Archive for January, 2020

January 31, 2020

Friday, January 31st, 2020
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The Canadian preferred share market closed the month on a gloomy note.

TXPR closed at 612.80, down 0.53% on the day. Volume was 1.95-million, below average in the context of the past thirty days, especially if you don’t consider trading days with holiday-related slowness. That makes the price index down 0.45% on the month, while the total return version managed to eke out a 0.06% gain.

CPD closed at 12.27, down 0.20% on the day. Volume of 66,531 was a little above the median of the past 30 days.

ZPR closed at 9.81, down 0.30% on the day. Volume of 367,859 was third-highest of the past 30 days, behind only January 27 and January 24.

Five-year Canada yields were down 8bp to 1.28% today, a far cry from the December 31 figure of 1.69%. What a difference a month – and a dovish Bank of Canada statement – makes!

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 -0.5970 % 2,062.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5970 % 3,785.0
Floater 5.93 % 6.08 % 46,997 13.75 4 -0.5970 % 2,181.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,462.3
SplitShare 4.75 % 4.19 % 34,575 3.71 6 0.0000 % 4,134.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,226.1
Perpetual-Premium 5.58 % 0.93 % 59,773 0.09 11 0.0108 % 3,064.1
Perpetual-Discount 5.23 % 5.32 % 71,460 14.91 24 0.0415 % 3,326.9
FixedReset Disc 5.51 % 5.38 % 194,956 14.84 64 -0.4255 % 2,170.0
Deemed-Retractible 5.13 % 5.24 % 70,123 14.86 27 -0.1270 % 3,258.1
FloatingReset 6.01 % 5.93 % 68,974 13.99 3 0.1222 % 2,537.6
FixedReset Prem 5.09 % 3.66 % 129,794 1.48 22 -0.0740 % 2,651.3
FixedReset Bank Non 1.93 % 3.54 % 75,402 1.95 3 0.0446 % 2,745.0
FixedReset Ins Non 5.35 % 5.34 % 122,192 14.75 22 -0.2414 % 2,194.0
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.65 %
RY.PR.H FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 5.14 %
PWF.PR.P FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 5.52 %
BIP.PR.A FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.07 %
EMA.PR.C FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 5.75 %
GWO.PR.G Deemed-Retractible -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.35 %
TD.PF.D FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.33 %
BAM.PR.K Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 6.13 %
NA.PR.S FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.44 %
BMO.PR.S FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.24 %
BAM.PR.X FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 5.78 %
MFC.PR.H FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.42 %
TD.PF.C FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.16 %
BMO.PR.D FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.23 %
BMO.PR.Y FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 5.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 184,963 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 5.25 %
RY.PR.H FixedReset Disc 85,023 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 5.14 %
TRP.PR.J FixedReset Prem 48,869 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.88 %
BNS.PR.Z FixedReset Bank Non 45,440 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 3.55 %
TD.PF.B FixedReset Disc 36,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.28 %
CM.PR.Q FixedReset Disc 34,248 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.54 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 17.60 – 18.44
Spot Rate : 0.8400
Average : 0.5641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.65 %

GWO.PR.G Deemed-Retractible Quote: 24.52 – 24.90
Spot Rate : 0.3800
Average : 0.2412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.35 %

RY.PR.F Deemed-Retractible Quote: 25.25 – 25.51
Spot Rate : 0.2600
Average : 0.1532

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -10.92 %

PVS.PR.F SplitShare Quote: 25.70 – 25.99
Spot Rate : 0.2900
Average : 0.1856

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.33 %

BAM.PR.X FixedReset Disc Quote: 13.46 – 13.85
Spot Rate : 0.3900
Average : 0.2887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 5.78 %

