May 24, 2016

May 25th, 2016

Hurray! Food delivery robots!

When the staff at Starship Technologies in Tallinn, Estonia are ready for lunch, they’ll order a few pizzas just like any other office. But they don’t have a human do the pickup or delivery. Instead, a two-foot high, forty-pound, self-driving robot on wheels will get the job.

The staff made up of engineers and project managers sometimes use a credit line with the local pizzeria. Or they’ll just put cash inside the robot itself. The machine is covered with carefully concealed sensors and nine cameras, so that on a bank of screens in the office, they can get a first-person view of its journey from a couple feet off the ground, traversing pavements and passing by pedestrians to pick up their order. Once they see the robot is in the pizzeria, they’ll hit a button to unlock the hatch so the restaurant can get the cash and put in the hot pizzas.

This is the future of delivery, according to Starship, whose robots are 90-99% automated, according to its CFO, Allan Martinson.

A fascinating example of technological disruption is blockchains in finance:

The risk posed by fraud in the $4 trillion trade-financing industry has prompted banks to start exploring distributed-ledger technology like the one that underpins bitcoin.

Standard Chartered Plc, which lost almost $200 million from a fraud at China’s Qingdao port two years ago, has teamed up with DBS Group Holdings Ltd. to develop an electronic ledger of invoices that uses a parallel platform to the blockchain employed in bitcoin transactions. Lenders such as Bank of America Corp. and HSBC Holdings Plc say they’re looking at blockchain for trade finance and other banking applications.

Blockchain proponents argue that the technology will change the face of banking, helping lenders cut billions of dollars in costs. Trade financing, a centuries-old banking mainstay, may become ground zero for blockchain adoption because it promises to do away with paper invoices and the fraud that accompanies them — if banks can come together around a joint platform.

There was a nice article on Bloomberg about Treasury duration management:

To lock in historically low interest rates, Belgium, Canada, France, Mexico, Spain, Switzerland and the U.K. have all sold debt maturing in 40 to 100 years since 2014, even if infrequently. Not the U.S., which in the interest of keeping sales regular has stuck to securities of three decades or less. That policy has made the globe’s biggest debtor a laggard in a key bond-market metric related to the average maturity of its securities. By this measure, the gap between the U.S. and its peers has never been wider.

Yet by a gauge known as modified duration, a measure of debt’s price sensitivity to interest-rate changes that rises with maturity, it’s still trailing global peers. Typically, bonds with longer duration gain more when rates fall, and suffer steeper losses when rates rise.

For Treasuries, the figure is 6.2, compared with 8.9 for an index that tracks the sovereign securities of more than 20 other nations, Bank of America Merrill Lynch data show. This month, the gap between the two reached the widest since at least 2006. One of the starkest contrasts is with the U.K., which issues long-dated bonds for pensions and insurers. Its debt has a duration above 10, Bank of America data show.

sovereignDurationGap
Click for Big

“The Treasury likes to see large, liquid markets, and something like a 50-year bond is not going to be particularly liquid,” said James Moore, head of investment solutions in Newport Beach, California, at Pacific Investment Management Co., which oversees about $1.5 trillion. “The Treasury is thinking about and balancing a multiplicity of objectives when they consider issuance, and liquidity and depth are some of them.”

The U.S. hasn’t exactly stood still. The average lifespan of the government’s debt is now about 69 months, up from 49 in December 2008, when it was ramping up short-term bill issuance as part of emergency spending during the financial crisis, Treasury data show.

treasuryAverageTerm
Click for Big

The Treasury’s Borrowing Advisory Committee, which includes some dealers, voiced concern over that risk in 2011, when the department last asked the group to consider ultra-long bonds. The topic has been discussed several times at quarterly gatherings since.

The primary buyers of very long-dated debt — pensions and insurers — tend to prefer higher-yielding corporate bonds. Microsoft’s 40-year bond last year was priced to yield 1.8 percentage points above 30-year Treasuries. And other investors may deem ultra-long debt too perilous because of the steep losses they’d incur should yields rise.

It’s interesting to see the car manufacturers jockeying for the new opportunities in fleet management – first, there’s Gett and Volkswagen:

Gett Inc., a taxi-ordering application that competes with Uber Technologies Inc., raised $300 million in a strategic investment from German carmaker Volkswagen AG to fund its growth in Europe and New York City.

