Archive for October, 2018

October 31, 2018

Wednesday, October 31st, 2018

No cashiers here!

Think of it as the ultimate self check-out experience. Instead of waiting for someone to ring up your grocery items, customers can now simply pick out what they need, scan an app and walk out of the store.

Amazon started it first with its cashier-less Amazon Go store, but now Sam’s Club (owned by Walmart) is following suit with its Sam’s Club Now store, which will open in Dallas next month.

It’s a relatively simple concept that requires zero cashiers. Customers use the Sam’s Club Scan & Go app to add products to their receipt as they shop. When they’re done shopping, customers pay through the app with a single click and just walk out of the store. Instead of traditional checkout lines, there are 700 cameras to keep customers honest and monitor inventory.

Fortunately, Canadian retailers don’t have to worry about all this technology guff – we’ve got cheap labour! Productivity, schmoductivity!

There haven’t been too many good days this month, but we’re closing on a good note!

rainbow_181031
Click for Big

The TXPR price index was up 1.69% today after six straight trading days of losses; it was only the sixth gain in the month and most of the other five were pretty skimpy!

PerpetualDiscounts now yield 5.80%, equivalent to 7.54% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a slight (and perhaps spurious) widening from the 335bp reported October 24.

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 1.0531 % 3,024.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0531 % 5,549.4
Floater 3.84 % 4.06 % 41,265 17.29 4 1.0531 % 3,198.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.7252 % 3,189.2
SplitShare 4.67 % 4.98 % 54,054 4.68 5 -0.7252 % 3,808.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.7252 % 2,971.6
Perpetual-Premium 5.74 % 5.84 % 65,816 14.10 12 0.5812 % 2,856.7
Perpetual-Discount 5.68 % 5.80 % 75,355 14.18 21 0.9801 % 2,890.8
FixedReset Disc 4.37 % 5.29 % 164,673 15.16 45 2.0546 % 2,495.8
Deemed-Retractible 5.38 % 6.57 % 72,421 5.21 27 1.0771 % 2,883.7
FloatingReset 3.84 % 3.95 % 47,902 5.46 4 2.0039 % 2,762.5
FixedReset Prem 4.94 % 4.49 % 255,239 3.07 34 0.8560 % 2,539.7
FixedReset Bank Non 3.13 % 4.05 % 102,165 3.03 7 0.0662 % 2,571.3
FixedReset Ins Non 4.52 % 6.22 % 131,584 5.32 22 1.5210 % 2,474.6
Performance Highlights
Issue Index Change Notes
PVS.PR.D SplitShare -3.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.49 %
MFC.PR.I FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.74
Bid-YTW : 6.58 %
PVS.PR.F SplitShare -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.97 %
PWF.PR.T FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.75
Evaluated at bid price : 22.18
Bid-YTW : 5.34 %
TRP.PR.J FixedReset Prem 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : 4.00 %
TD.PF.I FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 4.78 %
MFC.PR.L FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 7.54 %
BAM.PF.H FixedReset Prem 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.73 %
MFC.PR.B Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 9.18 %
PWF.PR.F Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.39
Evaluated at bid price : 22.65
Bid-YTW : 5.82 %
MFC.PR.C Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 9.60 %
BAM.PF.I FixedReset Prem 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.32 %
GWO.PR.Q Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 7.18 %
NA.PR.W FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 5.32 %
EIT.PR.B SplitShare 1.13 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.98 %
GWO.PR.F Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -7.25 %
GWO.PR.M Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.13 %
IAG.PR.A Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 8.26 %
BIP.PR.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.82
Evaluated at bid price : 24.00
Bid-YTW : 5.48 %
PWF.PR.S Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.78 %
BMO.PR.D FixedReset Prem 1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 4.62 %
CM.PR.S FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.55
Evaluated at bid price : 23.42
Bid-YTW : 5.03 %
GWO.PR.L Deemed-Retractible 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.90 %
W.PR.K FixedReset Prem 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.81 %
SLF.PR.E Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.03
Bid-YTW : 8.84 %
GWO.PR.I Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 8.86 %
PWF.PR.Q FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 3.95 %
SLF.PR.D Deemed-Retractible 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.04
Bid-YTW : 8.77 %
GWO.PR.G Deemed-Retractible 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 7.14 %
CM.PR.Q FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.02
Evaluated at bid price : 23.40
Bid-YTW : 5.33 %
HSE.PR.C FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 5.93 %
EMA.PR.F FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.02
Evaluated at bid price : 23.50
Bid-YTW : 5.24 %
TD.PF.A FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.03
Evaluated at bid price : 22.65
Bid-YTW : 5.03 %
BAM.PR.T FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.57 %
TRP.PR.K FixedReset Prem 1.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.32 %
BAM.PF.D Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.00 %
BAM.PR.N Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.01 %
SLF.PR.A Deemed-Retractible 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 8.34 %
CU.PR.D Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.67 %
BAM.PR.K Floater 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.06 %
SLF.PR.B Deemed-Retractible 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 8.07 %
POW.PR.D Perpetual-Discount 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.32
Evaluated at bid price : 21.59
Bid-YTW : 5.83 %
IAG.PR.G FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.28 %
CM.PR.O FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.00
Evaluated at bid price : 22.59
Bid-YTW : 5.13 %
BMO.PR.Y FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.44
Evaluated at bid price : 23.80
Bid-YTW : 5.18 %
GWO.PR.R Deemed-Retractible 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 7.89 %
POW.PR.B Perpetual-Discount 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.97
Evaluated at bid price : 23.24
Bid-YTW : 5.80 %
TRP.PR.G FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.68
Evaluated at bid price : 23.00
Bid-YTW : 5.65 %
GWO.PR.S Deemed-Retractible 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.57 %
BAM.PF.C Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.97 %
MFC.PR.H FixedReset Ins Non 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.28
Bid-YTW : 6.20 %
BAM.PR.R FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.56 %
BMO.PR.T FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.91
Evaluated at bid price : 22.44
Bid-YTW : 5.07 %
CU.PR.H Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.09
Evaluated at bid price : 23.46
Bid-YTW : 5.68 %
CU.PR.F Perpetual-Discount 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.69 %
VNR.PR.A FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.90
Evaluated at bid price : 24.10
Bid-YTW : 5.21 %
TD.PF.J FixedReset Prem 2.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.47 %
BMO.PR.W FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 5.04 %
TD.PF.C FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.03
Evaluated at bid price : 22.65
Bid-YTW : 5.02 %
CU.PR.G Perpetual-Discount 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.72 %
TD.PF.B FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 5.05 %
SLF.PR.C Deemed-Retractible 2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 8.85 %
IAG.PR.I FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.83
Bid-YTW : 5.90 %
SLF.PR.H FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 7.34 %
PWF.PR.A Floater 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.28 %
NA.PR.G FixedReset Prem 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.11
Evaluated at bid price : 24.85
Bid-YTW : 5.03 %
SLF.PR.I FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.57 %
IFC.PR.C FixedReset Ins Non 2.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.12 %
IGM.PR.B Perpetual-Premium 2.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.86 %
BAM.PF.F FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.11
Evaluated at bid price : 23.70
Bid-YTW : 5.50 %
RY.PR.H FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.19
Evaluated at bid price : 22.90
Bid-YTW : 4.98 %
NA.PR.S FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.88
Evaluated at bid price : 22.38
Bid-YTW : 5.29 %
BAM.PF.E FixedReset Disc 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.57
Evaluated at bid price : 23.00
Bid-YTW : 5.32 %
RY.PR.Z FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.14
Evaluated at bid price : 22.80
Bid-YTW : 4.97 %
HSE.PR.E FixedReset Prem 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.79
Evaluated at bid price : 24.20
Bid-YTW : 6.03 %
BAM.PR.X FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 5.54 %
BMO.PR.S FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.12
Evaluated at bid price : 22.77
Bid-YTW : 5.10 %
MFC.PR.M FixedReset Ins Non 2.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.98 %
RY.PR.M FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.07 %
MFC.PR.G FixedReset Ins Non 2.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 5.70 %
CM.PR.P FixedReset Disc 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.84
Evaluated at bid price : 22.35
Bid-YTW : 5.07 %
BIP.PR.F FixedReset Prem 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.97
Evaluated at bid price : 24.50
Bid-YTW : 5.33 %
MFC.PR.N FixedReset Ins Non 2.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 7.03 %
TD.PF.E FixedReset Disc 2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.30
Evaluated at bid price : 24.30
Bid-YTW : 5.18 %
HSE.PR.G FixedReset Prem 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.84
Evaluated at bid price : 24.20
Bid-YTW : 6.00 %
BAM.PR.Z FixedReset Disc 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.68
Evaluated at bid price : 23.65
Bid-YTW : 5.46 %
BAM.PF.B FixedReset Disc 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.20
Evaluated at bid price : 22.90
Bid-YTW : 5.44 %
IFC.PR.E Deemed-Retractible 3.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.51 %
TRP.PR.F FloatingReset 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 4.72 %
TD.PF.D FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.86
Evaluated at bid price : 24.20
Bid-YTW : 5.18 %
MFC.PR.Q FixedReset Ins Non 3.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.86 %
IFC.PR.A FixedReset Ins Non 3.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 7.73 %
SLF.PR.J FloatingReset 3.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.91
Bid-YTW : 8.25 %
CU.PR.C FixedReset Disc 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.26 %
HSE.PR.A FixedReset Disc 4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 5.79 %
TRP.PR.A FixedReset Disc 4.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.50 %
TRP.PR.C FixedReset Disc 4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.51 %
TRP.PR.E FixedReset Disc 5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 5.41 %
TRP.PR.B FixedReset Disc 5.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.46 %
IFC.PR.G FixedReset Ins Non 6.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset Bank Non 167,372 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 2.93 %
CM.PR.Q FixedReset Disc 124,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.02
Evaluated at bid price : 23.40
Bid-YTW : 5.33 %
TD.PF.C FixedReset Disc 117,175 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.03
Evaluated at bid price : 22.65
Bid-YTW : 5.02 %
BAM.PF.I FixedReset Prem 81,118 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.32 %
SLF.PR.I FixedReset Ins Non 64,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.57 %
TD.PF.H FixedReset Prem 59,764 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 3.97 %
There were 66 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 21.02 – 25.00
Spot Rate : 3.9800
Average : 2.1929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 3.95 %

