August 3, 2018

August 3rd, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.7301 % 3,120.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7301 % 5,725.3
Floater 3.46 % 3.66 % 54,654 18.14 4 -0.7301 % 3,299.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1102 % 3,213.3
SplitShare 4.57 % 4.37 % 47,685 4.87 5 0.1102 % 3,837.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1102 % 2,994.1
Perpetual-Premium 5.62 % -12.88 % 60,475 0.09 10 -0.1061 % 2,913.8
Perpetual-Discount 5.40 % 5.53 % 54,708 14.61 25 -0.0242 % 2,985.7
FixedReset 4.30 % 4.70 % 124,499 3.95 107 -0.1030 % 2,571.6
Deemed-Retractible 5.14 % 6.05 % 60,191 5.42 26 -0.1357 % 2,974.6
FloatingReset 3.36 % 3.55 % 32,321 5.75 7 0.0915 % 2,833.0
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset -4.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.49 %
PWF.PR.A Floater -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 3.03 %
TD.PF.E FixedReset -1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.87 %
EMA.PR.C FixedReset -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 22.70
Evaluated at bid price : 23.83
Bid-YTW : 5.04 %
MFC.PR.I FixedReset -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.63 %
SLF.PR.J FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 6.78 %
MFC.PR.K FixedReset 2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.L FixedReset 129,743 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 2.95 %
TD.PF.H FixedReset 79,846 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.56 %
MFC.PR.K FixedReset 66,454 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.77 %
NA.PR.A FixedReset 44,356 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : 3.73 %
NA.PR.G FixedReset 43,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 23.21
Evaluated at bid price : 25.22
Bid-YTW : 4.88 %
CM.PR.S FixedReset 13,613 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 22.77
Evaluated at bid price : 23.90
Bid-YTW : 4.78 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Quote: 22.63 – 23.90
Spot Rate : 1.2700
Average : 0.6882

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 22.02
Evaluated at bid price : 22.63
Bid-YTW : 5.00 %
MFC.PR.L FixedReset Quote: 22.30 – 23.30
Spot Rate : 1.0000
Average : 0.5517

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.49 %
TD.PF.G FixedReset Quote: 26.35 – 26.75
Spot Rate : 0.4000
Average : 0.2343

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.44 %
PWF.PR.O Perpetual-Premium Quote: 25.66 – 26.05
Spot Rate : 0.3900
Average : 0.2320

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-02
Maturity Price : 25.25
Evaluated at bid price : 25.66
Bid-YTW : -12.88 %
TD.PF.E FixedReset Quote: 24.40 – 24.79
Spot Rate : 0.3900
Average : 0.2549

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.87 %
MFC.PR.H FixedReset Quote: 25.30 – 25.70
Spot Rate : 0.4000
Average : 0.2768

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.15 %

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August 2, 2018

August 3rd, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5875 % 3,143.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5875 % 5,767.4
Floater 3.44 % 3.65 % 53,509 18.17 4 0.5875 % 3,323.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0946 % 3,209.8
SplitShare 4.58 % 4.39 % 47,477 4.87 5 0.0946 % 3,833.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0946 % 2,990.8
Perpetual-Premium 5.61 % -14.57 % 61,381 0.09 10 0.0905 % 2,916.9
Perpetual-Discount 5.40 % 5.52 % 55,274 14.64 25 -0.0414 % 2,986.4
FixedReset 4.29 % 4.65 % 125,308 3.94 107 -0.0453 % 2,574.3
Deemed-Retractible 5.14 % 5.99 % 62,307 5.43 26 0.0113 % 2,978.7
FloatingReset 3.36 % 3.56 % 31,751 5.75 7 -0.2218 % 2,830.4
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.20 %
SLF.PR.J FloatingReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.95 %
BAM.PF.F FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 24.26
Evaluated at bid price : 24.65
Bid-YTW : 5.13 %
MFC.PR.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.71 %
PWF.PR.A Floater 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 21.45
Evaluated at bid price : 21.71
Bid-YTW : 2.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset 100,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.72
Evaluated at bid price : 23.24
Bid-YTW : 4.72 %
NA.PR.E FixedReset 68,091 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.70
Evaluated at bid price : 23.80
Bid-YTW : 4.92 %
CM.PR.S FixedReset 64,816 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.75
Evaluated at bid price : 23.86
Bid-YTW : 4.79 %
TD.PF.H FixedReset 55,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.61 %
POW.PR.G Perpetual-Premium 52,614 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 5.21 %
BMO.PR.W FixedReset 51,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.60
Evaluated at bid price : 23.05
Bid-YTW : 4.73 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 19.75 – 20.25
Spot Rate : 0.5000
Average : 0.2924

