Issue Comments

PPL.PR.K Hammered on Muted Volume

Pembina Pipeline Corporation has announced:

that it has closed its previously announced public offering of cumulative redeemable minimum rate reset class A preferred shares, Series 11 (the “Series 11 Preferred Shares”) for aggregate gross proceeds of $170 million (the “Offering”).

The Offering was announced on January 6, 2016 when Pembina entered into an agreement with a syndicate of underwriters led by Scotiabank, BMO Capital Markets and RBC Capital Markets. A total of 6,800,000 Series 11 Preferred Shares, which includes 800,000 Series 11 Preferred Shares issued pursuant to the partial exercise of the underwriters’ option, were sold under the Offering.

Proceeds from the Offering will be used to reduce indebtedness under the Company’s credit facilities, as well as for capital expenditures and working capital requirements in connection with the Company’s 2016 capital program.

The Series 11 Preferred Shares will begin trading on the Toronto Stock Exchange today under the symbol PPL.PR.K.

Dividends on the Series 11 Preferred Shares are expected to be $1.4375 per share annually, payable quarterly on the 1st day of March, June, September and December, as and when declared by the Board of Directors of Pembina, for the initial fixed rate period to but excluding March 1, 2021.

Concurrently with the closing of the Offering, Pembina’s Board of Directors has declared the initial quarterly dividend for the Series 11 Preferred Shares in the amount of $0.1812, for the period of January 15, 2016 to March 1, 2016. The dividend will be payable on March 1, 2016, to shareholders of record on February 1, 2016.

All of Pembina’s dividends are designated “eligible dividends” for Canadian income tax purposes.

That’s very good of them to highlight the record date of the short first dividend! I wish more issuers would provide specifics – or at least estimates and intentions – on their announcements of closing.

PPL.PR.K is a FixedReset, 5.75%+500M575, announced January 6. The issue will be tracked by HIMIPref™ and has been assigned to the Scraps index on credit concerns.

The issue traded 333,090 shares today in a range of 23.40-24.70 before closing at 23.20-47, 10×10. VWAP was 24.09. Those who are outraged at the poor performance of this issue are reminded that the market in the last ten days has been horrid; epically horrid, as the kids say. From the close on the day of announcement, January 6, to the close today, January 15, the TXPL Price Index went from 661.34 to 565.59, a drop of 14.5%; the TXPL Total Return index went from 777.32 to 664.90, also a drop of 14.5%. So in context of the market, the drop to a bid of 23.20 from the issue price of 25.00, which is 7.2%, actually looks pretty good. Buyers of the new issue can celebrate!

I have the funny feeling I’m going to be telling this story quite a bit over the next few years, until my Assiduous Readers get fed up to the back teeth with the thing. But really: a market drop of 14.5% between announcement and closing? If I don’t cite the example when I tell the story, nobody will believe me.

In fact, I have a sneaking suspicion that the only person telling this story more often than me will be Scott Burrows, Pembina’s CFO. “Yes, sir”, he’ll say, drawling a little to emphasize his good old-fashioned common sense, “When the dealers approached me about a bought deal, I suddenly realized that my big toe had been hurting all day. Something terrible! And when my big toe hurts that much for so long, it means only one thing: the market’s about to drop by 14.5%. So I didn’t waste any time! I got that puppy out the door as fast as the agreement could be printed! I printed it backwards, so I could sign on the dotted line while waiting for the job to finish!”

And, oh, how I wish I could be a fly on the wall during his next performance and salary review. “Mick”, he’ll say to Michael Dilger, CEO, “Remember that $170-million preferred share issue I pushed out just before the market dropped 14.5%? Well, I’ve been doing some figuring, and I figure that gave the company a trading gain of a little under $25-million, mainly out of the pockets of the Big Banks, right out of the box. I couldn’t believe it when the first headhunter told me that, but when the third one called and casually mentioned it in the course of completely innocent conversation, I just had to check the numbers myself. Interesting, eh?”

Vital Statistics are:

PPL.PR.K FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-15
Maturity Price : 22.38
Evaluated at bid price : 23.20
Bid-YTW : 6.20 %

Implied Volatility of the PPL series provides some food for thought:

impVol_PPL_160115
Click for Big

The Implied Volatility of 7% is dramatically lower than the 22% calculated on the announcement date. This may be ascribed to the following changes in price for the PPL FixedReset series:

Change in PPL FR Prices
1/6 – 1/15
Ticker Spread Price
1/6		 Price
1/15		 Change
PPL.PR.A 247 15.66 13.02 -16.9%
PPL.PR.C 260 16.50 13.88 -15.9%
PPL.PR.E 300 18.60 15.62 -16.0%
PPL.PR.G 294 17.72 14.51 -18.1%
PPL.PR.I 391 20.60 18.17 -11.8%
PPL.PR.K 500 “25.00” 23.20 -7.2%

So we verify that the drop in Implied Volatility can be ascribed to outperformance of the higher-spread issues. This is a mathematical equivalence, but it’s always good to check!

What surprises me, though is just how different the PPL Implied Volatility is from other series – the TD series, for example, discussed in the post New Issue: NA FixedReset, 5.60%+490, has an Implied Volatility of 29%.

It may have something to do with credit or, more precisely, credit perception. Assiduous Readers will be aware that the BAM series of FixedResets consistently has a lower Implied Volatility than the other series examined regularly; given that unreasonably high levels of Implied Volatility are associated with expectations of directionality in future prices, there might be a connection. Just how this might be explained and proven, however, is another question.

Update, 2016-2-8: It seems to have settled in-line with other issues at 23.50.

impVol_PPL_160208
Click for Big
Issue Comments

SJR.PR.A: Outlook Negative, Says S&P

Standard & Poor’s has announced:

  • •We are removing our ratings on Shaw Communications Inc. from CreditWatch, where they were placed with negative implications Dec. 17, 2015.
  • •At the same time, we are affirming our ratings on Shaw, including our ‘BBB-‘ long-term corporate credit rating. The outlook is negative.
  • •We expect that Shaw will generate weak free cash flow over the next two years as the company integrates WIND Mobile Corp. and builds out its mobile network to the current industry-standard long-term evolution (LTE).
  • •We could lower the rating on Shaw if fully adjusted debt leverage increases toward 3.5x, which could indicate the company is having difficulties achieving profitability expectations in mobile or increasing debt-funded capital to support its competitive position.
  • •The negative outlook reflects our expectation of weak free cash flow over the next two years as the company integrates WIND and builds out its mobile network to the current industry-standard LTE.
  • •We could revise the outlook to stable if Shaw’s free and discretionary cash flow measures improve enough to keep fully adjusted debt leverage consistently below 3x, which we believe would be characterized by free operating cash flow approaching 10% and sustained positive discretionary cash flow.
    …
    “The affirmation incorporates our expectation that Shaw will maintain fully adjusted debt leverage of about 3x over the next two years, which is consistent with our ‘BBB-‘ rating, after incorporating the WIND acquisition and the recently announced sale of Shaw Media,” said Standard & Poor’s credit analyst Donald Marleau.
    …
    The negative outlook reflects our expectation of weak free cash flow over the next two years as the company integrates WIND and builds out its mobile network to the current industry-standard LTE.

    We could lower the rating if we expect that Shaw’s fully adjusted debt leverage will increase toward 3.5x, which could indicate difficulties achieving profitability expectations in mobile or increased debt-funded capital to support the company’s competitive position.

    We could revise the outlook to stable if Shaw’s free and discretionary cash flow measures improve enough to keep fully adjusted debt leverage consistently below 3x, which we believe would occur if WIND EBITDA maintained a positive trajectory to exceed C$100 million by 2018 along with expectations of steady-to-declining capital expenditures. We believe that such a scenario would be characterized by free operating cash flow approaching 10% and sustained positive discretionary cash flow.

The acquisition of Wind Mobile was greeted with distaste by the Rating Agencies; both DBRS and S&P placed the rating on review-negative. As noted in the Market Action report for January 13, 2016, the acquisition will be financed by the sale of media assets to a related firm (or is it affiliated? I can never get that terminology right); this news was greeted with distinct lack of enthusiasm by DBRS, which is simply waiting for the acquisition to close before (very probably) downgrading the rating by a notch.

