New Issue: BPO FixedReset 4.85%+374M485

April 27th, 2017

Brookfield Office Properties Inc. 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, ten million Cumulative Minimum Rate Reset Class AAA Preference Shares, Series GG (the “Preferred Shares, Series GG”). The Preferred Shares, Series GG will be issued at a price of C$25.00 per share, for aggregate proceeds of C$250 million. Holders of the Preferred Shares, Series GG will be entitled to receive a cumulative quarterly fixed dividend yielding 4.85% annually for the initial period ending June 30, 2022. 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 3.74% and (ii) 4.85%.

Holders of Preferred Shares, Series GG will have the right, at their option, to convert their shares into Cumulative Floating Rate Class AAA Preference Shares, Series HH (the “Preferred Shares, Series HH”), subject to certain conditions, on June 30, 2022 and on June 30 every five years thereafter. Holders of Preferred Shares, Series HH will be entitled to receive cumulative quarterly floating dividends at a rate equal to the 90-day Government of Canada Treasury Bill yield plus 3.74%.

The Series GG Shares and Series HH Shares will be fully and unconditionally guaranteed, jointly and severally, as to: (i) the payment of dividends, as and when declared, (ii) the payment of amounts due on redemption, and (iii) the payment of amounts due on the liquidation, dissolution or winding-up of Brookfield Office Properties, by the following entities: Brookfield Property Partners L.P., Brookfield Property L.P., Brookfield BPY Holdings Inc., Brookfield BPY Retail Holdings II Inc., BPY Bermuda Holdings Limited, BPY Bermuda Holdings II Limited, BPY Bermuda Holdings IV Limited and BPY Bermuda Holdings V Limited.

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 GG at the same offering price. Should the option be fully exercised, the total gross proceeds of the financing will be C$300 million.

The Preferred Shares, Series GG 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 August 29, 2016.

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 May 4, 2017.

The reference to possibly using proceeds to redeem extant preferred shares may mean that BPO.PR.J, which was partially redeemed 2017-3-29 will finally disappear. But we will see!

The issue seems quite expensive to me:

impvol_bpo_170426
Click for Big

Of course, promoters will protest that I think it’s expensive because I’m assigning zero value to the minimum rate guarantee, a practice for which I have been criticized in the past. And, of course, it should be clear that as has been remarked:

I guess you mean by that that you CURRENTLY do not give much value to this feature given your conviction that interest rates will go up in the upcoming years (what we have been hearing for a quite a while now)?

So take it as you will!

New Issue: EFN FixedReset 5.75%+464M575

April 27th, 2017

Element Fleet Management Corp. has announced:

that it has entered into an agreement with a syndicate of underwriters led by BMO Capital Markets, CIBC Capital Markets, National Bank Financial Inc., RBC Capital Markets, and TD Securities Inc. The underwriters have agreed to buy 4,000,000 Cumulative 5-Year Minimum Rate Reset Preferred Shares, Series I (the “Series I Preferred Shares”) at a price of $25.00 per share for aggregate gross proceeds of $100,000,000. The net proceeds are expected to be used to fund the growth of Element’s business and for general corporate purposes.

Element has granted the underwriters an option to purchase at the offering price up to an additional 2,000,000 Series I Preferred Shares exercisable, in whole or in part, at any time up to 48 hours prior to closing of the offering. Should the option be fully exercised, the total gross proceeds of the Series I Preferred Share offering will be $150,000,000.

The Series I Preferred Shares will be issued to the public at a price of $25.00 per share and holders will be entitled to receive fixed cumulative preferential cash dividends, payable by quarterly installments for an initial period of five years, as and when declared by the Board of Directors of the Company, at a rate of $1.4375 per share per annum, to yield 5.75% annually. Thereafter, the dividend rate will reset every five years to the sum of the then current 5-Year Government of Canada Bond yield and 4.64%, provided that, in any event, such sum shall not be less than 5.75%. On June 30, 2022, and on June 30 of every fifth year thereafter, the Company may redeem the Series I Preferred Shares in whole or in part at par.

Holders will have the right to elect to convert all or any of their Series I Preferred Shares into an equal number of Cumulative Floating Rate Preferred Shares, Series J (the “Series J Preferred Shares”) on June 30, 2022, and on June 30 of every fifth year thereafter. Holders of the Series J Preferred Shares will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of the Company, equal to the sum of the then current 3-month Government of Canada Treasury Bill yield and 4.64%. On June 30, 2027 and on June 30, of every fifth year thereafter (a “Series J Redemption Date”), the Company may redeem the Series J Preferred Shares in whole or in part at par. On any other date that is not a Series J Redemption Date after June 30, 2022, the Company may redeem the Series J Preferred Shares in whole or in part by the payment of $25.50 for each share to be redeemed.

The offering is being made only in the provinces of Canada by means of a prospectus supplement to the Company’s base shelf prospectus. The closing date of the offering is expected to be on or about May 5, 2017.

DBRS has assigned a rating of Pfd-3(high) to the issue.

The omission of Scotia from the list of dealers is interesting and consistent with most of the company’s past offerings. There’s a story there, somewhere!

