September 16, 2019

September 16th, 2019

Over the weekend, global markets received another lesson in why market timing doesn’t work:

Oil ended nearly 15 per cent higher on Monday, with Brent logging its biggest jump in over 30 years and a record trading volumes, after an attack on Saudi Arabian crude facilities cut the kingdom’s production in half and intensified concerns of retaliation in the Middle East.

Brent crude futures settled at $69.02 a barrel, rising $8.80, or 14.6 per cent, its largest one-day percentage gain since at least 1988.

U.S. West Texas Intermediate (WTI) futures ended at $62.90 a barrel, soaring $8.05, or 14.7 per cent – the biggest one-day percentage gain since December 2008.

Trades also ramped up, with Brent futures surpassing 2 million lots, an all-time daily volume record, Intercontinental Exchange spokeswoman Rebecca Mitchell said.

Saudi Arabia is the world’s biggest oil exporter and, with its comparatively large spare capacity, has been the supplier of last resort for decades.

The attack on state-owned producer Saudi Aramco’s crude-processing facilities at Abqaiq and Khurais cut output by 5.7 million barrels per day and threw into question its ability to maintain oil exports.

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 -1.4148 % 1,913.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4148 % 3,510.2
Floater 6.30 % 6.41 % 54,389 13.35 4 -1.4148 % 2,022.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1412 % 3,381.2
SplitShare 4.66 % 4.58 % 61,188 4.03 7 0.1412 % 4,037.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1412 % 3,150.6
Perpetual-Premium 5.61 % -17.47 % 64,547 0.09 6 0.0781 % 2,985.0
Perpetual-Discount 5.45 % 5.59 % 62,831 14.45 28 -0.0667 % 3,145.1
FixedReset Disc 5.51 % 5.53 % 173,841 14.32 73 0.0265 % 2,083.1
Deemed-Retractible 5.26 % 5.94 % 74,388 7.90 27 -0.0985 % 3,131.1
FloatingReset 4.48 % 6.72 % 57,278 8.06 3 -0.1559 % 2,369.7
FixedReset Prem 5.24 % 3.99 % 131,493 1.60 14 0.1674 % 2,585.5
FixedReset Bank Non 1.97 % 4.31 % 87,180 2.29 3 0.4595 % 2,668.0
FixedReset Ins Non 5.42 % 7.81 % 109,194 7.90 21 0.0800 % 2,132.0
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -4.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 10.33
Evaluated at bid price : 10.33
Bid-YTW : 6.71 %
GWO.PR.R Deemed-Retractible -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 6.35 %
CM.PR.S FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 5.49 %
CM.PR.Q FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 5.90 %
NA.PR.E FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.59 %
BNS.PR.I FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 5.17 %
EMA.PR.C FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 6.00 %
TRP.PR.A FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 13.19
Evaluated at bid price : 13.19
Bid-YTW : 6.51 %
BAM.PR.X FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 6.29 %
MFC.PR.H FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.57
Bid-YTW : 7.00 %
TRP.PR.F FloatingReset -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 6.72 %
BIP.PR.A FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 7.12 %
BAM.PF.J FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 22.83
Evaluated at bid price : 23.77
Bid-YTW : 4.96 %
MFC.PR.I FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.02
Bid-YTW : 7.80 %
MFC.PR.F FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.06
Bid-YTW : 10.42 %
BIP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 22.23
Evaluated at bid price : 22.60
Bid-YTW : 5.80 %
EML.PR.A FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.05 %
HSE.PR.C FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 6.92 %
HSE.PR.G FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.99 %
BAM.PR.Z FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 6.08 %
HSE.PR.A FixedReset Disc 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 6.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.I FixedReset Disc 94,090 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.50 %
BMO.PR.D FixedReset Disc 57,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 5.48 %
CM.PR.R FixedReset Disc 57,455 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 5.69 %
CU.PR.C FixedReset Disc 53,668 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.62 %
BNS.PR.H FixedReset Disc 30,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.00 %
RY.PR.M FixedReset Disc 27,012 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.51 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Disc Quote: 16.80 – 17.92
Spot Rate : 1.1200
Average : 0.6896

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 6.92 %

GWO.PR.R Deemed-Retractible Quote: 22.11 – 22.85
Spot Rate : 0.7400
Average : 0.4671

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 6.35 %

MFC.PR.H FixedReset Ins Non Quote: 20.57 – 21.18
Spot Rate : 0.6100
Average : 0.3903

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.57
Bid-YTW : 7.00 %

BAM.PR.K Floater Quote: 10.33 – 10.91
Spot Rate : 0.5800
Average : 0.4059

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-16
Maturity Price : 10.33
Evaluated at bid price : 10.33
Bid-YTW : 6.71 %

BIP.PR.B FixedReset Prem Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.2510

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.04 %

IFC.PR.E Deemed-Retractible Quote: 23.60 – 24.20
Spot Rate : 0.6000
Average : 0.4573

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 5.94 %

September PrefLetter Released!

