Issue Comments

BRF.PR.E: Coercive Exchange Offer

Brookfield Renewable Energy Partners L.P. has announced:

the commencement of an offer to exchange (the “Exchange Offer”) each issued and outstanding Class A Preference Share, Series 5 of Brookfield Renewable Power Preferred Equity Inc. (TSX:BRF.PR.E) (“BRP Equity”) with an annual dividend rate of 5.00% (collectively, the “Series 5 Preferred Shares”) for one newly issued Class A Preferred Limited Partnership Unit, Series 5 of Brookfield Renewable with an annual distribution rate of 5.59% (collectively, the “Series 5 Preferred Units”). The annual distribution rate on each Series 5 Preferred Unit will be C$1.3976, compared to the annual dividend rate of C$1.25 on each Series 5 Preferred Share.

Holders of Series 5 Preferred Shares (“Series 5 Preferred Shareholders”) will be entitled to receive one Series 5 Preferred Unit for each Series 5 Preferred Share tendered under the Exchange Offer. Each of the guarantors of the Series 5 Preferred Shares will also be a guarantor of the Series 5 Preferred Units, other than the issuer, Brookfield Renewable. The Series 5 Preferred Units have been assigned a provisional rating of “Pfd-3 (high)” by DBRS Limited (“DBRS”) and a preliminary rating of “P-3 (high)” by Standard & Poor’s Rating Services, a division of The McGraw-Hill Companies Inc. (“S&P”), which are the same ratings currently assigned by DBRS and S&P to the Series 5 Preferred Shares.

The Exchange Offer will be open for acceptance until 5:00 p.m. (Toronto Time) on December 18, 2015, unless extended or withdrawn by Brookfield Renewable. The Exchange Offer is conditional upon, among other things, at least 50% of the Series 5 Preferred Shares having been validly deposited or tendered under the Exchange Offer and not withdrawn, which condition may be waived by Brookfield Renewable.

The Exchange Offer is being made pursuant to a supplement to Brookfield Renewable’s short form base shelf prospectus dated May 12, 2015 (the “Prospectus Supplement”) that will be filed today with securities regulatory authorities in each of the provinces and territories of Canada.

Series 5 Preferred Shareholders should consider the following factors, among others, in making a decision whether to accept the Exchange Offer:
•Increased distributions: The annual distribution rate on the Series 5 Preferred Units is 5.59% (C$1.3976), compared to the annual dividend rate of 5.00% (C$1.25) for the Series 5 Preferred Shares.

•Substantially similar other terms and conditions: The other terms and conditions of the Series 5 Preferred Units will be substantially similar to those of the Series 5 Preferred Shares, other than certain technical amendments noted in the Prospectus Supplement.

•Unanimous Board Recommendation: The board of directors of the general partner of Brookfield Renewable and the board of directors of BRP Equity, after reviewing the Fairness Opinion (as defined below) have unanimously recommended that Series 5 Preferred Shareholders accept the Exchange Offer and deposit their Series 5 Preferred Shares pursuant to the Exchange Offer.

•Fairness Opinion: The Partnership and BRP Equity engaged PricewaterhouseCoopers LLP to provide an opinion to the effect that, subject to the assumptions, limitations and qualifications contained therein, the consideration to be received under the Exchange Offer is fair, from a financial point of view, to the holders of Series 5 Preferred Shares (the “Fairness Opinion”).

Full details of the Exchange Offer are contained in the Prospectus Supplement and other related documents that will be mailed today to the registered holder of all Series 5 Preferred Shares as required under applicable Canadian securities laws. Copies of the Prospectus Supplement and other relevant documents will be available on SEDAR at www.sedar.com and on Brookfield Renewable’s website at www.brookfieldrenewable.com. Brookfield Renewable has also commenced the process of mailing to beneficial holders of Series 5 Preferred Shares. Series 5 Preferred Shareholders are urged to evaluate carefully all information in the Exchange Offer, including risk factors, and to consult their own investment, tax and legal advisors.

Computershare Investor Services Inc. is the Depositary for the Exchange Offer and D.F. King Canada, a division of CST Investor Services Inc., is the Information Agent. Any questions or requests for assistance concerning the Exchange Offer or further information about tendering to the Exchange Offer should be directed to the Depositary at 1-800-564-6253 (toll free in North America) or 1-514-982-7555, or by e-mail at corporateactions@computershare.com; or to the Information Agent at 1-800-332-4904 (toll free in North America) or 1-201-806-7301, or by e-mail at inquiries@dfking.com.

Copies of the Prospectus Supplement and any other documents relating to the Exchange Offer as referred to above may be obtained free of charge upon request to the Depositary or the Information Agent. Series 5 Preferred Shareholders whose Series 5 Preferred Shares are registered in the name of a broker, investment dealer, bank, trust company or other nominee should contact such nominee for assistance in depositing their Series 5 Preferred Shares to the Exchange Offer.

BRF.PR.E is a Straight Perpetual, 5.00%, which commenced trading 2013-1-29 after being announced 2013-1-21. It is tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

I consider this offer coercive because, according to the prospectus supplement:

Following the completion of the Exchange Offer and any Subsequent Acquisition or Compulsory Acquisition Transaction relating thereto, the Partnership intends to cause BRP Equity to apply to the TSX to delist the Series 5 Preferred Shares from trading. See “The Exchange Offer – Effect of the Exchange Offer on the Market for Series 5 Preferred Shares, Listing and Public Disclosure by BRP Equity”.

The more detailed explanation is:

Effect of the Exchange Offer on the Market for Series 5 Preferred Shares, Listing and Public Disclosure by BRP Equity

If, after taking up Series 5 Preferred Shares under the Exchange Offer, the Partnership holds a sufficient number of Series 5 Preferred Shares, the Partnership intends to effect a Subsequent Acquisition Transaction or, if a sufficient number of Series 5 Preferred Shares are tendered, a Compulsory Acquisition. In such event, if permitted by applicable Law, the Partnership will apply to delist the Series 5 Preferred Shares from the TSX and there will no longer be a trading market for the Series 5 Preferred Shares.

Even if the Subsequent Acquisition Transaction or Compulsory Acquisition cannot be completed as quickly as intended, the purchase of Series 5 Preferred Shares by the Partnership pursuant to the Exchange Offer will reduce the number of Series 5 Preferred Shares that might otherwise trade publicly, as well as the number of Series 5 Preferred Shareholders and would likely adversely affect the liquidity and market value of the remaining Series 5 Preferred Shares held by the public.

A decline in liquidity is all part of the game, but it will be noted that company is not making any commitment to maintain the listing in any scenarios that are not specified in the above. Note that:

Resident Holders are cautioned that, if the Series 5 Preferred Shares are no longer listed on a “designated stock exchange” (which currently includes the TSX) and BRP Equity ceases to be a “public corporation” for purposes of the Tax Act, the Series 5 Preferred Shares will not be qualified investments for trusts governed by RRSPs, RRIFs, registered education savings plans, registered disability savings plans, deferred profit sharing plans or TFSAs. Resident Holders are urged to consult their own tax advisors with respect to the potential income tax consequences to them in this regard.

So that’s the stick. The carrot is:

• Increased distributions: The annual distribution rate on the Series 5 Preferred Units is 5.59%, compared to the annual dividend rate of 5.00% for the Series 5 Preferred Shares.

But the difficult part is the tax considerations. First off, this is not a tax-free rollover:

A Holder of Series 5 Preferred Shares who for purposes of the Tax Act (as defined herein) and at all relevant times, is or is deemed to be resident in Canada (a “Resident Holder”) who exchanges Series 5 Preferred Shares for Series 5 Preferred Units pursuant to the Exchange Offer will be considered to have disposed of such Series 5 Preferred Shares for proceeds of disposition equal to the fair market value, as at the time of acquisition, of the Series 5 Preferred Units acquired by such Resident Holder on the exchange. As a result, the Resident Holder generally will realize a capital gain (or capital loss) to the extent that such proceeds of disposition exceed (or are less than) the aggregate of the adjusted cost base to the purchaser of the Series 5 Preferred Shares so exchanged and any reasonable costs of disposition.

However, this is of relatively small concern, since the year-end 2014 bid was 21.40 compared to today’s closing bid of 21.05 (after a healthy pop in price today, +3.64%. It looks like some players like the offer!), so I suspect that most – although not all! – holders will crystallize a capital loss.

Of greater pith and moment is the nature of the dividends to be paid on the new Preferred Units:

For Canadian federal income tax purposes, holders of Series 5 Preferred Units will be allocated a portion of the taxable income of the Partnership based on their proportionate share of distributions received on their units. The allocation of taxable income to such holders may be less than the distributions received. This difference is commonly referred to as a tax deferred return of capital (i.e., returns that are initially non-taxable but which reduce the adjusted cost base of the holder’s units). See “Certain Canadian Federal Income Tax Considerations” in this Prospectus Supplement for further details. As shown in the table below, the historical 3 year average per unit Canadian dividends, ordinary income and return of capital (i.e., excess of distributions over allocated taxable income) expressed as a percentage of the annual distributions in respect of units of the Partnership for the period 2012 through 2014 were approximately 56%, 26%, and 18% respectively. Management anticipates the 5 year average per unit Canadian dividend, ordinary income and return of capital will be 50%, 25%, and 25%, respectively, for the period between 2015 and 2020; however, no assurance can be provided this will occur.

So let’s take them at their word and estimate the after tax return on BRF.PR.E compared to the new units (which pay a total of 5.59%). According to Ernst & Young, marginal tax rates for an Ontario resident with taxable income of $150,000 p.a. were 46.41% on income, 23.20% on capital gains and 29.52% on eligible dividends. Since the Return of Capital on the new units will eventually be taxed as a capital gain but only when the gain or loss is crystallized, let’s apply a 25% discount to the capital gain marginal rate to reflect the time value of the money; hence, we will assume that the Return of Capital is subject to tax at a rate of 23.20% * 75% = 17.4%:

Taxation comparison of distributions
  BRF.PR.E New Security
Distribution
Type		 Pre Tax Amount Tax Net Pre Tax Amount Tax Net
Eligible
Dividend		 1.25 0.369 0.881 0.69875 0.20627 0.49248
Ordinary
Income		 0.00 0.00 0.00 0.349375 0.162145 0.187230
Return
of
Capital		 0.00 0.00 0.00 0.349375 0.060791 0.288584
Total 1.25 0.369 0.881 1.3975 0.4292 0.9683

So on the surface it seems like a genuine improvement – the after-tax income per share will increase from 0.881 to 0.9683, a 9.9% hike. However, note that there are no guarantees offered by the company! If it should come to pass that 100% of the distributions are ordinary income, then tax at 46.41% will come to 0.6486 and the net after-tax amount will be 0.7489, a 15.0% decline. So there’s a certain amount of tax-risk here, depending on the nature of the company’s distributions.

DBRS has assigned a provisional rating of Pfd-3(high) to the issue:

DBRS Limited (DBRS) has today assigned a provisional rating of Pfd-3 (high) with a Stable trend to Brookfield Renewable Energy Partners L.P.’s (BREP; rated BBB (high), Stable trend) proposed new issuance of Class A Preferred Limited Partnership Units, Series 5 (Preferred LP Units).

I will not make a recommendation regarding tendering holdings of BRF.PR.E at this time, and I might not make a recommendation at all. But feel free to comment!

Issue Comments

Moody's: BNS On Review-Negative

Moody’s Investors Service has announced that it:

has placed the long term ratings, Counterparty Risk Assessment and Baseline Credit Assessment of Bank of Nova Scotia (BNS, Aa2/Aa2 negative, a1) and its subsidiaries on review for downgrade, and affirmed BNS’s Prime-1 short-term deposit rating, short-term Counterparty Risk Assessment and other short term ratings.
…
Moody’s said the review was prompted by BNS having taken significant measures to increase its profitability that signal a fundamental shift away from the bank’s traditionally low risk appetite. These strategic actions are intended to enhance current profitability (BNS reports the lowest domestic net interest margin of the six largest Canadian banks), but in Moody’s view increase the prospect of future incremental credit losses when the credit cycle turns.

