0.2038

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.97 %

EML.PR.A FixedReset Quote: 26.40 – 26.69
Spot Rate : 0.2900
Average : 0.2151

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 4.34 %

BAM.PF.D Perpetual-Discount Quote: 23.76 – 24.09
Spot Rate : 0.3300
Average : 0.2645

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 23.32
Evaluated at bid price : 23.76
Bid-YTW : 5.21 %

New Issue: ECN FixedReset 6.25%+519M625

May 16th, 2017

ECN Capital Corp. has announced:

that it has entered into an agreement with a syndicate of underwriters led by BMO Capital Markets, CIBC Capital Markets, National Bank Financial Inc., RBC Capital Markets and TD Securities Inc. The underwriters have agreed to buy 4,000,000 Cumulative 5-Year Minimum Rate Reset Preferred Shares, Series C (the “Series C Preferred Shares”) at a price of $25.00 per share for aggregate gross proceeds of $100,000,000. The net proceeds are expected to be used to originate and finance, directly and indirectly, finance assets, to fund future acquisitions and for general corporate purposes.
ECN Capital has granted the underwriters an option to purchase at the offering price up to an additional 1,000,000 Series C Preferred Shares exercisable, in whole or in part, at any time up to 48 hours prior to closing of the offering. Should the option be fully exercised, the total gross proceeds of the Series C Preferred Share offering will be $125,000,000.

The Series C Preferred Shares will be issued to the public at a price of $25.00 per share and holders will be entitled to receive fixed cumulative preferential cash dividends, payable by quarterly installments for an initial period of five years, as and when declared by the Board of Directors of the Corporation, at a rate of $1.5625 per share per annum, to yield 6.25% annually. Thereafter, the dividend rate will reset every five years to the sum of the then current 5-Year Government of Canada Bond yield and 5.19%, provided that, in any event, such sum shall not be less than 6.25%. On June 30, 2022, and on June 30 of every fifth year thereafter, the Corporation may redeem the Series C Preferred Shares in whole or in part at par.

Holders will have the right to elect to convert all or any of their Series C Preferred Shares into an equal number of Cumulative Floating Rate Preferred Shares, Series D (the “Series D Preferred Shares”) on June 30, 2022, and on June 30 of every fifth year thereafter. Holders of the Series D Preferred Shares will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of the Corporation, equal to the sum of the then current 3-month Government of Canada Treasury Bill yield and 5.19%. On June 30, 2027 and on June 30, of every fifth year thereafter (a “Series D Redemption Date”), the Corporation may redeem the Series D Preferred Shares in whole or in part at par. On any other date that is not a Series D Redemption Date after June 30, 2022, the Corporation may redeem the Series D Preferred Shares in whole or in part by the payment of $25.50 for each share to be redeemed.

The offering is being made only in the provinces of Canada by means of a prospectus supplement to the Corporation’s base shelf prospectus. The closing date of the offering is expected to be on or about May 25, 2017.

DBRS has assigned a Pfd-3(low) rating to the issue:

The rating reflects the Company’s solid franchise as a leading commercial lender and lessor in North America with strong origination platforms and sound risk management across multiple asset classes. The rating also considers the solid earnings generation derived from the franchise, producing more than sufficient pre-provision earnings to absorb the cost of credit with a solid cushion to absorb potentially higher losses that would be expected through the cycle, as well as unexpected losses. Funding is appropriate and aligned with the asset base, while leverage is considered low compared to peers. The Company’s reliance on secured forms of wholesale funding and execution risks associated with the Company’s evolving strategy to become more “asset-lite”, as well as the potential for entry into new business activities currently constrain the ratings.

