Archive for October, 2018

October 17, 2018

Wednesday, October 17th, 2018

We are most used to thinking of financial repression as being applied by governments through a low-interest-rate policy, but as noted on June 2, 2015, for instance, another way is to require regulated entities to hold government debt. This sometimes has spectacular effects:

A trio of Canadian banks is facing the fallout from a debt restructuring in Barbados that will slash the value of hundreds of millions of dollars worth of government paper they collectively own.

Canadian Imperial Bank of Commerce, Royal Bank of Canada and Bank of Nova Scotia are the largest lenders in the Caribbean, and each has direct exposure to Barbados. The country is home to one of the region’s largest economies, but the government’s finances have deteriorated over time.

To help turn the economy around, the International Monetary Fund is working with Barbados to formulate a financial rescue plan. As part of this effort, the government proposed a debt restructuring in September that would amend the terms of its existing domestic debt. On Sunday, Ms. Mottley announced the restructuring plan will proceed.

Through the restructuring, Canadian banks will face losses on their debt holdings because Barbados has forced them to hold a greater percentage of their reserves in government debt, to help fund its deficits. These securities must now be held for much longer, and their coupons will also be cut, so the lenders will receive much lower returns on their money.

The total impact on Canadian lenders is still being calculated, but the three affected banks hold a substantial amount of Barbados debt. As of January, 20 per cent of their Barbadian reserves had to be held in government debt.

PerpetualDiscounts now yield 5.69%, equivalent to 7.40% 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 is now about 325bp, a significant widening from the 315bp reported October 10.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0526 % 3,185.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0526 % 5,845.9
Floater 3.41 % 3.60 % 41,252 18.31 4 -0.0526 % 3,369.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0477 % 3,224.8
SplitShare 4.61 % 4.78 % 51,639 4.72 5 0.0477 % 3,851.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0477 % 3,004.8
Perpetual-Premium 5.62 % 0.82 % 76,719 0.20 12 -0.0565 % 2,912.6
Perpetual-Discount 5.54 % 5.69 % 74,813 14.38 21 -0.0925 % 2,961.0
FixedReset Disc 4.20 % 5.10 % 140,719 15.38 45 -0.1782 % 2,590.2
Deemed-Retractible 5.29 % 6.59 % 65,040 5.25 27 -0.1105 % 2,926.6
FloatingReset 3.56 % 3.68 % 42,564 5.56 4 0.1615 % 2,873.7
FixedReset Prem 4.88 % 4.21 % 234,576 2.83 34 -0.0115 % 2,567.4
FixedReset Bank Non 3.12 % 3.63 % 72,581 0.35 8 -0.0611 % 2,574.8
FixedReset Ins Non 4.40 % 5.72 % 101,795 5.36 22 -0.3966 % 2,545.5
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -3.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 5.96 %
IFC.PR.F Deemed-Retractible -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.48
Bid-YTW : 6.59 %
IFC.PR.E Deemed-Retractible -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.86
Bid-YTW : 7.00 %
MFC.PR.I FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.49 %
BAM.PR.X FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.E FixedReset Prem 323,470 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.63 %
TD.PF.K FixedReset Prem 83,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.73 %
EMA.PR.F FixedReset Disc 77,712 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 23.51
Evaluated at bid price : 23.96
Bid-YTW : 5.22 %
BNS.PR.I FixedReset Disc 71,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 23.15
Evaluated at bid price : 25.01
Bid-YTW : 4.75 %
HSE.PR.G FixedReset Prem 54,358 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 5.44 %
BAM.PF.E FixedReset Disc 53,844 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 23.41
Evaluated at bid price : 23.84
Bid-YTW : 5.14 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 23.74 – 24.74
Spot Rate : 1.0000
Average : 0.5458

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 5.96 %

BMO.PR.W FixedReset Disc Quote: 23.10 – 23.49
Spot Rate : 0.3900
Average : 0.2631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 22.60
Evaluated at bid price : 23.10
Bid-YTW : 4.97 %

ELF.PR.H Perpetual-Discount Quote: 24.16 – 24.54
Spot Rate : 0.3800
Average : 0.2595

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 23.83
Evaluated at bid price : 24.16
Bid-YTW : 5.71 %

HSE.PR.G FixedReset Prem Quote: 24.73 – 25.19
Spot Rate : 0.4600
Average : 0.3424

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 5.44 %

BAM.PF.B FixedReset Disc Quote: 23.80 – 24.15
Spot Rate : 0.3500
Average : 0.2359

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 23.00
Evaluated at bid price : 23.80
Bid-YTW : 5.24 %

MFC.PR.B Deemed-Retractible Quote: 20.53 – 20.95
Spot Rate : 0.4200
Average : 0.3107

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.53
Bid-YTW : 8.50 %

October 16, 2018

Tuesday, October 16th, 2018

Trump mouthed off about the Fed again:

U.S. President Donald Trump heaped more criticism on the Federal Reserve in an interview with Fox Business Network on Tuesday, extending his discontent beyond its chairman, Jerome Powell, whom he has frequently critiqued in public.

“My biggest threat is the Fed,” he said, according to excerpts released before the interview with “Trish Regan Primetime” airs. “I put a couple of other people there I’m not so happy with too but for the most part I’m very happy with people.”

I suspect that this is more of an attempt to buy political insurance in the event of an economic downturn than a serious move to undermine Fed independence. But what do I know?