The issue is attractively priced relative to other EFN issues:

impvol_efn_170426
Click for Big

April 26, 2017

April 27th, 2017

PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, a slight (and perhaps spurious) widening from the 285bp reported April 19.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.1391 % 2,136.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1391 % 3,919.4
Floater 3.57 % 3.69 % 51,689 18.10 4 -1.1391 % 2,258.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0718 % 3,019.9
SplitShare 4.94 % 4.27 % 53,141 0.61 6 -0.0718 % 3,606.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0718 % 2,813.9
Perpetual-Premium 5.30 % 0.24 % 75,286 0.09 23 0.0476 % 2,784.1
Perpetual-Discount 5.08 % 5.10 % 113,577 15.33 13 0.2496 % 2,997.8
FixedReset 4.38 % 3.93 % 229,186 6.60 94 -0.0289 % 2,363.6
Deemed-Retractible 5.00 % 4.75 % 146,070 0.16 31 -0.1360 % 2,892.7
FloatingReset 2.51 % 2.96 % 55,968 4.50 9 0.7883 % 2,545.4
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 14.29
Evaluated at bid price : 14.29
Bid-YTW : 3.30 %
BAM.PR.R FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.25 %
BAM.PR.Z FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 22.32
Evaluated at bid price : 23.13
Bid-YTW : 4.31 %
BAM.PF.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 22.19
Evaluated at bid price : 22.49
Bid-YTW : 4.13 %
BAM.PR.T FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.31 %
TRP.PR.D FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 21.32
Evaluated at bid price : 21.62
Bid-YTW : 3.99 %
BMO.PR.Z Perpetual-Premium 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.49 %
BNS.PR.E FixedReset 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 27.28
Bid-YTW : 3.07 %
TRP.PR.F FloatingReset 8.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 292,428 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.16
Bid-YTW : 3.26 %
TD.PF.G FixedReset 212,840 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.17
Bid-YTW : 3.18 %
TD.PF.H FixedReset 203,805 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.47 %
TRP.PR.K FixedReset 119,831 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 3.93 %
IFC.PR.A FixedReset 110,606 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 7.53 %
RY.PR.Q FixedReset 62,907 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 27.24
Bid-YTW : 3.05 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.G FixedReset Quote: 27.17 – 27.35
Spot Rate : 0.1800
Average : 0.1055

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.17
Bid-YTW : 3.18 %

MFC.PR.O FixedReset Quote: 27.30 – 27.53
Spot Rate : 0.2300
Average : 0.1609

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 27.30
Bid-YTW : 3.38 %

BAM.PR.B Floater Quote: 12.91 – 13.19
Spot Rate : 0.2800
Average : 0.2152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 12.91
Evaluated at bid price : 12.91
Bid-YTW : 3.69 %

PVS.PR.E SplitShare Quote: 26.37 – 26.65
Spot Rate : 0.2800
Average : 0.2191

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 26.00
Evaluated at bid price : 26.37
Bid-YTW : -3.16 %

BAM.PF.F FixedReset Quote: 23.45 – 23.70
Spot Rate : 0.2500
Average : 0.1904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 22.78
Evaluated at bid price : 23.45
Bid-YTW : 4.21 %

ELF.PR.H Perpetual-Premium Quote: 25.22 – 25.47
Spot Rate : 0.2500
Average : 0.1915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 24.92
Evaluated at bid price : 25.22
Bid-YTW : 5.48 %

April 25, 2017

April 25th, 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 1.7287 % 2,160.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7287 % 3,964.6
Floater 3.53 % 3.65 % 48,776 18.18 4 1.7287 % 2,284.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,022.1
SplitShare 4.94 % 4.23 % 53,370 0.61 6 0.0000 % 3,609.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,815.9
Perpetual-Premium 5.30 % -3.37 % 74,667 0.09 23 0.1175 % 2,782.8
Perpetual-Discount 5.09 % 5.09 % 112,592 15.36 13 0.5738 % 2,990.4
FixedReset 4.37 % 3.93 % 229,083 6.62 94 0.2836 % 2,364.2
Deemed-Retractible 4.99 % 4.74 % 145,346 0.09 31 0.2267 % 2,896.6
FloatingReset 2.53 % 2.97 % 56,655 4.50 9 -0.4447 % 2,525.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.55 %
BNS.PR.E FixedReset -1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.46 %
BAM.PR.B Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 3.65 %
CU.PR.E Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 24.36
Evaluated at bid price : 24.65
Bid-YTW : 5.03 %
BAM.PR.R FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.17 %
BAM.PF.B FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 22.44
Evaluated at bid price : 22.77
Bid-YTW : 4.08 %
BAM.PR.K Floater 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 12.96
Evaluated at bid price : 12.96
Bid-YTW : 3.67 %
CU.PR.H Perpetual-Premium 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 4.83 %
HSE.PR.A FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.16 %
MFC.PR.F FixedReset 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.85
Bid-YTW : 8.99 %
PWF.PR.T FixedReset 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 23.17
Evaluated at bid price : 23.55
Bid-YTW : 3.67 %
PWF.PR.A Floater 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.A FixedReset 354,492 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.51 %
TRP.PR.E FixedReset 245,254 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 22.02
Evaluated at bid price : 22.30
Bid-YTW : 3.90 %
TD.PF.C FixedReset 158,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 21.44
Evaluated at bid price : 21.78
Bid-YTW : 3.82 %
TD.PF.E FixedReset 143,006 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 22.77
Evaluated at bid price : 23.71
Bid-YTW : 4.01 %
TD.PF.H FixedReset 118,991 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.46 %
TRP.PR.K FixedReset 108,758 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.29
Bid-YTW : 3.96 %
PWF.PR.L Perpetual-Premium 105,023 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 5.13 %
There were 51 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 17.50 – 19.00
Spot Rate : 1.5000
Average : 0.9589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.55 %

