June 28, 2016

June 28th, 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 1.0020 % 1,640.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0020 % 2,996.2
Floater 4.69 % 4.67 % 63,430 16.09 3 1.0020 % 1,726.7
OpRet 4.86 % 0.54 % 38,166 0.08 1 0.0795 % 2,834.6
SplitShare 4.87 % 4.91 % 83,435 4.63 7 0.2531 % 3,343.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2531 % 2,608.4
Perpetual-Premium 5.60 % -12.04 % 78,552 0.09 9 0.2519 % 2,641.1
Perpetual-Discount 5.37 % 5.42 % 105,404 14.77 28 0.5628 % 2,741.4
FixedReset 5.21 % 4.56 % 160,057 7.32 88 0.6231 % 1,954.7
Deemed-Retractible 5.13 % 5.23 % 122,792 4.90 33 0.5198 % 2,696.1
FloatingReset 3.13 % 5.15 % 30,301 5.18 18 -0.2108 % 2,085.9
Performance Highlights
Issue Index Change Notes
GWO.PR.O FloatingReset -4.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.55
Bid-YTW : 10.83 %
SLF.PR.J FloatingReset -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.51
Bid-YTW : 11.04 %
CCS.PR.C Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.35 %
RY.PR.K FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 5.38 %
TD.PF.F Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 24.50
Evaluated at bid price : 24.90
Bid-YTW : 4.98 %
GWO.PR.Q Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.08
Bid-YTW : 5.73 %
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 : 16.97
Bid-YTW : 8.49 %
TRP.PR.E FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 4.57 %
MFC.PR.I FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.54
Bid-YTW : 7.06 %
BNS.PR.F FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.86 %
CU.PR.D Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 22.54
Evaluated at bid price : 22.87
Bid-YTW : 5.40 %
IFC.PR.C FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.35
Bid-YTW : 8.32 %
BAM.PR.Z FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.87 %
CM.PR.Q FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 4.45 %
RY.PR.Z FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 4.12 %
CU.PR.E Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 22.60
Evaluated at bid price : 22.94
Bid-YTW : 5.38 %
GWO.PR.I Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 6.73 %
BMO.PR.T FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 4.17 %
TD.PF.C FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.23 %
BMO.PR.Y FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 4.29 %
MFC.PR.C Deemed-Retractible 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 6.81 %
CU.PR.G Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 5.42 %
CU.PR.C FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 4.54 %
MFC.PR.L FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.54
Bid-YTW : 8.14 %
HSE.PR.E FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.67 %
MFC.PR.B Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 6.41 %
FTS.PR.M FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.34 %
CU.PR.F Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.42 %
SLF.PR.G FixedReset 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.20
Bid-YTW : 9.68 %
BAM.PR.X FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 4.64 %
TRP.PR.C FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 11.68
Evaluated at bid price : 11.68
Bid-YTW : 4.60 %
RY.PR.M FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 4.35 %
SLF.PR.I FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 8.18 %
BAM.PR.K Floater 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 10.14
Evaluated at bid price : 10.14
Bid-YTW : 4.67 %
SLF.PR.A Deemed-Retractible 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.62
Bid-YTW : 6.23 %
HSE.PR.C FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.67 %
SLF.PR.E Deemed-Retractible 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.32
Bid-YTW : 6.83 %
TRP.PR.B FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.27 %
SLF.PR.B Deemed-Retractible 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.82
Bid-YTW : 6.15 %
SLF.PR.D Deemed-Retractible 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.92 %
HSE.PR.G FixedReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 5.62 %
SLF.PR.C Deemed-Retractible 2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 6.89 %
FTS.PR.J Perpetual-Discount 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 22.46
Evaluated at bid price : 22.77
Bid-YTW : 5.26 %
FTS.PR.F Perpetual-Discount 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 23.17
Evaluated at bid price : 23.47
Bid-YTW : 5.26 %
SLF.PR.H FixedReset 2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.68
Bid-YTW : 9.13 %
VNR.PR.A FixedReset 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.89 %
PWF.PR.Q FloatingReset 4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.37 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.R FloatingReset 65,220 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 4.97 %
IFC.PR.C FixedReset 37,129 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.35
Bid-YTW : 8.32 %
NA.PR.A FixedReset 36,935 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.92 %
RY.PR.Q FixedReset 25,986 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 4.39 %
BMO.PR.S FixedReset 25,633 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.24 %
SLF.PR.I FixedReset 23,137 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 8.18 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.B FloatingReset Quote: 10.15 – 12.15
Spot Rate : 2.0000
Average : 1.3883