TRP.PR.D FixedReset Disc Quote: 20.69 – 22.80
Spot Rate : 2.1100
Average : 1.2929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 5.75 %

MFC.PR.M FixedReset Ins Non Quote: 22.15 – 23.77
Spot Rate : 1.6200
Average : 0.9540

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.98 %

BAM.PF.F FixedReset Disc Quote: 23.70 – 25.15
Spot Rate : 1.4500
Average : 1.0037

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.11
Evaluated at bid price : 23.70
Bid-YTW : 5.50 %

GWO.PR.G Deemed-Retractible Quote: 22.75 – 23.99
Spot Rate : 1.2400
Average : 0.8042

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 7.14 %

BAM.PR.R FixedReset Disc Quote: 20.02 – 21.28
Spot Rate : 1.2600
Average : 0.8755

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.56 %

MFC et al. Bailed Out by Regulators Again!

Tuesday, October 30th, 2018

Some will recall that Muddy Waters / Carson Block have shorted Manulife shares in a move that looks prescient regardless of the details:

Muddy Waters has found its latest target: Canadian insurer Manulife Financial Corp.

Short seller Carson Block, who runs Muddy Waters, announced a short position in the firm Thursday, and said its life-insurance subsidiary just concluded a trial with a hedge fund that could lead to billions in losses. Block expects a verdict this year. Manulife said in a statement that it disagrees with Block’s conclusions.

In a report, Muddy Waters said it believes investors aren’t aware of the material risks to Manulife posed by the trial. The insurer was taken to court by hedge fund Mosten Investment LP, which claims it should be allowed to deposit unlimited amounts of capital with Manulife and earn at least 4 per cent in annual interest based on a 1997 universal life insurance policy it owns.

The trial concluded recently:

In an era of higher interest rates in the late 1990s, two predecessor companies of Industrial Alliance Insurance and Financial Services Inc. and Manulife Financial Corp. issued life insurance policies that allowed holders to invest in side accounts that guaranteed rates of up to five per cent and four per cent, respectively.

These side accounts did not contain an explicit limit on the size of investment, which means in today’s low-rate environment they are potentially lucrative for their holders and a significant liability for the companies that wrote them.

At least three limited partnerships purchased such policies several years ago in Saskatchewan, one of only four Canadian provinces that permit the purchase of insurance policies from their original holders. These investors are in court in Saskatoon to force the insurers to accept their money.

So it looks potentially dangerous, eh? But Manulife was defiant:

The Muddy Waters report is a short seller’s attempt to profit at the expense of our shareholders, and we disagree with its conclusions. Manulife continues to believe that Mosten’s position is legally unfounded. We firmly believe that the consumers purchasing universal life policies, and the insurers issuing these policies, never intended to have the policies function as deposit or securities contracts. We have a sound, highly rated global franchise. We expect we will prevail with respect to this matter and that it will not affect our business operations or our ability to meet obligations to our customers, vendors and other key stakeholders.

as were others:

Industrial Alliance Insurance and Financial Services Inc. (iA Financial Group) is responding to media reports regarding litigation involving Ituna Investment LP (Ituna). As part of this litigation, Ituna is seeking to make unlimited deposits into a universal life insurance contract that it purchased from a policyholder. The life insurance contract was originally issued by National Life, a company acquired by iA Financial Group in 1988.

The application was heard by the Court of Queen’s Bench in Saskatoon (Saskatchewan) in September 2018 and the parties now await the court’s decision.

iA Financial Group believes that the position taken by Ituna is legally unfounded. Ituna’s position would result in life insurance contracts being used as deposit accounts or commercial paper, purposes that are unrelated to life insurance and for which they were never intended. Ituna’s interpretation is contrary to the language of the life insurance contract and the legislative framework that governs insurance in Canada. iA Financial Group believes its legal position in this matter is strong and expects that it will be successful in its defence.

But remember – this is Canada! Future employment possibilities for ex-regulators are limited and must be cherished, as we found out in 2008 when Manulife’s grossly incompetent investment strategy nearly left it bust:

On Sept. 30, the head of Canada’s regulator, the Office of the Superintendent of Financial Institutions, wrote an e-mail to various OSFI officials. “D’Alessandro just called and asked that we try to meet next week with the company to discuss capital,” Julie Dickson wrote, noting that the meeting would replace one that had been arranged for November. Mr. D’Alessandro wanted to discuss the capital requirements for the variable-annuity, or segregated funds, business, other e-mails show.

Discussions took place in October in which he laid out why he felt the rules were too onerous, and OSFI officials had a flurry of internal discussions. On Oct. 28, the rules were changed.

OSFI consulted with more than one insurer that month, but the changes were most important to Manulife.

Federal lobbyist records show that Mr. D’Alessandro also met with Prime Minister Stephen Harper on Nov. 6 to discuss “financial institutions.” It is not known what was discussed at the meeting with Mr. D’Alessandro.

So now the cavalry has arrived again!

A trio of lawsuits against three Canadian life insurers face new hurdles after the government of Saskatchewan updated its insurance regulations, instituting changes that could materially impact the ongoing court cases – as well as a short seller’s high-profile campaign against Manulife Financial Corp.

All parties are waiting for the judge to rule, and the decision is expected to take some time to come out. But late Monday the government of Saskatchewan added a new dimension to the litigation by updating its insurance regulations, inserting new language that limits how much money can be deposited in insurance policies and their related accounts.

Manulife’s share price rose about 6 per cent on the Toronto Stock Exchange in early trading on Tuesday.

In an amendment to the Saskatchewan Insurance Regulations, the province added new language that states “no licensed insurer shall receive or accept for deposit funds or payments in excess of the amount required to pay the life insurance premium for the eligible period.”

Manulife crows:

The Saskatchewan regulations, published yesterday on the website of the Financial and Consumer Affairs Authority of Saskatchewan, limit the amount of premiums a life insurer may receive or accept for deposit in life insurance policies and associated side accounts. The basis of the claims by Mosten Investment LP (“Mosten”) against Manulife has been that life insurers can be compelled to accept unlimited premium payments. In effect, Mosten is seeking to use insurance policies to invest sizeable sums that have no connection to the insurance coverage.

Given the new Saskatchewan regulations, Manulife and the other life insurers involved in similar matters plan to make submissions to the court, asking it to dismiss the claims that life insurers can be compelled to accept unlimited premium payments. Manulife believes these regulations should accelerate the resolution, in its favour, of the principal matters in the Mosten litigation in Saskatchewan. With respect to any possible remaining ancillary matters in the litigation, Manulife continues to believe that it will prevail and that those matters are insignificant in any event.

Because the public policy concern addressed in Saskatchewan is equally relevant across Canada, the Canadian Life and Health Insurance Association, which intervened in the litigation on behalf of the industry, plans to request other provincial and territorial governments to take comparable regulatory steps to avoid unnecessary, costly litigation in other jurisdictions.

… and, of course, other potential future employers of regulatory personnel voiced their support:

Industrial Alliance Insurance and Financial Services Inc. (iA Financial Group) welcomes the recent publication of Saskatchewan regulations limiting the amount of premiums a life insurer may receive or accept for deposit in life insurance policies and associated side accounts.

Explicitly affected issues are (other lifecos may have been affected by this as well):

MFC.PR.B, MFC.PR.C, MFC.PR.F, MFC.PR.G, MFC.PR.H, MFC.PR.I, MFC.PR.J, MFC.PR.K, MFC.PR.L, MFC.PR.M, MFC.PR.N, MFC.PR.O, MFC.PR.P, MFC.PR.Q and MFC.PR.R

IAG.PR.A, IAG.PR.G and IAG.PR.I

October 30, 2018

Tuesday, October 30th, 2018

The equity markets did well today:

Broad gains in the U.S. equity market boosted a measure of global stock markets on Tuesday after President Donald Trump said a “great deal” could be struck with China that would relieve fears of a growing trade war between the world’s two largest economies.