BAM.PR.C Floater Quote: 11.51 – 11.79
Spot Rate : 0.2800
Average : 0.1863

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 6.08 %

January 30, 2020

Thursday, January 30th, 2020
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 -0.8876 % 2,075.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8876 % 3,807.7
Floater 5.90 % 6.03 % 47,496 13.82 4 -0.8876 % 2,194.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0130 % 3,462.3
SplitShare 4.75 % 4.14 % 35,994 3.71 6 0.0130 % 4,134.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0130 % 3,226.1
Perpetual-Premium 5.58 % 0.24 % 59,808 0.09 11 0.0287 % 3,063.8
Perpetual-Discount 5.23 % 5.32 % 72,193 14.91 24 0.0555 % 3,325.5
FixedReset Disc 5.49 % 5.38 % 197,265 14.82 64 -0.4468 % 2,179.3
Deemed-Retractible 5.13 % 5.23 % 70,518 14.92 27 0.0884 % 3,262.3
FloatingReset 6.02 % 5.93 % 71,401 13.99 3 -0.1221 % 2,534.5
FixedReset Prem 5.09 % 3.49 % 127,898 1.48 22 -0.1177 % 2,653.3
FixedReset Bank Non 1.93 % 3.54 % 72,314 1.95 3 0.1361 % 2,743.7
FixedReset Ins Non 5.33 % 5.34 % 123,474 14.79 22 -0.2117 % 2,199.3
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.86 %
BAM.PF.B FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 5.57 %
BAM.PR.B Floater -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 11.39
Evaluated at bid price : 11.39
Bid-YTW : 6.15 %
TRP.PR.G FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 5.88 %
TRP.PR.C FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 5.93 %
IFC.PR.C FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.49 %
BAM.PR.T FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.80 %
RY.PR.M FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.27 %
NA.PR.W FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 5.39 %
BAM.PF.G FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 5.77 %
TRP.PR.K FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.57 %
IFC.PR.A FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.46 %
BAM.PF.E FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.75 %
BAM.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.48 %
NA.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 5.46 %
PWF.PR.A Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 5.60 %
TD.PF.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.23 %
MFC.PR.B Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 22.26
Evaluated at bid price : 22.53
Bid-YTW : 5.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.S Perpetual-Discount 592,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 22.27
Evaluated at bid price : 22.60
Bid-YTW : 5.32 %
BNS.PR.Z FixedReset Bank Non 125,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 3.59 %
CU.PR.G Perpetual-Discount 82,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 21.82
Evaluated at bid price : 21.82
Bid-YTW : 5.25 %
CU.PR.C FixedReset Disc 67,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 5.49 %
RY.PR.J FixedReset Disc 44,140 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.24 %
RY.PR.H FixedReset Disc 42,655 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.02 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.56 – 24.25
Spot Rate : 0.6900
Average : 0.5445

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 23.26
Evaluated at bid price : 23.56
Bid-YTW : 5.35 %

BAM.PF.E FixedReset Disc Quote: 17.10 – 17.54
Spot Rate : 0.4400
Average : 0.3013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.75 %

IFC.PR.F Deemed-Retractible Quote: 24.66 – 24.99
Spot Rate : 0.3300
Average : 0.2129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 24.24
Evaluated at bid price : 24.66
Bid-YTW : 5.42 %

EMA.PR.F FixedReset Disc Quote: 17.57 – 17.95
Spot Rate : 0.3800
Average : 0.2643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 5.65 %

BNS.PR.I FixedReset Disc Quote: 20.04 – 20.43
Spot Rate : 0.3900
Average : 0.2781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 5.02 %

BAM.PF.G FixedReset Disc Quote: 18.34 – 18.70
Spot Rate : 0.3600
Average : 0.2582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 5.77 %

OSP.PR.A Extension Details Announced

Thursday, January 30th, 2020

Brompton Group has announced (although not yet on their website):

As previously announced, the board of directors of Brompton Oil Split Corp. (the “Fund”) determined that it would extend the maturity date of the class A and preferred shares of the Company for a period of up to five years beyond the current maturity date of March 31, 2020. Today, the board of directors announces that the new term of the Fund will be 3 years to March 30, 2023. In addition, the distribution rate for the preferred shares (the “Preferred Shares”) for the new 3 year term from April 1, 2020 to March 30, 2023 has been increased to $0.65 per Preferred Share per annum (6.5% on the original issue price of $10) payable quarterly. The new Preferred Share distribution rate was determined considering current market rates for preferred shares with similar terms, as well as the current Preferred Share coverage level of the Fund. Based on the net asset value of the portfolio holdings as of January 29, 2020, in order to meet the new Preferred Share distribution rate and maintain the net asset value per unit, the Fund’s portfolio requires capital appreciation of approximately 4.0% per annum. In addition, the Fund confirmed that it will maintain the targeted monthly Class A Share distribution rate of at least $0.10 per Class A Share which will become payable when the net asset value per unit (consisting of one Class A Share and one Preferred Share) is greater than $15.00, after taking into consideration the payment of the Class A Share distribution.

