April PrefLetter Released!

April 12th, 2016

The April, 2016, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

The regular appendices reporting on DeemedRetractibles and FixedResets are included.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the April, 2016, issue, while the “Next Edition” will be the May, 2016, issue, scheduled to be prepared as of the close May 13 and eMailed to subscribers prior to market-opening on May 16.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

So cross your fingers!

Posted in PrefLetter | No Comments »

April PrefLetter To Be Delayed

April 11th, 2016

Regrettably, publication of the April PrefLetter will be delayed by one day.

The very large size of the publication has imposed a very tight production schedule on the newsletter and a few mechanical problems have forced a pause in the preparation of the material.

Posted in PrefLetter | No Comments »

CF.PR.A, CF.PR.C on Trend-Negative by DBRS

April 8th, 2016

DBRS has announced that it:

has today confirmed its rating of the Cumulative Preferred Shares of Canaccord Genuity Group Inc. (Canaccord Genuity or the Company) at Pfd-3 (low). The trend has been revised to Negative from Stable.
…
The Negative trend reflects the significant headwinds facing the Company, which are driving weak results and low returns. While Canaccord Genuity’s variable expense structure is an important factor underpinning its solid expense control, results were notably weak 9M 2016, resulting in an inability to reduce compensation commensurately. DBRS views this as appropriate from a franchise perspective, given the Company’s need to retain and attract top talent. The challenge is balancing the need to generate returns and grow capital through retained earnings, which continue to be significantly challenged, while continuing to invest in the franchise. DBRS expects that the Company’s earnings will remain significantly pressured over the near to medium term.

Signs of sustained earnings deterioration would likely add negative rating pressure, particularly if capital levels continue to be eroded. Increased pressure on the Company’s cash flows could also pressure the rating. Furthermore, as with all broker-dealers, any significant reputational issues would likely pressure ratings. On the other hand, further franchise diversification that contributes to sustained and improving earnings trends across businesses would provide support to the current rating level.

The trend was assessed as Negative in 2011, then revised to Stable in 2014.

Posted in Issue Comments | No Comments »

April 8, 2016

April 8th, 2016

RioCan REIT, proud issuer of REI.PR.C, has been confirmed at Pfd-3 by DBRS:

DBRS Limited (DBRS) has today confirmed RioCan Real Estate Investment Trust’s (RioCan or the Trust) Senior Unsecured Debentures rating and Senior Unsecured Debentures, Series I rating at BBB (high) and its Preferred Trust Units rating at Pfd-3 (high), all with Stable trends. The confirmation of the ratings consider RioCan’s recently announced U.S. portfolio sale (the Transaction; see DBRS press release dated December 21, 2015) and plan to use proceeds from the Transaction to temporarily reduce debt.
…
Proceeds from the Transaction are expected to mainly pay down debt, which should temporarily improve key financial metrics to levels that are better placed within the BBB (high) rating category.

DBRS, however, expects the Trust will use this additional financial capacity to fund its substantial development pipeline with a higher proportion of debt than equity. As at Q4 2015, RioCan’s active development pipeline totalled approximately $1.6 billion in projected construction costs, including near-term leased projects of approximately $184 million before the end of 2016 (at RioCan’s share). DBRS believes the Trust will primarily use debt financing to fund these developments in the near to medium term, which should bring key financial metrics to lower levels, albeit still commensurate with the BBB (high) rating category.

DBRS believes a positive rating action could occur if RioCan increases the size of its portfolio, reduces its geographic concentration and improves EBITDA interest coverage (including capitalized interest) above 3.0 times (x), bringing the Trust to levels more consistent with the A (low) rating category. A negative rating action could occur if RioCan experiences any development mishaps, lower rents and/or tenant departures causing EBITDA interest coverage to fall below 2.3x on a sustained basis.

