Month: April 2017

Market Action

April 13, 2017

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.0184 %	2,192.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.0184 %	4,022.8
Floater	3.47 %	3.56 %	43,704	18.39	4	-0.0184 %	2,318.3
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2801 %	3,021.1
SplitShare	4.94 %	4.20 %	57,037	0.64	6	-0.2801 %	3,607.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2801 %	2,815.0
Perpetual-Premium	5.28 %	-7.34 %	72,848	0.09	23	-0.0186 %	2,791.6
Perpetual-Discount	5.07 %	5.06 %	111,308	15.40	13	0.0032 %	3,006.3
FixedReset	4.33 %	3.88 %	249,860	6.67	94	-0.1192 %	2,386.5
Deemed-Retractible	4.97 %	3.75 %	142,522	0.12	31	-0.0026 %	2,899.4
FloatingReset	2.54 %	3.03 %	52,829	4.53	9	0.0938 %	2,549.4

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.B	FixedReset	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-13 Maturity Price : 14.76 Evaluated at bid price : 14.76 Bid-YTW : 3.91 %
IAG.PR.G	FixedReset	-1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 5.02 %
TRP.PR.C	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-13 Maturity Price : 16.28 Evaluated at bid price : 16.28 Bid-YTW : 3.88 %
TRP.PR.A	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-13 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 3.87 %
CCS.PR.C	Deemed-Retractible	1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.38 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.H	FloatingReset	123,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-13 Maturity Price : 14.12 Evaluated at bid price : 14.12 Bid-YTW : 3.31 %
BMO.PR.C	FixedReset	97,788	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 4.00 %
BNS.PR.O	Deemed-Retractible	97,480	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-26 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 3.75 %
MFC.PR.R	FixedReset	70,082	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.98 Bid-YTW : 4.06 %
BMO.PR.B	FixedReset	63,868	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.67 Bid-YTW : 3.51 %
TD.PF.H	FixedReset	57,597	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.41 Bid-YTW : 3.47 %
There were 23 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IAG.PR.G	FixedReset	Quote: 23.27 – 23.62 Spot Rate : 0.3500 Average : 0.2483 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 5.02 %
PVS.PR.D	SplitShare	Quote: 25.00 – 25.30 Spot Rate : 0.3000 Average : 0.2041 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.64 %
CU.PR.H	Perpetual-Premium	Quote: 25.75 – 26.11 Spot Rate : 0.3600 Average : 0.2710 YTW SCENARIO Maturity Type : Call Maturity Date : 2024-09-01 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.89 %
NA.PR.W	FixedReset	Quote: 22.16 – 22.45 Spot Rate : 0.2900 Average : 0.2046 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-13 Maturity Price : 21.88 Evaluated at bid price : 22.16 Bid-YTW : 3.78 %
IFC.PR.C	FixedReset	Quote: 22.00 – 22.25 Spot Rate : 0.2500 Average : 0.1661 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 5.43 %
SLF.PR.H	FixedReset	Quote: 20.17 – 20.50 Spot Rate : 0.3300 Average : 0.2536 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.17 Bid-YTW : 6.18 %

Issue Comments

Calculator: FixedResetPremium Tax Effects

Assiduous Reader prefhound recently commented:

With recent strength in the Pref market, some Fixed Resets are priced north of $27 with YTW of 2-4%. What is your take on how sustainable that is and how far up they could go – north of $28?? Negative YTW??.

Two Examples are:
BPO.PR.C $27.35 YTW (first call) of 3.73% when the other BPO fixed resets average 4.86% (including BPO.PR.E, which is also likely to be called).
MFC.PR.O $27.61 YTW (first call) of 2.4% when the other MFC fixed resets average 3.99% (including MFC.PR.R, which is also likely to be called).

I had been thinking of highlighting this, but it took the comment to rouse me from my lethargy.

The interesting thing about FixedResets with very large premia is that there will be some investors who should definitely not hold them in taxable accounts due to differential tax rates. For most taxable investors a normal yield calculation will be just fine, since tax payments on larger-than-normal dividends will be offset by a recovery of taxes on the capital loss on the (presumed) call date – but this approximation is not exact and at worst can be completely wrong.

Some investors might be sitting on massive capital losses; an additional capital loss expected in the future might not be claimable immediately or, in the worst case scenario, at all. These problems were discussed in the post Tax Impact on FixedResetPremium Yields; and John Heinzl was kind enough to quote me in the Globe in his article Beware the tax trap of these tempting preferreds.