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 5.43 %

GWO.PR.O FloatingReset Quote: 12.55 – 13.57
Spot Rate : 1.0200
Average : 0.7117

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.55
Bid-YTW : 10.83 %

RY.PR.Q FixedReset Quote: 26.37 – 26.75
Spot Rate : 0.3800
Average : 0.2326

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 4.39 %

PWF.PR.T FixedReset Quote: 20.40 – 20.83
Spot Rate : 0.4300
Average : 0.3179

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.89 %

TRP.PR.D FixedReset Quote: 16.79 – 17.15
Spot Rate : 0.3600
Average : 0.2482

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 4.62 %

NA.PR.S FixedReset Quote: 17.53 – 17.94
Spot Rate : 0.4100
Average : 0.3103

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 4.55 %

SJR.PR.A / SJR.PR.B: 17% Conversion To FloatingReset

June 27th, 2016

Shaw Communications Inc. has announced:

that 1,987,607 of its 12,000,000 Cumulative Redeemable Rate Reset Class 2 Preferred Shares, Series A (the “Series A Shares”) were tendered for conversion, on a one-for-one basis, into Cumulative Redeemable Floating Rate Class 2 Preferred Shares, Series B (the “Series B Shares”) after having taken into account all election notices following the June 15, 2016 conversion deadline. As a result of the conversion, Shaw will have 10,012,393 Series A Shares and 1,987,607 Series B Shares issued and outstanding. The Series A Shares will continue to be listed on the Toronto Stock Exchange (“TSX”) under the symbol SJR.PR.A. The Series B Shares will begin trading on the TSX on June 30, 2016 under the symbol SJR.PR.B, subject to Shaw fulfilling all the listing requirements of the TSX.

The Annual Fixed Dividend Rate for the Series A Shares, payable quarterly, was set for the five year period from and including June 30, 2016 to but excluding June 30, 2021, if, as and when declared by the Board of Directors of Shaw, based on an annual fixed dividend rate of 2.791%.

Effective June 30, 2016, the Floating Quarterly Dividend Rate for the Series B Shares was set for the first Quarterly Floating Rate Period, being the period from and including June 30, 2016 to but excluding September 30, 2016, at an annual dividend rate of 2.539%. The Floating Quarterly Dividend Rate will be reset quarterly.

For more information on the terms of, and risks associated with, an investment in, the Series A Shares and the Series B Shares, see Shaw’s prospectus supplement dated May 20, 2011 which is available on sedar.com.

Assiduous Readers will remember that I recommended against conversion after reporting that SJR.PR.A will reset to 2.791% (a drop of 38%).

BPO.PR.N: No Conversion To FloatingReset

June 27th, 2016

Brookfield Office Properties Inc., a subsidiary of Brookfield Property Partners L.P. has announced:

that after having taken into account all election notices received by the June 15, 2016 deadline for the conversion of its Class AAA Preference Shares, Series N (the “Series N Shares”) (TSX: BPO.PR.N) into Class AAA Preference Shares, Series O (the “Series O Shares”), the holders of Series N Shares are not entitled to convert their Series N Shares into Series O Shares. There were 972,331 Series N Shares tendered for conversion, which is less than the one million shares required to give effect to conversions into Series O Shares.

The Series N Shares will pay on a quarterly basis, for the five-year period beginning on July 1, 2016, as and when declared by the board of directors of Brookfield, a fixed dividend based on an annual dividend rate of 3.782% ($0.236375 per share per quarter).

Assiduous Readers will remember that I recommended against conversion after reporting that BPO.PR.N will reset to 3.782% (a drop of 39%).

BMO.PR.Q To Be Extended

June 27th, 2016

Bank of Montreal has announced:

that it does not intend to exercise its right to redeem the currently outstanding Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 25 of the Bank (the “Preferred Shares Series 25″) on August 25, 2016, and as a result, subject to certain conditions, the holders of Preferred Shares Series 25 have the right, at their option, to convert all or part of their Preferred Shares Series 25 on a one-for-one basis into Non-Cumulative Floating Rate Class B Preferred Shares, Series 26 of the Bank (the “Preferred Shares Series 26″) on August 25, 2016. Holders who do not exercise their right to convert their Preferred Shares Series 25 into Preferred Shares Series 26 on such date will retain their Preferred Shares Series 25, unless automatically converted in accordance with the conditions below.

The foregoing conversions are subject to the conditions that: (i) if, after August 10, 2016, the Bank determines that there would be less than 1,000,000 Preferred Shares Series 25 outstanding on August 25, 2016, then all remaining Preferred Shares Series 25 will automatically be converted into an equal number of Preferred Shares Series 26 on August 25, 2016; and (ii) alternatively, if the Bank determines that there would be less than 1,000,000 Preferred Shares Series 26 outstanding on August 25, 2016, no Preferred Shares Series 25 will be converted into Preferred Shares Series 26. In either case, the Bank will give written notice to that effect to any registered holders of Preferred Shares Series 25 affected by the preceding minimums on or before August 18, 2016.

