Issue Comments

GWO: DBRS Downgrades to Pfd-2(high)

DBRS has announced that it:

has today downgraded Great-West Lifeco Inc.’s (GWO or the Company) Debentures to A (high) from AA (low), its Non-Cumulative First Preferred Shares to Pfd-2 (high) from Pfd-1 (low), and has also assigned an Issuer Rating of A (high) to the Company. At the same time, DBRS assigned a Financial Strength Rating (FSR) of AA to GWO’s major operating subsidiaries: The Great-West Life Assurance Company, The Canada Life Assurance Company and London Life Insurance Company. The Great-West Life Assurance Company’s Issuer Rating was confirmed at AA, and its Preferred Shares were confirmed at Pfd-1. The Canada Life Assurance Company’s Subordinated Debentures were confirmed at AA (low). Lastly, DBRS has withdrawn the Claims Paying Ability ratings of the three operating subsidiaries, replacing them with the newly assigned FSRs. All trends are Stable. All rating actions are detailed in the table below. The rating actions taken today follow the publication of DBRS’s new methodology, “Global Methodology for Rating Life and P&C Insurance Companies and Insurance Organizations” (December 2015) (Global Insurance Methodology).

The downgrade of the holding company ratings results from the application of DBRS’s newly implemented Global Insurance Methodology, which favours a wider notch differential between holding and operating company ratings than in prior methodologies. Specifically, the senior debt of the holding company, GWO, is positioned two notches below the FSR of its major operating subsidiary, The Great-West Life Assurance Company. Among other factors, the notching reflects the structural subordination of the holding company’s creditors to the operating company’s creditors in an insolvency situation, and recognizes the reliance of the Company on the upstreaming of earnings from its operating companies.

In confirming the ratings of the operating subsidiaries, DBRS evaluated GWO’s fundamentals using the Global Insurance Methodology. GWO is the largest insurance company in Canada, with a dominant market position for both individual insurance and group benefits and savings. The Company also has extensive operations in the United States and Europe. The Company has strong financial metrics, including a decreasing financial leverage (debt, hybrids and preferreds to capital) ratio of 26.5% at Q3 2015, a minimum continuing capital and surplus requirement (MCCSR) ratio of 234% and an above-peer return on equity that has been in the mid-teens for the past several years.

The Stable trend considers the Company’s resilient fundamentals and its ability to adapt to the current challenging operating environment. Negative ratings pressure could arise if the Company’s fundamentals weaken because of a reduction in earnings, with a deterioration in fixed-charge coverage ratios. Positive rating pressure could arise if there is a material reduction in financial leverage or improved profitability at Putnam.

The new methodology is discussed in the post DBRS Releases and Applies New Insurance Company Methodology.

Affected issues are: GWO.PR.F, GWO.PR.G, GWO.PR.H, GWO.PR.I, GWO.PR.L, GWO.PR.M, GWO.PR.N, GWO.PR.P, GWO.PR.Q, GWO.PR.R, and GWO.PR.S.

Issue Comments

PWF: DBRS Downgrades to Pfd-2(high)

DBRS has announced that it:

DBRS Limited (DBRS) has today downgraded Power Financial Corporation’s (PWF or the Company) Issuer Rating and Senior Debentures to A (high) from AA (low) and its Preferred Shares ratings to Pfd-2 (high) from Pfd-1 (low) due to the application of the new insurance methodology. All trends are Stable. All the rating actions are detailed in the table below. The rating actions taken today follow the publication of DBRS’s new methodology, “Global Methodology for Rating Life and P&C Insurance Companies and Insurance Organizations” (December 2015) (Global Insurance Methodology).

The downgrade of PWF’s ratings results from the application of the Global Insurance Methodology and the assignment of an Issuer Rating of A (high) to Great-West Lifeco Inc. (GWO), PWF’s major operating subsidiary. Since PWF’s greatest contributor to earnings and overall strength is GWO, a large insurance organization contributing approximately 75% of YTD 2015 earnings, the primary methodology used to rate GWO is the Global Insurance Methodology, and by extension it is the primary methodology for rating PWF. As a parent holding company, GWO’s Issuer Rating of A (high) is positioned two notches below the Financial Strength Rating (FSR) of Great-West Life Assurance Company, its operating insurance company. Among other factors, the two notch differential reflects the structural subordination of the holding company’s creditors to the operating company’s creditors in an insolvency situation and recognizes the reliance of the Company on the upstreaming of earnings from its operating companies

The diversification and overall strength of PWF’s combined subsidiaries in addition to the assessment of financial strength of the PWF legal entity has resulted in DBRS concluding that the sum of the parts is sufficiently strong for the PWF rating to be at the same level as the GWO rating.

PWF is an investment holding company controlling two major Canadian financial services providers: GWO and IGM Financial Inc. Through a 50/50 partnership with Belgium’s Frère Group, PWF also shares a 55.5% equity interest in Pargesa Holding S.A., a Swiss holding company with indirect interests in a limited number of European-based industrial companies. PWF, in turn, is 65.6% owned by Power Corporation of Canada (POW). Similar to POW, PWF benefits from a strong capital position, high liquidity and prudent decision-making with an emphasis on conservativeness and integrated risk management. PWF’s credit ratings could come under pressure if the operating subsidiaries experience a deterioration in credit quality or an extended period of low profitability that results in declining financial metrics, or eroding market share. Negative ratings pressure may also arise from evidence of governance and control issues. Conversely, the Company may potentially benefit from any upgrades to the ratings of GWO.

The new methodology is discussed in the post DBRS Releases and Applies New Insurance Company Methodology.

Affected issues are: PWF.PR.A, PWF.PR.E, PWF.PR.F, PWF.PR.G, PWF.PR.H, PWF.PR.I, PWF.PR.K, PWF.PR.L, PWF.PR.O, PWF.PR.P, PWF.PR.R, PWF.PR.S and PWF.PR.T.

Issue Comments

SLF: DBRS Downgrades to Pfd-2

DBRS has announced that it:

has today downgraded Sun Life Financial Inc.’s (SLF or the Company) Senior Unsecured Debentures to “A” from A (high), its Subordinated Unsecured Debentures to A (low) from “A” and its Preferred Shares to Pfd-2 from Pfd-2 (high). DBRS has also assigned an Issuer Rating of “A” to the Company. At the same time, DBRS assigned a Financial Strength Rating (FSR) of AA (low) to Sun Life Assurance Company of Canada (Sun Life Assurance) and confirmed its Issuer Rating at AA (low) and its Subordinated Debt rating at A (high). DBRS withdrew the Claims Paying Ability rating of Sun Life Assurance, replacing it with the newly assigned FSR. All trends are Stable. All the rating actions are detailed in the table below. The rating actions taken today follow the publication of DBRS’s new methodology, “Global Methodology for Rating Life and P&C Insurance Companies and Insurance Organizations” (December 2015) (Global Insurance Methodology).