Market Action

January 14, 2016

Equities had a good bounce today:

U.S. stocks rallied sharply Thursday as a rebound in oil prices allowed the main indexes to claw back much of the steep fall seen in the previous session.

Gains on Wall Street were across the board, but energy shares outperformed all others as crude-oil futures CLG6, -2.44% rose 2.4% to $31.20 a barrel.

Meanwhile, St. Louis Fed President James Bullard’s comment that reaching the inflation target will take longer was said to have invigorated some of the bulls who were betting on a slower pace of interest-rate increases this year.

The S&P 500 index SPX, +1.67% closed up 31.56 points, or 1.7%, at 1,921.84. The S&P 500 energy sector soared 4.5%, while all 10 main sectors advanced. The health care and technology sectors were up 2.7% and 2% respectively.

This happened even with Bullard raising a cautious note:

Federal Reserve Bank of St. Louis President James Bullard, one of the most vocal policy makers in recent months arguing to raise interest rates, sounded a more cautious note Thursday by saying the latest decline in oil prices may delay the return of inflation to the central bank’s 2 percent target.

“With renewed declines in crude oil prices in recent weeks, the associated decline in market-based inflation expectations measures is becoming worrisome,” Bullard, who votes on policy this year, said in a speech in Memphis, Tennessee. While central bankers typically “look through” oil price changes, “one circumstance where one may be more concerned is when inflation expectations themselves begin to change due to the changes in crude oil prices,” he said.
…
Bullard told reporters after his speech that strong U.S. employment would argue that the FOMC’S median projection of rate increases totaling 1 percentage point this year is “about right,” while inflation and price expectations concerns “would tend to push off rate increases.” Bullard said he would put more weight on expectations if they continue to decline.

“Generally speaking, the markets and the committee are not thinking in terms of a January move,” Bullard said. “As far as March, we would want to get more information and see how things play out before we make a judgment.”

The U.S. economy is likely to grow 2.5 percent to 3 percent this year, and recent market volatility is no reason to revise that forecast, he told reporters.

Meanwhile, Assiduous Reader IR brings to my attention the elevated level of US credit spreads (as of January 13):

The cost to protect against defaults by North American investment-grade companies soared to a three-year high as concern lingered over falling commodity prices and financial-market turmoil triggered by China.

The Standard & Poor’s 500 Index was poised for its lowest close since September, halting a global equities rally. The Bloomberg Commodities Index on Tuesday fell to the lowest level since at least 1991 on sluggish demand from developing nations. The benchmark rebounded by 0.3 percent at 3:16 p.m. on Wednesday in New York. While Chinese exports unexpectedly expanded in December in local-currency terms, the world’s second-largest economy is expected to report the slowest annual expansion since 1990 next week.

“The recent noise from the Chinese market and continued pressure on oil has prompted investors to adjust their default expectations upward,” said Ryan Jungk, a Hartford, Connecticut-based credit analyst at Newfleet Asset Management LLC. “Investment grades are not immune from the bearish sentiment.”

The risk premium on the Markit CDX North America Investment Grade Index, which is tied to 125 equally weighted companies, rose five basis points to 103.3, according to prices compiled by Bloomberg. The measure hasn’t closed above 100 since 2012.

Which reminds me, I must thank Assiduous Reader HS for the link to the story about grocery bills and the exchange rate highlighted yesterday. I forgot yesterday – oops!

I’m wondering if this widening has anything to do with revamped bank trading-book capital rules:

Banks face tougher capital requirements on swaps, bonds and other securities that they intend to trade, as global regulators tighten market-risk rules for the second time since the financial crisis.

The Basel Committee on Banking Supervision, whose members include the U.S. Federal Reserve and the People’s Bank of China, said updated rules published on Thursday will result in a weighted mean increase of about 40 percent in trading-book capital charges. The revised framework boosts the share of banks’ risk-weighted assets produced by market risk to nearly 10 percent from about 6 percent under existing rules, the Basel group said in a statement.

The overall capital burden on banks imposed by the Fundamental Review of the Trading Book, which takes effect in 2019, is nevertheless lower than was produced by earlier proposals, the Basel Committee said. The impact on specific asset classes and business lines is likely to be uneven and could hit some banks harder than others, even making some trading desks unviable.
…
The International Swaps and Derivatives Association said in an e-mailed statement on Thursday that while the Basel Committee had amended “several areas of concern identified by the industry,” its estimate of a 40 percent increase in market-risk capital requirements “would impose a considerable burden on banks on top of the increases already introduced following the crisis, as part of Basel 2.5.”

A report last year by ISDA and other industry groups estimated the capital requirement using Basel’s new standardized approach would be 4.2 times the total market-risk capital the firms currently have.

So making it tougher for depositary banks to function as investment banks is one thing and, I think, a good thing. But I still haven’t seen anything that would indicate any thought from the regulators as to what might come next. Do they want to make it easier for non-banks to become market-makers? I have often suggested that it would make sense hedge funds – already acting as market makers for equities – to hire bond desks and start trading corporate bonds vigorously. But there’s nothing. If anybody has seen any regulatory musing about where the risk will go after its presence in the banking sector has been reduced, let me know!

US authorities have gleefully announced another successful shake-down:

Goldman Sachs Group Inc. said it agreed to settle a U.S. probe into its handling of mortgage-backed securities for about $5.1 billion, cutting fourth-quarter profit by about $1.5 billion and closing out a year of record legal and litigation costs.

The proposed deal, which the bank announced in a statement Thursday, would be the latest multibillion-dollar settlement resulting from the government’s push to hold Wall Street firms to account for creating and selling subprime mortgage bonds that helped spur the 2008 financial crisis.
…
The government’s mortgage-backed security resolutions stem from a working group of prosecutors and other officials that President Barack Obama ordered up in 2012 to punish Wall Street for fueling the financial crisis with bonds linked to souring mortgages. Until then, the Justice Department had been pilloried for years for not having brought significant cases against banks and their executives.

Hey – it’s easier than raising taxes, or running for political office on the basis of policy!

And the SEC reminds us of how business gets done:

Washington D.C., Jan. 14, 2016 — The Securities and Exchange Commission today announced that State Street Bank and Trust Company agreed to pay $12 million to settle charges that it conducted a pay-to-play scheme through its then-senior vice president and a hired lobbyist to win contracts to service Ohio pension funds.

An SEC investigation found that Vincent DeBaggis, who headed State Street’s public funds group responsible for serving as custodians or sub-custodians to public retirement funds, entered into an agreement with Ohio’s then-deputy treasurer to make illicit cash payments and political campaign contributions. In exchange, State Street received three lucrative sub-custodian contracts to safeguard certain funds’ investment assets and effect the settlement of their securities transactions.

The market is also feeling sour about the Canadian economy:

Canadian benchmark bond yields fell to a new record low on Thursday, as the market increasingly bets on a rate cut to insulate the domestic economy from the oil crash.

With yields around the world declining this year as investors forsake riskier assets in favour of safe havens such as government bonds, Canadian 10-year government yields touched a record low of 1.192 per cent on Thursday.

The Canadian five-year benchmark yield marked its own new low point a day earlier, opening up a spread against its U.S. equivalent reminiscent of some dire economic episodes in Canada’s past, said Mark Chandler, head of fixed income research at Royal Bank of Canada.

“We’re at a point where it’s almost unprecedented,” he said. “If you think about market sentiment right now, it’s almost like Canada’s not going to live through this.”

The short year so far has seen market losses pile up in Canada at an alarming pace.

The Canadian dollar dipped to a new 13-year low of $0.6946 against the U.S. dollar on Thursday.

Oil sank below $30 (U.S.) a barrel on Tuesday for the first time since 2003, before rebounding modestly.

Meanwhile, the S&P/TSX composite index dipped to its lowest intraday level since July, 2013, in morning trading on Thursday before rebounding, as longer-term bond yields fell.

A thin majority of economists now expect the deteriorating conditions will compel Bank of Canada Governor Stephen Poloz to cut the overnight lending rate by 25 basis points to 0.25 per cent next week. The key policy rate has not been set that low since the depths of the financial crisis in late 2009 and early 2010.