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 1.8769 % 3,187.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.8769 % 5,849.0
Floater 3.41 % 3.60 % 38,760 18.32 4 1.8769 % 3,370.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0873 % 3,223.3
SplitShare 4.62 % 4.69 % 53,772 4.72 5 -0.0873 % 3,849.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0873 % 3,003.4
Perpetual-Premium 5.62 % -1.85 % 60,411 0.21 12 -0.0565 % 2,914.2
Perpetual-Discount 5.53 % 5.67 % 71,199 14.42 21 0.0294 % 2,963.7
FixedReset Disc 4.19 % 5.04 % 141,118 15.43 45 0.3189 % 2,594.8
Deemed-Retractible 5.28 % 6.68 % 63,683 5.26 27 -0.2365 % 2,929.8
FloatingReset 3.57 % 3.73 % 40,694 5.57 4 0.5101 % 2,869.1
FixedReset Prem 4.88 % 4.26 % 230,906 2.83 34 0.2921 % 2,567.7
FixedReset Bank Non 3.12 % 3.40 % 73,118 0.35 8 0.0815 % 2,576.4
FixedReset Ins Non 4.38 % 5.42 % 101,292 5.36 22 0.4714 % 2,555.7
Performance Highlights
Issue Index Change Notes
IFC.PR.F Deemed-Retractible -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 6.28 %
SLF.PR.B Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 7.61 %
BAM.PR.X FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.12 %
MFC.PR.M FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.99 %
MFC.PR.Q FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 5.72 %
TD.PF.B FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 22.82
Evaluated at bid price : 23.44
Bid-YTW : 4.91 %
SLF.PR.H FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.47 %
BAM.PR.M Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.86 %
IFC.PR.A FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.57
Bid-YTW : 7.20 %
PWF.PR.Q FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 3.73 %
BAM.PR.C Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 3.61 %
BAM.PR.K Floater 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 3.60 %
BAM.PR.B Floater 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 3.60 %
TD.PF.J FixedReset Prem 3.94 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.I FixedReset Disc 182,126 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 23.14
Evaluated at bid price : 24.98
Bid-YTW : 4.75 %
BAM.PR.N Perpetual-Discount 100,707 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.88 %
PWF.PR.K Perpetual-Discount 84,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.70 %
CM.PR.R FixedReset Prem 72,487 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.21 %
TRP.PR.D FixedReset Disc 72,228 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 22.02
Evaluated at bid price : 22.61
Bid-YTW : 5.23 %
TD.PF.J FixedReset Prem 69,616 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.63 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Deemed-Retractible Quote: 23.85 – 24.32
Spot Rate : 0.4700
Average : 0.3445

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 6.28 %

W.PR.J Perpetual-Discount Quote: 24.78 – 25.10
Spot Rate : 0.3200
Average : 0.2016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 24.53
Evaluated at bid price : 24.78
Bid-YTW : 5.68 %

EIT.PR.B SplitShare Quote: 25.00 – 25.32
Spot Rate : 0.3200
Average : 0.2100

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.90 %

SLF.PR.J FloatingReset Quote: 20.00 – 20.31
Spot Rate : 0.3100
Average : 0.2124

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 7.02 %

POW.PR.A Perpetual-Premium Quote: 24.83 – 25.06
Spot Rate : 0.2300
Average : 0.1489

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 5.66 %

CU.PR.C FixedReset Disc Quote: 21.80 – 22.20
Spot Rate : 0.4000
Average : 0.3192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.20 %

October 15, 2018

Monday, October 15th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.7564 % 3,128.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7564 % 5,741.2
Floater 3.47 % 3.67 % 39,129 18.15 4 0.7564 % 3,308.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1271 % 3,226.1
SplitShare 4.61 % 4.61 % 54,617 4.72 5 0.1271 % 3,852.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1271 % 3,006.0
Perpetual-Premium 5.61 % -1.82 % 58,963 0.21 12 0.0465 % 2,915.9
Perpetual-Discount 5.53 % 5.66 % 69,864 14.45 21 0.1157 % 2,962.8
FixedReset Disc 4.20 % 5.13 % 142,082 15.43 45 -0.0309 % 2,586.6
Deemed-Retractible 5.27 % 6.59 % 64,177 5.27 27 0.0384 % 2,936.8
FloatingReset 3.59 % 3.79 % 40,850 5.56 4 0.3023 % 2,854.5
FixedReset Prem 4.89 % 4.30 % 225,539 2.83 34 -0.0139 % 2,560.2
FixedReset Bank Non 3.12 % 3.60 % 73,363 0.36 8 -0.0153 % 2,574.3
FixedReset Ins Non 4.40 % 5.57 % 102,198 5.38 22 -0.0966 % 2,543.7
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Prem -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 22.85
Evaluated at bid price : 24.10
Bid-YTW : 5.11 %
BAM.PR.M Perpetual-Discount -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.95 %
IAG.PR.I FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.25 %
IAG.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.66
Bid-YTW : 5.43 %
TRP.PR.F FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.23 %
BAM.PR.K Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 3.68 %
TRP.PR.C FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 5.18 %
BAM.PR.C Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 3.67 %
MFC.PR.L FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.I FixedReset Disc 207,032 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 23.14
Evaluated at bid price : 24.99
Bid-YTW : 4.75 %
TD.PF.K FixedReset Prem 98,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.85 %
PWF.PR.G Perpetual-Premium 69,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -13.69 %
BAM.PF.G FixedReset Disc 61,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 23.55
Evaluated at bid price : 24.71
Bid-YTW : 5.19 %
NA.PR.G FixedReset Prem 44,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.87 %
TD.PR.Y FixedReset Bank Non 43,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.30 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Prem Quote: 24.10 – 25.10
Spot Rate : 1.0000
Average : 0.6140

