October 19, 2017

October 19th, 2017

How about a good news drone story?

One company may be giving your local food delivery person some cause for worry, or atleast a run for his money. Project Wing, which is a drone delivery service project supported by the Google-owned Alphabet-X Lab, is now sending drones carrying burrito food orders to various parts of the Australian countryside.

We need this in Canada! Specifically, Toronto. Particularly, my place.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4548 % 2,410.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4548 % 4,423.4
Floater 3.79 % 3.93 % 34,357 17.57 4 -0.4548 % 2,549.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0198 % 3,071.6
SplitShare 4.75 % 4.73 % 69,941 4.36 6 -0.0198 % 3,668.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0198 % 2,862.0
Perpetual-Premium 5.35 % 3.82 % 59,700 0.20 17 0.0393 % 2,822.5
Perpetual-Discount 5.32 % 5.30 % 60,634 14.96 19 0.1801 % 2,959.1
FixedReset 4.24 % 4.20 % 148,854 4.50 99 -0.0303 % 2,480.5
Deemed-Retractible 5.08 % 5.55 % 102,066 6.00 30 -0.0594 % 2,897.6
FloatingReset 2.80 % 2.77 % 44,592 4.04 8 -0.0761 % 2,674.4
Performance Highlights
Issue Index Change Notes
IAG.PR.A Deemed-Retractible -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 6.09 %
BMO.PR.Q FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.59
Bid-YTW : 4.50 %
NA.PR.S FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-19
Maturity Price : 23.25
Evaluated at bid price : 23.66
Bid-YTW : 4.33 %
BAM.PR.C Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-19
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 3.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.C FixedReset 178,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-19
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.49 %
CM.PR.O FixedReset 120,790 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-19
Maturity Price : 23.41
Evaluated at bid price : 23.78
Bid-YTW : 4.22 %
BMO.PR.D FixedReset 97,185 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 4.15 %
IFC.PR.F Deemed-Retractible 54,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.66 %
CM.PR.R FixedReset 53,395 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.06 %
TD.PF.C FixedReset 39,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-19
Maturity Price : 22.86
Evaluated at bid price : 23.55
Bid-YTW : 4.15 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.A Deemed-Retractible Quote: 22.95 – 23.30
Spot Rate : 0.3500
Average : 0.2277

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 6.09 %

NA.PR.S FixedReset Quote: 23.66 – 24.03
Spot Rate : 0.3700
Average : 0.2579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-19
Maturity Price : 23.25
Evaluated at bid price : 23.66
Bid-YTW : 4.33 %

CU.PR.C FixedReset Quote: 21.88 – 22.23
Spot Rate : 0.3500
Average : 0.2392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-19
Maturity Price : 21.57
Evaluated at bid price : 21.88
Bid-YTW : 4.54 %

CCS.PR.C Deemed-Retractible Quote: 23.57 – 23.96
Spot Rate : 0.3900
Average : 0.3057

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 6.07 %

SLF.PR.G FixedReset Quote: 18.35 – 18.60
Spot Rate : 0.2500
Average : 0.1724

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.66 %

PWF.PR.E Perpetual-Premium Quote: 25.28 – 25.50
Spot Rate : 0.2200
Average : 0.1428

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-11-18
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : -10.01 %

LCS.PR.A Upgraded to Pfd-3(low) by DBRS

October 19th, 2017

DBRS has announced that it has:

upgraded the rating of the Preferred Shares issued by Brompton Lifeco Split Corp. (the Company) to Pfd-3 (low) from Pfd-4 (high).

Based on the dividend yields of the underlying companies in the Portfolio and after management fees and other expenses have been paid, the dividend coverage ratio stands at 0.6x.

The main form of credit enhancement available to the Preferred Shares is a buffer of downside protection. Downside protection corresponds to the percentage decline in market value of the Portfolio that must be experienced before the Preferred Shares would be in a loss position. Since the last review, the amount of downside protection available to the Preferred Shares has increased to 39.8% posting a 5.4% gain as of October 12, 2017. The growth in downside protection was a combination of a price appreciation and a dividend payout increase of the underlying shares of the Portfolio as well as additional income generated from option writing.