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 4.74 % 5.76 % 9,789 16.96 1 1.7857 % 1,658.0
FixedFloater 6.73 % 5.92 % 20,380 16.38 1 0.0000 % 2,952.9
Floater 4.58 % 4.71 % 59,259 16.06 4 -0.6256 % 1,691.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2509 % 2,798.1
SplitShare 4.73 % 5.08 % 92,421 1.59 6 -0.2509 % 3,274.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2509 % 2,554.8
Perpetual-Premium 5.79 % -12.54 % 91,116 0.09 6 0.1914 % 2,587.5
Perpetual-Discount 5.54 % 5.57 % 93,672 14.57 33 0.0905 % 2,633.7
FixedReset 5.11 % 4.53 % 180,796 14.06 87 0.4192 % 1,994.5
Deemed-Retractible 5.17 % 5.39 % 124,330 5.10 34 0.1228 % 2,637.3
FloatingReset 3.07 % 4.78 % 35,476 5.39 17 1.1894 % 2,068.7
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 4.53 %
TRP.PR.E FixedReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.26 %
TD.PF.D FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.34 %
CIU.PR.C FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.64 %
IFC.PR.C FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 7.83 %
IAG.PR.G FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 6.75 %
PWF.PR.T FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 3.84 %
BNS.PR.D FloatingReset -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.11 %
IFC.PR.A FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 10.05 %
MFC.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 7.06 %
TD.PR.S FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 4.14 %
MFC.PR.I FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.22
Bid-YTW : 6.68 %
CCS.PR.C Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 6.89 %
TD.PR.T FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 4.78 %
TRP.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 4.59 %
BAM.PF.G FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.54 %
BNS.PR.R FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 4.34 %
BNS.PR.Q FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 4.39 %
MFC.PR.H FixedReset 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.03
Bid-YTW : 6.36 %
VNR.PR.A FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.03 %
MFC.PR.K FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.03
Bid-YTW : 7.68 %
HSE.PR.G FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.63 %
BNS.PR.F FloatingReset 1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.81
Bid-YTW : 7.04 %
GWO.PR.O FloatingReset 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.25
Bid-YTW : 10.93 %
FTS.PR.K FixedReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.25 %
BAM.PR.E Ratchet 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 5.76 %
SLF.PR.J FloatingReset 2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.71
Bid-YTW : 10.60 %
TRP.PR.F FloatingReset 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 12.58
Evaluated at bid price : 12.58
Bid-YTW : 4.74 %
TRP.PR.C FixedReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.43 %
HSE.PR.B FloatingReset 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 9.85
Evaluated at bid price : 9.85
Bid-YTW : 5.58 %
TD.PF.A FixedReset 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.05 %
BAM.PR.Z FixedReset 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.84 %
FTS.PR.G FixedReset 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.35 %
TRP.PR.H FloatingReset 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.25 %
FTS.PR.M FixedReset 4.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.37 %
HSE.PR.C FixedReset 5.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.73 %
PWF.PR.Q FloatingReset 5.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 4.23 %
TRP.PR.I FloatingReset 7.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 4.38 %
MFC.PR.L FixedReset 8.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.G FixedReset 45,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.52 %
RY.PR.Q FixedReset 43,399 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 4.56 %
RY.PR.H FixedReset 33,731 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.06 %
VNR.PR.A FixedReset 30,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.03 %
BAM.PF.H FixedReset 28,033 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 4.14 %
FTS.PR.M FixedReset 23,638 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.37 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Q FixedReset Quote: 19.36 – 19.99
Spot Rate : 0.6300
Average : 0.3991

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.36
Bid-YTW : 6.84 %
SLF.PR.H FixedReset Quote: 15.76 – 16.34
Spot Rate : 0.5800
Average : 0.3845

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.76
Bid-YTW : 9.16 %
VNR.PR.A FixedReset Quote: 17.86 – 18.44
Spot Rate : 0.5800
Average : 0.3887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.03 %
CIU.PR.C FixedReset Quote: 11.25 – 12.24
Spot Rate : 0.9900
Average : 0.8246

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-08
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.64 %
GWO.PR.F Deemed-Retractible Quote: 25.41 – 25.75
Spot Rate : 0.3400
Average : 0.2058

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-08
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -12.17 %
BNS.PR.Y FixedReset Quote: 20.06 – 20.49
Spot Rate : 0.4300
Average : 0.3098

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.06
Bid-YTW : 5.83 %

Posted in Market Action | No Comments »

April 7, 2016

April 8th, 2016

Just the bare bones again … but today’s results have them partying!