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 22.85
Evaluated at bid price : 24.10
Bid-YTW : 5.11 %

BAM.PR.M Perpetual-Discount Quote: 20.16 – 20.64
Spot Rate : 0.4800
Average : 0.2999

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.95 %

TD.PF.E FixedReset Disc Quote: 24.53 – 24.85
Spot Rate : 0.3200
Average : 0.1988

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.61 %

PWF.PR.E Perpetual-Premium Quote: 24.40 – 24.73
Spot Rate : 0.3300
Average : 0.2256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 5.64 %

TD.PF.B FixedReset Disc Quote: 23.17 – 23.48
Spot Rate : 0.3100
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 22.58
Evaluated at bid price : 23.17
Bid-YTW : 4.96 %

MFC.PR.J FixedReset Ins Non Quote: 24.35 – 24.72
Spot Rate : 0.3700
Average : 0.2744

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.57 %

October PrefLetter Released!

Sunday, October 14th, 2018

The October, 2018, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the October, 2018, issue, while the “Next Edition” will be the November, 2018, issue, scheduled to be prepared as of the close November 9 and eMailed to subscribers prior to market-opening on November 12.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

BNS.PR.I Firm on Modest Volume

Friday, October 12th, 2018

The Bank of Nova Scotia has announced:

that it has completed the domestic public offering of Non-cumulative 5-Year Rate Reset Preferred Shares Series 40 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 40”).

Scotiabank sold 12 million Preferred Shares Series 40 at a price of $25.00 per share and holders will be entitled to receive a non-cumulative quarterly fixed dividend for the initial period ending January 26, 2024 yielding 4.85% per annum, as and when declared by the Board of Directors of Scotiabank. The gross proceeds of the offering were $300 million.

The offering was made through a syndicate of underwriters led by Scotia Capital Inc. The Preferred Shares Series 40 commenced trading on the Toronto Stock Exchange today under the symbol BNS.PR.I.

On January 27, 2024 and on January 27 every five years thereafter, Scotiabank may, at its option, subject to regulatory approval, redeem all or any number of the then outstanding Preferred Shares Series 40 at a redemption price of $25 per share. Thereafter, the dividend rate will reset every five years at a rate equal to 2.43% over the 5-year Government of Canada bond yield. Holders of Preferred Shares Series 40 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 41 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 41”) of Scotiabank on January 27, 2024 and on January 27 every five years thereafter.

Holders of the Preferred Shares Series 41 will be entitled to receive a non-cumulative quarterly floating dividend at a rate equal to the 3-month Government of Canada Treasury Bill yield plus 2.43%, as and when declared by the Board of Directors of Scotiabank. Holders of Preferred Shares Series 41 will, subject to certain conditions, have the right to convert all or any part of their shares to Preferred Shares Series 40 on January 27, 2029 and on January 27 every five years thereafter.

BNS.PR.I is a FixedReset, 4.85%+243, NVCC, issue that was announced 2018-10-2. It will be tracked by HIMIPref™ and has been assigned to the FixedReset-Discount sub-index.

The issue traded 644,420 shares today in a range of 24.90-97 before closing at 24.93-97. Vital statistics are:

BNS.PR.I FixedReset Disc YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 23.12
Evaluated at bid price : 24.93
Bid-YTW : 4.76 %

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

impvol_bns_181012
Click for Big

According to this analysis, the fair value of the new issue on October 12 is 23.05, down from the October 2 fair value of 23.43. However, it should be noted that the analysis is forced to do some major extrapolation, as the only other BNS FixedReset NVCC-compliant issues are BNS.PR.E, BNS.PR.G and BNS.PR.H, all of which have Issue Reset Spreads in excess of 400bp. On the other hand, the issue seems well aligned with the NVCC non-compliant issues, whereas it should be well above the regression line they form.

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 12, 2018

Friday, October 12th, 2018

Trump continues to attack the Fed:

President Trump responded to falling stock prices on Thursday by continuing to throw rocks at the Federal Reserve, which he has described as “crazy,” “loco,” “going wild” and “out of control” for slowly raising interest rates against the backdrop of a booming economy.

No other modern president has publicly attacked the Fed with such venom or frequency. Indeed, some scholars said the only close historical parallel was with President Andrew Jackson, who campaigned successfully in the 1830s to close the Fed’s predecessor, the Second Bank of the United States.

“I think the Fed has gone crazy,” he told reporters on Wednesday afternoon. Later in the day, speaking with Fox News, he continued to increase the heat. “The Fed is going wild,” he said. “I don’t know what their problem is. They are raising interest rates and it’s ridiculous.”

“It’s not right,” he said Thursday. “It’s not necessary, and I think I know more about it than they do.”

I’m not sure how much support he’ll find for that last assertion!

Liquidity is often discussed on PrefBlog. It may be becoming an issue in the Indian equity market:

Fund managers who’d hoped for private-equity type returns by discovering jewels buried in the haystacks of public markets were essentially souping up performance by forgoing liquidity. Now that the markets are punishing them for that recklessness, the search for the elusive alpha is over — in infrastructure; power; banking and finance; small-, mid- and micro-cap shares; transport and logistics; value stocks; state owned firms; business cycles; and every other fad.

