Month: January 2016

Issue Comments

ALB.PR.B To Be Refunded

On 2015-10-8, The Bank of Nova Scotia announced:

Allbanc Split Corp. II (the “Company”) announced today that its Board of Directors has approved a proposal to reorganize the Company. Scotiabank has been retained to advise the Company on the reorganization which will permit holders of Capital Shares to extend their investment in the Company beyond the scheduled redemption date of February 28, 2016 for an additional five years. The Preferred Shares will be redeemed on the same terms originally contemplated in their share provisions. Holders of Capital Shares who do not wish to extend their investment and all holders of Preferred Shares will have their shares redeemed on February 28, 2016.

The reorganization will involve (i) the extension of the originally scheduled redemption date, (ii) a special retraction right to enable holders of Capital Shares to retract their shares as originally contemplated should they not wish to extend their investment and (iii) the issuance of new preferred shares in order to provide continuing leverage for the Capital Shares. The Company may also offer additional Capital Shares at the time of the preferred share offering.

A special meeting of holders of the Capital Shares will be called to consider and vote upon the proposed reorganization. Details of the proposed reorganization will be outlined in an information circular to be prepared and delivered to holders of Capital Shares in connection with the special meeting and will be available on www.sedar.com. Implementation of the proposed reorganization will also be subject to applicable regulatory approval including the Toronto Stock Exchange.

Allbanc Split Corp. II is a mutual fund corporation created to hold a portfolio of publicly listed common shares of selected Canadian chartered banks. Capital Shares and Preferred Shares of Allbanc Split Corp. II are listed for trading on The Toronto Stock Exchange under the symbols ALB and ALB.PR.B respectively.

On 2015-10-27, they announced:

A special meeting of holders of the Capital Shares has now been called and will be held on December 11, 2015 to consider and vote upon the proposed reorganization. Details of the proposed reorganization will be outlined in an information circular to be prepared and delivered to holders of Capital Shares of record on November 5, 2015 in connection with the special meeting. Implementation of the proposed reorganization will also be subject to applicable regulatory approval including the Toronto Stock Exchange.

On 2015-12-11, they announced:

Allbanc Split Corp. II (the “Company”) announced today that holders of its Class A Capital Shares (“Capital Shares”) have overwhelmingly approved a share capital reorganization (the “Reorganization”) allowing holders of Capital Shares, at their option, to retain their investment in the Company after the redemption date of February 26, 2016. The Reorganization will permit holders of Capital Shares to extend their investment in the Company beyond the redemption date of February 26, 2016 for an additional five years. The Class B Preferred Shares, Series 1 will be redeemed on the same terms originally contemplated in their share provisions on February 26, 2016. In order to maintain the leveraged “split share” structure of the Company, the Company expects to create and issue a new series of Class B preferred shares on or about February 26, 2016.

… and on 2015-12-30, they announced:

Allbanc Split Corp. II (the “Company”) announced today that the final condition required to extend the term of the Company for an additional five years to February 28, 2021, has been met as holders of approximately 85% of Class A Capital Shares (“Capital Shares”) have elected to extend. Holders of Capital Shares previously approved the extension of the term of the Company provided a minimum of 1,000,000 Capital Shares remain outstanding after giving effect to the special retraction right (the “Special Retraction Right”).

Under the Special Retraction Right, 243,022 Capital Shares were tendered to the Company for payment on February 26, 2016. The holders of the remaining 1,375,134 Capital Shares will continue to enjoy the benefits of a leveraged participation in the capital appreciation of the Company’s portfolio while potentially deferring any capital gains tax liability which would
otherwise be realized on the redemption of their Capital Shares.

The Company’s Class B Preferred Shares, Series 1 will be redeemed by the Company on February 26, 2016 in accordance with the redemption provisions at a price per share equal to the lesser of $21.80 and the Net Asset Value per Unit. In order to maintain the leveraged “split share” structure of the Company, the Company intends to create and issue a new series of Class B Preferred Shares to be called the Series 2 Preferred Shares, which are expected to be issued immediately following
this redemption.

A provisional rating of Pfd-2(low) has been assigned by DBRS to the new issue:

The initial downside protection available to the holders of the Preferred Shares is expected to be greater than 54% (after offering expenses). Downside protection available to the Pre¬ferred Shares consists of the NAV of the Capital Shares. Upon maturity, the holders of the Preferred Shares will be en¬titled to the value of the Portfolio Shares, up to the face value of the Preferred Shares, in priority to the holders of the Capital Shares. The holders of the Capital Shares will be entitled to the distribu¬tion in the excess of dividend income on the Portfolio Shares beyond what is required to pay the holders of the Preferred Shares, as well as all capital appreciation.

The provisional Pfd-2 (low) rating of the Preferred Shares is primarily based on the expected level of downside protection and dividend coverage available to holders of the Preferred Shares, as well as the credit quality and consistency of dividend distributions of the Portfolio holdings.

Details of the refunding issue will be reported when available.

Issue Comments

CBU.PR.A Redeemed On Schedule

On December 14, 2015, CI Financial announced:

First Asset CanBanc Split Corp. (the “Fund”) announces that all of the issued and outstanding Preferred Shares (TSX: CBU.PR.A) and Class A Shares (TSX: CBU) of the Fund will be redeemed by the Fund on January 15, 2016 (the “Redemption Date”) as scheduled.

The redemption price payable by the Fund for a Preferred Share on the Redemption Date will be equal to the lesser of (i) $10.00 plus any accrued and unpaid distributions thereon, and (ii) the net asset value (“NAV”) of the Fund on the Redemption Date divided by the total number of Preferred Shares then outstanding.

