January « 2019 « PrefBlog

Archive for January, 2019

January 21, 2019

Monday, January 21st, 2019

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TXPR closed at 630.25, down 0.74% on the day. Volume of 1.85-million was nothing special in the context of the past thirty days. The index dropped 2.69 points, over half the total drop, in the last forty minutes of trading.

CPD closed at 12.64, down 0.63% on the day. Volume of 70,591 was very low, outpacing only January 15 within the past thirty days.

ZPR closed at 10.27, down 0.87% on the day. Volume of 82,171 was quite low, beating only January 2 and January 4 among the past thirty days.

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	-0.1967 %	2,361.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.1967 %	4,332.7
Floater	4.95 %	5.29 %	35,692	15.01	4	-0.1967 %	2,497.0
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2009 %	3,198.0
SplitShare	4.95 %	4.68 %	70,994	4.01	8	-0.2009 %	3,819.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2009 %	2,979.8
Perpetual-Premium	5.89 %	-8.62 %	154,628	0.08	2	0.2183 %	2,896.1
Perpetual-Discount	5.61 %	5.72 %	80,235	14.26	33	-0.0643 %	2,961.0
FixedReset Disc	5.05 %	5.59 %	204,570	14.61	63	-0.4735 %	2,237.3
Deemed-Retractible	5.42 %	6.42 %	90,784	8.17	27	-0.0196 %	2,923.4
FloatingReset	4.11 %	4.19 %	52,148	2.89	7	-0.2485 %	2,447.2
FixedReset Prem	5.12 %	4.44 %	249,738	2.19	17	0.0023 %	2,522.3
FixedReset Bank Non	2.98 %	3.86 %	125,432	2.85	6	0.1450 %	2,571.2
FixedReset Ins Non	5.00 %	6.81 %	145,923	8.29	22	-0.2886 %	2,227.1

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.B	Deemed-Retractible	-4.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 7.75 %
TD.PF.C	FixedReset Disc	-3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 5.71 %
TRP.PR.H	FloatingReset	-3.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 5.63 %
IFC.PR.G	FixedReset Ins Non	-2.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 6.83 %
EIT.PR.B	SplitShare	-2.65 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2025-03-14 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.83 %
VNR.PR.A	FixedReset Disc	-2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 5.57 %
PWF.PR.A	Floater	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 4.22 %
PWF.PR.F	Perpetual-Discount	-2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.85 %
BIP.PR.F	FixedReset Disc	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.72 Evaluated at bid price : 22.11 Bid-YTW : 5.81 %
BAM.PR.X	FixedReset Disc	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 5.71 %
BIP.PR.A	FixedReset Disc	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 6.51 %
PWF.PR.P	FixedReset Disc	-1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 15.32 Evaluated at bid price : 15.32 Bid-YTW : 5.60 %
MFC.PR.N	FixedReset Ins Non	-1.78 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.69 %
TD.PF.K	FixedReset Disc	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.64 Evaluated at bid price : 21.99 Bid-YTW : 5.24 %
TRP.PR.D	FixedReset Disc	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.10 %
RY.PR.J	FixedReset Disc	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.58 %
MFC.PR.R	FixedReset Ins Non	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 5.89 %
BAM.PR.R	FixedReset Disc	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 17.87 Evaluated at bid price : 17.87 Bid-YTW : 5.77 %
TD.PF.B	FixedReset Disc	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.55 %
BAM.PF.B	FixedReset Disc	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 20.24 Evaluated at bid price : 20.24 Bid-YTW : 5.73 %
SLF.PR.J	FloatingReset	-1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.77 Bid-YTW : 9.01 %
BAM.PF.A	FixedReset Disc	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.93 Evaluated at bid price : 22.40 Bid-YTW : 5.52 %
TRP.PR.E	FixedReset Disc	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 6.00 %
TD.PF.A	FixedReset Disc	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.54 %
CM.PR.O	FixedReset Disc	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.64 %
BMO.PR.T	FixedReset Disc	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.61 %
SLF.PR.G	FixedReset Ins Non	-1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.86 Bid-YTW : 9.17 %
EMA.PR.H	FixedReset Disc	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 22.67 Evaluated at bid price : 23.71 Bid-YTW : 5.20 %
CU.PR.G	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.65 %
PWF.PR.E	Perpetual-Discount	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 5.81 %
BAM.PF.G	FixedReset Disc	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.82 %
CU.PR.E	Perpetual-Discount	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.78 Evaluated at bid price : 21.78 Bid-YTW : 5.72 %
GWO.PR.R	Deemed-Retractible	-1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 6.46 %
BAM.PF.J	FixedReset Disc	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 22.97 Evaluated at bid price : 24.25 Bid-YTW : 5.12 %
BAM.PR.T	FixedReset Disc	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 5.78 %
HSE.PR.A	FixedReset Disc	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 13.60 Evaluated at bid price : 13.60 Bid-YTW : 6.53 %
POW.PR.C	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 24.55 Evaluated at bid price : 24.80 Bid-YTW : 5.88 %
BIP.PR.D	FixedReset Disc	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 22.56 Evaluated at bid price : 23.25 Bid-YTW : 6.05 %
BMO.PR.S	FixedReset Disc	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 19.69 Evaluated at bid price : 19.69 Bid-YTW : 5.53 %
RY.PR.Z	FixedReset Disc	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 5.28 %
BNS.PR.D	FloatingReset	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.89 Bid-YTW : 4.19 %
GWO.PR.H	Deemed-Retractible	1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.53 Bid-YTW : 6.73 %
RY.PR.H	FixedReset Disc	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 5.40 %
BNS.PR.F	FloatingReset	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.18 Bid-YTW : 4.11 %
PVS.PR.E	SplitShare	1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 4.68 %
SLF.PR.I	FixedReset Ins Non	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 6.73 %
RY.PR.S	FixedReset Disc	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 4.96 %
PWF.PR.Z	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.88 Evaluated at bid price : 22.20 Bid-YTW : 5.81 %
CU.PR.C	FixedReset Disc	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.64 %
TD.PF.E	FixedReset Disc	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.62 Evaluated at bid price : 22.03 Bid-YTW : 5.36 %
SLF.PR.B	Deemed-Retractible	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.21 Bid-YTW : 6.86 %
TRP.PR.A	FixedReset Disc	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 15.76 Evaluated at bid price : 15.76 Bid-YTW : 6.18 %
SLF.PR.C	Deemed-Retractible	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.06 Bid-YTW : 7.14 %
POW.PR.B	Perpetual-Discount	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 22.88 Evaluated at bid price : 23.15 Bid-YTW : 5.81 %
PWF.PR.L	Perpetual-Discount	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.91 Evaluated at bid price : 22.15 Bid-YTW : 5.77 %
BAM.PR.B	Floater	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 12.95 Evaluated at bid price : 12.95 Bid-YTW : 5.39 %
NA.PR.E	FixedReset Disc	1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.53 %
SLF.PR.A	Deemed-Retractible	1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 6.92 %
BAM.PF.I	FixedReset Prem	2.01 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 4.41 %
ELF.PR.H	Perpetual-Discount	2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 23.75 Evaluated at bid price : 24.25 Bid-YTW : 5.69 %
BAM.PF.E	FixedReset Disc	3.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 5.64 %
IFC.PR.A	FixedReset Ins Non	3.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.49 Bid-YTW : 8.42 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.R	FixedReset Disc	116,750	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 22.55 Evaluated at bid price : 23.29 Bid-YTW : 5.50 %
RY.PR.J	FixedReset Disc	72,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.58 %
CU.PR.C	FixedReset Disc	60,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.64 %
BNS.PR.I	FixedReset Disc	50,460	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 22.71 Evaluated at bid price : 23.85 Bid-YTW : 4.69 %
PWF.PR.K	Perpetual-Discount	46,830	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 5.73 %
IFC.PR.C	FixedReset Ins Non	38,700	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.19 Bid-YTW : 7.42 %
There were 26 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
VNR.PR.A	FixedReset Disc	Quote: 21.43 – 23.00 Spot Rate : 1.5700 Average : 1.1377 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 5.57 %
TD.PF.A	FixedReset Disc	Quote: 19.00 – 20.07 Spot Rate : 1.0700 Average : 0.6517 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.54 %
MFC.PR.B	Deemed-Retractible	Quote: 19.51 – 20.72 Spot Rate : 1.2100 Average : 0.7920 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 7.75 %
MFC.PR.N	FixedReset Ins Non	Quote: 18.75 – 19.79 Spot Rate : 1.0400 Average : 0.6570 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.69 %
TD.PF.C	FixedReset Disc	Quote: 18.43 – 19.60 Spot Rate : 1.1700 Average : 0.8084 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 5.71 %
NA.PR.G	FixedReset Disc	Quote: 22.39 – 23.50 Spot Rate : 1.1100 Average : 0.7492 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-21 Maturity Price : 21.91 Evaluated at bid price : 22.39 Bid-YTW : 5.33 %

