MAPF

MAPF Portfolio Composition: November, 2017

Turnover declined slightly to about 7% in November.

There is extreme segmentation in the marketplace, with OSFI’s NVCC rule changes in February 2011 having had the effect of splitting the formerly relatively homogeneous Straight Perpetual class of preferreds into three parts:

  • Unaffected Straight Perpetuals
  • DeemedRetractibles explicitly subject to the rules (banks)
  • DeemedRetractibles considered by me, but not (yet!) by the market, to be likely to be explicitly subject to the rules in the future (insurers and insurance holding companies)

This segmentation, and the extreme valuation differences between the segments, has cut down markedly on the opportunities for trading.

To make this more clear, it used to be that there were 70-odd Straight Perpetuals and I was more or less indifferent as to which ones I owned (subject, of course, to issuer concentration concerns and other risk management factors). Thus, if any one of these 70 were to go down in price by – say – $0.25, I would quite often have something in inventory that I’d be willing to swap for it. The segmentation means that I am no longer indifferent; in addition to checking the valuation of a potential buy to other Straights, I also have to check its peer group. This cuts down on the potential for trading.

And, of course, the same segmentation has the same effect on trading opportunities between FixedReset issues.

There is no real hope that this situation will be corrected in the near-term. OSFI has indicated that the long-promised “Draft Definition of Capital” for insurers will not be issued “for public consultation in late 2012 or early 2013”, as they fear that it might encourage speculation in the marketplace. It is not clear why OSFI is so afraid of informed speculation, since the constant speculation in the marketplace is currently less informed than it would be with a little bit of regulatory clarity. While the framework has been updated, the modifications focus on the amount of capital required, not the required characteristics of that capital. However, OSFI has recently indicated that it would support a mechanism similar to the NVCC rule for banks, so we may see some developments as the IAIS deliberations regarding insurance capital continue.

As a result of this delay, I have extended the Deemed Maturity date for insurers and insurance holding companies by three years (to 2025-1-31), in the expectation that when OSFI finally does provide clarity, they will allow the same degree of lead-in time for these companies as they did for banks. This had a major effect on the durations of preferred shares subject to the change but, fortunately, not much on their calculated yields as most of these issues were either trading near par when the change was made or were trading at sufficient premium that a par call was expected on economic grounds. However, with the declines in the market over the past nine months, the expected capital gain on redemption of the insurance-issued DeemedRetractibles has become an important component of the calculated yield.

Due to the footdragging by OSFI, I will be extending the DeemedMaturity date for insurance issues by another few years in the near future.

Sectoral distribution of the MAPF portfolio on November 30 was as follows:

MAPF Sectoral Analysis 2017-11-30
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 8.3% 4.60% 5.42
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 11.5% 5.24% 15.05
Fixed-Reset 59.5% 5.99% 8.24
Deemed-Retractible 2.1% 5.71% 5.91
FloatingReset 7.9% 7.85% 6.39
Scraps (Various) 9.7% 6.13% 12.44
Cash +0.9% 0.00% 0.00
Total 100% 5.89% 8.92
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or 2025-1-3 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See OSFI Does Not Grandfather Extant Tier 1 Capital, CM.PR.D, CM.PR.E, CM.PR.G: NVCC Status Confirmed and the January, February, March and June, 2011, editions of PrefLetter for the rationale behind this analysis.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue.
Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 1.62% and a constant 3-Month Bill rate of 0.87%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2017-11-30
DBRS Rating Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 42.8%
Pfd-2 31.4%
Pfd-2(low) 15.3%
Pfd-3(high) 2.0%
Pfd-3 4.3%
Pfd-3(low) 2.8%
Pfd-4(high) 0%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0.6%
Pfd-5 0.0%
Cash +0.9%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.C, which is rated P-5(high) by S&P and is unrated by DBRS; it is included in the Pfd-5(high) total.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.

