PrefBlog

Market Action

Toronto Rock Lacrosse Tickets!

I have five pairs of Toronto Rock Lacrosse tickets to give away!

The games take place at the Air Canada Centre and the seats are very good. Just tell me which ones you would like. A decision regarding who gets tickets will be made two weeks before each game and I will mail them to the lucky winner; while preference will be given to customers and those who tell me they’ve got a kid who plays lacrosse, anybody can win. If you win and don’t want your name publicized, that’s fine.

The games are:

Toronto Rock Lacrosse Ticket Giveaway
Date	Opponent
Saturday 2017-1-28 7pm	Rochester Knighthawks
Friday 2017-2-3 7:30pm	Buffalo Bandits
Friday 2017-3-3 7:30pm	New England Black Wolves
Saturday 2017-3-11 7:00pm	Calgary Roughnecks
Saturday 2017-3-25 7:00pm	Vancouver Stealth

The games are a lot of fun. One thing that has impressed me is that these guys’ technical skills are so good they can concentrate on strategy … there are a lot fewer loose balls than I remember from my days of box lacrosse at age 10!

To try your luck at receiving a pair of tickets, just eMail me or comment on this post.

Press Clippings

TransAlta plays the Grinch with its preferred share holders

Barry Critchley was kind enough to quote me in his article TransAlta plays the Grinch with its preferred share holders:

James Hymas, who runs Hymas Investment Management and who also publishes the PrefBlog, wrote “all of this analysis leads to the conclusion that this is a rotten deal for the preferred shareholders, so rotten that we may call it a sleazy attempt by the company to pull the wool over the eyes of unsophisticated retail investors. As the company admits, they look forward to reducing the corporation’s notional capital balance of preferred shares by approximately $300 million.”

After noting that an analysis based on implied volatility would require an even higher dividend than the 6.50 per cent TransAlta is offering, Hymas said the $300-million “is money that currently can potentially be earned by the current shareholders.”

That $300 million could occur with price increases on the extant issues; from an increase in the five-year government of Canada yield, or “from straightforward spread narrowing. The company is giving up nothing – NOTHING! – in order to capture this entire amount for themselves,” he wrote.

Assiduous Readers will remember that my views on the proposed Exchange (which will be voted on as a Plan of Arrangement) were published in the post TA Proposes Sleazy Exchange Offer.

Update, 2016-12-24 I was perplexed by a comment on Financial Wisdom Forum:

More on the TransAlta exchange.

http://business.financialpost.com/news/ … picks=true

FWIW, I am quite satisfied with the offer because I’m a trader and am more than happy to bail on these PF-3 issues because I really believe that one would have to be wearing super sized rose coloured glasses to think that they would someday trade or be redeemed at par, especially with a company like TA that has slashed the dividend on the common to 4 cents/quarter.

The case for the “No” vote does not depend on the hope that the shares will “someday trade or be redeemed at par”, and demonstrating this should actually make the argument more clear for those who have difficulty with the concept of Implied Volatility.

Let us examine the specific case of TA.PR.D; the following analysis framework may be applied to the other series with changes in numbers.

TA.PR.D:

pays $0.67725 p.a. until the next Exchange Date
will reset to GOC-5 + 203bp (paid on par value of $25) on each Exchange Date
- This is equal to (25 * GOC-5) + (25 * 203bp)
- which is equal to (25 * GOC-5) + $0.5075
may be redeemed at $25 on each Exchange Date
Exchange Dates are 2021-3-31 and every five years thereafter

The company proposes to exchange each share of this for 0.503 of a New Preferred Share; each New Preferred Share will

Pay 6.50% of $25.00 = 1.625 until the next Exchange Date
will reset to GOC-5 + 529bp (paid on par value of $25) on each Exchange Date
may be redeemed at $25 on each Exchange Date
Exchange Dates are 2021-12-31 and every five years thereafter

The fact that holders will be getting only 0.503 New Preferred Shares for each share of TA.PR.D makes the changes a little more complex for many investors, so as a thought experiment, let’s design a Notional Share which we will assume will be offered 1 for 1 for TA.PR.D, with the new holdings, in total, having exactly the same characteristics as the proposed new holdings of the New Preferred Shares.