The downgrade of the holding company ratings results from the application of the Global Insurance Methodology under which there is typically a wider notch differential between holding company and operating company ratings than in prior methodologies.
…
The Stable trend considers the Company’s resilient fundamentals and its ability to adapt to the current challenging operating environment. Negative ratings pressure could arise if the Company’s fundamentals weaken, which may include a sustained decline in equity markets or significant deviations of experience from actuarial assumptions. A deterioration in regulatory capital ratios and loss of market share may also negatively affect ratings. Positive rating pressure could arise if the Company experiences solid earnings and growth resulting in increased market share, or displays consistently improved financial metrics and asset quality coupled with income stability.

The new methodology is discussed in the post DBRS Releases and Applies New Insurance Company Methodology.

Affected issues are: SLF.PR.A, SLF.PR.B, SLF.PR.C, SLF.PR.D, SLF.PR.E, SLF.PR.G, SLF.PR.H, SLF.PR.I and SLF.PR.J.

Miscellaneous News

DBRS Releases and Applies New Insurance Company Methodology

DBRS has touted their new insurance company rating methodology:

DBRS Limited (DBRS) has today released its “Global Methodology for Rating Life and P&C Insurance Companies and Insurance Organizations (December 2015)” after a public request for comment period. The new methodology considers several factors, including the increased complexity of insurance risks and regulation; major shifts and dynamics in competition across the diverse financial services space; regulatory environment evolution, particularly in respect of evolving views on the definitions of capital; and the growing global reach of internationally active insurance companies.

The methodology, which places a high emphasis on the prevailing regulatory and operating environments, is underpinned by the DBRS core rating philosophy of “rating through the cycle.” The unique approach outlined in the new methodology incorporates a transparent approach to the notching between the holding company and operating company ratings, as well as a clear qualitative and quantitative approach to assessing franchise strength, while incorporating other key analytical considerations, including earnings ability, liquidity, risk profile, capitalization and asset quality.
…
The methodology specifically addresses the rating of insurance holding companies by taking into consideration the unique aspects of these parent companies and the operating groups that they control, considering various characteristics, including their diversified holdings, capital structure and cash flows.

Given an existing FSR at the operating company, the parent holding company would typically be notched down two notches from this FSR to reflect structural subordination under this new methodology. Ratings of a holding company’s debt and preferred shares depend on the FSR at its operating company, which then serves as the anchor point for the rating of the various capital instruments at the operating company and the holding company. Existing insurance company ratings and related ratings of insurance holding companies were revised.

The methodology itself is titled Global Methodology for Rating Life and P&C Insurance Companies and Insurance Organizations:

Impact of Related Methodologies and Criteria – Final Rating and Ratings for Specific Securities

Once DBRS has determined the initial FSR of the insurer, several other methodologies and criteria are employed to determine the final FSR and ratings for specific classes of securities from senior debt to preferred shares. As discussed in these methodologies, the final rating will consider aspects such as the support assessment (or pressure) of applicable sovereign governments and appropriate notching for the holding company, ranking and contingent risk considerations.
…
Operating Company Ranking of Creditors

This global insurance methodology generates an FSR for the main operating insurance company based on information applicable
to the consolidated group. In jurisdictions where policyholder claims rank above senior and subordinated debt, this claim superiority will be recognized in the notching with reference to the ranking of the various classes of creditors noted below.

General method of ranking (for a standard operating insurance company):
1a. FSR: Credit risk evaluation of the policyholders’ risk of the company’s expected future probability of failing to honour undisputed claims or benefit payments as per the policy contract.
1b. Issuer Rating: The FSR rating will also be the Issuer Rating for the operating insurance company.
2. Senior Debt Rating: FSR minus one notch (if no senior debt will be issued because of regulatory disadvantage and management practice, this placeholder notching for senior debt could be ignored, uplifting the subordinated debt rating, etc.).
3. Sub-Debt Rating: FSR minus two notches.
4. Preferred Shares Rating: FSR minus three notches.

Holding Company Notching

In determining the appropriate rating of holding company debt, DBRS will notch from the FSR of the operating insurance company in accordance with the following general guidelines. While a rating differential between the FSR of the operating insurance company and the rating of the holding company’s senior debt is typically two notches, it can range from zero to four notches or more depending on a number of factors. Such factors include:
• Legal structure and management of the insurance group,
• Diversity of subsidiary operating businesses and their contributions to the strength of the holding company,
• Consistency of dividends from operating businesses as well as the assessment of regulatory upstream dividend constraints and the liquidity of operating companies,
• Stand-alone liquidity of the holding company to meet capital servicing charges,
• Holding company access to funds to pay fixed holding company charges and rollover funding,
• Consolidated financial leverage measures,
• Double leverage ratio (please refer to definitions in the Appendix 2),
• Consolidated fixed-charge coverage ratio,
• Presence of a common regulator for the holding company and operating company, resulting in coordination of regulation and
regulatory action,
• Low solvency ratios in operating subsidiaries, limiting the ability to pay dividends regardless of the regulatory approval process and
• If the operating company’s FSR is rated BBB high or lower, an assessment will be made that may determine a greater than two notch differential for the holding company.

The holding company’s investment in subsidiaries is primarily equity based, which creates a structural subordination for holding company debtholders. DBRS recognizes that this structural subordination will only be realized in the event of the operating company being declared insolvent and, following the creditor adjudication process, the holding company debt investors may find that their claim is treated with the ranking of an equity holder of the operating subsidiary.

By rating the holding company’s senior debt at least two or more notches below the FSR of the main operating company, the senior and subordinated debt of the holding company is always at least one notch lower than the operating company’s senior and subordinated debt. In jurisdictions where operating companies do not typically issue senior debt, the operating company’s subordinated debt may be rated one notch below the FSR. In this case, the holding company’s senior debt will likely be rated one notch below the operating company’s subordinated debt. Maintaining a notching difference between the operating company’s debts and holding company’s debts will communicate to the investor that there is a ranking and recovery difference between similar debt tranches of the holding company and operating company.

This pass-through of debt capital in the form of equity capital can be reflected in the double leverage ratio (for a definition of this ratio, please refer to Appendix 2). Regulatory environments can place limits when and if dividends can be paid to the holding company by the operating company. A restrictive regulatory environment with respect to dividends creates risk that the holding company may have difficulty meeting its capital servicing obligations. This and other factors that assist or hinder the holding company will be evaluated. Generally, the notching of the capital instruments for a holding company with a two-notch differential would have this pattern of notching for the various rankings of security instruments:

1. Parent Holding Company Issuer Rating – FSR minus two notches.
2. Holding Company Senior Debt – FSR minus two notches.
3. Holding Company Sub-Debt – FSR minus three notches.
4. Holding Company Preferred shares – FSR minus four notches.