dancingBareBones
Click for Big
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 4.83 % 5.87 % 9,916 16.84 1 3.7037 % 1,628.9
FixedFloater 6.73 % 5.92 % 21,190 16.38 1 0.7857 % 2,952.9
Floater 4.55 % 4.68 % 59,682 16.12 4 0.7515 % 1,702.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0761 % 2,805.2
SplitShare 4.72 % 5.05 % 89,326 1.59 6 0.0761 % 3,282.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0761 % 2,561.2
Perpetual-Premium 5.80 % -10.00 % 90,912 0.08 6 0.0594 % 2,582.5
Perpetual-Discount 5.55 % 5.58 % 95,016 14.57 33 0.4800 % 2,631.3
FixedReset 5.13 % 4.56 % 182,421 13.58 87 2.0877 % 1,986.2
Deemed-Retractible 5.18 % 5.32 % 123,544 5.10 34 0.4161 % 2,634.1
FloatingReset 3.09 % 4.89 % 36,244 5.40 17 1.3028 % 2,044.4
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset -3.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.25
Bid-YTW : 8.41 %
PWF.PR.A Floater -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 4.27 %
TRP.PR.I FloatingReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 4.67 %
BNS.PR.Q FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 4.63 %
SLF.PR.A Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 6.35 %
BAM.PF.C Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.91 %
TD.PF.A FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.15 %
RY.PR.K FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 4.54 %
BNS.PR.B FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.31
Bid-YTW : 5.09 %
VNR.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.09 %
BNS.PR.A FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 3.99 %
TD.PR.Y FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 3.95 %
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 : 21.59
Bid-YTW : 6.81 %
RY.PR.J FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.36 %
CU.PR.F Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.48 %
BAM.PR.R FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 4.89 %
BAM.PR.B Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 10.12
Evaluated at bid price : 10.12
Bid-YTW : 4.70 %
SLF.PR.B Deemed-Retractible 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 6.31 %
CU.PR.E Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 22.17
Evaluated at bid price : 22.46
Bid-YTW : 5.51 %
CU.PR.G Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.49 %
NA.PR.S FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.29 %
CU.PR.D Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 22.23
Evaluated at bid price : 22.54
Bid-YTW : 5.49 %
MFC.PR.H FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.54 %
CIU.PR.C FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 4.55 %
SLF.PR.E Deemed-Retractible 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.96
Bid-YTW : 7.04 %
BNS.PR.R FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 4.58 %
SLF.PR.C Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 7.03 %
SLF.PR.D Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 7.06 %
FTS.PR.H FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 4.21 %
HSE.PR.G FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.71 %
SLF.PR.J FloatingReset 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.45
Bid-YTW : 10.86 %
BMO.PR.Y FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.20 %
BIP.PR.A FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.60 %
BAM.PR.C Floater 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 10.07
Evaluated at bid price : 10.07
Bid-YTW : 4.72 %
TD.PF.D FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.25 %
IFC.PR.A FixedReset 2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.85
Bid-YTW : 9.89 %
TRP.PR.H FloatingReset 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.37 %
FTS.PR.G FixedReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.47 %
RY.PR.M FixedReset 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.32 %
SLF.PR.H FixedReset 2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.85
Bid-YTW : 9.07 %
BAM.PR.K Floater 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 10.17
Evaluated at bid price : 10.17
Bid-YTW : 4.68 %
SLF.PR.G FixedReset 2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.65
Bid-YTW : 10.14 %
MFC.PR.G FixedReset 2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 7.19 %
RY.PR.I FixedReset 2.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 4.18 %
SLF.PR.I FixedReset 2.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.48 %
BAM.PF.A FixedReset 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 4.79 %
BNS.PR.Y FixedReset 2.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 5.65 %
BMO.PR.M FixedReset 2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 4.00 %
GWO.PR.O FloatingReset 2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.05
Bid-YTW : 11.13 %
BNS.PR.P FixedReset 2.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 3.52 %
PWF.PR.S Perpetual-Discount 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 21.83
Evaluated at bid price : 22.19
Bid-YTW : 5.40 %
NA.PR.W FixedReset 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 4.29 %
BAM.PF.G FixedReset 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 4.59 %
MFC.PR.I FixedReset 2.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 6.83 %
RY.PR.Z FixedReset 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.03 %
MFC.PR.K FixedReset 3.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 7.89 %
BAM.PF.E FixedReset 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 4.60 %
BAM.PF.B FixedReset 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 4.76 %
BAM.PR.X FixedReset 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 14.93
Evaluated at bid price : 14.93
Bid-YTW : 4.41 %
HSE.PR.E FixedReset 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.70 %
BAM.PF.F FixedReset 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.62 %
CU.PR.C FixedReset 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.37 %
RY.PR.H FixedReset 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 4.07 %
CM.PR.P FixedReset 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.07 %
CM.PR.O FixedReset 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.06 %
TD.PF.C FixedReset 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 4.04 %
BNS.PR.F FloatingReset 3.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.33 %
TD.PF.B FixedReset 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 4.05 %
FTS.PR.K FixedReset 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.31 %
BNS.PR.D FloatingReset 3.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.56
Bid-YTW : 6.88 %
BAM.PR.E Ratchet 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 5.87 %
MFC.PR.J FixedReset 3.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.42
Bid-YTW : 6.97 %
BNS.PR.Z FixedReset 3.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.67
Bid-YTW : 5.57 %
IFC.PR.C FixedReset 3.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.34
Bid-YTW : 7.63 %
IAG.PR.G FixedReset 4.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 6.57 %
MFC.PR.N FixedReset 4.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 6.60 %
BMO.PR.S FixedReset 4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.06 %
BMO.PR.W FixedReset 4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.08 %
BMO.PR.T FixedReset 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.06 %
MFC.PR.M FixedReset 4.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 6.56 %
FTS.PR.I FloatingReset 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 4.31 %
TRP.PR.C FixedReset 4.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 12.38
Evaluated at bid price : 12.38
Bid-YTW : 4.53 %
TRP.PR.B FixedReset 6.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.21 %
PWF.PR.T FixedReset 6.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 3.79 %
TRP.PR.D FixedReset 7.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 4.33 %
TRP.PR.G FixedReset 7.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.56 %
TRP.PR.E FixedReset 7.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.17 %
HSE.PR.A FixedReset 8.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 10.88
Evaluated at bid price : 10.88
Bid-YTW : 5.60 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.H FixedReset 153,518 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 4.36 %
RY.PR.Z FixedReset 94,935 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.03 %
RY.PR.Q FixedReset 85,420 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 4.56 %
RY.PR.H FixedReset 76,771 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 4.07 %
RY.PR.J FixedReset 71,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.36 %
TD.PF.C FixedReset 70,871 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 4.04 %
There were 74 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 11.45 – 18.00
Spot Rate : 6.5500
Average : 4.1970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 4.45 %
TD.PR.T FloatingReset Quote: 21.30 – 25.24
Spot Rate : 3.9400
Average : 2.2062