September 15th, 2019

The September, 2019, 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 PrefLetter, 2019, issue, while the “Next Edition” will be the October, 2019, issue, scheduled to be prepared as of the close October 11, 2019, and eMailed to subscribers prior to market-opening on October 15 (the day after Thanksgiving).

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?).

Fiera Acquires Natixis Investment Managers

September 14th, 2019

This is pretty old at this point and therefore a tad embarrassing to post, but …

Fiera Capital Corporation has announced (on 2019-7-3):

that it completed today the acquisition of all the issued and outstanding shares of Natixis Investment Managers Canada Corp. (“Natixis Corp”), the holding company of Natixis Investment Managers Canada LP (“Natixis LP”), acting as investment fund manager of publicly and privately distributed investment funds (the “Natixis Funds”).

Natixis LP is based in Toronto and the value of the assets of the Natixis Funds amount to approximately C$1.8 billion as at March 31, 2019. Natixis LP will continue to operate as a distinct legal entity from Fiera Capital and there are no immediate plans to change Natixis LP’s senior management team, the investment objectives of the Natixis Funds, increase the management fees or operating expenses paid by the Natixis Funds or change the role of Natixis LP as investment fund manager of the Natixis Funds. Natixis Corp, Natixis LP and the Natixis Funds will be rebranded as “Fiera Investments” in conjunction with closing.

The acquisition relates to the long-term strategic partnership between Fiera Capital and Natixis Investment Managers S.A. announced on May 9, 2019, establishing Fiera Capital as Natixis Investment Managers S.A.’s preferred Canadian distribution platform.

There is a document on SEDAR that I am not permitted to link to because the Canadian Securities Administrators believe that public documents shouldn’t be all that public, but it may be found by searching for “Fiera Canadian Preferred Share Class (formerly Natixis Canadian Preferred Share Class) Aug 30 2019 11:52:53 ET Notice PDF 389 K”, to the effect that, among other fund name changes, “Natixis Canadian Preferred Share Class” became “Fiera Canadian Preferred Share Class”.

September 13, 2019

September 13th, 2019

And now it’s time to start preparing PrefLetter!

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 -0.4249 % 1,940.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4249 % 3,560.6
Floater 6.21 % 6.35 % 54,742 13.43 4 -0.4249 % 2,052.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0452 % 3,376.5
SplitShare 4.67 % 4.61 % 61,324 4.03 7 0.0452 % 4,032.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0452 % 3,146.1
Perpetual-Premium 5.61 % -15.70 % 64,813 0.09 6 -0.0845 % 2,982.7
Perpetual-Discount 5.44 % 5.59 % 63,576 14.46 28 0.3001 % 3,147.2
FixedReset Disc 5.51 % 5.55 % 177,548 14.32 73 0.4511 % 2,082.6
Deemed-Retractible 5.26 % 5.85 % 74,656 7.91 27 0.1918 % 3,134.2
FloatingReset 4.48 % 6.63 % 57,705 8.07 3 0.6868 % 2,373.4
FixedReset Prem 5.25 % 4.04 % 136,446 1.61 14 0.0614 % 2,581.2
FixedReset Bank Non 1.98 % 4.42 % 87,952 2.30 3 -0.5126 % 2,655.8
FixedReset Ins Non 5.42 % 7.87 % 112,245 7.92 21 0.6016 % 2,130.3
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 5.85 %
PWF.PR.R Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 24.76
Evaluated at bid price : 25.00
Bid-YTW : 5.57 %
CM.PR.Y FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 23.06
Evaluated at bid price : 24.70
Bid-YTW : 5.23 %
IAF.PR.I FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 7.54 %
IAF.PR.B Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.13 %
GWO.PR.R Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.04 %
POW.PR.G Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 24.92
Evaluated at bid price : 25.16
Bid-YTW : 5.65 %
TD.PF.C FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.53 %
MFC.PR.H FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.82 %
MFC.PR.M FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.34
Bid-YTW : 9.13 %
TRP.PR.A FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 6.41 %
TD.PF.D FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.55 %
BAM.PF.J FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 22.94
Evaluated at bid price : 24.02
Bid-YTW : 4.89 %
HSE.PR.E FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.01 %
MFC.PR.Q FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 7.91 %
BMO.PR.Y FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.63 %
SLF.PR.I FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.57
Bid-YTW : 7.77 %
SLF.PR.J FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 10.47 %
BAM.PF.F FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.24 %
CM.PR.Q FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 5.80 %
GWO.PR.N FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.52
Bid-YTW : 8.99 %
TD.PF.E FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 5.55 %
IFC.PR.A FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.76 %
EMA.PR.F FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.21 %
BAM.PF.E FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.30 %
HSE.PR.C FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 7.04 %
TD.PF.A FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 5.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.D Perpetual-Discount 133,858 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 22.11
Evaluated at bid price : 22.39
Bid-YTW : 5.67 %
CU.PR.C FixedReset Disc 119,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.65 %
CM.PR.R FixedReset Disc 54,269 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.72 %
BAM.PR.X FixedReset Disc 52,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.20 %
TRP.PR.K FixedReset Disc 52,259 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.76 %
MFC.PR.R FixedReset Ins Non 45,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.14
Bid-YTW : 5.67 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.E FixedReset Disc Quote: 19.78 – 20.23
Spot Rate : 0.4500
Average : 0.2870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 5.55 %

