Issue Comments

BIP.PR.D Achieves Small Premium On Excellent Volume

Brookfield Infrastructure has announced:

the completion of its previously announced issue of Cumulative Class A Preferred Limited Partnership Units, Series 7 (“Series 7 Preferred Units”) in the amount of $300,000,000. The offering was underwritten by a syndicate led by CIBC Capital Markets, RBC Capital Markets, Scotiabank, and TD Securities Inc.

Brookfield Infrastructure issued 12,000,000 Series 7 Preferred Units at a price of $25.00 per unit, for total gross proceeds of $300,000,000. Holders of the Series 7 Preferred Units will be entitled to receive a cumulative quarterly fixed distribution yielding 5.00% annually for the initial period ending March 31, 2022. Thereafter, the distribution rate will be reset every five years at a rate equal to the greater of: (i) the 5-year Government of Canada bond yield plus 3.78%, and (ii) 5.00%. The Series 7 Preferred Units will commence trading on the Toronto Stock Exchange this morning under the ticker symbol BIP.PR.D.

BIP.PR.D is a FixedReset, 5.00%+378M500, ROC + Interest, announced January 19. It will be tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

The issue traded 1,272,999 shares today in a range of 25.05-19 before closing at 25.15-17, 10×30. Vital statistics are:

BIP.PR.D FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 4.88 %

Implied Volatility analysis yields the following chart:

impvol_bip_170126
Click for Big

Update, 2017-10-11: Note that according to the prospectus, available on SEDAR under “Brookfield Infrastructure Partners L.P. Jan 19 2017 19:48:49 ET Prospectus (non pricing) supplement – English PDF 525 K”:

The reclassification of a Series 7 Preferred Unit into a Series 8 Preferred Unit or a Series 8 Preferred Unit into a Series 7 Preferred Unit, whether pursuant to an election made by the Resident Holder or pursuant to an automatic reclassification, may be considered to be a disposition of the Series 7 Preferred Unit or Series 8 Preferred Unit by the Resident Holder. The CRA’s position is that the conversion of an interest in a partnership into another interest in the partnership may result in a disposition of the partnership interest by the holder if the conversion results in a significant change in the rights and obligations of the holder in respect of the converted interest, including a significant change in the
percentage interest in the profits of the partnership. Whether or not the reclassification of Series 7 Preferred Units into Series 8 Preferred Units or Series 8 Preferred Units into Series 7 Preferred Units would result in a significant change in the percentage interest of a Resident Holder in the profits of the Partnership is a question of fact that depends upon the facts and circumstances that exist at the time of the reclassification.

Market Action

January 26, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.97 % 4.74 % 19,994 18.17 1 0.9496 % 1,957.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2070 % 3,548.2
Floater 3.90 % 3.98 % 47,615 17.45 4 0.2070 % 2,044.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0590 % 2,962.8
SplitShare 4.78 % 4.43 % 56,394 4.19 6 0.0590 % 3,538.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0590 % 2,760.6
Perpetual-Premium 5.58 % -5.71 % 73,107 0.09 12 -0.0164 % 2,706.8
Perpetual-Discount 5.24 % 5.26 % 89,304 14.96 26 0.0146 % 2,850.0
FixedReset 4.53 % 4.16 % 221,294 6.75 97 0.2868 % 2,270.2
Deemed-Retractible 5.11 % 4.75 % 135,766 0.25 32 0.0544 % 2,794.4
FloatingReset 2.41 % 3.16 % 44,589 4.72 11 0.2741 % 2,445.4
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.42
Evaluated at bid price : 22.95
Bid-YTW : 4.64 %
MFC.PR.I FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 5.37 %
HSE.PR.G FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.92
Evaluated at bid price : 24.01
Bid-YTW : 4.76 %
MFC.PR.H FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.03 %
HSE.PR.E FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.95
Evaluated at bid price : 24.00
Bid-YTW : 4.79 %
FTS.PR.K FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.22 %
TRP.PR.D FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.33 %
FTS.PR.H FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.26 %
BIP.PR.A FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.21
Evaluated at bid price : 22.71
Bid-YTW : 5.09 %
BAM.PF.F FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 22.68
Evaluated at bid price : 23.34
Bid-YTW : 4.29 %
PWF.PR.P FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 4.21 %
TRP.PR.E FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 4.16 %
BAM.PR.T FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 4.62 %
VNR.PR.A FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.71 %
HSE.PR.A FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.54 %
BAM.PR.Z FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.74
Evaluated at bid price : 22.19
Bid-YTW : 4.60 %
SLF.PR.J FloatingReset 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.35
Bid-YTW : 8.65 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.D FixedReset 1,272,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 4.88 %
TRP.PR.K FixedReset 488,457 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.43 %
MFC.PR.R FixedReset 163,576 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.54 %
MFC.PR.I FixedReset 130,459 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 5.37 %
BMO.PR.B FixedReset 106,454 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 4.16 %
BMO.PR.T FixedReset 58,916 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.06 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Y FixedReset Quote: 21.83 – 22.19
Spot Rate : 0.3600
Average : 0.2436