Gett, based in Tel Aviv, Israel, has offered rides for as low as $1 and expanded its services to include deliveries of goods. The company hired Wells Fargo & Co. to find investors for the round, people familiar with the matter said in February. Volkswagen’s contribution brings total funds raised by Gett to more than $520 million, the taxi service said Tuesday in an e-mailed statement.

Volkswagen made the investment as part of a push to boost digital offerings and move beyond its diesel-engine manipulation scandal. Mobility services promise strong growth prospects and earnings potential in coming years, VW said Tuesday in a statement.

With operations in over 60 cities worldwide, including London, Moscow and New York, Gett is a major ride-hailing provider and services will be expanded further as part of the alliance with VW. Last month, it completed its bid to buy London’s Radio Taxis in a move that brought Gett’s car fleet in the city to 11,500, a number the company says amounts to half of all licensed taxis in the city.

Expanding digital services in connected cars is a cornerstone of VW’s strategy through 2025, which will be presented in mid-June. More than 250 employees are developing the plan, which will comprise eight key initiatives across the group, Mueller said last week at an internal management meeting at the carmaker’s Wolfsburg, Germany, headquarters.

Volkswagen is not the first car manufacturer to get involved in the ride-hailing business. General Motors Co. bought a 9 percent stake in Lyft for $500 million in January and Apple Inc. made a $1 billion investment in China’s Didi this month.

And, of course, Car2Go is a subsidiary of Daimler, while Zipcar is, perhaps more logically, subsidiary of the old-line car rental company Avis Budget, while Hertz is trying to develop the business as a sideline. Meanwhile, Toyota is investing in Uber:

Toyota Motor Corp. said it is making a strategic investment in Uber Technologies Inc. and will offer auto leases to the ride-hailing company’s drivers.

Uber declined to disclose the size of the investment. Toyota wasn’t immediately available for comment. By leasing Toyota cars, Uber will expand its existing program, which also includes Enterprise Holdings Inc.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 4.74 % 5.77 % 11,622 16.92 1 -1.7241 % 1,664.5
FixedFloater 6.67 % 5.79 % 18,730 16.72 1 1.0638 % 3,031.5
Floater 4.52 % 4.74 % 44,034 15.91 4 -0.1671 % 1,717.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2113 % 2,824.3
SplitShare 4.96 % 5.17 % 79,136 3.93 7 0.2113 % 3,305.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2113 % 2,578.7
Perpetual-Premium 5.75 % -11.46 % 78,921 0.09 6 0.1180 % 2,603.3
Perpetual-Discount 5.47 % 5.57 % 101,783 14.51 33 0.1485 % 2,682.9
FixedReset 5.20 % 4.68 % 164,828 13.81 88 0.2169 % 1,968.2
Deemed-Retractible 5.12 % 5.57 % 133,036 6.75 33 0.0745 % 2,682.1
FloatingReset 3.19 % 5.00 % 26,062 5.26 17 0.3195 % 2,096.3
Performance Highlights
Issue Index Change Notes
GWO.PR.O FloatingReset -3.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.00
Bid-YTW : 10.45 %
BAM.PR.E Ratchet -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 5.77 %
CU.PR.C FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.54 %
BAM.PR.X FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 13.89
Evaluated at bid price : 13.89
Bid-YTW : 4.93 %
BAM.PR.G FixedFloater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 5.79 %
TD.PF.F Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 24.16
Evaluated at bid price : 24.54
Bid-YTW : 5.02 %
TRP.PR.F FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.63 %
SLF.PR.H FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.47
Bid-YTW : 8.79 %
RY.PR.M FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.52 %
CM.PR.Q FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 4.57 %
BMO.PR.Y FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.43 %
FTS.PR.H FixedReset 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.33 %
TRP.PR.I FloatingReset 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.69 %
FTS.PR.I FloatingReset 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 11.67
Evaluated at bid price : 11.67
Bid-YTW : 4.29 %
HSE.PR.B FloatingReset 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 5.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 51,779 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 4.85 %
RY.PR.Q FixedReset 38,165 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : 4.48 %
SLF.PR.I FixedReset 36,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 7.07 %
RY.PR.W Perpetual-Discount 33,222 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 24.23
Evaluated at bid price : 24.53
Bid-YTW : 5.01 %
RY.PR.R FixedReset 30,239 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 4.69 %
RY.PR.M FixedReset 26,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.52 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.O FloatingReset Quote: 13.00 – 13.79
Spot Rate : 0.7900
Average : 0.5107