The redemption price payable by the Fund for a Class A Share on the Redemption Date will be equal to the greater of (i) the NAV per Unit on that date minus the sum of $10.00 plus any accrued and unpaid distributions per share on the Preferred Shares then outstanding, and (ii) nil. A “Unit” is a notional unit consisting of one Preferred Share and one Class A Share.

NAV per Unit was $42.39 as at December 11, 2015.

Redemption proceeds will be paid on or before January 22, 2016. Shareholders are not required to take any action in connection with the above redemptions.

… and on January 18, 2016, they further announced:

First Asset CanBanc Split Corp. (the “Fund”) announces that the Fund completed the redemption of all of the issued and outstanding Preferred Shares and Class A Shares on January 15, 2016 (the “Redemption Date”).

Each Preferred Share will receive $10.0268 per share, and each Class A Share will receive $30.1588 per share. These proceeds will be paid on or before January 22, 2016 to the beneficial holders of such shares through CDS Clearing and Depository Services Inc. Shareholders need not take any action to receive the final redemption proceeds.

HIMIPref™ did not track this issue; according to the last financials (SEDAR, First Asset CanBanc Split Corp. Aug 31 2015 21:16:09 ET Interim financial statements/report – English PDF 348 K) the total assets of the fund amounted to $15.4-million of which, according to the second press release, only about one-quarter was due to the preferred shareholders. But I thought I should post this for completeness’ sake.

New Issues

New Issue: Empire Life FixedReset, 5.75%+499

The Empire Life Insurance Company has announced:

a Canadian public offering of Non-Cumulative Rate Reset Preferred Shares, Series 1 (the “Series 1 Preferred Shares”). Empire Life will issue 5.2 million Series 1 Preferred Shares priced at $25 per share to raise gross proceeds of $130 million. The offering will be underwritten on a bought deal basis by a syndicate of underwriters co-led by Scotia Capital Inc., CIBC World Markets Inc. and TD Securities Inc. Empire Life has granted the underwriters an option to purchase up to an additional 780,000 Series 1 Preferred Shares exercisable at any time up to a period of 30 days from the date of closing.

Holders of Series 1 Preferred Shares will be entitled to receive fixed non-cumulative quarterly dividends yielding 5.75% annually, as and when declared by the Board of Directors of Empire Life, for the initial period ending on and including April 17, 2021. Thereafter, the dividend rate will be reset every five years at a rate equal to the 5-year Government of Canada bond yield plus 4.99%.

Holders of Series 1 Preferred Shares will have the right, at their option, to convert their shares into Non-Cumulative Floating Rate Preferred Shares, Series 2 (“Series 2 Preferred Shares”), subject to certain conditions, on April 17, 2021 and on April 17 every five years thereafter. Holders of the Series 2 Preferred Shares will be entitled to receive non-cumulative quarterly floating dividends, as and when declared by the Board of Directors of Empire Life, at a rate equal to the three-month Government of Canada Treasury Bill yield plus 4.99%.

Empire Life intends to use the net proceeds from the offering for regulatory capital and general corporate purposes.

The offering is expected to close on February 16, 2016, subject to regular closing conditions.

On a pro forma basis, after giving effect to the preferred share issue (but assuming no exercise of the over-allotment option), the Company estimates that, as at September 30, 2015, its MCCSR would have increased from 202% to 220%.

“This is a very positive development for Empire Life,” said Mark Sylvia, President and Chief Executive Officer of Empire Life. “This offering will further build on our solid capital base with additional financing that increases our ability to compete and achieve our business goals.”

The issue has been assigned a provisional Pfd-2 rating by DBRS:

DBRS Limited (DBRS) has today provisionally rated The Empire Life Insurance Company’s (Empire Life or the Company) Non-Cumulative Rate Reset Preferred Shares, Series 1 (Series 1 Preferred Shares) at Pfd-2 with a Stable trend.

The DBRS assigned Preferred Shares rating is in accordance with Empire Life’s Financial Strength Rating of “A.”

Empire Life intends to use the net proceeds from the sale of the Series 1 Preferred Shares for regulatory capital and general corporate purposes.

The rating is consistent with DBRS’s Preferred Share and Hybrid Criteria for Corporate Issuers.

As this issue is from an insurer and there is no provision for conversion into common shares at the option of the issuer, I consider this to be subject to my Deemed Retraction policy; accordingly I have placed a maturity entry dated 2025-1-31 at par in the call schedule of this instrument for analytical purposes. Note that this approach is due to analysis and there is no contractual provision in the terms of issue for any such maturity.

As this is the first issue from Empire Life, it is not possible to run a self-consistent Implied Volatility analysis, but comparison with the MFC series shows that the issue is not out of line … but remember that in this series Implied Volatility is extremely high – so high as to be an indicator that there is a degree of directionality in the valuation of MFC issues. In addition, it is obvious that the new issue is well out of the range of Issue Reset Spreads covered by the MFC issues … so take this chart with a grain of salt!

impVol_MFC_EL_160125
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Market Action

January 22, 2016

Yeah, so it was a Friday to be remembered:

Oil prices surged as much as 10 per cent on Friday, one of the biggest daily rallies ever, as bearish traders who had taken out record short positions scrambled to close them, betting the market’s long rout may finally be over.

The onset of a massive snowstorm on the U.S. East Coast sent heating oil up more than 10 per cent. This helped fuel a 15 per cent gain in crude prices over two days, reversing nearly half of the relentless, fund-driven selloff that had pushed crude below $30 (U.S.) a barrel for the first time in 12 years.

… and headline inflation and retail sales both rose:

Canadians are still buying new cars and vegetables even as they become more expensive, supporting the central bank’s view the economy will recover from a commodity crash without further interest-rate cuts.

