Archive for January, 2018

January 19, 2018

Friday, January 19th, 2018
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 0.1414 % 2,907.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1414 % 5,335.4
Floater 3.41 % 3.53 % 35,924 18.45 4 0.1414 % 3,074.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1628 % 3,157.5
SplitShare 4.65 % 4.03 % 66,775 3.39 5 -0.1628 % 3,770.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1628 % 2,942.1
Perpetual-Premium 5.38 % 0.68 % 65,028 0.09 18 -0.1268 % 2,853.7
Perpetual-Discount 5.33 % 5.28 % 72,777 14.94 16 -0.1532 % 2,983.8
FixedReset 4.20 % 4.42 % 142,604 4.05 99 0.0368 % 2,529.8
Deemed-Retractible 5.07 % 5.44 % 79,965 5.83 28 -0.0622 % 2,941.5
FloatingReset 3.04 % 2.92 % 41,876 3.80 10 -0.0391 % 2,765.8
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.00 %
TRP.PR.C FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.64 %
BNS.PR.Z FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 4.21 %
BAM.PF.F FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.53
Evaluated at bid price : 24.65
Bid-YTW : 4.85 %
TRP.PR.H FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.64 %
RY.PR.N Perpetual-Premium -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 24.67
Evaluated at bid price : 25.10
Bid-YTW : 4.93 %
PWF.PR.L Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.44
Evaluated at bid price : 23.73
Bid-YTW : 5.38 %
NA.PR.S FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.06
Evaluated at bid price : 23.53
Bid-YTW : 4.61 %
BAM.PR.R FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.91 %
SLF.PR.J FloatingReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 6.35 %
GWO.PR.N FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.81
Bid-YTW : 7.40 %
BAM.PR.T FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.87 %
TRP.PR.G FixedReset 1.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.B FloatingReset 377,974 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.69
Bid-YTW : 3.03 %
POW.PR.G Perpetual-Premium 228,678 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 24.83
Evaluated at bid price : 25.17
Bid-YTW : 5.59 %
POW.PR.C Perpetual-Premium 226,257 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-02-18
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : -24.90 %
PWF.PR.L Perpetual-Discount 209,698 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.44
Evaluated at bid price : 23.73
Bid-YTW : 5.38 %
CM.PR.S FixedReset 191,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.15
Evaluated at bid price : 24.96
Bid-YTW : 4.36 %
BNS.PR.Q FixedReset 141,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.54 %
TD.PR.T FloatingReset 127,183 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 2.92 %
SLF.PR.J FloatingReset 125,476 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 6.35 %
BNS.PR.D FloatingReset 118,802 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.79
Bid-YTW : 3.47 %
TRP.PR.K FixedReset 107,895 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.93 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.I Deemed-Retractible Quote: 21.91 – 22.32
Spot Rate : 0.4100
Average : 0.2596

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.91
Bid-YTW : 6.82 %

RY.PR.N Perpetual-Premium Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.2564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 24.67
Evaluated at bid price : 25.10
Bid-YTW : 4.93 %

CM.PR.O FixedReset Quote: 23.71 – 24.09
Spot Rate : 0.3800
Average : 0.2421

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.29
Evaluated at bid price : 23.71
Bid-YTW : 4.48 %

PWF.PR.T FixedReset Quote: 24.61 – 25.03
Spot Rate : 0.4200
Average : 0.2951

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 24.18
Evaluated at bid price : 24.61
Bid-YTW : 4.40 %

BAM.PF.F FixedReset Quote: 24.65 – 25.00
Spot Rate : 0.3500
Average : 0.2400

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 23.53
Evaluated at bid price : 24.65
Bid-YTW : 4.85 %

POW.PR.G Perpetual-Premium Quote: 25.17 – 25.45
Spot Rate : 0.2800
Average : 0.1766

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-19
Maturity Price : 24.83
Evaluated at bid price : 25.17
Bid-YTW : 5.59 %

CM.PR.S Settles Firm on Good Volume

Friday, January 19th, 2018

Canadian Imperial Bank of Commerce has announced:

that it has completed the offering of 18 million Basel III-compliant Non-cumulative Rate Reset Class A Preferred Shares Series 47 (Non-Viability Contingent Capital (NVCC)) (the “Series 47 Shares”) priced at $25.00 per share to raise gross proceeds of $450 million.