The dividend rate applicable to the Preferred Shares Series 25 for the 5-year period commencing on August 25, 2016, and ending on August 24, 2021, and the dividend rate applicable to the Preferred Shares Series 26 for the 3-month period commencing on August 25, 2016, and ending on November 24, 2016, will be determined and announced by way of a news release on July 26, 2016. The Bank will also give written notice of these dividend rates to the registered holders of Preferred Shares Series 25.

Beneficial owners of Preferred Shares Series 25 who, on or after July 26, 2016, wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (EDT) on August 10, 2016.

BMO.PR.Q is a FixedReset, 3.90%+115, which commenced trading 2011-3-11 after being announced 2011-3-2. It will be noted that the prospectus does not mention the NVCC rules except as follows:

The Basel Committee on Banking Supervision has announced new international bank capital adequacy rules (commonly called Basel III) which will amend the existing Basel II capital management framework. The Office of the Superintendent of Financial Institutions of Canada (‘‘OSFI’’) has announced that it plans to adopt the new Basel III rules for purposes of Canadian bank capital guidelines. Under the new Basel III rules, effective January 1, 2013, all non-common Tier 1 and Tier 2 capital instruments issued by a bank must have, either in their contractual terms and conditions or by way of statute in the issuer’s home country, a clause requiring a full and permanent conversion into common shares of such bank upon certain trigger events at the point where such bank is determined to be no longer viable. The Preferred Shares Series 25 and, if and when issued, the Preferred Shares Series 26 as a result may not fully qualify as non-common Tier 1 capital under the new capital rules as no such conversion mechanism exists. For purposes of being included in the Bank’s regulatory capital under the new capital rules, the Preferred Shares Series 25 and the Preferred Shares Series 26 would be phased out beginning January 31, 2013 (their recognition will be capped at 90% of total Tier 1 capital from January 1, 2013, with the cap reducing by 10% in each subsequent year). As a result, the Bank may, with the prior approval of the Superintendent, redeem the Preferred Shares Series 25 and the Preferred Shares Series 26, if any, in accordance with their respective terms.

Accordingly, I treat these shares as having a DeemedRetraction for analytical purposes.

I will relay information regarding the reset rate when it is announced July 26 and make a recommendation regarding conversion shortly before the conversion deadline of August 10, 2016.

June 27, 2016

June 27th, 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 -0.8937 % 1,623.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8937 % 2,966.5
Floater 4.73 % 4.74 % 62,111 15.97 3 -0.8937 % 1,709.6
OpRet 4.87 % 1.35 % 38,638 0.08 1 -0.1191 % 2,832.4
SplitShare 4.89 % 4.99 % 86,188 4.63 7 -0.0409 % 3,334.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0409 % 2,601.8
Perpetual-Premium 5.60 % -10.42 % 78,114 0.09 9 0.0478 % 2,634.5
Perpetual-Discount 5.39 % 5.45 % 103,803 14.68 28 -0.0936 % 2,726.0
FixedReset 5.24 % 4.61 % 154,680 7.32 88 -0.7897 % 1,942.6
Deemed-Retractible 5.16 % 5.40 % 122,550 4.91 33 -0.3079 % 2,682.1
FloatingReset 3.13 % 5.09 % 28,067 5.18 18 -0.2027 % 2,090.3
Performance Highlights
Issue Index Change Notes
HSE.PR.B FloatingReset -4.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 5.43 %
TRP.PR.C FixedReset -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 4.68 %
HSE.PR.E FixedReset -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.75 %
SLF.PR.H FixedReset -2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.31
Bid-YTW : 9.46 %
HSE.PR.G FixedReset -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 5.74 %
SLF.PR.G FixedReset -2.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 9.88 %
MFC.PR.L FixedReset -2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.31
Bid-YTW : 8.33 %
MFC.PR.K FixedReset -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.79
Bid-YTW : 8.64 %
SLF.PR.I FixedReset -2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.48
Bid-YTW : 8.39 %
MFC.PR.N FixedReset -2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 7.93 %
MFC.PR.M FixedReset -2.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 7.91 %
TRP.PR.B FixedReset -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 4.35 %
MFC.PR.G FixedReset -2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.49
Bid-YTW : 7.77 %
FTS.PR.G FixedReset -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 4.22 %
FTS.PR.M FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.40 %
HSE.PR.A FixedReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.02
Evaluated at bid price : 11.02
Bid-YTW : 5.32 %
NA.PR.S FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 4.58 %
FTS.PR.J Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 21.93
Evaluated at bid price : 22.29
Bid-YTW : 5.37 %
TRP.PR.F FloatingReset -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 4.62 %
MFC.PR.F FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.46
Bid-YTW : 10.40 %
MFC.PR.J FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.37
Bid-YTW : 7.69 %
FTS.PR.K FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 4.15 %
MFC.PR.I FixedReset -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.33
Bid-YTW : 7.21 %
FTS.PR.F Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 22.70
Evaluated at bid price : 22.94
Bid-YTW : 5.39 %
CM.PR.O FixedReset -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.25 %
HSE.PR.C FixedReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.77 %
SLF.PR.B Deemed-Retractible -1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 6.42 %
CM.PR.Q FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.50 %
CU.PR.C FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 4.60 %
SLF.PR.C Deemed-Retractible -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 7.19 %
SLF.PR.A Deemed-Retractible -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.47 %
IAG.PR.G FixedReset -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 8.07 %
SLF.PR.D Deemed-Retractible -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 7.20 %
CM.PR.P FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.24 %
BMO.PR.S FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 4.27 %
IFC.PR.C FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.16
Bid-YTW : 8.48 %
SLF.PR.E Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.96
Bid-YTW : 7.07 %
IFC.PR.A FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 10.27 %
GWO.PR.I Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.91 %
BMO.PR.T FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.22 %
BMO.PR.W FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 4.21 %
TD.PF.B FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.25 %
BAM.PR.T FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 5.03 %
SLF.PR.J FloatingReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.75
Bid-YTW : 10.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 120,856 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 4.44 %
BNS.PR.M Deemed-Retractible 115,308 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-27
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.87 %
TRP.PR.J FixedReset 105,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.81 %
NA.PR.A FixedReset 65,236 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.92 %
CCS.PR.C Deemed-Retractible 25,610 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 6.18 %
MFC.PR.G FixedReset 18,960 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.49
Bid-YTW : 7.77 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.I FloatingReset Quote: 11.90 – 12.89
Spot Rate : 0.9900
Average : 0.8204