Brompton Group was quick to highlight the upgrade:

As a result of improving portfolio performance, DBRS Limited (“DBRS”) issued a press release on Thursday, October 19, 2017 announcing that the preferred share rating for Brompton Lifeco Split Corp. has been upgraded from Pfd-4(high) to Pfd-3(low). For a full copy of the DBRS press release please visit their website at www.dbrs.com.

This is quite the turnaround from the dark days of 2012 when the issue was downgraded to Pfd-5(high) and a notch better than its December 2013 upgrade to Pfd-4(high).

The Whole Unit NAVPU as of 2017-10-12 was 16.71. Income coverage in 2016 was, by my calculation, 65%. The total assets of the fund, including Capital Units, were $86-million as of 2017-9-30.

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

October 18, 2017

October 18th, 2017

PerpetualDiscounts now yield 5.32%, equivalent to 6.92% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a significant widening from the 285bp reported October 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 0.00 % 0.00 % 0 0.00 0 -0.0168 % 2,421.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0168 % 4,443.6
Floater 3.77 % 3.92 % 34,731 17.60 4 -0.0168 % 2,560.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0660 % 3,072.2
SplitShare 4.75 % 4.73 % 72,414 4.37 6 0.0660 % 3,668.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0660 % 2,862.6
Perpetual-Premium 5.35 % 1.21 % 62,163 0.20 17 -0.0370 % 2,821.4
Perpetual-Discount 5.33 % 5.32 % 60,858 14.96 19 0.0788 % 2,953.8
FixedReset 4.24 % 4.21 % 149,735 4.54 99 0.0784 % 2,481.2
Deemed-Retractible 5.08 % 5.54 % 98,703 6.00 30 -0.1049 % 2,899.3
FloatingReset 2.80 % 2.87 % 44,857 4.04 8 0.1796 % 2,676.4
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-18
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.72 %
MFC.PR.K FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 5.45 %
GWO.PR.N FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.82
Bid-YTW : 7.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 196,079 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.11 %
MFC.PR.R FixedReset 129,455 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 4.06 %
BAM.PF.J FixedReset 101,414 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.42 %
MFC.PR.I FixedReset 64,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.46 %
BMO.PR.C FixedReset 64,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.13 %
TD.PF.G FixedReset 57,066 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.46 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.R Deemed-Retractible Quote: 22.99 – 23.35
Spot Rate : 0.3600
Average : 0.2725

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.99
Bid-YTW : 6.27 %

CU.PR.G Perpetual-Discount Quote: 21.70 – 22.00
Spot Rate : 0.3000
Average : 0.2198

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-18
Maturity Price : 21.42
Evaluated at bid price : 21.70
Bid-YTW : 5.24 %

BAM.PF.G FixedReset Quote: 24.30 – 24.48
Spot Rate : 0.1800
Average : 0.1070

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-18
Maturity Price : 23.16
Evaluated at bid price : 24.30
Bid-YTW : 4.65 %

CU.PR.H Perpetual-Discount Quote: 25.10 – 25.39
Spot Rate : 0.2900
Average : 0.2201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-18
Maturity Price : 24.67
Evaluated at bid price : 25.10
Bid-YTW : 5.28 %

BNS.PR.Y FixedReset Quote: 23.07 – 23.29
Spot Rate : 0.2200
Average : 0.1583

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.07
Bid-YTW : 4.15 %

MFC.PR.M FixedReset Quote: 23.65 – 24.02
Spot Rate : 0.3700
Average : 0.3150

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 4.99 %

October 17, 2017

October 17th, 2017

The Boston Fed has published a fascinating paper by Daniel H. Cooper, María José Luengo-Prado and Jonathan A. Parker titled The Local Aggregate Effects of Minimum Wage Increases:

As part of the Fair Labor Standards Act, the federal government initiated a national minimum wage in 1938, which has since been raised 22 times, the latest increase in 2009 going to $7.25 per hour. State-level minimum wage increases have occurred with much greater frequency, especially quite recently, with 17 states raising minimum wages in 2016 and 19 states doing so in 2017. In total, there have been 247 changes in the minimum wage on the federal and state level between 1999 and 2014, resulting in substantial variation in current minimum wages across the United States. The policy intent behind minimum wage laws is to raise the return to employment for low-wage workers; indeed, the idea of a $15 per hour “living wage” has been growing—in 2016 California and New York passed legislation to gradually raise their minimum wages to this level (Seattle enacted a similar gradual $15 per hour increase in 2014), while other states are enacting more modest multi-year raises.

