Issue Comments

The not-so-pleasant choices faced by RONA’s preferred shareholders [RON.PR.A]

Barry Critchley was kind enough to quote me in his piece titled The not-so-pleasant choices faced by RONA’s preferred shareholders. First he gives some space to an argument I don’t understand:

According to some holders, agreeing to that low price would set a bad precedent given that there are a slew of rate-reset prefs which are trading at a substantial discount to their purchase price. If one issuer gets away with such a deal, others will follow suit.

Accordingly, it is not in the interests of pref share holders, who put up $25 when the issue came to market in the expectation they would get $25 of value when the time rolled around for the rates to be reset, to encourage such behaviour. So Lowe’s bid $20 – which represented a premium to the recent trading price but a total acquisition savings of $34.5 million – knowing that if it’s rejected it will be required to remain a reporting issuer.

I don’t get it. It’s a vote. You can vote yes or you can vote no. One likes to imagine that good proposals will succeed and bad proposals will fail. The above argument is equivalent to saying that you have to vote Conservative in the Federal election, because if you vote Liberal this time you’ll have to vote Liberal every time. It makes no sense.

But after that, it’s my turn:

James Hymas, of Hymas Investment Management, has a different take, arguing RONA pref shareholders could tender and redeploy the proceeds in other rate reset prefs that generate about the same cash flow.

Hymas, who does not own RONA preferreds either personally or through the funds he manages, argues that if the $20 a share offer is turned down, the price of the RONA prefs will fall below $20. In other words: make the trade.

For more detail regarding my views, see RON.PR.A Vote: Yes or No?.

Mr. Critchley also commented on the Stirling Funds joke:

Numerous attempts have been made to reach Stirling and its Swedish-based advisor ÖstVäst Advisory to find out its next steps. The first call elicited the response that it had received numerous responses from holders. Since then nothing.

He also pointed out one little nugget of information:

But there may be another twist given that as of the end of 2015, Fidelity Investments owned more than 10 per cent of the issue — more than three times what it owned at the end of the first quarter of 2015. We couldn’t reach Fidelity for a comment.

Well done Fidelity! That’s a trade that has worked out very nicely indeed!

Issue Comments

RON.PR.A / RON.PR.B : 32% Conversion To FloatingReset

RONA Inc. has announced:

that holders of its Cumulative 5-Year Rate Reset Series 6 Class A Preferred Shares of RONA (the “Series 6 Shares”) have elected to convert 2,222,137 of the 6,900,000 Series 6 Shares currently outstanding, on a one-for-one basis, into Cumulative Floating Rate Series 7 Class A Preferred Shares of RONA (the “Series 7 Shares”) on March 31, 2016. Consequently, on March 31, 2016, RONA will have 4,677,863 Series 6 Shares and 2,222,137 Series 7 Shares issued and outstanding. The Series 6 Shares will continue to be listed and the Series 7 Shares will be listed and start trading at market open on March 31, 2016 on the Toronto Stock Exchange under the symbols RON.PR.A and RON.PR.B, respectively.

As previously announced, on February 3, 2016, RONA entered into an arrangement agreement (the “Arrangement Agreement”) under which a subsidiary of Lowe’s Companies, Inc. (“Lowe’s”) has agreed to acquire all of the issued and outstanding common shares of RONA at a price of $24.00 per share in cash by way of a statutory plan of arrangement (the “Arrangement”). Under the terms of the Arrangement Agreement, a subsidiary of Lowe’s has also agreed to acquire all of the outstanding Series 6 Shares and any then outstanding Series 7 Shares for $20.00 per share in cash (plus any accrued but unpaid dividends thereon up to, but excluding, the date of the closing of the Arrangement), which represents a premium of approximately 59% to the closing price of the Series 6 Shares on the TSX on February 2, 2016, the day prior to the announcement of the Arrangement. RONA’s board of directors has unanimously approved the Arrangement Agreement and unanimously recommends that the holders of RONA’ common shares, Series 6 Shares and Series 7 Shares vote FOR the Arrangement at the special meeting to be held on March 31, 2016 concerning the Arrangement (the “Meeting”).

Completion of the Arrangement is conditional upon approval of at least 66⅔% of the votes cast by the common shareholders at the Meeting and satisfaction of other customary conditions. Preferred shareholders will vote on the Arrangement as a separate class of securities and their participation in the Arrangement will require the approval of 66⅔% of the votes cast by holders of preferred shares represented in person or by proxy at the Meeting. However, completion of the Arrangement is not conditional on approval by the preferred shareholders and, if the requisite approval of the preferred shareholders is not obtained, the Series 6 Shares and Series 7 Shares will be excluded from the Arrangement and will remain outstanding in accordance with their terms. It is expected that the Arrangement will be completed in the second half of 2016.

A copy of the Arrangement Agreement, the information circular and related documents have been filed with Canadian securities regulators and are available on RONA’s profile at www.sedar.com.

Assiduous Readers will remember that RON.PR.A will reset to 3.324%, while the FloatingReset issue, RON.PR.B, will pay 3-Month T-Bills + 265bp, reset quarterly. I recommended against conversion.

It will also be remembered that RON.PR.A is the subject of a Plan of Arrangement that is part of the proposed acquisition of RONA by Lowe’s Companies. This has been discussed several times on PrefBlog:

If the acquisition of RON.PR.A by Lowe’s under the plan of arrangement succeeds, then the conversion will become moot.

Issue Comments

BCE.PR.G / BCE.PR.H Conversion Letters Sent

BCE Inc. has mailed its Notice to Holders of BCE Inc. Series AG Preferred Shares:

Beginning on March 17, 2016 and ending on April 21, 2016, holders of Series AG Preferred Shares will have the right to choose one of the following options with regards to their shares:
1. To retain any or all of their Series AG Preferred Shares and continue to receive a fixed quarterly dividend; or
2. To convert, on a one-for-one basis, any or all of their Series AG Preferred Shares into BCE Inc. Cumulative Redeemable First Preferred Shares, Series AH (the “Series AH Preferred Shares”) and receive a floating monthly dividend.

Effective May 1, 2016, the fixed dividend rate for the Series AG Preferred Shares will be set for a five-year period as explained in more detail in paragraph 5 of the attached Notice of Conversion Privilege.
…
As of May 1, 2016, the Series AG Preferred Shares, should they remain outstanding, will pay, on a quarterly basis, as and when declared by the Board of Directors of BCE Inc., a fixed cash dividend for the following five years that will be determined by BCE Inc. on April 6, 2016 but which shall not be less than 80% of the five-year Government of Canada Yield (as defined in BCE Inc.’s articles) compounded semi-annually and computed on April 6, 2016 by two investment dealers appointed by BCE Inc. The annual dividend rate applicable to the Series AG Preferred Shares will be published on April 8, 2016 in the national edition of The Globe and Mail, the Montreal Gazette and Le Devoir and will be posted on BCE Inc.’s website at www.bce.ca.