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.95 %
BAM.PF.F FixedReset Quote: 24.65 – 25.00
Spot Rate : 0.3500
Average : 0.2103

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 24.26
Evaluated at bid price : 24.65
Bid-YTW : 5.13 %
MFC.PR.K FixedReset Quote: 22.89 – 23.50
Spot Rate : 0.6100
Average : 0.4935

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 6.14 %
HSE.PR.C FixedReset Quote: 24.85 – 25.22
Spot Rate : 0.3700
Average : 0.2550

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.28 %
TRP.PR.B FixedReset Quote: 17.00 – 17.38
Spot Rate : 0.3800
Average : 0.2701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.97 %
MFC.PR.N FixedReset Quote: 23.75 – 24.00
Spot Rate : 0.2500
Average : 0.1473

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.35 %

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August 1, 2018

August 1st, 2018

PerpetualDiscounts now yield 5.52%, equivalent to 7.18% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.98%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, unchanged from the July 25 report.

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 0.0401 % 3,124.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0401 % 5,733.7
Floater 3.46 % 3.64 % 55,502 18.19 4 0.0401 % 3,304.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,206.8
SplitShare 4.58 % 4.40 % 48,072 4.87 5 0.0158 % 3,829.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 2,988.0
Perpetual-Premium 5.62 % -13.67 % 59,188 0.09 10 -0.0354 % 2,914.3
Perpetual-Discount 5.40 % 5.52 % 54,382 14.62 25 0.0447 % 2,987.7
FixedReset 4.29 % 4.65 % 127,183 3.90 107 0.2047 % 2,575.4
Deemed-Retractible 5.14 % 5.98 % 63,270 5.43 26 -0.0194 % 2,978.3
FloatingReset 3.35 % 3.56 % 33,058 5.76 7 0.1292 % 2,836.7
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 6.13 %
PWF.PR.A Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.04 %
GWO.PR.N FixedReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 7.63 %
BAM.PR.C Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 3.65 %
NA.PR.W FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.51
Evaluated at bid price : 22.91
Bid-YTW : 4.80 %
TD.PF.A FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 23.31
Evaluated at bid price : 23.79
Bid-YTW : 4.62 %
EMA.PR.C FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.82
Evaluated at bid price : 24.11
Bid-YTW : 4.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset 79,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.93
Evaluated at bid price : 23.49
Bid-YTW : 4.71 %
TD.PF.H FixedReset 70,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 3.63 %
CM.PR.S FixedReset 60,353 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.73
Evaluated at bid price : 23.81
Bid-YTW : 4.80 %
BMO.PR.C FixedReset 57,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.08 %
CM.PR.R FixedReset 53,919 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.11 %
MFC.PR.K FixedReset 53,194 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 6.13 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 21.24 – 22.00
Spot Rate : 0.7600
Average : 0.6079

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.04 %
MFC.PR.K FixedReset Quote: 22.89 – 23.40
Spot Rate : 0.5100
Average : 0.3658

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 6.13 %
VNR.PR.A FixedReset Quote: 24.99 – 25.35
Spot Rate : 0.3600
Average : 0.2715

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.71 %
IAG.PR.G FixedReset Quote: 23.79 – 24.12
Spot Rate : 0.3300
Average : 0.2478

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.79
Bid-YTW : 5.24 %
BAM.PF.E FixedReset Quote: 23.72 – 24.02
Spot Rate : 0.3000
Average : 0.2208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 23.33
Evaluated at bid price : 23.72
Bid-YTW : 5.00 %
RY.PR.H FixedReset Quote: 23.69 – 23.89
Spot Rate : 0.2000
Average : 0.1327

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 23.15
Evaluated at bid price : 23.69
Bid-YTW : 4.65 %