A voluminous empirical literature has largely found that within the range of the increases historically experienced in the United States, higher minimum wages have minimal employment effects. However, this literature has largely overlooked the fact that through general equilibrium adjustments that go beyond the labor market, the level of the minimum wage should affect prices and consumer spending. Moreover, higher minimum wages may cause fluctuations as local economic conditions adjust to the changed regulations. This paper addresses these less-studied issues by exploiting the variation in minimum wages across the United States and the fact that labor markets are defined by commuting distances. The authors compile a dataset of state-level minimum wage changes for the 1999–2014 period and use city-level price data from metropolitan statistical areas to measure the dynamic effects that minimum wage increases have on annual changes in city-level prices (inflation) and consumer spending.

In particular, a 10 percent increase in the minimum wage is associated with an overall (all-items) inflation rate that is 8 basis points higher relative to the preceding year. This effect is not precisely estimated and is quite small, especially given that a 10 percent minimum wage increase is nearly double the average MWPC in our sample. However, the increase in inflation is not evenly distributed across all goods and services. In particular, minimum wage changes have the largest measured impact on food prices — especially food away from home (column 8). A 10 percent increase in the minimum wage leads to prices on food away from home that are about 0.3 percent higher.

Consistent with our findings for prices, we find the largest, most precisely estimated effects of a minimum wage increase on food away expenditures. In particular, a 10 percent increase in the minimum wage raises nominal food away consumption by nearly 0.8 percentage point. There are also relatively large and positive, but imprecisely estimated, impact effects for nondurables, and food and beverages consumed at home. In addition, the cumulative increase in food at home consumption is precisely estimated and of similar magnitude to the impact (and cumulative) effect for food away. Consumption of services also increases slightly.

In addition, the food away and food at home consumption effects are much larger than the respective food price effects, suggesting that nominal food consumption increases more than the amount that would be implied by higher prices alone. That is, consumers appear to adjust the quantity of food that they consume when the minimum wage rises, with the effect on food away from home being more immediate and the effect on food at home occurring over time.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2025 % 2,422.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2025 % 4,444.3
Floater 3.77 % 3.91 % 36,085 17.63 4 0.2025 % 2,561.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1055 % 3,070.2
SplitShare 4.75 % 4.72 % 74,789 4.37 6 -0.1055 % 3,666.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1055 % 2,860.7
Perpetual-Premium 5.35 % 1.53 % 61,456 0.21 17 0.0115 % 2,822.4
Perpetual-Discount 5.34 % 5.30 % 59,902 14.97 19 -0.1125 % 2,951.5
FixedReset 4.24 % 4.21 % 152,026 4.39 99 0.1385 % 2,479.3
Deemed-Retractible 5.07 % 5.57 % 100,750 6.00 30 -0.0207 % 2,902.4
FloatingReset 2.80 % 2.80 % 46,699 4.05 8 0.0000 % 2,671.6
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.54 %
MFC.PR.J FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.72 %
MFC.PR.N FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 5.18 %
HSE.PR.A FixedReset 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-17
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset 240,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-17
Maturity Price : 23.19
Evaluated at bid price : 23.60
Bid-YTW : 4.20 %
TD.PR.Y FixedReset 116,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.47 %
RY.PR.I FixedReset 100,380 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 3.65 %
NA.PR.A FixedReset 91,760 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.84 %
TD.PF.H FixedReset 90,462 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.63 %
BNS.PR.R FixedReset 60,550 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.65 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Quote: 24.31 – 24.92
Spot Rate : 0.6100
Average : 0.4430

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.31
Bid-YTW : 4.71 %

ELF.PR.G Perpetual-Discount Quote: 22.16 – 22.84
Spot Rate : 0.6800
Average : 0.5342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-17
Maturity Price : 21.92
Evaluated at bid price : 22.16
Bid-YTW : 5.38 %