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 4.78 %
CU.PR.F Perpetual-Discount Quote: 22.00 – 22.37
Spot Rate : 0.3700
Average : 0.2593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.18 %
CU.PR.I FixedReset Quote: 26.50 – 26.78
Spot Rate : 0.2800
Average : 0.1825

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.04 %
BNS.PR.F FloatingReset Quote: 20.67 – 20.99
Spot Rate : 0.3200
Average : 0.2264

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.67
Bid-YTW : 5.81 %
CM.PR.O FixedReset Quote: 21.04 – 21.34
Spot Rate : 0.3000
Average : 0.2092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 4.13 %
BAM.PR.K Floater Quote: 11.66 – 11.98
Spot Rate : 0.3200
Average : 0.2316

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-26
Maturity Price : 11.66
Evaluated at bid price : 11.66
Bid-YTW : 4.09 %
Market Action

January 25, 2017

A hot day for FixedResets, perhaps due to a 5bp increase in the GOC-5 yield.

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.1%, so the pre-tax interest-equivalent spread is now about 270bp, a sharp narrowing from the 285bp reported January 18.

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 4.01 % 4.79 % 20,766 18.10 1 0.5970 % 1,939.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2154 % 3,540.8
Floater 3.91 % 4.02 % 48,223 17.38 4 1.2154 % 2,040.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,961.0
SplitShare 4.79 % 3.90 % 53,522 4.19 6 0.0328 % 3,536.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,759.0
Perpetual-Premium 5.58 % -4.47 % 72,258 0.09 12 0.0066 % 2,707.2
Perpetual-Discount 5.24 % 5.23 % 92,936 14.99 26 0.0341 % 2,849.6
FixedReset 4.53 % 4.21 % 221,270 6.76 96 1.1293 % 2,263.7
Deemed-Retractible 5.12 % 4.60 % 132,547 0.25 32 0.0661 % 2,792.8
FloatingReset 2.42 % 3.20 % 44,731 4.72 11 0.2311 % 2,438.8
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 3.60 %
TRP.PR.E FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.22 %
BMO.PR.T FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 4.09 %
BMO.PR.Y FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.79
Evaluated at bid price : 23.76
Bid-YTW : 3.97 %
MFC.PR.G FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 5.29 %
BMO.PR.Q FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.63 %
TD.PF.C FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 4.18 %
SLF.PR.J FloatingReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.01
Bid-YTW : 8.96 %
IAG.PR.G FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.17 %
TD.PF.D FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.29
Evaluated at bid price : 22.85
Bid-YTW : 4.15 %
HSE.PR.E FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 23.06
Evaluated at bid price : 24.25
Bid-YTW : 4.73 %
MFC.PR.J FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.43 %
MFC.PR.I FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.14
Bid-YTW : 5.21 %
MFC.PR.M FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 6.38 %
RY.PR.J FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.19
Evaluated at bid price : 22.66
Bid-YTW : 4.13 %
CM.PR.P FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 4.16 %
MFC.PR.H FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.87 %
TD.PF.A FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.10 %
HSE.PR.G FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 23.04
Evaluated at bid price : 24.27
Bid-YTW : 4.70 %
TD.PF.B FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.15 %
BNS.PR.Y FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 4.79 %
SLF.PR.I FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.43
Bid-YTW : 5.47 %
CM.PR.Q FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.38
Evaluated at bid price : 23.00
Bid-YTW : 4.11 %
TD.PF.E FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.71
Evaluated at bid price : 23.65
Bid-YTW : 4.07 %
HSE.PR.A FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 4.61 %
BMO.PR.M FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.24 %
RY.PR.H FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.10 %
RY.PR.Z FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.06 %
MFC.PR.L FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 6.44 %
BMO.PR.W FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.08 %