Over the last two years, BNS has accelerated the growth in its credit card and auto finance portfolios, in accordance with its strategic initiatives to expand these portfolios, both of which are particularly prone to rapid deterioration during an economic shock and exhibit higher defaults and loss severities than mortgage portfolios. Personal and credit cards loans grew at a CAGR of 8% over the past two years, the highest among the six large Canadian peer banks. In addition, BNS has made a series of acquisitions away from its strong domestic franchise towards higher-growth but less stable international markets.

During the review period, Moody’s will review the likelihood that BNS’s increased risk tolerance and strategic imperative to increase profitability by shifting the asset mix towards higher yielding categories of consumer credit, both domestically and in international operations, will persist. Moody’s will also undertake further analysis of the operating environments of the regions outside of Canada where BNS operates, and the bank’s strategy and performance in these regions. Moody’s will also assess the implications of the shift in risk tolerance, balanced against the strategic plan to enhance profitability and shareholder returns.

Given the direction of the review, upward pressure on the rating is unlikely. Downward pressure will depend upon our assessment of the items noted above as the focus of our review.

Doug Alexander of Bloomberg observes:

Debtholders already weighed in on the Toronto-based bank: Scotiabank’s Canadian dollar bonds are the worst performing among Canada’s six largest lenders this year.
…
Scotiabank is rated Aa2 by Moody’s, surpassed only by Toronto-Dominion Bank’s Aa1 grade. Royal Bank of Canada, Bank of Montreal, Canadian Imperial Bank of Commerce and National Bank of Canada carry Aa3 ratings. Moody’s last downgraded Scotiabank in January 2013.
…
Canadian consumers, already saddled with record household debt, have pushed the ratio of debt to disposable income to almost double that of the nation’s last severe recession in 1992, when unemployment hit 11.7 percent. Canadian card losses typically average around 3 percent of overall balances and soar to 7.5 percent in troubled times, whereas losses from mortgages are about 0.02 percent and have reached 0.1 percent in recessions, Moody’s said.
…
Scotiabank’s Canadian dollar bonds had a year-to-date total return of 1.5 percent as of Nov. 6, trailing the returns of Canada’s other so-called Big 6 lenders.

Scotia has a raft of preferred shares currently extant which could potentially be downgraded: BNS.PR.A, BNS.PR.B, BNS.PR.C, BNS.PR.D, BNS.PR.L, BNS.PR.M, BNS.PR.N, BNS.PR.O, BNS.PR.P, BNS.PR.Q, BNS.PR.R, BNS.PR.Y and BNS.PR.Z.

Market Action

November 9, 2015

While the Fed moves closer to an anti-inflationary rate hike – or so it is assumed! – China continues to be worried about deflation:

China’s consumer inflation waned in October while factory-gate deflation extended a record streak of negative readings, signaling policy makers may need to hit the gas again to ease deflationary pressures.

The consumer-price index rose 1.3 percent in October from a year earlier, according to the National Bureau of Statistics, missing the 1.5 percent median estimate in a Bloomberg survey and down from 1.6 percent in September. The producer-price index fell 5.9 percent, its 44th straight monthly decline.

The lingering deflation risks, along with weakening trade, open the door for additional stimulus as inflation remains about half the government’s target pace. The People’s Bank of China — which has cut interest rates six times in the past year — is seeking to stabilize the economy without fueling a renewed surge in debt.
…
Food prices rose 1.9 percent from a year earlier, from 2.7 percent in September. Non-food prices climbed 0.9 percent. Prices of consumer goods increased 1 percent, while services increased 1.9 percent, the data showed.

The inflation reading follows a tepid trade report that suggested the world’s second-biggest economy isn’t likely to get a near-term boost from global demand. Overseas shipments dropped 6.9 percent in October in dollar terms while weaker demand for coal, iron and other commodities from declining heavy industries helped pushimports down 18.8 percent, leaving a recordtrade surplus of $61.6 billion.

China isn’t the only major economy battling lowflation. American consumers’ expectations for inflation three years ahead fell last month to the lowest level in records going back to June 2013, according to a monthly Federal Reserve Bank of New York survey released Monday.

The Bank of Japan last month blamed the slide in oil prices for its decision to postpone its time frame for reaching a 2 percent inflation target for the second time this year, while the Bank of England last week forecast that consumer-price growth will remain below 1 percent — less than half its target — until the second half of 2016. In the euro zone, inflation has averaged 1.2 percent in the four years since Mario Draghi took the helm of the European Central Bank in November 2011, according to Bloomberg calculations.

It will be recalled that China’s devaluation was characterized as ‘exporting deflation’; I guess they’d better export more!

Meanwhile, Treasuries continued to ease:

Treasuries haven’t had such an extended losing run since June 2013, as investors step up bets that the first Federal Reserve interest-rate increase in almost a decade will come this year.

U.S. sovereign debt retreated for a sixth day Monday, after Boston Fed President Eric Rosengren added his voice to the chorus of Fed officials saying liftoff could come at their Dec. 15-16 meeting. The yield on 10-year Treasury notes touched a three-month high of 2.37 percent that day. Futures put the odds for a rate rise by year-end at 68 percent, compared with a 50 percent probability at the end of last month.

Meanwhile the war on markets continues:

U.S. officials investigating the $12.8 trillion market for U.S. Treasuries are zeroing in on a practice of trading the debt before it’s issued, said a person familiar with the matter — spotlighting trades that several recent lawsuits allege are part of big banks’ efforts to rig Treasury markets.

Goldman Sachs Group Inc. tipped the government’s avenue of inquiry in a recent regulatory filing. In a standard passage about areas under regulatory scrutiny, the bank’s Nov. 2 disclosure included a handful of words that hadn’t appeared the previous quarter: “offering,” “auction” and “when-issued trading.” It was a reference, the person said, to a fresh line of exploration in the government’s broader, months-old investigation into Treasuries trading.

That shows officials’ interest in one of the least transparent corners of the world’s largest debt market. When-issued securities act as placeholders for bills, notes or bonds before they’re auctioned. The instruments change hands over the counter, with lifespans of just days. There’s scant public information on trading volumes or the market’s biggest players.
…
When debt sells for less than when-issued prices indicate, traders say the auction “tailed.” Auctions tailed more than half the time in every type of security except for the 10-year note between 2010 and 2014, a Cleveland pension fund alleged in a lawsuit against the 22 primary dealers filed Aug. 26 in Manhattan federal court. The chances that a supposedly predictive market would be so consistently off, in a direction that favors the people selling the security, is lower than 1 percent, the fund alleged.

The banks selling when-issued securities are often the same ones that receive billions of dollars worth of client bids for those same auctions. That raises the concern — taken as a given in several of the recent suits — that information is being shared within and between banks.

It was a mixed, modestly negative, day for the Canadian preferred share market as buyers took a rest after Friday‘s exertions. PerpetualDiscounts gained 7bp, FixedResets were off 15bp and DeemedRetractibles were down 17bp. Beneath the veneer of calm, however, was a lot of churn, as illustrated by the Performance Highlights table. Volume was slightly below average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

impVol_TRP_151109
Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.86 to be $0.66 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.75 cheap at its bid price of 14.05.

impVol_MFC_151109
Click for Big

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 20.82 to be 0.61 rich, while MFC.PR.F resetting at +141bp on 2016-6-19, is bid at 15.12 to be 0.63 cheap.

impVol_BAM_151109
Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.97 to be $1.77 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.00 and appears to be $0.88 rich.

impVol_FTS_151109
Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 20.28, looks $0.88 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 15.01 and is $0.65 cheap.

pairs_FR_151109
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.52%, with no outliers. There are three junk outliers above 0.00% and one below -2.00%.

pairs_FF_151109
Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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 4.27 % 5.12 % 27,904 17.69 1 0.0000 % 1,819.2
FixedFloater 5.94 % 5.19 % 31,310 17.31 1 0.9464 % 3,286.8
Floater 3.98 % 4.01 % 62,634 17.37 3 1.1925 % 1,985.4
OpRet 4.85 % 4.78 % 34,596 0.78 1 -0.1975 % 2,712.1
SplitShare 4.75 % 5.66 % 152,742 4.38 5 0.1313 % 3,197.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1313 % 2,494.8
Perpetual-Premium 5.82 % 3.30 % 89,302 0.08 6 -0.0530 % 2,496.0
Perpetual-Discount 5.50 % 5.60 % 83,626 14.50 33 0.0657 % 2,598.6
FixedReset 4.75 % 4.45 % 217,132 15.62 76 -0.1505 % 2,152.8
Deemed-Retractible 5.17 % 5.16 % 109,812 5.42 34 -0.1746 % 2,584.9
FloatingReset 2.54 % 3.65 % 54,935 5.80 10 -0.2266 % 2,210.4
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -4.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.72
Bid-YTW : 8.58 %
TRP.PR.D FixedReset -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.59 %
TRP.PR.C FixedReset -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 4.62 %
CU.PR.C FixedReset -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.14 %
FTS.PR.J Perpetual-Discount -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 21.98
Evaluated at bid price : 22.26
Bid-YTW : 5.42 %
MFC.PR.N FixedReset -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 5.78 %
FTS.PR.F Perpetual-Discount -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 5.45 %
TRP.PR.G FixedReset -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 21.42
Evaluated at bid price : 21.71
Bid-YTW : 4.60 %
TD.PF.E FixedReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 22.34
Evaluated at bid price : 23.11
Bid-YTW : 4.14 %
IFC.PR.C FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 6.73 %
BAM.PF.E FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.57 %
GWO.PR.G Deemed-Retractible -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.53
Bid-YTW : 6.17 %
GWO.PR.Q Deemed-Retractible -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.42
Bid-YTW : 6.18 %
TRP.PR.F FloatingReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 15.09
Evaluated at bid price : 15.09
Bid-YTW : 3.88 %
MFC.PR.F FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.12
Bid-YTW : 9.11 %
CM.PR.O FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.28 %
CM.PR.P FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 4.31 %
RY.PR.J FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 21.76
Evaluated at bid price : 22.15
Bid-YTW : 4.20 %
TRP.PR.A FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.52 %
BAM.PR.X FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.71 %
CU.PR.G Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 5.38 %
TD.PR.Y FixedReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.16
Bid-YTW : 3.78 %
MFC.PR.M FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.16
Bid-YTW : 5.94 %
NA.PR.Q FixedReset -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.77 %
MFC.PR.H FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 4.73 %
FTS.PR.K FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 4.07 %
BAM.PR.M Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.71 %
FTS.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.24 %
BAM.PF.B FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.65 %
BMO.PR.S FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 4.25 %
BAM.PR.T FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.81 %
BAM.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.97 %
MFC.PR.I FixedReset 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.26
Bid-YTW : 5.07 %
CU.PR.H Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 23.89
Evaluated at bid price : 24.25
Bid-YTW : 5.41 %
BIP.PR.A FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 22.15
Evaluated at bid price : 22.75
Bid-YTW : 5.06 %
BAM.PF.C Perpetual-Discount 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.78 %
BNS.PR.A FloatingReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 3.57 %
BAM.PR.K Floater 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 11.89
Evaluated at bid price : 11.89
Bid-YTW : 4.01 %
BAM.PF.D Perpetual-Discount 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 21.35
Evaluated at bid price : 21.66
Bid-YTW : 5.72 %
MFC.PR.J FixedReset 2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 5.47 %
HSE.PR.A FixedReset 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 15.13
Evaluated at bid price : 15.13
Bid-YTW : 4.73 %
BAM.PF.F FixedReset 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 21.98
Evaluated at bid price : 22.41
Bid-YTW : 4.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
HSE.PR.E FixedReset 93,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 22.17
Evaluated at bid price : 22.76
Bid-YTW : 5.06 %
SLF.PR.H FixedReset 72,486 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 6.93 %
HSE.PR.A FixedReset 47,561 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 15.13
Evaluated at bid price : 15.13
Bid-YTW : 4.73 %
SLF.PR.J FloatingReset 37,851 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 8.87 %
TRP.PR.D FixedReset 32,921 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.59 %
BMO.PR.T FixedReset 32,020 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.26 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Quote: 19.01 – 19.73
Spot Rate : 0.7200
Average : 0.4529