The offering was made through a syndicate of underwriters led by CIBC Capital Markets. The Series 47 Shares commence trading on the Toronto Stock Exchange today under the ticker symbol CM.PR.S.

The Series 47 Shares were issued under a prospectus supplement dated January 11, 2018, to CIBC’s short form base shelf prospectus dated March 16, 2016.

CIBC has designated the Series 47 Shares as eligible to participate in the CIBC Shareholder Investment Plan along with Series 41, 43 and 45. Holders of eligible shares may elect to have dividends on those preferred shares reinvested in common shares if they reside in Canada, or may elect stock dividends if they reside in the U.S. See “CIBC Shareholder Investment Plan” at www.cibc.com for more information.

The CIBC Shareholder Investment Plan – hard to find on their website! – is described here.

CM.PR.S is a FixedReset, 4.50%+245, NVCC-compliant, announced January 10. It will be tracked by HIMIPref™ and is assigned to the FixedReset subindex.

The issue traded 734,395 shares today in a range of 24.94-00 before closing at 24.96-97. Vital statistics are:

CM.PR.S FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 23.15
Evaluated at bid price : 24.96
Bid-YTW : 4.36 %

This issue looks quite expensive to me, but quantifying the degree of richness is difficult. According to Implied Volatility Analysis:

impvol_cm_180118
Click for Big

Well, it’s starting to get monotonous, but we see in this chart many of the same features we saw when reviewing the recent BIP new issue as well as last week’s BEP.PR.M issue, the CM issue and NA issue:

  • The curve is very steep, with Implied Volatility equal to 40% (a ridiculously large figure), and
  • The extant issues are trading relatively near to par

The ludicrously high figure of Implied Volatility is something I take to mean that the underlying assumption of the Black-Scholes model, that of no directionality of prices, is not accepted by the market; in turn, I suggest that this reflects a rather touching faith that the existence of a minimum rate guarantee on reset also indicates that the issues will never, ever trade below par. There will be a lot of long faces when this test gets failed in the future! All it will take is a spread-widening, whether market-wide or company-specific.

However, for the long term, I suggest that any change in the slope of the curve will be a flattening, with a very high degree of confidence. This will imply that the higher-spread issues will outperform the lower-spread issues.

I cannot even begin to imagine what the buyers of this issue must have been thinking. For example, CM.PR.O is a FixedReset, 3.90%+232, that commenced trading 2014-6-11 after being announced 2014-6-2. It resets 2019-7-31. It closed today at 23.71, very close to the fair value calculated by the above analysis of 23.68. How in the name of God’s Green Earth can anybody reconcile the prices of these two issues? [Hint: Maybe the 3% stockbrokers’ selling commission has something to do with it.]

All told, though, I have no hesitation in slapping a ‘Very Expensive’ label on this issue. According to the analysis illustrated by the above chart, the fair price is 23.94.