MFC.PR.K FixedReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.48
Bid-YTW : 6.41 %
MFC.PR.N FixedReset 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.22 %
RY.PR.M FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.04
Evaluated at bid price : 22.50
Bid-YTW : 4.05 %
IFC.PR.A FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.92
Bid-YTW : 7.86 %
PWF.PR.P FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 4.27 %
CM.PR.O FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.16 %
NA.PR.S FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 4.15 %
PWF.PR.T FixedReset 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.06 %
BMO.PR.S FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.54
Evaluated at bid price : 21.93
Bid-YTW : 3.99 %
BAM.PR.C Floater 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.07 %
BAM.PR.K Floater 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.64
Evaluated at bid price : 11.64
Bid-YTW : 4.09 %
HSE.PR.C FixedReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.59
Evaluated at bid price : 23.24
Bid-YTW : 4.57 %
IFC.PR.C FixedReset 2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 5.85 %
BAM.PF.B FixedReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.60 %
FTS.PR.K FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 4.27 %
MFC.PR.F FixedReset 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 9.49 %
TRP.PR.B FixedReset 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 4.08 %
BAM.PR.Z FixedReset 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.43
Evaluated at bid price : 21.75
Bid-YTW : 4.70 %
BAM.PR.B Floater 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 4.02 %
FTS.PR.M FixedReset 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.20 %
BAM.PR.X FixedReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 4.61 %
BAM.PR.T FixedReset 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.69 %
FTS.PR.H FixedReset 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 4.31 %
SLF.PR.G FixedReset 2.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 8.42 %
BAM.PF.F FixedReset 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.50
Evaluated at bid price : 23.04
Bid-YTW : 4.36 %
BAM.PF.G FixedReset 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.60
Evaluated at bid price : 23.37
Bid-YTW : 4.28 %
BAM.PF.E FixedReset 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.31 %
FTS.PR.G FixedReset 3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 4.25 %
BAM.PF.A FixedReset 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %
BAM.PR.R FixedReset 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.41 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 200,183 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.52 %
BNS.PR.H FixedReset 190,198 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.02 %
TRP.PR.E FixedReset 75,888 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.22 %
TRP.PR.D FixedReset 64,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 4.38 %
MFC.PR.R FixedReset 63,170 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.60 %
CU.PR.I FixedReset 62,188 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.15 %
There were 80 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.E Ratchet Quote: 16.85 – 17.48
Spot Rate : 0.6300
Average : 0.4180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 25.00
Evaluated at bid price : 16.85
Bid-YTW : 4.79 %
GRP.PR.A SplitShare Quote: 25.55 – 25.99
Spot Rate : 0.4400
Average : 0.3139

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -17.39 %
TRP.PR.A FixedReset Quote: 17.55 – 17.88
Spot Rate : 0.3300
Average : 0.2065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.36 %
GWO.PR.L Deemed-Retractible Quote: 25.66 – 25.98
Spot Rate : 0.3200
Average : 0.2123

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-24
Maturity Price : 25.50
Evaluated at bid price : 25.66
Bid-YTW : 2.51 %
GWO.PR.M Deemed-Retractible Quote: 25.90 – 26.20
Spot Rate : 0.3000
Average : 0.2002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-31
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : -0.93 %
TRP.PR.F FloatingReset Quote: 16.85 – 17.24
Spot Rate : 0.3900
Average : 0.2934

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-25
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.51 %
Market Action