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.07 %

TRP.PR.F FloatingReset Quote: 12.95 – 13.50
Spot Rate : 0.5500
Average : 0.4205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 4.62 %

PWF.PR.Q FloatingReset Quote: 11.50 – 13.00
Spot Rate : 1.5000
Average : 1.3751

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.56 %

IAG.PR.G FixedReset Quote: 18.10 – 18.38
Spot Rate : 0.2800
Average : 0.1774

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 8.07 %

PVS.PR.D SplitShare Quote: 23.58 – 23.98
Spot Rate : 0.4000
Average : 0.3063

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 23.58
Bid-YTW : 5.85 %

IFC.PR.A FixedReset Quote: 14.50 – 14.80
Spot Rate : 0.3000
Average : 0.2064

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 10.27 %

BNS.PR.M To Be Redeemed

June 25th, 2016

The Bank of Nova Scotia has announced:

Scotiabank (TSX: BNS) (NYSE: BNS) today announced that it intends to exercise its right to redeem all outstanding Non-cumulative Preferred Shares Series 15 of Scotiabank (the “Series 15 Shares”) on July 27, 2016, at a price equal to $25.00 per share, together with all declared and unpaid dividends. Formal notice will be issued to shareholders in accordance with the share conditions.

The redemption has been approved by the Office of the Superintendent of Financial Institutions and will be financed out of the general funds of Scotiabank.

On May 31, 2016, the Board of Directors of Scotiabank announced a quarterly dividend of $0.28125 per Series 15 Share. This will be the final dividend on the Series 15 Shares and will be paid in the usual manner on July 27, 2016, to shareholders of record at the close of business on July 5, 2016, as previously announced. After July 27, 2016, the Series 15 Shares will cease to be entitled to dividends.

BNS.PR.M is a StraightPerpetual, 4.50%, that commenced trading 2007-4-5 after being announced 2007-3-21. The greenshoe was exercised in its entirety, resulting in 13.8-million shares ($345-million) trading. The issue had no NVCC clause, so since February 2011 it has been considered a DeemedRetractible.