January 18, 2018

Friday, January 19th, 2018
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 0.3405 % 2,903.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3405 % 5,327.8
Floater 3.41 % 3.55 % 35,366 18.41 4 0.3405 % 3,070.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.4125 % 3,162.7
SplitShare 4.64 % 4.01 % 64,907 3.40 5 0.4125 % 3,776.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4125 % 2,946.9
Perpetual-Premium 5.37 % 1.21 % 62,859 0.09 18 0.1445 % 2,857.4
Perpetual-Discount 5.32 % 5.29 % 73,476 14.97 16 0.1589 % 2,988.4
FixedReset 4.20 % 4.44 % 142,181 4.05 99 0.1569 % 2,528.9
Deemed-Retractible 5.07 % 5.36 % 79,272 5.84 28 0.1795 % 2,943.3
FloatingReset 3.04 % 2.88 % 38,775 1.00 10 -0.0651 % 2,766.9
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 23.05
Evaluated at bid price : 24.13
Bid-YTW : 4.93 %
TRP.PR.B FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 4.60 %
TRP.PR.C FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.57 %
TRP.PR.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.69 %
GWO.PR.N FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.63 %
BAM.PR.T FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 4.94 %
IFC.PR.A FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.80 %
BAM.PF.F FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 23.65
Evaluated at bid price : 24.95
Bid-YTW : 4.78 %
IFC.PR.C FixedReset 1.62 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 4.71 %
BAM.PF.I FixedReset 2.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.S FixedReset 734,395 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 23.15
Evaluated at bid price : 24.96
Bid-YTW : 4.36 %
TRP.PR.K FixedReset 161,668 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.93 %
BMO.PR.R FloatingReset 152,813 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 2.91 %
CU.PR.C FixedReset 57,720 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 21.91
Evaluated at bid price : 22.35
Bid-YTW : 4.67 %
TD.PF.H FixedReset 48,788 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 3.66 %
TRP.PR.J FixedReset 37,520 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.78 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Quote: 20.61 – 21.17
Spot Rate : 0.5600
Average : 0.3637

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.69 %

TRP.PR.G FixedReset Quote: 24.13 – 24.57
Spot Rate : 0.4400
Average : 0.3190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 23.05
Evaluated at bid price : 24.13
Bid-YTW : 4.93 %

CU.PR.G Perpetual-Discount Quote: 21.96 – 22.28
Spot Rate : 0.3200
Average : 0.2011

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 21.63
Evaluated at bid price : 21.96
Bid-YTW : 5.18 %

NA.PR.S FixedReset Quote: 23.29 – 23.59
Spot Rate : 0.3000
Average : 0.1963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 22.83
Evaluated at bid price : 23.29
Bid-YTW : 4.66 %

HSE.PR.E FixedReset Quote: 25.05 – 25.33
Spot Rate : 0.2800
Average : 0.1774

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.53 %

BMO.PR.T FixedReset Quote: 23.82 – 24.09
Spot Rate : 0.2700
Average : 0.1689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-18
Maturity Price : 23.42
Evaluated at bid price : 23.82
Bid-YTW : 4.44 %

January 17, 2018

Wednesday, January 17th, 2018

PerpetualDiscounts now yield 5.30%, equivalent to 6.89% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, a significant widening from the 295bp reported January 10.

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 1.5855 % 2,893.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5855 % 5,309.7
Floater 3.18 % 3.31 % 35,275 18.97 4 1.5855 % 3,060.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1169 % 3,149.7
SplitShare 4.66 % 4.07 % 60,088 3.40 5 0.1169 % 3,761.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1169 % 2,934.8
Perpetual-Premium 5.38 % 1.10 % 61,993 0.09 18 0.0701 % 2,853.3
Perpetual-Discount 5.33 % 5.30 % 74,034 14.94 16 0.1645 % 2,983.7
FixedReset 4.20 % 4.44 % 140,325 4.10 98 0.1686 % 2,524.9
Deemed-Retractible 5.08 % 5.42 % 78,611 5.84 28 0.1010 % 2,938.0
FloatingReset 3.03 % 2.87 % 40,279 1.01 10 0.3134 % 2,768.7
Performance Highlights
Issue Index Change Notes
BAM.PF.I FixedReset -3.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.60 %
RY.PR.Z FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 23.44
Evaluated at bid price : 23.89
Bid-YTW : 4.40 %
PWF.PR.P FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.52 %
TRP.PR.A FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 4.64 %
BAM.PR.B Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.31 %
TRP.PR.H FloatingReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 3.62 %
RY.PR.H FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 23.66
Evaluated at bid price : 24.05
Bid-YTW : 4.41 %
PWF.PR.A Floater 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 2.88 %
BAM.PR.C Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.33 %
BAM.PR.K Floater 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 3.32 %
NA.PR.W FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 22.76
Evaluated at bid price : 23.08
Bid-YTW : 4.53 %
TRP.PR.F FloatingReset 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 3.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 140,015 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.67 %
BNS.PR.B FloatingReset 133,904 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 2.57 %
BMO.PR.B FixedReset 74,522 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 3.86 %
CM.PR.O FixedReset 67,151 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 23.22
Evaluated at bid price : 23.64
Bid-YTW : 4.50 %
RY.PR.H FixedReset 53,876 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 23.66
Evaluated at bid price : 24.05
Bid-YTW : 4.41 %
TRP.PR.C FixedReset 49,136 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.52 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.I FixedReset Quote: 25.27 – 26.15
Spot Rate : 0.8800
Average : 0.5060