Liquidity Distribution is:

MAPF Liquidity Analysis 2017-11-30
Average Daily Trading Weighting
<$50,000 13.0%
$50,000 – $100,000 42.8%
$100,000 – $200,000 39.4%
$200,000 – $300,000 1.0%
>$300,000 3.6%
Cash +0.2%
Totals will not add precisely due to rounding.

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited. A “unit trust” is like a regular mutual fund, but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) (and other funds) as of July 31, 2017, and published in the August, 2017, PrefLetter. It is fair to say:

  • MAPF credit quality is much better
  • MAPF liquidity is lower
  • MAPF Yield is higher
  • Weightings
    • MAPF has similar exposure to Straight Perpetuals
      • Much more exposed to PerpetualDiscounts
      • Much less exposed to DeemedRetractibles
      • A little less exposed to PerpetualPremiums
    • Neither portfolio is exposed to Operating Retractibles (there aren’t too many of those any more!)
    • MAPF is more exposed to SplitShares
    • MAPF is a little less exposed to FixFloat / Floater / Ratchet
    • MAPF is a little higher weighted in FixedResets, but has a greater emphasis on lower-spread issues

    f

Issue Comments

NPI.PR.C To Reset At 5.08%

Northland Power Inc. has announced:

the fixed dividend rate on its Cumulative Rate Reset Preferred Shares, Series 3 (“Series 3 Shares”) for the five years commencing December 31, 2017 and ending December 30, 2022. The fixed quarterly dividends on the Series 3 Shares during that period will be paid at an annual rate of 5.08% (Cdn. $0.3132 per share per quarter).

Holders of Series 3 Shares have the right, at their option, exercisable not later than 5:00 pm (Toronto time) on December 18, 2017, to elect to convert all or part of their Series 3 Shares, on a one-for-one basis, into Cumulative Floating Rate Preferred Shares, Series 4 (the “Series 4 Shares”), effective December 31, 2017. Holders of Series 3 Shares are not required to elect to convert all or any part of their Series 3 Shares into Series 4 Shares.

The quarterly floating rate dividends on the Series 4 Shares will be paid at an annual rate, calculated for each quarter, of 3.46% over the annual yield on 90-day Government of Canada treasury bills. The actual quarterly dividend rate in respect of the December 31, 2017 to March 30, 2018 dividend period for the Series 4 Shares will be 1.07% (4.33% on an annualized basis) and the dividend, if and when declared, for such dividend period will be Cdn. $0.2669 per share, payable on March 31, 2018.

As provided in the share conditions of the Series 3 Shares, if Northland determines that, after giving effect to the election notices received to convert Series 3 Shares, there would be fewer than 1,000,000 (i) Series 3 Shares outstanding after December 31, 2017, all remaining Series 3 Shares will be automatically converted into Series 4 Shares on a one-for-one basis effective December 31, 2017; and (ii) Series 4 Shares outstanding after December 31, 2017, no Series 3 Shares will be permitted to be converted into Series 4 Shares. There are currently 4,800,000 Series 3 Shares outstanding.

Northland intends to apply to the Toronto Stock Exchange (“TSX”) to list the Series 4 Shares effective upon conversion. Listing of the Series 4 Shares will be subject to Northland fulfilling all the listing requirements of the TSX and, upon approval, the Series 4 Shares will be listed on the TSX under the trading symbol “NPI.PR.D.”

NPI.PR.C is a FixedReset, 5.00%+346, that commenced trading 2012-5-24 after being announced 2012-5-14. It is tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., IFC.PR.A and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_171201
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The market appears to have a distaste at the moment for floating rate product; most of the implied rates until the next interconversion are lower than the current 3-month bill rate and the averages for investment-grade and junk issues are both well below current market rates, at +0.38% and +0.49%, respectively! Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the NPI.PR.C FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset NPI.PR.D counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset NPI.PR.D (received in exchange for NPI.PR.C) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.00% 0.50% 0.00%
NPI.PR.C 24.52 346bp 23.90 23.39 22.89