A Notional Preferred Share:

pays $0.817375 until the next Exchange Date
will reset to 0.503 (GOC-5 + 529bp) * 25 on each Exchange Date
- This is equal to (0.503 * 25 * GOC-5) + (0.503 * 25 * 529bp)
- which is equal to 12.575 * GOC-5 + $0.6652175
- subject to a minimum rate of $0.817375
may be redeemed at $12.575 on each Exchange Date
Exchange Dates are 2021-12-31 and every five years thereafter

So when we compare the currently held TA.PR.D to the Notional Share we see that:

The Notional Share will pay an extra $0.14 annually for each of the next five years (approximately), for a total of $0.70.
The redemption price will drop from $25 to $12.575
The dividends after the next Exchange Date (if it is left outstanding) will depend on the GOC-5 yield, as indicated on the following chart

Click for Big

The big problem, of course, is the change in redemption price – holders lose out on a lot of potential capital gains if the market improves, either through increases in the GOC-5 yield (which should increase the trading price of the preferreds) or through a narrowing of spreads (which may occur because the market improves, or TA’s credit improves, or both). In addition, we see that increases in the GOC-5 rate greatly improve the dividend payout from TA.PR.D and the much higher redemption price means these potential increases will not be called away unless for a gigantic premium over the current price.

Market Action

December 23, 2016

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	0.0221 %	1,807.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0221 %	3,301.6
Floater	4.19 %	4.27 %	63,853	16.88	4	0.0221 %	1,902.7
OpRet	0.00 %	0.00 %	0	0.00	0	0.1190 %	2,933.3
SplitShare	4.82 %	4.64 %	82,974	4.28	6	0.1190 %	3,502.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1190 %	2,733.1
Perpetual-Premium	5.46 %	5.40 %	89,148	14.45	23	0.0403 %	2,654.0
Perpetual-Discount	5.50 %	5.50 %	111,380	14.59	15	0.1612 %	2,734.8
FixedReset	4.75 %	4.67 %	262,106	6.76	96	-0.3475 %	2,154.4
Deemed-Retractible	5.18 %	4.64 %	138,922	4.53	32	-0.1860 %	2,749.3
FloatingReset	2.84 %	4.00 %	46,012	4.79	12	-0.3636 %	2,312.9

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.F	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.21 Bid-YTW : 10.36 %
MFC.PR.G	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.15 %
TD.PR.T	FloatingReset	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 3.98 %
RY.PR.J	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 4.68 %
MFC.PR.I	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.97 Bid-YTW : 6.01 %
SLF.PR.I	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.26 Bid-YTW : 6.31 %
MFC.PR.N	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.73 Bid-YTW : 7.13 %
IFC.PR.A	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 9.11 %
MFC.PR.H	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.28 Bid-YTW : 5.40 %
IAG.PR.A	Deemed-Retractible	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.84 %
BAM.PF.A	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 4.96 %
MFC.PR.J	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.14 Bid-YTW : 6.32 %
CM.PR.O	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 4.59 %
HSE.PR.E	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 21.93 Evaluated at bid price : 22.27 Bid-YTW : 5.28 %
BNS.PR.A	FloatingReset	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.57 Bid-YTW : 3.75 %
FTS.PR.F	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 22.32 Evaluated at bid price : 22.59 Bid-YTW : 5.47 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.H	FixedReset	117,114	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.69 Bid-YTW : 4.43 %
MFC.PR.R	FixedReset	114,858	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 4.87 %
TRP.PR.D	FixedReset	91,469	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.96 %
RY.PR.Z	FixedReset	53,148	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 19.29 Evaluated at bid price : 19.29 Bid-YTW : 4.53 %
BMO.PR.T	FixedReset	50,054	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 4.57 %
BMO.PR.S	FixedReset	48,445	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 4.55 %
There were 56 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.D	FloatingReset	Quote: 19.65 – 22.50 Spot Rate : 2.8500 Average : 2.3824 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 6.58 %
GWO.PR.N	FixedReset	Quote: 14.06 – 14.70 Spot Rate : 0.6400 Average : 0.4039 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.06 Bid-YTW : 10.46 %
GRP.PR.A	SplitShare	Quote: 25.55 – 25.94 Spot Rate : 0.3900 Average : 0.2969 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-22 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : -6.11 %
RY.PR.J	FixedReset	Quote: 20.80 – 21.15 Spot Rate : 0.3500 Average : 0.2571 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 4.68 %
BNS.PR.A	FloatingReset	Quote: 23.57 – 23.80 Spot Rate : 0.2300 Average : 0.1411 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.57 Bid-YTW : 3.75 %
BNS.PR.B	FloatingReset	Quote: 22.88 – 23.15 Spot Rate : 0.2700 Average : 0.1831 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.88 Bid-YTW : 4.02 %