MSCI’s gauge of stocks across the globe gained 1 per cent. Still, the index is down nearly 9 per cent for the month.

Trump said during an interview with Fox News late on Monday that he thought there could be an agreement with China on trade. But he also said he had billions of dollars worth of new tariffs ready to be imposed if a deal was not possible.

The Dow Jones Industrial Average rose 431.96 points, or 1.77 per cent, to 24,874.88, the S&P 500 gained 41.39 points, or 1.57 per cent, to 2,682.64 and the Nasdaq Composite added 111.36 points, or 1.58 per cent, to 7,161.65.

The gains were broad in the U.S., with all 11 sectors of the benchmark S&P index up for the day. Trade-sensitive industrial shares rose 2 per cent.

Correlation is not causation and I’m pretty skeptical of the claim that suddenly kindled trade hopes were at the bottom of this. But then, I’m not a talking head with a desperate need to make everything sound clear and logical!

Somebody forgot to tell the preferred market about the wonderful news: TXPR was down 0.66%, touching a new 52-week low of 669.90 … it spend a good chunk of the day near that level, down 1.25% or so; volume, at 3.81-million (constituent) shares, was the second-highest for the month; CPD hit a new low of 13.37, with about $3.6-million worth being traded, the highest volume of the month by far; and ZPR hit a new 52-week low of 11.005 on its second-highest volume of the month, which was only a little more than half of yesterday’s volume.

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 -1.2068 % 2,992.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2068 % 5,491.6
Floater 3.88 % 4.13 % 41,193 17.15 4 -1.2068 % 3,164.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4522 % 3,212.5
SplitShare 4.63 % 4.95 % 53,359 4.68 5 -0.4522 % 3,836.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4522 % 2,993.3
Perpetual-Premium 5.77 % 5.87 % 66,624 14.06 12 -0.7151 % 2,840.2
Perpetual-Discount 5.73 % 5.83 % 74,175 14.14 21 -0.4380 % 2,862.8
FixedReset Disc 4.45 % 5.37 % 160,499 14.99 45 -0.5291 % 2,445.6
Deemed-Retractible 5.44 % 7.14 % 72,794 5.20 27 -0.8747 % 2,852.9
FloatingReset 3.91 % 4.01 % 47,444 5.44 4 -0.0366 % 2,708.2
FixedReset Prem 4.98 % 4.93 % 257,024 3.03 34 -0.2672 % 2,518.2
FixedReset Bank Non 3.06 % 4.04 % 96,199 3.04 7 -0.2692 % 2,569.6
FixedReset Ins Non 4.59 % 6.58 % 127,377 5.29 22 -0.2443 % 2,437.6
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.69 %
IFC.PR.G FixedReset Ins Non -3.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.78
Bid-YTW : 6.79 %
HSE.PR.A FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.03 %
TRP.PR.B FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 15.36
Evaluated at bid price : 15.36
Bid-YTW : 5.75 %
IAG.PR.I FixedReset Ins Non -2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.32 %
BAM.PF.G FixedReset Disc -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.67
Evaluated at bid price : 23.05
Bid-YTW : 5.61 %
BAM.PF.B FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.76
Evaluated at bid price : 22.19
Bid-YTW : 5.64 %
CU.PR.H Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.67
Evaluated at bid price : 23.00
Bid-YTW : 5.79 %
IFC.PR.E Deemed-Retractible -2.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 7.14 %
BAM.PF.A FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.47
Evaluated at bid price : 23.34
Bid-YTW : 5.59 %
IGM.PR.B Perpetual-Premium -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 24.09
Evaluated at bid price : 24.38
Bid-YTW : 6.08 %
SLF.PR.C Deemed-Retractible -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.51
Bid-YTW : 9.29 %
BAM.PF.F FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.56
Evaluated at bid price : 23.11
Bid-YTW : 5.65 %
BIP.PR.E FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.68
Evaluated at bid price : 23.70
Bid-YTW : 5.56 %
HSE.PR.E FixedReset Prem -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.11
Evaluated at bid price : 23.56
Bid-YTW : 6.19 %
BAM.PR.Z FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.29
Evaluated at bid price : 22.93
Bid-YTW : 5.65 %
CU.PR.G Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 5.84 %
NA.PR.G FixedReset Prem -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.89
Evaluated at bid price : 24.28
Bid-YTW : 5.17 %
BIP.PR.F FixedReset Prem -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.68
Evaluated at bid price : 23.80
Bid-YTW : 5.51 %
EIT.PR.B SplitShare -1.71 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 5.19 %
NA.PR.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.36
Evaluated at bid price : 23.10
Bid-YTW : 5.23 %
BIP.PR.D FixedReset Prem -1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.83 %
W.PR.H Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.75 %
HSE.PR.G FixedReset Prem -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.10
Evaluated at bid price : 23.50
Bid-YTW : 6.18 %
SLF.PR.A Deemed-Retractible -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 8.67 %
BAM.PR.K Floater -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.13 %
TD.PF.I FixedReset Prem -1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.06 %
SLF.PR.B Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 8.40 %
BAM.PR.C Floater -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.13 %
BMO.PR.D FixedReset Prem -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 5.00 %
PWF.PR.O Perpetual-Premium -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.92 %
GWO.PR.I Deemed-Retractible -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 9.13 %
CU.PR.F Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.80 %
RY.PR.O Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.04
Evaluated at bid price : 23.40
Bid-YTW : 5.22 %
BAM.PR.R FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.64
Evaluated at bid price : 19.64
Bid-YTW : 5.67 %
SLF.PR.J FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.22
Bid-YTW : 8.94 %
BAM.PR.T FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.65 %
SLF.PR.E Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 9.10 %
RY.PR.W Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 5.13 %
PWF.PR.R Perpetual-Premium -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.24
Evaluated at bid price : 23.70
Bid-YTW : 5.82 %
PWF.PR.T FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.91
Evaluated at bid price : 22.42
Bid-YTW : 5.27 %
CU.PR.D Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.63
Evaluated at bid price : 21.63
Bid-YTW : 5.77 %
GWO.PR.M Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 6.01 %
TRP.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.75 %
W.PR.J Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.82 %
HSE.PR.C FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.03
Evaluated at bid price : 22.65
Bid-YTW : 6.01 %
GWO.PR.N FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.68
Bid-YTW : 8.39 %
BMO.PR.Y FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.23
Evaluated at bid price : 23.60
Bid-YTW : 5.29 %
W.PR.K FixedReset Prem -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.46 %
IAG.PR.G FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.61 %
BMO.PR.T FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.78
Evaluated at bid price : 22.25
Bid-YTW : 5.19 %
PWF.PR.A Floater -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 3.36 %
BMO.PR.S FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.89
Evaluated at bid price : 22.40
Bid-YTW : 5.27 %
BMO.PR.W FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.72
Evaluated at bid price : 22.17
Bid-YTW : 5.17 %
GWO.PR.G Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 7.44 %
BNS.PR.Z FixedReset Bank Non -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 4.77 %
TRP.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.71 %
BMO.PR.E FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.10
Evaluated at bid price : 24.84
Bid-YTW : 4.98 %
GWO.PR.L Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 6.16 %
GWO.PR.P Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.62
Bid-YTW : 6.62 %
SLF.PR.D Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 9.05 %
TD.PF.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.81
Evaluated at bid price : 22.30
Bid-YTW : 5.12 %
RY.PR.Z FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.68
Evaluated at bid price : 23.05
Bid-YTW : 5.41 %
VNR.PR.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.68
Evaluated at bid price : 23.62
Bid-YTW : 5.33 %
RY.PR.J FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.22
Evaluated at bid price : 23.64
Bid-YTW : 5.25 %
NA.PR.A FixedReset Prem 1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.45 %
TRP.PR.K FixedReset Prem 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.81 %
BAM.PF.E FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.87
Evaluated at bid price : 22.40
Bid-YTW : 5.46 %
MFC.PR.Q FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.92
Bid-YTW : 6.53 %
TRP.PR.J FixedReset Prem 1.97 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.41 %
TRP.PR.F FloatingReset 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 4.88 %
BAM.PF.C Perpetual-Discount 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.08 %
TRP.PR.D FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.77 %
TD.PF.G FixedReset Prem 2.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.11 %
SLF.PR.I FixedReset Ins Non 2.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.01 %
BAM.PR.N Perpetual-Discount 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.11 %
TD.PF.E FixedReset Disc 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.26
Evaluated at bid price : 23.60
Bid-YTW : 5.37 %
BAM.PR.M Perpetual-Discount 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.11 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.R FixedReset Bank Non 378,836 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.47 %
TD.PF.H FixedReset Prem 220,356 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.07 %
CM.PR.R FixedReset Prem 144,064 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 4.76 %
RY.PR.D Deemed-Retractible 101,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-29
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.21 %
BNS.PR.H FixedReset Prem 85,856 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.96 %
BNS.PR.I FixedReset Disc 60,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.07
Evaluated at bid price : 24.77
Bid-YTW : 4.80 %
There were 83 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.O FixedReset Disc Quote: 22.19 – 23.25
Spot Rate : 1.0600
Average : 0.6201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.75
Evaluated at bid price : 22.19
Bid-YTW : 5.23 %