December inflation climbed at the fastest pace in a year at 1.6 per cent, led by double-digit gains for fruit and vegetables and a reduced drag from gasoline, Ottawa-based Statistics Canada said Friday. The agency also reported retail sales rose 1.7 per cent in November, almost triple the highest estimate in a Bloomberg economist survey
…
Fresh fruit and vegetable prices rose 13 per cent in December from a year earlier, pushing up total food costs 3.7 per cent. Most fresh produce is imported from the U.S. or Latin America during winter. Canada’s dollar fell 16 per cent last year versus the U.S. currency.

… which made it a hot day for equities:

The Standard & Poor’s/TSX Index jumped 2.9 percent to 12,389.58 at 4 p.m. in Toronto, capping the gauge’s first weekly gain of the year. Nine of the index’s 10 main industries rose more than 1.1 percent, with energy, utility and industrial shares the biggest gainers. The S&P/TSX, which entered a bear market two weeks ago, fell on Wednesday to its lowest level since August 2012. It’s down 4.8 percent in 2016.

Canada joined a rebound among global equities sparked by speculation the European Central Bank and Bank of Japan are poised to add to stimulus at the same time China reassured investors it would do more to damp volatility. Crude oil surged 8.9 percent, bringing its two-day increase past 20 percent.
…
All but one of the 55 companies in the S&P/TSX energy index rose as the gauge climbed 5.5 percent. Baytex Energy Corp. surged 15 percent, while Paramount Resources Ltd. and Enerplus Corp. climbed at least 9.3 percent. Penn West Petroleum Ltd. rose 15 percent to the highest level in more than two weeks.

And as for preferred shares …

s_fireworks_at_the_2013_Celebration_of_Light_in_Vancouver,_BC
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The Canadian preferred share market had a superb day today, with PerpetualDiscounts gaining 193bp, FixedResets winning 328bp and DeemedRetractibles up 223bp. The Performance Highlights table is ridiculous. Volume was very high.

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

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

Here’s TRP:

impVol_TRP_160122
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TRP.PR.E, which resets 2019-10-30 at +235, is bid at 16.72 to be $1.00 rich, while TRP.PR.B, resetting 2020-6-30 at +128, is $0.82 cheap at its bid price of 9.52.

impVol_MFC_160122
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Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 17.00 to be 0.81 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.68 to be 0.82 cheap.

impVol_BAM_160122
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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.43 to be $1.88 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 19.45 and appears to be $1.33 rich.

impVol_FTS_160122
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FTS.PR.K, with a spread of +205bp, and bid at 15.75, looks $0.50 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.17 and is $0.48 cheap.

pairs_FR_160122
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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.31%, with two outliers below -1.00%. There are five junk outliers below -1.00% and one above +1.00%

