Archive for October, 2019

October 16, 2019

Wednesday, October 16th, 2019

The Federal Reserve has announced the appointment of its Insurance Policy Advisory Committee:

The Federal Reserve Board on Wednesday announced the inaugural 21 members of the Insurance Policy Advisory Committee (IPAC). The IPAC provides information, advice, and recommendations to the Federal Reserve Board on domestic and international insurance issues, including negotiations at the International Association of Insurance Supervisors (IAIS).

The inaugural IPAC members include expertise in life insurance, property and casualty insurance, and reinsurance. Members have professional backgrounds in insurance accounting, actuarial science, academia, insurance regulation, policyholder advocacy, capital markets, and other areas.

The inaugural IPAC members will serve staggered terms ranging from one to three years. Starting next year, the Board intends to annually appoint new members to the IPAC to serve three-year terms.

PerpetualDiscounts now yield 5.40%, equivalent to 7.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.42%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed precipitously to 360bp from the 380bp reported October 9.

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 1.0242 % 1,891.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0242 % 3,470.2
Floater 6.37 % 6.54 % 46,184 13.13 4 1.0242 % 1,999.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1068 % 3,389.4
SplitShare 4.65 % 4.57 % 52,075 3.95 7 -0.1068 % 4,047.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1068 % 3,158.2
Perpetual-Premium 5.49 % -23.10 % 57,701 0.09 8 0.0343 % 3,025.1
Perpetual-Discount 5.39 % 5.40 % 69,435 14.70 25 0.1985 % 3,210.3
FixedReset Disc 5.67 % 5.73 % 167,059 14.33 66 -0.0539 % 2,073.1
Deemed-Retractible 5.21 % 5.73 % 65,987 7.85 27 0.0189 % 3,161.9
FloatingReset 6.37 % 6.85 % 80,996 12.73 2 -0.4578 % 2,384.9
FixedReset Prem 5.14 % 4.04 % 161,030 1.69 20 0.0471 % 2,598.8
FixedReset Bank Non 1.97 % 4.44 % 81,768 2.22 3 -0.1801 % 2,674.0
FixedReset Ins Non 5.47 % 8.16 % 115,530 7.77 21 0.0601 % 2,111.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.71
Evaluated at bid price : 10.71
Bid-YTW : 7.47 %
TRP.PR.C FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 11.53
Evaluated at bid price : 11.53
Bid-YTW : 6.56 %
CM.PR.Q FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.03 %
TD.PF.L FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 22.75
Evaluated at bid price : 23.86
Bid-YTW : 5.08 %
BIP.PR.F FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 5.84 %
NA.PR.S FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 5.80 %
BAM.PF.C Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.73 %
RY.PR.S FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 5.26 %
HSE.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 7.32 %
BAM.PR.K Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.66
Evaluated at bid price : 10.66
Bid-YTW : 6.56 %
BAM.PR.C Floater 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 6.54 %
IAF.PR.I FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.E Deemed-Retractible 142,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.75 %
TD.PF.C FixedReset Disc 80,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 5.68 %
TRP.PR.C FixedReset Disc 72,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 11.53
Evaluated at bid price : 11.53
Bid-YTW : 6.56 %
BMO.PR.F FixedReset Disc 64,804 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 22.97
Evaluated at bid price : 24.40
Bid-YTW : 5.18 %
TRP.PR.A FixedReset Disc 60,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 6.58 %
IFC.PR.C FixedReset Ins Non 59,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.68
Bid-YTW : 8.35 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.R FixedReset Ins Non Quote: 24.25 – 24.66
Spot Rate : 0.4100
Average : 0.2794

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.69 %

HSE.PR.A FixedReset Disc Quote: 10.71 – 11.00
Spot Rate : 0.2900
Average : 0.1893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.71
Evaluated at bid price : 10.71
Bid-YTW : 7.47 %

BAM.PF.F FixedReset Disc Quote: 17.55 – 17.79
Spot Rate : 0.2400
Average : 0.1534