Posted in Market Action | No Comments »

January 18, 2019

Friday, January 18th, 2019

Enormous volume today, eclipsed in the past thirty days only by December 20. This was probably generated by motivated sellers, since TXPR dropped about 3 points (about 50bp) from 2:50pm to the close as the volume cranked up. BNS.PR.I, BAM.PF.D, PWF.PR.F, EMA.PR.F and RY.PR.S saw 25+ trades timestamped 4pm, to name only the top 5; they’re all marked with “Q” on the TMXMoney list of trades, which I believe means that these were “Market on Close” orders, but the Exchange couldn’t be bothered to answer me when I queried them a few weeks ago.

The above ‘top 5’ issues had the following MOC Imbalances:

Ticker	Imbalance Side	Imbalance Size	Imbalance Reference Price	Final Quote
BNS.PR.I	Buy	172,900	23.545	23.86-15
BAM.PF.D	Sell	167,666	22.245	21.81-22
PWF.PR.F	Buy	110,375	23.26	23.01-39
EMA.PR.F	Buy	84,904	21.715	21.67-22
RY.PR.S	Sell	35,128	23.075	22.52-15

The “Imbalance Side” is the type of order that is in excess – so there were 172,900 shares worth of unmatched MOC buy orders for BNS.PR.I at the time these data were published. The Exchange isn’t very good at writing things down, there’s an ever-so-cool-and-up-to-date webinar available for market professionals who are illiterate.

I suppose a Portfolio Manager could enter a MOC order and still be considered competent, but am quite unable to envision the circumstances.

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-1.8603 %	2,365.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.8603 %	4,341.2
Floater	4.94 %	5.32 %	34,745	14.97	4	-1.8603 %	2,501.9
OpRet	0.00 %	0.00 %	0	0.00	0	0.0201 %	3,204.5
SplitShare	4.94 %	5.02 %	68,226	4.02	8	0.0201 %	3,826.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0201 %	2,985.8
Perpetual-Premium	5.90 %	-7.33 %	159,829	0.08	2	-0.2573 %	2,889.7
Perpetual-Discount	5.60 %	5.68 %	80,183	14.31	33	-0.4403 %	2,963.0
FixedReset Disc	5.03 %	5.43 %	207,039	14.80	63	-0.6230 %	2,247.9
Deemed-Retractible	5.41 %	6.40 %	86,456	8.18	27	-0.9562 %	2,924.0
FloatingReset	4.10 %	4.53 %	48,269	2.89	7	-0.7476 %	2,453.3
FixedReset Prem	5.12 %	4.55 %	251,970	2.19	17	-0.1889 %	2,522.3
FixedReset Bank Non	2.99 %	3.79 %	124,925	2.86	6	-0.0276 %	2,567.5
FixedReset Ins Non	4.98 %	6.77 %	145,224	8.34	22	-0.8473 %	2,233.6

Performance Highlights
Issue	Index	Change	Notes
IFC.PR.A	FixedReset Ins Non	-4.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.97 Bid-YTW : 8.74 %
TRP.PR.A	FixedReset Disc	-4.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 15.53 Evaluated at bid price : 15.53 Bid-YTW : 6.14 %
SLF.PR.A	Deemed-Retractible	-4.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 7.16 %
TRP.PR.F	FloatingReset	-4.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 15.73 Evaluated at bid price : 15.73 Bid-YTW : 5.68 %
NA.PR.E	FixedReset Disc	-4.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.56 %
BAM.PR.B	Floater	-3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 12.71 Evaluated at bid price : 12.71 Bid-YTW : 5.49 %
IFC.PR.E	Deemed-Retractible	-3.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.54 Bid-YTW : 6.54 %
BAM.PF.E	FixedReset Disc	-3.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 5.72 %
TRP.PR.C	FixedReset Disc	-2.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 5.91 %
PWF.PR.Z	Perpetual-Discount	-2.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.60 Evaluated at bid price : 21.92 Bid-YTW : 5.88 %
SLF.PR.B	Deemed-Retractible	-2.70 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.92 Bid-YTW : 7.02 %
SLF.PR.C	Deemed-Retractible	-2.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.76 Bid-YTW : 7.32 %
GWO.PR.I	Deemed-Retractible	-2.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.76 Bid-YTW : 7.38 %
BIP.PR.E	FixedReset Disc	-2.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.67 Evaluated at bid price : 22.00 Bid-YTW : 5.72 %
CM.PR.P	FixedReset Disc	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 5.52 %
MFC.PR.K	FixedReset Ins Non	-2.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.47 Bid-YTW : 7.30 %
BAM.PR.C	Floater	-2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 13.09 Evaluated at bid price : 13.09 Bid-YTW : 5.33 %
BMO.PR.T	FixedReset Disc	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.43 %
IAF.PR.G	FixedReset Ins Non	-2.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 6.78 %
MFC.PR.H	FixedReset Ins Non	-2.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.77 Bid-YTW : 6.51 %
MFC.PR.J	FixedReset Ins Non	-2.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.77 %
TRP.PR.B	FixedReset Disc	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 5.93 %
NA.PR.W	FixedReset Disc	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 5.70 %
SLF.PR.I	FixedReset Ins Non	-2.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 6.81 %
POW.PR.B	Perpetual-Discount	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 5.90 %
PWF.PR.L	Perpetual-Discount	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.55 Evaluated at bid price : 21.81 Bid-YTW : 5.86 %
BIP.PR.D	FixedReset Disc	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 22.70 Evaluated at bid price : 23.50 Bid-YTW : 5.91 %
IFC.PR.F	Deemed-Retractible	-2.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.88 Bid-YTW : 6.46 %
BAM.PR.X	FixedReset Disc	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.51 %
RY.PR.S	FixedReset Disc	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.98 Evaluated at bid price : 22.52 Bid-YTW : 4.96 %
BMO.PR.W	FixedReset Disc	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.46 %
BIP.PR.F	FixedReset Disc	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 22.04 Evaluated at bid price : 22.60 Bid-YTW : 5.67 %
GWO.PR.H	Deemed-Retractible	-1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.31 Bid-YTW : 6.85 %
BMO.PR.E	FixedReset Disc	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 22.50 Evaluated at bid price : 23.40 Bid-YTW : 5.04 %
TD.PF.E	FixedReset Disc	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.40 Evaluated at bid price : 21.73 Bid-YTW : 5.35 %
GWO.PR.N	FixedReset Ins Non	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.65 Bid-YTW : 8.99 %
POW.PR.D	Perpetual-Discount	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 5.83 %
MFC.PR.Q	FixedReset Ins Non	-1.59 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 6.72 %
BAM.PR.K	Floater	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 13.12 Evaluated at bid price : 13.12 Bid-YTW : 5.32 %
BNS.PR.D	FloatingReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 4.53 %
CU.PR.H	Perpetual-Discount	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 23.35 Evaluated at bid price : 23.75 Bid-YTW : 5.59 %
MFC.PR.B	Deemed-Retractible	-1.45 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 7.19 %
PWF.PR.T	FixedReset Disc	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 5.58 %
SLF.PR.E	Deemed-Retractible	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 7.20 %
RY.PR.H	FixedReset Disc	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.36 %
SLF.PR.H	FixedReset Ins Non	-1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.59 Bid-YTW : 7.79 %
TD.PF.A	FixedReset Disc	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.36 %
CM.PR.O	FixedReset Disc	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.47 %
W.PR.K	FixedReset Prem	-1.26 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.09 %
TD.PF.C	FixedReset Disc	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 5.38 %
CCS.PR.C	Deemed-Retractible	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 6.48 %
ELF.PR.H	Perpetual-Discount	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 23.26 Evaluated at bid price : 23.56 Bid-YTW : 5.86 %
TD.PF.B	FixedReset Disc	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 5.37 %
TD.PF.D	FixedReset Disc	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.52 Evaluated at bid price : 21.88 Bid-YTW : 5.23 %
CM.PR.R	FixedReset Disc	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 22.55 Evaluated at bid price : 23.29 Bid-YTW : 5.43 %
BMO.PR.D	FixedReset Disc	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 22.60 Evaluated at bid price : 23.40 Bid-YTW : 5.29 %
PWF.PR.Q	FloatingReset	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 16.04 Evaluated at bid price : 16.04 Bid-YTW : 5.02 %
BMO.PR.C	FixedReset Disc	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 22.88 Evaluated at bid price : 23.90 Bid-YTW : 5.33 %
BNS.PR.I	FixedReset Disc	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 22.71 Evaluated at bid price : 23.86 Bid-YTW : 4.62 %
MFC.PR.R	FixedReset Ins Non	2.10 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 24.74 Bid-YTW : 5.38 %
BAM.PR.Z	FixedReset Disc	2.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.87 Evaluated at bid price : 22.25 Bid-YTW : 5.43 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.I	FixedReset Disc	291,121	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 22.71 Evaluated at bid price : 23.86 Bid-YTW : 4.62 %
BAM.PF.D	Perpetual-Discount	242,038	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.81 Evaluated at bid price : 21.81 Bid-YTW : 5.68 %
PWF.PR.F	Perpetual-Discount	209,919	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 22.72 Evaluated at bid price : 23.01 Bid-YTW : 5.72 %
EMA.PR.F	FixedReset Disc	192,978	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.37 Evaluated at bid price : 21.67 Bid-YTW : 5.25 %
RY.PR.S	FixedReset Disc	179,975	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 21.98 Evaluated at bid price : 22.52 Bid-YTW : 4.96 %
PWF.PR.H	Perpetual-Discount	157,723	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-17 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : -0.34 %
PWF.PR.O	Perpetual-Discount	147,597	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-17 Maturity Price : 25.00 Evaluated at bid price : 25.08 Bid-YTW : -0.80 %
PWF.PR.G	Perpetual-Premium	123,073	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-17 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : -5.51 %
BMO.PR.T	FixedReset Disc	120,492	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.43 %
BNS.PR.F	FloatingReset	110,147	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 4.51 %
There were 83 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IAF.PR.G	FixedReset Ins Non	Quote: 20.50 – 22.20 Spot Rate : 1.7000 Average : 1.0952 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 6.78 %
MFC.PR.G	FixedReset Ins Non	Quote: 20.81 – 22.00 Spot Rate : 1.1900 Average : 0.7154 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.81 Bid-YTW : 6.75 %
SLF.PR.A	Deemed-Retractible	Quote: 20.60 – 21.71 Spot Rate : 1.1100 Average : 0.6405 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 7.16 %
NA.PR.E	FixedReset Disc	Quote: 20.25 – 21.25 Spot Rate : 1.0000 Average : 0.5715 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-18 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.56 %
IFC.PR.A	FixedReset Ins Non	Quote: 15.97 – 16.94 Spot Rate : 0.9700 Average : 0.5630 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.97 Bid-YTW : 8.74 %
MFC.PR.M	FixedReset Ins Non	Quote: 19.41 – 20.44 Spot Rate : 1.0300 Average : 0.6323 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.41 Bid-YTW : 7.27 %