But I think I’ve found another book about Canadian preferred shares:

torment
Click for Big

It was another utterly appalling day for the Canadian preferred share market, with PerpetualDiscounts down 95bp, FixedResets losing 265bp and DeemedRetractibles off 53bp. The Performance Highlights table is headed by some incredible losses, virtually all of which are entirely genuine, albeit on markets that I would not feel comfortable characterizing as “orderly”. [I did write commentary on the worst ones; then clicked the wrong button when typing and lost it all. Damn.] Volume was extremely high.

It was another big day for DC.PR.C, with 119,915 shares changing hands at a VWAP of 17.00. It would seem that views are being taken! The current price of 17.00 corresponds to a yield of 9.20% to the extended retraction date of 2019-6-30, given a coupon of 7.50%, all of which assumes that the abusive and debatable Plan of Arrangement succeeds.

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:

Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.11 to be $0.91 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.03 cheap at its bid price of 10.05.

Click for Big

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 17.40 to be 0.75 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.55 to be 0.92 cheap.

Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.75 to be $1.09 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.83 and appears to be $0.67 rich.

Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 16.74, looks $0.45 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.95 and is $0.73 cheap.

Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.63%, with no outliers. There is one junk outlier below -1.50% and one above 0.50%.

Click for Big

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 5.21 % 6.34 % 25,694 16.24 1 -1.8113 % 1,491.7
FixedFloater 7.56 % 6.59 % 29,756 15.74 1 -0.7893 % 2,630.6
Floater 4.62 % 4.82 % 77,185 15.84 4 -2.6860 % 1,655.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.9464 % 2,696.4
SplitShare 4.90 % 6.48 % 70,422 2.76 6 -0.9464 % 3,155.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.9464 % 2,461.9
Perpetual-Premium 5.96 % 5.96 % 86,337 13.97 6 -0.5801 % 2,475.8
Perpetual-Discount 5.90 % 5.97 % 98,417 13.95 34 -0.9528 % 2,445.9
FixedReset 5.80 % 5.21 % 240,007 14.43 82 -2.6460 % 1,777.7
Deemed-Retractible 5.39 % 5.95 % 126,298 6.94 34 -0.5335 % 2,495.6
FloatingReset 2.96 % 4.98 % 64,189 5.59 13 -1.1404 % 1,998.7
Performance Highlights
Issue Index Change Notes
FTS.PR.H FixedReset -10.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 4.58 %
HSE.PR.C FixedReset -8.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 6.82 %
CIU.PR.C FixedReset -6.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.93 %
FTS.PR.M FixedReset -6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 4.95 %
PWF.PR.T FixedReset -6.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.23 %
FTS.PR.K FixedReset -5.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.69 %
MFC.PR.J FixedReset -5.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.49
Bid-YTW : 8.35 %
FTS.PR.I FloatingReset -5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 4.20 %
NA.PR.Q FixedReset -5.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 5.51 %
IFC.PR.C FixedReset -4.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.90
Bid-YTW : 9.54 %
FTS.PR.G FixedReset -4.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 4.92 %
CCS.PR.C Deemed-Retractible -4.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 8.08 %
IAG.PR.G FixedReset -4.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.38 %
TRP.PR.G FixedReset -4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 5.58 %
HSE.PR.G FixedReset -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 6.83 %
GWO.PR.O FloatingReset -4.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.40
Bid-YTW : 11.64 %
W.PR.K FixedReset -4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 22.16
Evaluated at bid price : 22.80
Bid-YTW : 5.80 %
RY.PR.I FixedReset -4.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 5.40 %
HSE.PR.E FixedReset -4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.92 %
NA.PR.W FixedReset -4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.97 %
SLF.PR.I FixedReset -4.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 9.07 %
SLF.PR.G FixedReset -4.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.15
Bid-YTW : 10.46 %
IFC.PR.A FixedReset -3.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.75
Bid-YTW : 10.88 %
MFC.PR.L FixedReset -3.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.71
Bid-YTW : 8.77 %
MFC.PR.M FixedReset -3.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.25
Bid-YTW : 8.53 %
MFC.PR.N FixedReset -3.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.01
Bid-YTW : 8.65 %
NA.PR.S FixedReset -3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 5.04 %
BMO.PR.T FixedReset -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.85 %
RY.PR.Z FixedReset -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.73 %
HSE.PR.A FixedReset -3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 9.76
Evaluated at bid price : 9.76
Bid-YTW : 6.16 %
BAM.PF.F FixedReset -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.27 %
MFC.PR.I FixedReset -3.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.30
Bid-YTW : 8.01 %
TRP.PR.F FloatingReset -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 11.52
Evaluated at bid price : 11.52
Bid-YTW : 5.14 %
CM.PR.Q FixedReset -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.91 %
CU.PR.C FixedReset -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.03 %
GWO.PR.N FixedReset -3.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.30
Bid-YTW : 11.22 %
PWF.PR.A Floater -3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 11.39
Evaluated at bid price : 11.39
Bid-YTW : 4.20 %
BIP.PR.A FixedReset -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.14 %
SLF.PR.H FixedReset -3.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.64
Bid-YTW : 10.05 %
MFC.PR.K FixedReset -2.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.57
Bid-YTW : 8.75 %
TRP.PR.A FixedReset -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.29 %
TD.PF.C FixedReset -2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 4.71 %
MFC.PR.G FixedReset -2.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 8.16 %
BMO.PR.S FixedReset -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.79 %
CU.PR.H Perpetual-Discount -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 5.95 %
BAM.PR.K Floater -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 9.87
Evaluated at bid price : 9.87
Bid-YTW : 4.82 %
TD.PF.D FixedReset -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.90 %
BAM.PR.B Floater -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 9.88
Evaluated at bid price : 9.88
Bid-YTW : 4.82 %
BNS.PR.R FixedReset -2.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 4.79 %
W.PR.J Perpetual-Discount -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 22.00
Evaluated at bid price : 22.23
Bid-YTW : 6.33 %
BMO.PR.W FixedReset -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.81 %
TD.PR.S FixedReset -2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.49 %
TD.PF.B FixedReset -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.68 %
PVS.PR.E SplitShare -2.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 6.96 %
CIU.PR.A Perpetual-Discount -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 6.02 %
BAM.PR.R FixedReset -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.63 %
W.PR.H Perpetual-Discount -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.28 %
TD.PF.A FixedReset -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 4.64 %
BMO.PR.Z Perpetual-Discount -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 22.52
Evaluated at bid price : 22.86
Bid-YTW : 5.54 %
TRP.PR.C FixedReset -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 9.82
Evaluated at bid price : 9.82
Bid-YTW : 5.61 %
TRP.PR.H FloatingReset -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.79 %
MFC.PR.H FixedReset -2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 7.50 %
TD.PF.E FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.81 %
BAM.PR.C Floater -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 4.86 %
CM.PR.O FixedReset -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.80 %
BAM.PF.G FixedReset -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.31 %
RY.PR.H FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 4.72 %
BAM.PR.E Ratchet -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 25.00
Evaluated at bid price : 13.01
Bid-YTW : 6.34 %
PVS.PR.D SplitShare -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 7.28 %
FTS.PR.J Perpetual-Discount -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 5.88 %
BAM.PF.E FixedReset -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 5.32 %
CU.PR.G Perpetual-Discount -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 6.04 %
FTS.PR.F Perpetual-Discount -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.84 %
TRP.PR.D FixedReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.32 %
CM.PR.P FixedReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 4.90 %
TRP.PR.E FixedReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 5.17 %
BMO.PR.Y FixedReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.76 %
POW.PR.D Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.99 %
BIP.PR.B FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 22.14
Evaluated at bid price : 22.76
Bid-YTW : 6.10 %
ELF.PR.G Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.83 %
RY.PR.K FloatingReset -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.33
Bid-YTW : 5.24 %
BNS.PR.C FloatingReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 5.17 %
GWO.PR.F Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 6.15 %
PWF.PR.K Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.00 %
BAM.PR.Z FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.48 %
SLF.PR.A Deemed-Retractible -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.16
Bid-YTW : 7.85 %
RY.PR.M FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.87 %
BAM.PF.B FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.27 %
ENB.PR.A Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 21.55
Evaluated at bid price : 21.81
Bid-YTW : 6.40 %
CU.PR.E Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 6.05 %
PWF.PR.P FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 4.78 %
POW.PR.B Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 22.10
Evaluated at bid price : 22.32
Bid-YTW : 6.02 %
SLF.PR.E Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.19
Bid-YTW : 8.27 %
RY.PR.L FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.57 %
PVS.PR.B SplitShare -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 6.48 %
BNS.PR.Q FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 4.84 %
SLF.PR.B Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 7.85 %
TD.PR.Y FixedReset -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.77
Bid-YTW : 4.63 %
CU.PR.F Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.97 %
BMO.PR.M FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 4.41 %
MFC.PR.B Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 8.05 %
BNS.PR.L Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 5.08 %
BAM.PF.A FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.30 %
ELF.PR.H Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 22.57
Evaluated at bid price : 22.90
Bid-YTW : 6.03 %
VNR.PR.A FixedReset 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.35 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.G FixedReset 2,212,913 New issue settled today.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 23.25
Evaluated at bid price : 25.34
Bid-YTW : 5.21 %
RY.PR.Q FixedReset 402,847 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 23.27
Evaluated at bid price : 25.41
Bid-YTW : 5.13 %
TD.PR.T FloatingReset 88,325 Scotia crossed 79,200 at 21.60.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 4.71 %
BAM.PR.K Floater 85,700 Nesbitt crossed 75,000 at 10.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 9.87
Evaluated at bid price : 9.87
Bid-YTW : 4.82 %
RY.PR.L FixedReset 81,370 TD crossed blocks of 12,000 at 24.50 and 63,300 at 24.36.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.57 %
IFC.PR.A FixedReset 78,400 Scotia crossed two blocks of 25,000 each at 14.32 and 10,200 at 14.20.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.75
Bid-YTW : 10.88 %
There were 60 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.R FixedReset Quote: 22.95 – 23.79
Spot Rate : 0.8400
Average : 0.5294