HSE.PR.E FixedReset Quote: 24.70 – 24.97
Spot Rate : 0.2700
Average : 0.1845

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.15 %

W.PR.K FixedReset Quote: 26.25 – 26.50
Spot Rate : 0.2500
Average : 0.1854

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.64 %

W.PR.M FixedReset Quote: 26.57 – 26.75
Spot Rate : 0.1800
Average : 0.1159

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.57
Bid-YTW : 3.53 %

BMO.PR.Y FixedReset Quote: 24.90 – 25.24
Spot Rate : 0.3400
Average : 0.2772

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.18 %

October 16, 2017

October 16th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2693 % 2,417.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2693 % 4,435.4
Floater 3.78 % 3.92 % 33,404 17.60 4 -0.2693 % 2,556.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2047 % 3,073.4
SplitShare 4.75 % 4.63 % 72,317 4.37 6 0.2047 % 3,670.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2047 % 2,863.7
Perpetual-Premium 5.35 % 1.37 % 61,306 0.13 17 0.0717 % 2,822.1
Perpetual-Discount 5.33 % 5.31 % 61,761 14.96 19 0.1984 % 2,954.8
FixedReset 4.25 % 4.22 % 153,955 4.51 99 -0.0253 % 2,475.8
Deemed-Retractible 5.07 % 5.54 % 99,082 6.00 30 0.0456 % 2,903.0
FloatingReset 2.80 % 2.79 % 48,250 4.05 8 -0.2930 % 2,671.6
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.78 %
PWF.PR.A Floater -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 3.45 %
BIP.PR.C FixedReset -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.71 %
BMO.PR.Y FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 23.31
Evaluated at bid price : 24.75
Bid-YTW : 4.34 %
HSE.PR.C FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 23.23
Evaluated at bid price : 24.25
Bid-YTW : 4.93 %
CU.PR.G Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 21.45
Evaluated at bid price : 21.74
Bid-YTW : 5.23 %
PVS.PR.E SplitShare 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 4.63 %
CU.PR.E Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 23.41
Evaluated at bid price : 23.68
Bid-YTW : 5.23 %
MFC.PR.B Deemed-Retractible 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset 100,875 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 22.78
Evaluated at bid price : 23.40
Bid-YTW : 4.18 %
TRP.PR.K FixedReset 86,651 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 4.10 %
TRP.PR.G FixedReset 76,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 23.00
Evaluated at bid price : 24.10
Bid-YTW : 4.69 %
NA.PR.W FixedReset 68,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 22.62
Evaluated at bid price : 23.15
Bid-YTW : 4.24 %
NA.PR.C FixedReset 56,019 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.02 %
RY.PR.Q FixedReset 55,394 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 3.54 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.R Perpetual-Premium Quote: 25.30 – 25.63
Spot Rate : 0.3300
Average : 0.1945

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 5.30 %

MFC.PR.G FixedReset Quote: 24.34 – 24.72
Spot Rate : 0.3800
Average : 0.2599

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.34
Bid-YTW : 4.69 %

PWF.PR.P FixedReset Quote: 17.45 – 17.80
Spot Rate : 0.3500
Average : 0.2334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.52 %

MFC.PR.N FixedReset Quote: 22.98 – 23.29
Spot Rate : 0.3100
Average : 0.1947

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 5.37 %

MFC.PR.J FixedReset Quote: 24.22 – 24.71
Spot Rate : 0.4900
Average : 0.3833

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 4.91 %

ELF.PR.G Perpetual-Discount Quote: 22.17 – 22.65
Spot Rate : 0.4800
Average : 0.3743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 5.38 %

October PrefLetter Released!

October 15th, 2017

The October, 2017, 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.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the October, 2017, issue, while the “Next Edition” will be the November, 2017, issue, scheduled to be prepared as of the close November 10 and eMailed to subscribers prior to market-opening on November 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?).

PIC.PR.A To Be Extended

October 14th, 2017

Strathbridge Asset Management Inc. has announced (on September 1):

Premium Income Corporation (the “Fund”) is pleased to announce that the term of the Fund will be extended automatically for an additional seven year period beyond November 1, 2017 to November 1, 2024 as provided for in its articles of incorporation. In addition, in connection with the new term, holders of Class A shares will continue to receive ongoing leveraged exposure to a high-quality portfolio consisting principally of common shares of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, National Bank of Canada and The Toronto-Dominion Bank, as well as attractive quarterly distributions in the amount of $0.20319 ($0.81276 per annum) per class A share. Holders of the preferred shares are expected to continue to benefit from fixed cumulative preferential quarterly distributions in the amount of $0.215625 ($0.8625 per annum) per preferred share representing a yield of 5.75% on the original issue price of $15.00.