A long time ago I published a spreadsheet automating the calculation of tax effects on these issues; I’m pretty sure I noted the link in PrefLetter, but I don’t believe I ever posted about it on PrefBlog.

The calculator is an Excel Spreadsheet and is linked in the right-hand navigation panel under the heading “Calculators”.

So let’s look at four issues – the two highlighted by Prefhound and the two highest priced FixedResets:

Attribute
Attribute	BPO.PR.C	MFC.PR.O	RY.PR.R	CWB.PR.C
Bid Price	27.30	27.26	27.50	27.45
Call Price	25.00
Settle Date	2017-4-11
End Date	2021-6-30	2021-6-19	2021-8-24	2021-7-31
Quarterly Dividend	0.375	0.35	0.34375	0.390625
Cycle	3	3	2	1
Pay Date	30	19	24	30
Include first div?	Yes	Yes	Yes	Yes
Reset Date	2021-6-30	2021-6-19	2021-8-24	2021-07-31
Q’ly Div after reset	0.39125	0.378125	0.3675	0.409375
Marginal Div Tax	29.52%
Marginal Cap Gain Tax	23.20%
Results
Non-Taxable	3.68%	3.36%	3.21%	4.07%
TaxableClaimLoss	2.44%	2.22%	2.10%	2.70%
TaxableNoClaim	1.98%	1.76%	1.62%	2.22%

Tax Data is from Ernst & Young’s calculator, Ontario, 2017, taxable income of $150,000. “Dividend Rate after reset” has been input according to a constant GOC-5 yield of 1.08%, but is irrelevant to the calculation.

So to get back to Prefhound‘s questions: is this sustainable? Well not in the medium- to long-term, obviously, because one must assume that these high-spread, high-price issues are going to be called at the first opportunity. And one must also anticipate the price dropping towards 25.00 with every dividend paid. But the yields are probably sustainable – there are some investors who view issues of this type as substitutes for GICs, given the high call probability, and they’re just fine with 2%+ yields. Could these issues go over $28? Well, I won’t say anything’s impossible, but I consider it unlikely. A lot of people really don’t like paying such a high premium.

Market Action

April 12, 2017

PerpetualDiscounts now yield 5.06%, equivalent to 6.58% interest at the standard equivalency factor of 1.3x. Long corporates now yield just a bit more than 3.8% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 275bp, a slight (and perhaps spurious) widening from the 270bp reported March 29.

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.5537 %	2,192.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.5537 %	4,023.5
Floater	3.47 %	3.56 %	40,361	18.41	4	0.5537 %	2,318.8
OpRet	0.00 %	0.00 %	0	0.00	0	0.0391 %	3,029.6
SplitShare	4.93 %	4.04 %	57,650	0.65	6	0.0391 %	3,618.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0391 %	2,822.9
Perpetual-Premium	5.28 %	-8.91 %	73,787	0.09	23	-0.0287 %	2,792.2
Perpetual-Discount	5.07 %	5.06 %	115,306	15.38	13	-0.0934 %	3,006.2
FixedReset	4.33 %	3.95 %	241,189	6.66	94	0.0984 %	2,389.3
Deemed-Retractible	4.97 %	3.67 %	142,040	0.12	31	-0.0456 %	2,899.5
FloatingReset	2.52 %	3.01 %	53,532	4.53	9	0.0887 %	2,547.0

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.I	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.82 Bid-YTW : 4.58 %
PWF.PR.T	FixedReset	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-12 Maturity Price : 23.02 Evaluated at bid price : 23.39 Bid-YTW : 3.76 %
TRP.PR.C	FixedReset	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-12 Maturity Price : 16.49 Evaluated at bid price : 16.49 Bid-YTW : 3.90 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Q	FixedReset	112,655	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 27.32 Bid-YTW : 3.28 %
RY.PR.R	FixedReset	110,275	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 27.50 Bid-YTW : 3.23 %
TRP.PR.B	FixedReset	95,650	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-12 Maturity Price : 15.03 Evaluated at bid price : 15.03 Bid-YTW : 3.92 %
CU.PR.I	FixedReset	78,497	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 2.97 %
MFC.PR.L	FixedReset	74,933	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.71 Bid-YTW : 5.62 %
NA.PR.X	FixedReset	73,592	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 27.20 Bid-YTW : 3.17 %
There were 32 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BIP.PR.D	FixedReset	Quote: 25.52 – 25.75 Spot Rate : 0.2300 Average : 0.1528 YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 4.59 %
BNS.PR.Y	FixedReset	Quote: 22.45 – 22.65 Spot Rate : 0.2000 Average : 0.1313 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 4.29 %
SLF.PR.J	FloatingReset	Quote: 15.92 – 16.23 Spot Rate : 0.3100 Average : 0.2501 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.92 Bid-YTW : 8.43 %
CU.PR.C	FixedReset	Quote: 22.74 – 22.95 Spot Rate : 0.2100 Average : 0.1538 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-12 Maturity Price : 22.12 Evaluated at bid price : 22.74 Bid-YTW : 3.84 %
ELF.PR.F	Perpetual-Discount	Quote: 24.88 – 25.05 Spot Rate : 0.1700 Average : 0.1154 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-12 Maturity Price : 24.62 Evaluated at bid price : 24.88 Bid-YTW : 5.34 %
POW.PR.B	Perpetual-Premium	Quote: 25.39 – 25.64 Spot Rate : 0.2500 Average : 0.1958 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-12 Maturity Price : 25.00 Evaluated at bid price : 25.39 Bid-YTW : -13.56 %