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.16 %

BIP.PR.E FixedReset Disc Quote: 22.15 – 22.50
Spot Rate : 0.3500
Average : 0.2681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.83
Evaluated at bid price : 22.15
Bid-YTW : 5.68 %

HSE.PR.G FixedReset Disc Quote: 17.15 – 17.40
Spot Rate : 0.2500
Average : 0.1726

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.43 %

BIP.PR.F FixedReset Disc Quote: 22.00 – 22.30
Spot Rate : 0.3000
Average : 0.2247

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 5.84 %

SLF Upgraded To Pfd-2(high) By DBRS

Wednesday, October 16th, 2019

DBRS has announced that it:

upgraded Sun Life Financial Inc.’s (SLF or the Company) Issuer Rating and Senior Unsecured Debentures rating to A (high) from “A,” its Subordinated Unsecured Debentures rating to “A” from A (low) and its Preferred Shares rating to Pfd-2 (high) from Pfd-2.

The ratings upgrade recognizes the Company’s improved franchise strength, the increasing diversification of earnings across its four core business segments and its excellent capitalization. Furthermore, DBRS Morningstar has gained comfort from management’s actions over the past year to turn around the performance of SLF’s legacy U.S. individual life block that is in run-off, including the reserve strengthening, which should reduce the probability of the block adversely impacting results. The ratings also consider the Company’s exposure to operational risk arising from operating in multiple jurisdictions with varying degrees of geopolitical risk in Asia, as well as its guaranteed products in Canada that can result in profit volatility. Also a ratings constraint is SLF’s higher proportion of mortgages, BBB-rated bonds and corporate loans in the Company’s investment portfolio relative to those of similarly rated peers.

SLF and its main operating insurance subsidiary, SLA, are maintaining strong regulatory capital ratios. Indeed, with sizable cushions over regulatory minimums under the Life Insurance Capital Adequacy Test (LICAT) framework that was implemented in 2018, DBRS Morningstar views the Company as very well positioned to navigate adverse scenarios. As of Q2 2019, the LICAT for the consolidated holding company was 144%, higher than SLA’s LICAT of 133%, as the holding company held $2.2 billion of additional assets comprising cash and other liquid assets. Solid earnings in the last five years have also contributed to the Company’s strong capitalization level. Moreover, financial leverage remains conservative at 20.4% with a fixed-charge coverage ratio of 9.0 times as of Q2 2019.

Affected issues are: SLF.PR.A, SLF.PR.B, SLF.PR.C, SLF.PR.D, SLF.PR.E, SLF.PR.G, SLF.PR.H, SLF.PR.I, SLF.PR.J and SLF.PR.K.

