April 20, 2016

April 20th, 2016

Some politicians don’t like living under their own rules:

George Osborne has agreed to make MPs exempt from anti-money laundering checks under pressure from moaning Tory backbenchers.

Tory MP Charles Walker claimed MPs and their families were being treated like “African despots”.

MPs appear on automatic watch lists of “Politically Exposed Persons” (PEP), used by banks to prevent money being funnelled into criminal gangs or hidden in offshore tax havens.

It means MPs and their families could be subject to extra checks on their bank accounts.

But the Chancellor said banks could go too far and become “disproportionate.”

The effects of being covered by such rules in Canada were discussed on October 19, 2015.

Parakeet Poloz says the economy might not recover until after his new bosses are re-elected:

“We estimate that it’s a sort of a three-year period while the negatives are still ongoing in the background and the positives are emerging in the foreground,” Poloz told the Senate’s banking, trade and commerce committee.

He added: “It could be longer than three years before we’re settled at that new place where the energy sector will have shrunk relatively to the whole economy and the rest of the economy will have grown to fill that space.”

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 % 10,071 17.06 1 0.0000 % 1,687.1
FixedFloater 6.55 % 5.67 % 20,203 16.95 1 0.0000 % 3,084.7
Floater 4.54 % 4.66 % 54,409 16.12 4 -0.5022 % 1,704.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1081 % 2,807.7
SplitShare 4.72 % 5.04 % 86,041 2.54 6 0.1081 % 3,285.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1081 % 2,563.5
Perpetual-Premium 5.78 % -10.42 % 84,162 0.09 6 0.0724 % 2,592.1
Perpetual-Discount 5.56 % 5.58 % 96,524 14.47 33 -0.0360 % 2,624.8
FixedReset 5.13 % 4.65 % 181,238 14.07 88 0.7736 % 1,989.1
Deemed-Retractible 5.17 % 5.68 % 129,638 6.84 34 0.1924 % 2,637.6
FloatingReset 3.15 % 4.92 % 30,270 5.35 17 0.1027 % 2,069.5
Performance Highlights
Issue Index Change Notes
HSE.PR.B FloatingReset -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 9.78
Evaluated at bid price : 9.78
Bid-YTW : 5.76 %
SLF.PR.J FloatingReset -2.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.40
Bid-YTW : 11.06 %
PWF.PR.A Floater -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 11.28
Evaluated at bid price : 11.28
Bid-YTW : 4.24 %
TD.PR.T FloatingReset -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.49
Bid-YTW : 4.92 %
TD.PR.Z FloatingReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 5.09 %
BAM.PR.T FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 5.09 %
ELF.PR.H Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 23.07
Evaluated at bid price : 23.50
Bid-YTW : 5.87 %
HSE.PR.G FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.69 %
CCS.PR.C Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.21
Bid-YTW : 6.79 %
BAM.PF.H FixedReset 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 4.30 %
RY.PR.H FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.23 %
PWF.PR.S Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 21.69
Evaluated at bid price : 22.00
Bid-YTW : 5.46 %
CIU.PR.C FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.54 %
HSE.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 10.88
Evaluated at bid price : 10.88
Bid-YTW : 5.74 %
RY.PR.Z FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.18 %
BMO.PR.W FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.28 %
BMO.PR.S FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.27 %
TD.PF.B FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 4.18 %
BAM.PF.G FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 4.72 %
HSE.PR.E FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.73 %
NA.PR.S FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.36 %
CM.PR.P FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.18 %
MFC.PR.F FixedReset 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.90
Bid-YTW : 9.96 %
MFC.PR.J FixedReset 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.98
Bid-YTW : 6.67 %
MFC.PR.G FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 7.03 %
MFC.PR.H FixedReset 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.63
Bid-YTW : 6.06 %
BAM.PF.A FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.92 %
TRP.PR.D FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.90 %
BAM.PF.E FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 4.73 %
TRP.PR.H FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 9.75
Evaluated at bid price : 9.75
Bid-YTW : 4.60 %
HSE.PR.C FixedReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.83 %
PWF.PR.Q FloatingReset 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 12.08
Evaluated at bid price : 12.08
Bid-YTW : 4.35 %
CM.PR.Q FixedReset 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.46 %
TRP.PR.G FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.05 %
TRP.PR.F FloatingReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 4.82 %
TD.PF.A FixedReset 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.15 %
TRP.PR.A FixedReset 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 4.83 %
MFC.PR.M FixedReset 2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.44
Bid-YTW : 6.30 %
TD.PF.C FixedReset 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 4.16 %
PWF.PR.T FixedReset 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.92 %
TRP.PR.B FixedReset 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 4.61 %
BMO.PR.T FixedReset 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.25 %
IFC.PR.A FixedReset 2.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 10.17 %
BNS.PR.F FloatingReset 2.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.02
Bid-YTW : 6.94 %
IAG.PR.G FixedReset 2.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.46
Bid-YTW : 6.53 %
CM.PR.O FixedReset 3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.19 %
TRP.PR.C FixedReset 5.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 4.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 1,623,504 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.94 %
RY.PR.Q FixedReset 139,612 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 4.59 %
TD.PF.C FixedReset 73,383 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 4.16 %
BNS.PR.E FixedReset 49,745 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.72 %
RY.PR.Z FixedReset 48,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.18 %
IFC.PR.C FixedReset 46,009 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.80
Bid-YTW : 8.19 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Quote: 20.01 – 20.75
Spot Rate : 0.7400
Average : 0.4981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.48 %