In connection with the extension of the term, holders of class A shares and preferred shares have a special retraction right (“Special Retraction Right”) to permit holders of such securities to retract such shares on November 1, 2017 on the terms on which such shares would have been redeemed had the term of the Fund not been extended. In order to exercise the Special Retraction Right, shares must be surrendered for retraction on or prior to 5:00 p.m. (Toronto time) on October 13, 2017. Depending on if more class A shares or preferred shares are retracted under the Special Retraction Right, the Fund will have to redeem preferred shares or consolidate the class A shares on a basis to ensure an equal number of class A shares and preferred shares remain outstanding. Notice of such redemption or consolidation, will be made via press release on or before October 23, 2017.

For further information, please contact Investor Relations at 416.681.3966, toll free at 1.800.725.7172 or visit www.strathbridge.com.

October 13, 2017

October 13th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1348 % 2,423.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1348 % 4,447.3
Floater 3.77 % 3.94 % 31,755 17.57 4 0.1348 % 2,563.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0792 % 3,067.1
SplitShare 4.76 % 4.86 % 73,485 4.38 6 -0.0792 % 3,662.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0792 % 2,857.9
Perpetual-Premium 5.36 % 3.32 % 61,672 0.22 17 -0.0046 % 2,820.1
Perpetual-Discount 5.34 % 5.31 % 61,749 14.94 19 0.0835 % 2,948.9
FixedReset 4.24 % 4.23 % 155,431 4.56 99 0.0735 % 2,476.5
Deemed-Retractible 5.07 % 5.54 % 100,598 6.01 30 0.0608 % 2,901.6
FloatingReset 2.80 % 2.80 % 50,129 4.06 8 0.1413 % 2,679.5
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 3.41 %
BAM.PF.J FixedReset 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.41 %
NA.PR.W FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 22.64
Evaluated at bid price : 23.18
Bid-YTW : 4.23 %
HSE.PR.G FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 23.32
Evaluated at bid price : 24.70
Bid-YTW : 5.17 %
GWO.PR.N FixedReset 1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.71
Bid-YTW : 7.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.Z Perpetual-Discount 207,904 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 23.94
Evaluated at bid price : 24.30
Bid-YTW : 5.29 %
TD.PF.A FixedReset 82,026 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 23.07
Evaluated at bid price : 23.40
Bid-YTW : 4.21 %
TD.PF.G FixedReset 80,348 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.62
Bid-YTW : 3.48 %
TD.PF.H FixedReset 79,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.63 %
TD.PF.C FixedReset 73,308 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 22.76
Evaluated at bid price : 23.37
Bid-YTW : 4.18 %
RY.PR.Q FixedReset 72,464 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.55 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.C Deemed-Retractible Quote: 21.96 – 22.27
Spot Rate : 0.3100
Average : 0.2108

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 6.72 %

HSE.PR.C FixedReset Quote: 24.00 – 24.36
Spot Rate : 0.3600
Average : 0.2704

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 23.11
Evaluated at bid price : 24.00
Bid-YTW : 4.99 %

CM.PR.Q FixedReset Quote: 24.51 – 24.75
Spot Rate : 0.2400
Average : 0.1556

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 4.31 %

BMO.PR.Y FixedReset Quote: 25.00 – 25.24
Spot Rate : 0.2400
Average : 0.1629

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.01 %

CU.PR.G Perpetual-Discount Quote: 21.50 – 21.80
Spot Rate : 0.3000
Average : 0.2237

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.31 %

SLF.PR.D Deemed-Retractible Quote: 21.65 – 21.92
Spot Rate : 0.2700
Average : 0.1965

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.88 %

October 12, 2017

October 12th, 2017

There is a very good staff working paper published by the Bank of Canada, by Jean-Sébastien Fontaine and Guillaume Nolin titled Measuring Limits of Arbitrage in Fixed-Income Markets:

We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo-trading strategy based on relative value generates higher returns than one based on the well-known noise measure. The relative value is therefore a better proxy for limits to arbitrage. We construct relative value indices for the US, UK, Japan, Germany, Italy, France, Switzerland and Canada. Limits to arbitrage increase with the scarcity of capital: we find that each index is correlated with local volatility and funding costs. Limits to arbitrage also exhibit strong commonality across countries, consistent with the international mobility of capital. The relative value indices are updated regularly and available publicly.