The extent of the notching can vary with the restrictiveness of the regulatory and supervisory environment in terms of dividends and other payments. For example, as a result of U.S. regulatory dividend restrictions for insurance companies, the issuer rating for U.S. holding companies would typically be rated three notches below the FSR. For non-U.S. insurance holding companies that have significant U.S. insurance operations, the analysis would consider the parent holding company’s ability to access sufficient dividend income from other operations as well as the U.S. insurance subsidiaries.

Market Action

December 16, 2015

The hot news of the day is the FOMC Statement:

Information received since the Federal Open Market Committee met in October suggests that economic activity has been expanding at a moderate pace. Household spending and business fixed investment have been increasing at solid rates in recent months, and the housing sector has improved further; however, net exports have been soft. A range of recent labor market indicators, including ongoing job gains and declining unemployment, shows further improvement and confirms that underutilization of labor resources has diminished appreciably since early this year. Inflation has continued to run below the Committee’s 2 percent longer-run objective, partly reflecting declines in energy prices and in prices of non-energy imports. Market-based measures of inflation compensation remain low; some survey-based measures of longer-term inflation expectations have edged down.
…
Overall, taking into account domestic and international developments, the Committee sees the risks to the outlook for both economic activity and the labor market as balanced. Inflation is expected to rise to 2 percent over the medium term as the transitory effects of declines in energy and import prices dissipate and the labor market strengthens further. The Committee continues to monitor inflation developments closely.

The Committee judges that there has been considerable improvement in labor market conditions this year, and it is reasonably confident that inflation will rise, over the medium term, to its 2 percent objective. Given the economic outlook, and recognizing the time it takes for policy actions to affect future economic outcomes, the Committee decided to raise the target range for the federal funds rate to 1/4 to 1/2 percent. The stance of monetary policy remains accommodative after this increase, thereby supporting further improvement in labor market conditions and a return to 2 percent inflation.
…
The Committee expects that economic conditions will evolve in a manner that will warrant only gradual increases in the federal funds rate; the federal funds rate is likely to remain, for some time, below levels that are expected to prevail in the longer run. However, the actual path of the federal funds rate will depend on the economic outlook as informed by incoming data.

There were no dissents. The move was met with cheers:

“Americans should realize that the Fed’s decision today reflects our confidence in the U.S. economy,” Yellen said. “While things may be uneven across regions of the country and different industrial sectors, we see an economy that is on a path of sustainable improvement.”

Equity prices rallied in response, with the Standard & Poor’s 500 Index of U.S. stocks rising 1.5 percent to 2,073.07 in New York. Bond prices fell on the prospects of higher short-term interest rates, though yields on the benchmark 10-year Treasury note remained below levels seen last month.
…
Policy makers forecast that the short-term policy rate will rise to 1.375 percent at the end of 2016, implying four quarter-point increases in the target range next year, based on the median number from 17 officials.

“I do want to emphasize that while we have said gradual, gradual does not mean mechanical — evenly timed, equally sized, interest-rate changes,” she said. “As the outlook evolves, we’ll respond appropriately. I strongly doubt that it will mean equally spaced hikes,” she added.

The Fed will be able to take such an approach because inflation is so far below its 2 percent goal. As measured by the personal consumption expenditure price index, it rose by 0.2 percent in the 12 months through October.

The telecoms are changing:

Shaw Communications Inc. is finally poised to enter the wireless business, with a $1.6-billion deal to buy Toronto startup carrier Wind Mobile Corp.

Calgary-based cable operator Shaw announced the transaction on Wednesday evening, noting that while the deal still requires approval from the federal government and the Competition Bureau, it expects it to close during the third quarter of fiscal 2016 (the first half of the calendar year).

Wind, which operates in urban areas in Ontario, British Columbia and Alberta, has 940,000 subscribers, and Shaw said the small carrier is expected to generate $485-million in revenue and $65-million in earnings before interest, taxes, depreciation and amortization (EBITDA) in 2015.
…
Wind has provided a lower-priced alternative to Canada’s Big Three carriers – Telus, BCE Inc. and Rogers Communications Inc. – and consumers will be wondering whether that will evaporate with this sale.

[Shaw CEO] Mr. [Brad] Shaw said as the wireless company improves its coverage and upgrades to LTE (fourth-generation), “I see pricing somewhat discounted, but probably closer to the incumbents as we go forward, which allows us to increase ARPU [average revenue per user]. But listen, growth is very important to us and that’s going to be a key driver, as well as making sure consumers feel there’s value.”

HSBC Bank Canada, proud issuer of HSB.PR.C and HSB.PR.D, has been confirmed at Pfd-2 by DBRS:

DBRS Limited (DBRS) has today confirmed all the ratings of HSBC Bank Canada (HSBC Canada or the Bank) including the Bank’s Long-Term Deposits and Senior Debt at A (high) and the Short-Term Instruments at R-1 (middle). All trends are Stable. Additionally, DBRS discontinued the rating of HSBC Canada Asset Trust (HaTS HSBC Bank Canada’s innovative Tier 1 capital instruments) following repayment of the final instrument.

Earlier this year, on September 29, 2015, DBRS downgraded the Long-Term Deposits and Senior Debt, and Subordinated Debt ratings of HSBC Canada following the conclusion of a review of government support at HSBC Holdings plc, the indirect parent entity of HSBC Canada. The changes reflect DBRS’s view that developments in European regulation and legislation mean that there is less certainty about the likelihood of timely systemic support. Given HSBC Canada’s position in the global franchise of HSBC Group (the Group), DBRS has assigned an SA1 designation to the bank under “DBRS Criteria: Support Assessments for Banks and Banking Organisations,” which implies strong and predictable support from the Group, should it be required. As a result, HSBC Canada’s rating generally moves in tandem with HSBC Holdings plc’s rating. Accordingly, HSBC Canada’s senior debt rating is notched down by one notch from HSBC Holdings plc’s rating of AA (low).
…
Some factors that may improve HSBC Canada’s overall credit strength include reductions in geographic and/or sector loan concentrations, or a successful growth of retail wealth management. On the other hand, any significant increase in provisions (particularly related to energy sector lending), evidence of compliance failings or a change in DBRS’s assessment of likely support from the HSBC Group could put negative pressure on the rating assessment.

The trouble nowadays, though, is that when people refer to “lift-off”, I don’t know whether they’re talking about the Fed rate increase or the Canadian preferred share market!