A similar notice has been sent to the Holders of BCE Inc. Series AH Preferred Shares.

The new dividend rate for BCE.PR.G is not yet known, but I will pass on the information when it becomes available. The observed relationship of reset rates to market rates has been discussed in comments fairly recently.

BCE.PR.G currently pays 4.50% after having been reset in 2011. At that time, holders overwhelmingly preferred BCE.PR.G the FixedFloater, over BCE.PR.H, the Ratchet Rate preferred. As these issues are interconvertible every five years, they comprise a Strong Pair.

Issue Comments

BNS.PR.L To Be Redeemed

The Bank of Nova Scotia has announced:

that it intends to exercise its right to redeem all outstanding Non-cumulative Preferred Shares Series 14 of Scotiabank (the “Series 14 Shares”) on April 27, 2016, at a price equal to $25.00 per share, together with all declared and unpaid dividends. Formal notice will be issued to shareholders in accordance with the share conditions.

The redemption has been approved by the Office of the Superintendent of Financial Institutions and will be financed out of the general funds of Scotiabank.

On February 29, 2016, the Board of Directors of Scotiabank approved a quarterly dividend of $0.28125 per Series 14 Share. This will be the final dividend on the Series 14 Shares and will be paid in the usual manner on April 27, 2016, to shareholders of record at the close of business on April 5, 2016, as previously announced. After April 27, 2016, the Series 14 Shares will cease to be entitled to dividends.

BNS.PR.L is a Straight Perpetual, 4.50%, that commenced trading 2007-1-24 after being announced 2007-1-8. It has been tracked by HIMIPref™ throughout its existence; since the announcement of the NVCC Rules it has been assigned to the DeemedRetractibles subindex.

Issue Comments

RON.PR.A Vote: Yes or No?

Assiduous Readers will remember that my post regarding the proposed RON.PR.A arrangement sparked a fair amount of comment – by PrefBlog standards – with several commenters expressing horror at the idea of a preferred share being taken out below par and heaping me with opprobrium for suggesting it was a pretty good deal for holders.

I based that opinion on a comparison with similar issues and reiterated that opinion when the grumblers got an ally.I’ll take the opportunity to update prices for that list one last time:

Ticker Issue
Reset
Spread		 Bid
2016-2-3		 Bid
2016-3-8		 Bid
2016-3-24
MFC.PR.J +261 17.89 17.00 17.95
RY.PR.M 262 18.45 17.70 19.25
TD.PF.D 279 19.00 18.85 19.45
SLF.PR.I 273 17.45 17.10 18.00
BAM.PF.B 263 16.46 16.88 17.47
BMO.PR.Y 271 19.35 18.56 19.90

So the preferred share market has made a valiant effort to muddy the waters since the February 3 announcement date, but on the whole I’d say it has still come short.

Of the six comparators – chosen for having a ‘similar’ credit quality as will the issue when it’s part of Lowe’s and for having similar Issue Reset Spreads – three are trading in excess of $19.00. If they were all like that, I’d probably just throw up my hands and tell you to flip a coin. But if we look at these issues with a (tiny) bit more care, we see that the issues trading north of $19.00 are all banks, which continue to exhibit a decent funding advantage over non-banks in the Canadian preferred share market (this is discussed in PrefLetter). The three non-banks are trading at or below $18.00 and I suggest they are more indicative of where RON.PR.A might be expected to trade assuming that the common is acquired and the preferred isn’t. I will say additionally that adjustment to the new price might happen very swiftly if the Plan is rejected, since disappointed arbitrageurs will be dumping the stock, which will suddenly reset to a markedly lower dividend at the same time.

As noted in the March 9 update to the post about the grumblers’ ally, there were rumours that:

This week, and possibly as early as Thursday, more information is expected to be released about the extent of the opposition to the terms offered to the pref shareholders. “We have had lots of emails and calls from retail investors about the situation and we will be responding,” said an adviser with knowledge of what’s being planned.

All I can say is: I ain’t seen nuthin’ ’bout this t’ing.

What I have seen is some support from the regulatory parasites:

RONA inc. (TSX: RON, RON.PR.A) (“RONA” or the “Corporation”) is pleased to announce that leading advisory firm Glass, Lewis & Co., LLC (“Glass Lewis”) has recommended that common and preferred shareholders of RONA vote in favour of the previously announced statutory arrangement (the “Arrangement”) involving RONA and Lowe’s Companies, Inc. at the special meeting of common and preferred shareholders to be held on March 31, 2016 (the “Meeting”). The other leading advisory firm Institutional Shareholder Services Inc. (“ISS”) has also recommended that common shareholders of RONA vote in favour of the Arrangement at the Meeting. Per its policy, ISS does not make recommendations to preferred shareholders.

Under the statutory arrangement, holders of common shares of RONA will receive $24.00 in cash per share, representing a premium of 104% to the closing price of the common shares on the Toronto Stock Exchange (the “TSX”) on February 2, 2016, the day prior to the announcement of the Arrangement. Holders of preferred shares of RONA will receive $20.00 in cash per share, representing a premium of 59% to the closing price of the preferred shares on the TSX on February 2, 2016.

Glass Lewis has recommended that RONA common and preferred shareholders vote FOR the Arrangement, which allows common and preferred shareholders to cash out their investment and immediately realize an assured value at a substantial premium. In addition, Glass Lewis considers the price for preferred shares to be fair and attractive to preferred shareholders considering, among other factors, the limited liquidity of the preferred shares.

ISS has recommended that RONA common shareholders vote FOR the Arrangement for a number of reasons, including the substantial cash premium and the fact that RONA’s largest shareholder, Caisse de dépôt et placement du Québec, supports the Arrangement.

RONA shareholders are encouraged to read the Corporation’s management proxy circular with respect to the Arrangement which is available on SEDAR at www.sedar.com. The circular contains a detailed description of the Arrangement. RONA’s Board unanimously recommends that all RONA common and preferred shareholders vote FOR the Arrangement to be considered at the Meeting.

RONA shareholders are reminded to vote before the proxy cut-off time at 10:30 a.m. (Montreal Time) on Tuesday, March 29, 2016.

I’m not inclined to put too much weight on the Glass, Lewis recommendation. The quoted rationale is just a touch on the skimpy side and I have no intention of paying an extortionate price for the full report. I would not give Glass Lewis or ISS benefit of any doubt, either, because their business model is a joke. The only reason proxy advisory firms exist is because regulators insist that investment funds vote their shares with lots of written rationale. Ain’t nobody got time for that. Significant votes, such as acquisitions, or an attempted coup d’état by a respected activist firm, will be examined closely by Portfolio Managers, but most votes have historically been determined by the Wall Street Rule: If you like the company, vote with management. If you don’t like the company, sell the stock. End of story. But that’s not allowed any more, so the firms will happily pay the proxy advisory firms a bit of money to generate the required weight of paperwork for them, which will free up some time for application of more useful and sophisticated portfolio management techniques such as having lunch with clients.