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 6.93 %
BAM.PR.X FixedReset Quote: 16.12 – 16.83
Spot Rate : 0.7100
Average : 0.4602

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.71 %
POW.PR.G Perpetual-Discount Quote: 24.82 – 25.48
Spot Rate : 0.6600
Average : 0.4178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 24.36
Evaluated at bid price : 24.82
Bid-YTW : 5.68 %
CU.PR.G Perpetual-Discount Quote: 20.97 – 21.50
Spot Rate : 0.5300
Average : 0.3262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 5.38 %
CU.PR.D Perpetual-Discount Quote: 22.51 – 23.02
Spot Rate : 0.5100
Average : 0.3110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 22.18
Evaluated at bid price : 22.51
Bid-YTW : 5.44 %
RY.PR.J FixedReset Quote: 22.15 – 22.62
Spot Rate : 0.4700
Average : 0.2749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-09
Maturity Price : 21.76
Evaluated at bid price : 22.15
Bid-YTW : 4.20 %
Issue Comments

GWO.PR.N To Be Extended

Great-West Lifeco Inc. has announced:

that it does not intend to exercise its right to redeem its outstanding Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series N (the “Series N Shares”) on December 31, 2015. As a result, subject to certain conditions, the holders of the Series N Shares have the right to convert all or any of their Series N Shares into Non-Cumulative Floating Rate First Preferred Shares, Series O (the “Series O Shares”) on a one-for-one basis on December 31, 2015. A formal notice of the right to convert Series N Shares into Series O Shares will be sent to the registered holder of the Series N Shares in accordance with the rights, privileges, restrictions and conditions attached to the Series N Shares. Holders of Series N Shares who do not exercise their right to convert their Series N Shares into Series O Shares on such date will retain their Series N Shares.

The foregoing conversion right is subject to the conditions that: (i) if Lifeco determines that if, following such conversions, there would be less than one million Series O Shares outstanding on December 31, 2015, no Series N Shares may be converted into Series O Shares, and (ii) alternatively, if Lifeco determines that if, following such conversions, there would be less than one million Series N Shares outstanding on December 31, 2015, then all remaining Series N Shares will automatically be converted into Series O Shares on a one-for-one basis on December 31, 2015. In either case, Lifeco will give written notice to that effect to any registered holder affected by the preceding conditions on or before Thursday, December 24, 2015.

The dividend rate applicable to the Series N Shares for the five-year period commencing on December 31, 2015 and ending on December 30, 2020, and the dividend rate applicable to the Series O Shares for the three-month period commencing on December 31, 2015 and ending on March 30, 2016, will be determined on Tuesday, December 1, 2015 and written notice thereof will be given to the registered holder of the Series N Shares on that day.

Beneficial owners of Series N Shares who wish to have their Series N Shares converted into Series O Shares should communicate as soon as possible with their broker or other nominee to ensure their instructions are followed so that the registered holder of the Series N Shares can meet the deadline to exercise such conversion right, which is 5:00 p.m. (ET) on Wednesday, December 16, 2015.

Lifeco may redeem the Series N Shares, in whole or in part, on December 31, 2020 and on December 31 every five years thereafter for $25.00 per share plus declared and unpaid dividends and may redeem the Series O Shares, in whole or in part, after December 31, 2015 for $25.50 per share plus declared and unpaid dividends, unless such Series O Shares are redeemed on December 31, 2020 or on December 31 every five years thereafter, in which case the redemption price will be $25.00 per share plus declared and unpaid dividends.

No surprises here, since GWO.PR.N is a FixedReset, 3.65%+130, which commenced trading 2010-11-23 after being announced 2010-11-15. The issue was met with disfavour and there was an inventory clearance sale closing 2010-12-3.

Note that since the issue is issued by an insurance holding company and is not convertible into common at the option of the issuer, I consider it to have a “Deemed Maturity” 2025-1-31 (this date may change in the future). This is due to my belief that OSFI will eventually extend the Non-Viability Contingent Capital (NVCC) rules to insurers and insurance holding companies. There is a brief explanation of this on the PrefLetter website (under the heading “DeemedRetractibles”) and with more detailed argument and progress reports on international negotiations in every edition of PrefLetter.

I will note that the market does not share my views regarding future application of the NVCC rules insurers and insurance issues trade very similarly to perpetuals.

Market Action

November 6, 2015

Jobs, jobs, jobs!

Forget about ambiguity. The October jobs report left little doubt the U.S. labor market is back with a vengeance after a two-month lull.

The 271,000 gain in payrolls was the biggest this year and exceeded all estimates in a Bloomberg survey of economists, a Labor Department report showed Friday. The jobless rate fell to a seven-year low of 5 percent and average hourly earnings over the past 12 months climbed by the most since 2009.
…
Investors have raised to about 70 percent the probability of a rate increase by policy makers’ December meeting, according to pricing in the federal funds futures market. That compares to 56 percent on Thursday, and assumes the effective funds rate averages 0.375 percent after liftoff.

The report also showed diminishing labor-market slack. The number of Americans working part-time because of a weak economy fell to 5.7 million in October, the lowest since June 2008.

There were even some private sector jobs in Canada!

Canada added 44,000 jobs in October, a gain that blew past expectations but was likely due to temporary hiring for the federal election.

The bulk of the new jobs were in the public administration sector and coincided with the last two weeks before the election in mid-October that saw the Liberals sweep to power.
…
The country lost 9,000 construction jobs and the resources sector continued to shrink, shedding another 8,000 jobs last month, according to the government’s latest labour report.

Alberta shouldered a big chunk of the losses, shedding 11,000 jobs in October.
…
Meanwhile, Ontario and British Columbia each added more than 20,000 jobs.

… so treasuries took a hit:

Yields on 10-year U.S. Treasuries surged 10 basis points to 2.33 percent, following a four-day increase as bets on a Fed move next month crept up. The rate on the more policy-sensitive 2-year note jumped six basis points to 0.89 percent.

The yield on the Bloomberg U.S. Treasury Bond Index climbed to 1.64 percent Thursday, the highest level since July 13. The gauge headed for a third weekly loss, with the decline totaling 1.2 percent.

There’s an interesting New York Fed piece on the Differences in Rent Inflation by Cost of Housing:

In this post, which is based upon our updated staff report on “The Measurement of Rent Inflation,” we present evidence that price changes for rent, which comprises a large share of consumer spending, can vary considerably across households. In particular, we show that rent inflation is consistently higher for lower-cost housing units than it is for higher-cost units. Note that since owners’ equivalent rent inflation is estimated from observed changes in rent of rental units, this finding applies to homeowners as well. While we cannot be certain about why this is the case, it appears to be at least partly related to how additional units are supplied to the housing market: in higher-price segments additional units primarily come from new construction, while most of the increase in lower-price segments comes from units that previously were occupied by higher-income households.
…
Putting these various threads together, it appears that the inverse relationship between prior rent levels and rent inflation may be related to a greater concentration of new residential construction in the higher rent level segments of the housing market, dampening the price response to a tightening in that market. As one moves down the rent level distribution, increases in the supply of housing increasingly come from previously higher-rent units, which may still have rents above the average of the incumbent units, pushing up rents more in such segments.

One interesting question is how various public policies designed to influence the level of housing costs affect the growth of that cost over time. We hope to explore this issue in future work.

Canadian preferred share investors are making new plans for the Christmas holidays!

Sailing-Yacht-Akasha-at-the-beach
Click for Big

The TXPL total return index has now recovered to its late July levels, meaning that the horror of August, September and early October has been reversed. There were a few days in August in which the TXPR total return index was higher than it is today, but the broad market is also quite close to extinguishing the past three months odd. Mind you, the five year Canada is back to where it was in early June (also early May and early January, for that matter) so the preferred share market is either lagging behind its driver, or the relationship has changed, or something else.

It was a superb day for the Canadian preferred share market, with PerpetualDiscounts up 39bp, FixedResets winning an awesome 227bp and DeemedRetractibles gaining 17bp. The Performance Highlights table is, of course, ridiculously long and contains no losers at all. Volume was very extremely awfully high.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

impVol_TRP_151106
Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 20.01 to be $0.45 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.51 cheap at its bid price of 14.50.

impVol_MFC_151106
Click for Big

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 21.70 to be 0.84 rich, while MFC.PR.J resetting at +261bp on 2018-3-19, is bid at 21.60 to be 0.68 cheap.

impVol_BAM_151106
Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.08 to be $1.57 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.30 and appears to be $1.30 rich.

impVol_FTS_151106
Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 20.07, looks $0.81 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 15.02 and is $0.52 cheap.

pairs_FR_151106
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.56%, with one outlier above 0.00%. There are two junk outliers above 0.00% and two below -2.00%.