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July 31, 2018

July 31st, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1212 % 3,123.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1212 % 5,731.4
Floater 3.46 % 3.64 % 57,608 18.18 4 1.1212 % 3,303.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1026 % 3,206.3
SplitShare 4.58 % 4.65 % 50,043 4.87 5 0.1026 % 3,828.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1026 % 2,987.5
Perpetual-Premium 5.63 % -15.36 % 60,028 0.09 9 0.0393 % 2,915.3
Perpetual-Discount 5.39 % 5.49 % 54,893 14.63 26 0.0218 % 2,986.3
FixedReset 4.29 % 4.66 % 127,370 3.90 106 -0.1278 % 2,570.2
Deemed-Retractible 5.14 % 6.00 % 59,538 5.43 27 0.0874 % 2,978.9
FloatingReset 3.26 % 3.55 % 32,117 3.34 9 -0.2026 % 2,833.0
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.02 %
TD.PF.A FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.92
Evaluated at bid price : 23.40
Bid-YTW : 4.70 %
NA.PR.W FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 4.88 %
BMO.PR.Q FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.87 %
BAM.PR.C Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 3.69 %
BAM.PR.B Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 3.67 %
BAM.PR.K Floater 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset 122,847 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 4.42 %
BMO.PR.R FloatingReset 99,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 1.07 %
NA.PR.C FixedReset 78,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.30 %
BAM.PR.T FixedReset 77,914 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 5.11 %
BMO.PR.C FixedReset 76,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.09 %
RY.PR.H FixedReset 60,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 23.06
Evaluated at bid price : 23.60
Bid-YTW : 4.67 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Q FixedReset Quote: 22.70 – 23.04
Spot Rate : 0.3400
Average : 0.2041

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.87 %
NA.PR.W FixedReset Quote: 22.55 – 22.90
Spot Rate : 0.3500
Average : 0.2169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 4.88 %
TRP.PR.H FloatingReset Quote: 17.00 – 17.45
Spot Rate : 0.4500
Average : 0.3295

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.02 %
TD.PF.A FixedReset Quote: 23.40 – 23.75
Spot Rate : 0.3500
Average : 0.2462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.92
Evaluated at bid price : 23.40
Bid-YTW : 4.70 %
BAM.PF.B FixedReset Quote: 23.80 – 24.08
Spot Rate : 0.2800
Average : 0.1980

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 23.12
Evaluated at bid price : 23.80
Bid-YTW : 5.06 %
BMO.PR.Z Perpetual-Discount Quote: 24.96 – 25.17
Spot Rate : 0.2100
Average : 0.1368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 24.48
Evaluated at bid price : 24.96
Bid-YTW : 4.99 %

Posted in Market Action | No Comments »

July 30, 2018

July 30th, 2018

Who remembers Jesse Litvak? I last discussed his case on December 23, 2015; basically, he was charged with fraud for acting like a bond salesman. It was one of the more ridiculous persecutions to emerge from the hysterical witch hunt that followed the credit crunch … and now it’s over:

Federal prosecutors moved to dismiss criminal charges against former Jefferies Group LLC managing director Jesse Litvak, whose two convictions for fraud were both overturned by a federal appeals court.

Litvak’s arrest five years ago put traders on notice that they could face criminal prosecution for making misrepresentations to customers while negotiating trades, sending shock waves through Wall Street and leading to the resignations and suspensions of dozens of traders.

The traders argued that they were dealing with sophisticated investors who knew not to accept their every sales pitch as gospel.

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 0.6800 % 3,088.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6800 % 5,667.9
Floater 3.50 % 3.72 % 59,957 18.02 4 0.6800 % 3,266.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0237 % 3,203.0
SplitShare 4.59 % 4.62 % 52,094 4.88 5 -0.0237 % 3,825.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0237 % 2,984.4
Perpetual-Premium 5.63 % -14.03 % 62,079 0.09 9 0.0349 % 2,914.2
Perpetual-Discount 5.38 % 5.51 % 55,731 14.63 26 0.0608 % 2,985.7
FixedReset 4.28 % 4.60 % 128,271 3.80 106 0.0833 % 2,573.4
Deemed-Retractible 5.14 % 5.96 % 60,426 5.43 27 0.0656 % 2,976.3
FloatingReset 3.25 % 3.51 % 33,332 3.34 9 0.2523 % 2,838.8
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.98 %
MFC.PR.K FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.24
Bid-YTW : 5.85 %
TD.PF.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.25
Evaluated at bid price : 23.73
Bid-YTW : 4.63 %
IFC.PR.G FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 5.03 %
TD.PF.B FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.14
Evaluated at bid price : 23.70
Bid-YTW : 4.67 %
TRP.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.00 %
PWF.PR.A Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.01 %
TRP.PR.H FloatingReset 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 3.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset 48,987 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.88
Evaluated at bid price : 23.41
Bid-YTW : 4.75 %
PWF.PR.F Perpetual-Discount 43,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.54
Evaluated at bid price : 23.81
Bid-YTW : 5.53 %
CM.PR.P FixedReset 23,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.77
Evaluated at bid price : 23.19
Bid-YTW : 4.72 %
BNS.PR.G FixedReset 21,851 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 3.64 %
TD.PF.C FixedReset 20,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.23
Evaluated at bid price : 23.66
Bid-YTW : 4.64 %
TRP.PR.K FixedReset 18,979 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.23 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 18.03 – 18.67
Spot Rate : 0.6400
Average : 0.3583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 5.15 %
VNR.PR.A FixedReset Quote: 24.85 – 25.35
Spot Rate : 0.5000
Average : 0.2998