A rush for the exits may cause its own problems, especially when it comes to handling redemption pressures. On conservative estimates, it would take more than 30 days to offload a quarter of the net assets of one small Indian infrastructure fund, Bloomberg’s liquidity tools show. A fifth of a large tax-saver fund would need more than 180 days to dismantle, so thin is the liquidity of the stocks it holds. (By contrast, a typical index fund tracking the Nifty 50 can be
entirely liquidated in less than three days.)

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 -0.4438 % 3,105.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4438 % 5,698.1
Floater 3.50 % 3.71 % 40,599 18.07 4 -0.4438 % 3,283.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1270 % 3,222.0
SplitShare 4.62 % 4.72 % 55,223 4.73 5 -0.1270 % 3,847.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1270 % 3,002.2
Perpetual-Premium 5.62 % -1.90 % 59,087 0.14 12 -0.0731 % 2,914.5
Perpetual-Discount 5.54 % 5.67 % 68,941 14.44 21 -0.1303 % 2,959.4
FixedReset Disc 4.21 % 5.09 % 141,285 15.42 44 0.0030 % 2,587.4
Deemed-Retractible 5.27 % 6.59 % 65,017 5.28 27 -0.0160 % 2,935.6
FloatingReset 3.60 % 3.80 % 41,265 5.57 4 -0.1393 % 2,845.9
FixedReset Prem 4.89 % 4.32 % 224,634 2.84 34 -0.1188 % 2,560.6
FixedReset Bank Non 3.20 % 3.71 % 68,069 0.36 9 -0.1131 % 2,574.7
FixedReset Ins Non 4.40 % 5.46 % 103,507 5.38 22 0.0572 % 2,546.1
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.05 %
IFC.PR.E Deemed-Retractible -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.33
Bid-YTW : 6.59 %
MFC.PR.Q FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 5.84 %
BAM.PR.C Floater -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.71 %
MFC.PR.C Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 8.81 %
MFC.PR.N FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 6.14 %
TRP.PR.C FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.24 %
HSE.PR.G FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 5.45 %
CU.PR.F Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.55 %
BAM.PF.F FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 24.30
Evaluated at bid price : 24.72
Bid-YTW : 5.28 %
BAM.PR.R FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 5.27 %
BAM.PR.X FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.I FixedReset Disc 644,420 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 23.12
Evaluated at bid price : 24.93
Bid-YTW : 4.76 %
TRP.PR.J FixedReset Prem 92,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.07 %
SLF.PR.I FixedReset Ins Non 82,820 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 5.13 %
MFC.PR.R FixedReset Ins Non 77,906 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.67 %
TD.PF.A FixedReset Disc 68,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 22.61
Evaluated at bid price : 23.13
Bid-YTW : 4.94 %
TD.PF.K FixedReset Prem 65,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.80 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 23.71 – 24.07
Spot Rate : 0.3600
Average : 0.2452

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 5.84 %

BAM.PF.J FixedReset Prem Quote: 25.10 – 25.45
Spot Rate : 0.3500
Average : 0.2509

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.71 %

EMA.PR.H FixedReset Prem Quote: 25.16 – 25.43
Spot Rate : 0.2700
Average : 0.1833

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 23.23
Evaluated at bid price : 25.16
Bid-YTW : 4.85 %

BMO.PR.Y FixedReset Bank Non Quote: 24.55 – 24.82
Spot Rate : 0.2700
Average : 0.1864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 23.44
Evaluated at bid price : 24.55
Bid-YTW : 5.05 %

TD.PF.J FixedReset Prem Quote: 24.75 – 25.02
Spot Rate : 0.2700
Average : 0.1907

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 4.91 %

TD.PF.C FixedReset Disc Quote: 23.08 – 23.32
Spot Rate : 0.2400
Average : 0.1617

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-12
Maturity Price : 22.63
Evaluated at bid price : 23.08
Bid-YTW : 4.94 %

CCS : Outlook Stable, says S&P

Friday, October 12th, 2018

Standard & Poor’s has announced:

  • •The Co-operators’ P/C operations have lagged the performance of the broader P/C sector and improvement in profitability and scale of the life operations have lagged original expectations.
  • •We are revising our outlook on Co-operators and its core operating subsidiaries to stable from positive, and affirming our ratings.
  • •The stable outlook reflects our expectation that Co-operators will maintain at least very strong capitalization and strong competitive position despite challenges expanding its life insurance operations and P/C underwriting performance.

… S&P Global Ratings said today it revised its outlook on Co-operators Financial Services Ltd. (Co-operators) and
its core operating life and property/casualty (P/C) insurance subsidiaries to stable from positive. We also affirmed our ‘BBB’ long-term issuer credit rating, senior unsecured debt rating, and preferred stock rating on Co-operators, and our ‘A-‘ financial strength rating on Co-operators’ core operating life and P/C insurance subsidiaries.

Co-operator General is typically the earnings engine for the group. However, given the company’s accelerated growth in a challenging P/C market, specifically Ontario auto, we expect underwriting performance for the P/C operations to lag the Canadian P/C market. Additionally, more frequent weather-related losses continue to strain the bottom line. For the first half of 2018, Co-operators General had a combined ratio of 107.7%, which was approximately 6 points worse than the 101.7% combined ratio the industry posted. This underperformance follows up 2017 results, when the company posted a combined ratio of 102.4% compared to the industry’s 96.4%. We expect underwriting performance to improve from year-to-date results, but lag the overall industry as Co-operators works through earning rate increases for both property and auto lines of business. The company will likely gain market share given publicly stated actions from competitors to reduce share in Ontario auto, which can improve their market position assuming they ultimately reach rate adequacy and improve the underwriting performance with minimal movement in retentions.

