PrefBlog

Market Action

CF.PR.A To Reset At 3.885%

Canaccord Genuity Group Inc. has announced (although not yet on their website):

the applicable dividend rates for its Cumulative 5-Year Rate Reset First Preferred Shares, Series A (the “Series A Preferred Shares”) and its Cumulative Floating Rate First Preferred Shares, Series B (the “Series B Preferred Shares”), further to its press release dated August 12, 2016 announcing that it does not intend to exercise its right to redeem all or any part of the currently outstanding Series A Preferred Shares and, as a result of which, subject to certain conditions, the holders of the Series A Preferred Shares have the right to convert all or any part of their Series A Preferred Shares into Series B Preferred Shares on a one-for-one basis.

With respect to any Series A Preferred Shares that remain outstanding after September 30, 2016, holders thereof will be entitled to receive quarterly fixed, cumulative, preferential cash dividends, if, as and when declared by the Board of Directors of the Company, subject to the provisions of the Business Corporations Act (British Columbia). The dividend rate for the five-year period commencing on October 1, 2016 and ending on and including September 30, 2021 will be 3.885% per annum, being equal to the sum of the five year Government of Canada bond yield determined as of today, plus 3.21%, in accordance with the terms of the Series A Preferred Shares.

With respect to any Series B Preferred Shares that may be issued on September 30, 2016, holders thereof will be entitled to receive quarterly floating rate, cumulative, preferential cash dividends, if, as and when declared by the Board of Directors of the Company, subject to the provisions of the Business Corporations Act (British Columbia). The dividend rate for the three-month period commencing on October 1, 2016 and ending on and including December 31, 2016 will be 3.722% per annum, being equal to the sum of the three-month Government of Canada Treasury Bill yield determined as of today, plus 3.21% (calculated on the basis of the actual number of days elapsed during such quarterly period divided by 365), in accordance with the terms of the Series B Preferred Shares. The quarterly floating dividend rate will be reset every quarter.

Beneficial owners of Series A Preferred Shares who wish to exercise their conversion right should communicate as soon as possible with their broker or other nominee to ensure their instructions are followed for exercising such right on or prior to the deadline for exercise, which is 5:00 p.m. (Toronto time) on September 15, 2016.

The previous notice of extension was reported on PrefBlog.

CF.PR.A is a 5.50%+321 FixedReset that commenced trading 2011-6-23 after being announced 2011-6-6. The reset therefore represents a 29% dividend cut.

As noted, the deadline for notifying the company of a desire to convert is 5:00 p.m. (Toronto time) on September 15, 2016, but note that custodians of your shares will have internal deadlines a day or two earlier. Hence, I will make a recommendation on whether or not to convert on September 12, 2016.

Issue Comments

BPO.PR.R To Reset At 4.155%

Brookfield Office Properties Inc., a subsidiary of Brookfield Property Partners has announced:

that it has determined the fixed dividend rate on its Class AAA Preference Shares, Series R (“Series R Shares”) (TSX: BPO.PR.R) for the five years commencing October 1, 2016 and ending September 30, 2021. If declared, the fixed quarterly dividends on the Series R Shares during that period will be paid at an annual rate of 4.155% ($0.259688 per share per quarter).

Holders of Series R Shares have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on September 15, 2016, to convert all or part of their Series R Shares, on a one-for-one basis, into Class AAA Preference Shares, Series S (the “Series S Shares”), effective September 30, 2016.

The quarterly floating rate dividends on the Series S Shares have an annual rate, calculated for each quarter, of 3.48% over the annual yield on three-month Government of Canada treasury bills. The actual quarterly dividend rate in respect of the October 1, 2016 to December 31, 2016 dividend period for the Series S Shares will be 1.0057% (3.99% on an annualized basis) and the dividend, if declared, for such dividend period will be $0.251425 per share, payable on December 30, 2016.

Holders of Series R Shares are not required to elect to convert all or any part of their Series R Shares into Series S Shares.

As provided in the share conditions of the Series R Shares, (i) if Brookfield determines that there would be fewer than 1,000,000 Series R Shares outstanding after September 30, 2016, all remaining Series R Shares will be automatically converted into Series S Shares on a one-for-one basis effective September 30, 2016; and (ii) if Brookfield determines that there would be fewer than 1,000,000 Series S Shares outstanding after September 30, 2016, no Series R Shares will be permitted to be converted into Series S Shares. There are currently 10,000,000 Series R Shares outstanding.