January 24, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 4.03 % 4.82 % 21,571 18.07 1 0.6611 % 1,928.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1890 % 3,498.3
Floater 3.96 % 4.12 % 48,837 17.18 4 0.1890 % 2,016.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0788 % 2,960.0
SplitShare 4.79 % 3.94 % 53,212 4.19 6 0.0788 % 3,534.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0788 % 2,758.1
Perpetual-Premium 5.58 % -4.18 % 73,108 0.09 12 0.0190 % 2,707.0
Perpetual-Discount 5.24 % 5.24 % 90,607 14.96 26 -0.1104 % 2,848.6
FixedReset 4.58 % 4.24 % 219,195 6.75 96 0.2715 % 2,238.4
Deemed-Retractible 5.12 % 4.46 % 131,291 0.25 32 0.1699 % 2,791.0
FloatingReset 2.42 % 3.21 % 44,718 4.73 11 0.2448 % 2,433.1
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.05
Evaluated at bid price : 22.32
Bid-YTW : 5.54 %
BAM.PR.N Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 21.58
Evaluated at bid price : 21.84
Bid-YTW : 5.48 %
MFC.PR.F FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.82
Bid-YTW : 9.81 %
PWF.PR.A Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.56 %
BAM.PF.B FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 4.69 %
BAM.PF.F FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.05
Evaluated at bid price : 22.36
Bid-YTW : 4.51 %
TRP.PR.B FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 4.17 %
BAM.PF.G FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.18
Evaluated at bid price : 22.66
Bid-YTW : 4.44 %
FTS.PR.M FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 4.33 %
HSE.PR.E FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.92
Evaluated at bid price : 23.93
Bid-YTW : 4.81 %
GWO.PR.N FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.18
Bid-YTW : 9.40 %
ELF.PR.G Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 5.31 %
TRP.PR.D FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.40 %
HSE.PR.C FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.32
Evaluated at bid price : 22.80
Bid-YTW : 4.67 %
MFC.PR.G FixedReset 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.67
Bid-YTW : 5.46 %
TRP.PR.A FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.36 %
TRP.PR.G FixedReset 2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.47
Evaluated at bid price : 23.21
Bid-YTW : 4.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 226,692 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.54 %
BNS.PR.H FixedReset 125,373 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 3.99 %
TRP.PR.E FixedReset 120,633 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 4.27 %
TRP.PR.D FixedReset 118,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.40 %
HSE.PR.G FixedReset 108,599 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 22.88
Evaluated at bid price : 23.92
Bid-YTW : 4.78 %
BMO.PR.B FixedReset 107,189 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.19 %
There were 58 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Q FixedReset Quote: 20.76 – 21.24
Spot Rate : 0.4800
Average : 0.3284

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 5.88 %
MFC.PR.J FixedReset Quote: 22.11 – 22.32
Spot Rate : 0.2100
Average : 0.1318

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.63 %
BAM.PR.T FixedReset Quote: 17.73 – 17.94
Spot Rate : 0.2100
Average : 0.1334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 4.82 %
MFC.PR.H FixedReset Quote: 23.72 – 23.98
Spot Rate : 0.2600
Average : 0.1878

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.08 %
CU.PR.C FixedReset Quote: 21.26 – 21.59
Spot Rate : 0.3300
Average : 0.2644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-24
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.15 %
SLF.PR.G FixedReset Quote: 15.93 – 16.16
Spot Rate : 0.2300
Average : 0.1645

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.93
Bid-YTW : 8.84 %
Market Action

January 23, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 4.06 % 4.86 % 21,517 18.03 1 0.0000 % 1,915.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9112 % 3,491.7
Floater 3.97 % 4.11 % 49,219 17.20 4 0.9112 % 2,012.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0854 % 2,957.7
SplitShare 4.79 % 4.02 % 55,347 4.19 6 0.0854 % 3,532.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0854 % 2,755.9
Perpetual-Premium 5.58 % -8.10 % 73,334 0.09 12 -0.0360 % 2,706.5
Perpetual-Discount 5.23 % 5.23 % 90,137 14.93 26 -0.0162 % 2,851.7
FixedReset 4.59 % 4.25 % 220,182 6.74 96 0.1251 % 2,232.4
Deemed-Retractible 5.12 % 4.33 % 130,791 0.25 32 0.1168 % 2,786.3
FloatingReset 2.43 % 3.25 % 46,530 4.73 11 -0.1005 % 2,427.2
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 22.07
Evaluated at bid price : 22.54
Bid-YTW : 4.45 %
POW.PR.D Perpetual-Discount -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.22 %
TRP.PR.A FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 4.43 %
TRP.PR.B FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 4.23 %
TRP.PR.E FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.29 %
BAM.PR.C Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.14 %
BAM.PR.K Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 4.17 %
NA.PR.S FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 4.24 %
IFC.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.69
Bid-YTW : 8.05 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 4.11 %
GWO.PR.N FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.97
Bid-YTW : 9.60 %
SLF.PR.H FixedReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.09
Bid-YTW : 7.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.N Deemed-Retractible 260,699 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.33 %
BMO.PR.B FixedReset 113,575 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.23 %
BAM.PR.T FixedReset 109,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 4.81 %
RY.PR.J FixedReset 107,263 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 22.14
Evaluated at bid price : 22.58
Bid-YTW : 4.21 %
TD.PF.H FixedReset 66,983 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.18 %
MFC.PR.M FixedReset 62,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.47
Bid-YTW : 6.66 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 22.54 – 23.00
Spot Rate : 0.4600
Average : 0.2897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 22.07
Evaluated at bid price : 22.54
Bid-YTW : 4.45 %
TRP.PR.F FloatingReset Quote: 16.78 – 17.16
Spot Rate : 0.3800
Average : 0.2832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 3.52 %
PVS.PR.D SplitShare Quote: 24.98 – 25.21
Spot Rate : 0.2300
Average : 0.1458