BAM.PR.Z FixedReset Disc Quote: 22.93 – 24.12
Spot Rate : 1.1900
Average : 0.8009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.29
Evaluated at bid price : 22.93
Bid-YTW : 5.65 %

IFC.PR.G FixedReset Ins Non Quote: 22.78 – 23.78
Spot Rate : 1.0000
Average : 0.6662

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.78
Bid-YTW : 6.79 %

CM.PR.P FixedReset Disc Quote: 21.72 – 22.50
Spot Rate : 0.7800
Average : 0.4816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 5.23 %

BAM.PF.F FixedReset Disc Quote: 23.11 – 23.90
Spot Rate : 0.7900
Average : 0.5143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.56
Evaluated at bid price : 23.11
Bid-YTW : 5.65 %

CU.PR.H Perpetual-Discount Quote: 23.00 – 23.81
Spot Rate : 0.8100
Average : 0.5372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.67
Evaluated at bid price : 23.00
Bid-YTW : 5.79 %

October 29, 2018

Monday, October 29th, 2018

I’ve been getting a few inquiries regarding what the hell is going on in the Canadian preferred share lately – here’s my best answer:

I ascribe the downturn to uncertainty.

Perpetual Discounts now yield 5.78%, equivalent to 7.51% interest at the standard conversion factor of 1.3x. Long-Term corporate bonds now yield a little over 4.10%, so the pre-tax interest-equivalent spread is now about 340bp, an enormous widening from the 315bp reported on September 26 that has been achieved entirely through the increase in PerpetualDiscount yields – the long term corporate bond yield has not changed noticeably.

At the same time, we’re seeing comparable weakness in FixedResets, which really should stay relatively stable regardless of the overall level of interest rates , but which should be expected to continue to recover from the lows of 2014-16 with an increase in yields.

It is possible that this is being driven by funds like CPD – as units are created and destroyed, individual issues are bought and sold in lockstep, regardless of their characteristics – but I’m not sure that this is the case; and while this would explain the correlation between the two sub-classes, it wouldn’t explain why the units are being created and destroyed in the first place.

It seems to me that investors in both subsectors are fearing the worst, regardless of the fact that their worst fears are of opposite environments. I suggest that this may be due to uncertainties regarding the global economy; we’re seeing the IMF cut its growth forecasts due to trade concerns; Trump trying to pick a fight with the Fed (I think this is probably because he wants some political cover in case a US slowdown does occur to a noticeable degree); and, of course, the approaching US mid-term elections.

Due to the retail nature of preferred share investors, the sector is prone to episodes like this, in which the market behaves irrationally for a while until people take a deep breath and look at the comparable after-tax yields. I just wish there was some way of predicting the outbreak and duration of such events!

My second-best answer (because it’s rather dated, but is still generally applicable) is Shut Up and Clip Your Coupons! I mean, what else are you going to put your money into that will pay such a high rate of after-tax income while providing first-loss protection?

In the equity markets today:

All sectors on the TSX lost ground on Monday, led by cannabis-heavy health care which was down more than 10 per cent. Aphria Inc. closed down 17.35 per cent, Canopy Growth Corp. 14.12 per cent and Aurora Cannabis 16.10 per cent.

Since Canada legalized recreational marijuana use Oct. 17, pot stocks have lost up to about 45 per cent of their value.

The energy sector closed off more than three cent as the price of crude oil continued to fall as investors remained concerned about slowing global demand led by weakness in China

In New York, the Dow Jones industrial average was down 245.39 to 24,442.92. The S&P 500 index was off 17.44 points to 2,641.25, while the Nasdaq composite lost 116.92 points to 7,050.29.

U.S. markets sustained sharp losses late in the day on reports that Trump is planning new tariffs on all remaining imports from China if the two sides don’t make progress in trade talks next month.

As an aside, I don’t agree with Andrew Jackson (Adjunct Research Professor in the Institute of Political Economy at Carleton University, and senior policy adviser to the Broadbent Institute) very often – but sometimes he has things right:

Further, cuts to the corporate-tax rate are costly since most of the benefit goes to existing firms making profits from past investments, rather than to new firms or those thinking about expansion. A cut in the tax rate is also irrelevant to companies earning so-called rents or above-average profits compared to the international norm. For example, during the resource-boom companies would have invested in the oil sands even if the corporate-tax rate had been much higher, since expected profits were very high.

Canadian banks, utilities, airlines, railways, retailers and cultural industries among others all have to operate mainly in Canada to serve the Canadian market, so they are not very responsive to changes in tax rates compared to other countries.

If the politicians want to make Canada more competitive, they will break up the banks. Let them bank; don’t let them do much else. The enormous size of the heavily protected Canadian banking sector soaks up talent, soaks up capital, soaks up real-estate and soaks up political attention – for what? Second-rate (or, at best, plain vanilla) products made very cheaply as a consequence of scale and sold on the basis of the brand name. That not the basis of a competitive economy – that’s the basis of rentier economy, which is what we got.

I’ve rearranged my data collection routines in an effort that will eventually improve the attribution analysis I’ve been working on. Here are some spot results that some might find of interest:

Total Return
2018-9-28 to 2018-10-29
Tracking
Account
Performance
HIMI Index – Floater -3.23%
HIMI Index – Split Share -0.10%
HIMI Index – Perpetual (Premium) -2.21%
HIMI Index – Perpetual (Discount) -4.25%
HIMI Index – FixedReset Discount -5.05%
HIMI Index – Deemed Retractible -3.93%
HIMI Index – FloatingReset -5.13%
HIMI Index – FixedReset Premium -1.98%
HIMI Index – FixedReset Bank nonNVCC +0.16%
HIMI Index – FixedReset Insurance nonNVCC -5.83%
HIMI Index – Scraps Ratchet -1.35%
HIMI Index – Scraps FixedFloater -1.49%
HIMI Index – Scraps Floater -2.35%
HIMI Index – Scraps OpRet +1.61%
HIMI Index – Scraps Split Share -0.50%
HIMI Index – Scraps PerpPrem -4.23%
HIMI Index – Scraps PerpDisc -4.57%
HIMI Index – Scraps FR Discount -5.86%
HIMI Index – Scraps DeemedRet -5.62%
HIMI Index – Scraps FloatingReset -3.79%
HIMI Index – Scraps FR Premium -2.47%

Note that issues may be relegated to “Scraps” on either credit or volume concerns.

All of which is by way of introducing a snapshot of today’s preferred share market action:

explosion_181029
Click for Big
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.6203 % 3,029.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6203 % 5,558.7
Floater 3.84 % 4.06 % 41,613 17.29 4 -0.6203 % 3,203.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0635 % 3,227.1
SplitShare 4.61 % 4.86 % 50,916 4.68 5 0.0635 % 3,853.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0635 % 3,006.9
Perpetual-Premium 5.73 % 5.75 % 65,601 14.11 12 -0.3983 % 2,860.6
Perpetual-Discount 5.71 % 5.80 % 74,333 14.20 21 -0.9345 % 2,875.4
FixedReset Disc 4.43 % 5.41 % 154,686 14.98 45 -2.8808 % 2,458.6
Deemed-Retractible 5.39 % 6.74 % 67,782 5.21 27 -0.5609 % 2,878.1
FloatingReset 3.91 % 3.99 % 46,209 5.45 4 -1.9873 % 2,709.2
FixedReset Prem 4.96 % 4.82 % 233,259 3.04 34 -0.6970 % 2,524.9
FixedReset Bank Non 3.05 % 4.04 % 89,083 3.04 7 -0.0102 % 2,576.6
FixedReset Ins Non 4.58 % 6.51 % 125,407 5.31 22 -1.1287 % 2,443.5
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -7.91 % A highly suspicious quote, since the issue traded 29,954 shares today in a range of 20.77-21.95 before closing at 20.13-85.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 5.91 %

TRP.PR.F FloatingReset -7.80 % A nonsensical quote as the issue traded 7,200 shares today in a range of 19.49-28 before closing at 18.44-20.27.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 4.99 %

TD.PF.E FixedReset Disc -5.69 % Another nonsensical quote, as the issue traded 8,245 shares today in a range of 23.66-22 before closing at 22.88-72.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.56
Evaluated at bid price : 22.88
Bid-YTW : 5.54 %

TRP.PR.G FixedReset Disc -5.30 % A highly suspicious quote as the issue traded 15,750 shares today in a range of 23.03-00 before closing at 22.53-23.67.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.24
Evaluated at bid price : 22.53
Bid-YTW : 5.77 %