HSE.PR.G FixedReset Disc Quote: 17.67 – 18.19
Spot Rate : 0.5200
Average : 0.3871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 7.11 %

BAM.PF.G FixedReset Disc Quote: 17.40 – 17.83
Spot Rate : 0.4300
Average : 0.2976

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.27 %

IFC.PR.E Deemed-Retractible Quote: 23.77 – 24.20
Spot Rate : 0.4300
Average : 0.3009

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 5.85 %

IAF.PR.G FixedReset Ins Non Quote: 19.02 – 19.37
Spot Rate : 0.3500
Average : 0.2227

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.02
Bid-YTW : 7.54 %

RY.PR.J FixedReset Disc Quote: 19.16 – 19.49
Spot Rate : 0.3300
Average : 0.2065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-13
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.56 %

FixedReset Prospectuses Are Imprecise!

September 13th, 2019

As we all know, FixedResets will reset their dividend every five years based on the Government of Canada Five Year yield (“GOC-5 rate” or “GOC-5 yield”) and therefore the prospectus for each issue needs to include information regarding exactly how that yield is determined.

The prospectus for ALA.PR.G (chosen because I can link to it!) contains typical language with respect to this process:

“Bloomberg Screen GCAN5YR Page” means the display designated as page “GCAN5YR” on the Bloomberg Financial L.P. service (or such other page as may replace the GCAN5YR page on that service) for purposes of displaying Government of Canada bond yields.

“Government of Canada Yield” on any date means the yield to maturity on such date (assuming semi-annual compounding) of a Canadian dollar denominated non-callable Government of Canada bond with a term to maturity of five years as quoted as of 10:00 a.m. (Toronto time) on such date and that appears on he Bloomberg Screen GCAN5YR Page on such date; provided that if such rate does not appear on the Bloomberg Screen GCAN5YR Page on such date, then the Government of Canada Yield shall mean the arithmetic average of the yields quoted to AltaGas by two registered Canadian investment dealers selected by AltaGas as being the annual yield to maturity on such date, compounded semi-annually, that a non-callable Government of Canada bond would carry if issued, in Canadian dollars, at 100% of its principal amount on such date with a term to maturity of five years.

I am not aware of any material differences in the definitions between prospectuses.

So this sounds pretty good, right? The GOC-5 yield will be calculated by an independent third party with no ambiguity and complete verifiability, right? Wrong.

As noted in the post Reset Calculation Oddity for 2019-9-30 / 2019-10-1, the following four issues had the GOC-5 rate underlying their dividends recalculated by their issuers on September 3:

Basis Comparison of Resets
Ticker Issue Reset Spread Announced Rate Implied GOC-5 Yield Screenshot
ALA.PR.G 306bp 4.242% 1.182% LINK
EFN.PR.E 472bp 5.903% 1.183% LINK
BAM.PF.F 286bp 4.029% 1.169% LINK
DC.PR.B 410bp 5.284% 1.184% LINK

The AltaGas screenshot shows they made a slight mistake: the time of the screenshot is 10:00:18, so they missed their proper time by 18 seconds, although they could argue that the prospectus only uses four significant figures and therefore their calculation is completely OK. However, each of the other screenshots shows a genuine effort being made to determine just what exactly the GOC-5 rate was at 10:00:00.00000 and each methodology resulted in a different answer.

Four companies, four identically specified calculations, four different answers.

I will be the first to agree that the variance is minor: the spread between the highest and lowest measurement is only 1.5bp and that’s not a lot. On a typical issue size of $250-million, that comes to $37,500 annually or $187,500 over the full five years. On a per-share basis, a 1.5bp yield difference comes to $0.00375 p.a., slightly less than two cents over the full five years.

But that’s not the point. First, the prospectus should specify the yield to be used in a completely precise manner. To quote again from the representative language of the ALA.PR.G prospectus:

“Annual Fixed Dividend Rate” means, for any Subsequent Fixed Rate Period, the annual rate of interest (expressed as a percentage rounded to the nearest one hundred thousandth of one percent (with 0.000005% being rounded up)) equal to the sum of the Government of Canada Yield on the applicable Fixed Rate Calculation Date and 3.06%.

What’s the point of being so horrifyingly precise about the rounding of the Annual Fixed Dividend Rate when the underlying figure is nowhere near that precisely measured?