The outlook is stable. We expect profitability for the group to be driven by the P/C group, albeit at lower levels because of growth in difficult markets including Ontario and Alberta auto, and the frequency of weather-related
losses.

The affected issue is CCS.PR.C

October 11, 2018

Thursday, October 11th, 2018

More carnage and destruction today:

Initial hopes that the stock market would stabilize after Wednesday’s sharp sell-off were dashed on Thursday: U.S., Canadian, Asian and European stocks slid further, contributing to the most challenging atmosphere for stocks since February and raising questions about how long the rout will last – and how deep it will go.

These concerns are reverberating worldwide. The S&P 500 fell 57.32 points, or 2.1 per cent, to 2728.36, one day after registering its worst decline in eight months. The Dow Jones Industrial Average fell 545.91 points or 2.1 per cent, to 25,052.83 − bringing its two-day decline to more than 1,300 points.

In Canada, the S&P/TSX Composite Index fell 200.27 points or 1.3 per cent, to 15,317.13. Britain’s FTSE 100 fell 1.9 per cent and Japan’s Nikkei 225 fell 3.9 per cent.

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 -1.1302 % 3,119.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1302 % 5,723.5
Floater 3.48 % 3.67 % 40,035 18.16 4 -1.1302 % 3,298.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2138 % 3,226.1
SplitShare 4.61 % 4.72 % 54,661 4.74 5 -0.2138 % 3,852.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2138 % 3,006.0
Perpetual-Premium 5.61 % -2.09 % 58,954 0.14 12 -0.1724 % 2,916.7
Perpetual-Discount 5.53 % 5.66 % 68,919 14.42 21 -0.1720 % 2,963.3
FixedReset Disc 4.19 % 5.12 % 132,607 15.27 43 -0.7133 % 2,587.3
Deemed-Retractible 5.27 % 6.28 % 65,788 5.28 27 -0.1771 % 2,936.1
FloatingReset 3.58 % 3.77 % 41,562 5.58 4 -0.6804 % 2,849.9
FixedReset Prem 4.88 % 4.25 % 224,411 3.05 34 -0.2852 % 2,563.6
FixedReset Bank Non 3.20 % 4.01 % 68,815 0.37 9 -0.0588 % 2,577.6
FixedReset Ins Non 4.41 % 5.53 % 104,288 5.35 22 -0.6970 % 2,544.7
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset Disc -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 23.31
Evaluated at bid price : 23.80
Bid-YTW : 5.80 %
BAM.PR.B Floater -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.72 %
HSE.PR.G FixedReset Prem -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 24.11
Evaluated at bid price : 24.43
Bid-YTW : 6.02 %
PWF.PR.P FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.03 %
MFC.PR.N FixedReset Ins Non -2.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.71
Bid-YTW : 6.40 %
MFC.PR.M FixedReset Ins Non -2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 6.44 %
BAM.PR.C Floater -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 3.67 %
TRP.PR.C FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 5.39 %
BIP.PR.A FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 23.51
Evaluated at bid price : 23.88
Bid-YTW : 6.18 %
BMO.PR.T FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 22.81
Evaluated at bid price : 23.40
Bid-YTW : 5.01 %
CU.PR.F Perpetual-Discount -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.62 %
RY.PR.M FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 23.22
Evaluated at bid price : 24.20
Bid-YTW : 5.07 %
MFC.PR.L FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 7.15 %
BAM.PR.X FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 5.26 %
IAG.PR.G FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 5.33 %
SLF.PR.G FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.77 %
IFC.PR.C FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.40 %
W.PR.K FixedReset Prem -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.95 %
PWF.PR.T FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 23.17
Evaluated at bid price : 24.09
Bid-YTW : 4.97 %
MFC.PR.F FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 9.07 %
BAM.PR.K Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 3.75 %
BAM.PF.C Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 5.90 %
BMO.PR.W FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 22.75
Evaluated at bid price : 23.26
Bid-YTW : 5.01 %
SLF.PR.H FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 6.67 %
TRP.PR.F FloatingReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 4.24 %
BMO.PR.S FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 22.94
Evaluated at bid price : 23.64
Bid-YTW : 5.07 %
RY.PR.H FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 23.00
Evaluated at bid price : 23.60
Bid-YTW : 4.99 %
MFC.PR.C Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 9.00 %
MFC.PR.Q FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.63 %
PWF.PR.A Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 2.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Prem 114,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.38 %
BNS.PR.Q FixedReset Bank Non 99,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 2.98 %
TD.PF.K FixedReset Prem 86,611 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.80 %
BIP.PR.F FixedReset Prem 74,852 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 5.17 %
SLF.PR.H FixedReset Ins Non 66,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 6.67 %
BNS.PR.Z FixedReset Bank Non 63,275 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 4.26 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Prem Quote: 24.43 – 25.19
Spot Rate : 0.7600
Average : 0.4468

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 24.11
Evaluated at bid price : 24.43
Bid-YTW : 6.02 %

BAM.PR.K Floater Quote: 17.37 – 18.32
Spot Rate : 0.9500
Average : 0.6762

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 3.75 %

IAG.PR.A Deemed-Retractible Quote: 21.30 – 22.02
Spot Rate : 0.7200
Average : 0.4632

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 7.68 %

BAM.PR.B Floater Quote: 17.50 – 18.17
Spot Rate : 0.6700
Average : 0.4484

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.72 %

MFC.PR.M FixedReset Ins Non Quote: 22.81 – 23.43
Spot Rate : 0.6200
Average : 0.4056

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 6.44 %

CU.PR.F Perpetual-Discount Quote: 20.31 – 20.88
Spot Rate : 0.5700
Average : 0.3788

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-11
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.62 %

October 10, 2018

Wednesday, October 10th, 2018

Carnage and ruin today:

Wall Street suffered its worst day in eight months on Wednesday, and the TSX didn’t do much better, suggesting that the new North American trade agreement and the parade of upbeat U.S. economic reports have taken a back seat to what investors fear is coming next: Rising borrowing costs and squeezed profit margins.