So who cares, really, what Glass Lewis thinks? It simply doesn’t matter.

The only other thing I’ve seen is a post on the unsigned blog “Canadian Value Investing” titled Rona Merger Arbitrage: Heads I Win, Tails I Don’t Lose Much. Actually, the blog isn’t quite as unsigned as appears to be intended, because GoDaddy provides the following information:

Registrant Name: Nelson Smith
Registrant Organization:
Registrant Street: 414 14th Street East
Registrant City: Drumheller
Registrant State/Province: Alberta
Registrant Postal Code: T0J 0Y5
Registrant Country: CA
Registrant Phone: +1.4033345555
Registrant Phone Ext:
Registrant Fax:
Registrant Fax Ext:
Registrant Email: nsmith1983@gmail.com

It might be that Mr. Smith, if he exists at all, is merely an intermediary, but I suppose those in dire need of entertainment could follow up the clue. There is a Nelson Smith from Drumheller on LinkedIn with a consistent biography, for what that’s worth.

Anyway, the blog post suggests:

There are a number of reasons why people suspect a higher bid for the preferred shares are coming. Rona’s investor relations department is reportedly swamped with emails and phone calls from pissed off retail investors making a big stink about the whole situation.

According to at least two different articles I’ve read, insiders with a close knowledge of the situation say the two companies are working on some sort of alternative plan to make things right with the preferred shareholders.

I haven’t seen those articles – unless you count the Grumblers’ Ally and the Critchley column referenced therein – and Canadian Value Investing did not see fit to link them. Anyway, these mysterious stories are used to justify the investment thesis:

Say the deal closes on April 30th. Investors who buy today at $20.25 would get approximately $0.28 in dividends between now and the closing date, which pushes their cost down to $19.97 per share. If shareholders agree to the $20, you get your money back.

But if a higher offer comes, there’s potential for a maximum of 25% upside. Even a 10% upside would be spectacular over a period of a few weeks. You could then hold until the transaction date, saving yourself the commission on selling. That’s not much these days, but hey, every few bucks helps.

The market is clearly pricing in a higher offer coming for the preferreds, or else they’d be trading at a slight discount like the common shares. I’ll gladly take a shot at a 25% upside with very little risk to the downside. Worse case scenario I can see is I just get my money back.

There’s one rather important scenario missing from the list: No change to preferred plan, common is acquired, preferred isn’t, preferred trades like its comparables, which I suggest is something like 10% below $20. I suggest this scenario is the main alternative to an acquisition at $20, but hey … it takes two to make a market!

It should also be noted that there is a small, but finite chance that the common shareholders will reject the deal they are offered – in which case the credit quality of RON.PR.A returns to its prior state of ‘horrible’ and the trading price can be generously predicted to return to the low teens.

I don’t understand the rationale that might support a higher offer. The post suggests it is because of “emails and phone calls from pissed off retail investors making a big stink about the whole situation.” Now, in this day and age of governance by Internet meme it may well be that the Public Relations department is perturbed. But from a hard-headed point of view, who cares? RON.PR.A represents cheap financing, it is unlikely that Lowe’s will be issuing equity of any kind in Canada in the future, and the $34.5-million additional cost to acquire at par isn’t chump change.

I’ve been wrong before and I’ll be wrong again, but in this case I suggest that the rational course of action is to vote in favour of the Preferred Share Resolution. Be quick though, voting closes very soon! The safest course of action is, however, to sell on the market – the price is very close to $20 and such a sale would eliminate the potential for nasty consequences should either the common or preferred shareholders vote against their respective resolutions.

Market Action

March 24, 2016

It’s nice to see University of Toronto as a major partner in a new advance in energy storage:

Now, a group of researchers led by Professor Ted Sargent at the University of Toronto’s Faculty of Applied Science & Engineering may have a solution inspired by nature.

The team has designed the most efficient catalyst for storing energy in chemical form, by splitting water into hydrogen and oxygen, just like plants do during photosynthesis. Oxygen is released harmlessly into the atmosphere, and hydrogen, as H2, can be converted back into energy using hydrogen fuel cells.
…
You may have seen the popular high-school science demonstration where the teacher splits water into its component elements, hydrogen and oxygen, by running electricity through it. Today this requires so much electrical input that it’s impractical to store energy this way — too great proportion of the energy generated is lost in the process of storing it.

This new catalyst facilitates the oxygen-evolution portion of the chemical reaction, making the conversion from H2O into O2 and H2 more energy-efficient than ever before. The intrinsic efficiency of the new catalyst material is over three times more efficient than the best state-of-the-art catalyst.

The new catalyst is made of abundant and low-cost metals tungsten, iron and cobalt, which are much less expensive than state-of-the-art catalysts based on precious metals. It showed no signs of degradation over more than 500 hours of continuous activity, unlike other efficient but short-lived catalysts. Their work was published online today in the leading journal Science.