The Fund invests in a portfolio of equity securities of large capitalization North American oil and gas issuers, primarily focused on those with significant exposure to oil.

In connection with the extension, shareholders who do not wish to continue their investment in the Fund, may retract their Preferred Shares and Class A Shares on March 31, 2020 pursuant to a special retraction right and receive a retraction price that is calculated in the same way that such price would be calculated if the Fund were to terminate on March 31, 2020. Pursuant to this option, the retraction price may be less than the market price if the security is trading at a premium to net asset value. To exercise this retraction right shareholders must provide notice to their investment dealer by their dealer’s deadline which in any event cannot be later than February 28, 2020 at 5:00 p.m. (Toronto time). Alternatively, shareholders may sell their shares through their securities dealer 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.

In the event that more Class A Shares than Preferred Shares have been redeemed pursuant to the non-concurrent retraction right, the Company may redeem Preferred Shares on a pro rata basis in a number to be determined by the Company reflecting the extent to which the number of Preferred Shares outstanding following the non-concurrent retraction exceeds the number of Class A Shares outstanding following the non-concurrent retraction. Conversely, in the event that more Preferred Shares than Class A Shares have been redeemed pursuant to the non-concurrent retraction right, the Company may redeem Class A Shares on a pro rata basis in a number to be determined by the Company reflecting the extent to which the number of Class A Shares outstanding following the non-concurrent retraction exceeds the number of Preferred Shares outstanding following the non-concurrent retraction.

The extension was announced in March, 2019.

Increasing the dividend rate to 6.5% is just the usual investment manager flim-flam, as the NAVPU of the fund (determined by adding the Capital Unit NAV of 0.00 to the preferred share NAV of 10.01) is basically equal to the preferred share obligations. Therefore, preferred share holders currently have an investment in which they are fully exposed to declines in the market value of the underlying portfolio, but their upside is capped.

All the value of this fund, every single penny of current and future value, rightfully belongs to the preferred shareholders. They could raise the dividend rate to 20% and downside exposure would still be equal to that of a straight-out investment in the underlying portfolio and the upside would still be capped. I strongly recommend that preferred shareholders exercise their Special Retraction rights, although the more hopeful among us may wish to delay notification until closer to the February 28, 2020 at 5:00 p.m. (Toronto time) notification deadline, just in case the fund does really well in February and the preferred shares become an attractive investment again.

As noted, the Special Retraction notification deadline is February 28, 2020 at 5:00 p.m. (Toronto time); brokers and other intermediaries will generally have internal deadlines a day or two in advance of this date, although they will generally accept instructions until the last minute on a ‘best efforts’ basis.

January 29, 2020

Thursday, January 30th, 2020

The FOMC Statement was today:

Information received since the Federal Open Market Committee met in December indicates that the labor market remains strong and that economic activity has been rising at a moderate rate. Job gains have been solid, on average, in recent months, and the unemployment rate has remained low. Although household spending has been rising at a moderate pace, business fixed investment and exports remain weak. On a 12‑month basis, overall inflation and inflation for items other than food and energy are running below 2 percent. Market-based measures of inflation compensation remain low; survey-based measures of longer-term inflation expectations are little changed.

Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee decided to maintain the target range for the federal funds rate at 1‑1/2 to 1-3/4 percent. The Committee judges that the current stance of monetary policy is appropriate to support sustained expansion of economic activity, strong labor market conditions, and inflation returning to the Committee’s symmetric 2 percent objective. The Committee will continue to monitor the implications of incoming information for the economic outlook, including global developments and muted inflation pressures, as it assesses the appropriate path of the target range for the federal funds rate.