pairs_FF_151106
Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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 4.27 % 5.12 % 28,929 17.69 1 0.0000 % 1,819.2
FixedFloater 5.99 % 5.24 % 31,249 17.25 1 1.8638 % 3,256.0
Floater 4.02 % 4.07 % 63,387 17.25 3 1.7919 % 1,962.0
OpRet 4.84 % 4.48 % 34,074 0.79 1 -0.0790 % 2,717.5
SplitShare 4.76 % 5.76 % 153,350 4.39 5 -0.0246 % 3,193.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0246 % 2,491.5
Perpetual-Premium 5.82 % -0.71 % 87,549 0.08 6 -0.1587 % 2,497.3
Perpetual-Discount 5.51 % 5.62 % 83,407 14.47 33 0.3933 % 2,596.9
FixedReset 4.74 % 4.29 % 217,266 15.92 76 2.2657 % 2,156.0
Deemed-Retractible 5.16 % 5.21 % 110,943 5.42 34 0.1724 % 2,589.4
FloatingReset 2.53 % 3.78 % 56,779 5.81 10 1.3471 % 2,215.5
Performance Highlights
Issue Index Change Notes
TD.PR.Z FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 3.54 %
HSE.PR.G FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 22.30
Evaluated at bid price : 23.00
Bid-YTW : 4.87 %
MFC.PR.B Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.59 %
BMO.PR.Q FixedReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.31 %
BAM.PR.M Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.76 %
ELF.PR.G Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.66 %
CM.PR.Q FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 22.16
Evaluated at bid price : 22.77
Bid-YTW : 4.00 %
MFC.PR.H FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.74 %
GWO.PR.G Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.86
Bid-YTW : 5.96 %
PWF.PR.T FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 3.88 %
BAM.PR.K Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 4.09 %
TRP.PR.E FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.34 %
BNS.PR.Y FixedReset 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.78
Bid-YTW : 5.04 %
CU.PR.H Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 23.53
Evaluated at bid price : 23.85
Bid-YTW : 5.50 %
TD.PR.Y FixedReset 1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 3.51 %
BMO.PR.R FloatingReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 3.15 %
BAM.PR.X FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.45 %
MFC.PR.F FixedReset 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.31
Bid-YTW : 8.75 %
GWO.PR.Q Deemed-Retractible 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 5.98 %
TD.PR.T FloatingReset 1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 3.34 %
FTS.PR.J Perpetual-Discount 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 22.30
Evaluated at bid price : 22.70
Bid-YTW : 5.30 %
CU.PR.C FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 3.90 %
BAM.PR.G FixedFloater 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 25.00
Evaluated at bid price : 15.85
Bid-YTW : 5.24 %
BAM.PF.F FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.61 %
MFC.PR.M FixedReset 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 5.71 %
BAM.PR.C Floater 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 4.07 %
BAM.PR.T FixedReset 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.68 %
VNR.PR.A FixedReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 4.45 %
BMO.PR.W FixedReset 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.13 %
FTS.PR.M FixedReset 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.30
Evaluated at bid price : 21.58
Bid-YTW : 4.14 %
TRP.PR.D FixedReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.29 %
BMO.PR.M FixedReset 2.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.02 %
BNS.PR.Z FixedReset 2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 5.40 %
GWO.PR.N FixedReset 2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.40
Bid-YTW : 9.26 %
BAM.PR.B Floater 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 4.02 %
BAM.PR.N Perpetual-Discount 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.74 %
RY.PR.Z FixedReset 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 4.00 %
TD.PF.B FixedReset 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 4.03 %
RY.PR.H FixedReset 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.05 %
BIP.PR.A FixedReset 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.89
Evaluated at bid price : 22.35
Bid-YTW : 5.03 %
BMO.PR.Y FixedReset 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 22.27
Evaluated at bid price : 22.97
Bid-YTW : 3.93 %
FTS.PR.F Perpetual-Discount 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 23.03
Evaluated at bid price : 23.30
Bid-YTW : 5.34 %
FTS.PR.K FixedReset 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 3.96 %
BAM.PF.B FixedReset 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 4.56 %
TD.PF.E FixedReset 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 22.55
Evaluated at bid price : 23.52
Bid-YTW : 3.94 %
BMO.PR.T FixedReset 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.13 %
MFC.PR.J FixedReset 2.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 5.66 %
BAM.PF.E FixedReset 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.37 %
TRP.PR.A FixedReset 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.31 %
MFC.PR.K FixedReset 3.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 5.99 %
SLF.PR.G FixedReset 3.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.94
Bid-YTW : 7.96 %
NA.PR.W FixedReset 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 4.10 %
TD.PF.A FixedReset 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 4.03 %
IFC.PR.A FixedReset 3.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.50
Bid-YTW : 7.82 %
CM.PR.P FixedReset 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.12 %
IAG.PR.G FixedReset 3.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.15 %
HSE.PR.A FixedReset 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 4.64 %
NA.PR.S FixedReset 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.17 %
PWF.PR.P FixedReset 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.19 %
TD.PF.C FixedReset 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.06 %
CM.PR.O FixedReset 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 4.09 %
RY.PR.J FixedReset 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.93
Evaluated at bid price : 22.40
Bid-YTW : 4.02 %
FTS.PR.H FixedReset 3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 4.03 %
MFC.PR.L FixedReset 3.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 5.97 %
BAM.PF.G FixedReset 3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.89
Evaluated at bid price : 22.35
Bid-YTW : 4.41 %
BAM.PF.A FixedReset 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 4.50 %
RY.PR.M FixedReset 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.54
Evaluated at bid price : 21.86
Bid-YTW : 4.03 %
FTS.PR.G FixedReset 4.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 4.13 %
MFC.PR.N FixedReset 4.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.44 %
TRP.PR.C FixedReset 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.23 %
IFC.PR.C FixedReset 4.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.38 %
MFC.PR.G FixedReset 4.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 4.90 %
MFC.PR.I FixedReset 4.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.13 %
SLF.PR.I FixedReset 4.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.04
Bid-YTW : 5.46 %
SLF.PR.H FixedReset 4.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 6.81 %
SLF.PR.J FloatingReset 4.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.21
Bid-YTW : 8.74 %
TRP.PR.B FixedReset 4.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 4.05 %
TRP.PR.F FloatingReset 5.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 15.28
Evaluated at bid price : 15.28
Bid-YTW : 3.81 %
BAM.PR.Z FixedReset 6.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 22.06
Evaluated at bid price : 22.30
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.N FixedReset 103,089 Desjardins crossed 19,900 at 14.45.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.40
Bid-YTW : 9.26 %
BMO.PR.Y FixedReset 54,655 TD bought 23,200 from RBC at 23.00 and sold 10,000 to Scotia at 23.24.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 22.27
Evaluated at bid price : 22.97
Bid-YTW : 3.93 %
BNS.PR.Z FixedReset 53,664 Nesbitt crossed 41,600 at 21.05.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 5.40 %
RY.PR.H FixedReset 40,462 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.05 %
MFC.PR.I FixedReset 35,661 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.13 %
CM.PR.O FixedReset 33,577 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 4.09 %
There were 70 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Quote: 21.50 – 23.15
Spot Rate : 1.6500
Average : 0.9374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.61 %
VNR.PR.A FixedReset Quote: 21.38 – 22.50
Spot Rate : 1.1200
Average : 0.7547

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 4.45 %
MFC.PR.F FixedReset Quote: 15.31 – 16.00
Spot Rate : 0.6900
Average : 0.4621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.31
Bid-YTW : 8.75 %
BAM.PR.T FixedReset Quote: 18.00 – 18.68
Spot Rate : 0.6800
Average : 0.4932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.68 %
CM.PR.Q FixedReset Quote: 22.77 – 23.25
Spot Rate : 0.4800
Average : 0.3074

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 22.16
Evaluated at bid price : 22.77
Bid-YTW : 4.00 %
BAM.PF.B FixedReset Quote: 20.33 – 20.80
Spot Rate : 0.4700
Average : 0.3116

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-06
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 4.56 %
Market Action

November 5, 2015

Treasuries and swap spreads declined today:

The 10-year swap spread ended little changed after falling to negative 17.6 basis points Thursday, the lowest in Bloomberg data beginning in 1988. A basis point is 0.01 percentage point. The gap turned negative for the first time in three years in September. The spread reached record negative levels in other maturities as well, including the five- and seven-year.

Slumping Treasuries contributed to the narrowing of the spread. Yields on 10-year U.S. notes reached 2.26 percent Thursday, the highest since mid-September, as bets mounted that the Federal Reserve will raise interest rates as soon as next month. Investment-grade corporate issuance may tally about $30 billion this week, putting further pressure on Treasuries. On top of all that, regulations enacted after the financial crisis have curtailed the amount of risk banks can take, leading them to scale back trading and lending.

“This is more of a Treasury-led move as all the on-balance sheet products are becoming more costly to dealers,” said Priya Misra, head of global interest-rate strategy in New York at TD Securities, one of the 22 primary dealers that trade with the Fed. “Treasuries are an on-balance sheet product so they are getting more costly relative to swaps.”

swapSpreads
Click for Big

For those unfamiliar with swap spreads:

In finance, swap spread is a popular way to indicate the credit spreads in a market. It is defined as the spread paid by the fixed-rate payer of an interest rate swap over the rate of the on the run treasury with the same maturity as the swap. For example, if the fixed-rate of a 5-year fixed-for-float LIBOR swap is 7.26% and the 5-year Treasury is yielding at 6.43%, the swap spread is 7.26% – 6.43% = 83 bps.

The endlessly entertaining Sprott / Silver Bullion battle is entering yet another new chapter (emphasis from original):

Silver Bullion Trust (“SBT”) (TSX:SBT.UN) (C$) (TSX:SBT.U) (US$) confirmed today that the unsolicited offer by Sprott Asset Management LP and Sprott Physical Silver Trust (“Sprott PSLV”; and collectively, “Sprott”) for all of the outstanding Units of SBT has once again failed to achieve sufficient acceptance to satisfy the required minimum tender condition. As of October 30, 2015, only 39.64% of SBT Units were tendered, falling far short of the 66 2/3% minimum tender condition. As a result, Sprott has yet again, for the 6th time, extended the expiry date of the offer, which is now set to expire on November 20, 2015.
…

  • •The Trustees will continue to act in the best interests of ALL Unitholders and cannot endorse a deficient offer that does not benefit ALL Unitholders. Principally because we don’t agree with them, Sprott has waged a smear campaign claiming poor governance and entrenchment of the Trustees. Their numerous unfounded allegations are intended to distract Unitholders from the deficiencies of their inadequate offer: no material premium, higher management fees, lower bullion security and safeguards, significantly reduced governance rights and higher potential tax liability for certain U.S. Unitholders.
  • •Sprott’s claims that SBT Units have “traded for most of their existence at double-digit discounts” [footnote] are completely false. In fact, SBT Units have, on average, traded in-line to net asset value (“NAV”) since SBT was established in 2009

…
Footnote reads: Rick Rule stated on October 1, 2015 during the Sprott webcast relating to the Sprott offer: “It must be stressed that neither [GoldTrust] nor [Silver Bullion Trust] have ever or very seldom traded close to or above par, they have in fact traded at a persistent discount and they’ve traded at a persistent discount for over a decade.”

There was an interesting paper today from the Boston Fed by Joe Peek & Eric Rosengren, titled Credit Supply Disruptions: From Credit Crunches to Financial Crisis:

It is useful to reflect on how the financial environment changed in the interim between the bank credit crunch episode in the early 1990s and the recent financial crisis. What did we learn from the earlier crisis and how did the credit crunch literature help guide policy in the more recent crisis? Among the important changes were the consolidation of the banking sector and the dramatic growth in nonbank financial intermediaries, which are much more susceptible than banks to liquidity risks due to a lack of deposit insurance. This paper highlights the fact that while broker-dealers, money market mutual funds, and issuers of asset-backed securities were not particularly important in the early 1990s when the bank credit crunch occurred, they had grown dramatically over the subsequent two decades to become both a major source of financing and a key element in exacerbating the problems experienced during the recent financial crisis.

The key findings are:

  • •The earlier literature on credit crunches contributed importantly to economists’ understanding of how financial shocks can impact the real economy. The real estate shock that caused capital-constrained banks to reduce credit availability to households and firms provided an important lesson learned from the 1990 recession and the academic work that followed. That literature provided a helpful guide as to how to respond to adverse credit shocks.
  • •However, many of the financial innovations that occurred after the 1990 recession moved much of the issuance of credit to non-depository financial intermediaries. These intermediaries included money market mutual funds, broker-dealers, and issuers of asset-backed securities.
  • •While the main problem facing banks was how to satisfy capital constraints when experiencing large declines in capital, these nonbank intermediaries were much more susceptible than banks to liquidity shocks, runs on liabilities, and fire sales of assets. Although the earlier literature provided important context, the nature of the problems was quite different for non-depository entities. Because these potential problems of nonbank intermediaries had not arisen in the earlier credit crunch, they were largely ignored in the subsequent credit crunch literature.

It seems to me that the moral of the story so far is that during boom times, money is going to flow from willing lenders to willing borrowers, come what may. If it can’t do it through regulated channels, it will do so via unregulated channels. So the authorities, in their wisdom, are attempting to micro-manage the economy, through, for instance, changes in the qualifying rules for mortgages in Canada (which has led directly to mortgage fraud, as discussed on October 30) and changes in tax-deductability of mortgage interest in the UK, as discussed on October 19 and October 1. Which, no doubt, creates a lot of very nicely paid work for the bureaucrats and lets everybody know that Your Government Is Doing Something, but when it comes to human nature vs. political platitudes, you know how I’m placing my bets. If it’s not houses, it will be something else. Bre-X, Nortel, internet stocks … there will be a special prize for those who can guess what the Next Big Thing is going to be!

But fear not! The SEC is working diligently to ensure that people who make instant investment decisions based on randomly selected Twitter posts will be protected:

According to the SEC’s complaint filed in federal court in the Northern District of California, James Alan Craig of Dunragit, Scotland, tweeted multiple false statements about the two companies on Twitter accounts that he deceptively created to look like the real Twitter accounts of well-known securities research firms.

The U.S. Attorney’s Office for the Northern District of California today filed criminal charges against Craig.

The SEC’s complaint alleges that Craig’s first false tweets caused one company’s share price to fall 28 percent before Nasdaq temporarily halted trading. The next day, Craig’s false tweets about a different company caused a 16 percent decline in that company’s share price. On each occasion, Craig bought and sold shares of the target companies in a largely unsuccessful effort to profit from the sharp price swings.
…
The SEC’s complaint charges that Craig committed securities fraud in violation of Section 10(b) of the Securities Exchange Act of 1934 and Rule 10b-5. The complaint seeks a permanent injunction against future violations, disgorgement, and a monetary penalty from Craig.