TRP.PR.D FixedReset Quote: 16.85 – 17.50
Spot Rate : 0.6500
Average : 0.4346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.90 %

HSE.PR.B FloatingReset Quote: 9.78 – 10.49
Spot Rate : 0.7100
Average : 0.5102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 9.78
Evaluated at bid price : 9.78
Bid-YTW : 5.76 %

CU.PR.G Perpetual-Discount Quote: 20.50 – 20.95
Spot Rate : 0.4500
Average : 0.2782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.58 %

BNS.PR.F FloatingReset Quote: 19.02 – 19.90
Spot Rate : 0.8800
Average : 0.7149

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.02
Bid-YTW : 6.94 %

IFC.PR.C FixedReset Quote: 17.80 – 18.28
Spot Rate : 0.4800
Average : 0.3194

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.80
Bid-YTW : 8.19 %

TRP.PR.J Strong On Excellent Volume

April 20th, 2016

TransCanada Corporation has announced:

that it has completed its public offering of cumulative redeemable minimum rate reset first preferred shares, series 13 (the “Series 13 Preferred Shares”). TransCanada issued 20 million Series 13 Preferred Shares for aggregate gross proceeds of $500 million through a syndicate of underwriters co-led by TD Securities Inc., BMO Capital Markets and Scotiabank.

The net proceeds of the offering will be used for general corporate purposes and to reduce short-term indebtedness of TransCanada and its affiliates, which short-term indebtedness was used to fund TransCanada’s capital program and for general corporate purposes.

The Series 13 Preferred Shares will begin trading today on the TSX under the symbol TRP.PR.J.

TRP.PR.J is a FixedReset, 5.50%+469M550, announced April 13.

The issue traded 1,623,504 shares today (consolidated exchanges) in a range of 25.50-72 before closing at 25.66-68, 5×5. Given that the TXPL Total Return index is basically flat since announcement date, this is very good performance. Vital statistics are:

TRP.PR.J FixedReset YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.94 %

Implied Volatility shows some change since announcement day:

impVol_TRP_160420
Click for Big

Since announcement day, implied volatility appears to have declined, but this may be simply an artefact of the data: the high-spread TRP.PR.J has an enormous influence on the calculation and since it has increased in price, reducing the Expected Future Current Yield, this results in a reduction of the slope between the many lower-spread and the single higher-spread issue, leading to reduced implied volatility. We need more data!

April 19, 2016

April 19th, 2016

You know what makes me laugh? Idiotic PMs getting burned by reality makes me laugh:

Great West on April 15 opted not to exercise an option to payback one of its U.S. dollar bonds early. That means the money Great West borrowed in 2006 doesn’t have to be paid back until 2046, and — because the interest goes from fixed- to floating-rate — lenders face coupon payments being cut by more than half if market rates stay where they are.

Now investors are wondering if C$45 billion ($35 billion) more lent to the country’s financial sector could share the same fate.

Investors say the move by Great West is a rare example of a Canadian financial institution opting not to exercise an early-call option on that kind of fixed-to-floating rate note. It has them wondering if the C$45 billion Canadians lent in their own country under similar terms might also lock buyers in much longer than they bargained for if the floating rate starts to look like a better deal than what a company could get if it borrowed fresh today.

Investors’ fears are manifesting themselves in the market where bonds, originally priced assuming they’d be called, are adjusting to the possibility of the longer term. Great West’s U.S. dollar note saw the yield investors demand to hold it to the call date almost triple after the insurer opted not to call, according to data compiled by Bloomberg.

Another Great West note, this one denominated in Canadian dollars with a year to go before its call date, saw its yield to the call date go from 2.4 percent to 7.1 percent as investors increased the odds it could be extended as well. If it isn’t called, those C$1 billion in notes don’t have to be paid back until 2067.

“Canadian investors never believed a Canadian bank or issuer would do that kind of thing in Canada,” Marc Goldfried, who manages C$3.5 billion as chief investment officer at Canoe Financial LP in Toronto.

The bond in question is described as Great-West Life & Annuity Insurance Capital LP II, subordinated debentures due May 16, 2046, bearing an interest rate of 7.153% until May 16, 2016 and thereafter a rate of 2.538% plus the three month LIBOR rate, unsecured.

The bond that has everybody worried – dropping a bit more than 4.5% on the day according to the story – is Great-West Lifeco Finance (Delaware) LP, Subordinated Debentures due June 21, 2067, bearing an interest rate of 5.691% until June 21, 2017 and, thereafter, at a rate equal to the Canadian 90-day Bankers’ Acceptance Rate plus 1.49%, unsecured.

What’s that I hear? Some Assiduous But Not Assiduous Enough Reader at the back of the room snickering that he doesn’t have to worry about this because he’s got all his money invested in short term ETFs? Let’s have a look at the holdings of ZCS – BMO Short Corporate Bond Index ETF:

Weight (%) Name ISIN Base Market Value
0.64% Gr-W Fx/Fl 5.691 21Jun67 CA391382AA68 5,922,666

That’s right, it’s held in the very first short-term corporate bond ETF I looked at. I warned about this insanity in my article Bond ETFs demystified; holdings of sub-debt in short-term index funds is quite common. I have also warned against OSFI’s desire to get CoCos included in the bond indices. But nobody ever listens to me. This problem, by the way, will become even more severe once ‘Bail-in’ bonds start coming out in quantity; I have every confidence that the unparalleled genius of Canadian regulators, index compositors, ETF merchandizers and salesmen will be thrilled to hold that stuff in short-term bond indices.