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.68 %
HSE.PR.G FixedReset Quote: 23.75 – 23.96
Spot Rate : 0.2100
Average : 0.1576

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 22.80
Evaluated at bid price : 23.75
Bid-YTW : 4.82 %
TRP.PR.B FixedReset Quote: 13.82 – 14.18
Spot Rate : 0.3600
Average : 0.3109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 4.23 %
TRP.PR.H FloatingReset Quote: 13.15 – 13.38
Spot Rate : 0.2300
Average : 0.1846

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-23
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.27 %
Market Action

January 20, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 4.06 % 4.86 % 22,638 18.04 1 0.2410 % 1,915.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3766 % 3,481.4
Floater 3.97 % 4.12 % 50,725 17.18 4 -0.3766 % 2,006.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0131 % 2,953.8
SplitShare 4.80 % 4.33 % 69,461 4.20 6 -0.0131 % 3,527.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0131 % 2,752.3
Perpetual-Premium 5.59 % -4.13 % 70,050 0.09 12 -0.0983 % 2,701.2
Perpetual-Discount 5.22 % 5.30 % 87,078 14.87 26 0.0599 % 2,858.4
FixedReset 4.61 % 4.37 % 227,833 6.74 96 -0.0983 % 2,222.9
Deemed-Retractible 5.11 % 3.87 % 129,670 0.27 32 -0.1035 % 2,788.6
FloatingReset 2.46 % 3.31 % 44,844 4.74 11 0.0569 % 2,424.4
Performance Highlights
Issue Index Change Notes
W.PR.M FixedReset -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.62 %
BAM.PR.B Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 4.12 %
SLF.PR.G FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 8.80 %
GWO.PR.N FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 9.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.R FloatingReset 201,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 3.21 %
TRP.PR.D FixedReset 162,282 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.58 %
RY.PR.R FixedReset 57,383 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.02
Bid-YTW : 3.80 %
NA.PR.S FixedReset 56,494 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.39 %
CM.PR.Q FixedReset 53,292 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 22.16
Evaluated at bid price : 22.64
Bid-YTW : 4.24 %
BNS.PR.P FixedReset 37,216 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 3.36 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.M FixedReset Quote: 25.66 – 25.95
Spot Rate : 0.2900
Average : 0.2182

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.62 %
TRP.PR.B FixedReset Quote: 13.73 – 14.14
Spot Rate : 0.4100
Average : 0.3414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 4.34 %
GRP.PR.A SplitShare Quote: 25.50 – 25.74
Spot Rate : 0.2400
Average : 0.1718

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-18
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -16.34 %
SLF.PR.J FloatingReset Quote: 14.70 – 15.00
Spot Rate : 0.3000
Average : 0.2349

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 9.27 %
BIP.PR.C FixedReset Quote: 25.80 – 26.03
Spot Rate : 0.2300
Average : 0.1780

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.68 %
TRP.PR.D FixedReset Quote: 19.55 – 19.72
Spot Rate : 0.1700
Average : 0.1197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.58 %
Press Clippings

TransAlta pref shareholders not happy with consolidation plan

Barry Critchley was kind enough to quote me in his piece TransAlta pref shareholders not happy with consolidation plan:

Others disagree. For instance, James Hymas, a portfolio manager at Hymas Investment Counsel and the publisher of Prefblog, called it “an appalling, abusive offer. TransAlta’s extant preferred shares are trading well below their call price, which gives them a lot of room to make impressive capital gains should market conditions improve.” In Hymas’s view, the plan “effectively lowers the redemption price of the preferred shares outstanding, which will allow any such gains to be scooped up by the company instead of its preferred shareholders.”