October 15, 2019

Tuesday, October 15th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1061 % 1,872.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1061 % 3,435.0
Floater 6.44 % 6.62 % 47,836 13.03 4 1.1061 % 1,979.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1067 % 3,393.1
SplitShare 4.64 % 4.56 % 54,125 3.95 7 -0.1067 % 4,052.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1067 % 3,161.6
Perpetual-Premium 5.50 % -22.43 % 57,169 0.09 8 -0.0832 % 3,024.1
Perpetual-Discount 5.41 % 5.45 % 69,773 14.70 25 -0.0121 % 3,204.0
FixedReset Disc 5.66 % 5.73 % 168,986 14.34 66 0.2500 % 2,074.3
Deemed-Retractible 5.21 % 5.76 % 66,772 7.85 27 0.1151 % 3,161.3
FloatingReset 6.34 % 6.81 % 81,051 12.79 2 0.8077 % 2,395.9
FixedReset Prem 5.15 % 4.12 % 160,861 1.69 20 -0.0177 % 2,597.6
FixedReset Bank Non 1.97 % 4.23 % 78,607 2.22 3 -0.0554 % 2,678.8
FixedReset Ins Non 5.47 % 8.20 % 106,936 7.78 21 0.2988 % 2,110.2
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.36 %
TRP.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 15.36
Evaluated at bid price : 15.36
Bid-YTW : 6.34 %
GWO.PR.N FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.82
Bid-YTW : 9.73 %
TD.PF.L FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 22.87
Evaluated at bid price : 24.15
Bid-YTW : 5.01 %
NA.PR.W FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.91 %
IAF.PR.G FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.68
Bid-YTW : 7.88 %
BAM.PF.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.46 %
TRP.PR.B FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.93
Evaluated at bid price : 10.93
Bid-YTW : 6.44 %
BAM.PF.B FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.18 %
TRP.PR.C FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 11.74
Evaluated at bid price : 11.74
Bid-YTW : 6.44 %
TRP.PR.A FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 6.60 %
BIP.PR.A FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.01 %
NA.PR.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 5.77 %
TRP.PR.F FloatingReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 6.81 %
HSE.PR.A FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.97
Evaluated at bid price : 10.97
Bid-YTW : 7.29 %
BAM.PR.K Floater 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.65 %
BAM.PR.C Floater 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 6.66 %
SLF.PR.H FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.79 %
IFC.PR.A FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.40
Bid-YTW : 10.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.S FixedReset Disc 171,692 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.78 %
EMA.PR.F FixedReset Disc 62,314 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.43 %
NA.PR.S FixedReset Disc 57,709 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.73 %
BMO.PR.E FixedReset Disc 56,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.59 %
EMA.PR.C FixedReset Disc 36,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.17 %
BAM.PR.C Floater 33,736 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 6.66 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Y FixedReset Bank Non Quote: 24.60 – 25.11
Spot Rate : 0.5100
Average : 0.3414

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.14 %

RY.PR.S FixedReset Disc Quote: 19.75 – 20.15
Spot Rate : 0.4000
Average : 0.2529

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.32 %

BAM.PF.G FixedReset Disc Quote: 17.22 – 17.65
Spot Rate : 0.4300
Average : 0.2843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.42 %

TD.PF.D FixedReset Disc Quote: 18.65 – 19.09
Spot Rate : 0.4400
Average : 0.3228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.78 %

PWF.PR.S Perpetual-Discount Quote: 21.95 – 22.26
Spot Rate : 0.3100
Average : 0.2102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 21.95
Evaluated at bid price : 21.95
Bid-YTW : 5.49 %

BAM.PR.K Floater Quote: 10.51 – 10.85
Spot Rate : 0.3400
Average : 0.2438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.65 %

October PrefLetter Released!

Tuesday, October 15th, 2019

The October, 2019, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the October, 2019, issue, while the “Next Edition” will be the November, 2019, issue, scheduled to be prepared as of the close November 8, 2019, and eMailed to subscribers prior to market-opening on November 11.

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?).

DF.PR.A : Semi-Annual Report 2019H1

Monday, October 14th, 2019

Dividend 15 Split Corp. II has released its Semi-Annual Report to May 31, 2019.

Figures of interest are:

MER: “A separate base management expense ratio has been presented to reflect the normal operating expenses of the Company excluding any one time offering expenses. Management expense ratio is based on total expenses for the stated period and is expressed as an annualized percentage of average net asset value during the period.” The fund reports a figure of 1.04%

Average Net Assets: We need this to calculate portfolio yield. The Total Assets of the fund at fiscal year end was $234.4-million, compared to $241.6-million on May 31, so call it an average of $238.0-million. Preferred share dividends of $4,313,981 were paid over the half year at 0.525 p.a., implying average units outstanding 16.44-million, at an average NAVPU of (14.26 + 14.70)/2 = 14.48, implies net assets of $238.0-million. Say the Average Net Assets are the average of the two estimates, $238.0-million.

Underlying Portfolio Yield: Income received of $4,592,138 divided by average net assets of $238.0-million, multiplied by two because it’s semiannual is 3.86%.