Issue Comments

BK.PR.A To Get Bigger

p>Quadravest has announced:

Canadian Banc Corp. (the “Company”) is pleased to announce it has filed a preliminary short form prospectus with respect to an additional offering of its Preferred Shares. This offering is being led by National Bank Financial Inc.

The Preferred Shares are listed and posted for trading on the Toronto Stock Exchange (the “TSX”) under the symbol “BK.PR.A”. On December 21, 2016 the closing price of the Preferred Shares on the TSX was $10.56.

The authorized capital of the Company also consists of Class A Shares (the “Class A Shares”). On December 12, 2016 the Company declared a special capital gains dividend, payable partially in cash and partially in Class A Shares, to holders of Class A Shares of record on January 5, 2017. The special dividend will be payable on January 9, 2017, the same date the Preferred Shares will be issued under the short form prospectus. The number of Class A Shares being issued as a result of this special dividend will be equal to the number of Preferred Shares expected to be issued in the offering.

A copy of the preliminary short form prospectus will be available from National Bank Financial Inc.

BK.PR.A is tracked by HIMIPref™ but is relegated to the Scraps subindex on both volume and credit concerns.

Update, 2017-1-15: Just a few more shares:

Canadian Banc Corp. (the “Company”) is pleased to announce it has completed its Offering of 393,602 Preferred Shares at $10.35 per share for aggregate gross proceeds of $4,073,781. The Preferred Shares will trade on the Toronto Stock Exchange under the symbol BK.PR.A.

The authorized capital of the Company also consists of Class A Shares (the “Class A Shares”). The Company declared a special capital gains dividend, payable partially in cash and partially in Class A Shares, to holders of Class A Shares of record on January 5, 2017. The number of Class A Shares being issued as a result of this special dividend will be equal to the number of Preferred Shares issued in this offering.

Market Action

December 22, 2016

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	0.7588 %	1,806.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.7588 %	3,300.8
Floater	4.19 %	4.27 %	61,777	16.87	4	0.7588 %	1,902.3
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0858 %	2,929.8
SplitShare	4.82 %	4.62 %	63,539	4.28	6	-0.0858 %	3,498.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0858 %	2,729.9
Perpetual-Premium	5.47 %	5.45 %	88,885	14.45	23	-0.0193 %	2,652.9
Perpetual-Discount	5.51 %	5.51 %	111,999	14.59	15	-0.1427 %	2,730.4
FixedReset	4.73 %	4.62 %	264,106	6.78	96	0.3488 %	2,161.9
Deemed-Retractible	5.17 %	4.56 %	141,001	4.53	32	-0.0157 %	2,754.5
FloatingReset	2.83 %	3.89 %	46,737	4.79	12	0.2331 %	2,321.4