Posted in Market Action | 4 Comments »

PWF.PR.T : No Conversion to FloatingReset

Friday, January 18th, 2019

Power Financial Corporation has announced (on January 17):

that none of its outstanding 8,000,000 Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series T (the “Series T shares”) will be converted on January 31, 2019 into Non-Cumulative Floating Rate First Preferred Shares, Series U (the “Series U shares”) of Power Financial. During the conversion notice period which ran from January 2, 2019 to January 16, 2019, only 62,130 Series T shares were tendered for conversion into Series U shares. As per the conditions set out in the prospectus supplement dated December 4, 2013 relating to the issuance of Series T shares, since there would be less than 1,000,000 Series U shares outstanding on January 31, 2019, after having taken into account all Series T shares tendered for conversion into Series U shares, holders of Series T shares who tendered their shares for conversion will not be entitled to convert their shares into Series U shares. As a result, Series U shares will not be issued at this time.

The Series T shares are currently listed on the Toronto Stock Exchange under the symbol PWF.PR.T.

It will be recalled that PWF.PR.T will reset at 4.215% effective January 31, 2019.

PWF.PR.T is a FixedReset, 4.20%+237, that commenced trading 2013-12-11 after being announced 2013-12-2. It is tracked by HIMIPref™ and is assigned to the FixedReset Discount subindex.

I recommended against conversion.

Posted in Issue Comments | 2 Comments »

New Issue: TD FixedReset 5.20%+327, NVCC-Compliant

Friday, January 18th, 2019

The Toronto-Dominion Bank has announced (although not yet on their website):

a domestic public offering of Non-Cumulative 5-Year Rate Reset Preferred Shares (non-viability contingent capital (NVCC)), Series 22 (the “Series 22 Shares”).

TD has entered into an agreement with a group of underwriters led by TD Securities Inc. to issue, on a bought deal basis, 10 million Series 22 Shares at a price of $25.00 per share to raise gross proceeds of $250 million. TD has also granted the underwriters an option to purchase, on the same terms, up to an additional 2 million Series 22 Shares. This option is exercisable in whole or in part by the underwriters at any time up to two business days prior to closing.

The Series 22 Shares will yield 5.20% annually, with dividends payable quarterly, as and when declared by the Board of Directors of TD, for the initial period ending April 30, 2024. Thereafter, the dividend rate will reset every five years at a level of 3.27 % over the then five-year Government of Canada bond yield.

Subject to regulatory approval, on April 30, 2024 and on April 30 every 5 years thereafter, TD may redeem the Series 22 Shares, in whole or in part, at $25.00 per share. Subject to TD’s right of redemption and certain other conditions, holders of the Series 22 Shares will have the right to convert their shares into Non-Cumulative Floating Rate Preferred Shares (NVCC), Series 23 (the “Series 23 Shares”), on April 30, 2024, and on April 30 every five years thereafter. Holders of the Series 23 Shares will be entitled to receive quarterly floating rate dividends, as and when declared by the Board of Directors of TD, equal to the three-month Government of Canada Treasury Bill yield plus 3.27 %.

The expected closing date is January 28, 2019. TD will make an application to list the Series 22 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of the offering will be used for general corporate purposes.

They later announced (also not yet on their website):

that as a result of strong investor demand for its previously announced domestic public offering of Non-Cumulative 5-Year Rate Reset Preferred Shares (non-viability contingent capital (NVCC)), Series 22 (the “Series 22 Shares”), the size of the offering has been increased to 14 million Series 22 Shares. The gross proceeds of the offering will now be $350 million. The offering will be underwritten by a group of underwriters led by TD Securities Inc.

The expected closing date is January 28, 2019. TD will make an application to list the Series 22 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of the offering will be used for general corporate purposes.

The new issue is ridiculously expensive according to Implied Volatility Analysis:

Click for Big

According to this analysis, the fair value of the new issue on January 19 is 23.32. Note that TD.PF.K, a FixedReset, 4.75%+259, NVCC Compliant issue that commenced trading 2018-9-13 after being announced 2018-9-4, was quoted today at 22.50-65, after trading 4,100 shares in a range of 22.40-72. The fair value of TD.PF.K is 21.24 according to the analysis, so it remains 1.26 expensive four months after issue.