pairs_FF_160122
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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 5.28 % 6.43 % 21,005 16.13 1 4.0486 % 1,473.4
FixedFloater 7.63 % 6.66 % 30,560 15.64 1 2.0492 % 2,605.5
Floater 4.81 % 4.96 % 75,045 15.58 4 1.6542 % 1,590.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0767 % 2,692.7
SplitShare 4.91 % 6.68 % 78,140 2.72 6 0.0767 % 3,151.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0767 % 2,458.5
Perpetual-Premium 5.93 % 5.88 % 92,778 13.98 6 1.3403 % 2,489.4
Perpetual-Discount 5.89 % 5.86 % 102,418 14.11 33 1.9332 % 2,447.4
FixedReset 5.73 % 4.94 % 245,812 14.89 83 3.2774 % 1,801.1
Deemed-Retractible 5.32 % 5.94 % 132,488 6.93 34 2.2257 % 2,538.1
FloatingReset 2.77 % 4.75 % 62,927 5.60 13 2.4144 % 2,007.7
Performance Highlights
Issue Index Change Notes
BIP.PR.B FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.71
Evaluated at bid price : 22.10
Bid-YTW : 6.31 %
PWF.PR.K Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.86 %
BMO.PR.L Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-25
Maturity Price : 25.25
Evaluated at bid price : 25.77
Bid-YTW : 2.31 %
RY.PR.B Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.08
Bid-YTW : 5.37 %
RY.PR.F Deemed-Retractible 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 5.25 %
IGM.PR.B Perpetual-Premium 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.77
Evaluated at bid price : 24.21
Bid-YTW : 6.11 %
BMO.PR.Z Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 22.04
Evaluated at bid price : 22.34
Bid-YTW : 5.68 %
RY.PR.A Deemed-Retractible 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.26 %
RY.PR.O Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.70
Evaluated at bid price : 21.99
Bid-YTW : 5.56 %
PWF.PR.A Floater 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 4.33 %
BNS.PR.O Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-04-27
Maturity Price : 25.25
Evaluated at bid price : 25.39
Bid-YTW : 2.85 %
RY.PR.E Deemed-Retractible 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 5.27 %
CU.PR.H Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.98
Evaluated at bid price : 22.26
Bid-YTW : 5.98 %
RY.PR.C Deemed-Retractible 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 5.29 %
RY.PR.D Deemed-Retractible 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 5.27 %
BNS.PR.R FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 5.01 %
BMO.PR.K Deemed-Retractible 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 5.34 %
TRP.PR.B FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 9.52
Evaluated at bid price : 9.52
Bid-YTW : 5.09 %
GWO.PR.L Deemed-Retractible 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 5.94 %
BNS.PR.B FloatingReset 1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 4.75 %
ELF.PR.F Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.13 %
CU.PR.D Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.03 %
RY.PR.G Deemed-Retractible 1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.98
Bid-YTW : 5.25 %
CCS.PR.C Deemed-Retractible 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 7.50 %
BAM.PR.Z FixedReset 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.16 %
PWF.PR.H Perpetual-Premium 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 24.25
Evaluated at bid price : 24.54
Bid-YTW : 5.88 %
RY.PR.W Perpetual-Discount 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.50 %
PWF.PR.O Perpetual-Premium 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 24.26
Evaluated at bid price : 24.76
Bid-YTW : 5.86 %
FTS.PR.F Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 5.83 %
CU.PR.F Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.99 %
RY.PR.N Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.59
Evaluated at bid price : 21.92
Bid-YTW : 5.57 %
CU.PR.G Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 6.01 %
TD.PF.C FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.50 %
CU.PR.E Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.02 %
W.PR.J Perpetual-Discount 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 22.00
Evaluated at bid price : 22.23
Bid-YTW : 6.34 %
NA.PR.Q FixedReset 1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.76
Bid-YTW : 5.81 %
BNS.PR.Y FixedReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 6.53 %
BNS.PR.C FloatingReset 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 4.89 %
PWF.PR.R Perpetual-Discount 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.10
Evaluated at bid price : 23.52
Bid-YTW : 5.86 %
W.PR.H Perpetual-Discount 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 6.29 %
BAM.PR.G FixedFloater 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 25.00
Evaluated at bid price : 12.45
Bid-YTW : 6.66 %
BNS.PR.N Deemed-Retractible 2.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.24 %
BMO.PR.R FloatingReset 2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 4.50 %
BNS.PR.L Deemed-Retractible 2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.25 %
PWF.PR.F Perpetual-Discount 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 5.86 %
MFC.PR.I FixedReset 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.98
Bid-YTW : 8.20 %
PWF.PR.E Perpetual-Discount 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.27
Evaluated at bid price : 23.57
Bid-YTW : 5.85 %
RY.PR.L FixedReset 2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 4.49 %
TD.PR.Y FixedReset 2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.65 %
ELF.PR.G Perpetual-Discount 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.87 %
BAM.PR.C Floater 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 9.45
Evaluated at bid price : 9.45
Bid-YTW : 5.05 %
BNS.PR.M Deemed-Retractible 2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.09
Bid-YTW : 5.22 %
FTS.PR.J Perpetual-Discount 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.85 %
BAM.PR.B Floater 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 9.62
Evaluated at bid price : 9.62
Bid-YTW : 4.96 %
BAM.PF.B FixedReset 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.96 %
TD.PR.Z FloatingReset 2.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.76
Bid-YTW : 4.39 %
POW.PR.C Perpetual-Premium 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.90 %
GWO.PR.G Deemed-Retractible 2.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.63 %
CM.PR.O FixedReset 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.56 %
MFC.PR.L FixedReset 2.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.19
Bid-YTW : 9.18 %
TD.PR.T FloatingReset 2.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 4.27 %
POW.PR.D Perpetual-Discount 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 5.83 %
PWF.PR.L Perpetual-Discount 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.55
Evaluated at bid price : 21.81
Bid-YTW : 5.86 %
POW.PR.G Perpetual-Discount 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.67
Evaluated at bid price : 24.16
Bid-YTW : 5.82 %
GWO.PR.H Deemed-Retractible 2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.42
Bid-YTW : 7.11 %
CIU.PR.C FixedReset 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 10.46
Evaluated at bid price : 10.46
Bid-YTW : 4.74 %
BAM.PF.D Perpetual-Discount 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 6.39 %
BAM.PF.C Perpetual-Discount 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.38 %
POW.PR.B Perpetual-Discount 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.85 %
GWO.PR.I Deemed-Retractible 2.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.39
Bid-YTW : 7.42 %
MFC.PR.K FixedReset 2.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.70
Bid-YTW : 9.46 %
BAM.PF.E FixedReset 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.86 %
HSE.PR.C FixedReset 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 7.37 %
BAM.PR.R FixedReset 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 5.47 %
BAM.PR.N Perpetual-Discount 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.33 %
MFC.PR.H FixedReset 2.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.47 %
POW.PR.A Perpetual-Discount 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.86 %
TRP.PR.C FixedReset 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.81 %
BAM.PR.M Perpetual-Discount 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 6.34 %
BIP.PR.A FixedReset 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.25 %
GWO.PR.S Deemed-Retractible 3.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.59
Bid-YTW : 6.16 %
BMO.PR.T FixedReset 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 4.43 %
NA.PR.S FixedReset 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 4.71 %
BMO.PR.S FixedReset 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.52 %
TD.PF.A FixedReset 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.45 %
CU.PR.I FixedReset 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.27
Evaluated at bid price : 25.30
Bid-YTW : 4.38 %
IFC.PR.A FixedReset 3.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.56
Bid-YTW : 11.01 %
BAM.PF.G FixedReset 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.91 %
GWO.PR.R Deemed-Retractible 3.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 7.10 %
BAM.PR.X FixedReset 3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 5.02 %
GWO.PR.Q Deemed-Retractible 3.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.87
Bid-YTW : 6.50 %
RY.PR.P Perpetual-Discount 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.13
Evaluated at bid price : 23.55
Bid-YTW : 5.55 %
MFC.PR.M FixedReset 3.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.16
Bid-YTW : 8.57 %
MFC.PR.G FixedReset 3.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.68
Bid-YTW : 8.35 %
PWF.PR.P FixedReset 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 4.75 %
RY.PR.Z FixedReset 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 4.33 %
BAM.PR.T FixedReset 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 5.19 %
RY.PR.I FixedReset 3.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 5.11 %
GWO.PR.P Deemed-Retractible 3.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 6.06 %
BNS.PR.Q FixedReset 3.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.74
Bid-YTW : 4.66 %
NA.PR.W FixedReset 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 4.66 %
TD.PF.B FixedReset 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 4.37 %
RY.PR.H FixedReset 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.36 %
TD.PR.S FixedReset 3.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 4.13 %
MFC.PR.J FixedReset 3.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.34
Bid-YTW : 8.41 %
MFC.PR.C Deemed-Retractible 3.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.37
Bid-YTW : 7.46 %
MFC.PR.B Deemed-Retractible 3.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.74
Bid-YTW : 7.38 %
VNR.PR.A FixedReset 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.24 %
BAM.PR.E Ratchet 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 25.00
Evaluated at bid price : 12.85
Bid-YTW : 6.43 %
SLF.PR.G FixedReset 4.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.80
Bid-YTW : 10.80 %
BNS.PR.P FixedReset 4.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 3.88 %
HSE.PR.G FixedReset 4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 7.30 %
IFC.PR.C FixedReset 4.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.91
Bid-YTW : 9.45 %
SLF.PR.B Deemed-Retractible 4.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.56
Bid-YTW : 6.96 %
SLF.PR.E Deemed-Retractible 4.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.34
Bid-YTW : 7.46 %
SLF.PR.A Deemed-Retractible 4.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 6.99 %
FTS.PR.M FixedReset 4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.78 %
HSE.PR.A FixedReset 4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 8.55
Evaluated at bid price : 8.55
Bid-YTW : 6.79 %
BMO.PR.W FixedReset 4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.46 %
SLF.PR.D Deemed-Retractible 4.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.18
Bid-YTW : 7.51 %
SLF.PR.C Deemed-Retractible 4.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.38
Bid-YTW : 7.37 %
HSE.PR.E FixedReset 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 7.46 %
RY.PR.J FixedReset 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.65 %
RY.PR.M FixedReset 4.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.60 %
IAG.PR.G FixedReset 4.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.62 %
TRP.PR.E FixedReset 4.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 4.78 %
GWO.PR.N FixedReset 4.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.23
Bid-YTW : 11.28 %
TRP.PR.F FloatingReset 5.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.89 %
TD.PF.D FixedReset 5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.60 %
TD.PF.E FixedReset 5.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.48 %
FTS.PR.K FixedReset 5.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.59 %
CM.PR.P FixedReset 5.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.45 %
FTS.PR.G FixedReset 5.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 4.80 %
SLF.PR.I FixedReset 5.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.68
Bid-YTW : 8.92 %
SLF.PR.J FloatingReset 5.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.01
Bid-YTW : 10.96 %
MFC.PR.N FixedReset 5.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 8.63 %
BMO.PR.Y FixedReset 6.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 4.53 %
CU.PR.C FixedReset 6.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 4.57 %
TRP.PR.G FixedReset 6.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.03 %
CM.PR.Q FixedReset 6.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.57 %
GWO.PR.O FloatingReset 6.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.00
Bid-YTW : 10.81 %
BNS.PR.D FloatingReset 6.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.61
Bid-YTW : 6.46 %
TRP.PR.D FixedReset 7.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 4.88 %
BAM.PF.F FixedReset 7.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.72 %
PWF.PR.T FixedReset 7.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.90 %
TRP.PR.A FixedReset 11.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.X FixedReset 796,852 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.09
Evaluated at bid price : 24.84
Bid-YTW : 5.48 %
TD.PF.G FixedReset 80,725 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.25
Evaluated at bid price : 25.34
Bid-YTW : 5.15 %
HSE.PR.G FixedReset 75,810 RBC crossed 60,151 at 14.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 7.30 %
SLF.PR.H FixedReset 55,810 RBC crossed 19,000 at 13.85 and bought 11,000 from TD at 14.20.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.80
Bid-YTW : 10.79 %
TRP.PR.B FixedReset 53,570 TD crossed 31,000 at 9.65.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 9.52
Evaluated at bid price : 9.52
Bid-YTW : 5.09 %
CU.PR.H Perpetual-Discount 49,831 TD bought blocks of 10,000 shares, 20,000 and 16,300 from National, all at 22.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 21.98
Evaluated at bid price : 22.26
Bid-YTW : 5.98 %
There were 64 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Quote: 18.77 – 22.00
Spot Rate : 3.2300
Average : 1.9632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.57 %
BAM.PF.A FixedReset Quote: 17.95 – 19.24
Spot Rate : 1.2900
Average : 0.8267