The SEC has issued an Investor Alert titled Social Media and Investing – Stock Rumors prepared by the Office of Investor Education and Advocacy. The alert aims to warn investors about fraudsters who may attempt to manipulate share prices by using social media to spread false or misleading information about stocks, and provides tips for checking for red flags of investment fraud.

Some may be interested in another Boston Fed paper by Daniel Cooper & Maria José Luengo-Prado titled Household Formation Over Time: Evidence from Two Cohorts of Young Adults:

Residential investment accounts for an important component of U.S. gross domestic product, and traditionally plays a strong role in business cycle expansions. U.S. residential investment has improved slowly during the recovery from the Great Recession, despite a relatively strong national rebound in house prices and record low interest rates. An important determinant of residential investment is the household formation rate, which is largely driven by young adults moving out of their parents’ homes after completing high school or college. New household formation can be offset when existing households combine, typically through marriage or by moving in with parents or other relatives for economic reasons. This paper uses National Longitudinal Survey of Youth (NLSY) data from the 1979 and the 1997 cohorts to examine how various demographic, economic, and geographic factors influence the rate of household formation among young adults, both within cohorts and over time across cohorts.

… with the key findings:

  • •Comparing parental co-residence rates for young adults between the ages of 23 and 31 years shows that the share of individuals living with parents declines with age, but that the share of those living with parents is higher at nearly every age for the 1997 cohort compared to the 1979 cohort.
  • •There is important variation in household formation by race both within a given cohort and over time. The share of black youth living with parents is substantially lower at young ages in both cohorts, but after the late teenage years, blacks and Hispanics are more likely to be living with parents than non-black/non-Hispanic youths. In the 1997 cohort, non-black/non-Hispanic and Hispanic youths, regardless of age, are more likely to be living with parents relative to their 1979 counterparts, while the rate of living with parents for blacks is unchanged.
  • •Overall, housing costs have a meaningful effect on the decision of young adults to live with parents. The share of the 1979 cohort living with parents rose with the cost of housing. Among the 1997 cohort, 23 year-olds living in regions with high housing costs were about 15 percent more likely to be residing with parents than same-age members of the 1979 cohort who were living in areas with low housing costs.

But Holy Smokarisms! Today FixedResets were …

Lamborghini_Speed2
Click for Big

… ON WHEELS!

It was a very strong, very uneven day for the Canadian preferred share market, with PerpetualDiscounts flat, FixedResets up 164bp and DeemedRetractibles gaining 25bp. The only losers on the ridiculously long Performance Highlights tables are BAM PerpetualDiscounts, which got whacked. Volume was very heavy.

Basically, FixedResets were strong all day:

TXPL_151105
Click for Big

I don’t think we can ascribe the move to ETF action – only one block of ZPR changed hands today, Scotia buying 16,000 from Nesbitt at 10.79. CPD was similarly boring, with CIBC buying 10,000 from RBC at 13.20 and TD crossing 13,600 at 13.36.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

impVol_TRP_151105
Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.75 to be $0.61 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.60 cheap at its bid price of 13.90.

impVol_MFC_151105
Click for Big

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.81 to be 0.61 rich, while MFC.PR.I resetting at +286bp on 2017-9-19, is bid at 21.92 to be 0.58 cheap.

impVol_BAM_151105
Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.00 to be $1.13 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 20.69 and appears to be $1.22 rich.

impVol_FTS_151105
Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 19.55, looks $0.89 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.69 and is $0.47 cheap.

pairs_FR_151105
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.53%, with no outliers. There are four junk outliers above 0.00% and two below -2.00%.

pairs_FF_151105
Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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 4.27 % 5.12 % 30,113 17.69 1 2.8939 % 1,819.2
FixedFloater 6.11 % 5.35 % 31,607 17.12 1 0.0643 % 3,196.4
Floater 4.10 % 4.15 % 63,890 17.09 3 1.6451 % 1,927.5
OpRet 4.84 % 4.36 % 33,436 0.79 1 -0.1183 % 2,719.7
SplitShare 4.76 % 5.69 % 155,319 4.39 5 0.0963 % 3,194.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0963 % 2,492.1
Perpetual-Premium 5.81 % 2.01 % 88,100 0.08 6 0.2253 % 2,501.2
Perpetual-Discount 5.53 % 5.63 % 82,422 14.45 33 -0.0040 % 2,586.7
FixedReset 4.85 % 4.34 % 214,334 15.70 76 1.6439 % 2,108.2
Deemed-Retractible 5.17 % 5.21 % 111,540 5.43 34 0.2519 % 2,585.0
FloatingReset 2.56 % 3.75 % 57,419 5.81 10 0.0562 % 2,186.0
Performance Highlights
Issue Index Change Notes
BAM.PR.N Perpetual-Discount -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.87 %
BAM.PR.M Perpetual-Discount -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.83 %
BAM.PF.C Perpetual-Discount -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.88 %
BAM.PF.D Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 5.85 %
GWO.PR.I Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.56
Bid-YTW : 6.62 %
BAM.PF.H FixedReset 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 4.28 %
BIP.PR.A FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.51
Evaluated at bid price : 21.80
Bid-YTW : 5.17 %
GWO.PR.N FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 9.53 %
FTS.PR.J Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 22.01
Evaluated at bid price : 22.30
Bid-YTW : 5.41 %
SLF.PR.I FixedReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 6.08 %
BAM.PF.A FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 4.70 %
NA.PR.S FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 4.31 %
TRP.PR.E FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.40 %
RY.PR.M FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 4.22 %
PWF.PR.S Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.99
Evaluated at bid price : 22.30
Bid-YTW : 5.40 %
SLF.PR.G FixedReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.47
Bid-YTW : 8.35 %
TRP.PR.D FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.38 %
BAM.PR.K Floater 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.15 %
BAM.PR.C Floater 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.15 %
NA.PR.W FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 4.23 %
IAG.PR.G FixedReset 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 5.56 %
MFC.PR.N FixedReset 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.81
Bid-YTW : 6.00 %
BAM.PF.G FixedReset 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 4.61 %
BAM.PF.B FixedReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.68 %
BAM.PR.B Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 4.11 %
TD.PF.C FixedReset 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 4.21 %
CM.PR.O FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.23 %
SLF.PR.J FloatingReset 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.55
Bid-YTW : 9.35 %
TRP.PR.B FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 12.93
Evaluated at bid price : 12.93
Bid-YTW : 4.25 %
MFC.PR.C Deemed-Retractible 1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 6.81 %
SLF.PR.H FixedReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.09
Bid-YTW : 7.43 %
MFC.PR.G FixedReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.29
Bid-YTW : 5.49 %
HSE.PR.A FixedReset 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 4.79 %
RY.PR.Z FixedReset 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 4.10 %
TD.PF.A FixedReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.16 %
RY.PR.J FixedReset 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.34
Evaluated at bid price : 21.63
Bid-YTW : 4.18 %
MFC.PR.M FixedReset 2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.98
Bid-YTW : 5.96 %
CM.PR.P FixedReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.25 %
HSE.PR.C FixedReset 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 4.74 %
MFC.PR.L FixedReset 2.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.99
Bid-YTW : 6.44 %
MFC.PR.F FixedReset 2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.06
Bid-YTW : 8.97 %
MFC.PR.I FixedReset 2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 5.75 %
FTS.PR.H FixedReset 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.18 %
PWF.PR.T FixedReset 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.39
Evaluated at bid price : 21.72
Bid-YTW : 3.93 %
BMO.PR.Y FixedReset 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.92
Evaluated at bid price : 22.40
Bid-YTW : 4.05 %
BAM.PR.R FixedReset 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.87 %
TRP.PR.C FixedReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 4.42 %
RY.PR.H FixedReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.16 %
TD.PF.B FixedReset 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.13 %
TD.PF.D FixedReset 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.98
Evaluated at bid price : 22.48
Bid-YTW : 4.06 %
BAM.PR.E Ratchet 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 5.12 %
BAM.PR.X FixedReset 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 4.52 %
FTS.PR.G FixedReset 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.30 %
MFC.PR.H FixedReset 2.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 4.90 %
VNR.PR.A FixedReset 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 4.54 %
PWF.PR.P FixedReset 3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.34 %
BMO.PR.T FixedReset 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.24 %
TRP.PR.A FixedReset 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.44 %
TD.PF.E FixedReset 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 22.22
Evaluated at bid price : 22.90
Bid-YTW : 4.07 %
IFC.PR.C FixedReset 3.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 6.95 %
BMO.PR.W FixedReset 3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.22 %
CM.PR.Q FixedReset 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.98
Evaluated at bid price : 22.49
Bid-YTW : 4.06 %
MFC.PR.K FixedReset 3.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 6.39 %
FTS.PR.K FixedReset 4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.07 %
BMO.PR.S FixedReset 4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.18 %
IFC.PR.A FixedReset 5.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.97
Bid-YTW : 8.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset 151,227 STD crossed blocks of 50,000 shares, 35,000 and 34,600, all at 20.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 4.31 %
PVS.PR.E SplitShare 73,928 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 6.00 %
BAM.PR.R FixedReset 61,370 National bought 33,000 from Desjardins at 16.90.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.87 %
RY.PR.Z FixedReset 52,126 Scotia crossed 25,000 at 19.63.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 4.10 %
TD.PF.A FixedReset 51,942 RBC crossed 35,900 at 19.73.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.16 %
BMO.PR.T FixedReset 45,210 TD crossed 25,000 at 18.92.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.24 %
There were 57 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: 22.29 – 23.20
Spot Rate : 0.9100
Average : 0.5805

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.29
Bid-YTW : 5.49 %
MFC.PR.I FixedReset Quote: 21.92 – 22.50
Spot Rate : 0.5800
Average : 0.3431

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 5.75 %
MFC.PR.J FixedReset Quote: 21.01 – 21.64
Spot Rate : 0.6300
Average : 0.4271

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 6.03 %
TD.PF.C FixedReset Quote: 19.61 – 20.10
Spot Rate : 0.4900
Average : 0.3113

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 4.21 %
BAM.PR.Z FixedReset Quote: 21.00 – 21.50
Spot Rate : 0.5000
Average : 0.3317

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.80 %
PWF.PR.P FixedReset Quote: 14.50 – 14.96
Spot Rate : 0.4600
Average : 0.2918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-05
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.34 %
Market Action

November 4, 2015

The Fed is making sure that nobody takes them for granted:

Federal Reserve Chair Janet Yellen and New York Fed President William Dudley both said the central bank could boost interest rates as soon as next month.

“At this point, I see the U.S. economy as performing well,” Yellen said on Wednesday in testimony before the House Financial Services Committee in Washington. If economic data continue to point to growth and firmer prices, a December rate hike would be a “live possibility,” she said. Speaking in New York hours later, Dudley said he agreed with the chair, but “let’s see what the data shows.”

The Federal Open Market Committee said in its October statement that it will consider raising interest rates at its “next meeting,” citing “solid” rates of household spending and business investment. Yellen’s and Dudley’s comments reinforced the idea that next month is in the crosshairs for an increase, and placed the focus on upcoming employment and other economic data.

The market noticed:

Bonds are falling around the world as traders increased odds to more than 50 percent that the Federal Reserve will raise interest rates this year.

Benchmark 10-year Treasury yields climbed to a seven-week high of 2.24 percent on Wednesday after Fed Chair Janet Yellen said policy makers may move as soon as their December meeting. German yields reached a two-week high. Australian 10-year yields rose for a sixth day Thursday.

It was a strong day for the Canadian preferred share market, with PerpetualDiscounts up 52bp, FixedResets winning 77bp and DeemedRetractibles gaining 15bp. There are a lot of winners on the Performance Highlights table! Volume was well above average.