In determining the timing and size of future adjustments to the target range for the federal funds rate, the Committee will assess realized and expected economic conditions relative to its maximum employment objective and its symmetric 2 percent inflation objective. This assessment will take into account a wide range of information, including measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; Richard H. Clarida; Patrick Harker; Robert S. Kaplan; Neel Kashkari; Loretta J. Mester; and Randal K. Quarles.

Pundit chatter was muted.

The Canada five-year yield continued to drop on the week, closing at 1.34%, down 13bp from last week’s value.

PerpetualDiscounts now yield 5.31%, equivalent to 6.90% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.26%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 365bp from the 360bp reported January 22.

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 -0.0211 % 2,093.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0211 % 3,841.8
Floater 5.84 % 6.02 % 48,228 13.84 4 -0.0211 % 2,214.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0585 % 3,461.9
SplitShare 4.75 % 4.18 % 36,056 3.71 6 0.0585 % 4,134.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0585 % 3,225.7
Perpetual-Premium 5.58 % 0.53 % 59,277 0.09 11 0.0610 % 3,062.9
Perpetual-Discount 5.23 % 5.31 % 70,484 14.91 24 0.1483 % 3,323.7
FixedReset Disc 5.46 % 5.35 % 198,836 14.85 64 0.2510 % 2,189.1
Deemed-Retractible 5.13 % 5.24 % 68,336 14.94 27 0.1833 % 3,259.4
FloatingReset 6.01 % 5.93 % 70,091 14.00 3 -0.0244 % 2,537.6
FixedReset Prem 5.08 % 3.55 % 135,581 1.48 22 0.1420 % 2,656.4
FixedReset Bank Non 1.94 % 3.58 % 71,810 1.95 3 0.0954 % 2,740.0
FixedReset Ins Non 5.32 % 5.33 % 124,556 14.80 22 0.0024 % 2,203.9
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 5.71 %
GWO.PR.G Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 24.56
Evaluated at bid price : 24.81
Bid-YTW : 5.29 %
HSE.PR.G FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 6.56 %
RY.PR.J FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 5.21 %
TRP.PR.B FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 5.80 %
PWF.PR.P FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.38 %
PWF.PR.T FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.31 %
BAM.PF.B FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.L Perpetual-Discount 231,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 5.41 %
BMO.PR.Q FixedReset Bank Non 200,299 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 3.75 %
BNS.PR.Z FixedReset Bank Non 187,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 3.58 %
TD.PF.G FixedReset Prem 82,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 3.05 %
SLF.PR.H FixedReset Ins Non 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 5.28 %
IFC.PR.C FixedReset Ins Non 49,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 5.40 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 19.00 – 19.37
Spot Rate : 0.3700
Average : 0.2321

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.19 %

HSE.PR.E FixedReset Disc Quote: 18.71 – 19.34
Spot Rate : 0.6300
Average : 0.4944

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 6.64 %

HSE.PR.A FixedReset Disc Quote: 11.45 – 11.78
Spot Rate : 0.3300
Average : 0.2117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.67 %

BMO.PR.C FixedReset Disc Quote: 22.69 – 23.00
Spot Rate : 0.3100
Average : 0.2061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 22.32
Evaluated at bid price : 22.69
Bid-YTW : 5.18 %

PWF.PR.T FixedReset Disc Quote: 18.10 – 18.57
Spot Rate : 0.4700
Average : 0.3711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.31 %

MFC.PR.Q FixedReset Ins Non Quote: 19.43 – 19.75
Spot Rate : 0.3200
Average : 0.2231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 5.27 %

January 28, 2020

Tuesday, January 28th, 2020

It was a decent day in the Canadian preferred share market today, presumably due to speculators buying the coronavirus dip:

U.S. stocks rebounded from the biggest one-day selloff in nearly four months, as investor concerns over the impact of the coronavirus outbreak in China seemed to recede for now.