Update, 2019-1-22: It’s interesting to note that the theoretical spread (on a notional non-callable perpetual resettable annuity) is roughly the same as the actual issue spread – which means that TD is basically getting the call options on the issue for free.

Posted in New Issues | 3 Comments »

January 17, 2019

Friday, January 18th, 2019

Husky’s bid for MEG has failed:

Husky Energy Inc. has abandoned its quest to acquire MEG Energy Corp. in a $3.3-billion hostile offer, confounding investors and triggering a selloff in MEG shares.

Husky said fewer than its threshold of two-thirds of MEG shares were tendered by a Wednesday deadline, so it chose to walk away and concentrate on its own business rather than extend the cash-and-stock offer. It had been widely expected to win its play for the oil-sands producer, as MEG had failed to attract a higher bid in a negative market for Canadian oil and gas stocks.

DBRS notes that:

As background, on September 30, 2018, Husky launched an unsolicited offer to MEG common shareholders by way of a takeover bid that required 66 2/3% of the total fully diluted shares tendered to Husky’s cash and share exchange offer. Husky’s offer had not been endorsed by MEG’s Board. At that time, DBRS did not take any rating action due to the uncertainties regarding the outcome of Husky’s offer for MEG.
…
Because Husky is not proceeding with the offer for MEG, DBRS plans no rating action at the current time.

Moody’s considers the termination to be credit-positive for Husky.

As I reported on October 1 and again on November 11 because it was so much fun the first time, S&P put Husky on Watch-Negative due to:

the potential deterioration of Husky’s cash flow and leverage metrics, with the addition of MEG’s existing C$3.6 billion of debt (at June 30, 2018), and the resulting deterioration of the company’s financial risk profile, which could lead to a downgrade.

There is no word from them at this time, but when they do comment this news will get its own post. Maybe two of them!

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	-0.4194 %	2,410.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.4194 %	4,423.5
Floater	4.85 %	5.20 %	36,241	15.16	4	-0.4194 %	2,549.3
OpRet	0.00 %	0.00 %	0	0.00	0	0.0905 %	3,203.8
SplitShare	4.94 %	5.01 %	65,237	4.02	8	0.0905 %	3,826.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0905 %	2,985.2
Perpetual-Premium	5.89 %	-10.29 %	160,660	0.08	2	0.0594 %	2,897.2
Perpetual-Discount	5.58 %	5.65 %	78,831	14.33	33	-0.1122 %	2,976.1
FixedReset Disc	4.99 %	5.40 %	206,418	14.90	63	-0.7058 %	2,262.0
Deemed-Retractible	5.36 %	6.28 %	84,485	8.18	27	-0.2457 %	2,952.2
FloatingReset	4.07 %	4.58 %	44,691	2.90	7	-0.6978 %	2,471.8
FixedReset Prem	5.11 %	4.42 %	236,652	2.20	17	-0.0852 %	2,527.1
FixedReset Bank Non	2.99 %	3.63 %	117,972	0.11	6	-0.0966 %	2,568.2
FixedReset Ins Non	4.88 %	6.55 %	139,188	8.37	22	0.0925 %	2,252.7

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.Z	FixedReset Disc	-3.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.41 Evaluated at bid price : 21.73 Bid-YTW : 5.56 %
SLF.PR.G	FixedReset Ins Non	-3.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.95 %
NA.PR.G	FixedReset Disc	-3.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.89 Evaluated at bid price : 22.36 Bid-YTW : 5.27 %
MFC.PR.M	FixedReset Ins Non	-2.81 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.39 Bid-YTW : 7.28 %
PWF.PR.Q	FloatingReset	-2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 15.84 Evaluated at bid price : 15.84 Bid-YTW : 5.09 %
BMO.PR.S	FixedReset Disc	-2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 5.39 %
NA.PR.W	FixedReset Disc	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 5.57 %
PWF.PR.A	Floater	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 4.11 %
RY.PR.H	FixedReset Disc	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 5.28 %
HSE.PR.C	FixedReset Disc	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 6.44 %
TRP.PR.G	FixedReset Disc	-1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 5.96 %
BIP.PR.E	FixedReset Disc	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 22.07 Evaluated at bid price : 22.58 Bid-YTW : 5.56 %
TD.PF.K	FixedReset Disc	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.99 Evaluated at bid price : 22.50 Bid-YTW : 5.03 %
BNS.PR.I	FixedReset Disc	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 22.50 Evaluated at bid price : 23.42 Bid-YTW : 4.72 %
CM.PR.O	FixedReset Disc	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 5.39 %
SLF.PR.J	FloatingReset	-1.57 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.07 Bid-YTW : 8.75 %
MFC.PR.J	FixedReset Ins Non	-1.56 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 6.48 %
CM.PR.R	FixedReset Disc	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 22.39 Evaluated at bid price : 23.02 Bid-YTW : 5.50 %
NA.PR.S	FixedReset Disc	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 5.49 %
NA.PR.E	FixedReset Disc	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 5.33 %
IAF.PR.B	Deemed-Retractible	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 6.46 %
MFC.PR.L	FixedReset Ins Non	-1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.80 Bid-YTW : 7.45 %
BMO.PR.T	FixedReset Disc	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 19.72 Evaluated at bid price : 19.72 Bid-YTW : 5.30 %
CM.PR.P	FixedReset Disc	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 19.13 Evaluated at bid price : 19.13 Bid-YTW : 5.38 %
SLF.PR.H	FixedReset Ins Non	-1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.83 Bid-YTW : 7.63 %
TD.PF.D	FixedReset Disc	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.35 Evaluated at bid price : 21.65 Bid-YTW : 5.29 %
PWF.PR.T	FixedReset Disc	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.50 %
RY.PR.O	Perpetual-Discount	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 23.56 Evaluated at bid price : 24.00 Bid-YTW : 5.16 %
IAF.PR.I	FixedReset Ins Non	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.73 Bid-YTW : 5.98 %
RY.PR.M	FixedReset Disc	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 5.29 %
TD.PF.A	FixedReset Disc	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 5.29 %
TD.PF.B	FixedReset Disc	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 19.58 Evaluated at bid price : 19.58 Bid-YTW : 5.31 %
PWF.PR.F	Perpetual-Discount	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 22.72 Evaluated at bid price : 23.01 Bid-YTW : 5.71 %
BNS.PR.F	FloatingReset	-1.12 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 4.58 %
CM.PR.Q	FixedReset Disc	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 5.44 %
RY.PR.S	FixedReset Disc	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 22.24 Evaluated at bid price : 22.95 Bid-YTW : 4.85 %
BAM.PF.I	FixedReset Prem	-1.07 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.97 %
MFC.PR.N	FixedReset Ins Non	-1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.09 Bid-YTW : 7.38 %
BAM.PR.C	Floater	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 13.41 Evaluated at bid price : 13.41 Bid-YTW : 5.20 %
BAM.PF.E	FixedReset Disc	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 20.24 Evaluated at bid price : 20.24 Bid-YTW : 5.53 %
GWO.PR.T	Deemed-Retractible	-1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 6.39 %
RY.PR.J	FixedReset Disc	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.41 %
TRP.PR.D	FixedReset Disc	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 18.33 Evaluated at bid price : 18.33 Bid-YTW : 5.84 %
BAM.PR.K	Floater	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 13.33 Evaluated at bid price : 13.33 Bid-YTW : 5.23 %
MFC.PR.Q	FixedReset Ins Non	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 6.52 %
TRP.PR.A	FixedReset Disc	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 16.27 Evaluated at bid price : 16.27 Bid-YTW : 5.86 %
TRP.PR.B	FixedReset Disc	2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 13.42 Evaluated at bid price : 13.42 Bid-YTW : 5.79 %
IAF.PR.G	FixedReset Ins Non	3.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.49 %
MFC.PR.K	FixedReset Ins Non	16.78 %	Just a reversal, finally, of the nonsense of January 17. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.97 Bid-YTW : 6.99 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.R	FixedReset Bank Non	112,800	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-25 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 3.63 %
RY.PR.C	Deemed-Retractible	106,600	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-16 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 1.67 %
TD.PF.H	FixedReset Prem	89,512	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 4.53 %
TD.PF.E	FixedReset Disc	67,510	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.67 Evaluated at bid price : 22.10 Bid-YTW : 5.25 %
BNS.PR.E	FixedReset Prem	59,600	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.06 %
TD.PF.D	FixedReset Disc	59,292	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.35 Evaluated at bid price : 21.65 Bid-YTW : 5.29 %
There were 41 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
HSE.PR.E	FixedReset Disc	Quote: 20.70 – 22.25 Spot Rate : 1.5500 Average : 0.9394 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.56 %
GWO.PR.Q	Deemed-Retractible	Quote: 22.54 – 23.75 Spot Rate : 1.2100 Average : 0.7876 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.54 Bid-YTW : 6.48 %
MFC.PR.L	FixedReset Ins Non	Quote: 18.80 – 19.80 Spot Rate : 1.0000 Average : 0.6355 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.80 Bid-YTW : 7.45 %
ELF.PR.H	Perpetual-Discount	Quote: 23.82 – 24.82 Spot Rate : 1.0000 Average : 0.6904 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 23.49 Evaluated at bid price : 23.82 Bid-YTW : 5.80 %
PWF.PR.F	Perpetual-Discount	Quote: 23.01 – 23.49 Spot Rate : 0.4800 Average : 0.3315 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 22.72 Evaluated at bid price : 23.01 Bid-YTW : 5.71 %
BAM.PR.Z	FixedReset Disc	Quote: 21.73 – 22.23 Spot Rate : 0.5000 Average : 0.3605 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-17 Maturity Price : 21.41 Evaluated at bid price : 21.73 Bid-YTW : 5.56 %