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.86 %
IFC.PR.E Deemed-Retractible Quote: 24.14 – 24.53
Spot Rate : 0.3900
Average : 0.2246

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.14
Bid-YTW : 5.96 %
PWF.PR.A Floater Quote: 21.48 – 22.00
Spot Rate : 0.5200
Average : 0.3766

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.01 %
MFC.PR.Q FixedReset Quote: 24.80 – 25.13
Spot Rate : 0.3300
Average : 0.2340

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.98 %
CU.PR.C FixedReset Quote: 22.78 – 23.09
Spot Rate : 0.3100
Average : 0.2200

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.22
Evaluated at bid price : 22.78
Bid-YTW : 4.80 %

Posted in Market Action | No Comments »

July 27, 2018

July 27th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.1029 % 3,068.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1029 % 5,629.6
Floater 3.52 % 3.72 % 60,420 18.03 4 -1.1029 % 3,244.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,203.7
SplitShare 4.59 % 4.53 % 54,230 4.89 5 0.0000 % 3,825.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,985.1
Perpetual-Premium 5.63 % -14.56 % 63,285 0.09 9 0.0218 % 2,913.2
Perpetual-Discount 5.39 % 5.52 % 57,608 14.64 26 0.0329 % 2,983.9
FixedReset 4.28 % 4.55 % 128,986 3.91 106 0.1025 % 2,571.3
Deemed-Retractible 5.15 % 6.02 % 60,189 5.44 27 0.0422 % 2,974.4
FloatingReset 3.27 % 3.59 % 33,728 3.35 9 -0.1038 % 2,831.6
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.05 %
BAM.PR.C Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.76 %
IFC.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.21 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.E FixedReset 298,488 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 21.93
Evaluated at bid price : 22.50
Bid-YTW : 4.93 %
RY.PR.J FixedReset 212,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.59
Bid-YTW : 4.40 %
TRP.PR.J FixedReset 161,408 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 4.03 %
BMO.PR.C FixedReset 104,708 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.14 %
TRP.PR.K FixedReset 86,732 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.22 %
CM.PR.S FixedReset 62,784 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 22.75
Evaluated at bid price : 23.86
Bid-YTW : 4.71 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.05 – 26.05
Spot Rate : 1.0000
Average : 0.5799

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.89 %
BAM.PR.C Floater Quote: 17.33 – 17.79
Spot Rate : 0.4600
Average : 0.3198

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.76 %
MFC.PR.I FixedReset Quote: 24.90 – 25.30
Spot Rate : 0.4000
Average : 0.2841

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.60 %
SLF.PR.D Deemed-Retractible Quote: 21.45 – 21.73
Spot Rate : 0.2800
Average : 0.1738

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 7.33 %
IFC.PR.G FixedReset Quote: 24.75 – 25.00
Spot Rate : 0.2500
Average : 0.1557

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.21 %
MFC.PR.L FixedReset Quote: 22.95 – 23.25
Spot Rate : 0.3000
Average : 0.2063

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

Posted in Market Action | No Comments »