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 4.79 %
SLF.PR.I FixedReset Quote: 16.60 – 17.40
Spot Rate : 0.8000
Average : 0.5117

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 9.07 %
W.PR.K FixedReset Quote: 22.80 – 23.55
Spot Rate : 0.7500
Average : 0.4672

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 22.16
Evaluated at bid price : 22.80
Bid-YTW : 5.80 %
IFC.PR.A FixedReset Quote: 13.75 – 14.50
Spot Rate : 0.7500
Average : 0.4759

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.75
Bid-YTW : 10.88 %
RY.PR.K FloatingReset Quote: 21.33 – 22.36
Spot Rate : 1.0300
Average : 0.7583

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.33
Bid-YTW : 5.24 %
FTS.PR.I FloatingReset Quote: 11.30 – 12.22
Spot Rate : 0.9200
Average : 0.6609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 4.20 %
Indices and ETFs

TXPR / TXPL Rebalancing

S&P Dow Jones Indices Canadian Index Operations has announced (on December 31, so this is rather late):

the following index changes as a result of the quarterly S&P/TSX Preferred Share Index and S&P/TSX Preferred Share Laddered Index Reviews. These changes will be effective at the open on Monday, January 18, 2016.

S&P/TSX PREFERRED SHARE INDEX – ADDITIONS
Symbol Issue Name CUSIP
ALA.PR.I ALTAGAS LTD. 5-YR RESET SERIES ‘I’ PR 021361 85 2
BAM.PF.H BROOKFIELD ASSET MANAGEMNT INC CL A PR SER 44 112585 48 4
BAM.PR.K BROOKFIELD ASSET MANAGEMNT INC CL A PR SER 13 112585 87 2
BCE.PR.Y BCE INC. 1ST PR SERIES ‘Y’ 05534B 85 1
BEP.PR.G BROOKFIELD RENEWABL ENGY PART LP A SR 7 PR UN G16258 13 2
BNS.PR.A BANK OF NOVA SCOTIA (THE) PR SERIES ’19’ 064149 73 5
BNS.PR.E BANK OF NOVA SCOTIA (THE) 5-YR NVCC PR SER 34 064149 55 2
BNS.PR.R BANK OF NOVA SCOTIA (THE)5-YR RESET PR SER 22 064149 69 3
EFN.PR.C ELEMENT FINANCIAL CORPORATION 6.5% PREF SERIES A 286181 83 9
EFN.PR.G ELEMENT FINANCIAL CORPORATION 6.5% PREF SERIES G 286181 78 9
FTS.PR.E FORTIS INC. 1ST PR SERIES ‘E’ 349553 80 0
GWO.PR.M GREAT-WEST LIFECO INC. 5.80% 1ST PR SERIES M 39138C 81 7
POW.PR.C POWER CORPORATION OF CANADA 5.80% SER ‘C’ PR 739239 87 9
PWF.PR.E POWER FINANCIAL CORP. SERIES ‘D’ 1ST PR 73927C 80 3
PWF.PR.I POWER FINANCIAL CORP. 6% SERIES ‘I’ 1ST PR 73927C 84 5
PWF.PR.L POWER FINANCIAL CORP. 5.10% SERIES ‘L’ 1ST PR 73927C 82 9
RY.PR.C ROYAL BANK OF CANADA 1ST PR SERIES ‘AC’ 780102 60 4
RY.PR.P ROYAL BANK OF CANADA 1ST PR NVCC SER ‘BJ’ 78013K 28 8
RY.PR.Q ROYAL BANK OF CANADA 5YR 1ST PR NVCC SER ‘BK’ 78013L 21 1
TD.PR.T TORONTO-DOMINION BANK(THE) FLTG RT PR SER T 891145 72 4
S&P/TSX PREFERRED SHARE LADDERED INDEX – ADDITIONS
Symbol Issue Name CUSIP
ALA.PR.I ALTAGAS LTD. 5-YR RESET SERIES ‘I’ PR 021361 85 2
BAM.PF.H BROOKFIELD ASSET MANAGEMNT INC CL A PR SER 44 112585 48 4
BEP.PR.G BROOKFIELD RENEWABL ENGY PART LP A SR 7 PR UN G16258 13 2
BIP.PR.B BROOKFIELD INFRASTRUCTURE PARTNR LP A PR SR 3 G16252 14 3
BNS.PR.E BANK OF NOVA SCOTIA (THE) 5-YR NVCC PR SER 34 064149 55 2
EFN.PR.A ELEMENT FINANCIAL CORPORATION 6.6% PR SER A 286181 87 0
EFN.PR.C ELEMENT FINANCIAL CORPORATION 6.5% PR SER A 286181 83 9
EFN.PR.E ELEMENT FINANCIAL CORPORATION 6.4% PR SER E 286181 81 3
EFN.PR.G ELEMENT FINANCIAL CORPORATION 6.50% PR SER G 286181 78 9
RY.PR.Q ROYAL BANK OF CANADA 5YR 1ST PR NVCC SER ‘BK’ 78013L 21 1
Issue Comments

TD.PF.G Closes at Good Premium on Enormous Volume

IIROC announced:

The following issues have been halted by IIROC:
…
Company: The Toronto-Dominion BankNON-CUMULATIVE 5-YEAR RATE RESET CLASS AFIRST PREFERRED SHARES, SERIES 12

TSX Symbol: TD.PF.G

Reason: Pending Closing

Halt Time (ET): 7:57 AM ET

They later announced:

Trading resumes in:

Company: The Toronto-Dominion Bank NON-CUMULATIVE 5-YEAR RATE RESET CLASS A FIRST PREFERRED SHARES, SERIES 12

TSX Symbol: TD.PF.G

Resumption (ET): 9:30 AM ET

There was no announcement from the company.

TD.PF.G is a FixedReset, 5.50%+466, NVCC-compliant issue, announced January 5. This issue will be tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

The issue traded 2,212,913 shares in a range of 25.27-44 before closing at 25.34-35, 8×8. This enormous volume gains it 19th place in the HIMIPref™ database ranked by one-day volume and the largest since 2006-12-15, when FBS.PR.B was issued. That was only a Split-Share, though, with a $10 par value; if we restrict the list to $25 pv issues, today’s TD.PF.G volume is the greatest since 2005-11-8, when 2,540,400 shares of BCE.PR.A changed hands … PrefBlog didn’t exist then!

So, yeah, that was a lot of trading, as befits an issue size of $700-million!