This week, Hymas weighed in again. In an interview he said the “amount of extra income being offered is not just minimal but will disappear completely on reset with only a modest rise in government of Canada five year rates.” Accordingly if five year Canada bonds rise “significantly, the extant issues will pay more than the (proposed) new issue.”

Hymas also was critical of the process that will see those members of the soliciting group collect $0.13 per share per favorable vote — but nothing in the event the vote is unfavorable. The large difference in payments, “really makes me think they understand very well how cruddy their offer is.”

This follows previous posts on this topic:

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

Market Action

January 20, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 4.06 % 4.86 % 22,357 18.03 1 0.0000 % 1,915.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6090 % 3,460.2
Floater 3.99 % 4.15 % 50,956 17.11 4 -0.6090 % 1,994.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0460 % 2,955.2
SplitShare 4.80 % 4.34 % 66,731 4.20 6 0.0460 % 3,529.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0460 % 2,753.6
Perpetual-Premium 5.58 % -5.84 % 73,749 0.09 12 0.2328 % 2,707.5
Perpetual-Discount 5.23 % 5.22 % 89,441 14.95 26 -0.2182 % 2,852.2
FixedReset 4.60 % 4.37 % 220,740 6.74 96 0.3017 % 2,229.6
Deemed-Retractible 5.12 % 3.97 % 131,533 0.34 32 -0.2007 % 2,783.0
FloatingReset 2.45 % 3.24 % 46,617 4.74 11 0.2145 % 2,429.6
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 23.34
Evaluated at bid price : 23.79
Bid-YTW : 5.20 %
CU.PR.G Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.52
Evaluated at bid price : 21.86
Bid-YTW : 5.21 %
CU.PR.F Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.56
Evaluated at bid price : 21.91
Bid-YTW : 5.19 %
BAM.PR.M Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.67
Evaluated at bid price : 21.92
Bid-YTW : 5.46 %
CU.PR.D Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 23.44
Evaluated at bid price : 23.90
Bid-YTW : 5.18 %
BAM.PF.D Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 22.21
Evaluated at bid price : 22.54
Bid-YTW : 5.47 %
BAM.PR.K Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 4.21 %
FTS.PR.H FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.55 %
BMO.PR.Z Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.66
Evaluated at bid price : 25.08
Bid-YTW : 5.04 %
NA.PR.W FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.29 %
SLF.PR.J FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.85
Bid-YTW : 9.13 %
RY.PR.H FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 4.26 %
BAM.PR.Z FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 4.93 %
ELF.PR.F Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.13
Evaluated at bid price : 24.38
Bid-YTW : 5.46 %
BMO.PR.W FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.21 %
BMO.PR.S FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 4.17 %
BMO.PR.T FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 4.18 %
POW.PR.G Perpetual-Premium 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 4.78 %
POW.PR.B Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : -6.74 %
TRP.PR.B FixedReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 4.25 %
TRP.PR.A FixedReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.44 %
POW.PR.D Perpetual-Discount 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.10 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset 402,392 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.31 %
POW.PR.D Perpetual-Discount 209,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.10 %
BAM.PR.X FixedReset 168,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 4.85 %
BMO.PR.R FloatingReset 152,583 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 3.23 %
TD.PR.S FixedReset 138,291 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 2.97 %
TD.PF.H FixedReset 126,668 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.22 %
BNS.PR.H FixedReset 121,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.04 %
GWO.PR.L Deemed-Retractible 113,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.50
Evaluated at bid price : 25.66
Bid-YTW : 1.59 %
TRP.PR.K FixedReset 112,256 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.47 %
TRP.PR.J FixedReset 107,317 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.15 %
GWO.PR.F Deemed-Retractible 104,608 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : -16.90 %
BAM.PR.T FixedReset 103,994 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.89 %
TD.PR.Z FloatingReset 102,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 3.14 %
BMO.PR.Q FixedReset 100,963 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.03
Bid-YTW : 5.59 %
There were 69 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 14.76 – 15.35
Spot Rate : 0.5900
Average : 0.4005