Posted in Market Action | No Comments »

DFN.PR.A To Get Bigger

Friday, January 18th, 2019

Quadravest has announced:

Dividend 15 Split Corp. (the “Company”) is pleased to announce it will undertake an offering of Preferred Shares and Class A Shares of the Company.

The offering will be co-led by National Bank Financial Inc., CIBC World Markets Inc., Scotia Capital Inc. and RBC Capital Markets, and will also include TD Securities Inc., BMO Capital Markets, Canaccord Genuity Corp., Industrial Alliance Securities Inc., Echelon Wealth Partners, GMP Securities L.P., Raymond James Ltd., Desjardins Securities Inc., Mackie Research Capital Corporation, and Manulife Securities Incorporated.

The Preferred Shares will be offered at a price of $9.90 per Preferred Share to yield 5.3% and the Class A Shares will be offered at a price of $8.75 per Class A Share to yield 13.7%. The closing price on the TSX of each of the Preferred Shares and the Class A Shares on January 16, 2019 was $10.05 and $8.87, respectively.

Since inception of the Company, 177 consecutive dividends have been paid to both classes of shares. The aggregate dividends paid on the Preferred Shares have been $7.76 per share and the aggregate dividends paid on the Class A Shares have been $21.20 per share (including five special distributions of $0.25 per share, one special distribution of $0.50 per share and one special stock dividend of $1.75 per share), for a combined total of $28.96 per unit. All distributions to date have been made in tax advantage eligible Canadian dividends or capital gains dividends.

The net proceeds of the offering will be used by the Company to invest in an actively managed, high quality portfolio consisting of 15 dividend yielding Canadian companies as follows:

Bank of Montreal Enbridge Inc. TELUS Corporation

The Bank of Nova Scotia Manulife Financial Corp. Thomson-Reuters Corporation

BCE Inc. National Bank of Canada The Toronto-Dominion Bank

Canadian Imperial Bank of Commerce Royal Bank of Canada TransAlta Corporation

CI Financial Corp. Sun Life Financial Inc. TransCanada Corporation

The Company’s investment objectives are:
Preferred Shares:
i. to provide holders of the Preferred Shares with fixed, cumulative preferential monthly cash dividends in the amount of 5.25% annually; and
ii. on or about the termination date, currently December 1, 2019 (subject to further 5 year extensions thereafter and it has been extended in the past), to pay the holders of the Preferred Shares $10.00 per Preferred Share.

Class A Shares:
i. to provide holders of the Class A Shares with regular monthly cash dividends currently targeted to be $0.10 per
share; and
ii. on or about the termination date, currently December 1, 2019 (subject to further 5 year extensions thereafter and it has been extended in the past) to pay holders of Class A Shares at least the original issue price of those shares.

The sales period of this overnight offering will end at 9:00 a.m. EST on January 18, 2019. The offering is expected to close on or about January 25, 2019 and is subject to certain closing conditions including approval by the TSX.

So Whole Units are being sold for 18.65 compared to a NAVPU of 16.88 as of January 15, a premium of 10.5%. But hey, there’s no commission!

Golly, but this is a nice business when it works!

Update, 2019-01-20: They raised about 36-million:

Dividend 15 Split Corp. (the “Company”) is pleased to announce it has completed the overnight marketing of up to 1,930,000 Preferred Shares and up to 1,930,000 Class A Shares of the Company. Total proceeds of the offering are expected to be approximately $36.0 million.

The offering is being co-led by National Bank Financial Inc., CIBC World Markets Inc., Scotia Capital Inc. and RBC Capital Markets, and also includes TD Securities Inc., BMO Nesbitt Burns Inc., Canaccord Genuity Corp., Industrial Alliance Securities Inc., Echelon Wealth Partners, GMP Securities L.P., Raymond James Ltd., Desjardins Securities Inc., Mackie Research Capital Corporation, and Manulife Securities Incorporated.

The sales period of the overnight offering has now ended.

Posted in Issue Comments | No Comments »

January 16, 2019

Wednesday, January 16th, 2019

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 330bp, a significant narrowing from the 340bp reported January 9.

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-1.6331 %	2,420.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.6331 %	4,442.2
Floater	4.83 %	5.15 %	36,850	15.26	4	-1.6331 %	2,560.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.0604 %	3,200.9
SplitShare	4.94 %	5.01 %	65,970	4.03	8	0.0604 %	3,822.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0604 %	2,982.5
Perpetual-Premium	5.89 %	-11.39 %	166,683	0.08	2	0.1984 %	2,895.5
Perpetual-Discount	5.57 %	5.65 %	77,420	14.35	33	0.1975 %	2,979.4
FixedReset Disc	4.96 %	5.37 %	198,309	14.95	63	-0.2761 %	2,278.1
Deemed-Retractible	5.35 %	6.26 %	81,817	8.20	27	0.0890 %	2,959.5
FloatingReset	4.04 %	4.18 %	43,686	2.91	7	0.1264 %	2,489.2
FixedReset Prem	5.11 %	4.41 %	219,163	2.20	17	0.0991 %	2,529.2
FixedReset Bank Non	2.98 %	3.53 %	116,909	0.11	6	-0.0827 %	2,570.7
FixedReset Ins Non	4.89 %	6.70 %	140,215	8.40	22	-0.4737 %	2,250.6