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

BPO.PR.R is a 5.10%+348 FixedReset that commenced trading 2011-9-2 after being announced 2011-8-25. The reset therefore represents a 19% cut in dividends.

As noted, the deadline for notifying the company of a desire to convert is 5:00 p.m. (ET) on September 15, 2016, but note that custodians of your shares will have internal deadlines a day or two earlier. Hence, I will make a recommendation on whether or not to convert on September 12, 2016.

Issue Comments

SLF.PR.H To Reset At 2.842%

Sun Life Financial Inc. has announced:

the dividend rates for its Class A Non-Cumulative Rate Reset Preferred Shares Series 10R (the “Series 10R Shares”) and Class A Non-Cumulative Floating Rate Preferred Shares Series 11QR (the “Series 11QR Shares”).

With respect to any Series 10R Shares that remain outstanding after September 30, 2016, commencing as of that date, holders thereof will be entitled to receive non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Sun Life Financial and subject to the Insurance Companies Act (Canada). The dividend rate for the five-year period commencing on September 30, 2016 to but excluding September 30, 2021 will be 2.842% per annum or $0.177625 per share per quarter, being equal to the sum of the Government of Canada Yield, as defined in the terms of the Series 10R Shares, on Wednesday, August 31, 2016 plus 2.17%, as determined in accordance with the terms of the Series 10R Shares.

With respect to any Series 11QR Shares that are issued on September 30, 2016, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Sun Life Financial and subject to the Insurance Companies Act (Canada), based on a dividend rate equal to the sum of the T-Bill Rate, as defined in the terms of the Series 11QR Shares, plus 2.17% (calculated on the basis of the actual number of days elapsed in such Quarterly Floating Rate Period divided by 365 days), subject to certain adjustments in accordance with the terms of the Series 11QR Shares. The dividend rate for the period commencing on September 30, 2016 to but excluding December 31, 2016 will be equal to 2.682% per annum or $0.169003 per share, as determined in accordance with the terms of the Series 11QR Shares.

Beneficial owners of Series 10R Shares who wish to exercise the right of conversion should communicate as soon as possible with their broker or other nominee and should ensure that their instructions are followed in order to meet the deadline to exercise such right of conversion, which is 5:00 p.m. (ET) on Thursday, September 15, 2016.

An application will be made to list the Series 11QR Shares on the Toronto Stock Exchange.

I previously reported the notice of extension.

SLF.PR.H is a FixedReset, 3.90%+217, that commenced trading 2011-8-12 after being announced 2011-8-4. The reset dividend therefore represents a dividend cut of 27%.

As the issue does not have a NVCC clause, I have followed my current policy and added a Deemed Maturity entry to the call schedule for 2025-1-31 in the expectation that the NVCC rules will be imposed on insurers and insurance holding companies in the reasonably near future.

Issue Comments

IFC.PR.C To Reset At 3.332%

Intact Financial Corporation has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Non-cumulative Rate Reset Class A Shares Series 3 of IFC (the “Series 3 Preferred Shares”) (TSX: IFC.PR.C) on September 30, 2016. As a result, subject to certain conditions set out in the prospectus supplement dated August 11, 2011 relating to the issuance of the Series 3 Preferred Shares (the “Prospectus”), the holders thereof will have the right, at their option, to elect to convert all or any of their Series 3 Preferred Shares into Non-cumulative Floating Rate Class A Shares Series 4 of IFC (the “Series 4 Preferred Shares”) on a one-for-one basis on September 30, 2016. Holders who do not exercise their right to convert their Series 3 Preferred Shares into Series 4 Preferred Shares on such date will retain their Series 3 Preferred Shares, unless automatically converted in accordance with the conditions below.

With respect to any Series 3 Preferred Shares that remain outstanding after September 30, 2016, commencing as of such date, holders thereof will be entitled to receive fixed non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of IFC. The annual dividend rate for the Series 3 Preferred Shares for the five-year period from and including September 30, 2016 to but excluding September 30, 2021 will be 3.332%, as determined in accordance with the terms of the Series 3 Preferred Shares.

With respect to any Series 4 Preferred Shares that may be issued on September 30, 2016, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of IFC. The dividend rate for the Series 4 Preferred Shares for the 3-month floating rate period from and including September 30, 2016 to but excluding December 31, 2016 will be 0.79733% (3.172% on an annualized basis), as determined in accordance with the terms of the Series 4 Preferred Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

The foregoing conversion right is subject to the conditions that: (i) if IFC determines that there would be less than 1,000,000 Series 3 Preferred Shares outstanding on September 30, 2016, then all remaining Series 3 Preferred Shares will automatically be converted into an equal number of Series 4 Preferred Shares on September 30, 2016, and (ii) alternatively, if IFC determines that there would be less than 1,000,000 Series 4 Preferred Shares outstanding on September 30, 2016, then no Series 3 Preferred Shares will be converted into Series 4 Preferred Shares. In either case, IFC will give written notice to that effect to any registered holders of Series 3 Preferred Shares on or before September 23, 2016.