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.60 %

IFC.PR.F Deemed-Retractible Quote: 25.01 – 25.44
Spot Rate : 0.4300
Average : 0.3232

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.38 %

IFC.PR.A FixedReset Quote: 20.27 – 20.52
Spot Rate : 0.2500
Average : 0.1586

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.27
Bid-YTW : 6.99 %

BAM.PF.H FixedReset Quote: 26.24 – 26.55
Spot Rate : 0.3100
Average : 0.2283

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.24
Bid-YTW : 3.33 %

GWO.PR.N FixedReset Quote: 18.74 – 18.94
Spot Rate : 0.2000
Average : 0.1395

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.74
Bid-YTW : 7.46 %

BAM.PR.T FixedReset Quote: 20.72 – 21.00
Spot Rate : 0.2800
Average : 0.2196

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-17
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 4.99 %

BoC Hike Policy Rate 25bp; Prime Follows

Wednesday, January 17th, 2018

The Bank of Canada has announced:

The Bank of Canada today increased its target for the overnight rate to 1 1/4 per cent. The Bank Rate is correspondingly 1 1/2 per cent and the deposit rate is 1 per cent. Recent data have been strong, inflation is close to target, and the economy is operating roughly at capacity. However, uncertainty surrounding the future of the North American Free Trade Agreement (NAFTA) is clouding the economic outlook.

The global economy continues to strengthen, with growth expected to average 3 1/2 per cent over the projection horizon. Growth in advanced economies is projected to be stronger than in the Bank’s October Monetary Policy Report (MPR). In particular, there are signs of increasing momentum in the US economy, which will be boosted further by recent tax changes. Global commodity prices are higher, although the benefits to Canada are being diluted by wider spreads between benchmark world and Canadian oil prices.

In Canada, real GDP growth is expected to slow to 2.2 per cent in 2018 and 1.6 per cent in 2019, following an estimated 3.0 per cent in 2017. Growth is expected to remain above potential through the first quarter of 2018 and then slow to a rate close to potential for the rest of the projection horizon.

Consumption and residential investment have been stronger than anticipated, reflecting strong employment growth. Business investment has been increasing at a solid pace, and investment intentions remain positive. Exports have been weaker than expected although, apart from cross-border shifts in automotive production, there have been positive signs in most other categories.

Looking forward, consumption and residential investment are expected to contribute less to growth, given higher interest rates and new mortgage guidelines, while business investment and exports are expected to contribute more. The Bank’s outlook takes into account a small benefit to Canada’s economy from stronger US demand arising from recent tax changes. However, as uncertainty about the future of NAFTA is weighing increasingly on the outlook, the Bank has incorporated into its projection additional negative judgement on business investment and trade.

The Bank continues to monitor the extent to which strong demand is boosting potential, creating room for more non-inflationary expansion. In this respect, capital investment, firm creation, labour force participation, and hours worked are all showing promising signs. Recent data show that labour market slack is being absorbed more quickly than anticipated. Wages have picked up but are rising by less than would be typical in the absence of labour market slack.

In this context, inflation is close to 2 per cent and core measures of inflation have edged up, consistent with diminishing slack in the economy. The Bank expects CPI inflation to fluctuate in the months ahead as various temporary factors (including gasoline and electricity prices) unwind. Looking through these temporary factors, inflation is expected to remain close to 2 per cent over the projection horizon.

While the economic outlook is expected to warrant higher interest rates over time, some continued monetary policy accommodation will likely be needed to keep the economy operating close to potential and inflation on target. Governing Council will remain cautious in considering future policy adjustments, guided by incoming data in assessing the economy’s sensitivity to interest rates, the evolution of economic capacity, and the dynamics of both wage growth and inflation.