PerpetualDiscounts now yield 5.62%, equivalent to 7.31% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 4.4%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, a very significant narrowing from the 310bp reported October 28.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

impVol_TRP_151104
Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.51 to be $0.65 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.69 cheap at its bid price of 13.55.

impVol_BAM_151104
Click for Big

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.48 to be 0.75 rich, while MFC.PR.I resetting at +286bp on 2017-9-19, is bid at 21.41 to be 0.63 cheap.

impVol_BAM_151104
Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.58 to be $1.26 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 20.65 and appears to be $1.48 rich.

impVol_FTS_151104
Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 18.75, looks $0.50 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.15 and is $0.58 cheap.

pairs_FR_151104
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.53%, with two outliers above 0.00% and none below -2.00%. There are three junk outliers above 0.00% and one below -2.00%.

pairs_FF_151104
Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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 4.40 % 5.28 % 31,280 17.50 1 0.3226 % 1,768.0
FixedFloater 6.11 % 5.35 % 31,293 17.11 1 5.0676 % 3,194.3
Floater 4.16 % 4.21 % 62,859 16.96 3 0.8593 % 1,896.3
OpRet 4.83 % 4.20 % 33,402 0.80 1 0.1184 % 2,722.9
SplitShare 4.76 % 5.81 % 155,377 4.39 5 -0.1144 % 3,191.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1144 % 2,489.7
Perpetual-Premium 5.82 % 1.33 % 81,667 0.08 6 0.1859 % 2,495.6
Perpetual-Discount 5.53 % 5.62 % 81,348 14.44 33 0.5173 % 2,586.8
FixedReset 4.93 % 4.44 % 211,682 15.52 76 0.7749 % 2,074.1
Deemed-Retractible 5.18 % 5.20 % 111,220 5.43 34 0.1496 % 2,578.5
FloatingReset 2.56 % 3.76 % 56,694 5.81 10 0.3895 % 2,184.8
Performance Highlights
Issue Index Change Notes
CU.PR.H Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.58 %
VNR.PR.A FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.68 %
TRP.PR.B FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.33 %
W.PR.H Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 23.99
Evaluated at bid price : 24.24
Bid-YTW : 5.72 %
IFC.PR.A FixedReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.16
Bid-YTW : 8.91 %
BAM.PR.M Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.71 %
BMO.PR.S FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.37 %
SLF.PR.H FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 7.68 %
TD.PR.Z FloatingReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 3.59 %
BAM.PR.B Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 4.18 %
CU.PR.D Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 22.24
Evaluated at bid price : 22.59
Bid-YTW : 5.41 %
BAM.PF.D Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 21.28
Evaluated at bid price : 21.56
Bid-YTW : 5.74 %
RY.PR.J FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.29 %
CU.PR.G Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.37 %
BMO.PR.Z Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 23.76
Evaluated at bid price : 24.10
Bid-YTW : 5.18 %
BMO.PR.Q FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.82
Bid-YTW : 5.46 %
BAM.PF.B FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 4.77 %
MFC.PR.B Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.81 %
NA.PR.S FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.36 %
TRP.PR.H FloatingReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 11.77
Evaluated at bid price : 11.77
Bid-YTW : 3.58 %
TRP.PR.D FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.44 %
TRP.PR.F FloatingReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.04 %
IAG.PR.G FixedReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.78 %
BAM.PR.R FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.00 %
FTS.PR.M FixedReset 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 4.23 %
CM.PR.Q FixedReset 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 21.43
Evaluated at bid price : 21.70
Bid-YTW : 4.23 %
GWO.PR.N FixedReset 1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.95
Bid-YTW : 9.67 %
TRP.PR.E FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.46 %
MFC.PR.M FixedReset 2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 6.24 %
TD.PF.D FixedReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 4.20 %
W.PR.J Perpetual-Discount 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 5.77 %
MFC.PR.G FixedReset 2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.87
Bid-YTW : 5.75 %
NA.PR.W FixedReset 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.30 %
TRP.PR.A FixedReset 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 4.59 %
PWF.PR.P FixedReset 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 14.07
Evaluated at bid price : 14.07
Bid-YTW : 4.47 %
MFC.PR.F FixedReset 2.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.71
Bid-YTW : 9.28 %
MFC.PR.J FixedReset 2.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.81
Bid-YTW : 6.16 %
TRP.PR.C FixedReset 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 4.53 %
HSE.PR.A FixedReset 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 13.94
Evaluated at bid price : 13.94
Bid-YTW : 4.88 %
MFC.PR.H FixedReset 3.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 5.30 %
BAM.PR.X FixedReset 3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 4.66 %
BAM.PR.G FixedFloater 5.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 25.00
Evaluated at bid price : 15.55
Bid-YTW : 5.35 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.M FixedReset 96,860 Scotia crossed 28,000 at 20.40; RBC crossed 39,700 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 6.24 %
BAM.PR.B Floater 56,793 TD crossed 32,300 at 11.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 4.18 %
CM.PR.Q FixedReset 51,617 Scotia crossed 42,500 at 21.60.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 21.43
Evaluated at bid price : 21.70
Bid-YTW : 4.23 %
PVS.PR.E SplitShare 48,600 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.37
Bid-YTW : 5.99 %
BMO.PR.S FixedReset 47,305 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.37 %
TRP.PR.E FixedReset 46,885 Scotia crossed 30,000 at 19.31.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.46 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.B FixedReset Quote: 12.70 – 13.50
Spot Rate : 0.8000
Average : 0.5240

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.33 %
VNR.PR.A FixedReset Quote: 20.35 – 21.05
Spot Rate : 0.7000
Average : 0.4684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.68 %
TD.PF.A FixedReset Quote: 19.52 – 19.99
Spot Rate : 0.4700
Average : 0.3230

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.24 %
NA.PR.Q FixedReset Quote: 24.76 – 25.09
Spot Rate : 0.3300
Average : 0.2074

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 3.66 %
RY.PR.N Perpetual-Discount Quote: 23.50 – 23.78
Spot Rate : 0.2800
Average : 0.1971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-04
Maturity Price : 23.09
Evaluated at bid price : 23.50
Bid-YTW : 5.20 %
TD.PR.Y FixedReset Quote: 24.01 – 24.50
Spot Rate : 0.4900
Average : 0.4123

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 3.81 %
Market Action

November 3, 2015

There is a lot of confusion about Bombardier valuation:

On Monday, Mr. Tyerman cut his rating on the beleaguered stock to “sell” from “hold” and slashed his one-year price target on the company’s subordinated voting Class B shares to $1.10 from $1.35.
…
On Tuesday, Mr. Tyerman grounded his previous call. His new target has soared to $1.40, with a restored, turbulence-free rating of “hold.” He’s still got a downside target on the stock should Canada invest, but it is now $1.20, not 60 cents.
…
The reason for his change of course? Mr. Tyerman credits a “revised view of how a possible Canadian federal government investment in the C Series could play out,” apparently based on subsequent discussions with Bombardier. The analyst’s previously published view was that if Canada matched Quebec, the two governments would own a combined 99 per cent of the airliner project, leaving just 1 per cent of the economics of the plane for existing investors to share, and missing out on most of the upside if the poor selling plane actually becomes popular. That was based on Quebec securing 49.5 per cent ownership of the C Series program as part of its investment.

But Mr. Tyerman’s revised view is that the company “will retain more of the C Series economics than in our previous target,” or a one-third economic interest even if Canada were to put in a full $1-billion.

Huh. So the valuation of the common has been improved because of some feeling that the feds are going to get taken to the cleaners. Well, I suppose that’s even better than simply bailing them out in the first place, eh? Still, trouble with the C Series has returned Bombardier to its core competency:

Bombardier Inc. has increased lobbying of Canada’s federal government to an eight-year high, reinforcing its Ottawa connections as officials there prepare to review whether to join Quebec in helping bail out the struggling CSeries jet.

Canada’s largest aerospace company communicated 50 times with federal officials since Jan. 1, more than any full year in records dating to 2007, according to the government’s lobbyist registry. The total for 2014 was 48.
…
“Government relations have historically been at the heart of what Bombardier does,” Louis Hebert, a management strategy professor at the HEC Montreal business school, said in a telephone interview. “They are returning to their traditional competitive advantage.”

Industry Minister James Moore and staff of the industry department were the most frequent points of contact for Bombardier representatives, with at least 21 reported communications this year, the data show. Bombardier officials also met International Trade Minister Ed Fast and Finance Minister Joe Oliver.

Bombardier also spent more time lobbying Prime Minister Stephen Harper’s office this year, the records show. The company communicated with officials from Harper’s office seven times this year, compared with three times in 2014 and once in 2013.

Meanwhile, all the other piggies at the trough are jostling for position as the slops come into view:

Before the first dime of public money is spent, a strong made-in-Canada supply policy needs to be firmly in place. Without that, new jobs will not be created and existing ones will not be preserved. That policy needs to be paired with a review of a domestic playing field that leaves many Canadian companies at a disadvantage to cheap, subsidized imports.

At the same time, the government needs to reinvigorate the federal steel caucus, including MPs from all ridings where steel is manufactured.

It should also introduce a mechanism that adjusts import levels based on domestic capacity utilization. When Canadian steel production falls below a certain threshold, companies would be stabilized by the trigger of variable duties.

The BCSC has announced a new way to spend money:

The British Columbia Securities Commission (BCSC) today released the Smarter Investor Study, national research that examines client-advisor relationships in Canada, and introduces a new lens for understanding how personality affects Canadians’ investment decisions.

“Our Smarter Investor Study identifies five personality types within our sample group – confident, diligent, impulsive, reserved, and tumultuous,” said Brenda Leong, Chair and CEO of the BCSC. “What we found is that your personality plays a role when it comes to how you invest, particularly when you work with an advisor,”

Investors can find out their own personality and how it impacts their investing decisions by taking the Smarter Investor Quiz.
…
One key finding reveals that while Canadians in general-investors and non-investors alike-index at 62 on the 100-point scale. Those who work with an advisor are at 70 out of 100.

Other key findings include:

  • •While 30% of Canadians 35 and older invest with an advisor, more than half are not sure what they pay and less than one in five knows how their advisor is paid or have never asked about compensation.
  • •Six in 10 Canadians (61%) who invest with an advisor say that they always read the statements they received.
  • •Less than half (46%) of Canadians who invest with an advisor report having checked into the advisor’s background before they began working with them.
  • •Of those who say they did a background check, slightly more than half (53%) checked their advisor’s registration.
  • •30% of Canadians 35 and older invest with an advisor. Of the 70% who do not, 19% are DIY investors (those who invest but do not work with an advisor). A further 52% do not have any investments.
  • •Investors recognize that they have responsibilities. The study asked which of various responsibilities investors believed were either wholly or partially theirs when working with an advisor. The highest agreement for any one item was 76% (asking questions), while only 40% agreed that doing independent research was a part of their responsibility.

Accoording to the full report, the research was undertaken by Innovative Research Group Inc. I looked at their website; they are very shy about identifying themselves:

Who we are

We come from the client’s side. We came to research because we needed it to help us achieve our goals and we remain focused on serving our clients’ needs first.

We’re team players. We build successful, long-term partnerships with our clients and guide them through the intricacies of research, strategy and problem solving.

The core INNOVATIVE team is composed of seasoned practitioners with a proven track record over a wide array of challenges, and dedicated specialists with a unique command of critical skills.

INNOVATIVE complements its core team through relationships with leading research academics and professionals, connecting our staff to the latest in research techniques.

That’s it. No names, no pack-drill, nothing. It is also of interest to learn that the Canada 2020 Panel important in the preparation of the paper is self-selected, at least in part.

I don’t see the point of this research, frankly, but I suppose it helps get rid of a little excess money.