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 5.16 % 6.29 % 10,625 16.29 1 0.6918 % 1,517.0
FixedFloater 7.01 % 6.16 % 24,356 16.11 1 0.3704 % 2,835.7
Floater 4.77 % 4.89 % 62,497 15.70 4 -1.1970 % 1,622.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1521 % 2,769.2
SplitShare 4.81 % 5.71 % 77,711 1.63 7 0.1521 % 3,240.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1521 % 2,528.3
Perpetual-Premium 5.78 % -3.28 % 84,945 0.08 6 0.0790 % 2,558.5
Perpetual-Discount 5.62 % 5.64 % 95,385 14.41 33 -0.0418 % 2,581.2
FixedReset 5.35 % 4.91 % 185,765 13.82 87 0.1432 % 1,908.4
Deemed-Retractible 5.25 % 5.61 % 128,044 5.09 34 -0.2935 % 2,593.9
FloatingReset 3.07 % 4.93 % 37,752 5.41 16 0.1210 % 2,005.7
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.44 %
BAM.PR.R FixedReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 15.04
Evaluated at bid price : 15.04
Bid-YTW : 5.06 %
TD.PR.Y FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.43
Bid-YTW : 4.28 %
IFC.PR.C FixedReset -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.45 %
TD.PF.A FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 4.34 %
HSB.PR.C Deemed-Retractible -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.31
Bid-YTW : 5.67 %
BAM.PR.T FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 4.99 %
CM.PR.P FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 4.35 %
GWO.PR.G Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 6.29 %
SLF.PR.D Deemed-Retractible -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.24
Bid-YTW : 7.45 %
HSE.PR.C FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.06 %
SLF.PR.B Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 6.66 %
BAM.PR.K Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 9.65
Evaluated at bid price : 9.65
Bid-YTW : 4.90 %
BAM.PR.B Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 9.67
Evaluated at bid price : 9.67
Bid-YTW : 4.89 %
PWF.PR.Q FloatingReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 4.67 %
BMO.PR.T FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 4.35 %
TRP.PR.A FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.71 %
MFC.PR.I FixedReset 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.92
Bid-YTW : 7.60 %
SLF.PR.J FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.30
Bid-YTW : 10.98 %
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 : 12.81
Bid-YTW : 10.90 %
FTS.PR.H FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.53 %
CM.PR.Q FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.61 %
BAM.PF.G FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.00 %
MFC.PR.M FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 7.99 %
MFC.PR.L FixedReset 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.62
Bid-YTW : 8.09 %
CIU.PR.C FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 10.71
Evaluated at bid price : 10.71
Bid-YTW : 4.91 %
TRP.PR.C FixedReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 11.96
Evaluated at bid price : 11.96
Bid-YTW : 4.80 %
FTS.PR.M FixedReset 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.82 %
BMO.PR.Y FixedReset 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.46 %
PWF.PR.T FixedReset 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.28 %
RY.PR.J FixedReset 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset 177,897 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 4.92 %
RY.PR.Q FixedReset 169,826 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 5.08 %
BMO.PR.L Deemed-Retractible 90,419 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-25
Maturity Price : 25.25
Evaluated at bid price : 25.84
Bid-YTW : -5.26 %
CU.PR.I FixedReset 78,520 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.21 %
RY.PR.Z FixedReset 73,779 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.31 %
BAM.PR.M Perpetual-Discount 65,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.00 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 11.11 – 15.35
Spot Rate : 4.2400
Average : 2.5870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 4.67 %
GWO.PR.O FloatingReset Quote: 11.65 – 12.95
Spot Rate : 1.3000
Average : 0.9778

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.65
Bid-YTW : 11.54 %
PWF.PR.A Floater Quote: 10.75 – 11.38
Spot Rate : 0.6300
Average : 0.3957

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-24
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.44 %
RY.PR.K FloatingReset Quote: 21.85 – 22.46
Spot Rate : 0.6100
Average : 0.3950

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 4.86 %
BNS.PR.D FloatingReset Quote: 17.42 – 18.12
Spot Rate : 0.7000
Average : 0.5054

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.42
Bid-YTW : 8.06 %
TD.PR.Y FixedReset Quote: 23.43 – 24.00
Spot Rate : 0.5700
Average : 0.3980

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.43
Bid-YTW : 4.28 %
Market Action

March 23, 2016

The US 1 year break-even inflation rate is getting reasonable:

The Treasury market is signaling inflation expectations are rising, and one metric shows traders anticipate cost increases will reach Federal Reserve Chair Janet Yellen’s 2 percent target.

The difference between yields on one-year U.S. government securities and same-maturity Treasury Inflation Protected Securities, a gauge of trader expectations for consumer prices over the life of the debt, climbed to 2.11 percentage points Tuesday. The figure was the highest in two years.

Inflation expectations for the next decade rose to 1.67 percent this week, the highest level since August.

1YrBEIR
Click for Big

‘Off-the-run’ junk names are getting harder to trade:

Traders are getting increasingly punished for trying to sell unpopular debt at the wrong time. The result has been a growing number of hedge-fund failures, increasing risk aversion by Wall Street traders and further cutbacks at big banks.

This all simply reinforces the lack of trading in less-common bonds and loans. At best, this spiral is inconvenient, especially for mutual funds and exchange-traded funds that rely on being able to sell assets to meet daily redemptions. At worst, it could set the stage for another credit seizure given the right catalyst — perhaps a sudden, unexpected corporate default or two, or the implosion of a relatively big mutual fund.

To give a feeling for just how inactive parts of the market have become, consider this: About 40 percent of the bonds in the $1.4 trillion U.S. junk-debt market didn’t trade at all in the first two months of this year, according to data compiled from Finra’s Trace and Bloomberg. While corporate-debt trading has generally increased by volume this year, more of the activity is concentrated in a fewer number of bonds.
…
“The biggest issue that the market faces is that you have an increasing amount of participants that require daily liquidity in an asset class that really doesn’t offer daily liquidity any more,” said Michael Pohly, the portfolio manager at hedge fund Kingdon Credit.

That’s a little scary. The good news so far is that these trading woes haven’t yet triggered another credit crisis. The bad news is it’s only getting harder to transact in riskier debt, making the market increasingly fragile and prone to seizures going forward.

James Bullard contributes to the discussion of the Fed’s next move, standing with the hawks:

Federal Reserve Bank of St. Louis President James Bullard said policy makers should consider raising interest rates at their next meeting amid a broadly unchanged economic outlook and prospects of inflation and unemployment exceeding targets.

“You get another strong jobs report, it looks like labor markets are improving, you could probably make a case for moving in April,” Bullard said in a Bloomberg interview in New York Wednesday, in which he criticized the Fed’s practice of publishing officials’ projections on the path of interest rates. “I think we are going to end up overshooting on inflation” and the natural rate of unemployment, he said.

David Berman of the Globe loves high-spread FixedResets:

But there’s one cash-gusher that deserves a closer look: the high-yielding preferred shares that Canada’s big banks have been issuing over the past several months without much fanfare.

It’s time to take notice. These shares yield a dazzling 5.5 per cent, an eye-popping figure in an era during which the five-year Government of Canada bond yields just 0.7 per cent.
…
Even if bond yields slide to a mere 0.2 per cent five years from now, you’ll get a 5-per-cent yield when the rate is reset. In other words, investors are insulated from low or falling interest rates, which is a nice touch when the Canadian economy is struggling and the Bank of Canada is in no hurry to raise its key rate.

There is one catch: The banks can redeem the shares after five years if they want to. Nonetheless, savvy institutional investors have been snapping up these new issues, and smaller investors can get a piece of the action as well.

While exchange-traded funds are a popular choice, direct ownership looks like a better option because it allows you to focus on the banks’ new-and-improved preferred shares and avoid the less attractive ones (and ETF fees).

National Bank has decided to guess the size of Chinese investment in Canadian real estate:

Buyers from China comprised about one-third of purchases of Vancouver’s hot housing market in 2015, according to “back of the envelope calculations” by National Bank of Canada.

Chinese investors spent about C$12.7 billion ($9.6 billion) on real estate in the western Canadian city in 2015, or 33 percent of its C$38.5 billion in total sales, according to a note by financial analyst Peter Routledge on Wednesday. In Toronto, they made up 14 percent of purchases, or about C$9 billion of the C$63 billion in deals. Routledge compiled the data by extrapolating from a Financial Times survey of 77 high-end buyers and data from the U.S. National Association of Realtors.