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts. Therefore, it seems likely that I will recommend that holders of NPI.PR.C continue to hold the issue and not to convert, but I will wait until it’s closer to the December 18 notification deadline before making a final pronouncement. I will note that, given the apparent cheapness of the FloatingResets, it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Issue Comments

IFC.PR.A To Reset At 3.396%

Intact Financial Corporation has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Non-cumulative Rate Reset Class A Shares Series 1 of IFC (the “Series 1 Preferred Shares”) (TSX: IFC.PR.A) on December 31, 2017. As a result, subject to certain conditions set out in the prospectus dated July 5, 2011 relating to the issuance of the Series 1 Preferred Shares (the “Prospectus”), the holders thereof will have the right, at their option, to elect to convert all or any of their Series 1 Preferred Shares into Non-cumulative Floating Rate Class A Shares Series 2 of IFC (the “Series 2 Preferred Shares”) on a one-for-one basis on December 31, 2017. Holders who do not exercise their right to convert their Series 1 Preferred Shares into Series 2 Preferred Shares on such date will retain their Series 1 Preferred Shares, unless automatically converted in accordance with the conditions below.

With respect to any Series 1 Preferred Shares that remain outstanding after December 31, 2017, commencing as of such date, holders thereof will be entitled to receive fixed non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of IFC. The annual dividend rate for the Series 1 Preferred Shares for the five-year period from and including December 31, 2017 to but excluding December 31, 2022 will be 3.396%, as determined in accordance with the terms of the Series 1 Preferred Shares.

With respect to any Series 2 Preferred Shares that may be issued on December 31, 2017, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of IFC. The dividend rate for the Series 2 Preferred Shares for the 3-month floating rate period from and including December 31, 2017 to but excluding March 31, 2018 will be 0.63912% (2.592% on an annualized basis), as determined in accordance with the terms of the Series 2 Preferred Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

The foregoing conversion right is subject to the conditions that: (i) if IFC determines that there would be less than 1,000,000 Series 1 Preferred Shares outstanding on December 31, 2017, then all remaining Series 1 Preferred Shares will automatically be converted into an equal number of Series 2 Preferred Shares on December 31, 2017, and (ii) alternatively, if IFC determines that there would be less than 1,000,000 Series 2 Preferred Shares outstanding on December 31, 2017, then no Series 1 Preferred Shares will be converted into Series 2 Preferred Shares. In either case, IFC will give written notice to that effect to any registered holders of Series 1 Preferred Shares on or before December 24, 2017.

The Series 1 Preferred Shares are issued in “book entry only” form and must be purchased or transferred through a participant in the CDS depository service (“CDS Participant”). All rights of holders of Series 1 Preferred Shares must be exercised through CDS or the CDS Participant through which the Series 1 Preferred Shares are held. As such, beneficial holders of Series 1 Preferred Shares who wish to exercise their right to convert their shares during the conversion period, which will run from Friday, December 1, 2017 until 5:00 p.m. (Toronto time) on Friday, December 15, 2017, should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps. Any notices received after the deadline will not be valid.

Holders of the Series 1 Preferred Shares and the Series 2 Preferred Shares will have the opportunity to convert their shares again on December 31, 2022, and every five years thereafter as long as the shares remain outstanding. Subject to certain conditions described in the Prospectus, IFC may redeem the Series 1 Preferred Shares, in whole or in part, on December 31, 2022 and on December 31 every five years thereafter and may redeem the Series 2 Preferred Shares, in whole or in part, after December 31, 2017.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 2 Preferred Shares effective on conversion. Listing of the Series 2 Preferred Shares is subject to IFC fulfilling all of the listing requirements of the TSX.

For more information on the terms of, and risks associated with an investment in, the Series 1 Preferred Shares and the Series 2 Preferred Shares, please see IFC’s prospectus dated July 5, 2011 which is available on www.sedar.com.