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 1.5665 % 2,094.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5665 % 3,842.6
Floater 5.84 % 5.98 % 48,817 13.90 4 1.5665 % 2,214.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0715 % 3,459.8
SplitShare 4.76 % 4.22 % 35,903 3.71 6 0.0715 % 4,131.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0715 % 3,223.8
Perpetual-Premium 5.58 % 0.33 % 59,503 0.09 11 -0.0036 % 3,061.1
Perpetual-Discount 5.24 % 5.31 % 68,258 14.90 24 0.1808 % 3,318.8
FixedReset Disc 5.47 % 5.37 % 197,176 14.86 64 0.5466 % 2,183.6
Deemed-Retractible 5.14 % 5.25 % 69,156 14.86 27 -0.0652 % 3,253.4
FloatingReset 6.01 % 5.93 % 68,345 14.00 3 0.6636 % 2,538.2
FixedReset Prem 5.08 % 3.66 % 128,697 1.49 22 0.1939 % 2,652.6
FixedReset Bank Non 1.94 % 3.73 % 66,477 1.95 3 -0.0136 % 2,737.4
FixedReset Ins Non 5.32 % 5.34 % 124,186 14.83 22 0.5776 % 2,203.9
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 5.55 %
PWF.PR.K Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.37 %
TD.PF.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 5.33 %
IAF.PR.G FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 5.41 %
TD.PF.I FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.20 %
BNS.PR.I FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 4.96 %
BAM.PR.X FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 5.66 %
TRP.PR.G FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.80 %
BAM.PR.M Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 5.42 %
BAM.PR.K Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 11.69
Evaluated at bid price : 11.69
Bid-YTW : 5.98 %
TRP.PR.D FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.68 %
BMO.PR.T FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 5.24 %
RY.PR.M FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 5.22 %
HSE.PR.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.54 %
BMO.PR.S FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 5.19 %
TRP.PR.C FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 5.83 %
SLF.PR.G FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 13.04
Evaluated at bid price : 13.04
Bid-YTW : 5.30 %
TRP.PR.F FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 6.35 %
TRP.PR.A FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 5.81 %
IFC.PR.C FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 5.39 %
PWF.PR.A Floater 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.54 %
TRP.PR.E FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 5.70 %
BAM.PR.B Floater 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 185,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.05 %
RY.PR.Z FixedReset Disc 80,893 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.06 %
RY.PR.R FixedReset Prem 54,370 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 2.96 %
NA.PR.A FixedReset Prem 43,394 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 3.28 %
HSE.PR.A FixedReset Disc 43,305 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 11.52
Evaluated at bid price : 11.52
Bid-YTW : 6.63 %
TD.PF.B FixedReset Disc 36,213 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.21 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Disc Quote: 15.70 – 16.25
Spot Rate : 0.5500
Average : 0.3896

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.77 %

BAM.PR.Z FixedReset Disc Quote: 19.86 – 20.28
Spot Rate : 0.4200
Average : 0.2602

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 5.55 %

CU.PR.E Perpetual-Discount Quote: 23.50 – 23.91
Spot Rate : 0.4100
Average : 0.2616

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 5.28 %

EMA.PR.E Perpetual-Discount Quote: 21.60 – 22.00
Spot Rate : 0.4000
Average : 0.2588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.30 %

GWO.PR.G Deemed-Retractible Quote: 24.51 – 24.87
Spot Rate : 0.3600
Average : 0.2342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 5.35 %

BAM.PF.B FixedReset Disc Quote: 18.59 – 18.96
Spot Rate : 0.3700
Average : 0.2496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 5.55 %

January 27, 2020

Monday, January 27th, 2020

Weakness since the BoC rate announcement on January 22 is continuing, with new chatter that global tourism will take a hit. Looks like all the speculators have decided that all yields are going to and through zero with familiar, but still perplexing, effects on FixedReset prices … the TXPR price index is now negative on the month, although the total return value is still barely positive.

The alarm is well-illustrated by Robert McLister in the Globe:

The Wuhan coronavirus, which at last count has killed more than 80 people and infected more than 2,800 in China, is about to make fixed mortgage rates cheaper for Canadians.