In addition, once this becomes widely known, what’s to prevent a company from determining the GOC-5 yield in as many ways as their Bloomberg users can invent and choosing the lowest answer?

Clearly, the Bloomberg methodology is not adequate for the task of determining a precise, public, third-party figure and the procedure needs to be changed. The first alternative that leaps to mind is the Bank of Canada’s bond yield reporting:

Selected benchmark bond yields are based on mid-market closing yields of selected Government of Canada bond issues that mature approximately in the indicated terms. The bond issues used are not necessarily the ones with the remaining time to maturity that is the closest to the indicated term and may differ from other sources. The selected 2-, 5-, 10-, or 30-year issues are generally changed when a building benchmark bond is adopted by financial markets as a benchmark, typically after the last auction for that bond.

Yes, it’s not quite the same thing and yes, there might be a perceived problem if the benchmark changes near the time of calculation (typically, new benchmarks will trade to yield less than the ‘off the run’ issues they supersede). I don’t care. I want something precise, public (certainly more public than a subscription to a Bloomberg terminal!) and prepared by an independent third party. If somebody has a better idea, let’s hear it.

September 12, 2019

September 12th, 2019
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 0.5432 % 1,948.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5432 % 3,575.8
Floater 6.18 % 6.35 % 54,098 13.43 4 0.5432 % 2,060.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1974 % 3,375.0
SplitShare 4.67 % 4.61 % 63,560 4.04 7 -0.1974 % 4,030.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1974 % 3,144.7
Perpetual-Premium 5.61 % -18.66 % 63,279 0.09 6 0.0455 % 2,985.2
Perpetual-Discount 5.46 % 5.63 % 65,395 14.41 28 0.2557 % 3,137.8
FixedReset Disc 5.53 % 5.41 % 174,111 14.50 73 -0.0104 % 2,073.2
Deemed-Retractible 5.26 % 5.93 % 75,758 7.91 27 0.3670 % 3,128.2
FloatingReset 4.48 % 6.66 % 59,674 8.06 3 0.1572 % 2,357.2
FixedReset Prem 5.26 % 4.03 % 132,312 1.61 14 0.0119 % 2,579.6
FixedReset Bank Non 1.97 % 4.19 % 89,318 2.31 3 0.2222 % 2,669.5
FixedReset Ins Non 5.44 % 7.86 % 110,253 7.95 21 0.3048 % 2,117.6
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -2.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.65 %
HSE.PR.C FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 7.00 %
RY.PR.H FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.22 %
CM.PR.Q FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.72 %
BAM.PR.C Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 10.83
Evaluated at bid price : 10.83
Bid-YTW : 6.40 %
PVS.PR.E SplitShare -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.92 %
EMA.PR.F FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 6.14 %
IFC.PR.A FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.54
Bid-YTW : 9.90 %
SLF.PR.E Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.67 %
SLF.PR.H FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.92
Bid-YTW : 8.78 %
TRP.PR.D FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 16.43
Evaluated at bid price : 16.43
Bid-YTW : 5.85 %
SLF.PR.G FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.30
Bid-YTW : 10.13 %
GWO.PR.H Deemed-Retractible 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.29 %
SLF.PR.B Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.26 %
BAM.PF.G FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 6.12 %
BAM.PR.Z FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.07 %
BAM.PF.J FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 22.78
Evaluated at bid price : 23.69
Bid-YTW : 4.97 %
BAM.PF.F FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.14 %
MFC.PR.F FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.90
Bid-YTW : 10.39 %
TRP.PR.G FixedReset Disc 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 6.08 %
PWF.PR.A Floater 3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 5.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset Ins Non 140,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 3.99 %
CU.PR.C FixedReset Disc 102,813 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 5.45 %
MFC.PR.H FixedReset Ins Non 77,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.86 %
TRP.PR.B FixedReset Disc 62,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 5.95 %
MFC.PR.N FixedReset Ins Non 54,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.89
Bid-YTW : 9.23 %
BMO.PR.F FixedReset Disc 52,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 22.82
Evaluated at bid price : 24.05
Bid-YTW : 5.10 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.75 – 24.59
Spot Rate : 0.8400
Average : 0.6190

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.65 %

GWO.PR.N FixedReset Ins Non Quote: 14.25 – 14.75
Spot Rate : 0.5000
Average : 0.3797

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 9.06 %

PWF.PR.S Perpetual-Discount Quote: 21.58 – 21.90
Spot Rate : 0.3200
Average : 0.2141

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 21.58
Evaluated at bid price : 21.58
Bid-YTW : 5.64 %

BNS.PR.Y FixedReset Bank Non Quote: 24.55 – 24.95
Spot Rate : 0.4000
Average : 0.3187

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 3.17 %

PWF.PR.R Perpetual-Discount Quote: 24.75 – 24.95
Spot Rate : 0.2000
Average : 0.1268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-12
Maturity Price : 24.51
Evaluated at bid price : 24.75
Bid-YTW : 5.63 %

GWO.PR.I Deemed-Retractible Quote: 20.88 – 21.10
Spot Rate : 0.2200
Average : 0.1518

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.88
Bid-YTW : 6.74 %

September 11, 2019

September 11th, 2019

It appears that anybody who doesn’t like the idea of negative interest rates is an enemy of the people:

U.S. President Donald Trump on Wednesday called on the “boneheads” at the Federal Reserve to push interest rates down into negative territory, a move reluctantly used by other world central banks to battle weak economic growth that risks punishing savers and banks’ earnings in the process.