The Series 3 Preferred Shares are issued in “book entry only” form and must be purchased or transferred through a participant in the CDS depository service (“CDS Participant”). All rights of holders of Series 3 Preferred Shares must be exercised through CDS or the CDS Participant through which the Series 3 Preferred Shares are held. The deadline for the registered shareholder to provide notice of exercise of the right to convert Series 3 Preferred Shares into Series 4 Preferred Shares is 5:00 p.m. (ET) on September 15, 2016. Any notices received after this deadline will not be valid. As such, holders of Series 3 Preferred Shares who wish to exercise their right to convert their shares should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

Holders of the Series 3 Preferred Shares and the Series 4 Preferred Shares will have the opportunity to convert their shares again on September 30, 2021, and every five years thereafter as long as the shares remain outstanding. Subject to certain conditions described in the Prospectus, IFC may redeem the Series 3 Preferred Shares, in whole or in part, on September 30, 2021 and on September 30 every five years thereafter and may redeem the Series 4 Preferred Shares, in whole or in part, after September 30, 2016.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 4 Preferred Shares effective on conversion. Listing of the Series 4 Preferred Shares is subject to IFC fulfilling all of the listing requirements of the TSX.

For more information on the terms of, and risks associated with an investment in, the Series 3 Preferred Shares and the Series 4 Preferred Shares, please see IFC’s prospectus supplement dated August 11, 2011 which is available on www.sedar.com.

IFC.PR.C is a FixedReset, 4.20%+266, that commenced trading 2011-8-18 after being announced 2011-8-9. Hence the reset represents a dividend cut of 21%.

Market Action

September 1, 2016

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.3036 %	1,679.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.3036 %	3,068.0
Floater	4.89 %	4.69 %	76,608	15.99	4	-0.3036 %	1,768.1
OpRet	4.84 %	-8.95 %	58,787	0.08	1	0.0000 %	2,881.5
SplitShare	5.05 %	4.27 %	95,676	2.23	5	-0.0555 %	3,441.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0555 %	2,684.9
Perpetual-Premium	5.49 %	1.40 %	75,337	0.16	12	-0.1653 %	2,682.5
Perpetual-Discount	5.12 %	5.09 %	103,624	14.97	26	-0.0616 %	2,905.5
FixedReset	4.94 %	4.30 %	146,137	7.23	89	-0.1448 %	2,057.1
Deemed-Retractible	5.01 %	3.64 %	113,842	0.40	32	0.0635 %	2,804.8
FloatingReset	2.84 %	3.89 %	31,171	5.05	12	0.3046 %	2,218.6

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.G	FixedReset	-3.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.16 Bid-YTW : 7.38 %
MFC.PR.N	FixedReset	-2.90 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.42 Bid-YTW : 7.69 %
MFC.PR.M	FixedReset	-1.95 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.57 %
MFC.PR.I	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.13 Bid-YTW : 6.73 %
MFC.PR.L	FixedReset	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.30 Bid-YTW : 7.62 %
IAG.PR.G	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.71 Bid-YTW : 6.96 %
MFC.PR.J	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.06 Bid-YTW : 7.27 %
VNR.PR.A	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 4.85 %
HSE.PR.A	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 12.09 Evaluated at bid price : 12.09 Bid-YTW : 5.00 %
BAM.PR.S	FloatingReset	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 5.04 %
BAM.PF.F	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.55 %
CCS.PR.C	Deemed-Retractible	1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.54 Bid-YTW : 5.25 %
GWO.PR.N	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.25 Bid-YTW : 9.69 %
BAM.PF.G	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 4.47 %
TRP.PR.C	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 4.25 %
BNS.PR.D	FloatingReset	1.53 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.90 Bid-YTW : 6.00 %
BMO.PR.A	FloatingReset	1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 5.57 %