BAM.PF.E FixedReset Disc -5.13 % Another highly suspicious quote from Nonsense Central, as the issue traded 8,269 shares in a range of 22.71-46 before being quoted at 22.01-23.07 in NC’s very expensive reports.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.61
Evaluated at bid price : 22.01
Bid-YTW : 5.56 %

TRP.PR.B FixedReset Disc -5.11 % This one is actually credible, as there was a little bit of trading below $16.00 in the last half hour of the regular market, during which one board lot touched the low of 15.75.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 15.79
Evaluated at bid price : 15.79
Bid-YTW : 5.60 %

CM.PR.Q FixedReset Disc -5.04 % But our lack of faith in the reliability of these expensively purchased quotes is restored when we see that this issue traded 11,559 shares in a range of 23.41-10 before being quoted at 22.79-43.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.44
Evaluated at bid price : 22.79
Bid-YTW : 5.47 %

BAM.PR.M Perpetual-Discount -4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.33 %
TRP.PR.A FixedReset Disc -4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.74 %
SLF.PR.I FixedReset Ins Non -4.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.39
Bid-YTW : 6.51 %
TRP.PR.E FixedReset Disc -4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 5.65 %
VNR.PR.A FixedReset Disc -4.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.52
Evaluated at bid price : 23.31
Bid-YTW : 5.41 %
MFC.PR.Q FixedReset Ins Non -4.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 6.88 %
TRP.PR.C FixedReset Disc -4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.68 %
NA.PR.W FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.39 %
RY.PR.Z FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.59
Evaluated at bid price : 21.95
Bid-YTW : 5.18 %
BAM.PF.C Perpetual-Discount -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.22 %
NA.PR.S FixedReset Disc -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.56
Evaluated at bid price : 21.91
Bid-YTW : 5.41 %
BAM.PR.N Perpetual-Discount -3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 6.29 %
CM.PR.O FixedReset Disc -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.75
Evaluated at bid price : 22.20
Bid-YTW : 5.23 %
BIP.PR.E FixedReset Disc -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.91
Evaluated at bid price : 24.21
Bid-YTW : 5.43 %
RY.PR.H FixedReset Disc -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.76
Evaluated at bid price : 22.21
Bid-YTW : 5.15 %
TD.PF.C FixedReset Disc -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.60
Evaluated at bid price : 21.99
Bid-YTW : 5.18 %
CM.PR.P FixedReset Disc -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.53
Evaluated at bid price : 21.90
Bid-YTW : 5.18 %
RY.PR.M FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.69
Evaluated at bid price : 23.01
Bid-YTW : 5.23 %
TD.PF.D FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.08
Evaluated at bid price : 23.46
Bid-YTW : 5.33 %
TD.PF.B FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.76
Evaluated at bid price : 22.21
Bid-YTW : 5.18 %
BMO.PR.S FixedReset Disc -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.05
Evaluated at bid price : 22.65
Bid-YTW : 5.21 %
GWO.PR.R Deemed-Retractible -2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 8.24 %
HSE.PR.A FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.85 %
RY.PR.J FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.88
Evaluated at bid price : 23.29
Bid-YTW : 5.33 %
BAM.PR.Z FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.55
Evaluated at bid price : 23.40
Bid-YTW : 5.53 %
HSE.PR.C FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.46
Evaluated at bid price : 22.93
Bid-YTW : 5.94 %
TD.PF.A FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.65
Evaluated at bid price : 22.06
Bid-YTW : 5.18 %
BAM.PR.R FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.59 %
BMO.PR.Y FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.52
Evaluated at bid price : 23.88
Bid-YTW : 5.23 %
BIP.PR.F FixedReset Prem -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.86
Evaluated at bid price : 24.22
Bid-YTW : 5.40 %
BMO.PR.T FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 5.13 %
TRP.PR.K FixedReset Prem -2.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.30 %
PWF.PR.T FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.09
Evaluated at bid price : 22.70
Bid-YTW : 5.20 %
CU.PR.C FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.48 %
BMO.PR.W FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.88
Evaluated at bid price : 22.41
Bid-YTW : 5.11 %
SLF.PR.H FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.09
Bid-YTW : 7.80 %
EMA.PR.F FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.85
Evaluated at bid price : 23.32
Bid-YTW : 5.36 %
TD.PF.G FixedReset Prem -1.99 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.22 %
POW.PR.A Perpetual-Premium -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.85 %
BAM.PF.G FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.30
Evaluated at bid price : 23.69
Bid-YTW : 5.46 %
PWF.PR.A Floater -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.32 %
HSE.PR.G FixedReset Prem -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.51
Evaluated at bid price : 23.89
Bid-YTW : 6.07 %
NA.PR.A FixedReset Prem -1.83 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.03 %
CM.PR.S FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.46
Evaluated at bid price : 23.24
Bid-YTW : 5.07 %
MFC.PR.N FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 7.52 %
BAM.PF.A FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.74
Evaluated at bid price : 23.90
Bid-YTW : 5.44 %
MFC.PR.B Deemed-Retractible -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 9.31 %
IFC.PR.G FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 6.11 %
BAM.PF.F FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.04
Evaluated at bid price : 23.62
Bid-YTW : 5.52 %
MFC.PR.G FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.04
Bid-YTW : 6.19 %
TRP.PR.J FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.24 %
IFC.PR.C FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 6.49 %
BAM.PR.X FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.45 %
HSE.PR.E FixedReset Prem -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.63
Evaluated at bid price : 24.05
Bid-YTW : 6.07 %
MFC.PR.J FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 6.36 %
BAM.PR.T FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.58 %
BAM.PF.H FixedReset Prem -1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.23 %
GWO.PR.Q Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 7.30 %
TD.PF.F Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.17
Evaluated at bid price : 23.54
Bid-YTW : 5.21 %
CU.PR.F Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.72 %
BAM.PF.B FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.11
Evaluated at bid price : 22.74
Bid-YTW : 5.49 %
GWO.PR.S Deemed-Retractible -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 6.74 %
SLF.PR.A Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.84
Bid-YTW : 8.34 %
CU.PR.G Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.72 %
EMA.PR.H FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.07
Evaluated at bid price : 24.69
Bid-YTW : 4.96 %
POW.PR.D Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.91 %
GWO.PR.G Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 7.22 %
PWF.PR.P FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 5.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.L FixedReset Bank Non 407,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 2.83 %
BMO.PR.E FixedReset Prem 81,440 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.92 %
TD.PF.H FixedReset Prem 71,202 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.25 %
BNS.PR.I FixedReset Disc 69,005 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.06
Evaluated at bid price : 24.76
Bid-YTW : 4.80 %
IFC.PR.E Deemed-Retractible 59,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.67 %
RY.PR.Q FixedReset Prem 58,833 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.18 %
There were 53 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 18.44 – 20.27
Spot Rate : 1.8300
Average : 1.0966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 4.99 %

TRP.PR.A FixedReset Disc Quote: 18.50 – 20.11
Spot Rate : 1.6100
Average : 0.9725

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.74 %

SLF.PR.I FixedReset Ins Non Quote: 22.39 – 23.55
Spot Rate : 1.1600
Average : 0.6272

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.39
Bid-YTW : 6.51 %

RY.PR.M FixedReset Disc Quote: 23.01 – 24.20
Spot Rate : 1.1900
Average : 0.6871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.69
Evaluated at bid price : 23.01
Bid-YTW : 5.23 %

TRP.PR.G FixedReset Disc Quote: 22.53 – 23.67
Spot Rate : 1.1400
Average : 0.6876

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.24
Evaluated at bid price : 22.53
Bid-YTW : 5.77 %

BAM.PF.E FixedReset Disc Quote: 22.01 – 23.07
Spot Rate : 1.0600
Average : 0.6162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.61
Evaluated at bid price : 22.01
Bid-YTW : 5.56 %

FTU.PR.B : Retract

Sunday, October 28th, 2018

As previously discussed, FTU.PR.B is extending term for “a further six year period from December 1, 2018 to December 1, 2024.” It is also boosting its dividend to 10%.

Don’t be confused by the dividend boost – that’s all just a bit of flim-flam. According to the company the NAVPU of the corporation was 8.53 on October 15, which is all there is to meet its preferred share obligations of $10.00 per unit. It seems likely that this value will have declined since then, given recent market downdrafts.

The implication is that the entire value of the company belongs – or should belong – to the preferred shareholders. Many will realize a loss when retracting, but consider this: if the preferred shareholders take their money and invest it in a similar underlying portfolio of stocks, they will get every single penny of gains that that portfolio can conceivably generate. If they leave their money with the company, then the best they can possibly hope for is their highly touted 10% dividend and a maximum of $10.00 per share … any excess will accrue to the capital unitholders.

I will agree that it is not likely that the company will be able to pay the 10% preferred dividend and increase its unit value above 10.00 prior to the extended maturity date of 2024-12-1. But it’s not impossible. And to the extent that it’s possible, that is an absolutely free, no-risk call option that has been granted to Capital Unitholders by preferred shareholders who choose to extend.