June 24, 2016

June 25th, 2016

So it seems that Brexit was basically a fizzle as far as the Canadian preferred share market was concerned. It was a bad day, certainly, with TXPR down 0.84% on the day – but that doesn’t even make the list of ten worst days this year!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.1453 % 1,638.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1453 % 2,993.2
Floater 4.69 % 4.70 % 62,328 16.05 3 -1.1453 % 1,725.0
OpRet 4.86 % -0.59 % 38,301 0.08 1 0.1192 % 2,835.8
SplitShare 4.88 % 4.94 % 86,819 4.64 7 -0.1201 % 3,336.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1201 % 2,602.9
Perpetual-Premium 5.61 % -10.95 % 77,633 0.09 9 -0.1389 % 2,633.2
Perpetual-Discount 5.38 % 5.43 % 104,574 14.73 28 -0.4431 % 2,728.6
FixedReset 5.20 % 4.68 % 159,828 7.34 88 -0.9771 % 1,958.1
Deemed-Retractible 5.14 % 5.39 % 121,546 4.91 33 -0.4528 % 2,690.4
FloatingReset 3.15 % 5.15 % 29,187 5.19 18 -0.7178 % 2,094.5
Performance Highlights
Issue Index Change Notes
PWF.PR.Q FloatingReset -6.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.60 %
VNR.PR.A FixedReset -3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.17 %
SLF.PR.I FixedReset -3.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 8.13 %
TRP.PR.B FixedReset -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 4.39 %
HSE.PR.A FixedReset -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 5.33 %
TRP.PR.C FixedReset -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.67 %
TRP.PR.H FloatingReset -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 9.85
Evaluated at bid price : 9.85
Bid-YTW : 4.50 %
IAG.PR.G FixedReset -2.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.38
Bid-YTW : 7.93 %
SLF.PR.H FixedReset -2.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.73
Bid-YTW : 9.18 %
TD.PF.E FixedReset -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 4.49 %
RY.PR.M FixedReset -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.47 %
TRP.PR.A FixedReset -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 4.80 %
RY.PR.J FixedReset -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.53 %
CU.PR.C FixedReset -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 4.64 %
FTS.PR.I FloatingReset -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.92
Evaluated at bid price : 11.92
Bid-YTW : 4.10 %
TRP.PR.G FixedReset -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.12 %
BAM.PF.E FixedReset -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 4.77 %
PWF.PR.T FixedReset -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 3.97 %
HSE.PR.C FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.76 %
BAM.PR.X FixedReset -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 4.83 %
CM.PR.Q FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.50 %
PWF.PR.P FixedReset -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 4.38 %
TRP.PR.F FloatingReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.57 %
TRP.PR.E FixedReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 4.71 %
TRP.PR.D FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 4.69 %
BAM.PR.N Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.78 %
BAM.PR.M Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.78 %
BAM.PF.C Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 5.77 %
BAM.PF.D Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.76 %
SLF.PR.G FixedReset -1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 9.56 %
RY.PR.Z FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.23 %
BAM.PF.B FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.93 %
BAM.PF.F FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.80 %
SLF.PR.J FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.51
Bid-YTW : 11.05 %
NA.PR.W FixedReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 4.58 %
RY.PR.H FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 4.29 %
TD.PF.D FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.52 %
TD.PF.A FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.28 %
BAM.PR.C Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 4.73 %
BAM.PR.K Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.70 %
HSE.PR.G FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.67 %
SLF.PR.E Deemed-Retractible -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.86 %
BAM.PR.Z FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 5.01 %
SLF.PR.B Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.16 %
IFC.PR.A FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 10.14 %
BMO.PR.W FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.26 %
BAM.PF.G FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.75 %
BAM.PR.T FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 14.97
Evaluated at bid price : 14.97
Bid-YTW : 5.10 %
BMO.PR.Y FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.39 %
FTS.PR.H FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 13.74
Evaluated at bid price : 13.74
Bid-YTW : 4.00 %
MFC.PR.K FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.20
Bid-YTW : 8.35 %
MFC.PR.I FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.68
Bid-YTW : 7.03 %
BIP.PR.A FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.69 %
BNS.PR.F FloatingReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.15
Bid-YTW : 8.09 %
CM.PR.P FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.27 %
SLF.PR.C Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 6.95 %
MFC.PR.J FixedReset -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.71
Bid-YTW : 7.49 %
MFC.PR.B Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.48 %
TD.PF.C FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.33 %
SLF.PR.A Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 6.23 %
BMO.PR.T FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 4.26 %
TD.PF.B FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 4.29 %
SLF.PR.D Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.02
Bid-YTW : 6.97 %
CU.PR.E Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 22.47
Evaluated at bid price : 22.79
Bid-YTW : 5.41 %
BMO.PR.S FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 4.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.A FixedReset 134,570 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.88 %
TD.PF.G FixedReset 94,565 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.47 %
TRP.PR.J FixedReset 71,029 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.81 %
IFC.PR.C FixedReset 61,511 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.40
Bid-YTW : 8.37 %
RY.PR.Q FixedReset 48,627 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 4.42 %
FTS.PR.M FixedReset 41,932 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.39 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 11.50 – 13.25
Spot Rate : 1.7500
Average : 1.2381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.60 %

FTS.PR.I FloatingReset Quote: 11.92 – 12.89
Spot Rate : 0.9700
Average : 0.6344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.92
Evaluated at bid price : 11.92
Bid-YTW : 4.10 %

GWO.PR.L Deemed-Retractible Quote: 25.39 – 25.97
Spot Rate : 0.5800
Average : 0.3452

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.39
Bid-YTW : 5.18 %

SLF.PR.J FloatingReset Quote: 12.51 – 13.24
Spot Rate : 0.7300
Average : 0.5085

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.51
Bid-YTW : 11.05 %

CU.PR.C FixedReset Quote: 16.84 – 17.33
Spot Rate : 0.4900
Average : 0.3643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 4.64 %

MFC.PR.K FixedReset Quote: 17.20 – 17.50
Spot Rate : 0.3000
Average : 0.1974

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.20
Bid-YTW : 8.35 %

June 23, 2016

June 23rd, 2016

Well, holy smokes:

With more than half the results counted, Britons appear to be choosing to withdraw from the European Union.