Global stocks were pummeled just days after U.S. indexes celebrated fresh record highs, amid simmering concerns about rising bond yields, increased trade tensions between China and the United States and speculation that corporate financial results will soon disappoint. U.S. technology stocks and Canadian energy names were among equities hardest hit.

The S&P 500 fell 94.66 points, or 3.3 per cent, to 2785.68, touching a three-month low. The Dow Jones Industrial Average fell 831.83 points or 3.2 per cent, to 25,598.74.

The turbulence occurred well beyond U.S. markets though. U.K. stocks fell 1.3 per cent and German stocks fell 2.2 per cent.

In Canada, the S&P/TSX Composite Index fell 336.65 points or 2.1 per cent, to 15,517.40. The latest dip continued a losing streak for Canadian stocks that began last week soon after political leaders tentatively agreed to the United States-Mexico-Canada Agreement (USMCA), removing a key concern over North American trade.

Wes Gray had some interesting remarks in the Globe, by which I mean I agree with them:

Despite heightened awareness around fees and their power to destroy long-term returns, Canadians saving for retirement are still parking their money in traditional mutual funds, the vast majority of which carry management expense ratios of 2 per cent or more. “Down in the States, if you had a fund that charged 2 per cent plus, you’d get murdered,” Mr. Gray said.

In the U.S., everything’s getting more transparent. Canadians are pretty bright folks and yet their financial system is like North Korea. We know the reason – the banks control everything. Canada just seems so prime to move into the future but for some reason it’s slow on the uptake. A lot of it comes down to distribution channels where you never get to see the real fees. We would love to help people be more cognizant of fees and not just believing whatever the bankers are telling you.

The FDIC has released a paper by Haelim Anderson, Daniel Barth and Dong Beom Choi titled Reducing Moral Hazard at the Expense of Market Discipline: The Effectiveness of Double Liability Before and During the Great Depression:

Prior to the Great Depression, regulators imposed double liability on bank shareholders to ensure financial stability and protect depositors. Under double liability, shareholders of failing banks lost their initial investment and had to pay up to the par value of the stock in order to compensate depositors.We examine whether double liability was effective at mitigating bank risks and providing a safety net for depositors before and during the Great Depression. We first develop a model that demonstrates two competing effects of double liability: a direct effect that constrains bank risk-taking due to increased skin in the game, and an indirect effect that promotes risk-taking due to weaker monitoring by better-protected depositors. We then test the model’s predictions using a novel identification strategy that compares state Federal Reserve member banks and national banks in New York and New Jersey. We find no evidence that double liability reduced bank risk prior to the Great Depression, but do find evidence that deposits in double-liability banks were stickier and less susceptible to runs during the Great Depression. Our findings suggest that the banking system was inherently fragile under double liability because of the conflict between shareholder incentive alignment and depositor market discipline; the depositor protection feature of double liability reduced the threat of funding outflows but may have undermined its effectiveness as a regulatory tool for reducing bank risk.

In this paper, we study the effectiveness of double liability as a regulatory tool for reducing bank risk and as a safety net for protecting depositors. We begin by providing a simple model that characterizes two competing effects of double liability on bank risk-taking. The first is a reduction in moral hazard that results from shareholders’ increased skin in the game (Esty (1998), Grossman (2001), Mitchener and Richardson (2013), Koudijs, Salisbury, and Sran (2018)). However, double liability also reduces market discipline by depositors, who receive more protection from losses in the event of a bank failure. All else equal, this weakened market discipline may actually promote bank risk-taking.

Actually, the first question that occurs to me is: how seriously can we take the shareholders’ promise to pony up cash for a failed enterprise? Early in my career I was fascinated by the Husky Energy deposit receipt fiasco, in which deposit receipts were issued for $X at a time when the stock was trading at $2X (the remaining $X of the share purchase price was due about a year later; it was a forward contract, not an option!). The stock promptly fell below $X, resulting in a negative value for the deposit receipts and with much excitement trading began with negative prices … i.e., the purchaser of a receipt got the position AND a sum of money from the seller.

I’ve never been able to find anything on the internet about this, presumably because it happened before the internet existed. The regulators should be funding and publicizing a study on the matter, but you’re going to have to search a long time before you find a regulator with any interest in doing a decent job.

There were a LOT of defaults when the receipts came due; it proved to be difficult to find many of the purchasers whose only known address was a foreign post-office box. I wouldn’t put any credence in any promises to pay double liability unless there was a ferocious regulatory regime in which the depositaries required a matching cash deposit at all times, which kind of defeats the purpose of setting up the system as a ‘capital call’ in the first place.

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% at the standard equivalency factor of 1.3x. Long corporates now yield a little more than 4.20%, so the pre-tax, interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a slight (and perhaps spurious) widening from the 310bp reported October 3.