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.00
Bid-YTW : 10.45 %

TRP.PR.D FixedReset Quote: 17.36 – 17.75
Spot Rate : 0.3900
Average : 0.2476

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 4.78 %

BAM.PR.E Ratchet Quote: 14.25 – 14.75
Spot Rate : 0.5000
Average : 0.3795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 5.77 %

TD.PF.B FixedReset Quote: 18.03 – 18.38
Spot Rate : 0.3500
Average : 0.2378

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 4.45 %

TD.PR.S FixedReset Quote: 22.75 – 23.24
Spot Rate : 0.4900
Average : 0.3841

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 4.67 %

ELF.PR.G Perpetual-Discount Quote: 21.10 – 21.50
Spot Rate : 0.4000
Average : 0.2985

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-24
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.71 %

CIU.PR.C: No Conversion To FloatingReset

May 25th, 2016

CU Inc. has announced:

that after having taken into account all election notices following the May 17, 2016 conversion deadline for the Cumulative Redeemable Preferred Shares Series 4 (“Series 4 Preferred Shares”) tendered for conversion into Cumulative Redeemable Preferred Shares Series 5 (“Series 5 Preferred Shares”), the holders of Series 4 Preferred Shares are not entitled to convert their Series 4 Preferred Shares into Series 5 Preferred Shares. There were approximately 204,540 Series 4 Preferred Shares tendered for conversion, which is less than the one million shares required to give effect to conversions into Series 5 Preferred Shares.

The Series 4 Preferred Shares will continue to pay on a quarterly basis, for the five-year period beginning on June 1, 2016, as and when declared by the Board of Directors of CU Inc., a fixed dividend based on an annual dividend rate of 2.24%.

For more information on the terms of, and risks associated with an investment in, the Series 4 Preferred Shares, please see CU Inc.’s short form prospectus dated November 24, 2010, which can be found under CU Inc.’s profile on SEDAR at www.sedar.com.

It will be remembered that CIU.PR.C is a FixedReset that commenced trading 2010-12-2 after being announced 2010-11-16. It resets at +136 and will commence paying 2.24% on 2016-6-1.

May PrefLetter Released!

May 23rd, 2016

The May, 2016, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

The regular appendices reporting on DeemedRetractibles and FixedResets are included.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the May, 2016, issue, while the “Next Edition” will be the June, 2016, issue, scheduled to be prepared as of the close June 10 and eMailed to subscribers prior to market-opening on June 13.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

So cross your fingers!

May 20, 2016

May 21st, 2016

EMA wants to issue new preferreds; Barry Critchley points out they’ll have to pay up relative to their last round:

This week Emera took another step on the way to rounding up the cash need to fund the US$10.4 billion acquisition of TECO Energy.

Emera, which expects to close the acquisition by mid-year, raised $544 million from the sale of most of its stake in Algonquin Power & Utilities Corp. After the share sale, Emera — which is expected to receive the second instalment of a $2.185 billion offering of convertible debentures when the TECO deal gets the final green light — will own about five per cent of Algonquin.

But lots of capital still needs to be raised — even if it seems that all the common equity has been obtained. In a presentation unveiled this week, Emera indicated it is seeking between US$3.4 billion and US$3.8 billion of debt (the US$10.4 billion acquisition cost includes US$3.9 billion of assumed debt). It is also after US$0.8 billion to US$1.2 billion in either preferred equity or hybrid securities.

Emera last issued rate reset preferred shares in May 2014 when it raised $200 million at a yield of 4.25 per cent. At 4.25 per cent, the coupon represented a spread of 263 basis points above comparable five-year Canada bonds.

Next time out Emera will find that the preferred share market has changed in two ways.

IGM Financial has bought a piece of a robo-advisor:

IGM Financial Inc. has closed a $50 million (U.S.) investment in Personal Capital Corporation, a market-leading digital wealth advisor based in the U.S., with an agreement to invest an additional $25 million (U.S.) in the next year for a total of $75 million (U.S.). This would result in an initial 10% ownership stake increasing to 15% within 12 months, with the remaining interest owned by Personal Capital’s management team and existing investors.

Personal Capital’s approach to wealth management – combining dedicated financial advisors with innovative customer-facing technology – is unique in the industry. Led by a market-leading and experienced team with a long track record in financial services, Personal Capital has been growing rapidly in the mass affluent and high net worth investor segments of the market, offering a unique, compelling and valuable proposition for its clients.