Anyway, today’s bare-bones preferred share market report is:

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 % 9,931 17.06 1 4.3165 % 1,687.1
FixedFloater 6.55 % 5.66 % 20,056 16.95 1 0.6944 % 3,084.7
Floater 4.52 % 4.68 % 55,150 16.08 4 1.2101 % 1,712.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0531 % 2,804.6
SplitShare 4.72 % 5.05 % 88,658 2.54 6 -0.0531 % 3,281.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0531 % 2,560.7
Perpetual-Premium 5.78 % -10.60 % 89,678 0.08 6 0.0593 % 2,590.2
Perpetual-Discount 5.56 % 5.60 % 92,972 14.48 33 -0.0586 % 2,625.7
FixedReset 5.16 % 4.67 % 178,608 14.14 87 -0.0976 % 1,973.8
Deemed-Retractible 5.18 % 5.58 % 126,863 5.07 34 0.0124 % 2,632.6
FloatingReset 3.15 % 4.82 % 34,449 5.36 17 -0.2474 % 2,067.3
Performance Highlights
Issue Index Change Notes
BNS.PR.F FloatingReset -3.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.45 %
TRP.PR.A FixedReset -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.94 %
BAM.PR.Z FixedReset -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.13 %
TRP.PR.C FixedReset -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 5.08 %
CM.PR.O FixedReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 4.36 %
BAM.PR.T FixedReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 5.02 %
HSE.PR.G FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.75 %
VNR.PR.A FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.08 %
BAM.PR.X FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 4.67 %
BAM.PF.F FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.85 %
BAM.PF.G FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.78 %
TD.PF.B FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.23 %
TRP.PR.B FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 4.73 %
TRP.PR.H FloatingReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 9.59
Evaluated at bid price : 9.59
Bid-YTW : 4.68 %
BAM.PR.C Floater 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.74 %
PWF.PR.A Floater 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.16 %
TRP.PR.G FixedReset 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.14 %
PWF.PR.Q FloatingReset 4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 11.87
Evaluated at bid price : 11.87
Bid-YTW : 4.42 %
BAM.PR.E Ratchet 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 5.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset 186,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.59 %
BNS.PR.Z FixedReset 126,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 5.77 %
RY.PR.Q FixedReset 112,744 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.49
Bid-YTW : 4.62 %
FTS.PR.M FixedReset 82,352 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.56 %
CU.PR.F Perpetual-Discount 55,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 5.58 %
RY.PR.J FixedReset 46,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 4.44 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.O FixedReset Quote: 18.66 – 19.80
Spot Rate : 1.1400
Average : 0.6873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 4.36 %

GWO.PR.N FixedReset Quote: 13.30 – 14.15
Spot Rate : 0.8500
Average : 0.6060

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.30
Bid-YTW : 10.45 %

TRP.PR.E FixedReset Quote: 17.50 – 18.13
Spot Rate : 0.6300
Average : 0.4060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.79 %

BAM.PF.F FixedReset Quote: 19.75 – 20.25
Spot Rate : 0.5000
Average : 0.3453

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.85 %

ALB.PR.C SplitShare Quote: 26.00 – 26.90
Spot Rate : 0.9000
Average : 0.7492

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 26.00
Bid-YTW : 3.98 %

PWF.PR.T FixedReset Quote: 20.60 – 21.24
Spot Rate : 0.6400
Average : 0.5036

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-19
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.02 %

April 18, 2016

April 19th, 2016

Bare bones!