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 4.99 %
MFC.PR.L FixedReset Quote: 17.25 – 19.16
Spot Rate : 1.9100
Average : 1.1784

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.25
Bid-YTW : 8.41 %
FTS.PR.M FixedReset Quote: 18.55 – 19.85
Spot Rate : 1.3000
Average : 0.7553

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.57 %
RY.PR.K FloatingReset Quote: 22.25 – 24.00
Spot Rate : 1.7500
Average : 1.2890

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 4.54 %
HSE.PR.C FixedReset Quote: 16.58 – 17.77
Spot Rate : 1.1900
Average : 0.7364

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-07
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 6.04 %

Posted in Market Action | No Comments »

MAPF Tax Slips To Be Reissued

April 7th, 2016

An error with the 2015 tax slips recently sent to clients for Malachite Aggressive Preferred Fund has come to my attention: the amounts filled in for Box 50 (Taxable amount of eligible dividends) and Box 51 (Dividend tax credit for eligible dividends) are incorrect.

Replacement slips will be sent to clients shortly. In the interim:

Box 49 (Actual amount of eligible dividends) is correct

Box 50 (Taxable amount of eligible dividends) should be 1.38 times the amount shown in Box 49

Box 51 (Dividend tax credit for eligible dividends) should be 15.0198% of the amount in box 50.

Although the error is my responsibility, I confess to some surprise that the CRA “Web Forms” application with which the slips were prepared did not catch the error.