This is kind of interesting, since IGM’s parent, PWF, already has a piece of WealthSimple, as discussed April 9, 2015.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 4.66 % 5.66 % 11,568 17.06 1 0.6944 % 1,693.7
FixedFloater 6.74 % 5.85 % 18,988 16.65 1 -2.7586 % 2,999.6
Floater 4.51 % 4.72 % 44,505 15.95 4 0.4317 % 1,720.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2390 % 2,818.4
SplitShare 4.97 % 5.28 % 80,228 3.94 7 -0.2390 % 3,298.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2390 % 2,573.3
Perpetual-Premium 5.76 % -9.92 % 78,517 0.09 6 0.0853 % 2,600.2
Perpetual-Discount 5.48 % 5.57 % 102,014 14.50 33 0.1460 % 2,678.9
FixedReset 5.21 % 4.64 % 166,452 13.84 88 0.3126 % 1,963.9
Deemed-Retractible 5.12 % 5.47 % 132,034 5.01 33 0.1175 % 2,680.1
FloatingReset 3.20 % 5.00 % 26,016 5.27 17 0.0351 % 2,089.6
Performance Highlights
Issue Index Change Notes
TRP.PR.I FloatingReset -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.79 %
BAM.PR.G FixedFloater -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 5.85 %
SLF.PR.H FixedReset -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.27
Bid-YTW : 8.94 %
ALB.PR.C SplitShare -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 25.76
Bid-YTW : 4.10 %
TRP.PR.E FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 4.67 %
TD.PR.S FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 4.48 %
BAM.PF.B FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 5.13 %
NA.PR.S FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.64 %
TD.PR.Y FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 4.42 %
BAM.PF.F FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.91 %
BAM.PF.E FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 4.97 %
FTS.PR.K FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 4.45 %
HSE.PR.C FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.85 %
FTS.PR.M FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.64 %
BAM.PR.X FixedReset 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 4.98 %
BAM.PR.T FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.21 %
BAM.PF.A FixedReset 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.06 %
TRP.PR.A FixedReset 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.00 %
GWO.PR.O FloatingReset 3.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.50
Bid-YTW : 9.92 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 112,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.81 %
FTS.PR.K FixedReset 28,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 4.45 %
TD.PF.C FixedReset 25,223 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.44 %
NA.PR.X FixedReset 23,346 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.64 %
TD.PF.G FixedReset 17,988 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 4.57 %
TRP.PR.A FixedReset 17,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.00 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.G FixedFloater Quote: 14.10 – 14.85
Spot Rate : 0.7500
Average : 0.4749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 5.85 %

EML.PR.A FixedReset Quote: 25.82 – 26.58
Spot Rate : 0.7600
Average : 0.4894

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 5.14 %

HSE.PR.B FloatingReset Quote: 10.35 – 11.28
Spot Rate : 0.9300
Average : 0.7073

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-20
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 5.58 %