Volume Highlights
Issue	Index	Shares Traded	Notes
PWF.PR.L	Perpetual-Discount	110,300	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 24.60 Evaluated at bid price : 24.85 Bid-YTW : 5.18 %
POW.PR.D	Perpetual-Discount	109,503	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 24.26 Evaluated at bid price : 24.56 Bid-YTW : 5.15 %
TD.PF.D	FixedReset	37,700	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 4.30 %
TD.PF.C	FixedReset	34,407	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.14 %
BMO.PR.Y	FixedReset	34,177	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 4.20 %
BNS.PR.D	FloatingReset	32,200	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.90 Bid-YTW : 6.00 %
There were 23 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: 19.16 – 19.75 Spot Rate : 0.5900 Average : 0.3602 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.16 Bid-YTW : 7.38 %
MFC.PR.N	FixedReset	Quote: 18.42 – 18.75 Spot Rate : 0.3300 Average : 0.1987 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.42 Bid-YTW : 7.69 %
BAM.PR.S	FloatingReset	Quote: 14.35 – 14.75 Spot Rate : 0.4000 Average : 0.3000 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 5.04 %
RY.PR.H	FixedReset	Quote: 18.80 – 19.06 Spot Rate : 0.2600 Average : 0.1733 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.14 %
GWO.PR.L	Deemed-Retractible	Quote: 25.55 – 25.84 Spot Rate : 0.2900 Average : 0.2139 YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-31 Maturity Price : 25.50 Evaluated at bid price : 25.55 Bid-YTW : 3.64 %
BAM.PR.X	FixedReset	Quote: 13.85 – 14.12 Spot Rate : 0.2700 Average : 0.1962 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-01 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 4.76 %

Market Action

August 31, 2016

At month-end, PerpetualDiscounts yield 5.11%, equivalent to 6.64% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.65%, so the pre-tax interest-equivalent spread (in this context, the Seniority Spread) is now about 300bp, a widening from the 290bp reported July 27.

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	0.3225 %	1,684.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.3225 %	3,077.4
Floater	4.87 %	4.65 %	77,495	16.07	4	0.3225 %	1,773.5
OpRet	4.84 %	-9.10 %	61,201	0.08	1	0.0000 %	2,881.5
SplitShare	5.05 %	4.32 %	99,599	2.23	5	-0.0397 %	3,443.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0397 %	2,686.4
Perpetual-Premium	5.48 %	1.05 %	72,993	0.17	12	-0.1715 %	2,687.0
Perpetual-Discount	5.12 %	5.11 %	104,819	14.96	26	0.0300 %	2,907.3
FixedReset	4.93 %	4.30 %	144,208	7.23	89	-0.3555 %	2,060.1
Deemed-Retractible	5.01 %	4.57 %	112,490	0.40	32	-0.1980 %	2,803.0
FloatingReset	2.85 %	3.97 %	30,060	5.05	12	0.0653 %	2,211.9

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.A	FixedReset	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 4.70 %
PWF.PR.T	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 3.93 %
PWF.PR.P	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 13.62 Evaluated at bid price : 13.62 Bid-YTW : 4.25 %
RY.PR.J	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.25 %
CM.PR.Q	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.31 %
MFC.PR.H	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.61 Bid-YTW : 5.93 %
MFC.PR.O	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 4.39 %
MFC.PR.B	Deemed-Retractible	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 5.64 %
MFC.PR.F	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.98 Bid-YTW : 10.04 %
BAM.PF.G	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 4.53 %
RY.PR.M	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 4.22 %
SLF.PR.I	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.54 %
BAM.PF.E	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 4.50 %
HSE.PR.A	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 12.22 Evaluated at bid price : 12.22 Bid-YTW : 4.95 %
RY.PR.H	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 4.10 %
BAM.PF.B	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 4.79 %
BAM.PR.S	FloatingReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 4.99 %
TRP.PR.B	FixedReset	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 12.05 Evaluated at bid price : 12.05 Bid-YTW : 4.16 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.O	Deemed-Retractible	107,963	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.25 Evaluated at bid price : 25.70 Bid-YTW : -10.03 %
BAM.PR.T	FixedReset	86,348	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 4.91 %
TD.PF.A	FixedReset	81,324	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 4.09 %
HSB.PR.D	Deemed-Retractible	78,893	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 4.62 %
BIP.PR.C	FixedReset	73,935	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 23.23 Evaluated at bid price : 25.22 Bid-YTW : 5.26 %
BMO.PR.S	FixedReset	62,197	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 4.09 %
There were 38 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.S	Perpetual-Discount	Quote: 23.66 – 24.00 Spot Rate : 0.3400 Average : 0.2149 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 23.27 Evaluated at bid price : 23.66 Bid-YTW : 5.11 %
IAG.PR.A	Deemed-Retractible	Quote: 23.06 – 23.49 Spot Rate : 0.4300 Average : 0.3190 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.06 Bid-YTW : 5.75 %
CM.PR.Q	FixedReset	Quote: 20.55 – 20.89 Spot Rate : 0.3400 Average : 0.2377 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.31 %
TRP.PR.C	FixedReset	Quote: 13.11 – 13.44 Spot Rate : 0.3300 Average : 0.2308 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 4.31 %
GWO.PR.R	Deemed-Retractible	Quote: 23.70 – 24.04 Spot Rate : 0.3400 Average : 0.2421 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 5.56 %
RY.PR.J	FixedReset	Quote: 20.50 – 20.76 Spot Rate : 0.2600 Average : 0.1633 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-31 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.25 %