As usual there are no details of how the voting went or any capsule description of the rationale for such dissent, as is routinely provided by professionally managed central banks such as the US Federal Reserve. It’s a pity that members of the grandiosely named Governing Council are so insecure!

The Big Banks hiked prime. Sadly, we do not know what has been done with the banks’ top secret internal primes or the spreads to Prime that the average customer might see on his renewal notice.

Details are:

BEP.PR.M Settles Firm on Decent Volume

Tuesday, January 16th, 2018

There was no announcement from Brookfield Renewable Partners L.P., but BEP.PR.M closed today.

BEP.PR.M is a FixedReset 5.00%+300M500 ROC announced 2018-01-09. The issue will be tracked by HIMIPref™ but relegated to the Scraps subindex on credit concerns.

The issue traded 437,036 shares today in a range of 24.75-00 before closing at 24.99-00. Vital statistics are:

BEP.PR.M FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.14
Evaluated at bid price : 24.99
Bid-YTW : 4.92 %

This issue looks quite expensive to me, but quantifying the degree of richness is difficult. According to Implied Volatility Analysis:

impvol_bep_180116
Click for Big

Well, it’s starting to get monotonous, but we see in this chart many of the same features we saw when reviewing the recent BIP new issue as well as last week’s BEP issue, the CM issue and NA issue:

  • The curve is very steep, with Implied Volatility equal to 40% (a ridiculously large figure), and
  • The extant issues are trading relatively near to, or well above par

The ludicrously high figure of Implied Volatility is something I take to mean that the underlying assumption of the Black-Scholes model, that of no directionality of prices, is not accepted by the market; in turn, I suggest that this reflects a rather touching faith that the existence of a minimum rate guarantee on reset also indicates that the issues will never, ever trade below par. There will be a lot of long faces when this test gets failed in the future! All it will take is a spread-widening, whether market-wide or company-specific.

However, for the long term, I suggest that any change in the slope of the curve will be a flattening, with a very high degree of confidence. This will imply that the higher-spread issues will outperform the lower-spread issues.

Complicating the above analysis is a high probability that the three extant issues will each be called at the first opportunity. I will certainly agree that this is likely to happen, but I balk at ascribing a 100% probability to this outcome. There may still be a few old geezers amongst the Assiduous Readers of this blog who can still (faintly) remember the Great Bear Market of 2014-16, in which quite a few similar assumptions made earlier turned out to be slightly inaccurate.

All told, though, I have no hesitation in slapping a ‘Very Expensive’ label on this issue. According to the analysis illustrated by the above chart, the fair price is 23.36.

Update: Demonstration – to prepare the following chart I have constrained Implied Volatility to 10% (a much more reasonable figure, I think) and done a very, very, rough approximation to the error-minimizing Market Spread.

impvol_bep_180116_demonstration
Click for Big

In this calculation, the calculated fair values for the issues BEP.PR.G / I / K / M, with the difference from the actual market price in brackets, are 27.11 (+1.56), 28.23 (+2.48), 25.29 (+0.20) and 22.53 (-2.46). The values for N(d2) are 72%, 88%, 41% and 7%, respectively.

See the comments for the discussion.