Income Coverage: Net investment income of $3,351,881 (after expenses, before transaction costs, before capital gains) divided by preferred share dividends of $4,313,981 is 78%.

The income coverage calculated is a bit less than the DBRS calculation in May 2019:

The dividend coverage ratio was approximately 0.8x.

DGS.PR.A : Semi-Annual Report, 2019H1

Monday, October 14th, 2019

Dividend Growth Split Corp has released its Semi-Annual Report to June 30, 2019.

Figures of interest are:

MER: ” The MER excluding Preferred share distributions and issuance costs was 0.88% in the first six months of 2019, unchanged from the same period in 2018.”

Average Net Assets: We need this to calculate portfolio yield. The Total Assets of the fund at year end was $499.6-million, compared to $549.9-million on June 30, so call it an average of $524.8-million. Preferred share dividends of $9,584,220 were paid over the half year at 0.525 p.a., implying average units outstanding 36.51-million, at an average NAVPU of (14.97 + 13.60)/2 = 14.28, implies net assets of $521.4-million. Say the Average Net Assets are the average of the two estimates, $523.1-million.

Underlying Portfolio Yield: Income received of $10,898,580 divided by average net assets of $523.1-million, multiplied by two because it’s semiannual is 4.17%.

Income Coverage: Net investment income of $8,543,279 (after expenses, before capital gains) divided by preferred share dividends of $9,584,220 is 89%.

The income coverage calculated is a bit less than the DBRS calculation in September 2019:

The dividend coverage ratio is approximately 1.0 times.

FFN.PR.A To Maintain Dividend At 5.50% On Extension

Sunday, October 13th, 2019

Quadravest has announced (on September 19):

North American Financial 15 Split Corp. (the “Company”) announced previously on February 21, 2019 it will extend the termination date of the Company a further five year period from December 1, 2019 to December 1, 2024.

In connection with the extension, the Company is entitled to amend the prescribed minimum annual rate of cumulative preferential monthly dividends to be paid to the FFN.PR.A Preferred Shares (“Preferred Shares”) for the five year renewal period, commencing December 1, 2019. The Company may also amend the dividend entitlement of the Preferred Shares on an annual basis. Based on current market rates for preferred shares with similar terms, the minimum annual rate for the five year term will be set at 5.5% and the annual payment rate will remain unchanged at 5.5% per annum, based on the $10 repayment value. The Preferred shareholders have received a total of $7.85 per share in distributions since inception. The dividend policy for the FFN Class A Shares (“Class A Shares”) will remain unchanged.

In relation to the term extension and the Preferred Share minimum rate increase, the Company has an additional retraction right for those shareholders not wishing to continue holding their investment, allowing existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 29, 2019 net asset value per unit. Alternatively, shareholders may sell their shares for the market price at any time, potentially at a higher price than would be achieved through retraction, or shareholders may take no action and continue to hold their shares.

The Company invests in a high quality portfolio consisting of 15 financial services companies made up of Canadian and U.S. issuers as follows: Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, Toronto-Dominion Bank, National Bank of Canada, Manulife Financial Corporation, Sun Life Financial, Great-West Lifeco, CI Financial Corp, Bank of America, Citigroup Inc., Goldman Sachs Group, JP Morgan Chase & Co. and Wells Fargo & Co.

The extension to 2024-12-1 was previously reported. The dividend rate was increased to 5.50% in 2017 and has remained there since. The name of the fund was changed from Financial 15 Split Corp. II in 2015. The term was extended in 2014 after the first extension in 2007. The issue had an exciting time during the Credit Crunch.

TD.PF.A : Convert or Hold?

Friday, October 11th, 2019

It will be recalled that TD.PF.A will reset at 3.662% effective October 31, 2019

TD.PF.A is a FixedReset, 3.90%+224, NVCC-compliant issue that commenced trading 2014-6-4 after being announced 2014-5-26. It is tracked by HIMIPref™ and is assigned to the FixedReset – Discount subindex.