Market Action

August 30, 2016

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.3036 %	1,679.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.3036 %	3,067.5
Floater	4.89 %	4.67 %	76,851	16.02	4	-0.3036 %	1,767.8
OpRet	4.84 %	-9.26 %	62,184	0.08	1	0.0000 %	2,881.5
SplitShare	5.05 %	4.30 %	100,535	2.24	5	0.3902 %	3,444.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3902 %	2,687.5
Perpetual-Premium	5.47 %	-1.02 %	73,973	0.17	12	0.0421 %	2,691.6
Perpetual-Discount	5.12 %	5.08 %	106,297	14.97	26	-0.0805 %	2,906.4
FixedReset	4.91 %	4.25 %	146,550	7.20	89	0.2141 %	2,067.4
Deemed-Retractible	4.98 %	1.23 %	112,628	0.09	32	-0.0615 %	2,808.5
FloatingReset	2.85 %	4.02 %	29,338	5.06	12	-0.0087 %	2,210.4

Performance Highlights
Issue	Index	Change	Notes
IAG.PR.G	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.99 Bid-YTW : 6.75 %
IAG.PR.A	Deemed-Retractible	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.07 Bid-YTW : 5.74 %
FTS.PR.F	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 24.33 Evaluated at bid price : 24.64 Bid-YTW : 4.98 %
FTS.PR.J	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 23.39 Evaluated at bid price : 23.85 Bid-YTW : 4.98 %
CU.PR.C	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 18.64 Evaluated at bid price : 18.64 Bid-YTW : 4.21 %
TRP.PR.A	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 15.21 Evaluated at bid price : 15.21 Bid-YTW : 4.49 %
MFC.PR.N	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.23 %
TRP.PR.E	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.31 %
TRP.PR.D	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 4.46 %
PVS.PR.D	SplitShare	1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 4.67 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.N	Deemed-Retractible	103,200	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-29 Maturity Price : 25.25 Evaluated at bid price : 25.44 Bid-YTW : 1.23 %
BIP.PR.C	FixedReset	99,053	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 23.21 Evaluated at bid price : 25.16 Bid-YTW : 5.27 %
BMO.PR.K	Deemed-Retractible	71,300	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : 0.84 %
MFC.PR.O	FixedReset	70,445	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 4.08 %
RY.PR.E	Deemed-Retractible	61,800	YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-29 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : -6.61 %
MFC.PR.K	FixedReset	60,100	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.70 Bid-YTW : 7.99 %
There were 34 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.F	Perpetual-Discount	Quote: 24.64 – 25.00 Spot Rate : 0.3600 Average : 0.2334 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 24.33 Evaluated at bid price : 24.64 Bid-YTW : 4.98 %
TD.PF.E	FixedReset	Quote: 21.40 – 21.74 Spot Rate : 0.3400 Average : 0.2265 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 4.24 %
FTS.PR.J	Perpetual-Discount	Quote: 23.85 – 24.18 Spot Rate : 0.3300 Average : 0.2202 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 23.39 Evaluated at bid price : 23.85 Bid-YTW : 4.98 %
IAG.PR.G	FixedReset	Quote: 19.99 – 20.35 Spot Rate : 0.3600 Average : 0.2729 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.99 Bid-YTW : 6.75 %
ELF.PR.H	Perpetual-Discount	Quote: 25.20 – 25.55 Spot Rate : 0.3500 Average : 0.2657 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.50 %
ELF.PR.G	Perpetual-Discount	Quote: 22.85 – 23.18 Spot Rate : 0.3300 Average : 0.2597 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-30 Maturity Price : 22.60 Evaluated at bid price : 22.85 Bid-YTW : 5.26 %

New Issues

New Issue: TD FixedReset, 4.85%+412, NVCC, Monster-size!