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 5.09 %
PWF.PR.S Perpetual-Discount Quote: 20.05 – 21.23
Spot Rate : 1.1800
Average : 0.7578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.02 %
BAM.PF.B FixedReset Quote: 17.15 – 18.39
Spot Rate : 1.2400
Average : 0.8353

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.96 %
RY.PR.K FloatingReset Quote: 20.86 – 21.95
Spot Rate : 1.0900
Average : 0.7619

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 5.41 %
PVS.PR.B SplitShare Quote: 23.15 – 23.88
Spot Rate : 0.7300
Average : 0.4479

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 7.42 %
Issue Comments

NA.PR.X Soft On Decent Volume

National Bank of Canada has announced:

that it has closed its 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”). National Bank issued 16 million Series 34 Preferred Shares at a price of $25.00 per share to raise gross proceeds of $400 million.

The offering was underwritten by a syndicate led by National Bank Financial Inc.

The Series 34 Preferred Shares will commence trading on the Toronto Stock Exchange today under the ticker symbol NA.PR.X.

The Series 34 Preferred Shares were issued under a prospectus supplement dated January 15, 2016 to National Bank’s short form base shelf prospectus dated December 1, 2014.

NA.PR.X is a FixedReset, 5.60%+490, announced 2016-1-13. It will be tracked by HIMIPref™ and has been added to the FixedReset subindex.

NA.PR.X traded 796,852 shares today (consolidated exchanges) in a range of 24.65-99 before closing at 24.84-85, 57×31. Vital Statistics are:

NA.PR.X FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-22
Maturity Price : 23.09
Evaluated at bid price : 24.84
Bid-YTW : 5.48 %

A little softness is reasonable, given the wild market action in the time since the announcement. The TXPL price index closed at 597.06 on announcement day, January 13, and at 587.78 today, for a decline of 1.56%. Mind you, this was via a low of 560.24 on January 18, 6.17% below the initial figure … some players might have gotten cold feet!