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

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

pairs_fr_191011
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.70% and +0.84%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

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

Estimate of FloatingReset (received in exchange for TD.PF.A) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
TD.PF.A 17.00 224bp 17.08 16.58 16.08

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

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (Toronto time) on October 16, 2019. This is the Wednesday following Thanksgiving, i.e., the second trading day following this post. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.

TRP.PR.E : Convert or Hold?

Friday, October 11th, 2019

It will be recalled that TRP.PR.E will reset at 3.762% effective October 30, 2019

TRP.PR.E is a FixedReset, 4.25%+235, that commenced trading 2014-1-20 after being announced 2014-1-13. Notice of extension was provided on 2019-9-18. It is tracked by HIMIPref™ and assigned to the FixedReset-Discount subindex.

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

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

pairs_fr_191011
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.70% and +0.84%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

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

Estimate of FloatingReset (received in exchange for TRP.PR.E) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
TRP.PR.E 15.55 235bp 15.64 15.15 14.67

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

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 5 p.m. (EDT) on October 15, 2019. This is the Tuesday following Thanksgiving, i.e., the first trading day following this post. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.

October 11, 2019

Friday, October 11th, 2019

The hiccup in the US repo market, last discussed on September 20, is now being addressed by the Fed:

The Federal Reserve said Friday that it would buy more government-backed securities in a move meant to keep an obscure but critical corner of financial markets functioning smoothly.

The central bank said that it had decided to begin buying Treasury bills — expanding its balance sheet for the first time since 2014 — and would begin the purchases on Tuesday. The Fed will continue buying “at least into the second quarter of next year,” it said in a statement.

The Fed will also continue to intervene in the market for repurchase agreements, essentially short-term loans between banks and financial institutions. It started doing so last month for the first time since the financial crisis after rates on repos shot up briefly, spilling over to push the central bank’s benchmark interest rate higher. The Fed will conduct the operations “at least through January of next year,” according to the release, “to ensure that the supply of reserves remains ample even during periods of sharp increases in nonreserve liabilities.”

Unlike its previous bond buying campaign, which began during the Great Recession, the Fed stressed on Friday that its new effort is not meant to boost the economy.

Jobs, jobs, jobs!

Canada’s unemployment rate nudged down to a near four-decade low last month as the economy added more jobs than analysts expect – dropping an economic figure into a tight electoral race, and warnings from economists that things may not be as rosy as they seem.

Statistics Canada’s monthly labour force survey showed the country added about 54,000 net new jobs in September, driven largely by gains in full-time work, and dropping the jobless rate nationally by 0.2 points to 5.5 per cent.

The national statistics office said September’s jobs growth was largely concentrated in an expansion of public-sector staff and self-employed workers. The report also said 70,000 of the new jobs were full-time, as the number of part-time workers declined.