BNS.PR.E FixedReset Quote: 26.90 – 27.40
Spot Rate : 0.5000
Average : 0.3234

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.46 %

PWF.PR.O Perpetual-Premium Quote: 25.95 – 26.25
Spot Rate : 0.3000
Average : 0.2024

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-25
Maturity Price : 25.50
Evaluated at bid price : 25.95
Bid-YTW : -15.90 %

IGM.PR.B Perpetual-Premium Quote: 25.61 – 25.90
Spot Rate : 0.2900
Average : 0.2103

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-25
Maturity Price : 25.50
Evaluated at bid price : 25.61
Bid-YTW : -0.43 %

CU.PR.G Perpetual-Discount Quote: 22.68 – 22.95
Spot Rate : 0.2700
Average : 0.1930

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-25
Maturity Price : 22.38
Evaluated at bid price : 22.68
Bid-YTW : 5.02 %

TRP.PR.J FixedReset Quote: 27.21 – 27.42
Spot Rate : 0.2100
Average : 0.1476

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 27.21
Bid-YTW : 3.41 %

April 24, 2017

April 24th, 2017

One thing struck me when reading an account of how some Syrian refugees are doing, now that the first year of special supports has come to an end:

A few among the 28 government-assisted families who have settled in Leaside Towers have found work in the neighbourhood – some frying up halal chicken at the Popeyes, or stocking shelves at Iqbal Halal Market. But some see a disincentive to taking a minimum-wage job: In Ontario, if you are on Ontario Works and get a job, half your earnings over $200 are deducted from your welfare cheque. As they see it, they’d be bringing home so little money that they’re better off using that time to focus on improving English, or running their households, which can consume much of their day.

half your earnings over $200 are deducted? Well of course they’re better off using that time to focus on improving their English or running their households. That’s a complete no-brainer and returns us to a question I have often discussed on PrefBlog, the effective tax rate for low earners.

I advocate a guaranteed minimum income – administered through the tax system, as a refundable tax credit – with more rational marginal tax rates … if you make $20,000 per year, you should pay a tax rate of – say – 10% on your next $1,000, regardless of where the $20,000 comes from. Only in this way can we really say we are making an effort to help people get out of the poverty trap. When we tax that $1,000 at 50%+, we’re clearly just chanting slogans and affirming our moral superiority.

Where’s the incentive to volunteer for an extra shift? Where’s the incentive to take a risk and move in order to get a slightly better job? Nowhere, that’s where. It’s craziness.

So it was with interest that I read today of an Ontario pilot project with respect to basic income:

About 4,000 recipients will be randomly chosen from the three regions. One group will start receiving the so-called basic income as soon as this summer, and the remainder will be part of the control group, which will not receive any payments, according to a provincial spokesman. A single person could receive up to $16,989 per year. A couple could get up to $24,027 annually.

However, if an individual is receiving income from a job, the government will deduct half of his or her earned income.

Utterly moronic. I have no words to express my disgust at the cruelty of those who would even consider slapping the poor with a 50%+ tax rate – or perhaps it is their cynical machinations to ensure the failure of the pilot programme that disgusts me. I’m not sure how explicit taxes will work, but I suspect that in practice the “+” in “50%+” will be a significant number – particularly when more subtle taxes, like disqualification from ‘geared to income’ pricing, are considered.

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 0.7464 % 2,123.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7464 % 3,897.2
Floater 3.59 % 3.69 % 45,093 18.09 4 0.7464 % 2,246.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0196 % 3,022.1
SplitShare 4.94 % 4.15 % 54,183 0.61 6 0.0196 % 3,609.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0196 % 2,815.9
Perpetual-Premium 5.31 % -3.70 % 75,078 0.09 23 0.1381 % 2,779.5
Perpetual-Discount 5.12 % 5.10 % 111,452 15.30 13 0.3796 % 2,973.3
FixedReset 4.39 % 3.94 % 232,099 6.62 94 0.6673 % 2,357.5
Deemed-Retractible 5.00 % 4.70 % 146,624 0.09 31 0.5442 % 2,890.1
FloatingReset 2.52 % 3.09 % 57,307 4.50 9 0.5683 % 2,536.8
Performance Highlights
Issue Index Change Notes
W.PR.M FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 4.02 %
GWO.PR.H Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 5.49 %
IFC.PR.C FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.78
Bid-YTW : 5.59 %
NA.PR.X FixedReset 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.16
Bid-YTW : 3.24 %
MFC.PR.N FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.69 %
MFC.PR.B Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.53
Bid-YTW : 5.70 %
SLF.PR.C Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.48
Bid-YTW : 6.18 %
MFC.PR.H FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 4.38 %
PWF.PR.P FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.94 %
MFC.PR.K FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 5.95 %
MFC.PR.C Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.68
Bid-YTW : 6.12 %
GWO.PR.R Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 5.48 %
BAM.PR.K Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 3.73 %
POW.PR.D Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 24.49
Evaluated at bid price : 24.72
Bid-YTW : 5.08 %
NA.PR.A FixedReset 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.34 %
SLF.PR.E Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.63
Bid-YTW : 6.13 %
NA.PR.S FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 22.10
Evaluated at bid price : 22.34
Bid-YTW : 3.89 %
MFC.PR.F FixedReset 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.60
Bid-YTW : 9.23 %
BAM.PR.C Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.70 %
SLF.PR.I FixedReset 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 4.78 %
SLF.PR.A Deemed-Retractible 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 5.52 %
HSE.PR.A FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.22 %
SLF.PR.D Deemed-Retractible 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.58
Bid-YTW : 6.11 %
MFC.PR.I FixedReset 1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 5.08 %
MFC.PR.G FixedReset 2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 4.95 %
MFC.PR.J FixedReset 2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.04 %
PWF.PR.S Perpetual-Discount 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 23.37
Evaluated at bid price : 23.84
Bid-YTW : 5.03 %
VNR.PR.A FixedReset 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 21.44
Evaluated at bid price : 21.75
Bid-YTW : 4.42 %
IAG.PR.G FixedReset 2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.20 %
TRP.PR.F FloatingReset 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 3.31 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.Q FixedReset 291,702 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.64 %
TD.PF.G FixedReset 120,406 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.18
Bid-YTW : 3.16 %
BAM.PR.R FixedReset 89,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.22 %
PWF.PR.P FixedReset 72,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.94 %
BNS.PR.D FloatingReset 72,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 4.54 %
BNS.PR.H FixedReset 64,039 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.54 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 25.51 – 25.95
Spot Rate : 0.4400
Average : 0.3056