In addition to this statement of facts, I will remind preferred shareholders of my view that:

they are now invested in an expensive mutual fund (MER = 1.53% according to the 18H1 Semi-annual report) with cruddy returns (-1.09% since inception, vs. +3.62% for the S&P 500 Financial Index, according to the 2017 Annual Report).

Holders of FTU.PR.B should retract them.

Remember November 1 is the deadline for notifying the company of retraction, so preferred shareholders who have not yet instructed their brokers to retract should not waste any time. Brokers and other intermediaries will normally have internal deadlines a day or two in advance of the company’s deadline, but will usually pass along instructions received after this date (but before the company’s date!) provided you grovel in a sufficiently entertaining fashion.

October 26, 2018

Saturday, October 27th, 2018

It looks like the situation at Fortress is unravelling:

Senior lenders have moved to seize control of 13 real estate development projects co-ordinated by Fortress Real Developments Inc. as the loans mature or fall into default.

A new report from FAAN Mortgage Administrators Inc., a court-appointed receiver that took control of Fortress’s affiliated mortgage brokerage firm, says 24 of the 45 syndicated mortgage loans it is overseeing have matured but the principal has not been repaid, while 13 projects are now facing enforcement actions from senior lenders who rank first on any prospective claim.

The Globe, in the apparent belief that if it ignores the Internet it will go away, did not supply hyperlinks to the source material, but the FAAN website contains many links, including one to the second report of the Trustee dated October 23, 2018. It makes pretty sad reading, f’rinstance:

90. In addition to projects facing enforcement actions by senior lenders, the Trustee faces challenges to recoveries on the syndicated mortgage loan made to 2309918 Ontario Inc. (“Eden Borrower”). The Eden Borrower is indebted to BDMC in respect of loans made for a real estate development project in King City, Ontario, consisting of approximately 28 residential homes (“Eden Project”). These homes have been sold and the senior loans have been discharged. The mortgages in favour of BDMC have not been discharged and, to date, no payments of the sums secured by BDMC’s mortgages have been repaid. The Investors are owed in excess of $7 million (including accrued interest) in respect of the Eden Project.

91. As late as June 2018, Fortress was advising participants who attend certain periodic update conference calls hosted by Fortress that the syndicated mortgage loan secured on the Eden Project would be repaid in full within a matter of months.

92. In early July, 2018, the Trustee was advised by PACE Developments Inc. (“PACE”), the developer on the Eden Project, on behalf of the Eden Borrower, that there would be no recovery to Investors on the Eden Project, notwithstanding the communications by Fortress of full payment expressed weeks earlier. PACE advised that certain cost overruns not previously accounted for had absorbed the over $7 million payable to Investors. In light of the very concerning representations made to the Trustee and others, the Trustee engaged with PACE to obtain the financial information related to the Eden Project to undertake a detailed review of the sources and uses of funds advanced throughout the Eden Project.

93. Since July, 2018, the Trustee faced increasing pressure from representatives of the Eden Borrower, PACE and CDCM to discharge BDMC’s security on all of the homes to permit buyers to own the properties free and clear of any pre-existing security.

94. The Eden Borrower and PACE continued to insist that the Trustee discharge BDMC’s security without repayment of any of the amounts owing. When the Trustee refused to do so, the Eden Borrower threatened to bring legal action against the Trustee and also appears to have advised certain of the homeowners to seek a remedy against the Trustee.

95. As a result, on September 12, 2018, the Trustee made demand against the Eden Borrower and PACE. In addition to demanding repayment of the full amount owed to Investors and 29 professional fees incurred to the date of the letter, the Trustee demanded additional documents to explain the significant change in the Eden Borrower’s financial position over such a short timeframe.

96. While PACE has responded to the Trustee’s requests for documents, the Trustee is continuing to investigate the cause of the significant change in forecast recoveries to the Investors while pursuing remedies against the Eden Borrower.

97. Since the issuance of the demand letter on September 12, 2018, the Trustee followed up in writing seeking advice as to when repayment would be made. As no response has been received, the Trustee delivered a demand letter and a 244 Notice on October 19, 2018.

Meanwhile, in the Canadian preferred share market:

explosion_181026
Click for Big

TXPR hit a new 52-week low of 688.16 and closed down 88bp; CPD touched a new 52-week low of 13.63 and closed down 115bp at 13.72 on very heavy volume of 571,500 shares (about 14 times yesterday’s volume and a little under 5 times the highest volume of the past thirty days); and ZPR set a new 52-week low of 11.36, closing at 11.36, down 130bp on the day on volume of almost 183,000 shares (about double yesterday’s volume and the highest of the past thirty days). All “new lows” are based on the price index, not the total return index, and therefore do not account for dividend receipts.

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 -1.8802 % 3,048.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8802 % 5,593.4
Floater 3.57 % 3.80 % 41,394 17.85 4 -1.8802 % 3,223.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0715 % 3,225.1
SplitShare 4.61 % 4.82 % 51,461 4.69 5 0.0715 % 3,851.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0715 % 3,005.0
Perpetual-Premium 5.71 % 5.71 % 65,334 14.20 12 -0.4804 % 2,872.1
Perpetual-Discount 5.66 % 5.78 % 74,224 14.22 21 -0.5937 % 2,902.5
FixedReset Disc 4.30 % 5.21 % 152,367 15.24 45 -0.9437 % 2,531.5
Deemed-Retractible 5.36 % 6.58 % 65,707 5.22 27 -0.2966 % 2,894.3
FloatingReset 3.76 % 3.92 % 44,037 5.48 4 -1.6831 % 2,764.2
FixedReset Prem 4.93 % 4.56 % 253,161 3.05 34 -0.5094 % 2,542.6
FixedReset Bank Non 3.18 % 3.92 % 87,953 0.33 8 -0.0663 % 2,576.8
FixedReset Ins Non 4.53 % 6.25 % 124,915 5.33 22 -1.0347 % 2,471.4
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -3.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 8.94 %
TRP.PR.A FixedReset Disc -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.51 %
SLF.PR.J FloatingReset -2.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.59
Bid-YTW : 8.47 %
BAM.PR.B Floater -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 3.81 %
PWF.PR.P FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.19 %
BAM.PR.K Floater -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.81 %
PWF.PR.T FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.37
Evaluated at bid price : 23.20
Bid-YTW : 5.10 %
BAM.PF.D Perpetual-Discount -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.10 %
TRP.PR.F FloatingReset -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.51 %
BAM.PR.X FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 5.40 %
BAM.PF.B FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.26
Evaluated at bid price : 23.01
Bid-YTW : 5.44 %
BAM.PR.C Floater -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 3.80 %
TRP.PR.C FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.49 %
RY.PR.J FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.49
Evaluated at bid price : 23.89
Bid-YTW : 5.22 %
PWF.PR.Q FloatingReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 3.92 %
IFC.PR.C FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.25 %
SLF.PR.H FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 7.42 %
HSE.PR.E FixedReset Prem -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.99
Evaluated at bid price : 24.37
Bid-YTW : 6.02 %
MFC.PR.G FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.90 %
MFC.PR.M FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 7.19 %
VNR.PR.A FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.03
Evaluated at bid price : 24.40
Bid-YTW : 5.16 %
BAM.PR.T FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.54 %
BAM.PR.N Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.08 %
MFC.PR.Q FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.05 %
SLF.PR.I FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.65 %
PWF.PR.Z Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 21.88
Evaluated at bid price : 22.21
Bid-YTW : 5.81 %
MFC.PR.J FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 6.12 %
NA.PR.G FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.10
Evaluated at bid price : 24.82
Bid-YTW : 5.05 %
BMO.PR.S FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.40
Evaluated at bid price : 23.27
Bid-YTW : 5.08 %
CU.PR.C FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.39 %
POW.PR.C Perpetual-Premium -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.89 %
MFC.PR.H FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 6.44 %
RY.PR.Z FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.11
Evaluated at bid price : 22.75
Bid-YTW : 5.01 %
CU.PR.I FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.14 %
BAM.PF.E FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.76
Evaluated at bid price : 23.20
Bid-YTW : 5.30 %
RY.PR.W Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 5.08 %
MFC.PR.I FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.29
Bid-YTW : 6.12 %
BAM.PR.R FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 5.49 %
IAG.PR.I FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.99
Bid-YTW : 5.76 %
TRP.PR.J FixedReset Prem -1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.64 %
RY.PR.M FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.38
Evaluated at bid price : 23.70
Bid-YTW : 5.11 %
TRP.PR.B FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 5.35 %
GWO.PR.P Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 6.45 %
POW.PR.G Perpetual-Premium -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 24.34
Evaluated at bid price : 24.67
Bid-YTW : 5.71 %
BAM.PR.M Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.03 %
BAM.PF.J FixedReset Prem -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.14 %
MFC.PR.O FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 4.83 %
MFC.PR.N FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 7.20 %
TRP.PR.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 21.50
Evaluated at bid price : 21.85
Bid-YTW : 5.40 %
BMO.PR.W FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.41
Evaluated at bid price : 22.89
Bid-YTW : 5.03 %
IFC.PR.A FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.54
Bid-YTW : 8.20 %
BAM.PF.F FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.43
Evaluated at bid price : 24.00
Bid-YTW : 5.46 %
CM.PR.Q FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.64
Evaluated at bid price : 24.00
Bid-YTW : 5.22 %
SLF.PR.C Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 8.69 %
BMO.PR.T FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.24
Evaluated at bid price : 23.00
Bid-YTW : 5.03 %
MFC.PR.L FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.72 %
NA.PR.C FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 4.80 %
GWO.PR.G Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 7.00 %
TRP.PR.D FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 21.52
Evaluated at bid price : 21.86
Bid-YTW : 5.45 %
GWO.PR.T Deemed-Retractible 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.86 %
IFC.PR.G FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 64,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.86 %
RY.PR.J FixedReset Disc 63,424 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.49
Evaluated at bid price : 23.89
Bid-YTW : 5.22 %
RY.PR.Z FixedReset Disc 62,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.11
Evaluated at bid price : 22.75
Bid-YTW : 5.01 %
RY.PR.Q FixedReset Prem 59,185 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 3.99 %
NA.PR.S FixedReset Disc 58,361 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.06
Evaluated at bid price : 22.67
Bid-YTW : 5.24 %
CM.PR.O FixedReset Disc 56,898 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 5.07 %
There were 66 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 23.01 – 23.69
Spot Rate : 0.6800
Average : 0.4799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.26
Evaluated at bid price : 23.01
Bid-YTW : 5.44 %