Several polls published at the end of a bitter campaign suggested the Remain forces would win and leaders of the Leave campaign initially said there were many signs they had lost.

But with more than 200 of the 382 voting areas reporting, Leave was increasing its lead over Remain — 51.5 per cent to 48.5 per cent. The margin between the two sides was about 500,000 votes at that point.

The pound first soared in Asian markets as the polls were announced, then collapsed when Leave took an early lead. The loss of more than 5 per cent was even larger than during the global financial crisis.

So it’s an interesting night:

Global markets buckled, with stocks plunging from Tokyo to London and Chicago, after early results from Britain’s referendum on membership of the European Union put the “Leave” campaign ahead. The pound fell the most on record, while haven assets jumped.

Sterling tumbled as much as 8.3 percent, the euro retreated from a six-week high and the yen surged. South Africa’s rand led losses among the currencies of commodity-exporting nations, sliding more than 5 percent as oil sank toward $48 a barrel and industrial metals slumped. Gold soared with U.S. Treasuries as investors piled into haven assets. Futures on the FTSE 100 Index plunged with S&P 500 Index contracts as benchmark stock gauges slid across Asia.

and:

The pound is making history as the chances of a Brexit grow.

The U.K. currency is headed for its biggest drop on record as results from Britain’s European Union referendum showed a stronger-than-expected vote for the “Leave” campaign. Volatility accelerated as the results from the referendum filtered through, with sterling trading in a range of more than 13 U.S. cents as an index of betting odds compiled by Oddschecker put the vote to exit the EU at 88 percent, from 23 percent on Thursday.

The 7.8 percent plunge on Friday compares with the 4.1 percent drop on 1992’s Black Wednesday, when the pound was forced out of Europe’s exchange-rate mechanism — the previous worst daily drop on record. The pound’s biggest-ever intraday decline has already been surpassed – a 5.9 percent decline on Oct. 24, 2008 — when stock markets crashed around the world during the Great Financial Crisis.

To date, the most interesting day of my career was fairly early on; September 16, 1992 – when the UK was forced out of the European Exchange Rate Mechanism.

There’s a pretty good chance that tomorrow will be the second most interesting day of my career!

But who knows? Maybe even these shattering events will be Trumped in November!

All this is happening when liquidity in the Canadian preferred share market is getting a little spotty … look at the quotes today, f’rinstance, on AIM.PR.B (10.06-21.50):

AIMPRB_quote_160623
Click for Big

and HSE.PR.B (10.65-22.00)

HSBPRB_quote_160623
Click for Big

HSE.PR.B was also featured on May 31. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