PerpetualDiscounts now yield 5.64%, equivalent to 7.33% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a slight (and perhaps spurious) narrowing from the 325bp reported March 9.

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 5.20 % 6.34 % 10,656 16.24 1 -2.9104 % 1,506.6
FixedFloater 7.04 % 6.19 % 25,342 16.09 1 0.4464 % 2,825.2
Floater 4.71 % 4.84 % 64,715 15.80 4 -0.9632 % 1,642.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0091 % 2,765.0
SplitShare 4.82 % 5.70 % 75,879 1.63 7 -0.0091 % 3,235.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0091 % 2,524.5
Perpetual-Premium 5.79 % -1.10 % 85,384 0.08 6 0.1187 % 2,556.4
Perpetual-Discount 5.62 % 5.64 % 96,683 14.43 33 0.5697 % 2,582.3
FixedReset 5.35 % 4.92 % 184,845 13.83 87 1.3903 % 1,905.6
Deemed-Retractible 5.23 % 5.64 % 129,675 5.09 34 0.3903 % 2,601.6
FloatingReset 3.07 % 4.96 % 39,306 5.41 16 0.5587 % 2,003.3
Performance Highlights
Issue Index Change Notes
BAM.PR.E Ratchet -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 25.00
Evaluated at bid price : 13.01
Bid-YTW : 6.34 %
PWF.PR.T FixedReset -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.41 %
BAM.PR.C Floater -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 9.60
Evaluated at bid price : 9.60
Bid-YTW : 4.93 %
PWF.PR.A Floater -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 10.98
Evaluated at bid price : 10.98
Bid-YTW : 4.35 %
BMO.PR.W FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 4.41 %
RY.PR.G Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.47
Bid-YTW : 5.02 %
BNS.PR.D FloatingReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.55
Bid-YTW : 7.91 %
FTS.PR.M FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.94 %
BAM.PR.N Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 5.98 %
CU.PR.D Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 21.82
Evaluated at bid price : 22.14
Bid-YTW : 5.57 %
GWO.PR.R Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 6.71 %
MFC.PR.N FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.16 %
FTS.PR.J Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 21.44
Evaluated at bid price : 21.75
Bid-YTW : 5.50 %
RY.PR.W Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.20 %
FTS.PR.I FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 4.73 %
NA.PR.W FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.72 %
CM.PR.O FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 4.35 %
CU.PR.H Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 23.33
Evaluated at bid price : 23.64
Bid-YTW : 5.60 %
BIP.PR.B FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 22.84
Evaluated at bid price : 24.12
Bid-YTW : 5.66 %
MFC.PR.I FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.71
Bid-YTW : 7.76 %
TD.PR.S FixedReset 1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 3.91 %
MFC.PR.F FixedReset 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.65
Bid-YTW : 11.07 %
SLF.PR.H FixedReset 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.75
Bid-YTW : 9.14 %
CU.PR.F Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 5.55 %
BMO.PR.R FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.87
Bid-YTW : 4.54 %
TRP.PR.H FloatingReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 9.36
Evaluated at bid price : 9.36
Bid-YTW : 4.62 %
MFC.PR.J FixedReset 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.85
Bid-YTW : 8.14 %
RY.PR.H FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 4.36 %
BMO.PR.S FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 4.40 %
TRP.PR.C FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 11.71
Evaluated at bid price : 11.71
Bid-YTW : 4.90 %
PWF.PR.Q FloatingReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.72 %
TRP.PR.B FixedReset 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 10.85
Evaluated at bid price : 10.85
Bid-YTW : 4.71 %
W.PR.K FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 23.24
Evaluated at bid price : 25.20
Bid-YTW : 5.23 %
FTS.PR.H FixedReset 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 4.60 %
BMO.PR.Y FixedReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.58 %
MFC.PR.G FixedReset 2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 7.96 %
HSE.PR.E FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.83 %
TD.PR.Y FixedReset 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 3.94 %
FTS.PR.K FixedReset 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.68 %
TRP.PR.D FixedReset 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 4.75 %
BAM.PF.F FixedReset 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 5.05 %
BAM.PR.Z FixedReset 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 5.16 %
PWF.PR.P FixedReset 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 4.72 %
BAM.PF.E FixedReset 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.90 %
MFC.PR.K FixedReset 2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.90
Bid-YTW : 8.56 %
BAM.PF.G FixedReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.08 %
TRP.PR.E FixedReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 4.59 %
TRP.PR.F FloatingReset 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 4.81 %
GWO.PR.N FixedReset 2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 10.22 %
FTS.PR.G FixedReset 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.71 %
TD.PF.E FixedReset 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 4.55 %
BAM.PF.A FixedReset 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.10 %
RY.PR.Z FixedReset 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.30 %
BMO.PR.T FixedReset 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.39 %
CM.PR.P FixedReset 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 4.29 %
HSE.PR.C FixedReset 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.98 %
TD.PF.B FixedReset 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 4.30 %
CU.PR.C FixedReset 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.57 %
BAM.PF.B FixedReset 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 5.05 %
IFC.PR.C FixedReset 3.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.20 %
TD.PF.A FixedReset 3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.27 %
TD.PF.C FixedReset 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 4.27 %
IFC.PR.A FixedReset 3.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.42
Bid-YTW : 10.29 %
BAM.PR.X FixedReset 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 4.71 %
RY.PR.M FixedReset 3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.49 %
TRP.PR.G FixedReset 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.93 %
BAM.PR.T FixedReset 4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 4.91 %
BAM.PR.R FixedReset 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 15.34
Evaluated at bid price : 15.34
Bid-YTW : 4.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.O FixedReset 123,025 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 5.09 %
TD.PF.G FixedReset 110,460 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 5.04 %
FTS.PR.M FixedReset 107,942 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.94 %
TRP.PR.C FixedReset 88,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 11.71
Evaluated at bid price : 11.71
Bid-YTW : 4.90 %
BNS.PR.N Deemed-Retractible 84,605 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.91 %
BNS.PR.G FixedReset 73,176 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.95 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.J FixedReset Quote: 18.86 – 19.65
Spot Rate : 0.7900
Average : 0.4969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.68 %
PWF.PR.Q FloatingReset Quote: 11.00 – 12.00
Spot Rate : 1.0000
Average : 0.7747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.72 %
PWF.PR.T FixedReset Quote: 18.78 – 19.42
Spot Rate : 0.6400
Average : 0.4185

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.41 %
BMO.PR.T FixedReset Quote: 18.00 – 18.76
Spot Rate : 0.7600
Average : 0.5392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.39 %
CM.PR.Q FixedReset Quote: 18.86 – 19.45
Spot Rate : 0.5900
Average : 0.3833

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.68 %
CU.PR.C FixedReset Quote: 17.51 – 18.02
Spot Rate : 0.5100
Average : 0.3422

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-23
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.57 %
Issue Comments

CSE.PR.A Ownership Change One Step Closer

Capstone Infrastructure Corporation has announced:

that the Supreme Court of British Columbia has issued a final order approving the previously announced plan of arrangement (the “Arrangement”) under which, among other things, Irving Infrastructure Corp., a subsidiary of iCON Infrastructure Partners III, L.P. (“iCON III”), a fund advised by London, UK-based iCON Infrastructure LLP (“iCON Infrastructure”), is to acquire all issued and outstanding common shares of Capstone (“common shares”) and Class B exchangeable units of Capstone’s subsidiary MPT LTC Holding LP (“Class B units”) for $4.90 cash per share or unit, as applicable.