Vital statistics are:

TD.PF.G FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-14
Maturity Price : 23.25
Evaluated at bid price : 25.34
Bid-YTW : 5.21 %
Issue Comments

GMP.PR.B On Review-Negative by DBRS

Yesterday I mentioned GMP Capital’s restructuring:

GMP, proud issuer of GMP.PR.B, has swallowed hard and acknowledged hard times:

GMP Capital Inc.’s radical restructuring, which involves shutting down its United Kingdom and Australian operations as well as eliminating its dividend, is also hitting senior staff at home.

In total, seventy-three jobs are being axed in a new round of cuts announced Wednesday, affecting investment bankers, research analysts and employees in sales and trading. Twenty-nine positions are being eliminated in Canada, 22 in the U.K., 12 in Australia and 10 in the U.S. GMP said 97 positions – a quarter of its work force – have now been eliminated since the end of the third quarter.
…
GMP has lost money in three of the past four quarters. In the third quarter of 2015, revenue from the company’s energy sector investment banking cratered 87 per cent from a year ago.

The brokerage was founded in 1995 and went public in December, 2003. GMP was immensely profitable during the great bull run in resources and some of its proprietary traders, such as Michael Wekerle, were among the best paid people on Bay Street. In mid-2006, GMP’s share price peaked at $28. It closed Tuesday at $3.92 – not far from an all-time low.

I have not seen any reaction from the Credit Rating Agencies yet.

Today, DBRS reacted:

DBRS Limited (DBRS) has today placed the Cumulative Preferred Shares rating of Pfd-3 (low) for GMP Capital Inc. (GMP or the Company) Under Review with Negative Implications. This review follows GMP’s announcement that it is undertaking a series of fundamental organizational changes in its Capital Markets division which have the potential to have an impact on the Company’s franchise positioning and further weaken its earnings generation ability.
…
During the review period, DBRS will also focus on the ongoing weakness in the Company’s earnings. While GMP’s intention is to improve earnings over the longer term by reducing fixed costs in its expense base, the near- to medium-term results will likely be pressured by the very adverse market environment, given the challenges posed by the dramatic decline in oil and gas prices, especially if the Company’s franchise position is weakened during its restructuring. GMP’s Q4 2015 results will be affected by the restructuring charge, and DBRS expects that the Company will report a loss in the quarter and for the full year 2015. DBRS will evaluate the size of the loss and impact on capital following the release of results.

The severity of a downgrade will consider various factors during the review period. These factors include the Company’s vulnerability to the uncertain economic outlook and market conditions, the degree to which its franchise strength has been impaired, the sufficiency and quality of its capital, and the potential for it to return to sustained profitability.

DBRS expects to conclude its review shortly after the release of GMP’s Q4 2015 results.

GMP has been labeled Trend-Negative by DBRS since November, 2012.

GMP has only a single preferred issue outstanding, GMP.PR.B, a FixedReset 5.50%+289, which commenced trading 2011-2-22 after being announced 2011-2-1

Issue Comments

PWF.PR.P: Convert Or Hold?

It will be recalled that PWF.PR.P will reset to 2.306% effective February 1.

Holders of PWF.PR.P have the option to convert to FloatingResets, which will pay 3-month bills plus 160bp on the par value of $25.00. The deadline for notifying the company of the intent to convert is 5:00 p.m. (EST) on January 18, 2016; but note that this is a company deadline and that brokers will generally set their deadlines a day or two in advance, so there’s not much time to lose if you’re planning to convert! However, if you miss the brokerage deadline they’ll probably do it on a ‘best efforts’ basis if you grovel in a sufficiently entertaining fashion. The ticker for the new FloatingReset is not yet known.

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., PWF.PR.P 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_160113
Click for Big

The market appears to have a distaste at the moment for floating rate product; almost all 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 zero, at -0.63% and -0.28%, 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 PWF.PR.P FixedReset, we may construct the following table showing consistent prices for its soon-to-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for PWF.PR.P) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 0.50% -0.25% -1.00%
PWF.PR.P 12.00 160bp 11.79 11.03 10.27

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, I recommend that holders of PWF.PR.P continue to hold the issue and not to convert. 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 future path of policy rates. 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.

Note as well that conversion rights are dependent upon at least one million shares of each series being outstanding after giving effect to holders’ instructions; e.g., if only 100,000 shares of PWF.PR.P are tendered for conversion, then no conversions will be allowed; but if only 100,000 shares of PWF.PR.P will remain after the rest are all tendered, then conversion will be mandatory. However, this is relatively rare: all 38 Strong Pairs currently extant have some version of this condition and all but four have both series outstanding.

New Issues

New Issue: NA FixedReset, 5.60%+490

National Bank of Canada has announced:

that it has entered into an agreement with a group of underwriters led by National Bank Financial Inc. for the issuance on a bought deal basis of 10 million non-cumulative 5-year rate reset first preferred shares series 34 (non-viability contingent capital (NVCC)) (the “Series 34 Preferred Shares”) at a price of $25.00 per share, to raise gross proceeds of $250 million.

National Bank has granted the underwriters an option to purchase, on the same terms, up to an additional 2 million Series 34 Preferred Shares. This option is exercisable in whole or in part by the underwriters at any time up to two business days prior to closing. The gross proceeds raised under the offering will be $300 million should this option be exercised in full.

The Series 34 Preferred Shares will yield 5.60% annually, payable quarterly, as and when declared by the Board of Directors of National Bank, for the initial period ending May 15, 2021. The first of such dividends, if declared, shall be payable on May 15, 2016. Thereafter, the dividend rate will reset every five years at a level of 490 basis points over the then 5-year Government of Canada bond yield. Subject to regulatory approval, National Bank may redeem the Series 34 Preferred Shares in whole or in part at par on May 15, 2021 and on May 15 every five years thereafter.

Holders of the Series 34 Preferred Shares will have the right to convert their shares into an equal number of non-cumulative floating rate first preferred shares series 35 (non-viability contingent capital (NVCC)) (the “Series 35 Preferred Shares”), subject to certain conditions, on May 15, 2021, and on May 15 every five years thereafter. Holders of the Series 35 Preferred Shares will be entitled to receive quarterly floating dividends, as and when declared by the Board of Directors of National Bank, equal to the 90-day Government of Canada Treasury Bill rate plus 490 basis points.

The net proceeds of the offering will be used for general corporate purposes and added to National Bank’s capital base. The expected closing date is on or about January 22, 2016. National Bank intends to file in Canada a prospectus supplement to its December 1, 2014 base shelf prospectus in respect of this issue.

They later announced:

that as a result of strong investor demand for its previously announced domestic public offering of non-cumulative 5-year rate reset first preferred shares series 34 (non-viability contingent capital (NVCC)) (the “Series 34 Preferred Shares”), the size of the offering has been increased to 16 million shares. The gross proceeds of the offering will now be $400 million. The offering will be underwritten by a syndicate led by National Bank Financial Inc. The expected closing date is on or about January 22, 2016. National Bank will make an application to list the Series 34 Preferred Shares as of the closing date on the Toronto Stock Exchange.

The net proceeds of the offering will be used for general corporate purposes and added to National Bank’s capital base.

Implied Volatility analysis is not possible for the NA issues, since there are only three of them including the new issue. However, comparison to today’s analysis for TD shows that the issue is attractively priced. The very high level of Implied Volatility leads to the conclusion that there is a very high degree of directional bias in the pricing of TD’s NVCC-compliant FixedResets. As this bias recedes (assuming that it ever does!), Implied Volatility will decline, the curve will flatten and the higher-spread issues (most notably the new issues) will significantly outperform the lower-spread issues.

The NA issues are priced very close to the TD curve, with perhaps a slight premium.

Note that the NVCC non-compliant issues are so obviously differentiated from the NVCC-compliant ones that they are not included in the calculation, although they are shown in the chart.

On the other hand, the directional bias could be quite right! There will be many among us who think that +490 is an utterly ridiculous spread for solid bank – NVCC or no NVCC – and that spreads will narrow once memories of 2015 fade. Given this particular scenario, the lower-spread issues will shine: a calculation based on projected calculated values of 250bp Spread and 10% Implied Volatility implies that the extant TD NVCC-compliant preferreds will enjoy total capital gains in the area of 35% which, if achieved in a reasonable timeframe, will dwarf the yield advantage of the new issue for which capital gains will be a big fat zero.