NASA's Orion Spacecraft Launches Unmanned Test Flight
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The Canadian preferred share market was on fire again today, with PerpetualDiscounts up 102bp, FixedResets winning 336bp and DeemedRetractibles gaining 59bp. The Performance Highlights table is ridiculously long again, of course, with no less than fifteen issues returning more than 5.00% on the day. Volume was again very, very heavy.

PerpetualDiscounts now yield 5.86%, equivalent to 7.62% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.2%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, down only slightly (and perhaps spuriously) from the 345bp reported December 9

At time of writing the TMXMoney website doesn’t have the Total Return Index Value for TXPL, but I guess it’s about maybe 1,256.41, which would put the index down 3.22% on the month-to-date, but 6.36% above the December 14 low.

TXPR_151216
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Similarly, TXPL is somewhere close to 773.32, down 3.68% on the month-to-date but 9.08% above the December 14 low.

TXPL_151216
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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_151216
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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.66 to be $1.45 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.12 cheap at its bid price of 12.06.

impVol_MFC_151216
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Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 21.96 to be 0.64 cheap, while MFC.PR.I, resetting at +286bp on 2017-9-19, is bid at 22.13 to be 0.51 rich.

impVol_BAM_151216
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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.20 to be $1.41 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.45 and appears to be $1.01 rich.

impVol_FTS_151216
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FTS.PR.M, with a spread of +248bp, and bid at 20.53, looks $0.35 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.42 and is $0.94 cheap.

pairs_FR_151216
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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.33%, with one outlier below -2.00%. There are two junk outliers below -2.00% and four above 0.00%. Note the vertical axis of this graph has been changed.

pairs_FF_151216
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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 4.96 % 6.03 % 33,638 16.60 1 0.3663 % 1,563.8
FixedFloater 7.25 % 6.42 % 35,518 15.72 1 1.9440 % 2,693.1
Floater 4.31 % 4.36 % 84,444 16.72 4 0.5739 % 1,771.4
OpRet 4.87 % 4.28 % 26,297 0.69 1 0.0000 % 2,734.3
SplitShare 4.87 % 5.81 % 82,956 1.87 6 0.0415 % 3,175.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0415 % 2,477.8
Perpetual-Premium 5.85 % 5.91 % 98,476 13.90 7 0.5310 % 2,477.8
Perpetual-Discount 5.78 % 5.86 % 104,697 14.05 33 1.0227 % 2,477.5
FixedReset 5.22 % 4.72 % 265,864 15.31 80 3.3632 % 1,977.0
Deemed-Retractible 5.25 % 5.30 % 135,940 5.31 33 0.5933 % 2,556.1
FloatingReset 2.81 % 4.27 % 68,373 5.67 11 1.9011 % 2,103.5
Performance Highlights
Issue Index Change Notes
PVS.PR.E SplitShare -1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 6.43 %
BAM.PR.K Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.49 %
BAM.PF.H FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.80 %
CU.PR.I FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 23.13
Evaluated at bid price : 24.90
Bid-YTW : 4.44 %
RY.PR.B Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 4.80 %
RY.PR.D Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.88
Bid-YTW : 4.67 %
MFC.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 : 20.31
Bid-YTW : 7.40 %
IFC.PR.C FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.26
Bid-YTW : 6.91 %
PWF.PR.H Perpetual-Premium 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 24.43
Evaluated at bid price : 24.67
Bid-YTW : 5.91 %
FTS.PR.K FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.15 %
SLF.PR.C Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.32
Bid-YTW : 7.31 %
CU.PR.D Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 5.84 %
PWF.PR.L Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 21.82
Evaluated at bid price : 22.06
Bid-YTW : 5.86 %
POW.PR.A Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 23.99
Evaluated at bid price : 24.24
Bid-YTW : 5.87 %
GWO.PR.P Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 6.01 %
TRP.PR.B FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 4.51 %
SLF.PR.D Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.21
Bid-YTW : 7.38 %
ELF.PR.F Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 6.03 %
TRP.PR.E FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 4.54 %
BAM.PR.B Floater 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 10.84
Evaluated at bid price : 10.84
Bid-YTW : 4.36 %
BIP.PR.A FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 5.70 %
PWF.PR.F Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 22.29
Evaluated at bid price : 22.56
Bid-YTW : 5.90 %
PVS.PR.D SplitShare 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 22.06
Bid-YTW : 7.06 %
IAG.PR.A Deemed-Retractible 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 7.32 %
BAM.PR.T FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 4.96 %
FTS.PR.J Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.56 %
TD.PR.T FloatingReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 4.07 %
CU.PR.E Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.82 %
ELF.PR.G Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.91 %
CU.PR.F Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.77 %
PWF.PR.E Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 23.33
Evaluated at bid price : 23.61
Bid-YTW : 5.90 %
MFC.PR.B Deemed-Retractible 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.88
Bid-YTW : 7.18 %
CM.PR.Q FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.64 %
TD.PF.A FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 4.46 %
CU.PR.H Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 5.87 %
BIP.PR.B FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 22.20
Evaluated at bid price : 22.87
Bid-YTW : 6.03 %
PWF.PR.K Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 21.42
Evaluated at bid price : 21.68
Bid-YTW : 5.78 %
CM.PR.P FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.72 %
BAM.PR.R FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.11 %
TRP.PR.H FloatingReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 4.25 %
ENB.PR.A Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.16 %
TD.PR.Z FloatingReset 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 4.23 %
TRP.PR.D FixedReset 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 4.67 %
VNR.PR.A FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.88 %
BAM.PR.Z FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.99 %
SLF.PR.J FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.05
Bid-YTW : 9.93 %
BAM.PR.C Floater 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.41 %
RY.PR.I FixedReset 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 3.93 %
CU.PR.G Perpetual-Discount 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.77 %
BAM.PR.G FixedFloater 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 25.00
Evaluated at bid price : 13.11
Bid-YTW : 6.42 %
CIU.PR.C FixedReset 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 3.95 %
BNS.PR.R FixedReset 2.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.33
Bid-YTW : 3.87 %
TD.PF.B FixedReset 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 4.51 %
BNS.PR.C FloatingReset 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 4.57 %
PWF.PR.T FixedReset 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 21.93
Evaluated at bid price : 22.25
Bid-YTW : 3.71 %
BNS.PR.B FloatingReset 2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.87
Bid-YTW : 4.48 %
BNS.PR.D FloatingReset 2.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 6.73 %
NA.PR.Q FixedReset 2.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 3.74 %
W.PR.J Perpetual-Discount 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 22.93
Evaluated at bid price : 23.21
Bid-YTW : 6.14 %
W.PR.H Perpetual-Discount 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.08 %
BNS.PR.Z FixedReset 2.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.37
Bid-YTW : 6.86 %
MFC.PR.H FixedReset 2.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 5.74 %
RY.PR.M FixedReset 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.59 %
BNS.PR.Y FixedReset 2.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 6.19 %
TRP.PR.G FixedReset 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.74 %
BMO.PR.S FixedReset 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.45 %
MFC.PR.F FixedReset 2.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 9.30 %
TRP.PR.C FixedReset 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 4.82 %
NA.PR.W FixedReset 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.76 %
TD.PR.S FixedReset 3.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 3.79 %
FTS.PR.H FixedReset 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 3.90 %
MFC.PR.J FixedReset 3.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.07 %
HSE.PR.E FixedReset 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.77 %
NA.PR.S FixedReset 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.76 %
BMO.PR.W FixedReset 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.51 %
BMO.PR.R FloatingReset 3.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 3.72 %
SLF.PR.G FixedReset 3.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 8.67 %
BMO.PR.M FixedReset 3.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.18 %
RY.PR.J FixedReset 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.62 %
BAM.PF.B FixedReset 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 4.84 %
TD.PF.C FixedReset 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.45 %
TD.PF.D FixedReset 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 4.50 %
TD.PF.E FixedReset 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.50 %
BMO.PR.T FixedReset 3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.51 %
IFC.PR.A FixedReset 3.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.54 %
MFC.PR.L FixedReset 3.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.18
Bid-YTW : 6.84 %
BNS.PR.P FixedReset 3.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.68
Bid-YTW : 3.34 %
IAG.PR.G FixedReset 3.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 5.88 %
FTS.PR.I FloatingReset 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 4.03 %
RY.PR.H FixedReset 3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.40 %
RY.PR.Z FixedReset 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.36 %
CM.PR.O FixedReset 4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.59 %
MFC.PR.G FixedReset 4.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.36
Bid-YTW : 5.84 %
HSE.PR.C FixedReset 4.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.71 %
BMO.PR.Q FixedReset 4.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.54
Bid-YTW : 5.66 %
MFC.PR.K FixedReset 4.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.05
Bid-YTW : 6.83 %
BNS.PR.Q FixedReset 4.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 3.81 %
FTS.PR.M FixedReset 4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 4.18 %
TRP.PR.A FixedReset 4.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.47 %
HSE.PR.G FixedReset 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.76 %
GWO.PR.N FixedReset 5.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.76
Bid-YTW : 9.56 %
CU.PR.C FixedReset 5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.28 %
MFC.PR.N FixedReset 5.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.82
Bid-YTW : 6.51 %
MFC.PR.I FixedReset 5.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 5.41 %
FTS.PR.G FixedReset 5.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 4.37 %
MFC.PR.M FixedReset 5.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 6.59 %
SLF.PR.I FixedReset 5.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 6.28 %
TD.PR.Y FixedReset 5.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.37
Bid-YTW : 3.54 %
BAM.PF.A FixedReset 6.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 4.82 %
BAM.PF.G FixedReset 6.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.67 %
BAM.PF.F FixedReset 6.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 4.69 %
SLF.PR.H FixedReset 6.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 7.56 %
BAM.PR.X FixedReset 7.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 4.73 %
BAM.PF.E FixedReset 7.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 4.76 %
PWF.PR.P FixedReset 9.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset 1,558,368 New issue settled today.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 23.17
Evaluated at bid price : 25.10
Bid-YTW : 5.25 %
IFC.PR.A FixedReset 135,504 Desjardins crossed blocks of 39,600 and 58,100, both at 16.20.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.54 %
W.PR.K FixedReset 102,801 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 22.89
Evaluated at bid price : 24.28
Bid-YTW : 5.36 %
RY.PR.W Perpetual-Discount 92,464 Nesbitt crossed 75,000 at 21.87.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 21.69
Evaluated at bid price : 21.94
Bid-YTW : 5.63 %
HSE.PR.G FixedReset 87,537 Scotia crossed 65,600 at 18.72.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.76 %
RY.PR.N Perpetual-Discount 86,776 Nesbitt crossed 75,000 at 22.05.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 21.79
Evaluated at bid price : 22.11
Bid-YTW : 5.58 %
There were 93 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.E Ratchet Quote: 13.70 – 15.50
Spot Rate : 1.8000
Average : 1.3113