The Toronto-Dominion Bank has announced:

a domestic public offering of Non-Cumulative 5-Year Rate Reset Preferred Shares (non-viability contingent capital (NVCC)), Series 14 (the “Series 14 Shares”).

TD has entered into an agreement with a group of underwriters led by TD Securities Inc. to issue, on a bought deal basis, 12 million Series 14 Shares at a price of $25.00 per share to raise gross proceeds of $300 million. TD has also granted the underwriters an option to purchase, on the same terms, up to an additional 2 million Series 14 Shares. This option is exercisable in whole or in part by the underwriters at any time up to two business days prior to closing.

The Series 14 Shares will yield 4.85% annually, with dividends payable quarterly, as and when declared by the Board of Directors of TD, for the initial period ending October 31, 2021. Thereafter, the dividend rate will reset every five years at a level of 4.12% over the then five-year Government of Canada bond yield.

Subject to regulatory approval, on October 31, 2021 and on October 31 every 5 years thereafter, TD may redeem the Series 14 Shares, in whole or in part, at $25.00 per share. Subject to TD’s right of redemption and certain other conditions, holders of the Series 14 Shares will have the right to convert their shares into Non-Cumulative Floating Rate Preferred Shares (NVCC), Series 15 (the “Series 15 Shares”), on October 31, 2021, and on October 31 every five years thereafter. Holders of the Series 15 Shares will be entitled to receive quarterly floating rate dividends, as and when declared by the Board of Directors of TD, equal to the three-month Government of Canada Treasury bill yield plus 4.12%.

The expected closing date is September 8, 2016. TD will make an application to list the Series 14 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of the offering will be used for general corporate purposes.

They later announced:

that as a result of strong investor demand for its previously announced domestic public offering of Non-Cumulative 5-Year Rate Reset Preferred Shares (non-viability contingent capital (NVCC)), Series 14 (the “Series 14 Shares”), the size of the offering has been increased to 40 million Series 14 Shares. The gross proceeds of the offering will now be $1 billion. The offering will be underwritten by a group of underwriters led by TD Securities Inc.

The expected closing date is September 8, 2016. TD will make an application to list the Series 14 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of the offering will be used for general corporate purposes.

Supersize me!

Implied Volatility analysis shows that the new issue is fairly priced relative to extant issues:

Click for Big

… provided one accepts that the calculated Implied Volatility value is OK. I claim that it isn’t – that the Implied Volatility of the spread should be in the high single digits and that therefore one can expect the curve to flatten, which implies that the high-spread issues are preferable. On the other hand, I also claim that spreads are currently far too high (a directional bias that contradicts the assumptions of Implied Volatility) and will decline substantially in the future, which implies that deeply discounted low-spread issues are preferable. So take your choice.

The issue attracted notice from David Berman in the Globe:

After five years, the yield on the new preferred shares will be 4.12 percentage points above the five-year bond yield, down more than half a percentage point.

For investors who love the idea of generating regular income in an environment where income is hard to find, the lower yields and reset rates are disappointing.

But TD is merely responding to market conditions. While preferred shares were a tough sell at the start of the year, the market appears more receptive today.
…
Yields may be down. But investor interest is heating up.

There were also some comments from Assiduous Readers.

Here’s a chart comparing the yield (median YTW) of the FixedReset subindex with the five-year Canada yield, taken from PrefLetter. We are a long way from normalizing!

Click for Big

Market Action

August 29, 2016

Remember how I said on August 26 that:

But eventually (probably after the Fed Rate has struggled carefully and cautiously to 1% and above) there will be a series of hikes, bang, bang, bang, bang, that will result in a very nasty environment for bonds.

Well, here’s a different view:

Some at the U.S. central bank may still be too optimistic about how high interest rates can rise in the longer run, based on new Federal Reserve Bank of San Francisco research.

San Francisco Fed economist Kevin Lansing started with a simple premise: estimates of the inflation-adjusted neutral interest rate — the one that neither stokes nor slows growth — track pretty well with the U.S. Congressional Budget Office’s four-quarter growth rate of potential GDP estimates. Looking at the CBO’s projections for the next decade, he predicts “a very gradual rise” in the neutral rate, referred to as r-star in standard economic models, from near-zero in 2016 to about 1 percent in 2026.

“If the long-run value of r-star is indeed only around 1 percent or less, then the process of normalizing the federal funds rate may end up being more gradual than the midpoint paths implied,” Lansing wrote. He notes that excluding high and low outliers, officials at the middle of the Fed’s June projection see a longer-run real rate of 1.15 percent.