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts up 25bp, FixedResets gaining 16bp and DeemedRetractibles off 5bp. The Performance Highlights table is again lengthy, indicating continued churn in the market. Volume was above average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

impVol_TRP_151103
Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.16 to be $0.57 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.80 cheap at its bid price of 13.20.

impVol_MFC_151103
Click for Big

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.35 to be 0.96 rich, while MFC.PR.F resetting at +141bp on 2016-6-19, is bid at 14.35 to be 0.69 cheap.

impVol_BAM_151103
Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.30 to be $1.40 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 20.65 and appears to be $1.62 rich.

impVol_FTS_151103
Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 18.90, looks $0.73 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.20 and is $0.46 cheap.

pairs_FR_151103
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.72%, with two outliers above 0.00% and none below -2.00%. The distribution is just barely bimodal, with bank NVCC non-compliant pairs averaging -0.53% and other issues averaging -0.71%; note that the relative values have reversed today! There are four junk outliers above 0.00% and one below -2.00%.

pairs_FR_151103
Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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 4.41 % 5.30 % 31,707 17.47 1 0.0000 % 1,762.3
FixedFloater 6.42 % 5.65 % 31,046 16.75 1 -1.3333 % 3,040.3
Floater 4.20 % 4.24 % 62,324 16.91 3 0.3568 % 1,880.2
OpRet 4.84 % 4.33 % 31,717 0.80 1 0.0000 % 2,719.7
SplitShare 4.76 % 5.87 % 160,811 2.92 5 0.2302 % 3,194.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2302 % 2,492.6
Perpetual-Premium 5.83 % 4.13 % 81,629 0.08 6 0.1729 % 2,491.0
Perpetual-Discount 5.56 % 5.66 % 82,551 14.40 33 0.2498 % 2,573.5
FixedReset 4.97 % 4.51 % 215,789 15.48 76 0.1624 % 2,058.2
Deemed-Retractible 5.19 % 5.18 % 110,591 5.44 34 -0.0544 % 2,574.6
FloatingReset 2.57 % 3.72 % 55,729 5.81 10 0.3601 % 2,176.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 4.57 %
BAM.PR.X FixedReset -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.83 %
SLF.PR.I FixedReset -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 6.30 %
MFC.PR.F FixedReset -1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.35
Bid-YTW : 9.61 %
MFC.PR.G FixedReset -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 6.04 %
GWO.PR.Q Deemed-Retractible -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 6.32 %
SLF.PR.J FloatingReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 9.49 %
SLF.PR.H FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.55
Bid-YTW : 7.83 %
IAG.PR.A Deemed-Retractible -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 6.47 %
BMO.PR.S FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.42 %
BAM.PR.G FixedFloater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 5.65 %
BMO.PR.T FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.39 %
TD.PR.Y FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 3.89 %
BAM.PR.B Floater -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 11.27
Evaluated at bid price : 11.27
Bid-YTW : 4.23 %
W.PR.J Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 23.66
Evaluated at bid price : 23.93
Bid-YTW : 5.90 %
MFC.PR.J FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.28
Bid-YTW : 6.50 %
MFC.PR.H FixedReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.32
Bid-YTW : 5.74 %
TD.PR.S FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.04
Bid-YTW : 3.61 %
SLF.PR.A Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.04
Bid-YTW : 6.58 %
FTS.PR.K FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.22 %
BNS.PR.B FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.62
Bid-YTW : 3.75 %
RY.PR.J FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.34 %
BIP.PR.A FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.26 %
CU.PR.I FixedReset 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.14 %
TRP.PR.E FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 4.54 %
MFC.PR.N FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 6.30 %
BAM.PR.K Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 11.23
Evaluated at bid price : 11.23
Bid-YTW : 4.25 %
TRP.PR.A FixedReset 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.70 %
VNR.PR.A FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.62 %
HSE.PR.E FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 21.99
Evaluated at bid price : 22.48
Bid-YTW : 5.01 %
BAM.PF.B FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.83 %
TRP.PR.D FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.52 %
RY.PR.M FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.29 %
CU.PR.H Perpetual-Discount 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 23.52
Evaluated at bid price : 23.84
Bid-YTW : 5.50 %
MFC.PR.L FixedReset 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 6.88 %
BAM.PR.T FixedReset 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.84 %
BAM.PF.E FixedReset 5.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset 81,211 Scotia crossed 25,000 at 19.63.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 4.16 %
RY.PR.J FixedReset 64,933 TD crossed 33,500 at 20.95.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.34 %
BMO.PR.Y FixedReset 63,845 TD crossed 35,000 at 21.70.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 21.50
Evaluated at bid price : 21.80
Bid-YTW : 4.18 %
TRP.PR.E FixedReset 60,840 Desjardins crossed 50,000 at 19.20.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 4.54 %
BNS.PR.Z FixedReset 51,230 TD crossed 39,400 at 20.40.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 5.86 %
RY.PR.H FixedReset 39,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.28 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Quote: 21.19 – 21.84
Spot Rate : 0.6500
Average : 0.4132

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 4.06 %
GWO.PR.Q Deemed-Retractible Quote: 23.16 – 23.83
Spot Rate : 0.6700
Average : 0.4602

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 6.32 %
MFC.PR.M FixedReset Quote: 20.13 – 20.98
Spot Rate : 0.8500
Average : 0.6448

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.13
Bid-YTW : 6.52 %
CU.PR.D Perpetual-Discount Quote: 22.33 – 22.80
Spot Rate : 0.4700
Average : 0.2846

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 22.05
Evaluated at bid price : 22.33
Bid-YTW : 5.48 %
FTS.PR.F Perpetual-Discount Quote: 22.40 – 22.95
Spot Rate : 0.5500
Average : 0.3653

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-03
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.55 %
BMO.PR.Q FixedReset Quote: 20.55 – 20.90
Spot Rate : 0.3500
Average : 0.2240

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 5.69 %
New Issues

New Issue: Two Series of RY Preferreds, USD, Issued As Merger Consideration

Royal Bank of Canada has announced:

it has completed the acquisition of City National Corporation (“City National”).
…
Based on the closing price on the New York Stock Exchange of RBC’s common shares on October 30, 2015 of US$ 56.83, the total transaction value is US$ 5.0 billion and will be paid with US$ 2.6 billion in cash and 41.6 million RBC common shares. In addition, RBC will issue US$ 275 million of RBC first preferred shares in exchange for all outstanding shares of City National preferred stock. The transaction is expected to reduce the Q1/2016 Common Equity Tier 1 ratio of RBC by approximately 70 basis points. RBC continues to forecast a strong capital position going forward.

There are two issues of City National preferreds that have been converted. The first is CYN.PRC, a 5.50% Straight Perpetual USD:

We will pay dividends on the Preferred Stock, when, as, and if declared by our board of directors or a duly authorized committee of the board. If declared, dividends will accrue and be payable on the liquidation preference amount, on a non-cumulative basis, from the date of issuance at a rate of 5.50% per annum, payable quarterly, in arrears. See also “Dividend Payment Dates” on page S-9. Upon the payment of any dividends on the Preferred Stock, holders of depositary shares will receive a related proportionate payment.

The second is CYN.PRD, a 6.75%+405.2 FixedFloater USD:

We will pay dividends on the Preferred Stock, when, as, and if declared by our board of directors or a duly authorized committee of the board, out of funds legally available to pay dividends, (i) from the date of issuance of the Preferred Stock to, but excluding November 7, 2023, at an annual rate of 6.750% on the liquidation preference amount of $1,000 per share of Preferred Stock, quarterly in arrears, on February 7, May 7, August 7 and November 7 of each year (each, a “dividend payment date”), beginning on February 7, 2014, and (ii) from, and including, November 7, 2023, at an annual rate equal to three-month LIBOR plus 4.052% on the liquidation preference amount of $1,000 per share of Preferred Stock, quarterly in arrears, on each dividend payment date, beginning on February 7, 2024. Upon the payment of any dividends on the Preferred Stock, holders of depositary shares will receive a related proportionate payment.

Neither new series is yet listed on RY’s preferred share page. If they are listed, they will be known as Series C-1 and Series C-2:

In addition, upon the consummation of the Merger, each outstanding share of City National’s 5.5% Non-Cumulative Perpetual Preferred Stock, Series C will be cancelled and RBC will issue to the former holder, in respect of each such outstanding share of preferred stock, one 5.50% Non-Cumulative Perpetual Preferred share, Series C-1 (“Series C-1 Preferred Share”) of RBC and each outstanding share of City National’s 6.75% Fixed Rate/Floating Rate Non-Cumulative Preferred Stock, Series D will be cancelled and RBC will issue to the former holder, in respect of each such outstanding share of preferred stock, one 6.75% Fixed Rate/Floating Rate Non-Cumulative Preferred Share, Series C-2 (“Series C-2 Preferred Share”) of RBC. In consideration for the issuance of Series C-1 Preferred Shares and Series C-2 Preferred Shares, Holdco will issue to RBC a number of shares in the capital stock of Holdco for each Series C-1 Preferred Share and Series C-2 Preferred Share, respectively, having a fair market value equal to the fair market value of a Series C-1 Preferred Share and a Series C-2 Preferred Share, respectively, on the date of issuance.

As is typical with take-overs, various matters of great pith and moment are not spelled out, but it appears that the new series C-1 and C-2 are not NVCC-compliant:

Conversion Rights. New RBC Preferred Shares are not convertible into or exchangeable for any other class or series of shares or securities of, or any other interests in, RBC.

In addition I can find no mention in RY’s definitive filing with the SEC a discussion of tax considerations for Canadian residents; there is no such description in any of the various attachments, either. However, given that DBRS has assigned a bond-style rating to these new series … :

DBRS Limited (DBRS) has today assigned a rating of A (low) with a Stable trend to Royal Bank of Canada’s (RBC or the Bank) 5.50% Non-Cumulative Perpetual First Preferred Shares, Series C-1 (Preferred Shares, Series C-1) and 6.750% Fixed Rate/Floating Rate Noncumulative Perpetual First Preferred Shares, Series C-2 (Preferred Shares, Series C-2).

RBC has closed its acquisition of City National Corporation (City National) and will issue $275 million of RBC First Preferred Shares in exchange for all outstanding shares of City National’s Preferred Stock. RBC will issue $175 million of Preferred Shares, Series C-1 and $100 million of Preferred Shares, Series C-2. These new RBC preferred shares rank pari passu with all existing preferred shares of the Bank.

… I strongly suspect that Canadian shareholders will not receive benefit of the Dividend Tax Credit and Gross-Up; i.e., that these things are preferred securities not, by my definition, preferred shares.

These things are listed on NASDAQ with the symbols RY.PRS and RY.PRT.

Market Action

November 2, 2015

The West’s fear of competition is leading for calls to recruit more Secret Policemen to enforce the laws of foreign countries:

Moving money in small increments to avoid reporting requirements is called “smurfing,” after the little blue cartoon characters who as small individuals constitute a larger whole. A record $194 billion exited China in September, according to a Bloomberg gauge estimating capital flows. The Chinese use numerous tactics to transfer money abroad, and smurfing is routine, with some of the cash flowing into overheated property markets in Vancouver, Hong Kong, New York and Sydney.

Now, as Chinese citizens bypass the country’s limit of converting $50,000 a person per year by enlisting friends, relatives and even employees to send out cash on their behalf, banks and regulators around the world are being forced to decide: Is it okay to knowingly allow Chinese citizens to evade their government’s controls if it doesn’t break your own country’s laws?

In Vancouver, a Supreme Court case showed that one lender, Canadian Imperial Bank of Commerce, had assisted such transactions. The case arose when a CIBC financial adviser allowed a wealthy Chinese client to route two deposits of $50,000 through her private accounts to buy a home, leading to the dismissal of the banker for “commingling” her own funds with her client’s.
..
Elsewhere in China, examples include a company that ordered employees to use their accounts to wire money to Canada for private property purchases, according to Christine Duhaime, a Canadian lawyer specializing in financial crime.

China’s rules are being “made a mockery of,” she said. “I wouldn’t do it if I ran the banks.”