PWF.PR.Q FloatingReset Quote: 20.77 – 21.39
Spot Rate : 0.6200
Average : 0.4575

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 3.92 %

TRP.PR.A FixedReset Disc Quote: 19.39 – 19.82
Spot Rate : 0.4300
Average : 0.2735

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.51 %

BAM.PF.D Perpetual-Discount Quote: 20.33 – 20.80
Spot Rate : 0.4700
Average : 0.3272

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.10 %

BAM.PR.N Perpetual-Discount Quote: 19.78 – 20.18
Spot Rate : 0.4000
Average : 0.2888

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.08 %

TRP.PR.F FloatingReset Quote: 20.00 – 20.40
Spot Rate : 0.4000
Average : 0.2925

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.51 %

New Issue: RY FixedReset, 4.80%+238, NVCC

Friday, October 26th, 2018

Royal Bank of Canada has announced (on October 25):

a domestic public offering of Non-Cumulative, 5-Year Rate Reset Preferred Shares Series BO.

Royal Bank of Canada will issue 12 million Preferred Shares Series BO priced at $25 per share to raise gross proceeds of $300 million. The bank has granted the Underwriters an option, exercisable in whole or in part, to purchase up to an additional 2 million Preferred Shares Series BO at the same offering price.

The Preferred Shares Series BO will yield 4.80 per cent annually, payable quarterly, as and when declared by the Board of Directors of Royal Bank of Canada, for the initial period ending February 24, 2024. Thereafter, the dividend rate will reset every five years at a rate equal to 2.38 per cent over the 5-year Government of Canada bond yield.

Subject to regulatory approval, on or after February 24, 2024, the bank may redeem the Preferred Shares Series BO in whole or in part at par. Holders of Preferred Shares Series BO will, subject to certain conditions, have the right to convert all or any part of their shares to Non-Cumulative Floating Rate Preferred Shares Series BP on February 24, 2024 and on February 24 every five years thereafter.

Holders of the Preferred Shares Series BP will be entitled to receive a non-cumulative quarterly floating dividend, as and when declared by the Board of Directors of Royal Bank of Canada, at a rate equal to the 3-month Government of Canada Treasury Bill yield plus 2.38 per cent. Holders of Preferred Shares Series BP will, subject to certain conditions, have the right to convert all or any part of their shares to Preferred Shares Series BO on February 24, 2029 and on February 24 every five years thereafter.

The offering will be underwritten by a syndicate led by RBC Capital Markets. The expected closing date is November 2, 2018.

We routinely undertake funding transactions to maintain strong capital ratios and a cost effective capital structure. Net proceeds from this transaction will be used for general business purposes.

They later announced:

that as a result of strong investor demand for its previously announced domestic public offering of Non-Cumulative, 5-Year Rate Reset Preferred Shares Series BO, the size of the offering has been increased to 14 million shares. The gross proceeds of the offering will now be $350 million. The offering will be underwritten by a syndicate led by RBC Capital Markets. The expected closing date is November 2, 2018.

We routinely undertake funding transactions to maintain strong capital ratios and a cost effective capital structure. Net proceeds from this transaction will be used for general business purposes.

Thanks to Assiduous Reader dodoi for pointing out I was late posting this announcement.

The new issue is quite expensive according to Implied Volatility Analysis:

impvol_ry_180826
Click for Big

According to this analysis, the fair value of the new issue on October 26 is 23.77.

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 the ‘all issues will be called, or at least exhibit price stability’ hypothesis. 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. The extra cushion implied by an Issue Reset Spread that is well over the market spread is worth something, even if nothing gets called. Or, to put it another way, one can buy a whole lot of downside protection for very little extra money, relative to this issue.

October 25, 2018

Thursday, October 25th, 2018

TXPR continued its streak of hitting new 52-week lows, this time touching 694.69 compared to the prior lowest level of 694.81. Note that this is the price index, which ignores the effect of dividend receipts.

CPD also hit a low, touching 13.83 compared to the prior level of 13.93 … again ignoring the effect of dividend receipts.

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 0.1897 % 3,106.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1897 % 5,700.5
Floater 3.50 % 3.70 % 39,955 18.06 4 0.1897 % 3,285.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0318 % 3,222.8
SplitShare 4.62 % 4.85 % 48,402 4.70 5 -0.0318 % 3,848.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0318 % 3,002.9
Perpetual-Premium 5.68 % 5.29 % 78,758 14.20 12 -0.3448 % 2,885.9
Perpetual-Discount 5.62 % 5.75 % 73,810 14.31 21 0.0748 % 2,919.8
FixedReset Disc 4.26 % 5.15 % 147,683 15.34 45 -0.0646 % 2,555.7
Deemed-Retractible 5.34 % 6.49 % 66,544 5.22 27 0.4445 % 2,902.9
FloatingReset 3.70 % 3.85 % 44,568 5.50 4 -0.5502 % 2,811.5
FixedReset Prem 4.90 % 4.38 % 252,453 3.01 34 -0.0683 % 2,555.7
FixedReset Bank Non 3.18 % 3.40 % 89,106 0.33 8 -0.0204 % 2,578.6
FixedReset Ins Non 4.49 % 6.11 % 120,862 5.34 22 -0.4560 % 2,497.3
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -4.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.19 %
TRP.PR.D FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 21.54
Evaluated at bid price : 21.54
Bid-YTW : 5.55 %
PWF.PR.E Perpetual-Premium -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 5.81 %
PWF.PR.R Perpetual-Premium -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 23.69
Evaluated at bid price : 24.01
Bid-YTW : 5.74 %
SLF.PR.G FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.12
Bid-YTW : 8.32 %
IFC.PR.A FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 7.99 %
SLF.PR.J FloatingReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 7.92 %
BAM.PF.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 23.79
Evaluated at bid price : 24.15
Bid-YTW : 5.38 %
MFC.PR.L FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.42
Bid-YTW : 7.51 %
BAM.PR.T FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 5.45 %
GWO.PR.G Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 7.20 %
RY.PR.R FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.24 %
BAM.PR.M Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.95 %
GWO.PR.R Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.54
Bid-YTW : 7.74 %
IFC.PR.F Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.39 %
TD.PF.D FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.15 %
BAM.PF.J FixedReset Prem 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.80 %
MFC.PR.B Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.15
Bid-YTW : 8.90 %
GWO.PR.P Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 6.20 %
CU.PR.C FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.31 %
HSE.PR.E FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.35 %
IFC.PR.E Deemed-Retractible 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.49 %
GWO.PR.L Deemed-Retractible 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.I FixedReset Ins Non 108,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 5.36 %
MFC.PR.J FixedReset Ins Non 103,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.08
Bid-YTW : 5.82 %
RY.PR.Q FixedReset Prem 66,285 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.86 %
TD.PR.Y FixedReset Bank Non 58,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.40 %
TRP.PR.D FixedReset Disc 51,948 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 21.54
Evaluated at bid price : 21.54
Bid-YTW : 5.55 %
PWF.PR.S Perpetual-Discount 50,855 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.76 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 22.30 – 23.45
Spot Rate : 1.1500
Average : 0.7444

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.86 %

IFC.PR.G FixedReset Ins Non Quote: 23.50 – 24.50
Spot Rate : 1.0000
Average : 0.6026

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.19 %

HSE.PR.C FixedReset Disc Quote: 23.49 – 24.50
Spot Rate : 1.0100
Average : 0.7055

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 22.99
Evaluated at bid price : 23.49
Bid-YTW : 5.83 %

HSE.PR.G FixedReset Prem Quote: 24.35 – 25.20
Spot Rate : 0.8500
Average : 0.5883

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 24.01
Evaluated at bid price : 24.35
Bid-YTW : 5.99 %

MFC.PR.I FixedReset Ins Non Quote: 23.60 – 24.40
Spot Rate : 0.8000
Average : 0.5483

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 5.87 %

BAM.PF.G FixedReset Disc Quote: 24.15 – 24.80
Spot Rate : 0.6500
Average : 0.4201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 23.79
Evaluated at bid price : 24.15
Bid-YTW : 5.38 %

PIC.PR.A To Get Bigger

Thursday, October 25th, 2018

Strathbridge Asset Management has announced:

Premium Income Corporation (the “Fund”) is pleased to announce that it is undertaking an overnight treasury offering of Preferred Shares and Class A Shares.