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 4.86 % 5.92 % 9,976 16.75 1 -2.4561 % 1,617.3
FixedFloater 6.60 % 5.71 % 19,557 16.90 1 0.2786 % 3,063.4
Floater 4.57 % 4.72 % 55,521 16.02 4 -0.0726 % 1,692.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1144 % 2,806.1
SplitShare 4.72 % 4.97 % 85,175 2.54 6 -0.1144 % 3,283.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1144 % 2,562.1
Perpetual-Premium 5.79 % -10.78 % 89,859 0.08 6 0.0066 % 2,588.6
Perpetual-Discount 5.55 % 5.59 % 93,798 14.48 33 -0.4999 % 2,627.2
FixedReset 5.15 % 4.66 % 176,560 14.12 87 -0.6557 % 1,975.7
Deemed-Retractible 5.18 % 5.41 % 127,494 5.04 34 -0.0037 % 2,632.2
FloatingReset 3.14 % 4.78 % 34,732 5.37 17 -0.2714 % 2,072.5
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 9.47
Evaluated at bid price : 9.47
Bid-YTW : 4.74 %
TRP.PR.G FixedReset -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 5.28 %
TRP.PR.B FixedReset -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 10.92
Evaluated at bid price : 10.92
Bid-YTW : 4.79 %
TRP.PR.E FixedReset -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.81 %
TRP.PR.C FixedReset -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 4.97 %
PWF.PR.Q FloatingReset -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 4.61 %
TRP.PR.D FixedReset -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 4.95 %
FTS.PR.K FixedReset -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 4.46 %
BAM.PR.E Ratchet -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 25.00
Evaluated at bid price : 13.90
Bid-YTW : 5.92 %
IFC.PR.C FixedReset -2.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.27 %
PWF.PR.T FixedReset -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.00 %
HSE.PR.A FixedReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 5.84 %
IFC.PR.A 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 : 10.51 %
TRP.PR.F FloatingReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 4.95 %
CM.PR.O FixedReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.27 %
TD.PF.E FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.44 %
FTS.PR.F Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 22.39
Evaluated at bid price : 22.65
Bid-YTW : 5.48 %
SLF.PR.H FixedReset -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.20
Bid-YTW : 8.90 %
BAM.PF.E FixedReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 4.76 %
HSE.PR.E FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.82 %
BAM.PR.Z FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 5.00 %
FTS.PR.J Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 21.45
Evaluated at bid price : 21.77
Bid-YTW : 5.52 %
BMO.PR.W FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 4.36 %
CU.PR.G Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.57 %
BMO.PR.T FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.38 %
TD.PF.D FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.44 %
GWO.PR.N FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.25
Bid-YTW : 10.50 %
MFC.PR.G FixedReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 7.19 %
SLF.PR.D Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 7.13 %
FTS.PR.G FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 4.51 %
FTS.PR.M FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.58 %
CU.PR.D Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 21.90
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
MFC.PR.J FixedReset -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 6.94 %
SLF.PR.C Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.87
Bid-YTW : 7.08 %
BAM.PF.B FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 5.00 %
ELF.PR.H Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 23.20
Evaluated at bid price : 23.65
Bid-YTW : 5.83 %
FTS.PR.H FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 13.27
Evaluated at bid price : 13.27
Bid-YTW : 4.36 %
BIP.PR.A FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.75 %
BAM.PF.A FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.97 %
CU.PR.E Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 21.87
Evaluated at bid price : 22.20
Bid-YTW : 5.59 %
RY.PR.F Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.69 %
BNS.PR.D FloatingReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.21
Bid-YTW : 6.34 %
GWO.PR.M Deemed-Retractible 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-31
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 5.38 %
SLF.PR.G FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 9.89 %
BAM.PR.T FixedReset 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.93 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 55,083 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 4.66 %
BAM.PR.R FixedReset 53,976 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 4.95 %
PWF.PR.P FixedReset 46,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.54 %
TD.PF.C FixedReset 36,920 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.24 %
RY.PR.Q FixedReset 32,315 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 4.71 %
RY.PR.F Deemed-Retractible 31,858 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.69 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 18.82 – 19.63
Spot Rate : 0.8100
Average : 0.5039

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 4.76 %

IFC.PR.A FixedReset Quote: 14.36 – 15.00
Spot Rate : 0.6400
Average : 0.4307

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 10.51 %

PWF.PR.Q FloatingReset Quote: 11.40 – 12.40
Spot Rate : 1.0000
Average : 0.7932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 4.61 %

HSE.PR.E FixedReset Quote: 19.00 – 19.50
Spot Rate : 0.5000
Average : 0.3054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.82 %

TRP.PR.I FloatingReset Quote: 10.60 – 11.75
Spot Rate : 1.1500
Average : 0.9615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 4.81 %

PWF.PR.T FixedReset Quote: 20.70 – 21.24
Spot Rate : 0.5400
Average : 0.3541

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-18
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.00 %

New Issue: PPL FixedReset, 5.75%+496M575

April 19th, 2016

Pembina Pipeline Corporation has announced:

that it has entered into an agreement with a syndicate of underwriters co-led by RBC Capital Markets and Scotiabank (together, the “Underwriters”) pursuant to which the Underwriters have agreed to purchase from Pembina 6,000,000 cumulative redeemable minimum rate reset class A preferred shares, Series 13 (the “Series 13 Preferred Shares”) at a price of $25.00 per share for distribution to the public.

The holders of Series 13 Preferred Shares will be entitled to receive fixed cumulative dividends at an annual rate of $1.4375 per share, payable quarterly on the 1st day of March, June, September and December, as and when declared by the Board of Directors of Pembina, yielding 5.75 percent per annum, for the initial fixed rate period to but excluding June 1, 2021. The first quarterly dividend payment date is scheduled for September 1, 2016. The dividend rate will reset on June 1, 2021 and every five years thereafter at a rate equal to the sum of the then five-year Government of Canada bond yield plus 4.96 percent, provided that, in any event, such rate shall not be less than 5.75 percent per annum. The Series 13 Preferred Shares are redeemable by Pembina, at its option, on June 1, 2021 and on June 1 of every fifth year thereafter at a price of $25.00 per share plus accrued and unpaid dividends.

The holders of Series 13 Preferred Shares will have the right to convert their shares into cumulative redeemable floating rate class A preferred shares, Series 14 (the “Series 14 Preferred Shares”), subject to certain conditions, on June 1, 2021 and on June 1 of every fifth year thereafter. The holders of Series 14 Preferred Shares will be entitled to receive quarterly floating rate cumulative dividends, as and when declared by the Board of Directors of Pembina, at a rate equal to the sum of the then 90-day Government of Canada treasury bill rate plus 4.96 percent.

Pembina has granted to the Underwriters an option, exercisable at any time up to 48 hours prior to the closing of the offering, to purchase up to an additional 2,000,000 Series 13 Preferred Shares at a price of $25.00 per share.

Closing of the offering is expected on April 27, 2016, subject to customary closing conditions.

The Company intends to use the net proceeds from the offering of Series 13 Preferred Shares for capital expenditures and working capital requirements in connection with the Company’s 2016 capital program and to reduce indebtedness under the Company’s credit facilities.

The offering is being made by means of a prospectus supplement under the short form base shelf prospectus filed by the Company on March 18, 2015 in each of the provinces of Canada.