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 5.07 %

PWF.PR.A Floater Quote: 14.13 – 14.75
Spot Rate : 0.6200
Average : 0.5207

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 14.13
Evaluated at bid price : 14.13
Bid-YTW : 3.33 %

PWF.PR.T FixedReset Quote: 23.01 – 23.36
Spot Rate : 0.3500
Average : 0.2609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 22.65
Evaluated at bid price : 23.01
Bid-YTW : 3.75 %

W.PR.J Perpetual-Premium Quote: 25.35 – 25.64
Spot Rate : 0.2900
Average : 0.2128

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.44 %

RY.PR.Q FixedReset Quote: 27.20 – 27.40
Spot Rate : 0.2000
Average : 0.1248

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 27.20
Bid-YTW : 3.08 %

TRP.PR.B FixedReset Quote: 14.47 – 14.70
Spot Rate : 0.2300
Average : 0.1646

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-24
Maturity Price : 14.47
Evaluated at bid price : 14.47
Bid-YTW : 3.97 %

April 21, 2017

April 21st, 2017

There were two charts I found particularly interesting in a Globe “Explainer” regarding Ontario’s proposed housing legislation.

The first provides a historical count of rental units by type:

rentaltype
Click for Big

That’s as good an explanation as any of the benefits that rent control brings.

The second is a historical accounting of individuals owning multiple properties in the region:

multipleproperty
Click for big

That’s as good an explanation as any of the effect of poor stock market returns on the housing market; an effect which is exacerbated by low interest rates.

Meanwhile, it was a pretty nasty day for preferred shares. There was no major change in bond yields today, so I suppose we’ll just have to put this one down as a delayed reaction. TXPR was rebalancing today; it is obvious that this might lead to high volume, but an influence on direction is less clear.

The TXPR Total Return Index is now slightly negative for the month. The smoothness of today’s decline makes me suspect the day’s action was due to selling from one big player … but that is merely speculation!