The Arrangement was previously approved by Capstone securityholders at Special Meetings held earlier this month.

Capstone expects the Arrangement to be completed by early May of 2016 following fulfillment of certain closing conditions and receipt of regulatory approvals.

Capstone’s intent to proceed with the sale has been discussed on PrefBlog.

There has been no relevant commentary from S&P, the company’s sole credit rater.

Market Action

March 22, 2016

We’ve blown a lot of money in Ontari-ari-ari-o, but at least the Chileans know how to make solar power useful:

Valhalla Energia is seeking partners to build a 600-megawatt solar project in Chile that will incorporate hydropower to deliver energy 24 hours a day.

The company is in talks with investors to raise as much as 40 percent of the estimated $1.3 billion needed for the project — $900 million for the solar component and $400 million for a 300-megawatt hydropower system — according to Juan Andres Camus, Santiago-based Valhalla’s co-founder and chief executive officer. The rest will come from bank loans.

“We are looking for sponsors that can be part of the project as equity,” Camus said in an interview in Santiago on March 18. “We are in advanced negotiations.”

The Cielos de Tarapaca solar project aims to produce electricity around the clock, using an integrated solar and hydro system that pumps sea water uphill to a reservoir during the day and letting it flow through turbines at night.

And today’s equity tip is: sell your hypodermic syringe manufacturing stock:

A stick-on patch that tracks, and even regulates, blood sugar levels could be used by people with diabetes one day, according to a new study.

Unlike finger pricking — the traditional method of monitoring levels of the blood sugar glucose — the new patch detects the levels of glucose in a person’s sweat. Research has shown that glucose levels in sweat accurately reflect glucose levels in the blood, the researchers said.

The researchers also showed that the patch can deliver the diabetes drug metformin through the skin and that it can reduce high blood glucose levels in mice with diabetes.

Meanwhile, Fed governor Charles Evans took a dovish stance on policy rates:

Federal Reserve Bank of Chicago President Charles Evans said policy makers rightly refrained from raising interest rates this month after a rocky start to the year clouded the economic outlook.

“The rationale for no rate change in March is that economic and financial risks seem somewhat higher for 2016 than we had hoped back last December when we first began raising rates,” Evans said Tuesday in a speech in Chicago. “Most of the Federal Open Market Committee’s cautionary pause in the rate normalization path is about assessing risks and just being careful.”

There was a federal budget today, which will be discussed by many more verbose people than me. So I’ll just say it’s pretty much as expected, with some stuff that looks halfway reasonable at first sight:

The Liberals have set aside $11.9-billion for public transit, affordable housing, wastewater systems and $3.4-billion to upgrade parks, harbours, border crossings, federal airports and to clean up contaminated sites across the country.

…. but looks like a ridiculous feel-good boondoggle at second glance:

12Billion_budget2016
Click for Big

… and some stuff which will be popular among morons, but is really just an exceptionally cruel way of ensuring the next generation is brought up in an isolated environment with no jobs, no hope, no future and nothing to do except drink:

Prime Minister Justin Trudeau promised “historic investments” to First Nations and the budget followed through with $8.4-billion for education, housing and clean drinking water.

… the return of the Subsidies For Sleazebags Programme:

To facilitate access to venture capital for small and medium-sized businesses and support saving by the middle class, Budget 2016 proposes to restore the Labour-Sponsored Venture Capital Corporations (LSVCC) tax credit to 15 per cent for share purchases of provincially registered LSVCCs for 2016 and subsequent tax years. The measure will provide federal tax relief of about $815 million over the 2015–16 to 2020–21 period.

The proposed bail-in regime has been endorsed, at least in principle:

To protect Canadian taxpayers in the unlikely event of a large bank failure, the Government is proposing to implement a bail-in regime that would reinforce that bank shareholders and creditors are responsible for the bank’s risks—not taxpayers. This would allow authorities to convert eligible long-term debt of a failing systemically important bank into common shares to recapitalize the bank and allow it to remain open and operating. Such a measure is in line with international efforts to address the potential risks to the financial system and broader economy of institutions perceived as “too-big-to-fail”.

The Government is proposing to introduce framework legislation for the regime along with accompanying enhancements to Canada’s bank resolution toolkit. Regulations and guidelines setting out further features of the regime will follow. This will provide stakeholders with an additional opportunity to comment on elements of the proposed regime.

So we’ll see how it goes.