So, to answer Assiduous Reader MF, who asked:

I am surprised by the resilience of perpetual prices. I thought that with increased long bond rates that they would drop.

… PerpetualDiscounts are basically maintaining their spreads against long corporates, which is more or less what they should be doing. I expect some narrowing of spreads as overall yield conditions normalize, but we haven’t seen it yet!

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 -1.6606 % 3,154.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6606 % 5,788.9
Floater 3.44 % 3.59 % 39,543 18.33 4 -1.6606 % 3,336.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2859 % 3,233.0
SplitShare 4.60 % 4.59 % 55,520 4.74 5 0.2859 % 3,860.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2859 % 3,012.4
Perpetual-Premium 5.60 % -2.28 % 59,026 0.14 12 -0.0861 % 2,921.7
Perpetual-Discount 5.52 % 5.65 % 64,850 14.44 21 -0.3137 % 2,968.4
FixedReset Disc 4.16 % 5.11 % 131,339 15.23 43 0.2039 % 2,605.9
Deemed-Retractible 5.26 % 6.18 % 66,397 5.29 27 -0.0351 % 2,941.3
FloatingReset 3.55 % 3.74 % 40,542 5.58 4 -0.3104 % 2,869.4
FixedReset Prem 4.87 % 4.23 % 220,629 2.84 34 -0.0092 % 2,570.9
FixedReset Bank Non 3.20 % 3.98 % 67,521 0.37 9 -0.0316 % 2,579.1
FixedReset Ins Non 4.38 % 5.38 % 100,084 5.32 22 0.0745 % 2,562.5
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 3.70 %
CU.PR.G Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.57 %
PWF.PR.A Floater -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.04 %
PWF.PR.Q FloatingReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.74 %
MFC.PR.N FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.24
Bid-YTW : 5.97 %
PWF.PR.L Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 5.68 %
MFC.PR.Q FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.82 %
SLF.PR.E Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.78
Bid-YTW : 8.03 %
PWF.PR.P FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.91 %
RY.PR.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 23.24
Evaluated at bid price : 23.84
Bid-YTW : 4.94 %
MFC.PR.B Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 8.30 %
PVS.PR.F SplitShare 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.59 %
GWO.PR.N FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 8.26 %
GWO.PR.P Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 5.92 %
RY.PR.J FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.45 %
BAM.PR.X FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.18 %
MFC.PR.H FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.S FixedReset Disc 99,690 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 22.81
Evaluated at bid price : 23.97
Bid-YTW : 4.96 %
MFC.PR.G FixedReset Ins Non 75,497 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.16 %
MFC.PR.O FixedReset Ins Non 72,540 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.49 %
TRP.PR.A FixedReset Disc 65,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.25 %
BMO.PR.D FixedReset Prem 62,849 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.36 %
BMO.PR.E FixedReset Prem 61,309 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.59 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.C Deemed-Retractible Quote: 20.00 – 21.19
Spot Rate : 1.1900
Average : 0.7515

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 8.80 %

MFC.PR.R FixedReset Ins Non Quote: 25.23 – 25.90
Spot Rate : 0.6700
Average : 0.3672

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.67 %

BAM.PR.K Floater Quote: 17.59 – 18.20
Spot Rate : 0.6100
Average : 0.3759

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 3.70 %

TD.PF.D FixedReset Disc Quote: 24.57 – 25.00
Spot Rate : 0.4300
Average : 0.2651

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 4.50 %

PWF.PR.A Floater Quote: 21.50 – 21.90
Spot Rate : 0.4000
Average : 0.2894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.04 %

CM.PR.Q FixedReset Disc Quote: 24.61 – 24.97
Spot Rate : 0.3600
Average : 0.2572

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.41 %

October 9, 2018

Tuesday, October 9th, 2018

Three cheers for well thought out financial controls!

Prosecutors in Copenhagen say it was an elaborate ruse, one that ultimately cost taxpayers more than $2 billion — a spectacular sum for Denmark, the equivalent of a $110 billion loss in the far larger American economy.

The country had fallen victim to a dubious financial maneuver at the intersection of the tax system and capital markets, a dizzyingly complex transaction known as a “cum-ex” trade.

The trade is focused on one of the dullest, most overlooked acts in any financial system — the request for refunds on taxes withheld on dividends. Under Danish law, the government automatically collects taxes on dividends paid out by companies to their shareholders. If the shareholders live in the United States, they are eligible for a refund on some or all of those taxes.

A tiny department in SKAT, run by one man, approved thousands of applications for refunds.

After the financial meltdown, dozens of German banks desperate for a new source of profits eagerly facilitated cum-ex trades, fueled by capital from all over the world.

Traders made off with more than $11 billion, according to officials there. Cum-ex would reap fortunes from the governments in Austria, Belgium and Switzerland, too.

In 2013, all that stood between Solo Capital and Denmark’s treasury was the bespectacled, gray-haired veteran of SKAT, Sven Nielsen. After two colleagues retired, he was the last person in the Dividend Department. Complicating matters, he lacked the tools to perform the most basic due diligence when reviewing refund applications.

The agency was in the midst of a yearslong and often disastrous overhaul, meant to digitize the system and reduce head count. The priority was helping Danish taxpayers, not foreign shareholders. Mr. Nielsen didn’t even have a database to check whether an individual pension plan actually owned the shares it claimed, said Lisbeth Romer, who was Mr. Nielsen’s boss until she retired in 2013.