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 0.8914 % 1,657.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8914 % 3,027.9
Floater 4.64 % 4.64 % 63,157 16.17 3 0.8914 % 1,745.0
OpRet 4.87 % 0.70 % 37,896 0.08 1 0.0000 % 2,832.4
SplitShare 4.88 % 4.88 % 87,818 4.64 7 -0.0230 % 3,340.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0230 % 2,606.0
Perpetual-Premium 5.60 % -10.68 % 77,645 0.09 9 0.2480 % 2,636.9
Perpetual-Discount 5.36 % 5.42 % 103,743 14.76 28 0.2650 % 2,740.7
FixedReset 5.15 % 4.62 % 157,335 7.22 88 0.7379 % 1,977.4
Deemed-Retractible 5.12 % 5.26 % 122,034 4.92 33 0.3150 % 2,702.6
FloatingReset 3.13 % 5.13 % 30,405 5.20 18 0.7979 % 2,109.6
Performance Highlights
Issue Index Change Notes
NA.PR.Q FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 4.63 %
TD.PF.D FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.45 %
IAG.PR.G FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.52 %
NA.PR.S FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 4.54 %
SLF.PR.I FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.57
Bid-YTW : 7.60 %
BMO.PR.K Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-23
Maturity Price : 25.25
Evaluated at bid price : 25.64
Bid-YTW : -8.30 %
BMO.PR.Y FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.33 %
RY.PR.I FixedReset 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 4.66 %
TD.PF.E FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 4.37 %
BAM.PF.G FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.69 %
IFC.PR.A FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.89
Bid-YTW : 9.95 %
CM.PR.O FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.26 %
HSE.PR.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 5.17 %
BAM.PF.F FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.72 %
TRP.PR.F FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 4.48 %
TRP.PR.C FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 4.53 %
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 : 18.58
Bid-YTW : 7.58 %
MFC.PR.N FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.54
Bid-YTW : 7.54 %
IFC.PR.C FixedReset 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.51
Bid-YTW : 8.27 %
GWO.PR.N FixedReset 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 9.79 %
RY.PR.M FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 4.36 %
BAM.PR.Z FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.94 %
CM.PR.P FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 4.24 %
TRP.PR.D FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 4.61 %
BAM.PF.E FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.66 %
PWF.PR.T FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 3.88 %
FTS.PR.I FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.00 %
MFC.PR.F FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.78
Bid-YTW : 10.09 %
SLF.PR.H FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.17
Bid-YTW : 8.78 %
BAM.PF.A FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 4.83 %
BNS.PR.F FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.37
Bid-YTW : 7.84 %
BAM.PF.B FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 4.85 %
TRP.PR.H FloatingReset 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 10.14
Evaluated at bid price : 10.14
Bid-YTW : 4.37 %
RY.PR.J FixedReset 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.42 %
BMO.PR.Q FixedReset 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.91
Bid-YTW : 6.26 %
CU.PR.C FixedReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.52 %
PWF.PR.P FixedReset 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 4.30 %
TRP.PR.B FixedReset 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.24 %
SLF.PR.G FixedReset 2.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.33 %
MFC.PR.P FloatingReset 8.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.50
Bid-YTW : 11.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.R Perpetual-Discount 105,227 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 24.64
Evaluated at bid price : 25.12
Bid-YTW : 5.54 %
RY.PR.K FloatingReset 84,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.10 %
BAM.PR.M Perpetual-Discount 55,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 5.68 %
TRP.PR.D FixedReset 40,954 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 4.61 %
EML.PR.A FixedReset 39,527 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 5.45 %
FTS.PR.G FixedReset 33,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.27 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.B FloatingReset Quote: 10.65 – 12.65
Spot Rate : 2.0000
Average : 1.3525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 5.22 %

RY.PR.K FloatingReset Quote: 21.75 – 22.36
Spot Rate : 0.6100
Average : 0.4270

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.10 %

FTS.PR.M FixedReset Quote: 18.90 – 19.37
Spot Rate : 0.4700
Average : 0.3215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.41 %

TRP.PR.G FixedReset Quote: 18.47 – 18.82
Spot Rate : 0.3500
Average : 0.2292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 5.00 %

NA.PR.Q FixedReset Quote: 23.46 – 23.94
Spot Rate : 0.4800
Average : 0.3627

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 4.63 %

TRP.PR.E FixedReset Quote: 17.77 – 18.08
Spot Rate : 0.3100
Average : 0.1958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.62 %

DBRS Confirms BRF After Review

June 23rd, 2016

DBRS has announced that it:

has today removed Brookfield Renewable Partners L.P. (BRP or the Company; formerly Brookfield Renewable Energy Partners L.P.) from Under Review with Developing Implications and confirmed the ratings as follows:

— Issuer Rating of BRP at BBB (high), Stable trend
— Class A Preferred Limited Partnership Units of BRP at Pfd-3 (high), Stable trend
— Class A Preference Shares of Brookfield Renewable Power Preferred Equity Inc. (guaranteed by BRP) at Pfd-3 (high), Stable trend
— Senior Unsecured Debentures and Notes of BRP Finance ULC (guaranteed by BRP) at BBB (high), Stable trend

On January 13, 2016, DBRS placed all the ratings as listed above Under Review with Developing Implications. The rating actions followed the announcement that the Company, with its institutional partners (together, the Consortium), committed to acquire a 57.6% controlling interest in ISAGEN S.A. E.S.P. (ISAGEN) for a total consideration of approximately $2.2 billion (the Acquisition).

DBRS has reviewed the Company’s final financing plan of the Acquisition and is of the view that the Company’s final financing plan is consistent with DBRS’s expectations. In support of the Acquisition, in May 2016, the Company closed CAD 200 million preferred unit offering (Class A Limited Partnership Units) and in June 2016, the Company completed CAD 860 million equity offering. The preferred shares were treated as equity since the outstanding amount still falls within DBRS’s 20% threshold of common equity. Based on DBRS’s review and pro forma calculations, the Company’s consolidated and deconsolidated metrics would remain supportive of the current rating as follows: (1) its pro forma consolidated debt-to-capital ratio would not materially change from 2015, remaining in the 45% to 47% range in 2016; (2) its pro forma deconsolidated debt-to-capital ratio is expected to remain around 20% at the end of 2016; (3) the Company’s pro forma deconsolidated credit metrics, such as cash flow-to-debt and cash flow-to-interest coverage ratios, would slightly improve from 2015 (the cash flow-to-debt ratio was 26.3% in 2015 and the cash flow-to-interest coverage was, including preferred dividends, 4.88 times in 2015) due mainly to stronger cash flow from hydro projects in North America in the first quarter of 2016. In addition, given the Company’s contractual profile (approximately 90% of generation output is contracted for 2016 and 2017) and with the expected incremental cash flow from the Acquisition, DBRS expects that the Company’s deconsolidated cash flow-related metrics will remain stable and will be consistent with the current ratings over the medium term.