So pays yer money and takes yer chances, gents, roll up, roll up! If you think current market conditions are the new normal, you’ll like the new issue. If you think this is a transitory crash, you won’t.

impVol_TD_NA_160113
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Market Action

January 13, 2016

The low dollar is attracting some notice:

On Tuesday, the Canadian dollar, commonly known as the loonie, broke below 70 U.S. cents for the first time since May 1, 2003.

For America’s northern neighbor, which imports about 80 percent of the fresh fruits and vegetables its citizens consume, this entails a sharp rise in prices for these goods. With lower-income households tending to spend a larger portion of income on food, this side effect of a soft currency brings them the most acute stress.
…
From coast-to-coast-to-coast, Canadians have taken to social media to express displeasure with soaring produce prices:

Bombardier is desperately reinventing its business model:

Bombardier Inc. scrapped $1.75 billion of business-aircraft orders, saying it anticipates making more money by reselling them directly to customers.

The Canadian planemaker also said it was ending a four-decade relationship with distributor TAG Aeronautics as part of a change in its sales strategy. Bombardier will book a $278 million pretax charge in the fourth quarter due to its moves to cut out the middleman standing between itself and aircraft buyers.

Bombardier is revamping its business-jet sales effort as the company’s finances have been strained by its $5.4 billion program for C Series commercial planes. The development of its largest-ever model is more than two years late and at least $2 billion over budget, and Bombardier has been seeking more government aid to right itself.

If it doesn’t work, they can always get another government cheque!

I’m not sure whether it’s a genuine attempt to track down laundered money or the misuse of government powers to follow a populist agenda, but I am sure we’ll hear calls for this in Canada!

Concerned about illicit money flowing into luxury real estate, the Treasury Department said Wednesday that it would begin identifying and tracking secret buyers of high-end properties.

The initiative will start in two of the nation’s major destinations for global wealth: Manhattan and Miami-Dade County. It will shine a light on the darkest corner of the real estate market: all-cash purchases made by shell companies that often shield purchasers’ identities.

It is the first time the federal government has required real estate companies to disclose names behind all-cash transactions, and it is likely to send shudders through the real estate industry, which has benefited enormously in recent years from a building boom increasingly dependent on wealthy, secretive buyers.

The initiative is part of a broader federal effort to increase the focus on money laundering in real estate. Treasury and federal law enforcement officials said they were putting greater resources into investigating luxury real estate sales that involve shell companies like limited liability companies, often known as L.L.C.s; partnerships; and other entities.

There will be ceaseless debate over the next twelve months regarding the advisability of Fed hikes … Larry Summers has fired the opening volley:

Policy makers need to heed the message from global commodity and stock markets that “risks are substantially tilted to the downside,” former U.S. Treasury Secretary Lawrence Summers said Wednesday.

Given the weakness in prices and growth, it’ll be hard for the world to take in stride four interest-rate increases that forecasters are penciling in from the Federal Reserve this year, Summers said in a Bloomberg TV interview.

“I would be surprised if the world economy could comfortably withstand four hikes, and I think that basically the markets agree with me,” he said, adding that’s why it’s important to prepare for a range of possibilities. “Really, what policy makers need to think about is, it is insurance against the more negative scenarios.”

It was another crummy day for equities:

U.S. stocks tumbled, with the Dow Jones Industrial Average plunging more than 370 points and small caps entering a bear market, as oil’s failure to maintain a 4 percent rally rekindled a flight from risk assets. Treasuries surged amid signs that demand for the relative safety of bonds is rising.

The Standard & Poor’s 500 Index fell past 1,900, a level it’s closed below only five times in the past 14 months. The Nasdaq 100 Index had its worst day since Aug. 24, as selling was heaviest in technology and consumer shares. The Russell 2000 Index capped a 22 percent slide from its June record. Brent crude dipped below $30 for the first time since 2004. The yield on the 10-year Treasury note fell to 2.04 percent, after an auction of $21 billion of 10-year notes was deemed ‘outstanding.’ Gold traded above $1,090 an ounce.
…
Treasuries rallied after investors flocked to a $21 billion auction of 10-year notes at the lowest yields since October amid concern that global growth is slowing. A class of investors that includes foreign central banks and mutual funds bought 71 percent of the sale, the second-highest amount on record.

Meanwhile, at time of writing, Chinese equities have bounced back a little … but nobody knows how much of that is manipulation:

The Shanghai Composite Index gained 2 percent to 3,007.65 at the close, reversing a loss of as much as 2.8 percent and sending a gauge of volatility to the highest levels since September. The ChiNext small-caps index surged the most in two months after 28 listed companies vowed to take action to stabilize the market, with some pledging not to sell shares over the next six months. State funds may have entered to buy stocks after the Shanghai index fell below the lowest levels reached in last year’s rout, according to Galaxy Securities Co.
…
The Shanghai gauge earlier dropped below the low of 2,927.29 set in August, when a summer rout wiped out $5 trillion and spurred the government to impose emergency rescue measures. The index, the worst performer among 93 global benchmark measures tracked by Bloomberg this year, fell as much as 20 percent from the December high before paring losses.

The question of trailer fees and the regulatory banishment thereof has been discussed many times on PrefBlog – a CSA request for comment was mentioned on December 13, 2012, for instance, which was clarified on December 18, 2012, with more discussion December 27, 2012. Assiduous Readers with good memories will remember that I have argued that the only problem with the Platonic ideals espoused by regulatory dreamers is that they won’t work in the real world (much like the regulatory dreamers themselves): Joe Lunchbucket does not want to pay a fee to his advisor unless the advisor trades a lot; this goes double if he’s just lost money in the market. So instead of buying an equity mutual fund like he should, he’ll go down to the bank and put his money into a GIC and every step in the process will be approved by the bank’s compliance department, stuffed to the gills with ex-regulators on fat salaries.

I was only one of many holding this view:

From now on, financial advisers will have to charge upfront fees to their customers rather than receive commission from companies supplying financial products. The move by the Financial Services Authority under its retail distribution review (RDR) includes pensions, Isas and unit trusts, and is designed to be more transparent and to reduce the risk of mis-selling.

It means that consumers will see clearly the cost of financial advice which may previously have appeared to be free since the charges were part of the commission payments made to the adviser. But some analysts believe that spelling out the costs, even though these can be spread over a number of years, could put many customers off seeking advice.

A recent survey by Rostrum Research found that nine out of 10 consumers would only pay up to £25 for an hour’s financial advice, compared with the mooted £50-£250 an hour fee range expected in the review.

I have been criticized for this view, but it appears that two years after banning producer payments to intermediaries, it is becoming clear that Joe Lunchbucket does not want to pay for advice:

An influential panel of experts appointed by the Government as part of the Financial Advice Market Review is considering radical reforms to regulation which would roll back key aspects of the RDR to boost access to advice, Money Marketing understands.

The FAMR, jointly led by the Treasury and the FCA, is assessing barriers to the provision of financial advice following the pensions overhaul introduced last April. In particular, the review is looking to tackle the advice gap for people with smaller pots to invest.
…
Sources close to the panel say a number of radical ideas have been seriously discussed during the three sessions held in the second half of last year. These include creating a new basic tier of advice with a lower qualification requirement for simple accumulation products, developing a new charging structure similar to commission and banning regulated advisers from selling unregulated products.
…

A separate source says allowing firms to receive commission on simple accumulation product sales is also under consideration.

The source says: “The panel have discussed putting forward an alternative commercial model for advice that would allow a fee to be built into the product. So today you might pay 1 per cent and it is normally paid by selling units in funds but it has to be agreed as part of your service agreement with the adviser. What is being discussed is more like commission.

“So you could invest in an Isa or a pension and the adviser receives a fee on completion of the transaction direct from the provider.”

Panel members have also discussed the possibility of banning regulated advisers from selling unregulated products.

No agreement has been reached on taking these proposals to the Government.

However, the very fact they are being discussed suggests the FAMR could fundamentally redraw the advice landscape yet again.

Shaw Communications, proud issuer of SJR.PR.A, will finance the acquisition of Wind Mobile by selling media assets to the related Corus Entertainment:

Corus Entertainment Inc. has agreed to pay $2.65-billion to acquire Shaw Media Inc. from Shaw Communications Inc., bulking up to compete in a shifting television landscape.