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 25.00
Evaluated at bid price : 13.70
Bid-YTW : 6.03 %
TD.PR.T FloatingReset Quote: 22.25 – 23.35
Spot Rate : 1.1000
Average : 0.6731

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 4.07 %
PWF.PR.A Floater Quote: 11.75 – 12.75
Spot Rate : 1.0000
Average : 0.6683

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 4.05 %
IGM.PR.B Perpetual-Premium Quote: 24.99 – 25.74
Spot Rate : 0.7500
Average : 0.4456

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 24.70
Evaluated at bid price : 24.99
Bid-YTW : 5.98 %
TD.PR.Z FloatingReset Quote: 22.15 – 22.97
Spot Rate : 0.8200
Average : 0.5641

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 4.23 %
VNR.PR.A FixedReset Quote: 19.00 – 19.66
Spot Rate : 0.6600
Average : 0.4336

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.88 %
Issue Comments

RY.PR.Q Firm On High Volume

Royal Bank of Canada has announced:

it has closed its domestic public offering of Non-Cumulative, 5-Year Rate Reset Preferred Shares Series BK. Royal Bank of Canada issued 27 million Preferred Shares Series BK at a price of $25 per share to raise gross proceeds of $675 million.

The offering was underwritten by a syndicate led by RBC Capital Markets. The Preferred Shares Series BK will commence trading on the Toronto Stock Exchange today under the ticker symbol RY.PR.Q.

The bank has granted the underwriters’ an option, exercisable in whole or in part, to purchase up to an additional 2 million Preferred Shares Series BK at the same offering price. The underwriters have 30 days from the closing of the preferred share offering to exercise the option.

The Preferred Shares Series BK were issued under a prospectus supplement dated December 10, 2015 to the bank’s short form base shelf prospectus dated December 20, 2013.