The declaration of a Review was reported on PrefBlog in January. BRF was recently highlighted on PrefBlog for actually executing – in a small way – part of its NCIB for preferred shares.

Affected issues are BRF.PR.A, BRF.PR.B, BRF.PR.C, BRF.PR.E and BRF.PR.F.

June 22, 2016

June 23rd, 2016

Canada Post is looking at drones:

The post office is quietly exploring the possibility of small, unmanned aerial vehicles one day helping get the mail to where it needs to go, said Jon Hamilton, a Canada Post spokesman.

Canada Post declined to release documents through the Access to Information Act about its interest in drones, citing sensitivities such as trade secrets and financial, commercial, scientific or technical data.

But Mr. Hamilton insists there are no drone prototypes in the post office laboratory – at least not yet.

He characterized the effort as a “paper exercise” at the very early exploratory stages, aimed at “examining what’s out there today.”

I wonder, I wonder … I wonder if current technology would allow for a cheap dumb mechanical system to be added to community mailboxes – so a drone could deliver the mail to a hopper on a community mailbox and a sorter would put the individual letters in their proper boxes …

PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a significant narrowing from the 320bp reported June 15.

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 0.1322 % 1,642.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1322 % 3,001.1
Floater 4.68 % 4.68 % 61,088 16.09 3 0.1322 % 1,729.6
OpRet 4.87 % 0.54 % 38,088 0.08 1 0.0398 % 2,832.4
SplitShare 4.88 % 5.13 % 86,291 4.65 7 0.1842 % 3,340.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1842 % 2,606.6
Perpetual-Premium 5.61 % -10.41 % 78,638 0.09 9 0.1482 % 2,630.4
Perpetual-Discount 5.37 % 5.43 % 103,277 14.75 28 0.1565 % 2,733.5
FixedReset 5.19 % 4.62 % 157,319 7.21 88 0.2027 % 1,962.9
Deemed-Retractible 5.14 % 5.28 % 124,017 4.92 33 -0.2008 % 2,694.1
FloatingReset 3.15 % 5.17 % 28,159 5.19 18 0.1049 % 2,092.9
Performance Highlights
Issue Index Change Notes
BNS.PR.F FloatingReset -2.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.06
Bid-YTW : 8.18 %
CCS.PR.C Deemed-Retractible -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 6.29 %
TRP.PR.H FloatingReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 9.95
Evaluated at bid price : 9.95
Bid-YTW : 4.45 %
PWF.PR.Q FloatingReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.28 %
MFC.PR.L FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.63
Bid-YTW : 8.11 %
BAM.PF.C Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.71 %
FTS.PR.K FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.20 %
TRP.PR.D FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.68 %
BAM.PR.T FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.05 %
FTS.PR.G FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.30 %
BAM.PR.R FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.04 %
TRP.PR.B FixedReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 4.35 %
FTS.PR.I FloatingReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.07 %
TRP.PR.C FixedReset 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.59 %
GWO.PR.O FloatingReset 3.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.20
Bid-YTW : 10.14 %
MFC.PR.P FloatingReset 3.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.50
Bid-YTW : 12.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.A FixedReset 139,496 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.92 %
PWF.PR.R Perpetual-Discount 115,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 24.58
Evaluated at bid price : 25.06
Bid-YTW : 5.55 %
TRP.PR.J FixedReset 84,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.76 %
TD.PF.B FixedReset 74,391 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 4.27 %
TD.PF.D FixedReset 65,356 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 4.50 %
TD.PF.G FixedReset 34,212 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.55 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.B FloatingReset Quote: 10.67 – 11.60
Spot Rate : 0.9300
Average : 0.6425

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 10.67
Evaluated at bid price : 10.67
Bid-YTW : 5.21 %

GWO.PR.N FixedReset Quote: 13.80 – 14.28
Spot Rate : 0.4800
Average : 0.3554

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.80
Bid-YTW : 9.99 %

BIP.PR.A FixedReset Quote: 19.05 – 19.35
Spot Rate : 0.3000
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.64 %

TD.PR.T FloatingReset Quote: 21.50 – 21.79
Spot Rate : 0.2900
Average : 0.2185

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.06 %

W.PR.K FixedReset Quote: 25.52 – 25.75
Spot Rate : 0.2300
Average : 0.1597

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.01 %

FTS.PR.H FixedReset Quote: 13.91 – 14.24
Spot Rate : 0.3300
Average : 0.2623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 3.95 %