Coming up next – banks will be put in charge of Canada’s efforts to stamp out Falun Gong. After all, if the Chinese government says something’s the right thing to do, how could it possibly be wrong? Another Bloomberg story illustrates other ways of getting money out of China, for those interested in a new career. However, it’s an an ill wind that blows nobody any good:

The Royal Bank of Canada scrapped an internal limit on mortgage-loan size for immigrants in the spring to tap into surging demand for financing on multi-million-dollar houses from newcomers to Vancouver.

Wealthy buyers, mostly from China, are fuelling a booming mortgage business in Vancouver, where the median price for a detached home in the desirable west side jumped 31 per cent to $2.87-million in the last two years.

RBC, Canada’s largest bank, removed its $1.25-million cap on loans to borrowers with no local credit history in May, said Christine Shisler, the bank’s director of multicultural markets, who works with an immigrant clientele.

“We’re seeing a lot of affluent newcomers looking to buy high purchase-price homes,” she said. “Now we can actually service any mortgage amount.”

Nevertheless, it’s clear that anti-money-laundering laws, foisted on a gullible public on the basis of Fighting Crime and Eliminating Terrorism, are actually being used as a non-tariff impediment to real-estate transactions. So what else is new?

Regulators in six provinces have announced a Finalized Offering Memorandum Exemption:

The following are some of the key investor protection measures included in the offering memorandum exemption:

  • •Non-reporting issuers will be required to, among other measures, provide investors with audited annual financial statements and an annual notice describing how the proceeds raised under the offering memorandum exemption were used.
  • •Any marketing materials will be required to be incorporated by reference in the offering memorandum so that they are subject to the same liability as the disclosure provided in the offering memorandum in the event of a misrepresentation.
  • •Individual investors relying on the offering memorandum exemption will be subject to investment limits in most cases.
  • •All investors will be required to sign a risk acknowledgement form.

The offering memorandum exemption was designed to facilitate capital-raising by allowing issuers to solicit investments from a wider range of investors than they would be able to under other prospectus exemptions, provided that certain conditions are met.

Provided all necessary ministerial approvals are obtained, the final amendments will come into force in Ontario on January 13, 2016 and in Alberta, New Brunswick, Nova Scotia, Québec and Saskatchewan on April 30, 2016.

The final amendments do not modify the OM exemption that exists in any CSA jurisdiction other than the participating jurisdictions.

The list of amendments to NI 45-106 notes:

The participating jurisdictions have adopted investment limits for both eligible and non-eligible investors that are individuals (other than those that qualify as accredited investors or under the family, friends and business associates exemption). These limits will not apply to non-individual investors, whether eligible or non-eligible. The final amendments permit a higher investment threshold for eligible investors when a portfolio manager, investment dealer or exempt market dealer has made a positive suitability assessment.

The investment limits will apply to all securities acquired under the OM exemption as follows:

  • • in the case of a non-eligible investor that is an individual, the acquisition cost of all securities acquired by the purchaser under the OM exemption in the preceding 12 months cannot exceed $10,000,
  • • in the case of an eligible investor that is an individual, the acquisition cost of all securities acquired by the purchaser under the OM exemption in the preceding 12 months cannot exceed $30,000, and
  • • in the case of an eligible investor that is an individual and that receives advice from a portfolio manager, investment dealer or exempt market dealer that the investment above $30,000 is suitable, the acquisition cost of all securities acquired by the purchaser under the OM exemption in the preceding 12 months cannot exceed $100,000.

I’m not sure whether there are any possible implications for Malachite Aggressive Preferred Fund, but you can bet I’ll be asking my lawyer! Davies Ward Phillips & Vineberg LLP comments:

The OM Exemption reflects a balancing of interests: issuers are provided with the opportunity to tap into a larger pool of investors, but must have in place the financial and human resources to prepare an offering memorandum and produce audited annual financial statements. For non-reporting issuers, the OM Exemption can best be thought of as a stepping stone to becoming a public company.

One impediment for non-reporting issuers is that the offering memorandum and marketing materials filed with the Ontario Securities Commission will be publicly filed and therefore available to all of the issuer’s employees, customers, suppliers and competitors. In addition, small, early-stage issuers may not find the OM Exemption attractive due to the costs associated with preparing an offering memorandum and audited financial statements, ongoing disclosure obligations and potentially being designated as a market participant.

Reporting issuers, particularly junior issuers, may find the OM Exemption to be a cheaper and less time-consuming alternative to a prospectus offering.

The OM Exemption does not limit or affect the availability to issuers of other prospectus exemptions, such as the accredited investor or minimum amount exemptions.

Time will tell whether the OM Exemption is adopted and accepted by the capital markets. Although using the OM Exemption could help smaller issuers tap into a larger market, it comes at a cost that may be too high for some issuers to entertain.

I’ll be most interested in reading a comparison between this regime and the SEC’s crowdfunding initiative discussed on October 30; if anybody sees such a thing, be sure to let me know!

It would seem that the Fed’s proposed rules on ‘bail-in’ capital (discussed October 30) may well have the intended effect, according to S&P:

  • •Following the release last week of the Federal Reserve’s notice of proposed rulemaking, Standard & Poor’s is reviewing the resolution regime for U.S. banks to consider its effectiveness and impact on our ratings.
  • •We expect the outcome of the review will be that extraordinary government support will no longer be factored into the ratings on the eight U.S. global systemically important banks (GSIBs) and that this will result in lower ratings on these banks’ nonoperating holding companies (NOHCs). As a result, we are placing on CreditWatch with negative implications our NOHC ratings on the U.S. GSIBs: Bank of America Corp., Bank of New York Mellon Corp., Citigroup Inc., JPMorgan Chase & Co., Morgan Stanley, State Street Corp., The Goldman Sachs Group, and Wells Fargo & Co.
  • •But, due to the construct of the U.S. resolution regime, in which NOHC creditors could ultimately provide capital support to the operating entity, we are taking no negative actions on these banks’ operating entities, and, on certain banks taking positive rating actions, despite
    the likely removal of extraordinary government support.

  • •As part of our review of the U.S. resolution regime, we are also
    reviewing our current treatment of nondeferrable subordinated debt (NDSD) in the U.S. and considering whether it can absorb losses in advance of an entity’s nonviability or as part of a resolution without senior unsecured creditors being in default. A change in our treatment of NDSD would extend to all rated U.S. banks, and not just the GSIBs, but would have
    limited ratings impact

It was a mixed day for the Canadian preferred share market, with PerptualDiscounts off 10bp, FixedResets down 71bp and DeemedRetractibles gaining 1bp. MFC FixedResets were prominent on the bad side of a lengthy Performance Highlights table. Volume was a touch on the low side.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

impVol_TRP_151102
Click for Big

TRP.PR.B, which resets 2020-6-30 at +128, is bid at 12.90 to be $0.54 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.52 cheap at its bid price of 13.31.

impVol_MFC_151102
Click for Big

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.07 to be 0.63 rich, while MFC.PR.I resetting at +286bp on 2017-9-19, is bid at 21.28 to be 0.42 cheap.

impVol_BAM_151102
Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.26 to be $1.27 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 21.01 and appears to be $0.70 rich.

impVol_FTS_151102
Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 18.70, looks $0.58 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.30 and is $0.31 cheap.

pairs_FR_151102
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.72%, with one outlier above 0.00% and one below -2.00%. The distribution is just barely bimodal, with bank NVCC non-compliant pairs averaging -0.84% and other issues averaging -0.51%. There are four junk outliers above 0.00% and one below -2.00%.

pairs_FF_151102
Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

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 1 1.5705 % 1,762.3
FixedFloater 0.00 % 0.00 % 0 0.00 1 1.5705 % 3,081.3
Floater 4.21 % 4.27 % 61,610 16.84 3 1.5705 % 1,873.5
OpRet 0.00 % 0.00 % 0 0.00 1 0.0000 % 2,719.7
SplitShare 4.77 % 5.95 % 163,399 2.92 5 0.0000 % 3,187.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,486.8
Perpetual-Premium 5.84 % 5.78 % 84,579 2.73 6 -0.0665 % 2,486.7
Perpetual-Discount 5.56 % 5.69 % 81,763 14.35 33 -0.1021 % 2,567.1
FixedReset 4.97 % 4.47 % 212,285 15.43 76 -0.7121 % 2,054.9
Deemed-Retractible 5.19 % 5.60 % 110,366 5.44 34 0.0099 % 2,576.0
FloatingReset 2.58 % 3.82 % 56,415 5.81 10 -0.1028 % 2,168.5
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -4.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.04 %
MFC.PR.L FixedReset -4.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.94
Bid-YTW : 7.17 %
HSE.PR.A FixedReset -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.04 %
HSE.PR.G FixedReset -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 22.18
Evaluated at bid price : 22.80
Bid-YTW : 4.91 %
MFC.PR.N FixedReset -2.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.07
Bid-YTW : 6.48 %
HSE.PR.E FixedReset -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 21.74
Evaluated at bid price : 22.10
Bid-YTW : 5.10 %
TD.PR.Y FixedReset -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 3.67 %
HSE.PR.C FixedReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 21.28
Evaluated at bid price : 21.56
Bid-YTW : 4.84 %
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 : 20.15
Bid-YTW : 6.50 %
FTS.PR.K FixedReset -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.26 %
MFC.PR.J FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.36 %
NA.PR.W FixedReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 4.37 %
BAM.PR.X FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 4.71 %
NA.PR.S FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.41 %
TD.PF.C FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 4.30 %
MFC.PR.H FixedReset -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 5.59 %
VNR.PR.A FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 4.70 %
TRP.PR.E FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.60 %
BAM.PR.R FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.09 %
BMO.PR.T FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.33 %
RY.PR.M FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.37 %
BMO.PR.W FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 4.37 %
TRP.PR.F FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 4.11 %
MFC.PR.B Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.27
Bid-YTW : 6.99 %
TRP.PR.D FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 4.60 %
IFC.PR.C FixedReset -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.69
Bid-YTW : 7.56 %
CU.PR.D Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 22.18
Evaluated at bid price : 22.51
Bid-YTW : 5.52 %
BNS.PR.D FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 5.75 %
TD.PF.B FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.29 %
BAM.PR.G 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 5.57 %
GWO.PR.R Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.47 %
CU.PR.C FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 4.04 %
TRP.PR.C FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 4.61 %
BAM.PR.E 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 25.00
Evaluated at bid price : 15.50
Bid-YTW : 5.30 %
BAM.PR.C Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 4.27 %
IAG.PR.G FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.93 %
TRP.PR.H FloatingReset 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 3.64 %
BAM.PR.B Floater 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 4.18 %
MFC.PR.F FixedReset 4.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.37 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset 77,983 Nesbitt crossed blocks of 31,800 and 35,000, both at 19.37.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.36 %
RY.PR.Z FixedReset 67,389 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.18 %
RY.PR.H FixedReset 46,951 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 4.27 %
BAM.PR.B Floater 36,348 TD crossed 13,500 at 11.30.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 4.18 %
PVS.PR.E SplitShare 33,090 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 5.95 %
BAM.PF.H FixedReset 29,961 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.80 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 11.06 – 11.76
Spot Rate : 0.7000
Average : 0.4775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 11.06
Evaluated at bid price : 11.06
Bid-YTW : 4.31 %
BAM.PF.E FixedReset Quote: 19.51 – 20.47
Spot Rate : 0.9600
Average : 0.7715

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.79 %
TRP.PR.G FixedReset Quote: 21.75 – 22.26
Spot Rate : 0.5100
Average : 0.3505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 4.47 %
FTS.PR.H FixedReset Quote: 14.13 – 14.59
Spot Rate : 0.4600
Average : 0.3666

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 14.13
Evaluated at bid price : 14.13
Bid-YTW : 4.29 %
CU.PR.F Perpetual-Discount Quote: 21.14 – 21.60
Spot Rate : 0.4600
Average : 0.3774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.42 %
NA.PR.W FixedReset Quote: 19.02 – 19.34
Spot Rate : 0.3200
Average : 0.2378

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-11-02
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 4.37 %