Posted in MAPF | No Comments »

April 6, 2016

April 6th, 2016

Just the bare bones again! Hopefully I’ll have caught up with all my overdue things in the near future!

PerpetualDiscounts now have a yield of 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, unchanged from the March 30 figure.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 5.01 % 6.09 % 10,310 16.57 1 0.7463 % 1,570.7
FixedFloater 6.79 % 5.97 % 21,895 16.33 1 0.0000 % 2,929.8
Floater 4.58 % 4.76 % 60,412 15.98 4 0.4383 % 1,689.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0068 % 2,803.0
SplitShare 4.73 % 5.06 % 88,979 1.60 6 -0.0068 % 3,280.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0068 % 2,559.3
Perpetual-Premium 5.80 % -9.27 % 92,281 0.08 6 0.4702 % 2,581.0
Perpetual-Discount 5.57 % 5.58 % 95,674 14.49 33 0.1455 % 2,618.8
FixedReset 5.23 % 4.65 % 181,452 14.01 87 0.5733 % 1,945.6
Deemed-Retractible 5.20 % 5.44 % 123,630 5.10 34 -0.0374 % 2,623.2
FloatingReset 3.13 % 5.02 % 35,896 5.40 17 -0.0658 % 2,018.1
Performance Highlights
Issue Index Change Notes
GWO.PR.O FloatingReset -2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.75
Bid-YTW : 11.47 %
BIP.PR.A FixedReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 5.70 %
HSE.PR.A FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 6.05 %
PWF.PR.Q FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 4.49 %
PVS.PR.D SplitShare -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.90 %
BAM.PR.Z FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.01 %
MFC.PR.I FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.22 %
RY.PR.H FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.21 %
TD.PF.C FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.18 %
TD.PF.A FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.20 %
FTS.PR.M FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.58 %
IFC.PR.C FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.65
Bid-YTW : 8.17 %
PWF.PR.A Floater 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 4.19 %
CIU.PR.C FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.62 %
NA.PR.W FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.44 %
BMO.PR.T FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.25 %
BAM.PF.F FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 4.77 %
BAM.PR.R FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 4.95 %
BAM.PR.X FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 14.47
Evaluated at bid price : 14.47
Bid-YTW : 4.55 %
TRP.PR.B FixedReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 11.27
Evaluated at bid price : 11.27
Bid-YTW : 4.49 %
BAM.PF.E FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.75 %
NA.PR.S FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 4.37 %
TD.PF.E FixedReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 4.34 %
FTS.PR.K FixedReset 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 4.48 %
MFC.PR.G FixedReset 2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.96
Bid-YTW : 7.52 %
HSE.PR.G FixedReset 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.81 %
TRP.PR.C FixedReset 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 4.75 %
FTS.PR.H FixedReset 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 4.28 %
TD.PF.D FixedReset 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.X FixedReset 132,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.59 %
CU.PR.G Perpetual-Discount 123,485 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 5.56 %
MFC.PR.O FixedReset 112,070 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 4.75 %
FTS.PR.M FixedReset 83,673 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.58 %
CM.PR.P FixedReset 68,887 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.22 %
SLF.PR.G FixedReset 60,920 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.35
Bid-YTW : 10.45 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Quote: 17.90 – 18.49
Spot Rate : 0.5900
Average : 0.3762

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 7.88 %
BMO.PR.T FixedReset Quote: 18.50 – 19.00
Spot Rate : 0.5000
Average : 0.3644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.25 %
TD.PF.B FixedReset Quote: 18.55 – 18.95
Spot Rate : 0.4000
Average : 0.2682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.20 %
HSE.PR.A FixedReset Quote: 10.06 – 10.50
Spot Rate : 0.4400
Average : 0.3113

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 6.05 %
TD.PF.A FixedReset Quote: 18.60 – 18.95
Spot Rate : 0.3500
Average : 0.2371

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.20 %
TRP.PR.D FixedReset Quote: 17.35 – 17.61
Spot Rate : 0.2600
Average : 0.1590

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-06
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.65 %

Posted in Market Action | 3 Comments »