The price will be paid through a combination of $1.85-billion in cash and 71 million Corus class B shares at $11.21 per share. Both companies are ultimately controlled by the Shaw family of Alberta, but are separately listed on the Toronto Stock Exchange.
…
It also removes any doubt about how Shaw will pay for its $1.6-billion acquisition of Wind Mobile Corp., which it announced in December. There had been some speculation that it could sell its U.S. data centre business ViaWest or issue equity.

Instead, Shaw made it clear it intends to use the cash from the sale of Shaw Media to fund the Wind purchase.

Shaw expects its acquisition of Wind to close in the third quarter of its fiscal year, which is the three-month period ending May 31, and said Wednesday if that transaction closes earlier, it will rely on bridge financing to fund the deal.

DBRS comments:

Following the divestiture, DBRS notes that the loss of Shaw Media’s operating income and substantial cash generating capacity, in conjunction with the inclusion of the negative free cash flow wireless and existing business infrastructure services segments, will result in free cash flow (after cash dividend payments) turning negative until F2018. This signals a meaningful, albeit temporary, loss in financial flexibility and places greater reliance on growth in operating income to achieve stated financial leverage targets.

In its review, DBRS will focus on (1) assessing the business risk profile of the new entity, including organic growth prospects in the remaining segments and risks associated with integration of WIND; (2) the Company’s longer-term business strategy; (3) financial management intentions of the new entity going forward and its free cash flow trajectory profile; and (4) the Company’s liquidity profile over the near to medium term.

The proposed asset sale and the WIND acquisition are proceeding through customary regulatory, concurrently, and are both expected to close by Q3 F2016. As previously announced, the Company has secured a $1.7 billion bridge facility, which would allow it to complete the WIND acquisition in the event of a delay in completing the proposed divestiture. The Company would then repay the bridge upon receipt of proceeds from the Shaw Media divestiture.

The previously instated Under Review with Negative Implications rating action will be resolved once DBRS becomes confident that the proposed transaction will close under the current terms, at which point DBRS will likely downgrade Shaw’s ratings by one notch, to the BBB (low) rating category.

This follows prior news that SJR: Credit Agencies Nervous About Wind Acquisition.

GMP, proud issuer of GMP.PR.B, has swallowed hard and acknowledged hard times:

GMP Capital Inc.’s radical restructuring, which involves shutting down its United Kingdom and Australian operations as well as eliminating its dividend, is also hitting senior staff at home.

In total, seventy-three jobs are being axed in a new round of cuts announced Wednesday, affecting investment bankers, research analysts and employees in sales and trading. Twenty-nine positions are being eliminated in Canada, 22 in the U.K., 12 in Australia and 10 in the U.S. GMP said 97 positions – a quarter of its work force – have now been eliminated since the end of the third quarter.
…
GMP has lost money in three of the past four quarters. In the third quarter of 2015, revenue from the company’s energy sector investment banking cratered 87 per cent from a year ago.

The brokerage was founded in 1995 and went public in December, 2003. GMP was immensely profitable during the great bull run in resources and some of its proprietary traders, such as Michael Wekerle, were among the best paid people on Bay Street. In mid-2006, GMP’s share price peaked at $28. It closed Tuesday at $3.92 – not far from an all-time low.

I have not seen any reaction from the Credit Rating Agencies yet.

I came across the following on the Internet … I think it might be a book about Canadian preferred shares …

preferredShareBook
Click for Big

It was another horrible day for the Canadian preferred share market, with PerpetualDiscounts down 44bp, FixedResets losing 133bp and DeemedRetractibles off 29bp. The Performance Highlights table is as lengthy as one might expect, but on the bright side there were a few winners today! Volume was well below average.

It was a big day for DC.PR.C, which Assiduous Readers will remember is the target of an abusive Exchange Offer via a Plan of Arrangement which has been the subject of widespread interest. The issue traded 732,460 shares today in a range of 16.70-00, including a monster-block of 555,600, crossed by GMP shortly before the close at 17.00. When one considers that there are only 6-million shares out, one gets even more impressed! The stock was up sharply on the day. If we assume this is an actual arm’s-length cross (and not an internal cross between two accounts of the same manager), then it looks like somebody has started to feel good about the deal … all the more so since the record date to vote on the Plan of Arrangement has long since passed.

PerpetualDiscounts now yield 5.93%, equivalent to 7.71% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread is now about 355bp, a stunning increase from the 330bp that I should have reported last week. This is an incredible number, surpassed only for a month or so during the credit crunch … and this is happening without any significant credit worries!

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_160113
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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.11 to be $0.91 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.03 cheap at its bid price of 10.05.

impVol_MFC_160113
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Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 17.40 to be 0.75 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.55 to be 0.92 cheap.

impVol_BAM_160113
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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.75 to be $1.09 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 16.83 and appears to be $0.67 rich.

impVol_FTS_160113
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FTS.PR.K, with a spread of +205bp, and bid at 16.74, looks $0.45 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.95 and is $0.73 cheap.

pairs_FR_160113
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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.63%, with no outliers. There is one junk outlier below -1.50% and one above 0.50%.