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.F	FloatingReset	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 4.07 %
GWO.PR.N	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.15 Bid-YTW : 10.36 %
MFC.PR.B	Deemed-Retractible	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.84 Bid-YTW : 6.75 %
BAM.PR.N	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 5.74 %
TRP.PR.B	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 4.71 %
TD.PR.Y	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 3.31 %
BAM.PF.A	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 4.90 %
RY.PR.M	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.51 %
HSE.PR.G	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 22.10 Evaluated at bid price : 22.55 Bid-YTW : 5.18 %
BNS.PR.Y	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.51 Bid-YTW : 5.14 %
HSE.PR.E	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 22.09 Evaluated at bid price : 22.50 Bid-YTW : 5.22 %
BNS.PR.A	FloatingReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.81 Bid-YTW : 3.53 %
MFC.PR.G	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.93 Bid-YTW : 5.92 %
MFC.PR.H	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 5.22 %
MFC.PR.M	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.93 Bid-YTW : 7.05 %
CM.PR.Q	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 4.48 %
SLF.PR.G	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.37 Bid-YTW : 9.32 %
MFC.PR.N	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.97 Bid-YTW : 6.94 %
MFC.PR.I	FixedReset	1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.24 Bid-YTW : 5.83 %
BAM.PR.C	Floater	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 10.99 Evaluated at bid price : 10.99 Bid-YTW : 4.30 %
CCS.PR.C	Deemed-Retractible	1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 6.40 %
MFC.PR.K	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 7.38 %
SLF.PR.I	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.52 Bid-YTW : 6.12 %
MFC.PR.J	FixedReset	2.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.37 Bid-YTW : 6.15 %
IAG.PR.G	FixedReset	3.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.88 Bid-YTW : 6.01 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.B	FixedReset	264,679	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.81 Bid-YTW : 4.35 %
BNS.PR.B	FloatingReset	233,726	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.03 Bid-YTW : 3.87 %
TD.PF.H	FixedReset	178,932	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 4.44 %
MFC.PR.R	FixedReset	126,730	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.88 %
TRP.PR.K	FixedReset	108,808	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 4.73 %
FTS.PR.M	FixedReset	72,111	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 4.76 %
There were 94 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.D	FloatingReset	Quote: 19.64 – 23.00 Spot Rate : 3.3600 Average : 1.8698 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.64 Bid-YTW : 6.58 %
SLF.PR.K	FloatingReset	Quote: 16.90 – 17.25 Spot Rate : 0.3500 Average : 0.2659 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.90 Bid-YTW : 8.19 %
TRP.PR.E	FixedReset	Quote: 19.13 – 19.39 Spot Rate : 0.2600 Average : 0.1811 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 19.13 Evaluated at bid price : 19.13 Bid-YTW : 4.83 %
BNS.PR.H	FixedReset	Quote: 25.82 – 26.10 Spot Rate : 0.2800 Average : 0.2048 YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 4.44 %
CU.PR.C	FixedReset	Quote: 20.31 – 20.67 Spot Rate : 0.3600 Average : 0.2908 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 4.44 %
PVS.PR.B	SplitShare	Quote: 24.89 – 25.15 Spot Rate : 0.2600 Average : 0.1913 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.89 Bid-YTW : 4.70 %

Market Action

December 21, 2016

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	-0.5327 %	1,793.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.5327 %	3,276.0
Floater	4.22 %	4.30 %	58,523	16.83	4	-0.5327 %	1,888.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.0859 %	2,932.3
SplitShare	4.82 %	4.61 %	62,189	4.28	6	0.0859 %	3,501.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0859 %	2,732.2
Perpetual-Premium	5.46 %	5.43 %	88,337	14.44	23	0.4701 %	2,653.4
Perpetual-Discount	5.50 %	5.51 %	111,158	14.57	15	0.5223 %	2,734.3
FixedReset	4.74 %	4.61 %	245,436	6.77	96	0.7125 %	2,154.4
Deemed-Retractible	5.17 %	4.66 %	141,896	4.53	32	0.4657 %	2,754.9
FloatingReset	2.84 %	4.01 %	47,076	4.79	12	0.2975 %	2,316.0