April 5, 2016

April 5th, 2016

Just bare bones again, I’m afraid!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 5.05 % 6.13 % 10,731 16.52 1 -0.8876 % 1,559.1
FixedFloater 6.79 % 5.97 % 22,151 16.33 1 -0.0714 % 2,929.8
Floater 4.60 % 4.76 % 60,824 15.97 4 -0.8450 % 1,682.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,803.2
SplitShare 4.73 % 5.28 % 90,368 1.60 6 0.0000 % 3,280.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,559.4
Perpetual-Premium 5.77 % -2.44 % 86,435 0.08 6 -0.0263 % 2,568.9
Perpetual-Discount 5.56 % 5.61 % 96,991 14.42 33 -0.0627 % 2,615.0
FixedReset 5.25 % 4.66 % 183,586 13.81 87 -0.0299 % 1,934.5
Deemed-Retractible 5.20 % 5.29 % 123,752 5.11 34 -0.1492 % 2,624.2
FloatingReset 3.13 % 5.00 % 36,295 5.39 17 -0.0905 % 2,019.5
Performance Highlights
Issue Index Change Notes
HSE.PR.B FloatingReset -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 5.76 %
TRP.PR.B FixedReset -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 4.56 %
GWO.PR.N FixedReset -2.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.17
Bid-YTW : 10.49 %
TD.PF.D FixedReset -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 4.50 %
TRP.PR.C FixedReset -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 11.47
Evaluated at bid price : 11.47
Bid-YTW : 4.89 %
FTS.PR.H FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.42 %
BAM.PR.K Floater -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 9.93
Evaluated at bid price : 9.93
Bid-YTW : 4.79 %
HSE.PR.G FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.97 %
IFC.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.42
Bid-YTW : 10.30 %
BMO.PR.Y FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.28 %
MFC.PR.G FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.85 %
RY.PR.K FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 4.75 %
BMO.PR.M FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 4.41 %
BAM.PR.C Floater -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.80 %
MFC.PR.L FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.78
Bid-YTW : 7.98 %
TD.PR.S FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 4.24 %
TRP.PR.A FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.67 %
BNS.PR.Z FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.42 %
FTS.PR.F Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 5.42 %
TRP.PR.F FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 4.82 %
PWF.PR.Q FloatingReset 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.43 %
BNS.PR.Y FixedReset 2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 6.20 %
MFC.PR.K FixedReset 2.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.40
Bid-YTW : 8.16 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.G FixedReset 218,289 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 4.62 %
BNS.PR.G FixedReset 214,613 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 4.59 %
RY.PR.H FixedReset 52,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 4.26 %
RY.PR.Q FixedReset 36,355 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 4.72 %
BMO.PR.Q FixedReset 30,664 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 6.88 %
MFC.PR.O FixedReset 24,327 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.72 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 11.50 – 15.00
Spot Rate : 3.5000
Average : 2.2937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.43 %
GWO.PR.O FloatingReset Quote: 12.02 – 13.50
Spot Rate : 1.4800
Average : 1.0756

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.02
Bid-YTW : 11.16 %
BAM.PR.E Ratchet Quote: 13.40 – 14.40
Spot Rate : 1.0000
Average : 0.7945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 6.13 %
BNS.PR.A FloatingReset Quote: 22.82 – 23.44
Spot Rate : 0.6200
Average : 0.4438

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.82
Bid-YTW : 4.17 %
TD.PF.D FixedReset Quote: 19.84 – 20.40
Spot Rate : 0.5600
Average : 0.3848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-05
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 4.50 %
RY.PR.K FloatingReset Quote: 22.00 – 22.85
Spot Rate : 0.8500
Average : 0.6999

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 4.75 %

Posted in Market Action | No Comments »

New Split Corp., New Issue In Works

April 4th, 2016

Marketting has begun for Global Resource Champions Split Corp.

A red-herring prospectus has been filed on SEDAR (Global Resource Champions Split Corp. Mar 31 2016 17:49:50 ET Preliminary long form prospectus – English PDF 400 K )

It’s another Brookfield move to gain leverage:

Global Resource Champions Split Corp. (the “Company”) is a mutual fund corporation established under the laws of the Province of Ontario. This prospectus qualifies the distribution the “Offering”) of Class A Preferred Shares, Series 1 (the “Series 1 Shares”) of the Company.