January 16, 2018

Tuesday, January 16th, 2018
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 -1.9225 % 2,848.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.9225 % 5,226.9
Floater 3.23 % 3.35 % 35,483 18.88 4 -1.9225 % 3,012.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2177 % 3,146.0
SplitShare 4.67 % 4.02 % 60,296 3.40 5 -0.2177 % 3,757.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2177 % 2,931.4
Perpetual-Premium 5.38 % 3.37 % 61,690 0.09 18 -0.0438 % 2,851.3
Perpetual-Discount 5.34 % 5.31 % 73,693 14.91 16 -0.0647 % 2,978.8
FixedReset 4.21 % 4.47 % 140,615 4.19 98 -0.2594 % 2,520.7
Deemed-Retractible 5.08 % 5.42 % 81,505 5.84 28 -0.0757 % 2,935.1
FloatingReset 3.04 % 2.61 % 41,930 0.78 10 -0.0087 % 2,760.1
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 3.38 %
BAM.PR.C Floater -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 3.39 %
NA.PR.W FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 22.35
Evaluated at bid price : 22.65
Bid-YTW : 4.61 %
PWF.PR.A Floater -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 2.93 %
MFC.PR.M FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 5.19 %
PVS.PR.E SplitShare -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-02-15
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -3.96 %
BAM.PR.B Floater -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 3.35 %
BMO.PR.Y FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.26
Evaluated at bid price : 24.51
Bid-YTW : 4.64 %
BMO.PR.S FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.56
Evaluated at bid price : 24.00
Bid-YTW : 4.50 %
RY.PR.H FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.34
Evaluated at bid price : 23.74
Bid-YTW : 4.47 %
MFC.PR.N FixedReset -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.09 %
HSE.PR.A FixedReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.T FloatingReset 205,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.88
Bid-YTW : 2.21 %
RY.PR.H FixedReset 155,745 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.34
Evaluated at bid price : 23.74
Bid-YTW : 4.47 %
TD.PF.A FixedReset 140,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.21
Evaluated at bid price : 23.58
Bid-YTW : 4.43 %
RY.PR.I FixedReset 140,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.38 %
BAM.PF.A FixedReset 78,402 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 24.14
Evaluated at bid price : 24.67
Bid-YTW : 4.95 %
MFC.PR.R FixedReset 72,105 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.06 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Quote: 22.65 – 23.08
Spot Rate : 0.4300
Average : 0.2613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 22.35
Evaluated at bid price : 22.65
Bid-YTW : 4.61 %

BMO.PR.Y FixedReset Quote: 24.51 – 24.92
Spot Rate : 0.4100
Average : 0.2516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.26
Evaluated at bid price : 24.51
Bid-YTW : 4.64 %

BAM.PF.G FixedReset Quote: 24.41 – 24.83
Spot Rate : 0.4200
Average : 0.2668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 23.25
Evaluated at bid price : 24.41
Bid-YTW : 4.86 %

IFC.PR.F Deemed-Retractible Quote: 25.00 – 25.30
Spot Rate : 0.3000
Average : 0.2062

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.38 %

IFC.PR.E Deemed-Retractible Quote: 24.85 – 25.20
Spot Rate : 0.3500
Average : 0.2621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.38 %

CU.PR.F Perpetual-Discount Quote: 21.80 – 22.05
Spot Rate : 0.2500
Average : 0.1632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-16
Maturity Price : 21.52
Evaluated at bid price : 21.80
Bid-YTW : 5.22 %

DFN.PR.A To Get Bigger

Tuesday, January 16th, 2018

Quadravest has announced:

Dividend 15 Split Corp. (the “Company”) is pleased to announce it has filed a preliminary short form prospectus in each of the provinces of Canada with respect to an offering of Preferred Shares and Class A Shares of the Company. The offering will be co-led by National Bank Financial Inc., CIBC World Markets Inc., Scotia Capital Inc. and RBC Capital Markets, and will also include TD Securities Inc., BMO Capital Markets, Canaccord Genuity Corp., Industrial Alliance Securities Inc., Echelon Wealth Partners, GMP Securities L.P., Raymond James Ltd., Desjardins Securities Inc., Mackie Research Capital Corporation, and Manulife Securities Incorporated.

The Preferred Shares will be offered at a price of $10.00 per Preferred Share to yield 5.25% and the Class A Shares will be offered at a price of $10.90 per Class A Share to yield 11.01%.

The closing price on the TSX of each of the Preferred Shares and the Class A Shares on January 15, 2018 was $10.28 and $10.94, respectively.

Since inception of the Company, the aggregate dividends paid on the Preferred Shares have been $7.24 per share and the aggregate dividends paid on the Class A Shares have been $20.00 per share (including five special distributions of $0.25 per share, one special distribution of $0.50 per share and one special stock dividend of $1.75 per share), for a combined total of $27.24 per unit. All distributions to date have been made in tax advantage eligible Canadian dividends or capital gains dividends.