IFC.PR.A is a FixedReset, 4.20%+172, that commenced trading 2011-7-12 after being announced 2011-6-22. The issue is tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

As this issue is not NVCC compliant and it is an insurance issue, it is analyzed as having a Deemed Retraction. Note that I am less certain with respect to this decision than I am with life insurers – it is by no means assured that property and casualty insurers will be treated the same as life insurers once all the regulatory dust settles.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., IFC.PR.A and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_171201
Click for Big

The market appears to have a distaste at the moment for floating rate product; most of the implied rates until the next interconversion are lower than the current 3-month bill rate and the averages for investment-grade and junk issues are both well below current market rates, at +0.38% and +0.49%, respectively! Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the IFC.PR.A FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for IFC.PR.A) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.00% 0.50% 0.00%
IFC.PR.A 20.03 172bp 19.32 18.80 18.28

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts. Therefore, it seems likely that I will recommend that holders of IFC.PR.A continue to hold the issue and not to convert, but I will wait until it’s closer to the December 15 notification deadline before making a final pronouncement. I will note that, given the apparent cheapness of the FloatingResets, it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Issue Comments

PVS.PR.C To Be Redeemed

Partners Value Split Corp. has announced (on 2017-11-28):

its intention to redeem all 4,999,000 of its Class AA Senior Preferred Shares, Series 5 (“Preferred Shares, Series 5”) for cash on December 10, 2017 (the “Redemption Date”) in accordance with the terms of the Preferred Shares, Series 5.

The redemption price per Preferred Shares, Series 5 will be equal to C$25.00 plus accrued and unpaid dividends of C$0.030653 per share to December 9, 2017, representing a total redemption price of C$25.030653 per share (the “Redemption Price”).

Notice will be delivered to holders of the Preferred Shares, Series 5 in accordance with the terms of the Preferred Shares, Series 5.

From and after the Redemption Date, the Preferred Shares, Series 5 will cease to be entitled to dividends or any other participation in any distribution of the assets of the Company and the holders thereof shall not be entitled to exercise any of their other rights as shareholders in respect thereof except to receive the Redemption Price (less any tax required to be deducted and withheld by the Company). After the redemption of the Preferred Shares, Series 5, the Company will consolidate the existing capital shares held by Partners Value Investments Inc. so that there are an equal number of preferred shares and capital shares outstanding.

PVS.PR.C came into existence by a ticker change from BNA.PR.E on 2014-7-19. BNA.PR.E commenced trading 2010-12-10 after being announced 2010-11-22. It is tracked by HIMIPref™ and is a member of the SplitShare sub-index.

Issue Comments

BIG.PR.D: Partial Call for Redemption

Timbercreek Asset Management Inc. has announced:

Big 8 Split Inc. (the “Company”) (TSX: BIG.D) (TSX: BIG.PR.D) announced today, a total of 153,961 Class D Preferred Shares and 153,961 Class D Capital Shares, or approximately 14.90% of both classes of shares currently outstanding, will be redeemed as a result of holders of 153,961 Units exercising their special annual concurrent retraction privilege. The holders will only be entitled to receive dividends on those which have been declared but remain unpaid up to and including December 15, 2017.

Payments and delivery of cash and common shares owing as a result of shareholders having exercised their retraction privilege, will be made by the Company on December 15, 2017.

The Company was established to generate dividend income for the Class D Preferred Shares while providing holders of the Class D Capital Shares with a leveraged opportunity to participate in capital appreciation from a portfolio of common shares of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, The Toronto-Dominion Bank, Great-West Lifeco Inc., Manulife Financial Corporation, and Sun Life Financial Inc. Information concerning Big 8 Split Inc. is available on our website at www.timbercreek.com/investments/managed-companies/big8-split-inc/overview.

The Class D Capital Shares and Class D Preferred Shares of Big 8 Split are listed on the Toronto Stock Exchange under the symbols BIG.D and BIG.pr.D respectively.

BIG.PR.D is not tracked by HIMIPref™, as it is too small to allow reasonable expectations of efficient trading.