Issue Comments

TA Outlook Downgraded To Negative By S&P

Standard & Poor’s has announced:

•TransAlta Corp.’s (TAC) reduction of contractedness via the expiry of Alberta power purchase agreements in 2018 and 2020 increases the company’s business risk.
•TAC’s financial metrics, although improving, may not sufficiently offset the potential increase in business risk.
•As a result, we are revising our outlook on the company to negative from stable.

…
“The outlook revision reflects our view that although TAC’s financial metrics have improved, they might not sufficiently offset the potential increase in business risk as a result of the reduction of contractedness via the expiry of the Alberta power purchase agreements in 2018 and 2020,” said S&P Global Ratings credit analyst Stephen Goltz.

Underpinning TAC’s strong business risk profile is the strength of the company’s contractual framework, in particular Alberta coal PPAs, which currently cover approximately 50% of TAC’s total capacity. The PPAs’ structure has mitigated Alberta’s volatile electricity prices, particularly in the past two years.
…
The company has made strong inroads into deleveraging its balance sheet amid Alberta’s very difficult power market. For the outlook period we forecast adjusted funds from operations (AFFO)-to-debt to improve to around 20%. However, while financial metrics have improved and are forecast to continue to do so, we see some headwinds that might impede the company’s ability to further raise them to a level that would mitigate the PPAs’ loss. We believe that the difficult operating environment will persist through the outlook period, with power prices likely to remain at their current depressed levels.
…
The negative outlook reflects our expectation that TAC’s business risk may increase as the company’s Alberta PPAs mature without TAC having an offsetting replacement mechanism that provides equivalent support to business risk or without continued improvement to financial metrics. We forecast that FFO-to-debt will be in the 18%-20% range and that contractedness will fall to about 73% in 2018 and to approximately 35% at the end of 2020 absent replacement contracts.

We could take a negative rating action if we believe that the factors that support a positive comparable rating assessment modifier will not continue. This could result from a reduction of contractedness without the replacement equivalent mechanisms and adjusted FFO-to-debt remaining at about 20%.

Affected issues are TA.PR.D, TA.PR.E, TA.PR.F, TA.PR.H and TA.PR.J.

This announcement follows last’s week’s downgrade to Pfd-3(low) by DBRS.

Market Action

April 11, 2017

Interesting story about the effects of mortgage rule changes in the UK – there are some who have borrowed on a floating rate mortgage. This carries a higher rate than a two-year mortgage – for reasons which I do not understand, since the Gilt curve is normal – and they want to switch, but are not allowed to do so because they no longer qualify for a fixed rate mortgage. They’re called mortgage prisoners:

The customer, who asked not to be named, had been stranded on Bank of Scotland’s standard variable rate (SVR) for over four years. He paid thousands of pounds a year in extra payments because the bank refused his requests to move to a cheaper, fixed-rate deal, and fell into arrears at some points.

While fixed mortgage rates have fallen in line with the Bank of England base rate, lenders’ SVRs have remained flat or increased (see chart, below).

Thousands of people who took out mortgages before the financial crisis found they were barred from switching to new fixed-rate mortgages when existing deals ended.

Lenders said rules introduced following the crisis, known as the Mortgage Market Review, meant existing customers now failed stricter “affordability” tests. This led to the bizarre situation where customers, known as mortgage prisoners, were told they couldn’t afford to switch to cheaper rates.