They later announced:

that as a result of strong investor demand for its previously announced offering of cumulative redeemable minimum rate reset class A preferred shares, Series 13 (the “Series 13 Preferred Shares”), the size of the offering has been increased to 10,000,000 Series 13 Preferred Shares, for aggregate gross proceeds of $250 million. The offering no longer includes the previously granted underwriters’ option. The syndicate of underwriters is being co-led by RBC Capital Markets and Scotiabank.

No prizes will be awarded for noticing that this issue is very similar to PPL.PR.K, a FixedReset, 5.75%+500M575, that commenced trading 2016-1-15 after being announced 2016-1-6. PPL.PR.K closed today at 25.36-65, 12×10, so this new issue looks to have a decent concession in it.

Implied Volatility analysis reveals that the issue is reasonably priced against the curve, but that the curve has a very high implied volatility:

impVol_PPL_160418
Click for Big

Thus, as has often been the case lately – if you believe that the current level of spreads to GOC-5 is unnaturally high and will decline, you’ll buy the lower-spread issues, to capture the capital gain on narrowing. If you believe that current conditions are the new normal, you’ll buy the new issue, to avoid losses when implied volatility declines and the curve flattens.

New Issue: BPO FixedReset, 6.00%+518M600

April 19th, 2016

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

that it has agreed to issue to a syndicate of underwriters led by TD Securities Inc., CIBC Capital Markets, RBC Capital Markets and Scotiabank, for distribution to the public, six million Cumulative Minimum Rate Reset Class AAA Preference Shares, Series CC (the “Preferred Shares, Series CC”). The Preferred Shares, Series CC will be issued at a price of C$25.00 per share, for aggregate proceeds of C$150 million. Holders of the Preferred Shares, Series CC will be entitled to receive a cumulative quarterly fixed dividend yielding 6.00% annually for the initial period ending June 30, 2021. Thereafter, the dividend rate will be reset every five years at a rate equal to the greater of (i) the five-year Government of Canada bond yield plus 5.18% and (ii) 6.00%.

Holders of Preferred Shares, Series CC will have the right, at their option, to convert their shares into Cumulative Floating Rate Class AAA Preference Shares, Series DD (the “Preferred Shares, Series DD”), subject to certain conditions, on June 30, 2021 and on June 30 every five years thereafter. Holders of Preferred Shares, Series DD will be entitled to receive cumulative quarterly floating dividends at a rate equal to the 90-day Government of Canada Treasury Bill yield plus 5.18%.

Brookfield Office Properties has granted the underwriters an option, exercisable in whole or in part anytime up to two business days prior to closing, to purchase an additional 2,000,000 Preferred Shares, Series CC at the same offering price. Should the option be fully exercised, the total gross proceeds of the financing will be C$200 million.

The Preferred Shares, Series CC will be offered in all provinces of Canada by way of a supplement to Brookfield Office Properties’ existing Canadian short form base shelf prospectus dated November 13, 2014.

The net proceeds of the issue will be used for general corporate purposes which may include the redemption of existing preferred shares. The offering is expected to close on or about April 27, 2016.

Implied Volatility analysis tells a rather peculiar tale:

impVol_BPO_160418
Click for Big

The Implied Volatility is extremely low, which is particularly surprising in light of the fact that calculations for most other series result in a value that is extremely high. This suggests that lower-spread issues should be favoured. The very wide range of Expected Future Current Yield is also surprising – BPO.PR.N resets at +307 on 2016-6-30, which implies a dividend rate of 3.84% at the current level of GOC-5, which is an annual rate of $0.96, which, based on its current bid price of $15.00, implies an Expected Future Current Yield of 6.40%, well in excess of the new offering.

April 15, 2016

April 15th, 2016

The University of Calgary School of Public Policy has published a report titled A MAJOR SETBACK FOR RETIREMENT SAVINGS: CHANGING HOW FINANCIAL ADVISERS ARE COMPENSATED COULD HURT LESS-THANWEALTHY INVESTORS MOST:

Nevertheless, one thing arguably more problematic than clients receiving potentially conflicted advice is clients not having access to any advice at all. And based on the experience of other jurisdictions that have ordered fees to be unbundled and instead be structured as upfront fees, that is the result that ends up occurring for investors below a certain income level. In the U.K., after the decision was made to unbundle fees, the number of financial advisers fell from more than 40,000 in 2011 to just over 31,000, and has not recovered. Major banks, meanwhile, cancelled their financial advice services for clients that had only modest assets. The opening of investment accounts worth less than 100,000 pounds fell by half. After Australia required fees to be unbundled, there was a similar effect.

There is little to suggest that Canadians would not be left with the same income-related “advice gap” were regulators to require fees unbundled here. Simply put, many clients are unwilling to pay upfront for unknown results. And any reform that causes investors to separate from their advisers, or to never hire one, would be counterproductive to the public policy goals of helping Canadians better prepare for retirement. If it is adviser conflicts that regulators are worried about, there are better ways to address them — for example, the regulatory regime governing fiduciary duty and the potential to enhance the competencies, proficiency and professionalism of financial advisers — than creating a system that results in fewer people providing financial advice, and fewer people willing to seek it.

One self-styled investor advocate asks ‘Is conflicted advice better than robo advice?’, which I will assert does not just miss the point but shows a fundamental lack of understanding of how the market really works.

The alternative to a relatively high-fee mutual fund account is not a balanced ETF portfolio. The alternative to conflicted advice is not robo-advice. The default investment position of most investors with modest sums to invest – and sometimes not so modest! – is a package of GICs, bought on the advice of that nice young man at the bank who explained about ‘laddering’.