The net proceeds of the offering will be used by the Company to invest in an actively managed, high quality portfolio
consisting of 15 dividend yielding Canadian companies as follows:

Bank of Montreal Enbridge Inc. TELUS Corporation
The Bank of Nova Scotia Manulife Financial Corp. Thomson-Reuters Corporation
BCE Inc. National Bank of Canada The Toronto-Dominion Bank
Canadian Imperial Bank of Commerce Royal Bank of Canada TransAlta Corporation
CI Financial Corp. Sun Life Financial Inc. TransCanada Corporation

The Company’s investment objectives are:
Preferred Shares:
i. to provide holders of the Preferred Shares with fixed, cumulative preferential monthly cash dividends in the
amount of 5.25% annually; and
ii. on or about the termination date, currently December 1, 2019 (subject to further 5 year extensions thereafter), to pay the holders of the Preferred Shares $10.00 per Preferred Share.

Class A Shares:
i. to provide holders of the Class A Shares with regular monthly cash dividends currently targeted to be $0.10 per share; and
ii. on or about the termination date, currently December 1, 2019 (subject to further 5 year extensions thereafter) to
pay holders of Class A Shares at least the original issue price of those shares.

The sales period of this overnight offering will end at 9:00 a.m. EST on January 17, 2018. The offering is expected to close on or about January 30, 2018 and is subject to certain closing conditions including approval by the TSX.

So new Whole Units are being sold for 20.90, against a NAVPU of 19.44 as of December 29, 2017, a premium of 7.5%, ignoring valuation changes since year-end. What a great business! If I had better contacts in the underwriting community, I’d start a Split Share Fund with the underlying investment being CryptoCurrencies.

Update, 2018-1-17 Wow! They raised over $100-million!

Dividend 15 Split Corp. (the “Company”) is pleased to announce it has completed the overnight marketing of up to 4,971,000 Preferred Shares and up to 4,971,000 Class A Shares of the Company. Total proceeds of the offering are expected to be approximately $103.9 million.

New Issue: BIP FixedReset, 5.00%+300M500, ROC

Monday, January 15th, 2018

Brookfield Infrastructure has announced:

that it has agreed to issue 8,000,000 Cumulative Class A Preferred Limited Partnership Units, Series 9 (“Series 9 Preferred Units”) on a bought deal basis to a syndicate of underwriters led by CIBC Capital Markets, BMO Capital Markets, RBC Capital Markets, Scotiabank, and TD Securities Inc. The Series 9 Preferred Units will be issued at a price of $25.00 per unit, for gross proceeds of $200,000,000. Holders of the Series 9 Preferred Units will be entitled to receive a cumulative quarterly fixed distribution at a rate of 5.00% annually for the initial period ending March 31, 2023. Thereafter, the distribution rate will be reset every five years at a rate equal to the greater of: (i) the 5-year Government of Canada bond yield plus 3.00%, and (ii) 5.00%. The Series 9 Preferred Units are redeemable on or after March 31, 2023.

Holders of the Series 9 Preferred Units will have the right, at their option, to reclassify their Series 9 Preferred Units into Cumulative Class A Preferred Limited Partnership Units, Series 10 (“Series 10 Preferred Units”), subject to certain conditions, on March 31, 2023 and on March 31 every five years thereafter. Holders of Series 10 Preferred Units will be entitled to receive a cumulative quarterly floating distribution at a rate equal to the 90-day Canadian Treasury Bill yield plus 3.00%.

Brookfield Infrastructure has granted the underwriters an option, exercisable until 48 hours prior to closing, to purchase up to an additional 2,000,000 Series 9 Preferred Units which, if exercised, would increase the gross offering size to $250,000,000.

The Series 9 Preferred Units will be offered in all provinces and territories of Canada by way of a supplement to Brookfield Infrastructure’s existing short form base shelf prospectus.

Brookfield Infrastructure intends to use the net proceeds of the issue of the Series 9 Preferred Units to fund a growing backlog of committed organic growth capital expenditure projects and an active pipeline of new investment opportunities, and for general working capital purposes. The offering of Series 9 Preferred Units is expected to close on or about January 23, 2018.