July 26, 2018

July 26th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3885 % 3,102.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3885 % 5,692.4
Floater 3.48 % 3.69 % 60,890 18.08 4 -0.3885 % 3,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1027 % 3,203.7
SplitShare 4.59 % 4.51 % 55,049 4.89 5 0.1027 % 3,825.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1027 % 2,985.1
Perpetual-Premium 5.63 % -14.03 % 63,768 0.09 9 0.0481 % 2,912.5
Perpetual-Discount 5.39 % 5.52 % 58,197 14.64 26 0.1021 % 2,982.9
FixedReset 4.29 % 4.59 % 130,321 4.16 106 0.2035 % 2,568.7
Deemed-Retractible 5.15 % 6.00 % 60,631 5.45 27 0.1847 % 2,973.1
FloatingReset 3.27 % 3.61 % 32,190 3.35 9 0.0940 % 2,834.6
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %
MFC.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.64 %
RY.PR.N Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 24.22
Evaluated at bid price : 24.68
Bid-YTW : 4.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset 110,879 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.88 %
TRP.PR.C FixedReset 101,438 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.94 %
CU.PR.C FixedReset 74,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 4.72 %
TRP.PR.K FixedReset 73,790 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.45 %
CU.PR.I FixedReset 61,138 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.21 %
GWO.PR.F Deemed-Retractible 41,003 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : -31.64 %
There were 14 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: 22.90 – 23.32
Spot Rate : 0.4200
Average : 0.2775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %
MFC.PR.J FixedReset Quote: 24.94 – 25.30
Spot Rate : 0.3600
Average : 0.2621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.87 %
MFC.PR.K FixedReset Quote: 22.88 – 23.25
Spot Rate : 0.3700
Average : 0.2846

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.03 %
TRP.PR.B FixedReset Quote: 16.96 – 17.21
Spot Rate : 0.2500
Average : 0.1707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.85 %
IAG.PR.G FixedReset Quote: 23.87 – 24.16
Spot Rate : 0.2900
Average : 0.2122

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 5.13 %
PWF.PR.Q FloatingReset Quote: 21.85 – 22.04
Spot Rate : 0.1900
Average : 0.1231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 3.44 %

Posted in Market Action | No Comments »

AIM Preferreds Jump Again with New Bid for Other Assets

July 26th, 2018

Aimia has received another bid for some of its assets:

Aimia Inc. has received its second hostile bid in as many days − this time for its large stake in Mexico’s leading frequent-flyer program.

The day after Air Canada launched a hostile offer for Aeroplan, the loyalty-rewards program owned by Aimia, Grupo Aeromexico announced its own bid to acquire Aimia’s 49-per-cent stake in PLM Premier for US$180-million, or $235-million.

PLM runs Club Premier, Mexico’s frequent-flyer program, which has partnered with national airline Aeromexico. The airline already controls the majority stake in PLM.

Aimia turned down the offer in a matter of hours, arguing that Aeromexico undervalued the asset.

Aeromexico’s press release highlights the unusual circumstance that Aimia will actually have made some money on its investment:

Grupo Aeromexico (“Aeromexico”) informs that, as a current shareholder of 51.145% of PLM Premier, S.A.P.I. de C.V. (“PLM”), it has made a non-binding proposal for the acquisition of the shares currently held by Aimia Inc (“Aimia”), representing 48.855% on a fully diluted basis, of the outstanding shares of capital stock (the “Stock”) of PLM (the “Proposed Transaction”) for an amount of $180 million US dollars. This amount, including dividends and marketing fees paid to Aimia since its investment, represents an annualized rate of return for Aimia of approximately 18%.

And, as noted in the news story, Aimia scorned the idea:

Aimia Inc. (TSX: AIM), a data-driven marketing and loyalty analytics company, today confirms that it has received a non-binding offer (the “Offer”) from Grupo Aeromexico S.A.B. de C.V. (“Aeromexico”) to acquire for US$180 million Aimia’s 48.855% stake in PLM Premier, S.A.P.I. de C.V. (“PLM”), the owner and operator of Aeromexico’s Club Premier frequent flyer program. Aimia also announces that it has formally notified Aeromexico that the Offer has been rejected.

The Company has promptly rejected the Offer as it believes that its stake in PLM is worth significantly more than the Offer price, which reflected no improvement whatsoever to the terms previously proposed by Aeromexico to Aimia in prior discussions between the parties. By way of reminder, PLM generated Adjusted EBITDA of US$77.4 million in 20171 and the current contract term between PLM and Aeromexico runs to 2030.

All this follows yesterday’s bid for the Aeroplan Canadian operation. I’m not sure why the newspapers persist in calling these ‘hostile bids’. It’s unusual that they’re public, of course, but management and the board have sole discretion regarding what to do, as far as I understand it. Shareholders will not get a vote.