This point is actually confirmed by an opinion piece that seeks to discredit the ‘advice gap’ concept:

Consumer Panel chair Sue Lewis said: “Consumers do not always seek professional advice, even when they could benefit from it: some are not aware of what is available; they do not want to pay for advice because they do not understand the price or value of it; they cannot afford it; or they prefer to take decisions themselves.

“We would emphasise that financial advice is the same as many other professional services. People pay for professional services in other areas, such as for accountancy advice. Some people can afford this, others can’t.

“Services are accessible to those who need them at the market price.” Yet fellow consumer group Which? believes the advice gap is a real issue, given the barrier of the cost of advice.

Figures obtained by Money Marketing show that based on 1,000 UK adults with between £10,000 and £50,000 available to invest, Which? found 58 per cent of those against using an adviser cited advice as being too expensive. One-third said they would not trust an IFA to act in their best interest.

But the Which? data also suggests the demand for advice is not as high as some would believe.

The research found 67 per cent of respondents have never considered using an adviser for advice on a specific investment.

Nobody that I know of is actually arguing that there are people looking for advice who can’t get it; at least not as a significant part of the argument. At the low end, it’s all marketing, it’s all sales, it’s all about convincing somebody that they want something they haven’t really thought about before. Some of these salesmen are nasty predators. Most of them are just guys trying to provide a service and thereby make a living. As investment advisors, they’re not so hot. As conduits to get people into halfway reasonable portfolios that capture some of the equity premium and are a hell of a lot better than a package of GICs … they’re better than any alternative I’ve seen to date.

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 % 9,475 16.95 1 0.0000 % 1,658.0
FixedFloater 6.62 % 5.72 % 20,321 16.89 1 -0.1391 % 3,054.9
Floater 4.57 % 4.71 % 55,733 16.03 4 0.0242 % 1,693.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0608 % 2,809.3
SplitShare 4.72 % 4.95 % 85,828 1.57 6 0.0608 % 3,287.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0608 % 2,565.0
Perpetual-Premium 5.79 % -11.32 % 90,666 0.09 6 -0.1184 % 2,588.5
Perpetual-Discount 5.53 % 5.57 % 92,714 14.55 33 -0.1747 % 2,640.4
FixedReset 5.12 % 4.58 % 178,695 13.98 87 -0.0957 % 1,988.8
Deemed-Retractible 5.18 % 5.72 % 128,677 6.84 34 -0.1463 % 2,632.3
FloatingReset 3.06 % 4.77 % 34,959 5.39 17 0.1341 % 2,078.1
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 4.48 %
TRP.PR.H FloatingReset -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 9.86
Evaluated at bid price : 9.86
Bid-YTW : 4.42 %
TRP.PR.D FixedReset -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.72 %
HSE.PR.E FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.66 %
FTS.PR.J Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 21.76
Evaluated at bid price : 22.07
Bid-YTW : 5.44 %
RY.PR.Z FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.17 %
PWF.PR.S Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 5.53 %
TD.PF.C FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.18 %
RY.PR.H FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 4.21 %
TD.PF.E FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 4.31 %
TRP.PR.E FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.56 %
GWO.PR.M Deemed-Retractible -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 5.78 %
CM.PR.P FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.19 %
TD.PF.A FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.16 %
CM.PR.Q FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 4.44 %
CCS.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 : 22.05
Bid-YTW : 6.88 %
FTS.PR.F Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.39 %
BNS.PR.Z FixedReset -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 5.74 %
HSE.PR.C FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.77 %
RY.PR.L FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.04 %
RY.PR.F Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 4.89 %
FTS.PR.H FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 4.20 %
BAM.PF.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.84 %
SLF.PR.I FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.29 %
BNS.PR.R FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 4.05 %
BNS.PR.Q FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.42
Bid-YTW : 4.14 %
GWO.PR.N FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.42
Bid-YTW : 10.27 %
MFC.PR.G FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.81
Bid-YTW : 6.93 %
SLF.PR.H FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.45
Bid-YTW : 8.58 %
MFC.PR.J FixedReset 1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.82
Bid-YTW : 6.71 %
MFC.PR.K FixedReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.26 %
MFC.PR.L FixedReset 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.06
Bid-YTW : 7.03 %
MFC.PR.M FixedReset 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.15
Bid-YTW : 6.45 %
BNS.PR.F FloatingReset 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.38
Bid-YTW : 6.51 %
MFC.PR.H FixedReset 1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.15 %
MFC.PR.F FixedReset 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.61
Bid-YTW : 10.13 %
VNR.PR.A FixedReset 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.89 %
GWO.PR.O FloatingReset 2.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.60
Bid-YTW : 10.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 433,533 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.59 %
TD.PF.G FixedReset 343,943 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.58 %
BNS.PR.G FixedReset 320,383 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 4.57 %
POW.PR.D Perpetual-Discount 188,073 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 5.60 %
TD.PR.Z FloatingReset 131,917 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.64
Bid-YTW : 4.81 %
SLF.PR.G FixedReset 125,341 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.77
Bid-YTW : 10.06 %
EML.PR.A FixedReset 124,112 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 5.27 %
BMO.PR.W FixedReset 122,078 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 4.22 %
RY.PR.Q FixedReset 114,037 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 4.66 %
NA.PR.X FixedReset 101,090 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 4.48 %
There were 54 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.A FixedReset Quote: 18.85 – 19.45
Spot Rate : 0.6000
Average : 0.3773

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.16 %

GWO.PR.M Deemed-Retractible Quote: 25.16 – 25.80
Spot Rate : 0.6400
Average : 0.4487