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.C	Floater	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 10.81 Evaluated at bid price : 10.81 Bid-YTW : 4.37 %
IFC.PR.A	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.62 Bid-YTW : 8.99 %
BAM.PR.B	Floater	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 10.98 Evaluated at bid price : 10.98 Bid-YTW : 4.30 %
BAM.PF.H	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.06 Bid-YTW : 3.84 %
BAM.PF.E	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.77 %
SLF.PR.I	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.12 Bid-YTW : 6.40 %
MFC.PR.K	FixedReset	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.88 Bid-YTW : 7.63 %
SLF.PR.C	Deemed-Retractible	1.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.24 Bid-YTW : 6.92 %
BMO.PR.M	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.51 Bid-YTW : 3.50 %
TRP.PR.C	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 13.52 Evaluated at bid price : 13.52 Bid-YTW : 4.89 %
TD.PF.A	FixedReset	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 4.52 %
CU.PR.G	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 5.47 %
CM.PR.Q	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.58 %
SLF.PR.D	Deemed-Retractible	1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.28 Bid-YTW : 6.89 %
TD.PF.E	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 21.97 Evaluated at bid price : 22.40 Bid-YTW : 4.46 %
BNS.PR.P	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 3.38 %
TD.PF.B	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 4.57 %
TD.PF.C	FixedReset	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 4.58 %
SLF.PR.H	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.39 Bid-YTW : 8.26 %
PWF.PR.P	FixedReset	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 14.22 Evaluated at bid price : 14.22 Bid-YTW : 4.75 %
RY.PR.H	FixedReset	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 4.55 %
SLF.PR.B	Deemed-Retractible	1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.69 Bid-YTW : 6.29 %
GWO.PR.I	Deemed-Retractible	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.37 Bid-YTW : 6.88 %
SLF.PR.K	FloatingReset	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.85 Bid-YTW : 8.23 %
FTS.PR.H	FixedReset	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 4.72 %
POW.PR.G	Perpetual-Premium	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 24.73 Evaluated at bid price : 25.02 Bid-YTW : 5.59 %
BMO.PR.S	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.53 %
IFC.PR.C	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.53 Bid-YTW : 6.39 %
FTS.PR.M	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 4.74 %
FTS.PR.G	FixedReset	1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 4.60 %
MFC.PR.H	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.24 Bid-YTW : 5.42 %
BMO.PR.Y	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 21.34 Evaluated at bid price : 21.65 Bid-YTW : 4.48 %
BAM.PR.N	Perpetual-Discount	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.68 %
TD.PF.D	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 21.61 Evaluated at bid price : 21.87 Bid-YTW : 4.49 %
MFC.PR.N	FixedReset	1.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.66 Bid-YTW : 7.17 %
MFC.PR.L	FixedReset	1.73 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.38 Bid-YTW : 7.28 %
SLF.PR.J	FloatingReset	1.79 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.25 Bid-YTW : 9.66 %
HSE.PR.A	FixedReset	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 12.99 Evaluated at bid price : 12.99 Bid-YTW : 5.38 %
BAM.PR.R	FixedReset	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.93 %
MFC.PR.M	FixedReset	1.87 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 7.26 %
MFC.PR.G	FixedReset	2.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.66 Bid-YTW : 6.10 %
MFC.PR.J	FixedReset	2.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.93 Bid-YTW : 6.46 %
MFC.PR.F	FixedReset	2.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.36 Bid-YTW : 10.20 %
MFC.PR.I	FixedReset	2.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.88 Bid-YTW : 6.07 %
CU.PR.C	FixedReset	2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 20.28 Evaluated at bid price : 20.28 Bid-YTW : 4.45 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.S	FixedReset	145,226	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 19.32 Evaluated at bid price : 19.32 Bid-YTW : 4.77 %
BAM.PR.Z	FixedReset	128,255	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 5.09 %
MFC.PR.R	FixedReset	115,055	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 4.97 %
BMO.PR.S	FixedReset	97,916	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 4.53 %
RY.PR.Z	FixedReset	86,167	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 4.52 %
TD.PF.C	FixedReset	85,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 4.58 %
There were 107 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.S	Deemed-Retractible	Quote: 24.40 – 24.98 Spot Rate : 0.5800 Average : 0.3545 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.64 %
IAG.PR.G	FixedReset	Quote: 21.06 – 21.52 Spot Rate : 0.4600 Average : 0.2815 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.06 Bid-YTW : 6.59 %
CU.PR.C	FixedReset	Quote: 20.28 – 20.64 Spot Rate : 0.3600 Average : 0.2148 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 20.28 Evaluated at bid price : 20.28 Bid-YTW : 4.45 %
CU.PR.I	FixedReset	Quote: 27.07 – 27.45 Spot Rate : 0.3800 Average : 0.2408 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 27.07 Bid-YTW : 2.37 %
RY.PR.M	FixedReset	Quote: 20.77 – 21.09 Spot Rate : 0.3200 Average : 0.2076 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 4.56 %
ELF.PR.F	Perpetual-Discount	Quote: 24.04 – 24.34 Spot Rate : 0.3000 Average : 0.1981 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-21 Maturity Price : 23.73 Evaluated at bid price : 24.04 Bid-YTW : 5.60 %