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 high level of Implied Volatility leads to the conclusion that there is a 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 yield 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_160122
Click for Big
Issue Comments

BNS.PR.Z / BNS.PR.F: 32% Conversion to FloatingReset

The Bank of Nova Scotia has announced:

that 5,184,345 of the 16,360,000 Non-cumulative 5-Year Rate Reset Preferred Shares Series 32 of Scotiabank (the “Preferred Shares Series 32”) have been elected for conversion on February 2, 2016, on a one-for-one basis, into Non-cumulative Floating Rate Preferred Shares Series 33 of Scotiabank (the “Preferred Shares Series 33”). Consequently, on February 2, 2016, Scotiabank will have 11,175,655 Preferred Shares Series 32 and 5,184,345 Preferred Shares Series 33 issued and outstanding. The Preferred Shares Series 32 and Preferred Shares Series 33 will be listed on the Toronto Stock Exchange under the symbols BNS.PR.Z and BNS.PR.F, respectively.

Assiduous Readers will remember that BNS.PR.Z will reset to 2.063%, while the FloatingReset issue, BNS.PR.F, will pay 3-Month T-Bills + 134bp, reset quarterly. I recommended against conversion.

Market Action

January 21, 2016

So much for private equity:

Henry Kravis called it private equity’s golden age. From 2005 to 2007, buyout firms paid fat prices to buy about 20 supersized companies, from Hilton Worldwide Holdings Inc. to Hertz Global Holdings Inc.

Now, a decade later, the results of that debt-fueled spree can be tabulated — and it’s hardly golden. The mega-deals produced mostly mediocre returns, falling well short of the profits that leveraged buyout shops typically seek, according to separate compilations by Bloomberg and asset manager Hamilton Lane Advisors. In more than half the deals — each valued at more than $10 billion — the firms would have been better off if they had put their investors’ money into a stock index fund.
…
The results also pale when compared with the 70 percent median return yielded by all private equity transactions during that period, the Hamilton Lane study shows. That group includes thousands of smaller deals.

On an annualized basis, the largest deals generated a median 4 percent return, according to the Hamilton Lane study, which looked at 25 transactions from the era. The Standard and Poor’s 500 Index, by comparison, returned 7.3 percent a year from the start of 2006 through 2015.

Meanwhile, players are increasing bets on a dovish Fed:

Traders have gone from betting on two Fed increases in the next year — half the pace policy makers signaled last month — to just about one, as inflation expectations have tumbled to multiyear lows and stocks worldwide have crashed. That’s comparable with the market’s predicted pace in 2013 when the Fed started talking about winding down its bond-buying program, according to a Morgan Stanley index.

Judging by futures prices, investors see the fed funds effective rate rising to 0.61 percent by year-end. That’s nearly in line with the 0.62 percent level that would signal one rate increase, assuming the Fed raises its target range by 0.25 percentage point, following liftoff from near zero last month. Futures imply a one-in-five chance the Fed will boost rates at its March meeting, and it’s not until September that the chances exceed a coin flip, data compiled by Bloomberg show.

Preferred share investors were feeling buoyant today!

buoyant
Click for Big

It was a strong day for the Canadian preferred share market, with PerpetualDiscounts gaining 39bp, FixedResets up 99bp and DeemedRetractibles winning 131bp. The Performance Highlight table was the Performance Highlights table. Volume was very high.

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

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

Here’s TRP:

impVol_TRP_160121
Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 15.95 to be $1.13 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.44 cheap at its bid price of 17.10.

impVol_MFC_160121
Click for Big

Most expensive is MFC.PR.M, resetting at +236bp on 2019-12-19, bid at 16.60 to be 0.65 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.10 to be 0.79 cheap.

impVol_BAM_160121
Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.05 to be $1.85 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 17.20 and appears to be $1.06 rich.

impVol_FTS_160121
Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 14.98, looks $0.32 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.42 and is $0.59 cheap.

pairs_FR_160121
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.02%, with no outliers. There are five junk outliers below -1.00%.