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 1.0223 % 1,851.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0223 % 3,397.5
Floater 6.51 % 6.68 % 48,283 12.96 4 1.0223 % 1,958.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1574 % 3,396.7
SplitShare 4.64 % 4.52 % 54,786 3.96 7 0.1574 % 4,056.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1574 % 3,164.9
Perpetual-Premium 5.49 % -22.27 % 57,952 0.09 8 0.0832 % 3,026.6
Perpetual-Discount 5.40 % 5.45 % 69,721 14.71 25 0.1451 % 3,204.3
FixedReset Disc 5.68 % 5.74 % 170,272 14.36 66 0.5714 % 2,069.1
Deemed-Retractible 5.22 % 5.78 % 66,331 7.86 27 -0.1401 % 3,157.6
FloatingReset 6.39 % 6.90 % 81,750 12.68 2 2.2817 % 2,376.7
FixedReset Prem 5.15 % 4.05 % 163,110 1.70 20 0.1258 % 2,598.0
FixedReset Bank Non 1.97 % 4.21 % 76,682 2.23 3 0.0693 % 2,680.3
FixedReset Ins Non 5.49 % 8.14 % 103,202 7.79 21 0.9525 % 2,104.0
Performance Highlights
Issue Index Change Notes
NA.PR.E FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 5.85 %
BMO.PR.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.63 %
RY.PR.S FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 5.27 %
GWO.PR.T Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.81 %
CM.PR.P FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.94 %
TD.PF.J FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.56 %
TRP.PR.D FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 6.19 %
BAM.PF.F FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.19 %
TD.PF.C FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 5.71 %
CM.PR.Q FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.93 %
TD.PF.B FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.52 %
TD.PF.A FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.56 %
PWF.PR.A Floater 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 6.16 %
NA.PR.S FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.71 %
BAM.PR.T FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 6.42 %
MFC.PR.G FixedReset Ins Non 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 8.14 %
BMO.PR.T FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.55 %
TRP.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 11.58
Evaluated at bid price : 11.58
Bid-YTW : 6.52 %
BMO.PR.Y FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 5.69 %
TRP.PR.F FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 6.90 %
BMO.PR.W FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 5.74 %
TRP.PR.A FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 6.69 %
BAM.PR.B Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 6.68 %
MFC.PR.N FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.76
Bid-YTW : 9.65 %
CU.PR.C FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.73 %
HSE.PR.A FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 7.40 %
MFC.PR.F FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.56
Bid-YTW : 11.03 %
MFC.PR.M FixedReset Ins Non 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.10
Bid-YTW : 9.45 %
BAM.PF.G FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.37 %
SLF.PR.H FixedReset Ins Non 2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.91
Bid-YTW : 9.04 %
BAM.PR.X FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 12.93
Evaluated at bid price : 12.93
Bid-YTW : 6.30 %
BAM.PR.R FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 14.78
Evaluated at bid price : 14.78
Bid-YTW : 6.40 %
GWO.PR.N FixedReset Ins Non 2.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.96
Bid-YTW : 9.60 %
IFC.PR.C FixedReset Ins Non 2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.39 %
HSE.PR.G FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 7.44 %
PWF.PR.P FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 6.11 %
SLF.PR.J FloatingReset 3.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.89
Bid-YTW : 11.13 %
SLF.PR.G FixedReset Ins Non 3.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.91
Bid-YTW : 10.84 %
TRP.PR.B FixedReset Disc 3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 10.79
Evaluated at bid price : 10.79
Bid-YTW : 6.52 %
IFC.PR.A FixedReset Ins Non 3.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.07
Bid-YTW : 10.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.J FixedReset Disc 146,863 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.56 %
CM.PR.S FixedReset Disc 103,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.83 %
RY.PR.Z FixedReset Disc 69,098 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 5.51 %
SLF.PR.G FixedReset Ins Non 51,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.91
Bid-YTW : 10.84 %
CM.PR.T FixedReset Disc 51,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 22.62
Evaluated at bid price : 23.60
Bid-YTW : 5.19 %
BMO.PR.Y FixedReset Disc 46,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 5.69 %
There were 56 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.E FixedReset Disc Quote: 18.02 – 18.56
Spot Rate : 0.5400
Average : 0.3469

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 5.85 %

SLF.PR.H FixedReset Ins Non Quote: 15.91 – 16.40
Spot Rate : 0.4900
Average : 0.3548

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.91
Bid-YTW : 9.04 %

HSE.PR.E FixedReset Disc Quote: 17.07 – 17.43
Spot Rate : 0.3600
Average : 0.2299

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.52 %

MFC.PR.J FixedReset Ins Non Quote: 18.44 – 18.84
Spot Rate : 0.4000
Average : 0.2778

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.44
Bid-YTW : 8.31 %

CM.PR.Q FixedReset Disc Quote: 18.12 – 18.45
Spot Rate : 0.3300
Average : 0.2081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.93 %

GWO.PR.T Deemed-Retractible Quote: 23.85 – 24.15
Spot Rate : 0.3000
Average : 0.1929

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.81 %