ALB.PR.C SplitShare Quote: 25.76 – 26.50
Spot Rate : 0.7400
Average : 0.5897

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 25.76
Bid-YTW : 4.10 %

SLF.PR.J FloatingReset Quote: 13.00 – 13.45
Spot Rate : 0.4500
Average : 0.3312

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.00
Bid-YTW : 10.60 %

SLF.PR.I FixedReset Quote: 19.43 – 19.94
Spot Rate : 0.5100
Average : 0.3929

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.43
Bid-YTW : 7.15 %

May 19, 2016

May 20th, 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 4.69 % 5.70 % 12,032 17.02 1 -0.4838 % 1,682.0
FixedFloater 6.55 % 5.68 % 19,121 16.86 1 1.0453 % 3,084.7
Floater 4.53 % 4.75 % 44,776 15.90 4 0.2163 % 1,713.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0348 % 2,825.1
SplitShare 4.95 % 5.09 % 83,077 3.95 7 -0.0348 % 3,305.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0348 % 2,579.4
Perpetual-Premium 5.76 % -11.01 % 78,310 0.09 6 0.0000 % 2,598.0
Perpetual-Discount 5.48 % 5.57 % 103,339 14.52 33 -0.0145 % 2,675.0
FixedReset 5.22 % 4.63 % 164,900 13.82 88 -0.1938 % 1,957.8
Deemed-Retractible 5.13 % 5.53 % 131,576 5.01 33 0.4175 % 2,677.0
FloatingReset 3.15 % 5.01 % 25,656 5.28 17 0.3984 % 2,088.9
Performance Highlights
Issue Index Change Notes
PWF.PR.Q FloatingReset -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 4.27 %
NA.PR.S FixedReset -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 4.59 %
TRP.PR.A FixedReset -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.99 %
CU.PR.C FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 4.42 %
SLF.PR.G FixedReset -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.46
Bid-YTW : 9.50 %
BMO.PR.W FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 4.34 %
BMO.PR.T FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.35 %
TD.PF.A FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.29 %
RY.PR.Z FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.25 %
NA.PR.W FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.48 %
BAM.PR.G FixedFloater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 5.68 %
IAG.PR.G FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.12
Bid-YTW : 6.77 %
BAM.PR.R FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.05 %
BAM.PR.T FixedReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 5.18 %
SLF.PR.J FloatingReset 2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.05
Bid-YTW : 10.50 %
FTS.PR.I FloatingReset 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 4.28 %
TRP.PR.I FloatingReset 7.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.O Deemed-Retractible 115,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-06-18
Maturity Price : 25.25
Evaluated at bid price : 25.43
Bid-YTW : 0.37 %
BAM.PF.G FixedReset 49,242 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.82 %
MFC.PR.M FixedReset 45,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 7.03 %
PWF.PR.H Perpetual-Premium 35,243 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-06-18
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 1.11 %
TD.PF.B FixedReset 34,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.32 %
RY.PR.H FixedReset 30,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.32 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.P FixedReset Quote: 23.85 – 24.49
Spot Rate : 0.6400
Average : 0.3617

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 3.89 %

VNR.PR.A FixedReset Quote: 18.00 – 18.49
Spot Rate : 0.4900
Average : 0.3211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.02 %

PWF.PR.Q FloatingReset Quote: 12.51 – 13.39
Spot Rate : 0.8800
Average : 0.7541

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-19
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 4.27 %

BNS.PR.R FixedReset Quote: 22.76 – 23.35
Spot Rate : 0.5900
Average : 0.4850

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.76
Bid-YTW : 5.04 %

BNS.PR.D FloatingReset Quote: 18.51 – 18.74
Spot Rate : 0.2300
Average : 0.1434

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.18 %

IFC.PR.C FixedReset Quote: 17.58 – 17.89
Spot Rate : 0.3100
Average : 0.2240

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.58
Bid-YTW : 8.36 %

May 18, 2016

May 18th, 2016

PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.00%, so the pre-tax interest-equivalent spread is now about 325bp, a slight (and perhaps spurious) narrowing from the 330bp reported May 11.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 4.67 % 5.68 % 11,772 17.05 1 0.1384 % 1,690.2
FixedFloater 6.62 % 5.74 % 18,540 16.79 1 0.0000 % 3,052.8
Floater 4.54 % 4.75 % 44,961 15.89 4 -0.7395 % 1,709.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2191 % 2,826.1
SplitShare 4.95 % 5.05 % 82,785 2.49 7 0.2191 % 3,307.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2191 % 2,580.3
Perpetual-Premium 5.76 % -9.37 % 74,272 0.09 6 0.0000 % 2,598.0
Perpetual-Discount 5.48 % 5.59 % 103,383 14.50 33 -0.2022 % 2,675.4
FixedReset 5.21 % 4.69 % 166,294 13.81 88 -0.1286 % 1,961.6
Deemed-Retractible 5.15 % 5.56 % 131,545 6.76 33 -0.0773 % 2,665.9
FloatingReset 3.16 % 5.00 % 26,458 5.28 17 -0.2111 % 2,080.6
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 4.88 %
TD.PF.E FixedReset -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 4.48 %
PWF.PR.A Floater -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 4.13 %
FTS.PR.I FloatingReset -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 11.22
Evaluated at bid price : 11.22
Bid-YTW : 4.39 %
FTS.PR.J Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 22.09
Evaluated at bid price : 22.36
Bid-YTW : 5.32 %
TRP.PR.G FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 4.86 %
MFC.PR.F FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.56
Bid-YTW : 10.15 %
FTS.PR.F Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 5.32 %
TRP.PR.E FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.60 %
CU.PR.G Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.44 %
CM.PR.P FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.31 %
NA.PR.W FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.43 %
CU.PR.I FixedReset 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.80 %
FTS.PR.H FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 4.31 %
MFC.PR.J FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 6.62 %
SLF.PR.G FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 9.27 %
BIP.PR.A FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.72 %
PWF.PR.Q FloatingReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 4.15 %
FTS.PR.M FixedReset 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.60 %
SLF.PR.H FixedReset 1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.57
Bid-YTW : 8.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.O Deemed-Retractible 30,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-06-17
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : 1.63 %
RY.PR.R FixedReset 24,063 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.64 %
BAM.PF.D Perpetual-Discount 22,186 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.93 %
BAM.PF.C Perpetual-Discount 18,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 5.91 %
EML.PR.A FixedReset 17,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.15 %
TD.PF.G FixedReset 15,297 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 4.56 %
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: 11.22 – 11.85
Spot Rate : 0.6300
Average : 0.4375