txpr_170421
Click for Big
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.8226 % 2,108.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8226 % 3,868.3
Floater 3.62 % 3.70 % 44,543 18.07 4 -1.8226 % 2,229.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0718 % 3,021.5
SplitShare 4.94 % 4.16 % 53,625 0.62 6 -0.0718 % 3,608.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0718 % 2,815.4
Perpetual-Premium 5.32 % -4.52 % 76,129 0.09 23 -0.4174 % 2,775.7
Perpetual-Discount 5.14 % 5.15 % 109,947 15.24 13 -1.1773 % 2,962.1
FixedReset 4.42 % 3.98 % 233,655 6.59 94 -0.7985 % 2,341.9
Deemed-Retractible 5.03 % 0.99 % 144,964 0.09 31 -0.6241 % 2,874.4
FloatingReset 2.57 % 3.13 % 56,874 4.51 9 -0.7209 % 2,522.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -5.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 3.47 %
BAM.PR.K Floater -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 3.77 %
HSE.PR.A FixedReset -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.33 %
IAG.PR.G FixedReset -2.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 5.62 %
MFC.PR.J FixedReset -2.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.46
Bid-YTW : 5.39 %
MFC.PR.G FixedReset -2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.99
Bid-YTW : 5.26 %
PWF.PR.S Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.93
Evaluated at bid price : 23.33
Bid-YTW : 5.14 %
BAM.PR.M Perpetual-Discount -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.34
Evaluated at bid price : 22.61
Bid-YTW : 5.29 %
MFC.PR.N FixedReset -2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.87 %
BAM.PF.C Perpetual-Discount -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.49
Evaluated at bid price : 22.82
Bid-YTW : 5.35 %
BAM.PR.N Perpetual-Discount -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.30
Evaluated at bid price : 22.57
Bid-YTW : 5.30 %
MFC.PR.K FixedReset -2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 6.15 %
VNR.PR.A FixedReset -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 4.57 %
BAM.PR.C Floater -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 3.76 %
SLF.PR.D Deemed-Retractible -2.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.17
Bid-YTW : 6.39 %
BAM.PF.D Perpetual-Discount -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.96
Evaluated at bid price : 23.35
Bid-YTW : 5.28 %
PWF.PR.L Perpetual-Premium -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 5.20 %
POW.PR.D Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 5.15 %
SLF.PR.C Deemed-Retractible -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.21
Bid-YTW : 6.36 %
MFC.PR.F FixedReset -1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.38
Bid-YTW : 9.44 %
BAM.PR.R FixedReset -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.25 %
SLF.PR.A Deemed-Retractible -1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.79 %
BAM.PR.Z FixedReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.55
Evaluated at bid price : 23.17
Bid-YTW : 4.34 %
SLF.PR.I FixedReset -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.04 %
BAM.PF.B FixedReset -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.09
Evaluated at bid price : 22.38
Bid-YTW : 4.17 %
MFC.PR.L FixedReset -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.22 %
BAM.PR.T FixedReset -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 4.35 %
MFC.PR.H FixedReset -1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.47
Bid-YTW : 4.58 %
MFC.PR.I FixedReset -1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.84
Bid-YTW : 5.38 %
SLF.PR.E Deemed-Retractible -1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.32
Bid-YTW : 6.34 %
SLF.PR.H FixedReset -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 6.79 %
TD.PF.B FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 3.86 %
NA.PR.S FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 21.61
Evaluated at bid price : 22.03
Bid-YTW : 3.95 %
MFC.PR.B Deemed-Retractible -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 5.88 %
BAM.PF.A FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.83
Evaluated at bid price : 23.27
Bid-YTW : 4.28 %
BAM.PF.E FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 21.95
Evaluated at bid price : 22.26
Bid-YTW : 4.18 %
W.PR.M FixedReset -1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.26 %
NA.PR.W FixedReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.94 %
BAM.PF.G FixedReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.74
Evaluated at bid price : 23.57
Bid-YTW : 4.20 %
SLF.PR.J FloatingReset -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.55
Bid-YTW : 8.84 %
IFC.PR.A FixedReset -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.11
Bid-YTW : 7.72 %
TD.PF.C FixedReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 3.87 %
PWF.PR.K Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 23.83
Evaluated at bid price : 24.08
Bid-YTW : 5.15 %
GWO.PR.I Deemed-Retractible -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.21 %
PWF.PR.P FixedReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.01 %
MFC.PR.C Deemed-Retractible -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.31 %
MFC.PR.M FixedReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.67
Bid-YTW : 5.82 %
BAM.PR.B Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.70 %
IFC.PR.C FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.56
Bid-YTW : 5.75 %
SLF.PR.B Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.61 %
GWO.PR.R Deemed-Retractible -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 5.67 %
BMO.PR.T FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 3.87 %
PWF.PR.T FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.50
Evaluated at bid price : 22.85
Bid-YTW : 3.80 %
TD.PF.A FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 21.48
Evaluated at bid price : 21.84
Bid-YTW : 3.84 %
PWF.PR.R Perpetual-Premium -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.88 %
CM.PR.P FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 21.32
Evaluated at bid price : 21.62
Bid-YTW : 3.86 %
NA.PR.X FixedReset -1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.85
Bid-YTW : 3.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.A FloatingReset 174,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.29
Bid-YTW : 3.27 %
GWO.PR.M Deemed-Retractible 130,105 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-21
Maturity Price : 25.50
Evaluated at bid price : 26.05
Bid-YTW : -15.87 %
BAM.PR.R FixedReset 101,701 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.25 %
BMO.PR.C FixedReset 93,355 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.98 %
CM.PR.Q FixedReset 85,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.51
Evaluated at bid price : 23.18
Bid-YTW : 4.05 %
MFC.PR.R FixedReset 83,516 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.11 %
There were 79 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 18.13 – 19.07
Spot Rate : 0.9400
Average : 0.5473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 3.47 %

SLF.PR.I FixedReset Quote: 23.10 – 23.79
Spot Rate : 0.6900
Average : 0.4179

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.04 %

PWF.PR.S Perpetual-Discount Quote: 23.33 – 24.00
Spot Rate : 0.6700
Average : 0.4240

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.93
Evaluated at bid price : 23.33
Bid-YTW : 5.14 %

PWF.PR.L Perpetual-Premium Quote: 24.56 – 25.12
Spot Rate : 0.5600
Average : 0.3347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 5.20 %

PWF.PR.F Perpetual-Premium Quote: 25.03 – 25.58
Spot Rate : 0.5500
Average : 0.3279

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-21
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 2.22 %

BAM.PF.A FixedReset Quote: 23.27 – 23.80
Spot Rate : 0.5300
Average : 0.3149

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-21
Maturity Price : 22.83
Evaluated at bid price : 23.27
Bid-YTW : 4.28 %

April 20, 2017

April 20th, 2017

So, what the Liberal government of Ontario has done for electricity, they are now doing for housing:

Ontario’s Fair Housing Plan introduces a comprehensive package of measures to help more people find affordable homes, increase supply, protect buyers and renters and bring stability to the real estate market.

The roots of the housing price boom are:

  • low interest rates
  • an explosion of CMHC guarantees, and
  • unsatisfactory stock market returns

I don’t see anything in the plan that addresses any of that.