This issue looks quite expensive to me, according to Implied Volatility Analysis:

impvol_bip_180115
Click for Big

Well, it’s starting to get monotonous, but we see in this chart many of the same features we saw when reviewing last week’s BEP issue, the CM issue and NA issue:

  • The curve is very steep, with Implied Volatility equal to 40% (a ridiculously large figure), and
  • The extant issues are trading relatively near to, or well above par

The ludicrously high figure of Implied Volatility is something I take to mean that the underlying assumption of the Black-Scholes model, that of no directionality of prices, is not accepted by the market; the market seems to be taking the view that since things seem rosy now, they will always be rosy and everything will trade near par in the future.

I balk at ascribing a 100% probability to this outcome. There may still be a few old geezers amongst the Assiduous Readers of this blog who can still (faintly) remember the Great Bear Market of 2014-16, in which quite a few similar assumptions made earlier turned out to be slightly inaccurate.

For the long term, I suggest that any change in the slope of the curve will be a flattening, with a very high degree of confidence. This will imply that the higher-spread issues will outperform the lower-spread issues.

All told, though, I have no hesitation in slapping an ‘Expensive’ label on this issue – according to the Implied Volatility analysis shown above, the theoretical price of the new issue is 23.50. Mind you, the Implied Volatility cap rate of 40% is arbitrary; perhaps if I allowed 50% or so the new issue would sit on the curve … but in that case, Implied Volatility has become a completely arbitrary meaningless number.

January 15, 2018

Monday, January 15th, 2018
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 1.2452 % 2,904.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2452 % 5,329.3
Floater 3.17 % 3.30 % 35,401 19.01 4 1.2452 % 3,071.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0932 % 3,152.9
SplitShare 4.66 % 4.08 % 62,770 3.41 5 -0.0932 % 3,765.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0932 % 2,937.7
Perpetual-Premium 5.38 % 3.16 % 60,023 0.09 18 -0.1137 % 2,852.5
Perpetual-Discount 5.33 % 5.30 % 72,058 14.97 16 -0.2956 % 2,980.7
FixedReset 4.20 % 4.43 % 141,012 4.06 98 -0.1085 % 2,527.2
Deemed-Retractible 5.08 % 5.44 % 82,166 5.84 28 -0.1348 % 2,937.3
FloatingReset 3.04 % 2.59 % 38,816 0.78 10 0.1220 % 2,760.3
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 4.98 %
IFC.PR.A FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 6.91 %
BIP.PR.A FixedReset -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.14 %
SLF.PR.G FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 7.34 %
PWF.PR.Z Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 23.94
Evaluated at bid price : 24.30
Bid-YTW : 5.30 %
TRP.PR.C FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.52 %
BAM.PR.K Floater 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 3.30 %
TRP.PR.F FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 3.85 %
PWF.PR.A Floater 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 2.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset 101,040 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.41 %
MFC.PR.R FixedReset 67,709 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.07 %
BIP.PR.A FixedReset 57,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.14 %
TD.PR.S FixedReset 51,920 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.36 %
TRP.PR.C FixedReset 45,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.52 %
BMO.PR.D FixedReset 37,140 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.29 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.D Perpetual-Discount Quote: 22.00 – 22.49
Spot Rate : 0.4900
Average : 0.3761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 5.60 %

BAM.PR.M Perpetual-Discount Quote: 21.65 – 21.97
Spot Rate : 0.3200
Average : 0.2188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.52 %

PWF.PR.F Perpetual-Discount Quote: 24.44 – 24.67
Spot Rate : 0.2300
Average : 0.1611

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 24.18
Evaluated at bid price : 24.44
Bid-YTW : 5.38 %

IFC.PR.E Deemed-Retractible Quote: 24.75 – 24.98
Spot Rate : 0.2300
Average : 0.1658

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.44 %

BAM.PF.F FixedReset Quote: 24.56 – 24.77
Spot Rate : 0.2100
Average : 0.1618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 23.49
Evaluated at bid price : 24.56
Bid-YTW : 4.87 %

BMO.PR.Q FixedReset Quote: 23.26 – 23.49
Spot Rate : 0.2300
Average : 0.1864

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.26
Bid-YTW : 3.91 %