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.76
Bid-YTW : 9.83 %
GRP.PR.A SplitShare Quote: 25.51 – 26.00
Spot Rate : 0.4900
Average : 0.3382

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -16.59 %
VNR.PR.A FixedReset Quote: 20.50 – 20.94
Spot Rate : 0.4400
Average : 0.2990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.85 %
PWF.PR.P FixedReset Quote: 14.92 – 15.27
Spot Rate : 0.3500
Average : 0.2102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 4.44 %
CM.PR.Q FixedReset Quote: 22.61 – 22.97
Spot Rate : 0.3600
Average : 0.2391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 22.14
Evaluated at bid price : 22.61
Bid-YTW : 4.25 %
TRP.PR.E FixedReset Quote: 20.50 – 20.79
Spot Rate : 0.2900
Average : 0.1760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.40 %
Market Action

January 18, 2017

PerpetualDiscounts now yield 5.30%, equivalent to 6.89% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread is now 285bp, a slight (and perhaps spurious) narrowing from the 290bp reported January 11.

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 4.07 % 4.87 % 23,455 18.02 1 0.0000 % 1,910.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1047 % 3,494.6
Floater 3.95 % 4.07 % 51,356 17.28 4 0.1047 % 2,013.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0394 % 2,954.2
SplitShare 4.80 % 4.32 % 52,656 4.20 6 0.0394 % 3,528.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0394 % 2,752.7
Perpetual-Premium 5.58 % -4.78 % 71,083 0.09 12 0.1181 % 2,703.9
Perpetual-Discount 5.22 % 5.30 % 88,331 14.89 26 0.3425 % 2,856.7
FixedReset 4.61 % 4.34 % 229,733 6.74 96 -0.4164 % 2,225.1
Deemed-Retractible 5.11 % 3.77 % 130,014 0.20 32 -0.0517 % 2,791.5
FloatingReset 2.46 % 3.34 % 43,241 4.74 11 -0.1181 % 2,423.1
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.96 %
MFC.PR.H FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.27 %
MFC.PR.L FixedReset -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.94
Bid-YTW : 6.90 %
CU.PR.C FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 4.20 %
MFC.PR.K FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.82
Bid-YTW : 6.94 %
BMO.PR.Y FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 22.42
Evaluated at bid price : 23.08
Bid-YTW : 4.16 %
MFC.PR.N FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.34
Bid-YTW : 6.71 %
SLF.PR.G FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.82
Bid-YTW : 8.97 %
MFC.PR.I FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 5.57 %
SLF.PR.I FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
MFC.PR.M FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 6.82 %
BAM.PF.H FixedReset -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.61 %
MFC.PR.J FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 5.74 %
BAM.PF.G FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.97
Evaluated at bid price : 22.35
Bid-YTW : 4.56 %
BAM.PR.N Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 5.39 %
TRP.PR.C FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.34 %
BAM.PR.M Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.95
Evaluated at bid price : 22.19
Bid-YTW : 5.39 %
BAM.PF.C Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 22.15
Evaluated at bid price : 22.41
Bid-YTW : 5.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset 211,844 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.23 %
BAM.PF.I FixedReset 159,887 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.30 %
MFC.PR.G FixedReset 92,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.17
Bid-YTW : 5.80 %
FTS.PR.H FixedReset 59,821 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.47 %
MFC.PR.C Deemed-Retractible 55,085 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.64
Bid-YTW : 6.80 %
SLF.PR.I FixedReset 52,604 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
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.H FixedReset Quote: 23.50 – 23.81
Spot Rate : 0.3100
Average : 0.1999

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.27 %
SLF.PR.G FixedReset Quote: 15.82 – 16.08
Spot Rate : 0.2600
Average : 0.1702

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.82
Bid-YTW : 8.97 %
GWO.PR.G Deemed-Retractible Quote: 24.48 – 24.73
Spot Rate : 0.2500
Average : 0.1636

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 5.60 %
W.PR.M FixedReset Quote: 25.96 – 26.17
Spot Rate : 0.2100
Average : 0.1394

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.34 %
RY.PR.W Perpetual-Discount Quote: 24.96 – 25.20
Spot Rate : 0.2400
Average : 0.1777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 24.68
Evaluated at bid price : 24.96
Bid-YTW : 4.97 %
CCS.PR.C Deemed-Retractible Quote: 23.52 – 23.89
Spot Rate : 0.3700
Average : 0.3106

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 6.02 %
Interesting External Papers

Forward Interest Rates

Forward interest rates have emerged as a bone of contention in the analysis of the proposed TransAlta preferred share exchange offer, so as part of the preparation for my promised weekend post, I’ll post a few links to some papers that illustrate why the Expectations Hypothesis cannot be used as a predictor.