The sales period for the overnight offering will end at 9:00 am EST tomorrow, October 26, 2018. The offering is expected to close on or about November 2, 2018 and is subject to certain conditions including approval by the Toronto Stock Exchange (“TSX”).The Preferred Shares will be offered at a price of $15.00 per Preferred Share to yield 5.75% and the Class A Shares will be offered at an indicative price of $6.60 per Class A Share to yield 12.3%. The trading price on the TSX for each of the Preferred Shares and Class A Shares as at 2:00pm EST on October 25, 2018 was $15.34 and $6.78, respectively.

Since the inception of the Fund, the aggregate dividends declared on the Preferred Shares have been $19.19 per share and the aggregate dividends declared on the Class A Shares have been $24.60 per share, for a combined total of $43.79 per unit.

The Fund invests in a portfolio consisting principally of common shares of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada and The Toronto-Dominion Bank (the “Banks”). To generate additional returns above the dividend income earned on the Fund’s portfolio, the Fund will selectively write covered call options in respect of some or all of the common shares in the Fund’s portfolio. The manager and investment manager of the Fund is Strathbridge Asset Management Inc.

The Preferred Shares pay fixed cumulative preferential quarterly cash distributions in the amount of $0.215625 ($0.8625 per annum) per preferred share representing a yield of 5.75% on the original issue price of $15.00. The Class A Shares currently pay quarterly distributions in the amount $0.20319 ($0.81276 per annum) per Class A Share.
The syndicate of agents for the offering is being co-led by RBC Capital Markets, CIBC Capital Markets, National Bank Financial Inc. and Scotiabank, and also includes BMO Capital Markets, TD Securities Inc., Raymond James Ltd., Canaccord Genuity Corp., Desjardins Securities Inc., Echelon Wealth Partners Inc., GMP Securities L.P. and Industrial Alliance Securities Inc.

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

So they’re offering Whole Units at 21.60 (I think; it’s not clear to me what “indicative” means) compared to an October 24 NAVPU of 20.65 – a premium of 4.60%, which is good business.

I am not a big fan of this fund due to the low level of Asset Coverage and the lack of a ‘dividend stopper’ that would halt distributions when Asset Coverage is below a certain level.

Update, 2018-10-30: They raised about 17.2-million:

Premium Income Corporation (the “Fund”) is pleased to announce a successful overnight treasury offering of 795,000 Preferred Shares and 795,000 Class A Shares. Gross proceeds of the offering are expected to be approximately $17.2 million.

The offering is expected to close on or about November 2, 2018 and is subject to certain conditions including approval by the Toronto Stock Exchange (“TSX”).The Preferred Shares were offered at a price of $15.00 per Preferred Share to yield 5.75% and the Class A Shares were offered at a price of $6.60 per Class A Share to yield 12.3%.

October 24, 2018

Wednesday, October 24th, 2018

Equities got creamed today:

Stocks have fallen for 13 of the past 15 trading days, including a 3.3 percent drop on Oct. 10 that was the market’s worst fall in eight months. The S.&P. 500 is now down more than 0.6 percent for the year.

The S.&P. 500 communications services sector — which includes tech giants like Google and Facebook — led the broad market lower.
  • •The tech-heavy Nasdaq composite index dropped more than 4.4 percent, as shares in the tech heavyweights Amazon, Microsoft and Facebook all fell more than 5 percent.
  • •Netflix stock fell more than 9 percent, after media reports said that Apple planned to announce a subscription television service that would go head-to-head with Amazon and Netflix.
  • •Homebuilding stocks slumped again. The S.&P. 500 homebuilding index dropped 3 percent after new economic data showed home sales slumped for the fourth straight month. The sector has been battered this year, falling more than 36 percent, as rising mortgage rates showed signs of slowing the sector.

TXPR touched a new 52-week low today, just like yesterday. Note that that’s the price index being referred to, which does not account for the value of dividends received. CPD volume returned to high-ish, but reasonably normal levels.

PerpetualDiscounts now yield 5.76%, equivalent to 7.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a significant widening from the 325bp reported October 17.

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 0.0152 % 3,100.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0152 % 5,689.7
Floater 3.51 % 3.73 % 41,428 18.01 4 0.0152 % 3,279.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1269 % 3,223.8
SplitShare 4.62 % 4.85 % 49,617 4.70 5 -0.1269 % 3,849.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1269 % 3,003.8
Perpetual-Premium 5.66 % 5.30 % 79,001 14.02 12 0.0128 % 2,895.9
Perpetual-Discount 5.63 % 5.76 % 76,907 14.27 21 -0.1380 % 2,917.6
FixedReset Disc 4.26 % 5.17 % 148,443 15.31 45 -0.3978 % 2,557.3
Deemed-Retractible 5.37 % 6.78 % 67,431 5.23 27 -0.0458 % 2,890.1
FloatingReset 3.68 % 3.83 % 44,592 5.51 4 -0.3034 % 2,827.0
FixedReset Prem 4.90 % 4.29 % 254,520 3.05 34 -0.0696 % 2,557.4
FixedReset Bank Non 3.12 % 3.30 % 85,864 0.33 8 0.0541 % 2,579.1
FixedReset Ins Non 4.47 % 5.82 % 118,302 5.34 22 -0.2752 % 2,508.7
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 5.33 %
TRP.PR.G FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.36
Evaluated at bid price : 23.68
Bid-YTW : 5.51 %
GWO.PR.L Deemed-Retractible -2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 6.07 %
TRP.PR.D FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 5.41 %
BAM.PF.J FixedReset Prem -1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 5.12 %
TRP.PR.B FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.24 %
IFC.PR.A FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.99
Bid-YTW : 7.77 %
GWO.PR.T Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.19 %
BAM.PR.X FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 5.29 %
PWF.PR.P FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.04 %
MFC.PR.F FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.47
Bid-YTW : 9.63 %
PWF.PR.L Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.88
Evaluated at bid price : 22.12
Bid-YTW : 5.78 %
MFC.PR.M FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.37
Bid-YTW : 6.79 %
RY.PR.O Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.35
Evaluated at bid price : 23.73
Bid-YTW : 5.14 %
PWF.PR.Q FloatingReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 3.83 %
SLF.PR.H FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.82
Bid-YTW : 7.14 %
MFC.PR.N FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.12
Bid-YTW : 6.89 %
CU.PR.C FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.38 %
TRP.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.34 %
IFC.PR.F Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.49
Bid-YTW : 6.60 %
MFC.PR.G FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.54 %
HSE.PR.E FixedReset Prem 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 24.09
Evaluated at bid price : 24.46
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Prem 132,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.22 %
BAM.PF.B FixedReset Disc 85,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 22.52
Evaluated at bid price : 23.50
Bid-YTW : 5.31 %
TRP.PR.K FixedReset Prem 75,346 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.18 %
SLF.PR.A Deemed-Retractible 74,720 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 8.16 %
CM.PR.R FixedReset Prem 74,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.28 %
RY.PR.I FixedReset Bank Non 73,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 2.64 %
There were 40 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: 23.68 – 24.26
Spot Rate : 0.5800
Average : 0.3848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.36
Evaluated at bid price : 23.68
Bid-YTW : 5.51 %

GWO.PR.L Deemed-Retractible Quote: 24.61 – 25.16
Spot Rate : 0.5500
Average : 0.3675

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 6.07 %

RY.PR.O Perpetual-Discount Quote: 23.73 – 24.19
Spot Rate : 0.4600
Average : 0.2929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.35
Evaluated at bid price : 23.73
Bid-YTW : 5.14 %

TRP.PR.E FixedReset Disc Quote: 22.10 – 22.55
Spot Rate : 0.4500
Average : 0.2904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 5.33 %

TD.PF.G FixedReset Prem Quote: 25.76 – 26.08
Spot Rate : 0.3200
Average : 0.1812

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.19 %

TD.PF.A FixedReset Disc Quote: 22.76 – 23.20
Spot Rate : 0.4400
Average : 0.3048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 22.10
Evaluated at bid price : 22.76
Bid-YTW : 5.03 %