Market Action

December 1, 2017

Well, the hardworking folks at FAIR Canada have finally released (some time after November 11, when I sent my still-unanswered eMail of inquiry) their Financial Statements for the Year Ended 2017-6-30 and they’re most interesting. Their good buddies and former employers at the OSC continue to regard the funds under OSC’s control as some kind of superannuation scheme.

fair_osc_170630_1
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fair_osc_170630_2
Click for Big

It’s a disgusting situation. The source of these funds is fines and penalties levied on the investment industry, which makes this flim-flam nothing more than the most offensive kind of civil forfeiture scheme. The OSC should be required to remit all fines and penalties to the Ontario treasury immediately upon receipt to discourage this sort of backscratching. The current system is just ridiculous:

The OSC has a number of settlement agreements and orders arising from enforcement proceedings where monies from these settlements and orders are to be set aside and allocated to such third parties as the Board of the OSC may determine. As a result of an amendment to the Securities Act (Ontario) effective June 2012, these funds are eligible to be allocated to the OSC for the purpose of educating investors, or promoting or otherwise enhancing knowledge and information of persons regarding the operation of the securities and financial markets, including such designated internal costs as approved by the Board.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.0982 % 2,515.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0982 % 4,616.6
Floater 3.63 % 3.83 % 33,891 17.72 4 1.0982 % 2,660.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0721 % 3,123.8
SplitShare 4.72 % 3.57 % 54,258 1.08 6 -0.0721 % 3,730.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0721 % 2,910.6
Perpetual-Premium 5.35 % 3.50 % 53,990 0.09 20 -0.0392 % 2,841.1
Perpetual-Discount 5.18 % 5.23 % 71,496 15.04 14 -0.0727 % 3,027.4
FixedReset 4.24 % 4.28 % 144,195 4.46 98 -0.4710 % 2,491.0
Deemed-Retractible 5.03 % 5.29 % 89,953 5.97 30 -0.0561 % 2,955.8
FloatingReset 2.71 % 2.73 % 40,317 3.94 8 -0.1845 % 2,681.2
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.56
Evaluated at bid price : 22.90
Bid-YTW : 4.39 %
BAM.PR.X FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 4.59 %
HSE.PR.A FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 4.61 %
BAM.PF.E FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.91
Evaluated at bid price : 23.65
Bid-YTW : 4.46 %
BAM.PF.B FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 23.46
Evaluated at bid price : 23.92
Bid-YTW : 4.48 %
TRP.PR.D FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.26
Evaluated at bid price : 22.65
Bid-YTW : 4.43 %
RY.PR.Z FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.80
Evaluated at bid price : 23.23
Bid-YTW : 4.13 %
SLF.PR.G FixedReset -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.44
Bid-YTW : 7.53 %
RY.PR.J FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 23.27
Evaluated at bid price : 24.47
Bid-YTW : 4.30 %
IAG.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 4.75 %
RY.PR.M FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 23.11
Evaluated at bid price : 24.30
Bid-YTW : 4.21 %
BAM.PR.Z FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.94
Evaluated at bid price : 24.40
Bid-YTW : 4.68 %
MFC.PR.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.41 %
BAM.PR.K Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 14.78
Evaluated at bid price : 14.78
Bid-YTW : 3.83 %
PWF.PR.A Floater 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset 159,215 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.75 %
W.PR.K FixedReset 113,160 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.79 %
BMO.PR.T FixedReset 56,181 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.56
Evaluated at bid price : 22.93
Bid-YTW : 4.21 %
BMO.PR.D FixedReset 27,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.97 %
MFC.PR.J FixedReset 23,474 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.47 %
TD.PF.A FixedReset 21,484 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 23.03
Evaluated at bid price : 23.38
Bid-YTW : 4.15 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 23.65 – 24.14
Spot Rate : 0.4900
Average : 0.3466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.91
Evaluated at bid price : 23.65
Bid-YTW : 4.46 %
BAM.PF.B FixedReset Quote: 23.92 – 24.30
Spot Rate : 0.3800
Average : 0.2525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 23.46
Evaluated at bid price : 23.92
Bid-YTW : 4.48 %
TRP.PR.G FixedReset Quote: 24.02 – 24.47
Spot Rate : 0.4500
Average : 0.3287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.98
Evaluated at bid price : 24.02
Bid-YTW : 4.59 %
BAM.PR.Z FixedReset Quote: 24.40 – 24.70
Spot Rate : 0.3000
Average : 0.2134