Using a static parametric yield curve, Hu, Pan and Wang (2013) (HPW thereafter) show that an index of fitting errors—the “noise” measure—is priced in the cross-section of returns from hedge funds and carry trades. In other words, aggregating these deviations tends to reveal an important financial risk factor.

Measuring fitting errors against a parametric curve is a component of HIMIPref™ I dub “disparity”. The BoC paper then states:

We introduce a new measure of deviations based on the relative value of bonds. This measure is model-free, bypassing the need for preliminary parameter estimation. It is intuitive and easy to compute. For any bond in our sample, we use a small number of comparable bonds to form a replicating portfolio with the same duration and convexity. This bond and its replicating portfolio should have the same expected return. The relative value for that bond is the difference between its yield and that of the replicating portfolio.

So it’s a tightly constrained yield maximizer, also a component of HIMIPref™.

Extending the analysis to several other countries, we find that the relative value index is correlated with local equity market volatility indices and domestic interbank lending market conditions. In addition, the relative value indices exhibit a large degree of commonality across countries. These relative value indices are available publicly and will be regularly updated. We hope that these indices will help to answer a number of research questions. In addition, future research could apply our methodology to create relative value indices for supranational, sub-national or corporate bond markets.

I have a number of technical quibbles about their methodology, but it’s a worthy effort. The two problems that come immediately to mind are first, the quality of the market data (I haven’t seen a bond database yet that hasn’t been riddled with errors) and the fact that there’s no allowance for the cost of shorting. I found in the Treasury Market in the ’90’s that there were a lot of unusually rich issues (particularly in the short end) … and that almost every one of those had ‘gone special’ in the loans market, meaning they were expensive to short. And just try getting data for THAT!

But, I will admit, the part I like best about this paper is that it provides third party validation of my investing style … which is always a useful thing to have on hand when marketing one’s services!

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1857 % 2,420.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1857 % 4,441.3
Floater 3.77 % 3.93 % 30,155 17.60 4 0.1857 % 2,559.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1647 % 3,069.5
SplitShare 4.75 % 4.87 % 76,109 4.38 6 -0.1647 % 3,665.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1647 % 2,860.1
Perpetual-Premium 5.36 % -1.68 % 64,217 0.14 17 0.1366 % 2,820.2
Perpetual-Discount 5.35 % 5.31 % 61,187 14.94 19 0.1922 % 2,946.5
FixedReset 4.25 % 4.28 % 157,571 4.58 99 0.1981 % 2,474.7
Deemed-Retractible 5.08 % 5.58 % 101,454 6.01 30 0.1273 % 2,899.9
FloatingReset 2.77 % 2.77 % 50,717 4.06 8 -0.0326 % 2,675.7
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 23.16
Evaluated at bid price : 24.32
Bid-YTW : 5.30 %
PVS.PR.E SplitShare -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.98 %
MFC.PR.M FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.43
Bid-YTW : 5.16 %
MFC.PR.L FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 5.79 %
SLF.PR.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.31
Bid-YTW : 7.70 %
HSE.PR.A FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.77 %
RY.PR.J FixedReset 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.97 %
TD.PF.A FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 23.12
Evaluated at bid price : 23.45
Bid-YTW : 4.24 %
BMO.PR.Q FixedReset 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.67
Bid-YTW : 4.39 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 115,286 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.71
Bid-YTW : 3.68 %
RY.PR.R FixedReset 113,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 3.55 %
TD.PF.D FixedReset 108,102 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 4.21 %
TD.PF.B FixedReset 105,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 22.99
Evaluated at bid price : 23.36
Bid-YTW : 4.27 %
NA.PR.Q FixedReset 104,275 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.29 %
RY.PR.J FixedReset 84,784 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.97 %
There were 57 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Quote: 22.86 – 23.50
Spot Rate : 0.6400
Average : 0.3904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 22.43
Evaluated at bid price : 22.86
Bid-YTW : 4.34 %