pairs_FF_160121
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 5.49 % 6.68 % 21,807 15.82 1 12.7854 % 1,416.0
FixedFloater 7.79 % 6.79 % 29,394 15.48 1 1.1609 % 2,553.1
Floater 4.88 % 5.07 % 75,453 15.38 4 0.0776 % 1,564.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1257 % 2,690.7
SplitShare 4.91 % 7.03 % 73,934 2.73 6 0.1257 % 3,148.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1257 % 2,456.7
Perpetual-Premium 6.01 % 5.98 % 93,006 13.94 6 0.5501 % 2,456.4
Perpetual-Discount 5.99 % 6.00 % 102,115 13.90 33 0.3852 % 2,400.9
FixedReset 5.91 % 5.09 % 241,674 14.73 82 0.9904 % 1,744.0
Deemed-Retractible 5.42 % 5.88 % 134,105 6.93 34 1.3176 % 2,482.8
FloatingReset 2.84 % 5.04 % 64,133 5.60 13 0.7810 % 1,960.3
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 7.81 %
TRP.PR.B FixedReset -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 9.37
Evaluated at bid price : 9.37
Bid-YTW : 5.17 %
HSE.PR.C FixedReset -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 7.59 %
BAM.PR.X FixedReset -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 12.34
Evaluated at bid price : 12.34
Bid-YTW : 5.20 %
PWF.PR.A Floater -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 4.39 %
W.PR.H Perpetual-Discount -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.42 %
W.PR.J Perpetual-Discount -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 21.57
Evaluated at bid price : 21.83
Bid-YTW : 6.46 %
BAM.PR.B Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 5.07 %
CIU.PR.C FixedReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 10.18
Evaluated at bid price : 10.18
Bid-YTW : 4.87 %
PWF.PR.T FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 4.21 %
HSE.PR.A FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 8.18
Evaluated at bid price : 8.18
Bid-YTW : 7.10 %
GWO.PR.O FloatingReset -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.25
Bid-YTW : 11.66 %
PWF.PR.R Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 22.71
Evaluated at bid price : 23.06
Bid-YTW : 5.98 %
ELF.PR.F Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.24 %
PWF.PR.H Perpetual-Premium 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 23.86
Evaluated at bid price : 24.11
Bid-YTW : 5.98 %
BNS.PR.C FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.24 %
BAM.PR.G FixedFloater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 25.00
Evaluated at bid price : 12.20
Bid-YTW : 6.79 %
POW.PR.D Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.00 %
TRP.PR.D FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 5.24 %
MFC.PR.L FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.79
Bid-YTW : 9.53 %
BMO.PR.W FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.67 %
VNR.PR.A FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.45 %
CM.PR.O FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 4.67 %
MFC.PR.F FixedReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.50
Bid-YTW : 12.17 %
IAG.PR.G FixedReset 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 8.27 %
GWO.PR.S Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.87
Bid-YTW : 6.60 %
BAM.PF.E FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.01 %
MFC.PR.G FixedReset 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.10
Bid-YTW : 8.82 %
GWO.PR.P Deemed-Retractible 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.18
Bid-YTW : 6.57 %
PWF.PR.S Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.96 %
GWO.PR.Q Deemed-Retractible 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 6.97 %
FTS.PR.J Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.99 %
IFC.PR.C FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 10.05 %
BAM.PF.A FixedReset 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.10 %
FTS.PR.F Perpetual-Discount 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.93 %
SLF.PR.H FixedReset 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.75
Bid-YTW : 10.84 %
TD.PF.A FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.60 %
TD.PF.C FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.58 %
TRP.PR.F FloatingReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 10.95
Evaluated at bid price : 10.95
Bid-YTW : 5.14 %
SLF.PR.I FixedReset 1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.80
Bid-YTW : 9.69 %
NA.PR.S FixedReset 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.86 %
GWO.PR.G Deemed-Retractible 1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 6.99 %
CCS.PR.C Deemed-Retractible 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 7.74 %
CM.PR.P FixedReset 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.69 %
BNS.PR.P FixedReset 1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 4.64 %
SLF.PR.G FixedReset 2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.30
Bid-YTW : 11.34 %
MFC.PR.J FixedReset 2.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.70
Bid-YTW : 8.94 %
MFC.PR.M FixedReset 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 9.04 %
RY.PR.Z FixedReset 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 4.50 %
TRP.PR.E FixedReset 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 5.02 %
GWO.PR.I Deemed-Retractible 2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.82
Bid-YTW : 7.83 %
GWO.PR.L Deemed-Retractible 2.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 6.17 %
RY.PR.H FixedReset 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.56 %
BMO.PR.T FixedReset 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.57 %
RY.PR.M FixedReset 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 4.85 %
GWO.PR.H Deemed-Retractible 2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 7.49 %
GWO.PR.R Deemed-Retractible 2.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.67
Bid-YTW : 7.57 %
TRP.PR.A FixedReset 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 5.35 %
RY.PR.J FixedReset 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.90 %
W.PR.K FixedReset 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 22.87
Evaluated at bid price : 24.22
Bid-YTW : 5.42 %
MFC.PR.I FixedReset 2.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.50 %
TRP.PR.H FloatingReset 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 9.09
Evaluated at bid price : 9.09
Bid-YTW : 4.41 %
SLF.PR.B Deemed-Retractible 3.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.66
Bid-YTW : 7.58 %
MFC.PR.B Deemed-Retractible 3.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.96
Bid-YTW : 7.93 %
SLF.PR.A Deemed-Retractible 3.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 7.62 %
TD.PF.B FixedReset 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.54 %
TD.PF.D FixedReset 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.84 %
SLF.PR.D Deemed-Retractible 3.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.29
Bid-YTW : 8.16 %
FTS.PR.M FixedReset 3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.01 %
MFC.PR.C Deemed-Retractible 3.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 8.01 %
BAM.PF.G FixedReset 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.08 %
SLF.PR.C Deemed-Retractible 4.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.48
Bid-YTW : 8.02 %
MFC.PR.H FixedReset 4.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.88 %
SLF.PR.E Deemed-Retractible 4.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.49
Bid-YTW : 8.07 %
BAM.PR.K Floater 6.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 9.15
Evaluated at bid price : 9.15
Bid-YTW : 5.21 %
FTS.PR.H FixedReset 6.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 4.47 %
TD.PF.E FixedReset 7.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.71 %
SLF.PR.J FloatingReset 7.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.35
Bid-YTW : 11.71 %
BAM.PR.E Ratchet 12.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 25.00
Evaluated at bid price : 12.35
Bid-YTW : 6.68 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.G FixedReset 130,018 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 23.25
Evaluated at bid price : 25.34
Bid-YTW : 5.15 %
RY.PR.Q FixedReset 93,630 RBC crossed blocks of 29,700 and 10,000, both at 25.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 23.24
Evaluated at bid price : 25.30
Bid-YTW : 5.10 %
BAM.PR.X FixedReset 49,723 TD crossed 30,000 at 12.55.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 12.34
Evaluated at bid price : 12.34
Bid-YTW : 5.20 %
HSE.PR.C FixedReset 47,180 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 7.59 %
HSE.PR.E FixedReset 46,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 7.81 %
RY.PR.Z FixedReset 42,293 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 4.50 %
There were 60 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: 11.25 – 20.25
Spot Rate : 9.0000
Average : 5.5256