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-4.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 13.12 Evaluated at bid price : 13.12 Bid-YTW : 5.32 %
IAF.PR.G	FixedReset Ins Non	-4.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.36 Bid-YTW : 6.85 %
TRP.PR.B	FixedReset Disc	-3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 5.92 %
TRP.PR.A	FixedReset Disc	-2.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.96 %
SLF.PR.I	FixedReset Ins Non	-2.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.91 Bid-YTW : 6.51 %
MFC.PR.Q	FixedReset Ins Non	-2.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.72 %
TD.PF.A	FixedReset Disc	-1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.23 %
RY.PR.J	FixedReset Disc	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 5.47 %
RY.PR.Z	FixedReset Disc	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.14 %
MFC.PR.N	FixedReset Ins Non	-1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.29 Bid-YTW : 7.25 %
SLF.PR.G	FixedReset Ins Non	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 8.56 %
BAM.PR.C	Floater	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 5.15 %
TRP.PR.K	FixedReset Disc	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 23.04 Evaluated at bid price : 24.25 Bid-YTW : 5.76 %
IFC.PR.G	FixedReset Ins Non	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.69 Bid-YTW : 6.41 %
GWO.PR.Q	Deemed-Retractible	-1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.52 Bid-YTW : 6.49 %
TD.PF.B	FixedReset Disc	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 5.25 %
CU.PR.D	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.62 %
BAM.PR.X	FixedReset Disc	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 5.42 %
IFC.PR.A	FixedReset Ins Non	-1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.85 Bid-YTW : 8.09 %
RY.PR.H	FixedReset Disc	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.18 %
TD.PF.C	FixedReset Disc	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.29 %
BMO.PR.W	FixedReset Disc	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 5.32 %
BMO.PR.S	FixedReset Disc	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.28 %
BAM.PR.M	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 20.59 Evaluated at bid price : 20.59 Bid-YTW : 5.83 %
NA.PR.W	FixedReset Disc	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 5.45 %
MFC.PR.I	FixedReset Ins Non	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.42 Bid-YTW : 6.50 %
TD.PF.D	FixedReset Disc	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 21.57 Evaluated at bid price : 21.95 Bid-YTW : 5.21 %
RY.PR.O	Perpetual-Discount	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 23.84 Evaluated at bid price : 24.30 Bid-YTW : 5.09 %
RY.PR.S	FixedReset Disc	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 22.38 Evaluated at bid price : 23.20 Bid-YTW : 4.79 %
BMO.PR.Y	FixedReset Disc	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.33 %
BAM.PR.R	FixedReset Disc	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 5.59 %
RY.PR.M	FixedReset Disc	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 5.23 %
PWF.PR.Q	FloatingReset	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 4.95 %
HSE.PR.G	FixedReset Disc	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 6.54 %
PWF.PR.P	FixedReset Disc	2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 5.37 %
BAM.PR.T	FixedReset Disc	2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 5.67 %
GWO.PR.N	FixedReset Ins Non	7.91 %	Just a (partial) reversal of yesterday‘s nonsense. The issue traded 675 shares in a range of 15.01-40 before being quoted at 15.00-31. The closing price was 15.40. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 8.71 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.G	FixedReset Prem	73,125	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 4.28 %
BNS.PR.G	FixedReset Prem	69,325	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 4.18 %
BIP.PR.D	FixedReset Disc	67,997	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 22.88 Evaluated at bid price : 23.85 Bid-YTW : 5.81 %
BNS.PR.C	FloatingReset	60,600	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-25 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 0.73 %
MFC.PR.L	FixedReset Ins Non	56,519	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.07 Bid-YTW : 7.28 %
SLF.PR.H	FixedReset Ins Non	50,686	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.08 Bid-YTW : 7.46 %
There were 28 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.K	FixedReset Ins Non	No reversal from yesterday‘s idiocy! The issue traded 2300 shares in a range of 20.33-50 before being quoted at 17.10-20.49. I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. Quote: 17.10 – 20.49 Spot Rate : 3.3900 Average : 2.7362 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.10 Bid-YTW : 8.92 %
POW.PR.B	Perpetual-Discount	Quote: 23.40 – 24.50 Spot Rate : 1.1000 Average : 0.6850 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 23.14 Evaluated at bid price : 23.40 Bid-YTW : 5.74 %
TRP.PR.A	FixedReset Disc	Quote: 16.00 – 17.00 Spot Rate : 1.0000 Average : 0.5885 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.96 %
BAM.PF.I	FixedReset Prem	Quote: 25.22 – 26.15 Spot Rate : 0.9300 Average : 0.5538 YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 4.60 %
HSE.PR.C	FixedReset Disc	Quote: 19.90 – 20.90 Spot Rate : 1.0000 Average : 0.6751 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-16 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.32 %
IAF.PR.G	FixedReset Ins Non	Quote: 20.36 – 21.36 Spot Rate : 1.0000 Average : 0.6866 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.36 Bid-YTW : 6.85 %

Posted in Market Action | No Comments »

January 15, 2019

Tuesday, January 15th, 2019

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	-3.0500 %	2,461.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-3.0500 %	4,515.9
Floater	4.75 %	5.07 %	36,238	15.39	4	-3.0500 %	2,602.5
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0473 %	3,199.0
SplitShare	4.65 %	4.97 %	97,306	4.51	6	-0.0473 %	3,820.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0473 %	2,980.7
Perpetual-Premium	5.57 %	-9.29 %	169,040	0.08	2	0.1986 %	2,889.7
Perpetual-Discount	5.61 %	5.67 %	76,924	14.29	33	0.2517 %	2,973.5
FixedReset Disc	4.94 %	5.36 %	203,382	14.97	66	-0.6388 %	2,284.4
Deemed-Retractible	5.35 %	6.28 %	85,187	8.20	27	0.1507 %	2,956.9
FloatingReset	4.05 %	4.19 %	40,438	2.91	7	-0.7085 %	2,486.0
FixedReset Prem	5.17 %	4.35 %	260,793	2.20	14	-0.1868 %	2,526.7
FixedReset Bank Non	2.98 %	3.45 %	121,696	0.11	6	-0.3776 %	2,572.8
FixedReset Ins Non	4.86 %	6.43 %	140,568	8.40	22	-1.8096 %	2,261.3