RY.PR.Q is a FixedReset 5.50%+453, announced December 8. It will be tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

The issue traded 1,558,368 shares today (consolidated exchanges) in a range of 24.95-30 before closing at 25.10-20, 4×15. Vital statistics are:

RY.PR.Q FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-16
Maturity Price : 23.17
Evaluated at bid price : 25.10
Bid-YTW : 5.25 %

Implied Volatility analysis must be interpreted with caution, as the fact that RY.PR.Q has such a greatly different Issue Reset Spread from the other NVCC issues (RY.PR.Z, RY.PR.H, RY.PR.J and RY.PR.M) gives it a disproportionate influence over the calculated overall slope of the relationship curve. Be that as it may, the calculation results in Implied Volatility consistent with that of other series of issues:

impVol_RY_151216
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Issue Comments

ALA: Outlook Negative, says S&P

Standard and Poor’s has announced:

  • •We are revising our outlook on AltaGas Ltd. to negative from stable.
  • •We are also affirming our ratings, including our ‘BBB’ long-term corporate credit rating, on the company.
  • •We base the outlook revision on weaker forecast financial metrics at the lower end of the “significant” financial risk profile.
  • •The negative outlook reflects our view of the company’s weaker financial metrics, given the low commodity environment and high leverage due to ongoing capital programs and recent acquisitions.

…
We are forecasting lower cash flows and higher leverage due to ongoing capital programs and recent acquisitions. Our forecast financial metrics have fallen as a result, with funds from operations (FFO)-to-debt in the low end of the “significant” category (12%-15%) over the next two years. However, we still expect the financial metrics to improve as new gas gathering and processing facilities are brought into service and the GWF Energy Holdings LLC (GWF) acquisition starts contributing cash flow for a full year in 2016.

We view AltaGas’ business risk profile as “strong.” We expect about one-third of cash flow from very low-risk regulated utility subsidiaries, a third from midstream gathering and processing, and the rest from highly contracted unregulated power.
…
We view the financial risk profile as “significant” based on the medial volatility cash flow leverage table. Although we expect credit metrics to improve as contracted projects come online to contribute full-year cash flows and capital expenditures start to decline in 2017, the company has little cushion to absorb weaker-than-expected cash flows over the next two years.

The negative outlook reflects Standard & Poor’s view that AltaGas’ financial metrics are at the lower end of the “significant” category and has little cushion to absorb weaker-than-expected cash flows over the next two years. We are expecting metrics to continue to improve in 2016 and 2017 as the company realizes full-year cash flows from completed projects and the GWF acquisition.

AltaGas is the proud issuer of ALA.PR.A, ALA.PR.B, ALA.PR.E, ALA.PR.G and ALA.PR.I. DBRS continues to rate the issues Pfd-3 with a stable trend following a confirmation 2015-10-12.

Issue Comments

TRP.PR.C To Be Extended

TransCanada Corporation has announced:

that it does not intend to exercise its right to redeem its Cumulative Redeemable First Preferred Shares, Series 5 (Series 5 Shares) on January 30, 2016. As a result, subject to certain conditions, the holders of Series 5 Shares have the right to choose one of the following options with regard to their shares:
1.To retain any or all of their Series 5 Shares and continue to receive a fixed rate quarterly dividend; or
2.To convert, on a one-for-one basis, any or all of their Series 5 Shares into Cumulative Redeemable First Preferred Shares, Series 6 (Series 6 Shares) of TransCanada and receive a floating rate quarterly dividend.

The dividend rate applicable to the Series 5 Shares for the five-year period commencing on January 30, 2016 to, but excluding, January 30, 2021 will equal the Government of Canada five-year bond yield on December 31, 2015 plus 1.54 per cent. The dividend rate applicable to the Series 6 Shares for the three-month period commencing on January 30, 2016 to, but excluding, April 30, 2016 will equal the Government of Canada 90-day treasury bill rate on December 31, 2015 plus 1.54 per cent. Both rates will be calculated according to the terms of the prospectus supplement dated June 17, 2010, and announced by way of a news release on December 31, 2015.

Beneficial owners of Series 5 Shares who wish to exercise their right of conversion should communicate as soon as possible with their broker or other nominee and ensure that they follow their instructions in order to meet the deadline to exercise such right, which is 5 p.m. (EDT) on January 15, 2016. Any notices received after this deadline will not be valid. As such, it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

The foregoing conversions are subject to the conditions that: (i) if TransCanada determines that there would be less than one million Series 5 Shares outstanding after January 30, 2016, then all remaining Series 5 Shares will automatically be converted into Series 6 Shares on a one-for-one basis on January 30, 2016, and (ii) alternatively, if TransCanada determines that there would be less than one million Series 6 Shares outstanding after January 30, 2016, no Series 5 Shares will be converted into Series 6 Shares. In either case, TransCanada will issue a news release to that effect no later than January 22, 2016.

Holders of the Series 5 Shares and the Series 6 Shares will have the opportunity to convert their shares again on January 30, 2021, and every five years thereafter as long as the shares remain outstanding.

TRP.PR.C is a FixedReset, 4.40%+154, that commenced trading 2010-6-29 after being announced 2010-6-17.

I will report the reset rate when it is announced and recommend whether or not to convert closer to the company’s deadline.

Issue Comments

DC.PR.C: Dundee Blinks, Shares Plummet Anyway

The proposed Plan of Arrangement involving DC.PR.C has been covered on PrefBlog in the posts DC.PR.C: Coercive Exchange Offer, DC.PR.C: Coercive Offer Attracts Wider Notice and DC.PR.C: Consider Exercising Dissent Rights To Defeat Management’s Coercive Plan.

This morning, Dundee blinked:

Dundee Corporation (TSX:DC.A)(TSX:DC.PR.C) is today announcing that it continues to seek a collaborative dialogue with its Series 4 Preferred Shareholders in respect of its proposed plan of arrangement. Since the mailing of its Circular, the Corporation has heard from a broader group of beneficial shareholders, including large institutional holders, who have expressed concerns.

The Corporation continues to engage in dialogue with known beneficial shareholders, in order to achieve a favourable result. However there can be no assurance that this dialogue will result in the support necessary for the proposed transaction to become effective. Accordingly, it is possible that, among other things, the proposed transaction terms may be amended or withdrawn.

But the shares plunged anyway, down a stunning 14.50% (close / close) on heavy volume of 68,201 shares:

DCPRC_151216
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They’ve been going in one direction ever since the announcement:

DCPRC_151216_1Mo
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I have no idea how sincere they are or with whom they are negotiating, but the “known beneficial shareholders” will, I’m sure, appreciate a bit of support to strengthen their hand. Don’t delay – vote “No” now and seriously consider exercising your right of dissent. The objective is to obtain a “Special Retraction Right”, as is standard when the maturities of Split Shares are extended, that will allow shareholders to opt to receive the original deal. That’s the main thing. But those who are interested in extending term should demand that the company renew and maintain a public credit rating from two major credit rating agencies – it was almost three years ago that the company cancelled this service which, while being of controversial intrinsic value, serves admirably to focus management’s and directors’ attention during bad times – which is particularly important in the fragmented, retail preferred share market.