Market Action

December 20, 2016

There’s a lot of Canadian bond issuance south of the border:

Canadian companies have issued about $69 billion of debt in U.S. markets this year, up 12 percent from a year ago. That compares with about C$93 billion in the domestic market, a similar amount — $70 billion — when adjusted for currency, and a 3 percent decline from 2015. The move south is being driven by the lure of lower borrowing costs in America’s far larger market, where the high-quality debt of Canadian companies is being lapped up.

The downside for Canadian investors is that deals done south of the border are frequently sold to U.S. investors first. Canadians must wait until those U.S. bond buyers start to sell their notes in the secondary market, which can mean losing out when prices of newly issued bonds rise. Companies meanwhile are chasing the best terms, regardless of geography.

Click for Big

It would be most interesting to learn just how much of this effect was due to the crowding out of Canadian investment capital by our bloated banking sector.

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	-0.0222 %	1,802.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.0222 %	3,293.5
Floater	4.20 %	4.25 %	55,800	16.92	4	-0.0222 %	1,898.1
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0330 %	2,929.8
SplitShare	4.82 %	4.68 %	62,895	4.28	6	-0.0330 %	3,498.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0330 %	2,729.9
Perpetual-Premium	5.48 %	5.55 %	88,075	14.40	23	-0.3622 %	2,641.0
Perpetual-Discount	5.53 %	5.53 %	103,495	14.54	15	-0.2282 %	2,720.1
FixedReset	4.78 %	4.67 %	241,261	6.75	96	-0.1512 %	2,139.1
Deemed-Retractible	5.19 %	4.74 %	142,914	4.54	32	-0.2415 %	2,742.1
FloatingReset	2.84 %	3.97 %	45,699	4.79	12	-0.3220 %	2,309.1