The Company’s investment objectives with respect to the Series 1 Shares are:
(a) to provide holders of Series 1 Shares with fixed cumulative preferential quarterly cash distributions in the amount of $ per Series 1 Share to yield % per annum on the original issue price of the Series 1 Shares; and
(b) on or about May 25, 2023 (the “Final Series 1 Redemption Date”), to pay the holders of Series 1 Shares the original issue price of $25.00 per share, through the redemption of each Series 1 Share held on the Final Series 1 Redemption Date.

The Company was created to invest in a diversified portfolio (the “Portfolio”) of large capitalization resource companies that Brookfield Investment Management (Canada) Inc. (the “Manager”) believes are best in class. The Company will invest in the Portfolio in order to generate fixed cumulative quarterly cash distributions for holders of the Company’s preferred shares (the “Preferred Shares”) and to enable the holders of the Company’s capital shares (the “Capital Shares”) to participate in any capital appreciation in the securities that comprise the Portfolio (the “Portfolio Securities”). Under normal market conditions, the Portfolio will be comprised primarily of equity securities. See “Investment Objectives”.

The Series 1 Shares have been provisionally rated Pfd-2 (low) by DBRS Limited.

Initially, the Portfolio will consist of 15 large capitalization resource companies and will be approximately equally weighted on a U.S. dollar equivalent basis. The intention of the Company is to hold these investments to the Final Series 1 Redemption Date and not actively trade the Portfolio; however, the Manager will have discretion to make changes to the composition of the Portfolio that it deems appropriate, subject to the investment restrictions as described herein. See “Investment Restrictions.” It is expected that cash distributions to the holders of the Preferred Shares will be derived from dividends received (net of applicable foreign withholding taxes) on the Portfolio Securities.

The Manager will act as manager and investment manager of the Company. See “Organization and Management Details of the
Company and the Manager”.

The Series 1 Shares and the Capital Shares are being offered separately but will be issued only on the basis that an equal number of Series 1 Shares and Capital Shares will be outstanding. Partners Value Investments Inc. (formerly Partners Value Fund Inc.) (“Partners Value Investments”) will acquire all of the Capital Shares to be issued in connection with the Offering of the Series 1 Shares under this prospectus. The Capital Shares will be issued at a price of $ per share.

The Series 1 Shares may be surrendered for retraction at any time. A holder retracting Series 1 Shares may not receive cash but may instead receive debentures (the “Debentures”) issued by the Company. See “Details of the Offering – Debentures”.

The Company will redeem all outstanding Series 1 Shares on or about May 25, 2023 for a cash amount per share equal to the lesser of (i) $25.00 plus any accrued and unpaid dividends and (ii) the Net Asset Value per Unit (as defined herein). See “Calculation of Net Asset Value” and “Dividend Policy”.

There’s not much point in analyzing this deeply in the absence of information about the coupon, but it’s nice to see another split on the way.

Posted in New Issues | No Comments »

April 4, 2016

April 4th, 2016

We have a new investment proverb, courtesy of Steve Sosnick, an equity risk manager at Timber Hill, the market-making unit of Greenwich, Connecticut-based Interactive Brokers Group Inc., as reported by Bloomberg’s Joe Ciolli:

“Consensus trades like this, especially when they’re contrarian, often don’t pan out.”