“Sven’s job was reduced to bookkeeping, essentially, checking if a form was filled out properly,” she said. “A monkey could do it.”

I don’t get it, I really don’t. If the fraud is for a few million, OK. It happens. Figure out how it happened, plug the hole and try to catch the perpetuators. But $2-billion in a small economy? Didn’t anybody notice there was a tiny little discrepancy between the amount of dividend taxes withheld and the amount of the total claims on that money?

It reminds me of the Barings Bank fiasco, in which every single senior manager and executive solemnly swore that yes, they knew Nick Leeson, one single guy on a sleepy arbitrage desk, was making roughly 25% of the bank’s reported profit. No, they had no idea of how he was doing it. Clowns. They should be grateful I’ve considered them grossly incompetent, because they wouldn’t like the other choice so much.

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 -0.3128 % 3,208.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3128 % 5,886.7
Floater 3.39 % 3.57 % 40,175 18.38 4 -0.3128 % 3,392.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1902 % 3,223.8
SplitShare 4.62 % 4.79 % 53,939 4.74 5 -0.1902 % 3,849.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1902 % 3,003.8
Perpetual-Premium 5.60 % -5.76 % 69,250 0.09 12 -0.0286 % 2,924.2
Perpetual-Discount 5.51 % 5.61 % 65,505 14.50 21 -0.2381 % 2,977.7
FixedReset Disc 4.17 % 5.11 % 131,496 15.28 43 -0.2796 % 2,600.6
Deemed-Retractible 5.26 % 6.20 % 62,364 5.29 27 -0.9338 % 2,942.3
FloatingReset 3.54 % 3.65 % 41,945 5.59 4 -0.1018 % 2,878.3
FixedReset Prem 4.87 % 4.19 % 221,293 2.85 34 -0.0847 % 2,571.2
FixedReset Bank Non 3.19 % 3.85 % 66,982 0.37 9 -0.0079 % 2,579.9
FixedReset Ins Non 4.39 % 5.46 % 95,804 5.24 22 0.0118 % 2,560.6
Performance Highlights
Issue Index Change Notes
GWO.PR.H Deemed-Retractible -2.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.59
Bid-YTW : 7.69 %
GWO.PR.R Deemed-Retractible -2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.53
Bid-YTW : 7.69 %
GWO.PR.P Deemed-Retractible -2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 6.15 %
MFC.PR.B Deemed-Retractible -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 8.49 %
SLF.PR.C Deemed-Retractible -2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.69
Bid-YTW : 8.05 %
SLF.PR.D Deemed-Retractible -2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.69
Bid-YTW : 8.05 %
SLF.PR.B Deemed-Retractible -2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 7.36 %
TRP.PR.C FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 5.32 %
BAM.PR.X FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 5.26 %
TRP.PR.G FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 5.20 %
TRP.PR.B FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.23 %
RY.PR.J FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 24.13
Evaluated at bid price : 24.46
Bid-YTW : 5.21 %
IAG.PR.A Deemed-Retractible -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.44
Bid-YTW : 7.54 %
MFC.PR.H FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 6.28 %
W.PR.K FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.30 %
GWO.PR.I Deemed-Retractible -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.59
Bid-YTW : 8.20 %
GWO.PR.G Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 6.46 %
GWO.PR.S Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.09 %
HSE.PR.E FixedReset Prem -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.58 %
CU.PR.F Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.50 %
BAM.PF.F FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 24.13
Evaluated at bid price : 24.59
Bid-YTW : 5.39 %
BAM.PR.R FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.40 %
MFC.PR.Q FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.61 %
POW.PR.B Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 23.39
Evaluated at bid price : 23.68
Bid-YTW : 5.67 %
TD.PF.B FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 23.01
Evaluated at bid price : 23.63
Bid-YTW : 4.94 %
TD.PF.C FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 22.79
Evaluated at bid price : 23.25
Bid-YTW : 4.98 %
IAG.PR.G FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 4.90 %
TD.PF.J FixedReset Prem 4.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.K FixedReset Prem 211,995 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.81 %
MFC.PR.R FixedReset Ins Non 132,934 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 4.72 %
CM.PR.P FixedReset Disc 75,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 22.61
Evaluated at bid price : 23.06
Bid-YTW : 5.00 %
RY.PR.Q FixedReset Prem 73,871 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.62 %
MFC.PR.I FixedReset Ins Non 67,763 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.13 %
BAM.PR.R FixedReset Disc 55,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-09
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.40 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 21.87 – 23.99
Spot Rate : 2.1200
Average : 1.1651

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.87
Bid-YTW : 7.27 %

MFC.PR.H FixedReset Ins Non Quote: 24.23 – 25.45
Spot Rate : 1.2200
Average : 0.8331

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 6.28 %

MFC.PR.G FixedReset Ins Non Quote: 24.02 – 24.89
Spot Rate : 0.8700
Average : 0.5433

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.02
Bid-YTW : 5.34 %

GWO.PR.H Deemed-Retractible Quote: 21.59 – 22.30
Spot Rate : 0.7100
Average : 0.4580

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.59
Bid-YTW : 7.69 %

GWO.PR.I Deemed-Retractible Quote: 20.59 – 21.23
Spot Rate : 0.6400
Average : 0.4015

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.59
Bid-YTW : 8.20 %

GWO.PR.P Deemed-Retractible Quote: 24.12 – 24.59
Spot Rate : 0.4700
Average : 0.2904

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 6.15 %