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 5.05 % 6.15 % 10,528 16.47 1 0.0000 % 1,551.8
FixedFloater 7.07 % 6.21 % 24,391 16.05 1 0.6742 % 2,812.6
Floater 4.67 % 4.80 % 64,968 15.87 4 1.8360 % 1,658.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1288 % 2,765.2
SplitShare 4.82 % 5.69 % 73,698 1.63 7 -0.1288 % 3,235.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1288 % 2,524.7
Perpetual-Premium 5.79 % -3.66 % 86,040 0.08 6 0.1466 % 2,553.4
Perpetual-Discount 5.65 % 5.68 % 96,764 14.38 33 0.0497 % 2,567.7
FixedReset 5.43 % 5.02 % 185,513 13.84 87 0.9074 % 1,879.5
Deemed-Retractible 5.25 % 5.71 % 131,519 6.91 34 -0.0327 % 2,591.4
FloatingReset 3.09 % 4.99 % 38,627 5.42 16 0.3662 % 1,992.2
Performance Highlights
Issue Index Change Notes
BMO.PR.T FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 4.52 %
CU.PR.F Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.64 %
PWF.PR.P FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 4.84 %
HSE.PR.E FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.96 %
BMO.PR.Q FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.93 %
TD.PF.B FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.44 %
TD.PF.C FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.43 %
SLF.PR.I FixedReset 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 8.00 %
FTS.PR.M FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 4.99 %
NA.PR.Q FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.56
Bid-YTW : 4.57 %
NA.PR.S FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.68 %
BAM.PF.G FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 5.22 %
SLF.PR.H FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.50
Bid-YTW : 9.36 %
TRP.PR.E FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.71 %
BAM.PF.H FixedReset 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.20 %
CM.PR.O FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.43 %
BAM.PR.R FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.19 %
BAM.PF.F FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.18 %
NA.PR.W FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 4.78 %
TD.PF.A FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.43 %
BAM.PR.Z FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.29 %
BAM.PF.A FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 5.24 %
FTS.PR.K FixedReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 4.79 %
TRP.PR.G FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.12 %
TRP.PR.D FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 4.86 %
TRP.PR.C FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.99 %
MFC.PR.L FixedReset 1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.20
Bid-YTW : 8.43 %
MFC.PR.H FixedReset 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.92
Bid-YTW : 7.11 %
CM.PR.Q FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.66 %
IFC.PR.A FixedReset 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.91
Bid-YTW : 10.80 %
BAM.PF.B FixedReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.23 %
BAM.PR.K Floater 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 9.75
Evaluated at bid price : 9.75
Bid-YTW : 4.85 %
RY.PR.J FixedReset 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 4.72 %
BAM.PF.E FixedReset 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.02 %
BAM.PR.B Floater 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 9.85
Evaluated at bid price : 9.85
Bid-YTW : 4.80 %
BAM.PR.C Floater 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 9.75
Evaluated at bid price : 9.75
Bid-YTW : 4.85 %
RY.PR.M FixedReset 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.66 %
FTS.PR.I FloatingReset 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.79 %
TRP.PR.B FixedReset 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 4.80 %
TD.PF.D FixedReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.59 %
TRP.PR.F FloatingReset 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.94 %
IFC.PR.C FixedReset 2.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 8.69 %
HSE.PR.A FixedReset 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 5.99 %
BAM.PR.X FixedReset 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 4.89 %
FTS.PR.H FixedReset 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 12.08
Evaluated at bid price : 12.08
Bid-YTW : 4.69 %
TRP.PR.A FixedReset 3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.79 %
CU.PR.C FixedReset 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.72 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset 182,165 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 5.07 %
BNS.PR.Q FixedReset 179,917 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.23
Bid-YTW : 4.48 %
GWO.PR.I Deemed-Retractible 103,710 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.03
Bid-YTW : 6.95 %
BNS.PR.R FixedReset 100,685 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.64
Bid-YTW : 4.42 %
PWF.PR.F Perpetual-Discount 94,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 5.70 %
BNS.PR.G FixedReset 93,805 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 5.05 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.I FloatingReset Quote: 10.00 – 10.89
Spot Rate : 0.8900
Average : 0.5779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.79 %
CU.PR.H Perpetual-Discount Quote: 23.30 – 24.00
Spot Rate : 0.7000
Average : 0.4468

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 22.89
Evaluated at bid price : 23.30
Bid-YTW : 5.67 %
FTS.PR.F Perpetual-Discount Quote: 22.15 – 22.69
Spot Rate : 0.5400
Average : 0.3560

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 21.91
Evaluated at bid price : 22.15
Bid-YTW : 5.58 %
ELF.PR.G Perpetual-Discount Quote: 20.07 – 20.52
Spot Rate : 0.4500
Average : 0.2843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.04 %
BNS.PR.B FloatingReset Quote: 21.00 – 21.45
Spot Rate : 0.4500
Average : 0.3091

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.36 %
FTS.PR.G FixedReset Quote: 15.58 – 16.03
Spot Rate : 0.4500
Average : 0.3173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-22
Maturity Price : 15.58
Evaluated at bid price : 15.58
Bid-YTW : 4.84 %
Market Action

March 21, 2016

I mentioned Google’s proposed sale of Boston Dynamics on March 17. Jack Clark of Bloomberg has some colour commentary on the matter:

Google’s decision to try to shed its Boston Dynamics robotics group highlights a fundamental research problem: software is far easier to develop and test than hardware. That’s especially true when dealing with artificial intelligence and robotics.

Today’s industrial robots tend to be dumb machines, operating on pre-programmed routines, and are housed in metal cages to stop people walking into their zone of movement and potentially getting harmed. With Boston Dynamics, Google was working on machines that could break out of the rigid confines of the factory and perform a broader range of tasks. That requires dealing with a range of unsolved problems, requiring fundamental research.
…
Boston Dynamics’s robots need technology that doesn’t exist yet. The software to control them and give them autonomy is still a research problem being worked on by universities around the world. This is likely why Google thought it would take a decade to develop Boston Dynamics’s technology into a commercial product.

Possible acquirers include the Toyota Research Institute, a division of Toyota Motor Corp., and Amazon.com Inc., which makes robots for its fulfillment centers, according to a person familiar with Google’s plans. Toyota declined to comment, and Amazon didn’t respond to requests for comment.

It’s rare to see a company to build a product that requires such fundamental research in a number of areas, said John Schulman, a researcher with AI group OpenAI. “Having a humanoid robot that goes around and does interesting things in the real world, like maybe cleans up your house, that’s just way beyond the current state of the science.”

But on the other hand, perhaps my robotic 4am pizza delivery will arrive soon!

Domino’s Australia and Domino’s New Zealand have both released teaser videos featuring a sleek-looking new delivery robot – the Domino’s Robotic Unit (DRU). They designed the robot along with the help of Australian startup Marathon Robotics using GPS tracking and sensors to navigate around to customers’ houses.

The four-wheeled robot has multiple compartments that keeps up to 10 pizzas toastie warm, whilst a refrigerating section keeps drinks and desserts cool. The Guardian reports that customers can open the compartments by entering a security code into their smartphone when the robot arrives at their door.

There’s no word yet on when exactly Domino’s will be making the DRU a reality, though. In a statement they announced: “While he won’t be taking to the streets tomorrow, DRU is a big step forward in the work Domino’s is doing in the future commercialisation of this technology.”

And the delivery companies are lobbying for better infrastructure:

Amazon declined requests to comment for this article. But on a recent earnings call, Amazon’s chief financial officer, Brian Olsavsky, explained why Amazon wanted to move more aggressively into delivery.
…
In addition, the company’s shipping costs rose 19 percent, to $5 billion, in 2015. The millions of members of its Prime annual subscription service, Amazon’s most frequent customers, have helped feed the surge. Those customers receive free shipping for many products.
…
Already, the company’s drone push in Washington has had some success. Amazon has worked with NASA, for example, to create an air traffic system that would establish lanes in the sky for drones.

Amazon has also urged Congress to adopt rules that would allow the retailer to fly drones beyond a pilot’s line of sight, a crucial hurdle to Amazon’s goal of operating drones from its warehouses. This effort is expected to face an important test soon. This month, the Senate Transportation Committee drafted a bill that would ensure rules for delivery drones within two years.
…
Amazon is arguing for changes in many other areas, too. Already, Mr. Misener, the lead lobbyist, has called for an overhaul of an arcane system of international delivery rates that he says give foreign e-commerce rivals an unfair advantage to deliver to American homes.

He also urged the approval of legislation that aims to improve roads, bridges and railways. The bill was passed by Congress and signed into law in December.