Click for Big

I don’t understand why the inversion exists, given the current gilt curve:

Click for Big

But I have to say one thing … only an unholy alliance of bankers and regulators can produce the phrase ‘you can’t afford to halve your mortgage payments!’

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.4636 %	2,180.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.4636 %	4,001.3
Floater	3.49 %	3.58 %	40,754	18.36	4	0.4636 %	2,306.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.0196 %	3,028.4
SplitShare	4.93 %	4.21 %	59,998	0.65	6	0.0196 %	3,616.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0196 %	2,821.8
Perpetual-Premium	5.27 %	-9.52 %	72,786	0.09	23	0.0034 %	2,793.0
Perpetual-Discount	5.06 %	5.03 %	115,688	15.36	13	-0.1480 %	3,009.0
FixedReset	4.33 %	3.94 %	242,964	6.66	94	-0.0512 %	2,386.9
Deemed-Retractible	4.97 %	3.92 %	143,887	0.12	31	-0.1612 %	2,900.8
FloatingReset	2.52 %	3.10 %	54,299	4.54	9	0.2562 %	2,544.8

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.F	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.67 Bid-YTW : 9.15 %
MFC.PR.H	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.71 Bid-YTW : 4.47 %
BIP.PR.A	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-11 Maturity Price : 23.10 Evaluated at bid price : 24.35 Bid-YTW : 4.71 %
SLF.PR.J	FloatingReset	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.93 Bid-YTW : 8.42 %
BAM.PR.B	Floater	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-11 Maturity Price : 13.27 Evaluated at bid price : 13.27 Bid-YTW : 3.58 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PR.X	FixedReset	143,727	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-11 Maturity Price : 17.44 Evaluated at bid price : 17.44 Bid-YTW : 4.19 %
SLF.PR.I	FixedReset	122,659	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.57 Bid-YTW : 4.74 %
RY.PR.Z	FixedReset	117,866	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-11 Maturity Price : 22.31 Evaluated at bid price : 22.60 Bid-YTW : 3.77 %
BNS.PR.B	FloatingReset	106,500	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.16 Bid-YTW : 3.00 %
RY.PR.Q	FixedReset	64,301	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 27.39 Bid-YTW : 3.21 %
TD.PF.H	FixedReset	61,993	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 3.38 %
There were 30 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.T	FixedReset	Quote: 23.10 – 23.44 Spot Rate : 0.3400 Average : 0.2477 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-11 Maturity Price : 22.74 Evaluated at bid price : 23.10 Bid-YTW : 3.81 %
PWF.PR.A	Floater	Quote: 14.62 – 14.90 Spot Rate : 0.2800 Average : 0.1999 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-11 Maturity Price : 14.62 Evaluated at bid price : 14.62 Bid-YTW : 3.26 %
BNS.PR.H	FixedReset	Quote: 26.45 – 26.66 Spot Rate : 0.2100 Average : 0.1306 YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 3.50 %
MFC.PR.H	FixedReset	Quote: 24.71 – 24.92 Spot Rate : 0.2100 Average : 0.1318 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.71 Bid-YTW : 4.47 %
IFC.PR.A	FixedReset	Quote: 18.98 – 19.24 Spot Rate : 0.2600 Average : 0.1830 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.98 Bid-YTW : 7.04 %
MFC.PR.F	FixedReset	Quote: 15.67 – 15.88 Spot Rate : 0.2100 Average : 0.1459 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.67 Bid-YTW : 9.15 %

Market Action

April 10, 2017

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.0742 %	2,170.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0742 %	3,982.9
Floater	3.50 %	3.62 %	40,645	18.26	4	0.0742 %	2,295.4
OpRet	0.00 %	0.00 %	0	0.00	0	0.1371 %	3,027.8
SplitShare	4.93 %	4.23 %	59,495	0.65	6	0.1371 %	3,615.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1371 %	2,821.2
Perpetual-Premium	5.27 %	-7.40 %	73,056	0.09	23	0.3206 %	2,792.9
Perpetual-Discount	5.05 %	5.04 %	116,048	15.35	13	0.8140 %	3,013.4
FixedReset	4.33 %	3.93 %	250,649	6.66	94	0.2841 %	2,388.2
Deemed-Retractible	4.96 %	3.83 %	148,827	0.12	31	0.5189 %	2,905.5
FloatingReset	2.53 %	3.08 %	54,582	4.54	9	0.0576 %	2,538.3