AIM preferreds jumped on the news:

AIM Preferreds Performance
Ticker Description Bid
2018-07-25		 Bid
2018-07-26		 Change
AIM.PR.A FixedReset
4.50%+375		 17.05 19.02 +12%
AIM.PR.B FloatingReset
+375		 17.00 19.06 +12%
AIM.PR.C FixedReset
6.25%+420		 17.00 19.30 +14%

All three issues are tracked by HIMIPref™ but are relegated to the Scraps index on credit concerns.

Note that the bids are not for the company, just for most of its assets. If successful, the bid will change the balance sheet significantly – and just how good the preferreds will look at that point will be the topic of much speculation and puzzling over the balance sheet.

Posted in Issue Comments | 1 Comment »

July 25, 2018

July 25th, 2018

A nice win for Toronto in the tech job sweepstakes:

Toronto has added the most technology jobs in the past five years and has the fourth-best tech talent market in Canada and the U.S., according to a new report released Tuesday.

The report by CBRE Group said Toronto added 82,100 technology-related jobs between 2012 and 2017 to beat out the San Francisco Bay Area for the spot by about 4,270 jobs.
…
In terms of tech jobs added over the five year period to 2017, Montreal added 22,300, while Vancouver added 16,100 and Ottawa added 9,700.
…
Ottawa had the highest concentration of tech talent of any of the 50 markets at 11.2% of all jobs, compared to 9.8% for San Francisco and 8.9% for Toronto.
…
Ottawa also ranked highest in momentum of talent pools because of a 15.2% tech employment growth for a two-year stretch to the end of 2017, compared with a 10% drop for the two prior years.
…
San Francisco ranked highest on average wages at more than US$125,000 a year, while Ottawa ranked as the highest Canadian city for wages at US$67,871.

PerpetualDiscounts now yield 5.50%, equivalent to 7.15% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a sharp narrowing from the 335bp reported July 18.

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 0.5253 % 3,114.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5253 % 5,714.6
Floater 3.47 % 3.69 % 61,537 18.08 4 0.5253 % 3,293.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0158 % 3,200.4
SplitShare 4.59 % 4.66 % 55,863 4.89 5 -0.0158 % 3,822.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0158 % 2,982.1
Perpetual-Premium 5.64 % -12.26 % 61,803 0.09 9 -0.0183 % 2,911.1
Perpetual-Discount 5.40 % 5.50 % 56,633 14.64 26 -0.1676 % 2,979.8
FixedReset 4.30 % 4.62 % 131,041 4.13 106 -0.0494 % 2,563.5
Deemed-Retractible 5.16 % 6.06 % 61,127 5.44 27 -0.1220 % 2,967.6
FloatingReset 3.27 % 3.65 % 32,693 3.35 9 -0.0049 % 2,831.9
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 4.75 %
RY.PR.N Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 23.87
Evaluated at bid price : 24.28
Bid-YTW : 5.02 %
TRP.PR.H FloatingReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.03 %
TRP.PR.C FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.96 %
TRP.PR.E FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 21.84
Evaluated at bid price : 22.35
Bid-YTW : 4.96 %
BAM.PR.K Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 3.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset 158,269 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.64 %
TRP.PR.C FixedReset 76,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.96 %
TD.PF.C FixedReset 55,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 22.90
Evaluated at bid price : 23.32
Bid-YTW : 4.62 %
BAM.PR.T FixedReset 50,932 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 5.06 %
IFC.PR.A FixedReset 40,853 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 7.70 %
TD.PF.B FixedReset 35,701 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 22.90
Evaluated at bid price : 23.45
Bid-YTW : 4.62 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Quote: 24.28 – 24.92
Spot Rate : 0.6400
Average : 0.3884

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.28
Bid-YTW : 4.97 %
MFC.PR.H FixedReset Quote: 25.33 – 25.86
Spot Rate : 0.5300
Average : 0.3221

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 4.99 %
RY.PR.N Perpetual-Discount Quote: 24.28 – 24.80
Spot Rate : 0.5200
Average : 0.3572

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 23.87
Evaluated at bid price : 24.28
Bid-YTW : 5.02 %
TRP.PR.H FloatingReset Quote: 17.00 – 17.50
Spot Rate : 0.5000
Average : 0.3488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.03 %
SLF.PR.H FixedReset Quote: 22.00 – 22.40
Spot Rate : 0.4000
Average : 0.2705