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 11.22
Evaluated at bid price : 11.22
Bid-YTW : 4.39 %

SLF.PR.J FloatingReset Quote: 12.77 – 13.25
Spot Rate : 0.4800
Average : 0.3117

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.77
Bid-YTW : 10.80 %

EML.PR.A FixedReset Quote: 25.80 – 26.25
Spot Rate : 0.4500
Average : 0.2942

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.15 %

TRP.PR.A FixedReset Quote: 14.27 – 14.82
Spot Rate : 0.5500
Average : 0.4110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 4.88 %

BAM.PF.B FixedReset Quote: 17.30 – 17.77
Spot Rate : 0.4700
Average : 0.3421

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.08 %

NA.PR.W FixedReset Quote: 17.75 – 18.09
Spot Rate : 0.3400
Average : 0.2418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-18
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.43 %

MFC.PR.F To Be Extended

May 18th, 2016

Manulife Financial Corporation has announced:

that it does not intend to exercise its right to redeem all or any of its currently outstanding 8,000,000 Non-cumulative Rate Reset Class 1 Shares Series 3 (the “Series 3 Preferred Shares”) (TSX: MFC.PR.F) on June 19, 2016. As a result, subject to certain conditions described in the prospectus supplement dated March 7, 2011 relating to the issuance of the Series 3 Preferred Shares (the “Prospectus”), the holders of the Series 3 Preferred Shares have the right, at their option, to convert all or part of their Series 3 Preferred Shares on a one-for-one basis into Non-cumulative Floating Rate Class 1 Shares Series 4 of Manulife (the “Series 4 Preferred Shares”) on June 20, 2016. This date is the first business day following the conversion date of June 19, 2016, identified in the Prospectus, which falls on a Sunday. A formal notice of the right to convert Series 3 Preferred Shares into Series 4 Preferred Shares will be sent to the registered holders of the Series 3 Preferred Shares in accordance with the share conditions of the Series 3 Preferred Shares. Holders of Series 3 Preferred Shares are not required to elect to convert all or any part of their Series 3 Preferred Shares into Series 4 Preferred Shares. Holders who do not exercise their right to convert their Series 3 Preferred Shares into Series 4 Preferred Shares on such date will retain their Series 3 Preferred Shares, unless automatically converted in accordance with the conditions below.

The foregoing conversion right is subject to the conditions that: (i) if, after June 6, 2016, Manulife determines that there would be less than 1,000,000 Series 3 Preferred Shares outstanding on June 20, 2016, then all remaining Series 3 Preferred Shares will automatically be converted into an equal number of Series 4 Preferred Shares on June 20, 2016, and (ii) alternatively, if, after June 6, 2016, Manulife determines that there would be less than 1,000,000 Series 4 Preferred Shares outstanding on June 20, 2016, then no Series 3 Preferred Shares will be converted into Series 4 Preferred Shares. In either case, Manulife will give written notice to that effect to any registered holders of Series 3 Preferred Shares affected by the preceding minimums on or before June 13, 2016.

The dividend rate applicable to the Series 3 Preferred Shares for the 5-year period commencing on June 20, 2016, and ending on June 19, 2021, and the dividend rate applicable to the Series 4 Preferred Shares for the 3-month period commencing on June 20, 2016, and ending on September 19, 2016, will be determined and announced by way of a news release on May 24, 2016. Manulife will also give written notice of these dividend rates to the registered holders of Series 3 Preferred Shares.

Beneficial owners of Series 3 Preferred Shares who 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 June 6, 2016. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, CST Trust Company, at 1-800-387-0825.

Subject to certain conditions described in the Prospectus, Manulife may redeem the Series 3 Preferred Shares, in whole or in part, on June 19, 2021 and on June 19 every five years thereafter and may redeem the Series 4 Preferred Shares, in whole or in part, after June 20, 2016.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 4 Preferred Shares effective upon conversion. Listing of the Series 4 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 4 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.P”.

This is not a surprise given the low Issue Reset Spread of 141bp. I will report the reset rate when this is announced May 24.