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.25
Bid-YTW : 11.66 %
PWF.PR.T FixedReset Quote: 18.62 – 19.98
Spot Rate : 1.3600
Average : 0.9455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 4.21 %
GWO.PR.N FixedReset Quote: 11.65 – 12.50
Spot Rate : 0.8500
Average : 0.5500

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.65
Bid-YTW : 11.94 %
PWF.PR.P FixedReset Quote: 11.07 – 11.76
Spot Rate : 0.6900
Average : 0.4396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-01-21
Maturity Price : 11.07
Evaluated at bid price : 11.07
Bid-YTW : 4.92 %
PVS.PR.C SplitShare Quote: 24.22 – 24.99
Spot Rate : 0.7700
Average : 0.5390

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 7.03 %
TD.PR.Y FixedReset Quote: 22.20 – 22.97
Spot Rate : 0.7700
Average : 0.5546

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 5.07 %
Issue Comments

BRF.PR.E: Exchange Offer Extended, Minimum Tender Condition Waived

Brookfield Renewable Energy Partners L.P. has announced:

that, in connection with its previously announced offer to exchange each issued and outstanding Class A Preference Share, Series 5 of Brookfield Renewable Power Preferred Equity Inc. (TSX:BRF.PR.E) with an annual dividend rate of 5.00% (collectively, the “Series 5 Preferred Shares”) for one newly issued Class A Preferred Limited Partnership Unit, Series 5 of Brookfield Renewable with an annual distribution rate of 5.59% (the “Exchange Offer”), it has extended the expiry date of the Exchange Offer to 5:00 p.m. (Toronto Time) on February 8, 2016 and waived the Exchange Offer’s minimum tender condition (the “Minimum Tender Condition”). As of 5:00 p.m. (Toronto Time) on January 20, 2016, a total of 2,805,911 Series 5 Preferred Shares have been validly tendered to the Exchange Offer, representing approximately 40.08% of the issued and outstanding Series 5 Preferred Shares.

Following expiry of the Exchange Offer, any and all Series 5 Preferred Shares tendered will be taken up, regardless of how many Series 5 Preferred Shares are tendered, provided that the remaining Exchange Offer conditions have been satisfied or waived and the expiry date of the Exchange Offer has not been further extended. The waiver of the Minimum Tender Condition and the extension of the Exchange Offer enable holders of Series 5 Preferred Shares (the “Series 5 Preferred Shareholders”) who have not yet tendered their Series 5 Preferred Shares to accept the Exchange Offer. All other terms and conditions of the Exchange Offer remain the same. Series 5 Preferred Shareholders who have validly tendered (and not withdrawn) their Series 5 Preferred Shares pursuant to the Exchange Offer need take no further action to accept the Exchange Offer.

The Exchange Offer is being extended pursuant to a second amendment and restatement of Brookfield Renewable’s prospectus supplement dated November 9, 2015, as amended and restated on December 23, 2015, to its short form base shelf prospectus dated May 12, 2015 (the “Second Amended and Restated Prospectus Supplement”). Full details of the Exchange Offer are contained in the Second Amended and Restated Prospectus Supplement, which will be filed with securities regulatory authorities in each of the provinces and territories of Canada and mailed to Series 5 Preferred Shareholders as required under applicable Canadian securities laws on or about January 27, 2016. Copies of the Second Amended and Restated Prospectus Supplement will be available on SEDAR at www.sedar.com and on Brookfield Renewable’s website at www.brookfieldrenewable.com at such time. Series 5 Preferred Shareholders are urged to evaluate carefully all information in the Exchange Offer, including risk factors, and to consult their own investment, tax and legal advisors.

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

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

Assiduous Readers will remember that the original offer was announced 2015-11-9, which was extended 2015-12-21 with a filing thereof appearing on SEDAR on 2015-12-23.

Issue Comments

TRP.PR.C / TRP.PR.I: 9% Conversion to FloatingReset

TransCanada Corporation has announced:

that 1,284,609 of its 14,000,000 fixed rate Cumulative Redeemable First Preferred Shares, Series 5 (Series 5 Shares) have been elected for conversion on a one-for-one basis, into floating rate Cumulative Redeemable First Preferred Shares, Series 6 (Series 6 Shares) effective on February 1, 2016. As a result, on February 1, 2016, TransCanada will have 12,715,391 Series 5 Shares and 1,284,609 Series 6 Shares issued and outstanding. The Series 5 Shares and Series 6 Shares will be listed on the Toronto Stock Exchange under the symbols TRP.PR.C and TRP.PR.I, respectively.

Assiduous Readers will recall that TRP.PR.C will reset to 2.263%; TRP.PR.I is a FloatingReset paying 154bp over 3-Month Bills, reset quarterly. I recommended against conversion.

Issue Comments

PWF.PR.P / PWF.PR.Q: 20% Conversion to Floating Reset

Power Financial Corporation has announced:

that 2,234,515 of its outstanding 11,200,000 Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series P (the “Series P shares”) will be converted on February 1, 2016, on a one-for-one basis, into Non-Cumulative Floating Rate First Preferred Shares, Series Q (the “Series Q shares”) of Power Financial.

As a result, on February 1, 2016, Power Financial will have issued and outstanding 8,965,485 Series P shares and 2,234,515 Series Q shares.

The Series P shares are currently listed on the Toronto Stock Exchange under the symbol PWF.PR.P. The Series Q shares will be listed on the Toronto Stock Exchange under the symbol PWF.PR.Q.

Assiduous Readers will remember that PWF.PR.P will reset to 2.306%; PWF.PR.Q is a FloatingReset that will pay 3-Month T-Bills +160bp, reset quarterly. I recommended against conversion.