Performance Highlights
Issue	Index	Change	Notes
BNS.PR.D	FloatingReset	-1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 4.59 %
MFC.PR.B	Deemed-Retractible	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.42 %
SLF.PR.C	Deemed-Retractible	1.06 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 5.89 %
CU.PR.F	Perpetual-Discount	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 22.47 Evaluated at bid price : 22.79 Bid-YTW : 4.98 %
CU.PR.E	Perpetual-Discount	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 24.25 Evaluated at bid price : 24.54 Bid-YTW : 5.04 %
TRP.PR.G	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 22.95 Evaluated at bid price : 24.12 Bid-YTW : 4.12 %
SLF.PR.E	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 5.87 %
SLF.PR.D	Deemed-Retractible	1.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.89 Bid-YTW : 5.86 %
CU.PR.G	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 22.53 Evaluated at bid price : 22.85 Bid-YTW : 4.97 %
CU.PR.C	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 22.15 Evaluated at bid price : 22.80 Bid-YTW : 3.83 %
PWF.PR.S	Perpetual-Discount	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 23.76 Evaluated at bid price : 24.22 Bid-YTW : 4.94 %
RY.PR.J	FixedReset	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 22.90 Evaluated at bid price : 23.88 Bid-YTW : 3.96 %
SLF.PR.B	Deemed-Retractible	1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.61 Bid-YTW : 5.09 %
CU.PR.H	Perpetual-Premium	1.28 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-09-01 Maturity Price : 25.00 Evaluated at bid price : 26.09 Bid-YTW : 4.67 %
EML.PR.A	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 26.85 Bid-YTW : 3.74 %
SLF.PR.A	Deemed-Retractible	1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 5.21 %
PWF.PR.A	Floater	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 3.23 %
POW.PR.D	Perpetual-Discount	1.38 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-10 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 3.21 %
CU.PR.D	Perpetual-Discount	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 24.45 Evaluated at bid price : 24.74 Bid-YTW : 5.00 %
TRP.PR.B	FixedReset	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 14.87 Evaluated at bid price : 14.87 Bid-YTW : 3.96 %
TRP.PR.C	FixedReset	1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 16.36 Evaluated at bid price : 16.36 Bid-YTW : 3.93 %
SLF.PR.G	FixedReset	1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.95 Bid-YTW : 8.07 %

Volume Highlights
Issue	Index	Shares Traded	Notes
IFC.PR.C	FixedReset	134,200	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.09 Bid-YTW : 5.38 %
BMO.PR.T	FixedReset	116,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 22.12 Evaluated at bid price : 22.42 Bid-YTW : 3.82 %
BAM.PR.X	FixedReset	106,979	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 4.17 %
RY.PR.Z	FixedReset	90,225	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 22.37 Evaluated at bid price : 22.66 Bid-YTW : 3.75 %
BMO.PR.C	FixedReset	80,111	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 3.99 %
TD.PF.B	FixedReset	58,545	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 22.23 Evaluated at bid price : 22.56 Bid-YTW : 3.77 %
There were 58 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.J	FixedReset	Quote: 27.09 – 27.40 Spot Rate : 0.3100 Average : 0.1780 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 27.09 Bid-YTW : 3.51 %
NA.PR.Q	FixedReset	Quote: 24.55 – 24.90 Spot Rate : 0.3500 Average : 0.2489 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 3.91 %
CCS.PR.C	Deemed-Retractible	Quote: 24.21 – 24.55 Spot Rate : 0.3400 Average : 0.2452 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 5.56 %
TD.PF.F	Perpetual-Premium	Quote: 25.46 – 25.73 Spot Rate : 0.2700 Average : 0.1869 YTW SCENARIO Maturity Type : Call Maturity Date : 2024-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.46 Bid-YTW : 4.59 %
BMO.PR.Y	FixedReset	Quote: 24.00 – 24.29 Spot Rate : 0.2900 Average : 0.2096 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-04-10 Maturity Price : 22.92 Evaluated at bid price : 24.00 Bid-YTW : 3.94 %
PVS.PR.E	SplitShare	Quote: 26.60 – 26.85 Spot Rate : 0.2500 Average : 0.1702 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-10 Maturity Price : 26.00 Evaluated at bid price : 26.60 Bid-YTW : -15.88 %

PrefBlog

Month: April 2017

April 13, 2017

Calculator: FixedResetPremium Tax Effects

April 12, 2017

TA Outlook Downgraded To Negative By S&P

April 11, 2017

April 10, 2017

Archives

Of Interest