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 -0.4083 % 2,147.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4083 % 3,940.1
Floater 3.55 % 3.65 % 44,980 18.19 4 -0.4083 % 2,270.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1304 % 3,023.7
SplitShare 4.94 % 4.15 % 54,223 0.62 6 -0.1304 % 3,610.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1304 % 2,817.4
Perpetual-Premium 5.28 % -6.10 % 74,238 0.09 23 0.1816 % 2,787.3
Perpetual-Discount 5.08 % 5.07 % 108,450 15.33 13 -0.0032 % 2,997.3
FixedReset 4.38 % 3.96 % 235,704 6.64 94 0.1465 % 2,360.8
Deemed-Retractible 4.98 % 4.49 % 144,737 0.10 31 0.1426 % 2,892.5
FloatingReset 2.55 % 3.11 % 56,094 4.51 9 0.2146 % 2,540.8
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-20
Maturity Price : 22.76
Evaluated at bid price : 23.13
Bid-YTW : 3.75 %
MFC.PR.N FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 5.51 %
TRP.PR.F FloatingReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-20
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 3.29 %
MFC.PR.M FixedReset 2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.98
Bid-YTW : 5.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 360,183 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 3.91 %
TD.PF.D FixedReset 150,378 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-20
Maturity Price : 22.55
Evaluated at bid price : 23.24
Bid-YTW : 4.04 %
BAM.PR.X FixedReset 102,113 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-20
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 4.22 %
RY.PR.M FixedReset 62,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-20
Maturity Price : 22.42
Evaluated at bid price : 23.08
Bid-YTW : 3.96 %
IAG.PR.G FixedReset 56,850 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 5.18 %
BAM.PR.T FixedReset 45,769 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.26 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EML.PR.A FixedReset Quote: 26.62 – 27.09
Spot Rate : 0.4700
Average : 0.3239

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.62
Bid-YTW : 4.01 %

PWF.PR.T FixedReset Quote: 23.13 – 23.43
Spot Rate : 0.3000
Average : 0.1998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-20
Maturity Price : 22.76
Evaluated at bid price : 23.13
Bid-YTW : 3.75 %

BNS.PR.Z FixedReset Quote: 22.12 – 22.45
Spot Rate : 0.3300
Average : 0.2339

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.12
Bid-YTW : 4.85 %

TRP.PR.H FloatingReset Quote: 13.87 – 14.14
Spot Rate : 0.2700
Average : 0.1913

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-20
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 3.37 %

TRP.PR.J FixedReset Quote: 26.82 – 27.10
Spot Rate : 0.2800
Average : 0.2024

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.82
Bid-YTW : 3.81 %

GWO.PR.N FixedReset Quote: 16.05 – 16.30
Spot Rate : 0.2500
Average : 0.1734

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.05
Bid-YTW : 8.73 %

April 19, 2017

April 19th, 2017

So the Toronto real estate market is on fire and, as usual, there are those who consider this a bad thing. So far we’re blaming foreigners and speculators … we only need to bring short sellers into the mix to complete the trifecta! But I found the following chart in an otherwise unexceptional puff-piece to be fascinating:

downtown
Click for Big

PerpetualDiscounts now yield 5.08%, equivalent to 6.60% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.75% so the pre-tax interest equivalent spread is now about 285bp, a significant widening from the 275bp reported April 12.

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 0.3184 % 2,156.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3184 % 3,956.3
Floater 3.53 % 3.65 % 43,093 18.20 4 0.3184 % 2,280.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0913 % 3,027.6
SplitShare 4.93 % 4.05 % 55,999 0.63 6 0.0913 % 3,615.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0913 % 2,821.1
Perpetual-Premium 5.29 % -4.57 % 73,214 0.09 23 -0.1881 % 2,782.3
Perpetual-Discount 5.08 % 5.08 % 109,989 15.35 13 -0.2323 % 2,997.4
FixedReset 4.38 % 3.98 % 239,148 6.63 94 -0.0844 % 2,357.3
Deemed-Retractible 4.99 % 4.37 % 144,791 0.10 31 -0.0654 % 2,888.4
FloatingReset 2.55 % 3.11 % 54,014 4.51 9 -0.1985 % 2,535.4
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.72
Bid-YTW : 8.67 %
BIP.PR.A FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 23.02
Evaluated at bid price : 24.16
Bid-YTW : 4.71 %
MFC.PR.M FixedReset -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.93 %
TRP.PR.C FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 15.78
Evaluated at bid price : 15.78
Bid-YTW : 4.00 %
BAM.PR.R FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.17 %
BAM.PR.Z FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 22.81
Evaluated at bid price : 23.46
Bid-YTW : 4.28 %
TRP.PR.B FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 14.63
Evaluated at bid price : 14.63
Bid-YTW : 3.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.Q FixedReset 356,802 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 22.56
Evaluated at bid price : 23.26
Bid-YTW : 4.03 %
BMO.PR.K Deemed-Retractible 208,288 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-19
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 0.40 %
TRP.PR.K FixedReset 146,214 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 4.07 %
TD.PF.D FixedReset 122,198 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 22.50
Evaluated at bid price : 23.16
Bid-YTW : 4.05 %
SLF.PR.I FixedReset 111,866 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 4.84 %
BMO.PR.C FixedReset 103,728 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 4.02 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Quote: 18.50 – 18.89
Spot Rate : 0.3900
Average : 0.2661