May 17, 2016

May 18th, 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 4.68 % 5.68 % 11,857 17.05 1 -0.2761 % 1,687.8
FixedFloater 6.62 % 5.74 % 18,761 16.79 1 0.0000 % 3,052.8
Floater 4.51 % 4.73 % 44,248 15.94 4 0.3111 % 1,722.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0173 % 2,819.9
SplitShare 4.93 % 5.24 % 81,579 2.46 7 0.0173 % 3,299.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0173 % 2,574.7
Perpetual-Premium 5.76 % -10.92 % 75,343 0.08 6 0.0788 % 2,598.0
Perpetual-Discount 5.47 % 5.57 % 103,302 14.48 33 0.1130 % 2,680.8
FixedReset 5.21 % 4.65 % 166,708 7.48 88 -0.0473 % 1,964.1
Deemed-Retractible 5.15 % 5.58 % 130,646 6.76 33 0.1549 % 2,667.9
FloatingReset 3.16 % 4.91 % 27,100 5.29 17 0.0916 % 2,085.0
Performance Highlights
Issue Index Change Notes
FTS.PR.G FixedReset -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 16.14
Evaluated at bid price : 16.14
Bid-YTW : 4.58 %
BAM.PR.X FixedReset -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 4.96 %
FTS.PR.I FloatingReset -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 4.30 %
FTS.PR.M FixedReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.67 %
FTS.PR.H FixedReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 4.36 %
GWO.PR.N FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.65
Bid-YTW : 10.16 %
RY.PR.J FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 4.52 %
SLF.PR.J FloatingReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.86
Bid-YTW : 10.69 %
FTS.PR.K FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 4.43 %
BAM.PR.Z FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.13 %
NA.PR.Q FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 4.62 %
TD.PR.T FloatingReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 4.91 %
HSE.PR.G FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.70 %
TRP.PR.E FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.53 %
HSE.PR.E FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.64 %
CM.PR.Q FixedReset 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 41,513 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.80 %
MFC.PR.O FixedReset 37,692 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 4.50 %
RY.PR.R FixedReset 30,738 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.60 %
BIP.PR.B FixedReset 27,942 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 23.20
Evaluated at bid price : 25.02
Bid-YTW : 5.48 %
RY.PR.Z FixedReset 25,505 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.19 %
PVS.PR.E SplitShare 19,025 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.47
Bid-YTW : 6.15 %
There were 14 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: 12.66 – 13.48
Spot Rate : 0.8200
Average : 0.6006

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 4.22 %

HSE.PR.G FixedReset Quote: 19.20 – 19.60
Spot Rate : 0.4000
Average : 0.2847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.70 %

HSE.PR.C FixedReset Quote: 17.31 – 17.59
Spot Rate : 0.2800
Average : 0.1929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 5.83 %

BAM.PR.R FixedReset Quote: 14.85 – 15.08
Spot Rate : 0.2300
Average : 0.1479

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.11 %

BAM.PR.X FixedReset Quote: 13.43 – 13.75
Spot Rate : 0.3200
Average : 0.2400

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 4.96 %

BAM.PF.E FixedReset Quote: 17.90 – 18.10
Spot Rate : 0.2000
Average : 0.1470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-17
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.95 %

New Issue: BEP FixedReset, 5.75%+501M575

May 16th, 2016

Brookfield Renewable Partners L.P. has announced:

that it has agreed to issue 6,000,000 Cumulative Minimum Rate Reset Class A Preferred Limited Partnership Units, Series 9 (the “Series 9 Preferred Units”) on a bought deal basis to a syndicate of underwriters led by CIBC Capital Markets, RBC Capital Markets, Scotiabank and TD Securities Inc. for distribution to the public. The Series 9 Preferred Units will be issued at a price of $25.00 per unit, for gross proceeds of $150,000,000.

Holders of the Series 9 Preferred Units will be entitled to receive a cumulative quarterly fixed distribution yielding 5.75% annually for the initial period ending July 31, 2021. Thereafter, the distribution rate will be reset every five years at a rate equal to the greater of (i) the 5-year Government of Canada bond yield plus 5.01%, and (ii) 5.75%. The Series 9 Preferred Units are redeemable on July 31, 2021 and on each Series 9 Reclassification Date (as defined below) thereafter.

Holders of the Series 9 Preferred Units will have the right, at their option, to reclassify their Series 9 Preferred Units into Cumulative Floating Rate Reset Class A Preferred Limited Partnership Units, Series 10 (the “Series 10 Preferred Units”), subject to certain conditions, on July 31, 2021 and on July 31 every 5 years thereafter (each a “Series 9 Reclassification Date”). Holders of Series 10 Preferred Units will be entitled to receive a cumulative quarterly floating distribution at a rate equal to the 90-day Canadian Treasury Bill yield plus 5.01%.