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.K	FixedReset Ins Non	-15.71 %	A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 4,970 shares today in a range of 20.30-60 before being quoted at 17.17-20.50. The closing price was 20.30. I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.17 Bid-YTW : 8.86 %
GWO.PR.N	FixedReset Ins Non	-10.61 %	A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 3,627 shares today in a range of 15.17-54 before being quoted at 13.90-1542. The closing price was 15.26. I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.90 Bid-YTW : 9.60 %
BAM.PR.B	Floater	-5.38 %	A suspicious quote provided at high cost by Nonsense Central, as the issue traded 3,596 shares today in a range of 13.52-00 before being quoted at 13.20-00. The closing price was 13.73. I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 13.20 Evaluated at bid price : 13.20 Bid-YTW : 5.28 %
BAM.PR.T	FixedReset Disc	-4.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 5.83 %
MFC.PR.I	FixedReset Ins Non	-4.51 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.16 Bid-YTW : 6.65 %
TRP.PR.F	FloatingReset	-3.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 5.48 %
TRP.PR.E	FixedReset Disc	-3.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 5.81 %
HSE.PR.G	FixedReset Disc	-3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.65 %
TD.PF.J	FixedReset Disc	-2.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 21.85 Evaluated at bid price : 22.25 Bid-YTW : 5.17 %
BMO.PR.Y	FixedReset Disc	-2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 5.40 %
TRP.PR.G	FixedReset Disc	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.90 %
PWF.PR.A	Floater	-2.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.00 %
TRP.PR.D	FixedReset Disc	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 5.86 %
RY.PR.J	FixedReset Disc	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 21.47 Evaluated at bid price : 21.47 Bid-YTW : 5.37 %
RY.PR.M	FixedReset Disc	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 21.04 Evaluated at bid price : 21.04 Bid-YTW : 5.31 %
BAM.PR.K	Floater	-2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 13.72 Evaluated at bid price : 13.72 Bid-YTW : 5.08 %
BMO.PR.W	FixedReset Disc	-2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 19.74 Evaluated at bid price : 19.74 Bid-YTW : 5.25 %
BAM.PR.R	FixedReset Disc	-2.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 5.67 %
MFC.PR.H	FixedReset Ins Non	-2.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.59 Bid-YTW : 6.06 %
PWF.PR.P	FixedReset Disc	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 15.32 Evaluated at bid price : 15.32 Bid-YTW : 5.48 %
BAM.PR.C	Floater	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 5.07 %
TD.PF.C	FixedReset Disc	-1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 19.74 Evaluated at bid price : 19.74 Bid-YTW : 5.23 %
PWF.PR.Q	FloatingReset	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.03 %
TD.PF.D	FixedReset Disc	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 21.37 Evaluated at bid price : 21.68 Bid-YTW : 5.28 %
MFC.PR.F	FixedReset Ins Non	-1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.68 Bid-YTW : 9.00 %
CM.PR.O	FixedReset Disc	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 19.79 Evaluated at bid price : 19.79 Bid-YTW : 5.31 %
MFC.PR.G	FixedReset Ins Non	-1.61 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 6.78 %
HSE.PR.C	FixedReset Disc	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.32 %
HSE.PR.A	FixedReset Disc	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 13.56 Evaluated at bid price : 13.56 Bid-YTW : 6.42 %
BMO.PR.Q	FixedReset Bank Non	-1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 5.34 %
BAM.PR.X	FixedReset Disc	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 5.36 %
CM.PR.S	FixedReset Disc	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.17 %
TRP.PR.H	FloatingReset	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 13.56 Evaluated at bid price : 13.56 Bid-YTW : 5.40 %
RY.PR.Z	FixedReset Disc	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 5.05 %
PWF.PR.T	FixedReset Disc	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.41 %
IAF.PR.G	FixedReset Ins Non	-1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.22 Bid-YTW : 6.36 %
BAM.PF.E	FixedReset Disc	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 20.48 Evaluated at bid price : 20.48 Bid-YTW : 5.46 %
BAM.PF.B	FixedReset Disc	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.50 %
BMO.PR.Z	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 24.23 Evaluated at bid price : 24.72 Bid-YTW : 5.11 %
TD.PF.B	FixedReset Disc	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 5.17 %
TRP.PR.B	FixedReset Disc	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 5.73 %
POW.PR.G	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 23.89 Evaluated at bid price : 24.40 Bid-YTW : 5.75 %
BAM.PF.D	Perpetual-Discount	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 21.80 Evaluated at bid price : 21.80 Bid-YTW : 5.68 %
SLF.PR.J	FloatingReset	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.42 Bid-YTW : 8.48 %
GWO.PR.Q	Deemed-Retractible	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.84 Bid-YTW : 6.32 %
IAF.PR.B	Deemed-Retractible	1.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.77 Bid-YTW : 6.30 %
BAM.PR.M	Perpetual-Discount	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 20.82 Evaluated at bid price : 20.82 Bid-YTW : 5.76 %
BMO.PR.E	FixedReset Disc	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 22.72 Evaluated at bid price : 23.86 Bid-YTW : 4.92 %
BAM.PF.A	FixedReset Disc	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 22.32 Evaluated at bid price : 23.05 Bid-YTW : 5.27 %
PWF.PR.Z	Perpetual-Discount	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 22.27 Evaluated at bid price : 22.60 Bid-YTW : 5.70 %
CU.PR.G	Perpetual-Discount	2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.57 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.R	FixedReset Disc	113,354	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 22.57 Evaluated at bid price : 23.33 Bid-YTW : 5.42 %
TRP.PR.K	FixedReset Disc	65,946	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 5.66 %
BNS.PR.E	FixedReset Prem	53,121	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.74 Bid-YTW : 4.07 %
EMA.PR.H	FixedReset Disc	50,255	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 22.88 Evaluated at bid price : 24.16 Bid-YTW : 5.08 %
BAM.PR.Z	FixedReset Disc	50,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 22.03 Evaluated at bid price : 22.50 Bid-YTW : 5.36 %
TD.PF.G	FixedReset Prem	42,258	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 4.30 %
There were 23 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.K	FixedReset Ins Non	Quote: 17.17 – 20.50 Spot Rate : 3.3300 Average : 2.0194 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.17 Bid-YTW : 8.86 %
MFC.PR.Q	FixedReset Ins Non	Quote: 21.50 – 24.97 Spot Rate : 3.4700 Average : 2.3945 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 6.43 %
GWO.PR.N	FixedReset Ins Non	Quote: 13.90 – 15.42 Spot Rate : 1.5200 Average : 0.8475 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.90 Bid-YTW : 9.60 %
IFC.PR.C	FixedReset Ins Non	Quote: 19.38 – 20.40 Spot Rate : 1.0200 Average : 0.5969 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.38 Bid-YTW : 7.22 %
HSE.PR.G	FixedReset Disc	Quote: 20.25 – 21.20 Spot Rate : 0.9500 Average : 0.5995 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.65 %
BMO.PR.Y	FixedReset Disc	Quote: 21.21 – 22.25 Spot Rate : 1.0400 Average : 0.7154 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-15 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 5.40 %

Posted in Market Action | No Comments »

January 14, 2019

Monday, January 14th, 2019

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	6.0445 %	2,538.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	6.0445 %	4,658.0
Floater	4.61 %	4.96 %	37,578	15.59	4	6.0445 %	2,684.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2694 %	3,200.5
SplitShare	4.65 %	4.89 %	92,249	4.52	6	-0.2694 %	3,822.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2694 %	2,982.1
Perpetual-Premium	5.59 %	5.27 %	93,111	14.94	2	0.0199 %	2,884.0
Perpetual-Discount	5.62 %	5.72 %	77,255	14.29	33	0.4941 %	2,966.1
FixedReset Disc	4.91 %	5.33 %	204,209	14.99	66	0.0229 %	2,299.1
Deemed-Retractible	5.36 %	6.24 %	85,702	8.20	27	0.4231 %	2,952.4
FloatingReset	4.02 %	4.14 %	40,233	2.91	7	0.0665 %	2,503.8
FixedReset Prem	5.16 %	4.28 %	260,082	2.21	14	-0.0251 %	2,531.4
FixedReset Bank Non	2.97 %	3.63 %	125,992	0.11	6	-0.2876 %	2,582.6
FixedReset Ins Non	4.78 %	6.21 %	143,358	8.43	22	1.1189 %	2,303.0