Trump, in a pair of Twitter posts, said negative rates would save the government money on its debt, which including Social Security accounts has reached a record $22 trillion on Trump’s watch.

“It is only the naïveté of (Fed Chairman) Jay Powell and the Federal Reserve that doesn’t allow us to do what other countries are already doing,” added Trump, who has repeatedly noted that rates are negative in Germany, Europe’s trading powerhouse.

Pew Research has a nice page on the US federal debt:

Net interest payments on the debt are estimated to total $393.5 billion this fiscal year, or 8.7% of all federal outlays. (The government projects it will pay out a total of $593.1 billion in interest in fiscal 2019, which ends Sept. 30, but that includes interest credited to Social Security and other government trust funds.) By comparison, debt service was more than 15% of federal outlays in the mid-1990s. The share has fallen partly because lower rates have held down interest payments, but also because outlays have risen substantially, up about 29% over the past decade.

usfederaldebt_190911
Click for Big

Rent control has come to California! I started reading the article prepared to hate the idea, but they’ve actually done a reasonable job:

California lawmakers approved a statewide rent cap on Wednesday covering millions of tenants, the biggest step yet in a surge of initiatives to address an affordable-housing crunch nationwide.

The bill limits annual rent increases to 5 percent after inflation and offers new barriers to eviction, providing a bit of housing security in a state with the nation’s highest housing prices and a swelling homeless population.

In February, Oregon lawmakers became the first to pass statewide rent control, limiting increases to 7 percent annually plus inflation.

Economists from both the left and the right have a well-established aversion to rent control, arguing that such policies ignore the message of rising prices, which is to build more housing. Studies in San Francisco and elsewhere show that price caps often prompt landlords to abandon the rental business by converting their units to owner-occupied homes. And since rent controls typically have no income threshold, they have been faulted for benefiting high-income tenants.

But many of the same studies show that rent-control policies have been effective at shielding tenants from evictions and sudden rent increases, particularly the lower-income and older tenants who are at a high risk of becoming homeless.

Allowing increases in excess of inflation gives comfort to landlords that they will, eventually, be able to charge the tenant the market rate, while protecting the tenant from ludicrous increases. Avoiding the dislocation inherent in the face of extortionate increases and allowing tenants to plan is a public good that is worth money, even though it is assigned zero value in the disapproving studies.

PerpetualDiscounts now yield 5.63%, equivalent to 7.32% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.17%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remains at 415bp (where it was on September 4, close to the post-Credit Crunch record of 420bp set August 28. The latter value is second only to the 445bp recorded November 26, 2008, a day on which

The TXPR index was down 5.94% on the BCE news.

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 -0.1335 % 1,938.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1335 % 3,556.5
Floater 6.16 % 6.33 % 52,661 13.31 4 -0.1335 % 2,049.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0395 % 3,381.6
SplitShare 4.66 % 4.51 % 63,395 4.04 7 0.0395 % 4,038.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0395 % 3,150.9
Perpetual-Premium 5.61 % -18.19 % 60,474 0.09 6 0.0716 % 2,983.9
Perpetual-Discount 5.46 % 5.63 % 65,354 14.40 28 0.0763 % 3,129.8
FixedReset Disc 5.52 % 5.39 % 175,023 14.54 73 -0.0759 % 2,073.5
Deemed-Retractible 5.28 % 5.95 % 76,944 7.90 27 0.1838 % 3,116.8
FloatingReset 4.49 % 6.63 % 60,331 8.04 3 0.1378 % 2,353.5
FixedReset Prem 5.25 % 3.95 % 132,524 1.62 14 -0.0279 % 2,579.3
FixedReset Bank Non 1.97 % 4.20 % 89,740 2.31 3 0.1251 % 2,663.6
FixedReset Ins Non 5.46 % 7.90 % 102,074 7.95 21 -0.0885 % 2,111.2
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.28 %
NA.PR.C FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.72 %
MFC.PR.H FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.45
Bid-YTW : 6.95 %
TRP.PR.C FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 6.12 %
BMO.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.30 %
CM.PR.Q FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.64 %
BAM.PR.R FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 6.20 %
HSE.PR.C FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 16.39
Evaluated at bid price : 16.39
Bid-YTW : 6.88 %
BAM.PR.B Floater 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 6.33 %
BIP.PR.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.84 %
BAM.PR.X FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 13.06
Evaluated at bid price : 13.06
Bid-YTW : 6.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset Disc 271,158 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.86 %
TRP.PR.E FixedReset Disc 190,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 6.08 %
BAM.PR.T FixedReset Disc 100,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 6.19 %
BAM.PF.H FixedReset Prem 81,120 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.60 %
BAM.PR.R FixedReset Disc 77,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 6.20 %
MFC.PR.N FixedReset Ins Non 52,377 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.84
Bid-YTW : 9.26 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 17.21 – 17.80
Spot Rate : 0.5900
Average : 0.3981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.28 %