Brookfield Renewable has granted the underwriters an option, exercisable until 48 hours prior to closing, to purchase up to an additional 2,000,000 Series 9 Preferred Units which, if exercised, would increase the gross offering size to $200,000,000.

The Series 9 Preferred Units will be offered in all provinces and territories of Canada by way of a supplement to Brookfield Renewable’s existing Canadian short form base shelf prospectus. The Series 9 Preferred Units may not be offered or sold in the United States or to U.S. persons absent registration or an applicable exemption from the registration requirements under the U.S. Securities Act.

Brookfield Renewable intends to use the net proceeds of the issue of Series 9 Preferred Units to repay indebtedness. The offering of Series 9 Preferred Units is expected to close on or about May 25, 2016.

It is my understanding that distributions on the units will be characterized in the same manner as, for instance, the related issue BEP.PR.G:

According to the prospectus:
Management anticipates the 5 year average per unit Canadian dividend, ordinary income and return of capital will be 50%, 25%, and 25%, respectively, for the period between 2015 and 2020; however, no assurance can be provided this will occur.

… but the prospectus supplement is not yet available for this particular new issue. It’s a pity they didn’t include this rather vital information in the press release.

May 16, 2016

May 16th, 2016

The BoC has released the Bank of Canada Review – Spring 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 4.66 % 5.67 % 12,333 17.07 1 0.6250 % 1,692.5
FixedFloater 6.62 % 5.74 % 18,307 16.79 1 0.0000 % 3,052.8
Floater 4.52 % 4.75 % 43,664 15.90 4 -0.1911 % 1,716.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1906 % 2,819.5
SplitShare 4.93 % 5.47 % 82,625 2.46 7 0.1906 % 3,299.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1906 % 2,574.2
Perpetual-Premium 5.77 % -10.51 % 78,439 0.08 6 0.0394 % 2,596.0
Perpetual-Discount 5.48 % 5.59 % 102,937 14.49 33 0.2506 % 2,677.8
FixedReset 5.21 % 4.74 % 168,276 7.48 88 -0.1845 % 1,965.0
Deemed-Retractible 5.16 % 5.67 % 131,472 6.77 33 0.1590 % 2,663.8
FloatingReset 3.16 % 5.15 % 25,182 5.29 17 0.1732 % 2,083.1
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 4.67 %
BIP.PR.A FixedReset -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.80 %
IFC.PR.C FixedReset -2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 8.10 %
BMO.PR.Y FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.43 %
CU.PR.C FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.36 %
TD.PF.E FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.38 %
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 : 15.31
Bid-YTW : 9.60 %
NA.PR.S FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.42 %
CIU.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.43 %
FTS.PR.I FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.21 %
SLF.PR.J FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.00
Bid-YTW : 10.54 %
HSE.PR.B FloatingReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 5.51 %
FTS.PR.G FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 4.45 %
GWO.PR.N FixedReset 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 9.95 %
GWO.PR.O FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.00
Bid-YTW : 10.37 %
HSE.PR.A FixedReset 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 5.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.K Floater 69,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.75 %
BAM.PF.H FixedReset 49,818 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 4.19 %
NA.PR.X FixedReset 49,091 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.54 %
MFC.PR.O FixedReset 44,088 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.63 %
BAM.PR.R FixedReset 39,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.08 %
BAM.PF.B FixedReset 32,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.01 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Quote: 18.93 – 19.50
Spot Rate : 0.5700
Average : 0.3855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 4.67 %

ALB.PR.C SplitShare Quote: 26.05 – 26.88
Spot Rate : 0.8300
Average : 0.6523

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 26.05
Bid-YTW : 2.58 %

CU.PR.C FixedReset Quote: 18.00 – 18.43
Spot Rate : 0.4300
Average : 0.2878

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.36 %

CU.PR.I FixedReset Quote: 25.45 – 25.93
Spot Rate : 0.4800
Average : 0.3824

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.04 %

SLF.PR.H FixedReset Quote: 16.12 – 16.69
Spot Rate : 0.5700
Average : 0.4754

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.12
Bid-YTW : 8.96 %

TRP.PR.I FloatingReset Quote: 10.75 – 12.28
Spot Rate : 1.5300
Average : 1.4562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-16
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.83 %