HSE.PR.G FixedReset Quote: 24.32 – 24.80
Spot Rate : 0.4800
Average : 0.2958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 23.16
Evaluated at bid price : 24.32
Bid-YTW : 5.30 %

IFC.PR.A FixedReset Quote: 20.20 – 20.50
Spot Rate : 0.3000
Average : 0.1906

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 6.97 %

BAM.PF.J FixedReset Quote: 25.20 – 25.56
Spot Rate : 0.3600
Average : 0.2524

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.68 %

BNS.PR.D FloatingReset Quote: 22.93 – 23.19
Spot Rate : 0.2600
Average : 0.1748

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 4.02 %

GWO.PR.Q Deemed-Retractible Quote: 24.41 – 24.65
Spot Rate : 0.2400
Average : 0.1578

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 5.61 %

October 11, 2017

October 11th, 2017

The salutary effects of Ontario’s minimum wage hike are becoming visible: one large company is thinking about what it’s doing and taking steps to increase productivity:

Grocery store chain Metro Inc. says it will eliminate about 280 jobs starting in 2021 as part of a $400-million overhaul of its Ontario distribution network.

The company says the move to modernize and automate its network will mean the loss of about 180 full-time and 100 part-time positions.

The announcement follows comments by Metro in August that it would study automation as it looked to cut costs in the face of the Ontario government’s plan to raise the minimum wage next year.

PerpetualDiscounts now yield 5.32%, equivalent to 6.92% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 285bp, a significant narrowing from the 295bp reported October 4.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2358 % 2,415.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2358 % 4,433.1
Floater 3.78 % 3.94 % 28,764 17.58 4 -0.2358 % 2,554.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0066 % 3,074.6
SplitShare 4.74 % 4.66 % 75,736 4.39 6 0.0066 % 3,671.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0066 % 2,864.8
Perpetual-Premium 5.36 % 2.99 % 64,477 0.22 17 0.0417 % 2,816.4
Perpetual-Discount 5.36 % 5.32 % 62,163 14.91 19 0.0113 % 2,940.8
FixedReset 4.26 % 4.31 % 150,972 4.59 99 0.1883 % 2,469.8
Deemed-Retractible 5.08 % 5.58 % 101,012 6.02 30 0.1635 % 2,896.2
FloatingReset 2.77 % 2.73 % 50,891 4.06 8 0.1197 % 2,676.6
Performance Highlights
Issue Index Change Notes
ELF.PR.G Perpetual-Discount -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.41 %
BAM.PR.R FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.75 %
HSE.PR.E FixedReset 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.68
Bid-YTW : 5.15 %
SLF.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 6.98 %
BAM.PR.Z FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 24.05
Evaluated at bid price : 24.87
Bid-YTW : 4.73 %
HSE.PR.A FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 4.82 %
BMO.PR.Q FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 4.74 %
TRP.PR.F FloatingReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 3.55 %
MFC.PR.K FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 5.72 %
TRP.PR.B FixedReset 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 242,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.69 %
TRP.PR.K FixedReset 196,554 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.09 %
RY.PR.R FixedReset 150,859 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.99
Bid-YTW : 3.51 %
NA.PR.A FixedReset 110,695 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 4.01 %
NA.PR.S FixedReset 108,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 23.16
Evaluated at bid price : 23.57
Bid-YTW : 4.38 %
TD.PF.E FixedReset 106,096 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.78 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.B Perpetual-Discount Quote: 24.85 – 26.66
Spot Rate : 1.8100
Average : 1.0178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 5.40 %

BMO.PR.Q FixedReset Quote: 22.35 – 22.74
Spot Rate : 0.3900
Average : 0.2523

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 4.74 %

ELF.PR.G Perpetual-Discount Quote: 22.00 – 22.38
Spot Rate : 0.3800
Average : 0.2433

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.41 %

GWO.PR.N FixedReset Quote: 17.35 – 17.75
Spot Rate : 0.4000
Average : 0.2826

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.35
Bid-YTW : 8.31 %

BMO.PR.S FixedReset Quote: 23.80 – 24.08
Spot Rate : 0.2800
Average : 0.1685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 23.40
Evaluated at bid price : 23.80
Bid-YTW : 4.32 %

MFC.PR.L FixedReset Quote: 22.11 – 22.36
Spot Rate : 0.2500
Average : 0.1745

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.96 %