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.94
Evaluated at bid price : 24.40
Bid-YTW : 4.68 %
IAG.PR.G FixedReset Quote: 23.85 – 24.07
Spot Rate : 0.2200
Average : 0.1352

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 4.75 %
PVS.PR.B SplitShare Quote: 25.20 – 25.49
Spot Rate : 0.2900
Average : 0.2159

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.57 %
Market Action

November 30, 2017

That’s it for another month! Not a bad one at all, TXPR up 70bp.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6967 % 2,488.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6967 % 4,566.4
Floater 3.63 % 3.86 % 102,491 17.65 3 0.6967 % 2,631.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0656 % 3,126.0
SplitShare 4.72 % 3.56 % 55,006 1.08 6 0.0656 % 3,733.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0656 % 2,912.7
Perpetual-Premium 5.34 % 4.66 % 55,292 2.20 20 -0.0039 % 2,842.2
Perpetual-Discount 5.18 % 5.23 % 68,746 15.05 15 -0.0422 % 3,029.6
FixedReset 4.22 % 4.17 % 145,204 4.46 98 -0.0142 % 2,502.8
Deemed-Retractible 5.03 % 5.24 % 90,099 5.97 30 0.0389 % 2,957.5
FloatingReset 2.71 % 2.70 % 41,186 3.94 8 -0.1301 % 2,686.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.32 %
BIP.PR.A FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 23.16
Evaluated at bid price : 24.27
Bid-YTW : 5.18 %
GWO.PR.F Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : -35.06 %
SLF.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.34 %
PWF.PR.A Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.31 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.M FixedReset 701,193 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 3.94 %
BMO.PR.M FixedReset 319,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 3.40 %
BAM.PF.B FixedReset 125,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 23.82
Evaluated at bid price : 24.24
Bid-YTW : 4.42 %
NA.PR.A FixedReset 120,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 3.56 %
BAM.PF.I FixedReset 78,560 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.96 %
BMO.PR.C FixedReset 64,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.90 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Quote: 22.90 – 23.31
Spot Rate : 0.4100
Average : 0.2965

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.25 %
BAM.PF.J FixedReset Quote: 25.65 – 26.00
Spot Rate : 0.3500
Average : 0.2452

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.42 %
GWO.PR.G Deemed-Retractible Quote: 24.87 – 25.17
Spot Rate : 0.3000
Average : 0.1994

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 5.25 %
BAM.PR.T FixedReset Quote: 21.15 – 21.38
Spot Rate : 0.2300
Average : 0.1485

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.58 %
BAM.PF.F FixedReset Quote: 24.80 – 25.00
Spot Rate : 0.2000
Average : 0.1236

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 23.55
Evaluated at bid price : 24.80
Bid-YTW : 4.51 %
PWF.PR.E Perpetual-Premium Quote: 25.30 – 25.57
Spot Rate : 0.2700
Average : 0.1962

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -3.54 %
Issue Comments

BBD: DBRS Upgrades Trend to Stable

DBRS has announced (on 2017-11-27) that it:

confirmed the Issuer Rating of Bombardier Inc. (Bombardier or the Company) at B and has changed the trend to Stable from Negative. This action reflects some evidence of stabilization in the Company’s financial profile, albeit at a very weak level; the expectation that further modest improvement should be achievable over the next 12 months; material progress achieved after two years of the Company’s margin-improving five-year transformation initiative, especially in the rail division; greater visibility regarding the viability of the C Series program as a result of the partnership announced with Airbus SE; and liquidity that remains sufficient for near-term requirements. Bombardier’s rating continues to be supported by its 70% stake in Bombardier Transportation (BT), a global leader in rail manufacturing and solutions; the significant capital and technological barriers to entry into its various business lines; and the Company’s broad portfolio of business aircraft offerings, to be complemented by the ultra-long-distance Global 7000, which is currently undergoing flight testing and may enter into service in H2 2018. Significant execution risks associated with new aircraft development, volatile end markets and modest margins are structural challenges.
…
DBRS anticipates that the Company’s business risk profile is likely to remain largely unchanged over the next 12 months, although further improvements from the transformation program should be supportive. The financial risk profile should achieve modest improvement, although DBRS views the Company’s target of achieving a free cash flow break-even position in 2018 as aggressive. Key metrics are projected to improve to within at least the B rating category in F2018.

Overall, DBRS views Bombardier’s strategic actions, such as the Airbus partnership, operating performance within the context of the transformation plan and important milestones achieved such as the successful flight testing hours of the Global 7000 as illustrative of a more stable footing. Liquidity remains adequate for near-term requirements and there are no significant long-term debt maturities until 2020. (DBRS expects the new issuance of 7.50% Senior Notes due in 2024 that is currently underway, and the associated tender offer for the 4.75% Senior Notes due 2019, to be successful.) Bombardier would need to demonstrate material improvement in key financial metrics and prove that free cash flow surpluses have been achieved or are imminent before DBRS would consider an upgrade. Significant cost overruns or Entry-Into-Service (EIS) delays of the Global 7000, evidence that the margin gains under the transformation plan are not sustainable, concerns regarding liquidity, or substantial downturns in key destination markets may lead to DBRS considering a downgrade.
…
This is an unsolicited credit rating.

This rating is no longer endorsed by DBRS Ratings Limited for use in the European Union.

BBD was downgraded to Pfd-4(low) by DBRS in November 2013, and the preferred share coverage was immediately discontinued. Affected issues (since the issuer rating will affect everything) are BBD.PR.B, BBD.PR.C and BBD.PR.D.

S&P downgraded the issues to P-5(low) in September 2016, where they remain.

New Issues

New Issue: PPL FixedReset 4.90%+326M490

Pembina Pipeline Corporation has announced (on 2017-11-28):

that it has entered into an agreement with a syndicate of underwriters co-led by RBC Capital Markets, CIBC World Markets, and Scotiabank (together, the “Underwriters”) pursuant to which the Underwriters have agreed to purchase from Pembina 12,000,000 cumulative redeemable minimum rate reset class A preferred shares, Series 21 (the “Series 21 Preferred Shares”) at a price of $25.00 per share for distribution to the public.

The holders of Series 21 Preferred Shares will be entitled to receive fixed cumulative dividends at an annual rate of $1.225 per share, payable quarterly on the 1st day of March, June, September and December, as and when declared by the Board of Directors of Pembina, yielding 4.90 percent per annum, for the initial fixed rate period to but excluding March 1, 2023. The first quarterly dividend payment date is scheduled for March 1, 2018. The dividend rate will reset on March 1, 2023 and every five years thereafter at a rate equal to the sum of the then five-year Government of Canada bond yield plus 3.26 percent, provided that, in any event, such rate shall not be less than 4.90 percent per annum. The Series 21 Preferred Shares are redeemable by Pembina, at its option, on March 1, 2023 and on March 1 of every fifth year thereafter at a price of $25.00 per share plus accrued and unpaid dividends.

The holders of Series 21 Preferred Shares will have the right to convert their shares into cumulative redeemable floating rate class A preferred shares, Series 22 (the “Series 22 Preferred Shares”), subject to certain conditions, on March 1, 2023 and on March 1 of every fifth year thereafter. The holders of Series 22 Preferred Shares will be entitled to receive quarterly floating rate cumulative dividends, as and when declared by the Board of Directors of Pembina, at a rate equal to the sum of the then 90-day Government of Canada treasury bill rate plus 3.26 percent.