Performance Highlights
Issue	Index	Change	Notes
HSE.PR.E	FixedReset Disc	-2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 6.55 %
TRP.PR.G	FixedReset Disc	-2.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 5.74 %
SLF.PR.J	FloatingReset	-1.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.24 Bid-YTW : 8.61 %
NA.PR.G	FixedReset Disc	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.29 Evaluated at bid price : 23.00 Bid-YTW : 5.10 %
BAM.PF.A	FixedReset Disc	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.12 Evaluated at bid price : 22.70 Bid-YTW : 5.36 %
RY.PR.S	FixedReset Disc	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.18 Evaluated at bid price : 22.85 Bid-YTW : 4.88 %
TD.PF.I	FixedReset Disc	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.24 Evaluated at bid price : 22.80 Bid-YTW : 5.25 %
BMO.PR.E	FixedReset Disc	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.55 Evaluated at bid price : 23.50 Bid-YTW : 5.01 %
NA.PR.S	FixedReset Disc	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 5.32 %
TD.PF.J	FixedReset Disc	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.27 Evaluated at bid price : 22.91 Bid-YTW : 5.00 %
BMO.PR.S	FixedReset Disc	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 5.22 %
TD.PF.A	FixedReset Disc	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 5.15 %
EMA.PR.H	FixedReset Disc	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.84 Evaluated at bid price : 24.08 Bid-YTW : 5.10 %
MFC.PR.Q	FixedReset Ins Non	-1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.56 Bid-YTW : 6.39 %
BMO.PR.Q	FixedReset Bank Non	-1.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 4.81 %
EIT.PR.B	SplitShare	-1.26 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2025-03-14 Maturity Price : 25.00 Evaluated at bid price : 24.36 Bid-YTW : 5.40 %
BAM.PF.F	FixedReset Disc	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 5.63 %
CM.PR.Q	FixedReset Disc	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.36 %
CU.PR.I	FixedReset Disc	-1.15 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 3.27 %
RY.PR.M	FixedReset Disc	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 5.17 %
SLF.PR.G	FixedReset Ins Non	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.62 Bid-YTW : 8.46 %
NA.PR.W	FixedReset Disc	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 5.39 %
SLF.PR.A	Deemed-Retractible	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.73 Bid-YTW : 6.49 %
CCS.PR.C	Deemed-Retractible	1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 6.34 %
TRP.PR.H	FloatingReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 5.32 %
BAM.PR.R	FixedReset Disc	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 5.55 %
PWF.PR.H	Perpetual-Discount	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 24.65 Evaluated at bid price : 24.91 Bid-YTW : 5.78 %
IFC.PR.E	Deemed-Retractible	1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.30 Bid-YTW : 6.12 %
TRP.PR.B	FixedReset Disc	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 13.69 Evaluated at bid price : 13.69 Bid-YTW : 5.67 %
MFC.PR.I	FixedReset Ins Non	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.16 Bid-YTW : 6.09 %
MFC.PR.H	FixedReset Ins Non	1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 5.79 %
BAM.PF.G	FixedReset Disc	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 5.63 %
BIP.PR.D	FixedReset Disc	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.88 Evaluated at bid price : 23.87 Bid-YTW : 5.80 %
CU.PR.D	Perpetual-Discount	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.07 Evaluated at bid price : 22.39 Bid-YTW : 5.54 %
TRP.PR.F	FloatingReset	1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 5.28 %
BIP.PR.A	FixedReset Disc	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 21.36 Evaluated at bid price : 21.66 Bid-YTW : 6.23 %
PWF.PR.E	Perpetual-Discount	2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 23.69 Evaluated at bid price : 23.99 Bid-YTW : 5.74 %
BAM.PR.M	Perpetual-Discount	2.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 5.85 %
BAM.PR.X	FixedReset Disc	2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.28 %
GWO.PR.S	Deemed-Retractible	3.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 5.91 %
BAM.PR.K	Floater	3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 4.96 %
BAM.PR.C	Floater	3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 14.03 Evaluated at bid price : 14.03 Bid-YTW : 4.97 %
BAM.PR.Z	FixedReset Disc	4.19 %	Just a reversal of Friday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 21.97 Evaluated at bid price : 22.40 Bid-YTW : 5.39 %
PWF.PR.P	FixedReset Disc	4.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 5.37 %
BAM.PR.T	FixedReset Disc	4.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 5.56 %
MFC.PR.K	FixedReset Ins Non	5.98 %	Just a reversal of Friday‘s nonsense. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.37 Bid-YTW : 6.74 %
MFC.PR.L	FixedReset Ins Non	6.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 7.16 %
PWF.PR.A	Floater	7.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 17.97 Evaluated at bid price : 17.97 Bid-YTW : 3.89 %
VNR.PR.A	FixedReset Disc	9.20 %	Just a reversal of Friday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 21.59 Evaluated at bid price : 21.85 Bid-YTW : 5.37 %
MFC.PR.M	FixedReset Ins Non	9.48 %	Just a reversal of Friday‘s nonsense. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.09 Bid-YTW : 6.84 %
BAM.PR.B	Floater	9.76 %	Just a reversal of Friday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 5.00 %
TD.PF.B	FixedReset Disc	12.83 %	Just a reversal of Friday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 5.12 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.Y	FixedReset Bank Non	195,864	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 3.88 %
BMO.PR.C	FixedReset Disc	170,273	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.85 Evaluated at bid price : 23.84 Bid-YTW : 5.34 %
TD.PF.I	FixedReset Disc	108,740	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.24 Evaluated at bid price : 22.80 Bid-YTW : 5.25 %
CM.PR.S	FixedReset Disc	81,992	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.10 %
CM.PR.R	FixedReset Disc	69,809	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.57 Evaluated at bid price : 23.34 Bid-YTW : 5.41 %
NA.PR.X	FixedReset Prem	67,172	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 25.49 Bid-YTW : 4.51 %
There were 32 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
NA.PR.G	FixedReset Disc	Quote: 23.00 – 23.55 Spot Rate : 0.5500 Average : 0.3328 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.29 Evaluated at bid price : 23.00 Bid-YTW : 5.10 %
TRP.PR.G	FixedReset Disc	Quote: 20.86 – 21.42 Spot Rate : 0.5600 Average : 0.3501 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 5.74 %
BAM.PF.A	FixedReset Disc	Quote: 22.70 – 23.25 Spot Rate : 0.5500 Average : 0.3407 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 22.12 Evaluated at bid price : 22.70 Bid-YTW : 5.36 %
CU.PR.I	FixedReset Disc	Quote: 25.70 – 26.25 Spot Rate : 0.5500 Average : 0.3851 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 3.27 %
HSE.PR.E	FixedReset Disc	Quote: 20.71 – 21.19 Spot Rate : 0.4800 Average : 0.3323 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 6.55 %
BMO.PR.T	FixedReset Disc	Quote: 20.25 – 20.65 Spot Rate : 0.4000 Average : 0.2638 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-01-14 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.15 %

Posted in Market Action | No Comments »

New Issue: CM FixedReset, 5.20%+331, NVCC-compliant

Monday, January 14th, 2019

The Canadian Imperial Bank of Commerce has announced:

that it had entered into an agreement with a group of underwriters led by CIBC Capital Markets for an issue of 10 million Basel III-compliant Non-cumulative Rate Reset Class A Preferred Shares Series 49 (Non-Viability Contingent Capital (NVCC)) (the “Series 49 Shares”) priced at $25.00 per Series 49 Share to raise gross proceeds of $250 million.

CIBC has granted the underwriters an option to purchase up to an additional 2 million Series 49 Shares at the same offering price, exercisable at any time up to two days prior to closing. Should the underwriters’ option be fully exercised, the total gross proceeds of the financing will be $300 million.

The Series 49 Shares will yield 5.20% per annum, payable quarterly, as and when declared by the Board of Directors of CIBC, for an initial period ending April 30, 2024. On April 30, 2024, and on April 30 every five years thereafter, the dividend rate will reset to be equal to the then current five-year Government of Canada bond yield plus 3.31%.

Subject to regulatory approval and certain provisions of the Series 49 Shares, on April 30, 2024 and on April 30 every five years thereafter, CIBC may, at its option, redeem all or any part of the then outstanding Series 49 Shares at par.

Subject to the right of redemption, holders of the Series 49 Shares will have the right to convert their shares into Non-cumulative Floating Rate Class A Preferred Shares Series 50 (Non-Viability Contingent Capital (NVCC)) (the “Series 50 Shares”), subject to certain conditions, on April 30, 2024 and on April 30 every five years thereafter. Holders of the Series 50 Shares will be entitled to receive a quarterly floating rate dividend, as and when declared by the Board of Directors of CIBC, equal to the three-month Government of Canada Treasury Bill yield plus 3.31%.

Holders of the Series 50 Shares may convert their Series 50 Shares into Series 49 Shares, subject to certain conditions, on April 30, 2029 and on April 30 every five years thereafter.

The expected closing date is January 22, 2019. CIBC will make an application to list the Series 49 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of this offering will be used for general purposes of CIBC.

The new issue is quite expensive according to Implied Volatility Analysis:

Click for Big

According to this analysis, the fair value of the new issue on January 14 is 23.85. Note that CM.PR.R, a FixedReset, 4.40%+338, NVCC Compliant issue that commenced trading 2017-6-2 after being announced 2017-5-25, was quoted today at 23.34-55, after trading 69,809 shares in a range of 23.07-45. CM.PR.R resets 2022-7-31, so it has 14 dividend payments left to reset at 80bp less than the new issue, so 25 * 0.008 * 14 / 4 = 0.70, so it will receive $0.70 less total dividends than the new issue until it resets. I’m ignoring a ‘first-coupon effect’ for the new issue, but the currently payable dividend for CM.PR.R pays it up until 2019-1-30, so the effect is minimal.

Posted in New Issues | No Comments »

PrefBlog

Archive for January, 2019

January 21, 2019

January 18, 2019

PWF.PR.T : No Conversion to FloatingReset

New Issue: TD FixedReset 5.20%+327, NVCC-Compliant

January 17, 2019

DFN.PR.A To Get Bigger

January 16, 2019

January 15, 2019

January 14, 2019

New Issue: CM FixedReset, 5.20%+331, NVCC-compliant

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Bank of Montreal	Enbridge Inc.	TELUS Corporation
The Bank of Nova Scotia	Manulife Financial Corp.	Thomson-Reuters Corporation
BCE Inc.	National Bank of Canada	The Toronto-Dominion Bank
Canadian Imperial Bank of Commerce	Royal Bank of Canada	TransAlta Corporation
CI Financial Corp.	Sun Life Financial Inc.	TransCanada Corporation