May 15, 2017

May 15th, 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 0.6685 % 2,187.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6685 % 4,013.4
Floater 3.49 % 3.64 % 53,228 18.17 4 0.6685 % 2,313.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1253 % 3,030.0
SplitShare 4.69 % 4.49 % 66,554 3.94 5 0.1253 % 3,618.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1253 % 2,823.3
Perpetual-Premium 5.31 % -1.92 % 69,838 0.09 22 -0.0763 % 2,786.0
Perpetual-Discount 5.08 % 5.06 % 104,967 15.31 14 -0.1285 % 3,009.8
FixedReset 4.45 % 4.04 % 211,078 6.60 94 -0.1310 % 2,328.5
Deemed-Retractible 4.99 % 4.76 % 132,137 0.11 30 -0.0095 % 2,888.9
FloatingReset 2.50 % 3.11 % 48,509 4.46 10 0.0279 % 2,534.4
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 3.95 %
TRP.PR.G FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 22.27
Evaluated at bid price : 22.82
Bid-YTW : 4.28 %
ELF.PR.G Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 22.45
Evaluated at bid price : 22.71
Bid-YTW : 5.27 %
BAM.PR.B Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.64 %
BAM.PR.C Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.F FixedReset 115,960 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.20
Bid-YTW : 9.56 %
NA.PR.X FixedReset 62,604 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.67 %
RY.PR.R FixedReset 57,796 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.45 %
TRP.PR.D FixedReset 40,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 4.09 %
SLF.PR.I FixedReset 34,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.18 %
GWO.PR.H Deemed-Retractible 26,540 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 5.48 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.I FixedReset Quote: 26.15 – 27.15
Spot Rate : 1.0000
Average : 0.5645

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.91 %

TRP.PR.G FixedReset Quote: 22.82 – 23.25
Spot Rate : 0.4300
Average : 0.2533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 22.27
Evaluated at bid price : 22.82
Bid-YTW : 4.28 %

MFC.PR.N FixedReset Quote: 21.27 – 21.66
Spot Rate : 0.3900
Average : 0.2604

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.27
Bid-YTW : 5.90 %

MFC.PR.L FixedReset Quote: 20.30 – 20.62
Spot Rate : 0.3200
Average : 0.1982

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 6.48 %

PWF.PR.F Perpetual-Premium Quote: 25.08 – 25.49
Spot Rate : 0.4100
Average : 0.2897

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.00 %

W.PR.M FixedReset Quote: 26.25 – 26.56
Spot Rate : 0.3100
Average : 0.1945

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.09 %

May PrefLetter Released!

May 14th, 2017

The May, 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 May, 2017, issue, while the “Next Edition” will be the June, 2017, issue, scheduled to be prepared as of the June 9 and eMailed to subscribers prior to market-opening on June 12.

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!

CU.PR.C : Convert or Hold?

May 13th, 2017

It will be recalled that CU.PR.C will reset to 3.40% (paid on par) effective June 1.

Holders of CU.PR.C have the option to convert to FloatingResets, which will pay 3-month bills plus 240bp on the par value of $25.00, reset quarterly. The deadline for notifying the company of the intent to convert is 3 p.m. (Calgary time) / 5 p.m. (Toronto time) on May 17, 2017; but note that this is a company deadline and that brokers will generally set their deadlines a day or two in advance, so there’s not much time to lose if you’re planning to convert! However, if you miss the brokerage deadline they’ll probably do it on a ‘best efforts’ basis if you grovel in a sufficiently entertaining fashion. The ticker for the new FloatingReset, if it is issued, is not yet known.

CU.PR.C is a FixedReset, 4.00%+240, that commenced trading 2011-9-21 after being announced 2011-9-13.

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

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

pairs_fr_170512
Click for Big

The market appears to have a distaste at the moment for floating rate product; most of the implied rates until the next interconversion are lower than the current 3-month bill rate and the averages for investment-grade and junk issues are both well below current market rates, at +0.02% and -0.15%, respectively! Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

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

Estimate of FloatingReset (received in exchange for CU.PR.C) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 0.00% -0.50% -1.00%
CU.PR.C 21.59 240bp 21.06 20.54 20.01

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