Pembina has granted to the Underwriters an option, exercisable at any time up to 48 hours prior to the closing of the offering, to purchase up to an additional 4,000,000 Series 21 Preferred Shares at a price of $25.00 per share.

Closing of the offering is expected on December 7, 2017, subject to customary closing conditions.

The Company intends to use the net proceeds from the Offering to reduce indebtedness of the Company under its credit facilities. The indebtedness of the Company under the Credit Facilities was incurred in the normal course of business to fund the Company’s capital program, and to fund a portion of the cash consideration payable to former common shareholders of Veresen Inc. (“Veresen”) pursuant to the plan of arrangement with Veresen which closed on October 2, 2017.

The offering is being made by means of a prospectus supplement under the short form base shelf prospectus filed by the Company on July 27, 2017 in each of the provinces of Canada.

It looks expensive to me! According to Implied Volatility analysis:

impvol_ppl_171129
Click for Big

With the parameters shown, the theoretical value of the new issue is 24.27. Critics will be quick to point out that in this calculation there is zero value assigned to the minimum rate guarantee … but I’d say that’s about right!

These straw-men critics I have created will also have to explain why the two other Floor-Rate FixedResets (PPL.PR.K and PPL.PR.M) are cheap according to this analysis. It can be done – just assume that spreads on those two issues are so large that the floor doesn’t matter any more – but one way or another, it’s another example of the asymmetry of returns on issues priced near par working against the investor.

Market Action

November 29, 2017

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, a slight (and perhaps spurious) widening from the 300bp reported November 22.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2401 % 2,471.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2401 % 4,534.8
Floater 3.66 % 3.88 % 105,807 17.60 3 0.2401 % 2,613.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0328 % 3,124.0
SplitShare 4.72 % 3.55 % 53,985 1.08 6 0.0328 % 3,730.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,910.8
Perpetual-Premium 5.34 % 4.72 % 56,154 0.09 20 -0.0294 % 2,842.3
Perpetual-Discount 5.18 % 5.23 % 69,712 15.06 15 -0.2078 % 3,030.9
FixedReset 4.22 % 4.17 % 143,691 4.47 98 -0.0332 % 2,503.2
Deemed-Retractible 5.01 % 5.29 % 90,475 5.90 30 -0.1282 % 2,956.3
FloatingReset 2.71 % 2.72 % 41,729 3.94 8 0.2269 % 2,689.7
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 7.51 %
BAM.PR.N Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 5.41 %
HSE.PR.A FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 4.55 %
IFC.PR.C FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 4.73 %
PWF.PR.P FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset 176,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.85 %
RY.PR.R FixedReset 168,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.87
Bid-YTW : 3.40 %
NA.PR.X FixedReset 75,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.58 %
NA.PR.A FixedReset 64,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 3.44 %
BNS.PR.R FixedReset 55,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 3.54 %
TD.PF.G FixedReset 55,410 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.88
Bid-YTW : 3.30 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.A Deemed-Retractible Quote: 23.45 – 23.84
Spot Rate : 0.3900
Average : 0.2483

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.78 %
POW.PR.B Perpetual-Discount Quote: 25.16 – 25.50
Spot Rate : 0.3400
Average : 0.2305

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 24.87
Evaluated at bid price : 25.16
Bid-YTW : 5.38 %
BAM.PF.H FixedReset Quote: 26.03 – 26.30
Spot Rate : 0.2700
Average : 0.1866

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 3.88 %
IFC.PR.A FixedReset Quote: 20.08 – 20.34
Spot Rate : 0.2600
Average : 0.1777

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.08
Bid-YTW : 7.06 %
MFC.PR.M FixedReset Quote: 23.51 – 23.84
Spot Rate : 0.3300
Average : 0.2479

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 4.94 %
SLF.PR.D Deemed-Retractible Quote: 22.14 – 22.40
Spot Rate : 0.2600
Average : 0.1841

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.14
Bid-YTW : 6.43 %