But don’t be too quick to write of growth! There’s a new growth industry in Germany:

German savers are leaving the security of savings banks for what many now consider an even safer place to park their cash: home safes.

For years, Germans kept socking money away in savings accounts despite plunging interest rates. Savers deemed the accounts secure, and they still offered easy cash access. But recently, many have lost faith.

“It doesn’t pay to keep money in the bank, and on top of that you’re being taxed on it,” said Uwe Wiese, an 82-year-old pensioner who recently bought a home safe to stash roughly €53,000 ($59,344), including part of his company pension that he took as a payout.

Interest rates’ plunge into negative territory is now accelerating demand for impregnable metal boxes.

Burg-Waechter KG, Germany’s biggest safe manufacturer, posted a 25% jump in sales of home safes in the first half of this year compared with the year earlier, said sales chief Dietmar Schake, citing “significantly higher demand for safes by private individuals, mainly in Germany.”

And don’t forget drones!

Before some cutting-edge online retailer can use a drone to drop granola bars on your doorstep, a railroad born when Abe Lincoln was in Congress will first have to iron out the kinks.

BNSF Railway Co. is flying drones as far as 150 miles (240 kilometers) along the New Mexico desert to inspect tracks, helping the Federal Aviation Administration develop rules for operating unmanned aircraft beyond the pilot’s line of sight. That’s an essential step for expanding use to such commercial endeavors as deliveries by Amazon.com Inc. and other companies.
…
BNSF, owned by Buffett’s Berkshire Hathaway Inc., is particularly suited for the task. The railroad operates 32,500 miles of track crisscrossing sparsely populated areas along a well-defined right of way, which eases planning. Communications towers that are part of a safety system for trains can be used to help guide drones.

The railroad also has a compelling business case. The Latitude HQ-40 drone that Graetz supervises has a six-foot wingspan and is equipped with cameras that when paired with special software can potentially detect track anomalies more quickly, possibly preventing derailments. The flights, from just outside of Playas, New Mexico, lay the groundwork for drone inspections of other fixed infrastructure, such as pipelines and power lines.

The British aren’t satisfied with the calibre of their secret policemen:

Once again, the British government has decided that US technology companies should shoulder more responsibility for preventing terrorism.

Facebook, Twitter and YouTube are ‘the lifeblood of Daesh’ and are ‘consciously failing’ to prevent the spread of terrorist material, a panel of lawmakers said today, adding that they are ‘hiding behind their supranational legal status’.

In its report, parliament’s home affairs committee accuses the companies of passing the buck when it comes to cracking down on propaganda online.

“They must accept that the hundreds of millions in revenues generated from billions of people using their products needs to be accompanied by a greater sense of responsibility and ownership for the impact that extremist material on their sites is having,” it reads.

The MPs are calling for the web firms to move far more quickly to close down infringing accounts – or give a good reason why not. It also wants them to second staff to work within the Metropolitan Police’s counter-terrorism internet referral unit (CITRU).

But the American Secret Police are very active:

Lorne Wald thought he had run into a technical glitch on a Friday night in early August when PayPal halted his attempts to purchase two books. The 60-year-old retired IT worker in Mount Royal, Que., has had a PayPal Inc. account since the online payment platform came to Canada in late 1990s and has never had any trouble buying things online.

But Mr. Wald’s transaction hit a roadblock when an error message warned that he had violated PayPal’s “terms of use” when he tried to buy The New Persian Kitchen, a cookbook by Louisa Shafia, and The House of God, a satirical novel about Beth Israel hospital in Boston – from Canadian online bookseller BookOutlet.ca.

When he contacted the company’s customer service, he was informed by a representative that “the payment was pending clearance by OFAC [the U.S. Office of Foreign Asset Control].” He asked if he could simply cancel the purchase, and was told no, it would have to be adjudicated by PayPal’s compliance team. “It sort of creeped me out,” Mr. Wald says. “If they are going to try to crack down on crime that’s all very noble, but then it’s in your face; and this is a $20 transaction.”