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 5.85 %
RY.PR.O Perpetual-Discount Quote: 24.68 – 25.00
Spot Rate : 0.3200
Average : 0.1940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 24.22
Evaluated at bid price : 24.68
Bid-YTW : 4.94 %

Posted in Market Action | 2 Comments »

AIM Preferreds Skyrocket on Bid for Aeroplan

July 25th, 2018

Air Canada wants Aeroplan back:

Air Canada has made a hostile bid to buy back Aeroplan at a heavily discounted price, 13 years after it spun off the popular Canadian loyalty rewards program.
…
Rather than starting from scratch, the airline and its partners Toronto-Dominion Bank, Canadian Imperial Bank of Commerce and Visa Canada Corp. are now offering to pay $250-million in cash to Aimia for a program that in 2005 had a $2-billion valuation through an initial public offering.

In response to Air Canada’s announcement, Aimia’s stock surged on Wednesday, climbing 36 per cent. Air Canada’s shares had a much more muted reaction, rising 1.4 per cent.

In the the offer announced Wednesday, Air Canada and its partners would assume a $2-billion outstanding liability on Aimia’s books for loyalty points that have not yet been redeemed. Aimia currently has $300-million in cash reserved to cover these liabilities.

Air Canada has set up a Q&A page on their website in addition to the consortium’s press release:

Air Canada, The Toronto-Dominion Bank (“TD”), Canadian Imperial Bank of Commerce (“CIBC”), and Visa Canada Corporation (“Visa”), on behalf of a corporation to be formed, have made a proposal to Aimia Inc. (“Aimia”) to acquire its Aeroplan loyalty business (including approximately $2 billion of Aeroplan points liability at March 31, 2018) for $250 million in cash (the “Proposed Transaction”), representing a total purchase price of approximately $2.25 billion.

The Proposed Transaction, if accepted by Aimia, will ensure value and continuity for their members as well as customers of Air Canada, TD, CIBC and Visa. The proposal implies an estimated market equivalent value of $3.64 per Aimia share, a 52.3% premium to the 30-day VWAP and a 45.6% premium to spot closing price as of July 24, 2018. The market equivalent value is comprised of the Aeroplan loyalty business proposal value of $1.64 per Aimia common share plus non Aeroplan loyalty program net assets valued at $2.00 per common share based on fair market value estimates contained in Mittleman Investment Management’s Q1 2018 investor letter.

Aimia has acknowledged receipt of the proposal:

Aimia Inc. (TSX: AIM), a data-driven marketing and loyalty analytics company, today confirms that it has received a conditional proposal from a consortium (the “Consortium”) consisting of Air Canada, The Toronto-Dominion Bank, Canadian Imperial Bank of Commerce and VISA Canada Corporation to acquire the Aeroplan loyalty program business (the “Proposal”), and acknowledges the press release issued by the Consortium earlier today with respect to the Proposal.

This public Proposal follows prior private engagement and discussions between Aimia and the Consortium. The Board of Directors of Aimia had formed a special committee of independent directors (the “Special Committee”) some time ago in connection with such engagement and discussions and had engaged legal and financial advisors. Further to its ongoing mandate, the Special Committee will consider this Proposal in consultation with its legal and financial advisors to assess whether the Proposal is in the best interests of shareholders and the Company as a whole and will make appropriate recommendations to the Board of Directors.

Given the nature of the Proposal, shareholders of Aimia do not need to and are advised not to take any action with respect to the Proposal at this time. Aimia intends to provide updates if and when necessary in accordance with applicable securities laws.

AIM preferreds jumped on the news:

AIM Preferreds Performance
Ticker Description Bid
2018-07-24		 Bid
2018-07-25		 Change
AIM.PR.A FixedReset
4.50%+375		 11.24 17.05 +52%
AIM.PR.B FloatingReset
+375		 11.45 17.00 +48%
AIM.PR.C FixedReset
6.25%+420		 12.22 17.00 +39%

All three issues are tracked by HIMIPref™ but are relegated to the Scraps index on credit concerns.

Note that the bid is not for the company, but for the Aeroplan asset. If successful, the bid will change the balance sheet significantly – and just how good the preferreds will look at that point will be the topic of much speculation and puzzling over the balance sheet.

Posted in Issue Comments | No Comments »

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