Market Action

December 15, 2015

The equities markets did well today:

The Standard & Poor’s 500 Index capped its first back-to-back gains in more than a month as energy companies led a rally with crude oil, while Federal Reserve officials started a two-day meeting at which they’re widely expected to raise interest rates for the first time since 2006.
…
The S&P 500 climbed 1.1 percent to 2,043.41 at 4 p.m. in New York, marking its first consecutive increases since Nov. 3. The Dow Jones Industrial Average rose 156.41 points, or 0.9 percent, to 17,524.91, even as 3M’s retreat amounted to about 63 points off the index. The Nasdaq Composite Index rallied 0.9 percent. About 8.1 billion shares traded hands on U.S. exchanges, 12 percent above the three-month average.
…
Fed officials announce their rate decision tomorrow at 2 p.m. in Washington, and traders are pricing in a 78 percent chance of a liftoff. Data today reinforced expectations for a gradual increase in rates, with the cost of living holding steady in November, underscoring scant inflation that is well below the Fed’s goal. Among the other few economic cues before the rate announcement are reports on housing starts and industrial production Wednesday.

And the junk market is hearing some whispering from bottom feeders:

Amid an almost 6 percent selloff in high-yield debt this year, speculative-grade credit is yielding 3.52 percentage points more than stocks in the Standard & Poor’s 500 Index are earning — the widest spread since 2010, according to data compiled by Bloomberg. Since the start of the 6 1/2-year bull market, junk securities have held an advantage of less than half that — 1.36 percent — over equity counterparts, the data show.

junkEquitySpread_151215
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Tracy Alloway of Bloomberg points out that regulations affecting repos indirectly affect corporate bond liquidity:

While the focus, when it comes to a lack of liquidity in the bond market, has often been placed squarely on the shrinking amount of bonds on dealer-bank balance sheets, a further change to the banking business is arguably exacerbating the recent downward spiral in debt. That change is the shrinking of the repo business, which involves banks lending their balance sheets to clients and is often described as the great lubricator for financial markets.

The business has been shrinking in recent years. A huge regulatory overhaul has made repo more expensive in the face of various new mandates, including the leverage ratio and the net stable funding ratio, encouraging banks to pull back on their repo business and helping to push repo rates higher.

generalCollateral_151215
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Barrick announced pricing for its debt tender deal.

Dominion and Anglo Investment Corporation Limited, which is a major vehicle of the Jackman family, has tightened control of E-L Financial, proud issuer of ELF.PR.F, ELF.PR.G and ELF.PR.H:

Dominion and Anglo Investment Corporation Limited (“Dominion and Anglo”) announces that it acquired a further 80,000 Common Shares of E-L Financial Corporation Limited (“E-L Financial”) (TSX:ELF) (TSX:ELF.PR.F) (TSX:ELF.PR.G) (TSX:ELF.PR.H), increasing its ownership from 1,302,323 (32.4%) of the Common Shares to 1,382,323 (34.39%) of the Common Shares. Dominion and Anglo has an informal understanding with other shareholders of E-L Financial under which they act in concert with respect to the voting of securities of E-L Financial held by them. The purchase increases the ownership of Dominion and Anglo and these other shareholders from 2,748,329 (68.38%) of the Common Shares to 2,828,329 (70.37%) of the Common Shares. The purchase was effected through the facilities of the Toronto Stock Exchange for consideration of $680.00 per share.

But guess what, preferred share fans? Santa came early!

santaCash
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It was an extremely strong day for the Canadian preferred share market … I suspect some major player decided to get in now rather than wait for the end of tax-loss selling season, when every other potential buyer will be in the market while the tax-loss sellers enjoy the holidays. PerpetualDiscounts gained 68bp, FixedResets won 430bp and DeemedRetractibles were up 81bp. The Performance Highlights table is, of course, immense, with no less than 31 issues exceeding the 5% change level that is normally indicative of some kind of problem; there were no losers. Volume continued to be extremely heavy.

For those keeping score, TXPR is now down 5.65% on the month to date, but 3.68% above its low of yesterday.

TXPR_151215
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TXPL is down 7.07% on the month to date, but 5.24% above its low of yesterday.