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 5.78 %

MFC.PR.H FixedReset Quote: 21.37 – 21.99
Spot Rate : 0.6200
Average : 0.4816

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.15 %

SLF.PR.H FixedReset Quote: 16.45 – 16.95
Spot Rate : 0.5000
Average : 0.3646

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.45
Bid-YTW : 8.58 %

RY.PR.L FixedReset Quote: 24.90 – 25.25
Spot Rate : 0.3500
Average : 0.2249

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.04 %

RY.PR.M FixedReset Quote: 19.70 – 20.21
Spot Rate : 0.5100
Average : 0.3922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-15
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.36 %

CGI.PR.C To Be Redeemed

April 14th, 2016

Canadian General Investments, Limited has announced:

that it has provided notice to holders of its $75,000,000 3.90% Cumulative Redeemable Class A Preference Shares, Series 3 (the “Series 3 Shares”) that in accordance with the terms of the Series 3 Shares it will redeem all of the issued and outstanding Series 3 Shares on June 10, 2016 (the “Redemption Date”), for a price of $25.00 per Series 3 Share plus all accrued and unpaid dividends (from and including the last scheduled dividend payment date, March 15, 2016, to, but excluding, the Redemption Date, and being in the amount of $0.23240 per share).

The issue would have become retractible at 25.00 on June 15, so this is something of a pre-emptive redemption.

April 14, 2016

April 14th, 2016

Dividend Growth Split Corp., proud issuer of DGS.PR.A, has been confirmed at Pfd-3 by DBRS:

As of April 7, 2016, the downside protection available to the Preferred Shares is 36.5%, down from 45.2% in April 9, 2015. The dividend coverage ratio is approximately 0.98 times. The confirmation of the rating of the Preferred Shares at Pfd-3 is based primarily on the current downside protection available and the minimum downside protection provided by an asset coverage test, which does not permit any distributions to holders of the Class A Shares if the NAV of the Company falls below $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 4.74 % 5.77 % 9,795 16.95 1 -2.9952 % 1,658.0
FixedFloater 6.61 % 5.71 % 21,115 16.91 1 0.2091 % 3,059.2
Floater 4.57 % 4.72 % 55,704 16.02 4 -0.3135 % 1,693.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1217 % 2,807.6
SplitShare 4.72 % 5.09 % 89,252 1.57 6 0.1217 % 3,285.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1217 % 2,563.4
Perpetual-Premium 5.78 % -12.82 % 91,031 0.09 6 -0.0788 % 2,591.5
Perpetual-Discount 5.52 % 5.58 % 94,068 14.57 33 -0.1797 % 2,645.1
FixedReset 5.12 % 4.58 % 173,268 14.42 87 -0.0694 % 1,990.7
Deemed-Retractible 5.17 % 5.39 % 124,220 5.09 34 -0.2646 % 2,636.2
FloatingReset 3.06 % 4.76 % 34,693 5.38 17 -0.5475 % 2,075.3
Performance Highlights
Issue Index Change Notes
TRP.PR.I FloatingReset -6.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.65 %
GWO.PR.N FixedReset -3.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.25
Bid-YTW : 10.45 %
IFC.PR.A FixedReset -3.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.53
Bid-YTW : 10.24 %
BAM.PR.E Ratchet -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 5.77 %
GWO.PR.O FloatingReset -2.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.25
Bid-YTW : 10.95 %
TRP.PR.E FixedReset -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.50 %
FTS.PR.M FixedReset -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.41 %
TRP.PR.G FixedReset -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.96 %
TRP.PR.D FixedReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 4.63 %
BNS.PR.A FloatingReset -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.07
Bid-YTW : 3.99 %
TD.PR.Z FloatingReset -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 4.88 %
MFC.PR.M FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.81
Bid-YTW : 6.68 %
BNS.PR.B FloatingReset -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.56
Bid-YTW : 4.90 %
BNS.PR.C FloatingReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 5.01 %
IAG.PR.A Deemed-Retractible -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 6.83 %
NA.PR.S FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 4.32 %
BAM.PF.G FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 4.64 %
BAM.PF.E FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 4.58 %
IAG.PR.G FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 6.70 %
GWO.PR.I Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.17
Bid-YTW : 6.92 %
VNR.PR.A FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.00 %
HSE.PR.A FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 5.56 %
HSB.PR.C Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.74
Bid-YTW : 5.38 %
BNS.PR.Y FixedReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 5.72 %
BMO.PR.M FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 3.70 %
RY.PR.L FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.82 %
CIU.PR.C FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 4.45 %
TD.PF.E FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.25 %
BAM.PR.R FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.82 %
BNS.PR.D FloatingReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 6.48 %
MFC.PR.F FixedReset 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.35
Bid-YTW : 10.39 %
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 : 20.42
Bid-YTW : 5.85 %
PWF.PR.T FixedReset 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.83 %
SLF.PR.J FloatingReset 2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.65
Bid-YTW : 10.68 %
FTS.PR.I FloatingReset 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 4.15 %
BMO.PR.T FixedReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.L Deemed-Retractible 359,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-27
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.53 %
RY.PR.Q FixedReset 154,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 4.68 %
FTS.PR.H FixedReset 100,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 4.16 %
RY.PR.J FixedReset 62,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 4.39 %
MFC.PR.M FixedReset 34,047 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.81
Bid-YTW : 6.68 %
CU.PR.C FixedReset 32,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 4.40 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.I FloatingReset Quote: 10.70 – 11.76
Spot Rate : 1.0600
Average : 0.7163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.65 %