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	-0.5153 %	1,684.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.5153 %	3,076.8
Floater	4.88 %	4.67 %	76,379	16.03	4	-0.5153 %	1,773.2
OpRet	4.84 %	-9.41 %	64,582	0.08	1	0.0000 %	2,881.5
SplitShare	5.07 %	4.26 %	104,653	2.24	5	-0.3017 %	3,431.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3017 %	2,677.0
Perpetual-Premium	5.47 %	0.12 %	76,440	0.17	12	-0.2519 %	2,690.5
Perpetual-Discount	5.11 %	4.97 %	106,954	14.99	26	-0.2204 %	2,908.7
FixedReset	4.92 %	4.27 %	143,534	7.19	89	-0.5318 %	2,063.0
Deemed-Retractible	4.98 %	1.95 %	114,224	0.24	32	0.0191 %	2,810.3
FloatingReset	2.85 %	4.06 %	30,517	5.06	12	0.1203 %	2,210.6

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.I	FixedReset	-1.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.49 Bid-YTW : 6.46 %
MFC.PR.J	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.36 Bid-YTW : 7.03 %
TD.PF.F	Perpetual-Discount	-1.75 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.84 %
FTS.PR.H	FixedReset	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 13.58 Evaluated at bid price : 13.58 Bid-YTW : 4.09 %
IFC.PR.A	FixedReset	-1.63 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.10 Bid-YTW : 10.05 %
MFC.PR.K	FixedReset	-1.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.59 Bid-YTW : 8.08 %
MFC.PR.L	FixedReset	-1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.51 Bid-YTW : 7.45 %
MFC.PR.N	FixedReset	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.76 Bid-YTW : 7.41 %
MFC.PR.G	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.93 Bid-YTW : 6.80 %
CU.PR.I	FixedReset	-1.34 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 3.64 %
TD.PF.D	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 20.72 Evaluated at bid price : 20.72 Bid-YTW : 4.27 %
PVS.PR.D	SplitShare	-1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.43 Bid-YTW : 5.02 %
MFC.PR.F	FixedReset	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.05 Bid-YTW : 9.96 %
BAM.PR.K	Floater	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 10.26 Evaluated at bid price : 10.26 Bid-YTW : 4.67 %
FTS.PR.M	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.11 %
FTS.PR.K	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 18.09 Evaluated at bid price : 18.09 Bid-YTW : 4.03 %
SLF.PR.I	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.01 Bid-YTW : 7.30 %
RY.PR.O	Perpetual-Discount	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 24.65 Evaluated at bid price : 25.06 Bid-YTW : 4.90 %
PWF.PR.T	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 3.89 %
MFC.PR.M	FixedReset	-1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.91 Bid-YTW : 7.35 %
TRP.PR.C	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 13.09 Evaluated at bid price : 13.09 Bid-YTW : 4.32 %
PWF.PR.P	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 13.93 Evaluated at bid price : 13.93 Bid-YTW : 4.16 %
BNS.PR.D	FloatingReset	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.58 Bid-YTW : 6.31 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BIP.PR.C	FixedReset	782,390	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 23.20 Evaluated at bid price : 25.15 Bid-YTW : 5.27 %
TD.PF.G	FixedReset	269,005	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.59 Bid-YTW : 4.11 %
MFC.PR.O	FixedReset	157,150	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 4.03 %
TD.PF.A	FixedReset	128,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 19.19 Evaluated at bid price : 19.19 Bid-YTW : 4.06 %
TRP.PR.J	FixedReset	104,755	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 4.34 %
FTS.PR.M	FixedReset	70,763	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.11 %
There were 22 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.F	Perpetual-Discount	Quote: 25.25 – 25.80 Spot Rate : 0.5500 Average : 0.3363 YTW SCENARIO Maturity Type : Call Maturity Date : 2024-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.84 %
VNR.PR.A	FixedReset	Quote: 18.70 – 19.26 Spot Rate : 0.5600 Average : 0.3561 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-08-29 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.82 %
BNS.PR.P	FixedReset	Quote: 24.39 – 24.69 Spot Rate : 0.3000 Average : 0.1827 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.39 Bid-YTW : 3.50 %
PVS.PR.D	SplitShare	Quote: 24.43 – 24.70 Spot Rate : 0.2700 Average : 0.1836 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.43 Bid-YTW : 5.02 %
SLF.PR.I	FixedReset	Quote: 19.01 – 19.40 Spot Rate : 0.3900 Average : 0.3074 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.01 Bid-YTW : 7.30 %
SLF.PR.H	FixedReset	Quote: 16.30 – 16.58 Spot Rate : 0.2800 Average : 0.1999 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.30 Bid-YTW : 8.79 %

PrefBlog

September 2, 2016

CF.PR.A To Reset At 3.885%

BPO.PR.R To Reset At 4.155%

SLF.PR.H To Reset At 2.842%

IFC.PR.C To Reset At 3.332%

September 1, 2016

August 31, 2016

August 30, 2016

New Issue: TD FixedReset, 4.85%+412, NVCC, Monster-size!

August 29, 2016

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