IFC.PR.E Deemed-Retractible Quote: 23.90 – 24.23
Spot Rate : 0.3300
Average : 0.2136

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.95 %

W.PR.K FixedReset Prem Quote: 25.31 – 25.82
Spot Rate : 0.5100
Average : 0.4031

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.95 %

BAM.PF.J FixedReset Disc Quote: 23.70 – 24.00
Spot Rate : 0.3000
Average : 0.1960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-11
Maturity Price : 22.79
Evaluated at bid price : 23.70
Bid-YTW : 5.05 %

SLF.PR.B Deemed-Retractible Quote: 21.96 – 22.35
Spot Rate : 0.3900
Average : 0.3009

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 6.43 %

SLF.PR.A Deemed-Retractible Quote: 21.72 – 22.00
Spot Rate : 0.2800
Average : 0.2164

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.72
Bid-YTW : 6.51 %

KML.PR.A & KML.PR.C To Vote On Change To PPL

September 11th, 2019

Pembina Pipeline Corporation has announced:

that it has agreed with Kinder Morgan Canada Limited (TSX: KML) (“KML”) to amend and restate the previously announced arrangement agreement dated August 20, 2019 (the “Arrangement Agreement”) to include the preferred shares of KML in the arrangement transaction pursuant to which Pembina will acquire KML (the “Transaction”). If requisite approval by the holders of KML preferred shares is obtained, upon closing of the Transaction, each outstanding KML preferred share of a series will be exchanged for one preferred share of Pembina with the same commercial terms and conditions as that series of KML preferred shares. The inclusion of KML preferred shares in the Transaction is subject to approval by at least 66 2/3 percent of the votes cast by holders of KML preferred shares, voting together as a single class, present in person or represented by proxy at the special meeting of the holders of KML preferred shares to be held to approve the Transaction, but is not a condition to closing of the Transaction. If KML preferred shareholders do not approve the Transaction but all other conditions to closing are satisfied or waived by the applicable party, the KML preferred shares will remain outstanding as shares in the capital of KML, which will be part of the Pembina group following completion of the Transaction.

Further information regarding the Transaction will be contained in a proxy statement of KML that it will prepare, file and mail to its shareholders in due course in connection with KML voting and preferred special shareholders meetings.

A copy of the amended and restated Arrangement Agreement with respect to the Transaction will be filed under Pembina’s profile on SEDAR at www.sedar.com and on the Company’s website at www.pembina.com.

This follows news that PPL To Acquire KML Under Proposed Plan of Arrangement and that the two KML issues were on Review-Developing by DBRS due to uncertainty.

KML.PR.A is a FixedReset 5.25%+365M525 that commenced trading 2017-8-15 after being announced 2017-8-3. It is tracked by HIMIPref™ but relegated to the Scraps-FixedReset Discount subindex on credit concerns.

KML.PR.C is a FixedReset, 5.20%+351M520, that commenced trading 2017-12-15 after being announced 2017-12-6. It is tracked by HIMIPref™ but relegated to the Scraps-FixedReset Discount subindex on credit concerns.

Hat tip to Assiduous Reader CanSiamCyp for ensuring I was aware of this development.

Update, 2019-09-12: The price movement left the PPL and VSN preferreds trading as equivalents:

impvol_ppl_190911a
Click for Big

The results of this Implied Volatility analysis are a little puzzling, if we look solely at those issues with a minimum reset guarantee.

PPL / KML issues with
Minimum Rate Guarantee
Ticker Terms GOC-5 Floor Bid Fair Value* Rich
(Cheap)
PPL.PF.A +326M490 1.64% 22.15 18.52 3.63
KML.PR.C+351M520 1.69% 22.91 19.38 3.53
KML.PR.A+365M525 1.60% 23.10 19.47 3.63
PPL.PR.M+496M575 0.79% 25.80 22.23 3.59
PPL.PR.K+500M575 0.75% 25.90 22.31 3.59
"Fair Value" is calculated from the Implied Volatility curve derived using the non-floor issues only

It’s very strange. Each of the five issues has approximately the same unexplained value, which we may conjecture is equal to the market value of the Reset Floor, even though:

  • The GOC-5 yields at which these guarantees become applicable varies widely, with three being in-the-money and two out.
  • Two issues are trading at a premium to par, three at a discount

I’m not sure what to make of it. But I will say I’m glad I’m not the guy in the PPL treasury department who has to decide whether or not to call the two issues trading at a premium!