pairs_FF_160113
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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 5.12 % 6.23 % 26,781 16.38 1 -4.2630 % 1,519.2
FixedFloater 7.50 % 6.54 % 31,078 15.80 1 0.0581 % 2,651.5
Floater 4.49 % 4.69 % 78,248 16.08 4 0.5017 % 1,701.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0019 % 2,722.1
SplitShare 4.85 % 6.03 % 67,583 2.76 6 0.0019 % 3,185.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0019 % 2,485.4
Perpetual-Premium 5.93 % 5.82 % 85,246 2.71 6 -0.1684 % 2,490.2
Perpetual-Discount 5.84 % 5.93 % 93,623 14.03 34 -0.4432 % 2,469.4
FixedReset 5.65 % 5.08 % 238,260 14.57 81 -1.3328 % 1,826.0
Deemed-Retractible 5.36 % 5.59 % 121,511 5.27 34 -0.2872 % 2,509.0
FloatingReset 2.92 % 4.91 % 63,358 5.59 13 0.3148 % 2,021.7
Performance Highlights
Issue Index Change Notes
VNR.PR.A FixedReset -7.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 5.52 %
HSE.PR.E FixedReset -5.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 6.63 %
MFC.PR.F FixedReset -5.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.80
Bid-YTW : 10.81 %
CU.PR.C FixedReset -4.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 4.87 %
BAM.PR.E Ratchet -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 25.00
Evaluated at bid price : 13.25
Bid-YTW : 6.23 %
FTS.PR.G FixedReset -4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 4.67 %
FTS.PR.K FixedReset -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.42 %
MFC.PR.H FixedReset -3.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.74
Bid-YTW : 7.18 %
NA.PR.S FixedReset -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 4.84 %
TRP.PR.G FixedReset -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.31 %
IFC.PR.C FixedReset -2.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.72
Bid-YTW : 8.83 %
BAM.PR.T FixedReset -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.52 %
CM.PR.P FixedReset -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.81 %
NA.PR.W FixedReset -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 4.76 %
CM.PR.O FixedReset -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.70 %
TRP.PR.D FixedReset -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 5.22 %
BAM.PF.A FixedReset -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.24 %
BMO.PR.W FixedReset -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 4.68 %
TRP.PR.C FixedReset -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 5.48 %
HSE.PR.C FixedReset -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.21 %
BAM.PR.X FixedReset -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 12.69
Evaluated at bid price : 12.69
Bid-YTW : 5.21 %
BMO.PR.S FixedReset -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.65 %
TD.PF.E FixedReset -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.70 %
TRP.PR.F FloatingReset -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 4.97 %
IFC.PR.A FixedReset -2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.32
Bid-YTW : 10.29 %
CU.PR.I FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 22.95
Evaluated at bid price : 24.40
Bid-YTW : 4.58 %
BAM.PF.D Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 19.64
Evaluated at bid price : 19.64
Bid-YTW : 6.30 %
HSE.PR.G FixedReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 6.50 %
BAM.PF.F FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.08 %
TRP.PR.B FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 9.77
Evaluated at bid price : 9.77
Bid-YTW : 5.12 %
SLF.PR.G FixedReset -1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.70
Bid-YTW : 9.90 %
RY.PR.H FixedReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.63 %
BAM.PF.C Perpetual-Discount -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 6.30 %
ELF.PR.H Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 22.36
Evaluated at bid price : 22.66
Bid-YTW : 6.09 %
BAM.PR.N Perpetual-Discount -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.28 %
SLF.PR.I FixedReset -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.31
Bid-YTW : 8.47 %
TD.PF.B FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 4.55 %
NA.PR.Q FixedReset -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.33
Bid-YTW : 4.54 %
SLF.PR.D Deemed-Retractible -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 8.20 %
BIP.PR.A FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 5.94 %
MFC.PR.M FixedReset -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.95
Bid-YTW : 7.96 %
RY.PR.J FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.85 %
IAG.PR.A Deemed-Retractible -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.06
Bid-YTW : 7.75 %
RY.PR.M FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.80 %
BAM.PR.Z FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.40 %
MFC.PR.N FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.09 %
RY.PR.Z FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 4.55 %
SLF.PR.C Deemed-Retractible -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 8.09 %
FTS.PR.M FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.63 %
BAM.PR.M Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.28 %
IAG.PR.G FixedReset -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.68 %
TRP.PR.A FixedReset -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.13 %
MFC.PR.I FixedReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 7.52 %
BAM.PF.B FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 5.20 %
MFC.PR.J FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.46
Bid-YTW : 7.59 %
MFC.PR.K FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.08
Bid-YTW : 8.32 %
CU.PR.D Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 5.99 %
W.PR.H Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 22.27
Evaluated at bid price : 22.54
Bid-YTW : 6.13 %
SLF.PR.E Deemed-Retractible -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.43
Bid-YTW : 8.09 %
PWF.PR.T FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 3.96 %
TRP.PR.E FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 5.08 %
TD.PF.D FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 4.77 %
BAM.PF.G FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.20 %
BAM.PR.R FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.49 %
BMO.PR.Y FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.68 %
MFC.PR.B Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 7.90 %
TD.PF.A FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 4.53 %
CM.PR.Q FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 4.75 %
BAM.PF.E FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 5.22 %
TD.PR.Y FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.02
Bid-YTW : 4.42 %
RY.PR.K FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 4.96 %
POW.PR.C Perpetual-Premium 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 24.30
Evaluated at bid price : 24.61
Bid-YTW : 5.92 %
BAM.PF.H FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 23.20
Evaluated at bid price : 25.10
Bid-YTW : 4.91 %
BNS.PR.Q FixedReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 4.63 %
PWF.PR.P FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.71 %
MFC.PR.G FixedReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.74 %
BAM.PR.K Floater 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 4.69 %
BNS.PR.R FixedReset 2.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 4.28 %
CCS.PR.C Deemed-Retractible 2.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 7.35 %
BNS.PR.D FloatingReset 3.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.08
Bid-YTW : 7.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset 288,467 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 23.28
Evaluated at bid price : 25.46
Bid-YTW : 5.11 %
BNS.PR.E FixedReset 158,036 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 23.29
Evaluated at bid price : 25.47
Bid-YTW : 5.10 %
NA.PR.S FixedReset 108,125 TD crossed 98,800 at 16.90.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 4.84 %
TD.PR.T FloatingReset 65,152 Scotia crossed 63,200 at 21.65.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.58
Bid-YTW : 4.56 %
RY.PR.I FixedReset 43,400 Nesbitt crossed 35,000 at 23.21.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 4.57 %
BNS.PR.L Deemed-Retractible 39,064 RBC crossed 35,300 at 24.48.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 4.88 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.O FloatingReset Quote: 11.95 – 13.75
Spot Rate : 1.8000
Average : 1.4048

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.95
Bid-YTW : 11.01 %
VNR.PR.A FixedReset Quote: 16.17 – 17.11
Spot Rate : 0.9400
Average : 0.7033

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 5.52 %
FTS.PR.M FixedReset Quote: 18.25 – 18.87
Spot Rate : 0.6200
Average : 0.4595

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.63 %
FTS.PR.H FixedReset Quote: 13.50 – 13.99
Spot Rate : 0.4900
Average : 0.3545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.11 %
HSE.PR.G FixedReset Quote: 16.68 – 17.29
Spot Rate : 0.6100
Average : 0.4813

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-13
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 6.50 %
GWO.PR.L Deemed-Retractible Quote: 23.90 – 24.36
Spot Rate : 0.4600
Average : 0.3511

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 6.37 %
Issue Comments

DBRS Places BRF on Review-Developing

Brookfield Renewable is making a big fat acquisition:

Brookfield Renewable Energy Partners L.P. (TSX: BEP.UN; NYSE: BEP) (“Brookfield Renewable”) today announced that with its institutional partners it has committed to acquire 57.6% of the outstanding common shares of Isagen S.A. (“Isagen”) from the Colombian government. Isagen owns and operates a renewable energy portfolio consisting of 3,032 MW of principally hydroelectric generating capacity and a 3,800 MW development portfolio in Colombia.

A Brookfield led consortium will acquire 1,570,490,767 common shares of Isagen for aggregate consideration of COP 6,486 billion1 (approximately US$2.2 billion), payable in cash in US dollars on the expected closing date of January 26, 2016. This reflects a purchase price of COP 4,130 per share (approximately US$1.38). Brookfield Renewable’s equity commitment will be approximately US$243 million giving it an approximate 9% interest in Isagen. Brookfield Renewable currently has $1.2 billion of available liquidity and will fund its commitment with available resources.

DBRS notes:

The Acquisition is expected to close on January 26, 2016. As part of the Acquisition, two mandatory tender offers (MTO) will also be provided to all remaining shareholders of ISAGEN within six months after closing of the initial investment. This could increase BREP’s equity commitment by approximately $517 million if all remaining ISAGEN shares are tendered, which would bring BREP’s interest in ISAGEN to approximately 25%. BREP is expected to initially fund its $243 million equity commitment with $1.2 billion of available liquidity (comprising available credit facilities and cash on hand). The additional MTO commitment is expected to initially be funded with a $500 million acquisition facility and existing liquidity. The rating actions largely reflect the current uncertainty with the final MTO commitment net to BREP and the Company’s permanent financing strategy for the Acquisition. The Acquisition is not expected to have a significant impact on the Company’s business risk profile.
…
BREP’s financial risk profile is based on its deconsolidated key credit metrics. The Acquisition (including the MTO commitment), combined with the 292 MW Pennsylvania hydroelectric portfolio acquisition (the Pennsylvania Acquisition) expected to close in Q1 2016 (see DBRS press release dated October 9, 2015), have increased the funding pressure on the Company’s deconsolidated balance sheet over the near term as the Company finalizes its permanent financing alternatives for these growth initiatives. Pro forma the (1) $243 million initial investment in the Acquisition, (2) $224 million equity commitment for the Pennsylvania Acquisition, (3) CAD 175 million Preferred LP Units issuance in December 2015 and (4) $135 million of incremental proceeds from the Bear Swamp refinancing in October 2015, BREP’s deconsolidated debt-to-capital was approximately 25% as of September 30, 2015. Assuming the MTO is fully tendered, the $517 million equity commitment would result in a pro forma deconsolidated debt-to-capital of approximately 28%. DBRS notes that BREP’s ratings reflect the Company’s history of prudently financing its growth initiatives to maintain its deconsolidated key credit metrics at a level that is commensurate with the BBB (high) rating category, which has included a mix of equity, preferred shares, asset divestitures and debt. In its review, DBRS will assess BREP’s permanent financing plan and the impact on the Company’s deconsolidated key credit metrics. Upon final review, if the Company prudently finances the Acquisition in a way that its deconsolidated debt-to-capital remains around the 20% threshold over time, and other deconsolidated credit metrics, such as cash flow-to-debt and interest coverage ratios, remain supportive of the current rating, DBRS will likely confirm BREP’s ratings. However, if the Company finances the Acquisition in such a way that its non-consolidated debt-to-capital structure exceeds 20% significantly on a sustained basis and its other non-consolidated credit metrics deteriorate significantly without corrective action within a reasonable time frame, then a negative rating action is likely to occur.

DBRS will proceed with its review as more information becomes available and aims to resolve the Under Review status once the equity commitment (pending MTO clarity) and permanent financing details are known.

Brookfield Renewable is the proud issuer of BRF.PR.A, BRF.PR.B, BRF.PR.C, BRF.PR.E and BRF.PR.F. One of these issues, BRF.PR.E, is the subject of an Exchange Offer that will expire January 20.