Performance Highlights
Issue	Index	Change	Notes
CU.PR.C	FixedReset	-2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 19.74 Evaluated at bid price : 19.74 Bid-YTW : 4.57 %
TRP.PR.F	FloatingReset	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 3.98 %
BMO.PR.S	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 4.60 %
CCS.PR.C	Deemed-Retractible	-1.75 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 6.63 %
BMO.PR.Y	FixedReset	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 4.58 %
SLF.PR.H	FixedReset	-1.66 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.16 Bid-YTW : 8.45 %
BAM.PR.X	FixedReset	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 5.06 %
SLF.PR.J	FloatingReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 9.91 %
MFC.PR.F	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.03 Bid-YTW : 10.53 %
RY.PR.O	Perpetual-Premium	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 23.66 Evaluated at bid price : 24.02 Bid-YTW : 5.13 %
BMO.PR.T	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 4.60 %
BMO.PR.Z	Perpetual-Premium	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 24.15 Evaluated at bid price : 24.55 Bid-YTW : 5.12 %
BAM.PR.N	Perpetual-Discount	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 5.78 %
MFC.PR.O	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.31 Bid-YTW : 4.34 %
MFC.PR.C	Deemed-Retractible	-1.03 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.23 Bid-YTW : 7.01 %
TRP.PR.H	FloatingReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 3.77 %
BAM.PR.R	FixedReset	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 5.02 %
BNS.PR.Z	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.88 Bid-YTW : 6.02 %
BMO.PR.Q	FixedReset	1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.57 Bid-YTW : 5.96 %
PWF.PR.T	FixedReset	2.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 4.46 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.K	FixedReset	127,256	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 4.87 %
TD.PF.H	FixedReset	89,843	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.54 Bid-YTW : 4.56 %
BAM.PF.I	FixedReset	87,694	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.70 %
TD.PF.B	FixedReset	82,319	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 4.63 %
RY.PR.H	FixedReset	79,167	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.61 %
MFC.PR.R	FixedReset	76,860	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 4.98 %
There were 83 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.F	FloatingReset	Quote: 15.05 – 15.38 Spot Rate : 0.3300 Average : 0.2168 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 3.98 %
BAM.PR.R	FixedReset	Quote: 16.79 – 17.22 Spot Rate : 0.4300 Average : 0.3198 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 5.02 %
SLF.PR.B	Deemed-Retractible	Quote: 22.38 – 22.62 Spot Rate : 0.2400 Average : 0.1552 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.38 Bid-YTW : 6.50 %
POW.PR.G	Perpetual-Premium	Quote: 25.00 – 25.30 Spot Rate : 0.3000 Average : 0.2178 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 24.71 Evaluated at bid price : 25.00 Bid-YTW : 5.69 %
BNS.PR.D	FloatingReset	Quote: 19.80 – 20.09 Spot Rate : 0.2900 Average : 0.2198 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.80 Bid-YTW : 6.30 %
BMO.PR.Y	FixedReset	Quote: 21.30 – 21.54 Spot Rate : 0.2400 Average : 0.1748 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-20 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 4.58 %

Issue Comments

BCE.PR.K / BCE.PR.L: 9% Conversion to FloatingReset

BCE Inc. has announced:

that 2,254,079 of its 25,000,000 fixed-rate Cumulative Redeemable First Preferred Shares, Series AK (Series AK Preferred Shares) have been tendered for conversion on December 31, 2016, on a one-for-one basis, into floating-rate Cumulative Redeemable First Preferred Shares, Series AL (Series AL Preferred Shares). Consequently, BCE will issue 2,254,079 new Series AL Preferred Shares as of December 31, 2016.

The remaining Series AK Preferred Shares will continue to be listed on the Toronto Stock Exchange under the symbol BCE.PR.K. The Series AK Preferred Shares will pay on a quarterly basis, for the five-year period beginning on December 31, 2016, as and when declared by the Board of Directors of BCE, a fixed quarterly cash dividend based on an annual dividend rate of 2.954%.

The Series AL Preferred Shares will pay for each quarterly period beginning with the quarterly period from and including December 31, 2016 up to but excluding March 31, 2017, as and when declared by the Board of Directors of BCE, a quarterly floating cash dividend based on the T-Bill Rate for such quarterly period plus 1.88%, calculated in accordance with the articles of BCE. The floating dividend rate applicable to the Series AL Preferred Shares for the quarterly period beginning on December 31, 2016 is 0.58907% (annual rate of 2.389% based on an initial T-Bill Rate of 0.509%). The Series AL Preferred Shares will be listed on the Toronto Stock Exchange under the symbol BCE.PR.L and will start trading on January 3, 2017.

It will be recalled that the rate reset to 2.954% for BCE.PR.K was announced on December 1 and that I recommended that holders of BCE.PR.K not convert.

PrefBlog

December 29, 2016

December 28, 2016

Toronto Rock Lacrosse Tickets!

TransAlta plays the Grinch with its preferred share holders

December 23, 2016

BK.PR.A To Get Bigger

December 22, 2016

December 21, 2016

December 20, 2016

BCE.PR.K / BCE.PR.L: 9% Conversion to FloatingReset

Of Interest