TA.PR.J : Convert or Hold?

September 10th, 2019

It will be recalled that TA.PR.J will reset at 4.988% effective September 30, 2019

TA.PR.J is a FixedReset, 5.30%+380, that commenced trading 2014-8-14 after being announced 2014-8-6. It is tracked by HIMIPref™ and has been assigned to the Scraps index on credit concerns. It was recently downgraded to P-4(high by S&P but remains at Pfd-3(low) with DBRS.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g. TA.PR.J and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_190910
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.79% and +1.10%, respectively (after ignoring FFH.PR.C/FFH.PR.D, which is a huge outlier today). Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the TA.PR.J FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for TA.PR.J) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
TA.PR.J 15.65 380bp 15.93 15.48 15.03

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, TA.PR.J. Therefore, I recommend that holders of TA.PR.J continue to hold the issue and not to convert. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 3:00 p.m. (MST) / 5:00 p.m. (EST) on September 15, 2019. This is a Sunday, but I can only report what the press releases tell me! Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.

September 10, 2019

September 10th, 2019

Global bonds took a hit today, sending yields up again:

Bond yields climbed and a gauge of world stock markets recovered from previous lows to trade flat on Tuesday, as uncertainty grew over the mix of stimulus the European Central Bank will add to boost a slumping economy this week amid fresh signs global growth was slowing.

Germany’s 30-year benchmark bond yield briefly broke into positive territory for the first time since Aug. 5, while U.S. Treasury yields climbed to three-week highs.

Benchmark U.S. 10-year notes last fell 1 point in price to yield 1.7333%, from 1.622% late on Monday.

Canada was not immune:

The Canadian dollar strengthened to a near six-week high against the U.S. dollar on Tuesday, supported by improvement in risk appetite and a less dovish Bank of Canada policy announcement last week than some investors had expected.

The Bank of Canada held interest rates steady last Wednesday and made no mention of future cuts despite easing this year by some of its global peers, including the U.S. Federal Reserve.

Chances of a rate cut at the central bank’s next meeting on Oct. 30 have slumped to about 15% from nearly 70% before last week’s rate decision, money market data showed.

Canadian government bond prices were lower across the yield curve in sympathy with U.S. Treasuries and German Bunds. The 10-year yield touched its highest intraday level since Aug. 1 at 1.435%.

The GOC-5 yield closed at 1.44%, up 6bp.

I see that China has a problem with pork prices:

Things that keep China’s top leaders up at night: a stalling economy, a bruising trade war and, increasingly, pigs.

Specifically, a shortage of pigs, which is fast becoming a national crisis.

The price of pork has been rising for months, and it is now nearly 50 percent higher than it was a year ago, data published on Tuesday showed. Consumers are frustrated, and officials are quietly expressing alarm as they fight the outbreak of a disease that is devastating the country’s pig population and causing the shortage.

As officials brace for steeper price increases — analysts are estimating that pork prices could end the year at double their level from 2018 — the challenge for Beijing is becoming more serious.

I know where they can get some:

China has suspended pork imports from two Canadian companies, according to an interview with Canada’s agricultural minister and a Chinese customs document, marking the latest irritant in a widening diplomatic dispute.

As world trade becomes more globalized and countries become more interdependent, it’s going to get harder for nations to exert pressure on each other, whether for noble reasons I support or otherwise. If interfering with trade causes an equal and opposite reaction in the sanctioning country – and its allies – that directly affects consumers, we’re going to see a lot fewer sanctions.

Asset-Liability matching is something that is glossed over by many pension funds. I’m pleased to see this insouciance attacked in the Globe:

A company’s employees lend the DB Pension Division money in the form of deferred wages. In return, the company promises to provide a pension to those employees when they retire. Until then, the DB Pension Division invests this money with the goal of being able to pay these promised pensions.

However, many DB Pension Divisions are investing this money in a way that’s mismatched from the bond-like promises they made to employees. They make bets on equity markets and interest rates in the hopes of generating excess returns that will make it cheaper to pay these promised pensions.

Imagine – what do you think would happen if you went to your CFO and told her that you had a great idea for a new business. You want to borrow money and invest it in the equity markets to generate excess returns for shareholders. I suspect you’d find that it would be a pretty short and career-limiting conversation!

So why would this idea work for a DB pension plan? What’s clear is that for the past 20 years, it has not.

HOOPP does this right; I harp on this issue every so often, most recently on July 25, 2017.