Meanwhile, it seems to me that the homogeneity of Treasury buyers brought about by low yields is showing its downside:

The 22 primary dealers held more Treasuries last month than any time in the last two years, Federal Reserve Bank of New York data show. While at first glance that may suggest a bullish stance, the surge in holdings is more likely the result of investors including central banks dumping the debt on the firms, said JPMorgan Chase & Co. strategist Jay Barry. Foreign official accounts sold a net $105 billion of the securities in December and January, an unprecedented liquidation, Treasury Department data show.
…
As the world’s biggest bond dealers — including banks such as Bank of America Corp., Goldman Sachs Group Inc. and JPMorgan — struggled to get rid of the burgeoning pile of debt, the premium for the newest, easiest-to-trade Treasuries soared to the highest since 2011. The firms’ efforts to hedge all the Treasuries collecting on their balance sheets also roiled the futures market and a crucial corner of the financial system where traders lend and borrow securities overnight.
…
Dealers moved to minimize the risk of holding so many tough-to-unload securities by selling, or shorting, benchmark notes, said Barry of JPMorgan. They had the biggest bearish position in the newest 30-year bonds since May in the week ended March 9, according to a Credit Agricole SA analysis of New York Fed data.

Part of the fallout was seen in the $1.6 trillion market for repurchase agreements, or repos, where Wall Street goes to exchange securities for overnight cash.

The combination of dealer demand, a global government-debt rally and reduced auction sizes caused a shortage in the repo market for the securities needed to close short positions in 10-year debt. Failures to deliver 10-year notes surged in the week ended March 9 to the most since at least 2013. For all Treasuries, failures reached the highest since the financial crisis, New York Fed data show.

Demand was so great for the benchmark 10-year note that its repo rate traded at about negative 3 percent for more than a week, before an auction of the debt settled March 15 and eased the shortage. At that level, the cost of borrowing the security in the repo market was steeper than the 3 percent penalty for uncompleted trades, leading more traders to opt to let deals fail.

Two Fed governors are talking up the chances for an early hike – but, of course, this could be merely a ploy to keep the markets honest:

“There is sufficient momentum evidenced by the economic data to justify a further step at one of the coming meetings, possibly as early as the meeting scheduled for end of April,” Federal Reserve Bank of Atlanta President Dennis Lockhart said Monday in Savannah, Georgia.
…
Lockhart is a policy-centrist and doesn’t vote on the FOMC this year. His moderately upbeat assessment of the U.S. economy was shared by San Francisco Fed chief John Williams.

“All else equal, assuming everything else is basically the same and the data flow continues the way I hope and expect, then April or June would definitely be potential times to have an increase in interest rates,” he told Market News International in an interview published earlier on Monday. Williams, a former head of research for Fed Chair Janet Yellen when she ran the San Francisco Fed, also doesn’t vote on policy in 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 5.05 % 6.15 % 10,905 16.47 1 1.5152 % 1,551.8
FixedFloater 7.12 % 6.26 % 24,724 16.01 1 -1.1843 % 2,793.8
Floater 4.75 % 4.91 % 65,837 15.68 4 -1.4378 % 1,628.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.5283 % 2,768.8
SplitShare 4.81 % 5.61 % 71,630 1.64 7 0.5283 % 3,240.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5283 % 2,528.0
Perpetual-Premium 5.79 % -3.85 % 87,352 0.08 6 0.1782 % 2,549.7
Perpetual-Discount 5.65 % 5.68 % 99,667 14.30 33 0.1995 % 2,566.4
FixedReset 5.48 % 5.15 % 187,524 14.30 87 0.3938 % 1,862.6
Deemed-Retractible 5.25 % 5.67 % 132,263 6.92 34 0.2132 % 2,592.3
FloatingReset 3.10 % 5.08 % 38,896 5.42 16 0.1490 % 1,984.9
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 5.07 %
PWF.PR.A Floater -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 4.32 %
BAM.PR.B Floater -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 9.63
Evaluated at bid price : 9.63
Bid-YTW : 4.91 %
BAM.PR.C Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 9.53
Evaluated at bid price : 9.53
Bid-YTW : 4.96 %
BAM.PR.G FixedFloater -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 25.00
Evaluated at bid price : 13.35
Bid-YTW : 6.26 %
SLF.PR.I FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.80
Bid-YTW : 8.16 %
PVS.PR.E SplitShare 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.53 %
MFC.PR.N FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.23 %
MFC.PR.C Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.72
Bid-YTW : 7.19 %
HSB.PR.D Deemed-Retractible 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.40 %
FTS.PR.G FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.87 %
TD.PF.D FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.71 %
BNS.PR.Z FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.97
Bid-YTW : 7.27 %
PVS.PR.D SplitShare 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 22.97
Bid-YTW : 6.33 %
VNR.PR.A FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.35 %
BAM.PR.E Ratchet 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 6.15 %
MFC.PR.M FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.22 %
HSE.PR.E FixedReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.03 %
TD.PF.E FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.72 %
BMO.PR.Y FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.71 %
BMO.PR.T FixedReset 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.45 %
MFC.PR.G FixedReset 2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.06
Bid-YTW : 8.19 %
HSE.PR.G FixedReset 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.98 %
MFC.PR.K FixedReset 2.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.50
Bid-YTW : 8.89 %
MFC.PR.L FixedReset 3.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.90
Bid-YTW : 8.67 %
HSE.PR.A FixedReset 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 6.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset 128,018 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.48 %
CM.PR.P FixedReset 111,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 4.46 %
BNS.PR.O Deemed-Retractible 99,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-04-27
Maturity Price : 25.25
Evaluated at bid price : 25.60
Bid-YTW : -0.78 %
TD.PF.G FixedReset 91,857 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 5.16 %
RY.PR.R FixedReset 77,555 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 5.22 %
BNS.PR.E FixedReset 68,909 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 23.37
Evaluated at bid price : 25.71
Bid-YTW : 5.15 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.O FixedReset Quote: 25.60 – 26.72
Spot Rate : 1.1200
Average : 0.6164

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 5.19 %
GWO.PR.O FloatingReset Quote: 11.55 – 12.95
Spot Rate : 1.4000
Average : 0.9052

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.55
Bid-YTW : 11.65 %
SLF.PR.H FixedReset Quote: 15.30 – 15.85
Spot Rate : 0.5500
Average : 0.3909

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 9.54 %
BNS.PR.R FixedReset Quote: 23.51 – 23.99
Spot Rate : 0.4800
Average : 0.3508

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 4.52 %
CU.PR.C FixedReset Quote: 16.30 – 16.71
Spot Rate : 0.4100
Average : 0.2877

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.92 %
FTS.PR.K FixedReset Quote: 15.40 – 15.83
Spot Rate : 0.4300
Average : 0.3097

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-03-21
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 4.87 %