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 5.00 % 6.08 % 10,893 16.59 1 1.4254 % 1,573.1
FixedFloater 6.78 % 5.96 % 23,034 16.34 1 0.0714 % 2,931.9
Floater 4.56 % 4.71 % 59,270 16.07 4 0.4608 % 1,696.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0615 % 2,803.2
SplitShare 4.73 % 5.11 % 91,141 1.60 6 -0.0615 % 3,280.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0615 % 2,559.4
Perpetual-Premium 5.77 % -6.83 % 87,817 0.08 6 0.1315 % 2,569.6
Perpetual-Discount 5.56 % 5.60 % 95,172 14.47 33 0.3561 % 2,616.6
FixedReset 5.25 % 4.65 % 184,178 13.97 87 0.6553 % 1,935.1
Deemed-Retractible 5.19 % 5.22 % 125,011 5.11 34 0.2156 % 2,628.1
FloatingReset 3.13 % 4.99 % 37,268 5.39 17 0.8505 % 2,021.3
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.05 %
TRP.PR.F FloatingReset -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 4.89 %
BAM.PF.B FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 4.90 %
HSE.PR.A FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 10.11
Evaluated at bid price : 10.11
Bid-YTW : 6.02 %
RY.PR.N Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 23.48
Evaluated at bid price : 23.80
Bid-YTW : 5.20 %
BAM.PF.C Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.93 %
MFC.PR.K FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.04
Bid-YTW : 8.46 %
CM.PR.O FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.22 %
BNS.PR.D FloatingReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.81
Bid-YTW : 7.64 %
TD.PF.D FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 4.40 %
SLF.PR.H FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.68
Bid-YTW : 9.21 %
BAM.PR.K Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 4.71 %
PWF.PR.P FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 4.50 %
MFC.PR.G FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.74
Bid-YTW : 7.68 %
BIP.PR.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.61 %
TRP.PR.G FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.98 %
GWO.PR.N FixedReset 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.48
Bid-YTW : 10.17 %
BAM.PR.E Ratchet 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 25.00
Evaluated at bid price : 13.52
Bid-YTW : 6.08 %
MFC.PR.M FixedReset 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.02
Bid-YTW : 7.22 %
FTS.PR.H FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 12.92
Evaluated at bid price : 12.92
Bid-YTW : 4.34 %
BMO.PR.Q FixedReset 1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 7.02 %
BAM.PR.R FixedReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.00 %
TRP.PR.C FixedReset 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.79 %
TD.PR.Y FixedReset 1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.66
Bid-YTW : 4.11 %
FTS.PR.G FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 4.58 %
RY.PR.J FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.40 %
PWF.PR.Q FloatingReset 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 4.51 %
NA.PR.W FixedReset 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 4.51 %
MFC.PR.H 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 : 6.67 %
MFC.PR.N FixedReset 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.17 %
IAG.PR.G FixedReset 2.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 7.16 %
BNS.PR.Z FixedReset 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.51
Bid-YTW : 6.65 %
MFC.PR.I FixedReset 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.24
Bid-YTW : 7.37 %
CM.PR.Q FixedReset 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.39 %
MFC.PR.J FixedReset 2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.63
Bid-YTW : 7.54 %
TRP.PR.H FloatingReset 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 9.67
Evaluated at bid price : 9.67
Bid-YTW : 4.47 %
HSE.PR.G FixedReset 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.87 %
TRP.PR.B FixedReset 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 4.43 %
HSE.PR.C FixedReset 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.03 %
TRP.PR.I FloatingReset 4.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.62 %
HSE.PR.B FloatingReset 5.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 5.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
HSE.PR.A FixedReset 119,495 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 10.11
Evaluated at bid price : 10.11
Bid-YTW : 6.02 %
CU.PR.F Perpetual-Discount 92,528 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 5.57 %
CU.PR.D Perpetual-Discount 90,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 21.92
Evaluated at bid price : 22.27
Bid-YTW : 5.55 %
BAM.PR.N Perpetual-Discount 48,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 5.87 %
BNS.PR.B FloatingReset 34,817 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 5.35 %
RY.PR.R FixedReset 33,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 4.70 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.K FloatingReset Quote: 22.25 – 23.10
Spot Rate : 0.8500
Average : 0.5353

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 4.54 %
BAM.PR.E Ratchet Quote: 13.52 – 14.40
Spot Rate : 0.8800
Average : 0.5691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 25.00
Evaluated at bid price : 13.52
Bid-YTW : 6.08 %
ALB.PR.C SplitShare Quote: 26.00 – 26.94
Spot Rate : 0.9400
Average : 0.6606

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 26.00
Bid-YTW : 3.80 %
BNS.PR.D FloatingReset Quote: 17.81 – 18.46
Spot Rate : 0.6500
Average : 0.4896

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.81
Bid-YTW : 7.64 %
BAM.PR.Z FixedReset Quote: 18.71 – 19.19
Spot Rate : 0.4800
Average : 0.3292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.05 %
CIU.PR.C FixedReset Quote: 11.02 – 11.98
Spot Rate : 0.9600
Average : 0.8438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-04
Maturity Price : 11.02
Evaluated at bid price : 11.02
Bid-YTW : 4.71 %

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