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 7.39 %

MFC.PR.M FixedReset Quote: 21.51 – 21.87
Spot Rate : 0.3600
Average : 0.2567

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.93 %

BAM.PF.G FixedReset Quote: 23.80 – 24.06
Spot Rate : 0.2600
Average : 0.1795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-19
Maturity Price : 22.85
Evaluated at bid price : 23.80
Bid-YTW : 4.15 %

W.PR.M FixedReset Quote: 26.36 – 26.58
Spot Rate : 0.2200
Average : 0.1406

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 3.91 %

SLF.PR.J FloatingReset Quote: 15.72 – 16.00
Spot Rate : 0.2800
Average : 0.2019

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.72
Bid-YTW : 8.67 %

IAG.PR.A Deemed-Retractible Quote: 23.12 – 23.45
Spot Rate : 0.3300
Average : 0.2597

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 5.89 %

April 18, 2017

April 18th, 2017

I missed this drone news from December:

7-Eleven, one of the world’s largest chains of convenience stores, has completed 77 delivers via drone to customers in Reno, Nevada.

The deliveries were made in collaboration with Flirtey, a commercial drone startup that began working with the retail chain over the summer. In November, Flirty made regular deliveries from a 7-Eleven store in Reno to a dozen select customers who used a custom app to place orders, the company said in a release Tuesday.

And Amazon recently delivered sunscreen!

Amazon completed its first public demonstration of a Prime Air drone delivery in the U.S. earlier this week, ferrying sunscreen to attendees at an Amazon-hosted conference in Palm Springs, Calif.

The drone delivery was filmed by an attendee of the invite-only MARS 2017 conference (MARS stands for machine learning, automation, robotics and space exploration). It marks the first time one of the online retailer’s autonomous aircraft was flown for the public in the U.S. outside of Amazon’s private property.

Global bonds were strong today and Canada bonds were no exception:

Canadian bonds rose, sending yields down to levels seen last year, as fresh concerns about the global recovery raised questions about the sustainability of Canada’s growth.

Debt rallied worldwide on Tuesday amid fading confidence in the ability of the U.S. administration to push through growth-supporting policies and mounting geopolitical concerns over North Korean missile tests and the outcome of a looming French election. In Canada, traders looked past a flurry of positive economic data and comments last week from Bank of Canada Governor Stephen Poloz, who took an interest rate cut off the table.

The yield on Canada’s two-year federal government note fell below 0.7 percent for the first time since November, while the rate on the country’s 10-year bond slipped eight basis points, the steepest decline since June, to a five-month low of 1.44 percent.

In an exclusive PrefBlog interview with Fantastic Four Investment Management, portfolio manager The Thing stated:

hulk
Click for Big
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.5305 % 2,149.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5305 % 3,943.7
Floater 3.54 % 3.66 % 43,029 18.17 4 -1.5305 % 2,272.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0913 % 3,024.9
SplitShare 4.93 % 4.06 % 56,590 0.63 6 -0.0913 % 3,612.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0913 % 2,818.5
Perpetual-Premium 5.28 % -5.99 % 71,443 0.09 23 -0.0322 % 2,787.5
Perpetual-Discount 5.07 % 5.07 % 109,452 15.40 13 -0.1546 % 3,004.4
FixedReset 4.38 % 3.95 % 246,785 6.64 94 -1.0588 % 2,359.3
Deemed-Retractible 4.99 % 4.25 % 142,241 0.10 31 -0.3101 % 2,890.3
FloatingReset 2.55 % 3.10 % 52,689 4.52 9 -0.3021 % 2,540.4
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset -2.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 5.65 %
BAM.PF.B FixedReset -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.37
Evaluated at bid price : 22.69
Bid-YTW : 4.11 %
HSE.PR.A FixedReset -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 4.19 %
BAM.PF.A FixedReset -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 23.23
Evaluated at bid price : 23.67
Bid-YTW : 4.21 %
BAM.PR.X FixedReset -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 4.19 %
BAM.PR.B Floater -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.66 %
BAM.PR.R FixedReset -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.12 %
BAM.PR.T FixedReset -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.28 %
TRP.PR.A FixedReset -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.94 %
MFC.PR.K FixedReset -2.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 5.86 %
IFC.PR.A FixedReset -2.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 7.39 %
BAM.PF.E FixedReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.24
Evaluated at bid price : 22.68
Bid-YTW : 4.09 %
MFC.PR.L FixedReset -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 5.92 %
SLF.PR.H FixedReset -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.83
Bid-YTW : 6.45 %
BAM.PR.K Floater -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.69 %
TRP.PR.E FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 3.94 %
MFC.PR.M FixedReset -1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 5.72 %
TRP.PR.D FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.37
Evaluated at bid price : 21.69
Bid-YTW : 4.00 %
BAM.PF.G FixedReset -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.90
Evaluated at bid price : 23.91
Bid-YTW : 4.12 %
BAM.PF.F FixedReset -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 23.04
Evaluated at bid price : 23.95
Bid-YTW : 4.12 %
GWO.PR.N FixedReset -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.04
Bid-YTW : 8.73 %
SLF.PR.G FixedReset -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 8.37 %
TRP.PR.H FloatingReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 3.36 %
MFC.PR.J FixedReset -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.07
Bid-YTW : 4.97 %
TD.PF.A FixedReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.63
Evaluated at bid price : 22.06
Bid-YTW : 3.79 %
TRP.PR.F FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 3.33 %
HSE.PR.C FixedReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.73
Evaluated at bid price : 23.43
Bid-YTW : 4.49 %
TRP.PR.C FixedReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 3.95 %
CU.PR.C FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.98
Evaluated at bid price : 22.51
Bid-YTW : 3.83 %
CM.PR.Q FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.52
Evaluated at bid price : 23.19
Bid-YTW : 4.05 %
CCS.PR.C Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.58 %
TRP.PR.G FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.79
Evaluated at bid price : 23.78
Bid-YTW : 4.15 %
CM.PR.P FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.82 %
CM.PR.O FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.11
Evaluated at bid price : 22.39
Bid-YTW : 3.82 %
TD.PF.D FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.51
Evaluated at bid price : 23.17
Bid-YTW : 4.05 %
MFC.PR.I FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.22
Bid-YTW : 5.12 %
NA.PR.W FixedReset -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 3.83 %
BMO.PR.S FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.33
Evaluated at bid price : 22.62
Bid-YTW : 3.83 %
NA.PR.X FixedReset -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 3.53 %
RY.PR.J FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.65
Evaluated at bid price : 23.38
Bid-YTW : 4.01 %
BMO.PR.T FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 3.83 %
NA.PR.A FixedReset -1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.71 %
BAM.PR.Z FixedReset -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 23.04
Evaluated at bid price : 23.71
Bid-YTW : 4.23 %
RY.PR.H FixedReset -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.05
Evaluated at bid price : 22.31
Bid-YTW : 3.81 %
NA.PR.S FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.34
Evaluated at bid price : 22.64
Bid-YTW : 3.85 %
RY.PR.M FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.40
Evaluated at bid price : 23.05
Bid-YTW : 3.96 %
MFC.PR.G FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 4.82 %
BMO.PR.W FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 3.79 %
BNS.PR.Z FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 4.75 %
RY.PR.Z FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.04
Evaluated at bid price : 22.27
Bid-YTW : 3.77 %
SLF.PR.I FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 4.80 %
HSE.PR.E FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 23.12
Evaluated at bid price : 24.32
Bid-YTW : 4.69 %
TD.PF.C FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.58
Evaluated at bid price : 21.98
Bid-YTW : 3.80 %
TRP.PR.B FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 14.78
Evaluated at bid price : 14.78
Bid-YTW : 3.91 %
HSE.PR.G FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 23.08
Evaluated at bid price : 24.31
Bid-YTW : 4.66 %
TD.PF.E FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.79
Evaluated at bid price : 23.75
Bid-YTW : 4.02 %
BAM.PR.C Floater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.66 %
TD.PF.B FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 3.79 %
MFC.PR.F FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.68
Bid-YTW : 9.14 %
IAG.PR.G FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.14 %
BAM.PF.H FixedReset -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.42
Bid-YTW : 3.44 %
BMO.PR.Y FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.81
Evaluated at bid price : 23.75
Bid-YTW : 3.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.K Deemed-Retractible 412,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-18
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 0.22 %
TRP.PR.K FixedReset 298,768 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.24 %
TD.PF.G FixedReset 86,505 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.10
Bid-YTW : 3.23 %
MFC.PR.H FixedReset 76,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.69
Bid-YTW : 4.44 %
BAM.PF.B FixedReset 71,471 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.37
Evaluated at bid price : 22.69
Bid-YTW : 4.11 %
TRP.PR.B FixedReset 59,270 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 14.78
Evaluated at bid price : 14.78
Bid-YTW : 3.91 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.H FixedReset Quote: 26.42 – 26.83
Spot Rate : 0.4100
Average : 0.2841

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.42
Bid-YTW : 3.44 %

EML.PR.A FixedReset Quote: 26.71 – 27.04
Spot Rate : 0.3300
Average : 0.2227

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.71
Bid-YTW : 3.91 %

VNR.PR.A FixedReset Quote: 21.64 – 21.94
Spot Rate : 0.3000
Average : 0.2167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 21.36
Evaluated at bid price : 21.64
Bid-YTW : 4.46 %

TRP.PR.A FixedReset Quote: 19.20 – 19.49
Spot Rate : 0.2900
Average : 0.2137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.94 %

BAM.PF.B FixedReset Quote: 22.69 – 22.94
Spot Rate : 0.2500
Average : 0.1744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 22.37
Evaluated at bid price : 22.69
Bid-YTW : 4.11 %

BAM.PF.A FixedReset Quote: 23.67 – 23.91
Spot Rate : 0.2400
Average : 0.1665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-18
Maturity Price : 23.23
Evaluated at bid price : 23.67
Bid-YTW : 4.21 %

DeemedRetractible Review: September, 2016

April 17th, 2017

As an example of DeemedRetractible analysis, and as an aid to PrefLetter subscribers who are referred to previous issues, I am publishing the PrefLetter DeemedRetractible Review September 2016. It’s rather a large file!

This is notable for its lengthy argument justifying my belief that the NVCC rules currently applied to banks will be extended by OSFI to preferred shares issued by insurers and insurance holding companies. This argument has recently been buttressed by OSFI’s public commentary on the revision of the global insurance rules, as reported in the post OSFI Dovish on Insurance Tier 1 Eligibility Rule.