I enjoyed a Globe feature about GFL; primarily the bits about the gross inefficiency of municipal operations:

He knew GFL could get its trucks rolling faster, and do the job with fewer vehicles, than the city did. He recalls watching slack-jawed as two long lines of trucks, each 40 vehicles deep, formed to fuel up, since city crews only worked during the daytime. As a result, the last trucks didn’t even leave the lot until after 9 a.m. Likewise, maintenance crews clocked out at 5 p.m., he says, which meant all upkeep and repairs had to be done during the day, requiring the city to keep backup trucks on standby. GFL, on the other hand, carried out all maintenance and refuelling overnight. The upshot was that the city had 110 trucks to do the job, while Dovigi’s analysis revealed GFL could do it with 85.

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 1.4909 % 1,940.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4909 % 3,561.2
Floater 6.15 % 6.34 % 53,396 13.29 4 1.4909 % 2,052.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0169 % 3,380.3
SplitShare 4.66 % 4.51 % 63,754 4.04 7 -0.0169 % 4,036.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0169 % 3,149.7
Perpetual-Premium 5.61 % -17.07 % 62,533 0.09 6 0.0717 % 2,981.8
Perpetual-Discount 5.47 % 5.64 % 65,074 14.39 28 0.1122 % 3,127.4
FixedReset Disc 5.52 % 5.41 % 171,297 14.59 73 0.6016 % 2,075.0
Deemed-Retractible 5.29 % 6.03 % 77,895 7.90 27 0.0528 % 3,111.0
FloatingReset 4.49 % 6.63 % 61,017 8.04 3 0.2763 % 2,350.3
FixedReset Prem 5.25 % 3.97 % 133,548 1.62 14 0.0614 % 2,580.0
FixedReset Bank Non 1.98 % 4.20 % 90,753 2.31 3 -0.3740 % 2,660.3
FixedReset Ins Non 5.45 % 7.87 % 102,777 7.95 21 0.9139 % 2,113.0
Performance Highlights
Issue Index Change Notes
BNS.PR.Y FixedReset Bank Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.28
Bid-YTW : 3.64 %
BMO.PR.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 5.23 %
BAM.PR.X FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 6.15 %
HSE.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.89 %
BAM.PF.B FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.03 %
BMO.PR.S FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 5.20 %
BAM.PF.I FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.72 %
HSE.PR.G FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.90 %
BAM.PF.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.29 %
TD.PF.C FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.34 %
TD.PF.A FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 5.33 %
BIP.PR.E FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 21.78
Evaluated at bid price : 22.09
Bid-YTW : 5.66 %
BAM.PR.C Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 6.34 %
TD.PF.E FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 5.52 %
EMA.PR.F FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.10 %
MFC.PR.Q FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.84 %
TD.PF.D FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 5.48 %
MFC.PR.N FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.80
Bid-YTW : 9.29 %
GWO.PR.N FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.28
Bid-YTW : 9.03 %
IAF.PR.G FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.17
Bid-YTW : 7.32 %
BMO.PR.C FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 21.84
Evaluated at bid price : 22.09
Bid-YTW : 5.31 %
RY.PR.M FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 5.41 %
PWF.PR.A Floater 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 11.74
Evaluated at bid price : 11.74
Bid-YTW : 5.96 %
SLF.PR.I FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.06
Bid-YTW : 8.00 %
CM.PR.S FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 5.26 %
IFC.PR.C FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.84
Bid-YTW : 8.12 %
PWF.PR.P FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 5.60 %
SLF.PR.G FixedReset Ins Non 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.13
Bid-YTW : 10.28 %
MFC.PR.G FixedReset Ins Non 2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 7.97 %
RY.PR.J FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 5.37 %
MFC.PR.I FixedReset Ins Non 2.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.12
Bid-YTW : 7.61 %
BAM.PR.K Floater 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 6.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset Disc 198,498 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.05 %
EMA.PR.C FixedReset Disc 133,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 5.84 %
TRP.PR.C FixedReset Disc 100,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 6.04 %
SLF.PR.D Deemed-Retractible 98,260 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.91 %
TD.PF.C FixedReset Disc 95,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.34 %
TRP.PR.J FixedReset Prem 86,677 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.80 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 18.30 – 18.95
Spot Rate : 0.6500
Average : 0.4570

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.70 %

CCS.PR.C Deemed-Retractible Quote: 24.35 – 24.92
Spot Rate : 0.5700
Average : 0.4059

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.33 %

BNS.PR.Y FixedReset Bank Non Quote: 24.28 – 24.80
Spot Rate : 0.5200
Average : 0.3826

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.28
Bid-YTW : 3.64 %

CM.PR.P FixedReset Disc Quote: 16.40 – 16.95
Spot Rate : 0.5500
Average : 0.4201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-10
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.58 %

MFC.PR.M FixedReset Ins Non Quote: 16.01 – 16.40
Spot Rate : 0.3900
Average : 0.2850

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.01
Bid-YTW : 9.20 %

W.PR.K FixedReset Prem Quote: 25.32 – 25.71
Spot Rate : 0.3900
Average : 0.2858

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 4.91 %