Joseph R. Dziwura and Eric M. Green wrote a paper in 1996 for the New York Fed titled Interest Rate Expectations and the Shape of the Yield Curve:

According to the rational expectations hypothesis of the term structure (REHTS) long term rates should reflect market expectations for the average level of future short-term rates. The purpose of this paper is to examine whether REHTS assumptions conform to the term structure of outstanding U. S. Treasury securities from 1973 to 1995, and to examine the behavior of term premiums and to what extent they influence the shape of the forward curve. REHTS assumptions are re-examined using familiar regression tests to determine the forecast power of forward rates for subsequent spot rates, and we use excess holding period returns, the extra return earned on a security sold prior to maturity, as the ex poste measurement of the term premium. We find that forward rates explain only some of the variance in future spot rates, the forecast power of forward rates varies with maturity, and the term premia is time-varying. We decompose the forward rate into the current spot rate, a term premium, and an expected interest rate change, where the term premium is the sum of a risk premium and a convexity premium. We find that on average term premiums have contributed more to the shape of the forward curve than have expected rate changes, and find that expected and past interest rate volatility, as well as the slope of the yield curve, may provide information on the size of expected term premiums.

Another paper was by Massimo Guidolin and Daniel L. Thornton of the St. Louis Fed, titled Predictions of Short-Term Rates and the Expectations
Hypothesis:

Despite its role in monetary policy and finance, the expectations hypothesis (EH) of the term structure of interest rates has received virtually no empirical support. The empirical failure of the EH has been attributed to a variety of econometric biases associated with the single-equation models most often used to test it; however, none of these explanations appears to account for the massives [sic] failure reported in the literature. We note that traditional tests of the EH are based on two assumptions—the EH per se and an assumption about the expectations generating process (EGP) for the short-term rate. Arguing that convential [sic] tests of the EH could reject it because the EGP embedded in these tests is significantly at odds with the true EGP, we investigate this possibility by analyzing the out-of-sample predictive prefromance [sic] of several models for predicting interest rates and a model that assumes the EH holds. Using standard methods that take into account parameter uncertainty, the null hypothesis of equal predictive accuracy of each models relative to the random walk alternative is never rejected.

One may hope their work is more reliable than their proof-reading!

Intuitive Analytics is a financial software firm which has published a blog-post by Peter Orr titled 50 Years of UST Yields – How Well do Forwards Predict? that was exactly what I was looking for:

As we’ve written on these pages before, forecasting is a necessary evil in finance. It’s uncertain by nature and of course the longer the horizon, the more difficult the job. The theory that forward rates are good predictors of future realized rates is called the expectations hypothesis and as one MIT professor put it, “If the attractiveness of an economic hypothesis is measured by the number of papers which statistically reject it, the expectations theory of the term structure is a knockout.”

For fun (and to dust off my fast fading coding skills) I went back and looked at how US Treasury implied forward 10Y rates have done in forecasting realized 10Y UST yields from July, 1959 to the present. We used first of month data for 3, 6 and 12 month Tbills as zero rates (making the appropriate daycount adjustments of course) and then 2, 3, 5, 7, 10, 20, and 30-year UST coupon instruments for our implied 10Y forward calculations. And this is what we get…

ust_10y_yields-resized-600
Click for Big

The red line is the actual 10Y yield over the period and the “hair” is the implied 10Y par yield 1, 2, 3, and 5 years forward. The way to read this then is to look at how often the hair tracks with the actual realization of the 10Y yields as shown by the red line. In general, during this single big rate cycle we’ve seen over the last 50 years, forward rates have badly underpredicted when rates were going up (note the implied decreasing 10Y forwards during the 70s) and then overpredicted over the last 30 or so years as rates have fallen. How badly do forwards do? Well over this 50 year span, and this holds over most subperiods as well, you’d be better off as a forecaster just assuming today’s yield curve stays constant i.e. a perfectly random walk.