TXPL_151215
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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 4.98 % 6.06 % 35,128 16.58 1 3.0189 % 1,558.0
FixedFloater 7.39 % 6.54 % 36,155 15.57 1 0.7048 % 2,641.7
Floater 4.34 % 4.41 % 84,987 16.61 4 3.5910 % 1,761.3
OpRet 4.87 % 4.27 % 27,384 0.70 1 0.0000 % 2,734.3
SplitShare 4.87 % 5.85 % 83,582 1.87 6 0.2237 % 3,174.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2237 % 2,476.8
Perpetual-Premium 5.88 % 5.97 % 91,219 13.86 7 0.0866 % 2,464.8
Perpetual-Discount 5.84 % 5.91 % 103,412 13.96 33 0.6836 % 2,452.4
FixedReset 5.40 % 4.88 % 260,807 15.12 79 4.2975 % 1,912.7
Deemed-Retractible 5.28 % 5.33 % 135,712 5.31 33 0.8071 % 2,541.0
FloatingReset 2.86 % 4.53 % 67,455 5.67 11 0.7549 % 2,064.3
Performance Highlights
Issue Index Change Notes
BAM.PR.N Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 6.23 %
SLF.PR.B Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.99 %
GWO.PR.G Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 6.66 %
GWO.PR.F Deemed-Retractible 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-01-14
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -2.10 %
BAM.PF.H FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 23.14
Evaluated at bid price : 24.95
Bid-YTW : 4.92 %
CM.PR.O FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 4.78 %
PWF.PR.R Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 23.20
Evaluated at bid price : 23.60
Bid-YTW : 5.90 %
TD.PR.Z FloatingReset 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 4.54 %
BMO.PR.R FloatingReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 4.32 %
SLF.PR.E Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.23
Bid-YTW : 7.42 %
ELF.PR.G Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.01 %
SLF.PR.C Deemed-Retractible 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.09
Bid-YTW : 7.47 %
SLF.PR.D Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.96
Bid-YTW : 7.56 %
TD.PR.S FixedReset 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.08
Bid-YTW : 4.35 %
PVS.PR.E SplitShare 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 6.07 %
HSB.PR.D Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-01-14
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.83 %
BNS.PR.B FloatingReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 4.89 %
ELF.PR.H Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 22.67
Evaluated at bid price : 23.02
Bid-YTW : 6.07 %
BNS.PR.Y FixedReset 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 6.70 %
CU.PR.I FixedReset 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 23.04
Evaluated at bid price : 24.65
Bid-YTW : 4.50 %
GWO.PR.H Deemed-Retractible 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 7.02 %
NA.PR.Q FixedReset 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 4.20 %
SLF.PR.G FixedReset 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 9.11 %
BAM.PF.E FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 5.14 %
TRP.PR.F FloatingReset 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 4.53 %
CM.PR.P FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.80 %
W.PR.H Perpetual-Discount 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 22.14
Evaluated at bid price : 22.42
Bid-YTW : 6.24 %
NA.PR.W FixedReset 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.91 %
BMO.PR.Z Perpetual-Discount 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 22.52
Evaluated at bid price : 22.85
Bid-YTW : 5.51 %
NA.PR.S FixedReset 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.93 %
GWO.PR.I Deemed-Retractible 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.38
Bid-YTW : 7.32 %
W.PR.J Perpetual-Discount 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 22.36
Evaluated at bid price : 22.63
Bid-YTW : 6.30 %
RY.PR.Z FixedReset 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.54 %
MFC.PR.H FixedReset 2.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 6.12 %
BMO.PR.T FixedReset 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 4.69 %
RY.PR.H FixedReset 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.58 %
BNS.PR.P FixedReset 2.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 4.04 %
CIU.PR.C FixedReset 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 4.03 %
TRP.PR.H FloatingReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 9.93
Evaluated at bid price : 9.93
Bid-YTW : 4.33 %
MFC.PR.F FixedReset 2.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.95
Bid-YTW : 9.68 %
TRP.PR.A FixedReset 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.68 %
TD.PF.B FixedReset 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.61 %
BAM.PF.F FixedReset 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.01 %
BAM.PR.E Ratchet 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 25.00
Evaluated at bid price : 13.65
Bid-YTW : 6.06 %
BMO.PR.W FixedReset 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.66 %
BIP.PR.A FixedReset 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 5.77 %
BNS.PR.Q FixedReset 3.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.04
Bid-YTW : 4.61 %
RY.PR.M FixedReset 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.72 %
TRP.PR.G FixedReset 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.88 %
PWF.PR.T FixedReset 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 3.80 %
BMO.PR.Q FixedReset 3.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.68
Bid-YTW : 6.44 %
RY.PR.J FixedReset 3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.78 %
BAM.PF.G FixedReset 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.97 %
BNS.PR.Z FixedReset 3.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.84
Bid-YTW : 7.36 %
HSE.PR.G FixedReset 3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.03 %
TD.PF.A FixedReset 3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 4.53 %
CU.PR.C FixedReset 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.50 %
HSE.PR.E FixedReset 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.96 %
TD.PF.C FixedReset 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 4.62 %
RY.PR.L FixedReset 3.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.08 %
TD.PF.E FixedReset 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.67 %
HSE.PR.C FixedReset 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.95 %
BAM.PR.B Floater 4.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.41 %
BAM.PR.C Floater 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.50 %
BAM.PR.X FixedReset 4.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 5.10 %
GWO.PR.N FixedReset 4.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.10
Bid-YTW : 10.21 %
TRP.PR.E FixedReset 4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.60 %
RY.PR.I FixedReset 4.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 4.27 %
FTS.PR.G FixedReset 4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.62 %
BAM.PF.A FixedReset 4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.11 %
BAM.PF.B FixedReset 5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 5.01 %
VNR.PR.A FixedReset 5.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 4.97 %
BMO.PR.Y FixedReset 5.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.57 %
TRP.PR.C FixedReset 5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.97 %
SLF.PR.I FixedReset 5.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.03 %
BMO.PR.M FixedReset 5.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 3.80 %
BNS.PR.R FixedReset 5.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 4.26 %
TD.PF.D FixedReset 5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 4.67 %
BAM.PR.R FixedReset 5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.19 %
SLF.PR.H FixedReset 5.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.45
Bid-YTW : 8.47 %
BAM.PR.T FixedReset 5.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 5.03 %
TRP.PR.D FixedReset 6.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.75 %
FTS.PR.K FixedReset 6.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.19 %
BAM.PR.K Floater 6.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 10.66
Evaluated at bid price : 10.66
Bid-YTW : 4.43 %
MFC.PR.K FixedReset 6.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.41 %
BMO.PR.S FixedReset 6.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.58 %
BAM.PR.Z FixedReset 7.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.09 %
FTS.PR.M FixedReset 7.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.38 %
CM.PR.Q FixedReset 7.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.72 %
MFC.PR.L FixedReset 7.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.47
Bid-YTW : 7.35 %
TRP.PR.B FixedReset 7.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 4.57 %
IAG.PR.G FixedReset 7.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.45
Bid-YTW : 6.39 %
MFC.PR.M FixedReset 7.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.34 %
MFC.PR.J FixedReset 8.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 6.50 %
HSE.PR.A FixedReset 8.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 5.42 %
IFC.PR.C FixedReset 8.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.05
Bid-YTW : 7.06 %
MFC.PR.N FixedReset 8.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.19 %
MFC.PR.G FixedReset 9.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 6.38 %
IFC.PR.A FixedReset 9.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.64
Bid-YTW : 9.05 %
MFC.PR.I FixedReset 9.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.03
Bid-YTW : 6.09 %
FTS.PR.H FixedReset 11.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 4.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.K FixedReset 241,305 New issue settled today.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 22.81
Evaluated at bid price : 24.10
Bid-YTW : 5.41 %
GWO.PR.N FixedReset 119,159 Scotia crossed 10,000 at 12.67. RBC sold blocks of 58,700 and 20,000 to anonymous, both at 13.05.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.10
Bid-YTW : 10.21 %
BAM.PF.A FixedReset 77,694 Scotia crossed 30,000 at 18.10.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.11 %
MFC.PR.F FixedReset 72,914 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.95
Bid-YTW : 9.68 %
CM.PR.O FixedReset 69,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 4.78 %
BAM.PR.R FixedReset 63,185 Scotia crossed 22,300 at 14.76.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.19 %
There were 87 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.G FixedFloater Quote: 12.86 – 14.50
Spot Rate : 1.6400
Average : 0.9694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 25.00
Evaluated at bid price : 12.86
Bid-YTW : 6.54 %
MFC.PR.H FixedReset Quote: 21.35 – 22.33
Spot Rate : 0.9800
Average : 0.5651

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 6.12 %
PWF.PR.P FixedReset Quote: 13.01 – 13.75
Spot Rate : 0.7400
Average : 0.4394

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-12-15
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 4.58 %
MFC.PR.M FixedReset Quote: 18.75 – 19.61
Spot Rate : 0.8600
Average : 0.5880

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.34 %
SLF.PR.I FixedReset Quote: 19.25 – 20.00
Spot Rate : 0.7500
Average : 0.4837

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.03 %
BNS.PR.P FixedReset Quote: 23.76 – 24.48
Spot Rate : 0.7200
Average : 0.4757

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 4.04 %