GWO.PR.O FloatingReset Quote: 12.25 – 14.25
Spot Rate : 2.0000
Average : 1.7524

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.25
Bid-YTW : 10.95 %

VNR.PR.A FixedReset Quote: 18.00 – 18.55
Spot Rate : 0.5500
Average : 0.3350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.00 %

ALB.PR.C SplitShare Quote: 25.95 – 26.90
Spot Rate : 0.9500
Average : 0.7533

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 25.95
Bid-YTW : 4.15 %

TD.PR.Z FloatingReset Quote: 21.55 – 22.13
Spot Rate : 0.5800
Average : 0.4380

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 4.88 %

BMO.PR.R FloatingReset Quote: 21.97 – 22.40
Spot Rate : 0.4300
Average : 0.3178

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.97
Bid-YTW : 4.51 %

April 13, 2016

April 14th, 2016

PerpetualDiscounts now yield 5.55%, equivalent to 7.22% at the standard equivalency factor of 1.3x. Long corporates now yield 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a slight (and perhaps spurious) narrowing from the 320bp reported April 6.

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 4.60 % 5.58 % 9,732 17.17 1 1.9431 % 1,709.2
FixedFloater 6.62 % 5.72 % 20,818 16.89 1 -1.8338 % 3,052.8
Floater 4.56 % 4.69 % 55,975 16.08 4 -0.4083 % 1,698.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0338 % 2,804.2
SplitShare 4.72 % 5.09 % 90,306 1.57 6 -0.0338 % 3,281.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0338 % 2,560.3
Perpetual-Premium 5.77 % -14.34 % 90,904 0.09 6 -0.0263 % 2,593.6
Perpetual-Discount 5.51 % 5.55 % 91,674 14.61 33 0.0013 % 2,649.8
FixedReset 5.11 % 4.58 % 175,557 14.35 87 -0.9732 % 1,992.1
Deemed-Retractible 5.16 % 5.34 % 124,685 5.09 34 -0.1752 % 2,643.2
FloatingReset 3.05 % 4.62 % 34,569 5.39 17 -0.1052 % 2,086.8
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset -7.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.85 %
BMO.PR.T FixedReset -4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.32 %
TRP.PR.E FixedReset -4.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.37 %
IFC.PR.C FixedReset -4.51 % 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 %
TRP.PR.C FixedReset -3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 4.65 %
TRP.PR.D FixedReset -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.55 %
MFC.PR.F FixedReset -2.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.16
Bid-YTW : 10.58 %
BMO.PR.W FixedReset -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 4.21 %
TRP.PR.B FixedReset -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 4.40 %
TRP.PR.F FloatingReset -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 12.63
Evaluated at bid price : 12.63
Bid-YTW : 4.73 %
TD.PF.B FixedReset -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.15 %
BMO.PR.S FixedReset -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.17 %
HSE.PR.A FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 5.50 %
TD.PF.A FixedReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.12 %
BAM.PR.G FixedFloater -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 25.00
Evaluated at bid price : 14.35
Bid-YTW : 5.72 %
TD.PF.C FixedReset -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.15 %
MFC.PR.H FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.40 %
IFC.PR.A FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.11
Bid-YTW : 9.67 %
HSE.PR.C FixedReset -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.67 %
IAG.PR.G FixedReset -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 6.52 %
BAM.PF.B FixedReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 4.81 %
MFC.PR.J FixedReset -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.66
Bid-YTW : 6.82 %
NA.PR.S FixedReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 4.27 %
CM.PR.P FixedReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 4.13 %
CM.PR.Q FixedReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.38 %
PWF.PR.T FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.91 %
RY.PR.Z FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 4.08 %
RY.PR.H FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 4.13 %
NA.PR.W FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.32 %
BNS.PR.F FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.02
Bid-YTW : 6.85 %
BNS.PR.E FixedReset -1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.74 %
BMO.PR.Q FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 6.24 %
MFC.PR.B Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.78 %
SLF.PR.J FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.36
Bid-YTW : 11.00 %
BAM.PR.E Ratchet 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 25.00
Evaluated at bid price : 14.69
Bid-YTW : 5.58 %
GWO.PR.O FloatingReset 2.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.60
Bid-YTW : 10.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.L Deemed-Retractible 658,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-27
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.45 %
TD.PF.G FixedReset 230,449 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.62 %
EML.PR.A FixedReset 100,837 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.31 %
BMO.PR.W FixedReset 56,223 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 4.21 %
BAM.PF.H FixedReset 45,711 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.53 %
RY.PR.H FixedReset 41,880 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 4.13 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Quote: 19.66 – 20.26
Spot Rate : 0.6000
Average : 0.3766

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.66
Bid-YTW : 6.82 %

MFC.PR.F FixedReset Quote: 13.16 – 13.78
Spot Rate : 0.6200
Average : 0.3983

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.16
Bid-YTW : 10.58 %

BMO.PR.T FixedReset Quote: 18.25 – 18.90
Spot Rate : 0.6500
Average : 0.4330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-04-13
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.32 %

BNS.PR.E FixedReset Quote: 25.82 – 26.27
Spot Rate : 0.4500
Average : 0.2797

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.74 %

GWO.PR.O FloatingReset Quote: 12.60 – 14.25
Spot Rate : 1.6500
Average : 1.4809

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.60
Bid-YTW : 10.57 %

IAG.PR.A Deemed-Retractible Quote: 21.75 – 22.25
Spot Rate : 0.5000
Average : 0.3356

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 6.63 %