The new coronavirus is spreading fear throughout financial markets, conjuring memories of the 2003 SARS epidemic that killed 774 and knocked at least one-10th of a percentage point off Canada’s GDP.

The present contagion creates yet another risk for Canada’s economy. Investors worry it’ll disrupt Asian trade and hurt confidence, spending and oil prices. That would create deflationary pressure, and inflation expectations are the No. 1 driver of interest rates.

The timing for a potential pandemic is never good, but this news is particularly ill-timed. It comes as fears of an economic slowdown intensified after last Wednesday’s somewhat gloomy Bank of Canada statement.

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 -3.2794 % 2,061.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.2794 % 3,783.3
Floater 5.93 % 6.06 % 48,158 13.80 4 -3.2794 % 2,180.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0195 % 3,457.4
SplitShare 4.76 % 4.50 % 34,810 3.71 6 -0.0195 % 4,128.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0195 % 3,221.5
Perpetual-Premium 5.58 % 0.61 % 59,657 0.09 11 -0.0036 % 3,061.2
Perpetual-Discount 5.25 % 5.33 % 69,036 14.89 24 -0.1983 % 3,312.8
FixedReset Disc 5.50 % 5.38 % 196,949 14.81 64 -0.7193 % 2,171.7
Deemed-Retractible 5.14 % 5.23 % 66,440 14.86 27 0.0124 % 3,255.6
FloatingReset 6.05 % 5.93 % 68,120 14.00 3 -1.0457 % 2,521.5
FixedReset Prem 5.09 % 3.54 % 129,678 1.49 22 0.0730 % 2,647.5
FixedReset Bank Non 1.94 % 3.70 % 66,695 1.96 3 -0.0953 % 2,737.8
FixedReset Ins Non 5.35 % 5.38 % 125,476 14.79 22 -0.9383 % 2,191.2
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -5.44 % The closing quote was 11.30-60; not completely ridiculous because the closing price was 11.53, down 4% (close/close) on good volume for this issue of 26,715. But still, a pretty suspicious closing bid.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 6.19 %

TRP.PR.C FixedReset Disc -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 5.92 %
BAM.PR.K Floater -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.06 %
BAM.PR.C Floater -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.49
Evaluated at bid price : 11.49
Bid-YTW : 6.09 %
SLF.PR.G FixedReset Ins Non -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 12.82
Evaluated at bid price : 12.82
Bid-YTW : 5.39 %
TRP.PR.B FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.22
Evaluated at bid price : 11.22
Bid-YTW : 5.87 %
TRP.PR.E FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 5.82 %
PWF.PR.P FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 5.51 %
GWO.PR.N FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 4.93 %
TD.PF.E FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 5.39 %
TRP.PR.D FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 16.44
Evaluated at bid price : 16.44
Bid-YTW : 5.75 %
SLF.PR.I FixedReset Ins Non -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 5.39 %
HSE.PR.A FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 6.69 %
IAF.PR.G FixedReset Ins Non -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.47 %
CM.PR.Q FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 5.52 %
MFC.PR.K FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.32 %
IFC.PR.A FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 5.45 %
SLF.PR.J FloatingReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 5.92 %
TRP.PR.G FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.87 %
PWF.PR.S Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 5.35 %
TD.PF.I FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.26 %
BAM.PF.G FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.68 %
HSE.PR.G FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 6.64 %
CM.PR.O FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.47 %
BAM.PF.E FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.76 %
TRP.PR.F FloatingReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.46 %
MFC.PR.Q FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.32 %
PWF.PR.A Floater -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 5.64 %
PWF.PR.Z Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 23.48
Evaluated at bid price : 23.86
Bid-YTW : 5.41 %
MFC.PR.F FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.38 %
MFC.PR.H FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.39 %
BAM.PR.R FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 5.79 %
MFC.PR.N FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 5.41 %
TD.PF.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.23 %
IAF.PR.B Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 22.10
Evaluated at bid price : 22.38
Bid-YTW : 5.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.K Floater 52,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.06 %
BIP.PR.C FixedReset Prem 46,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.87 %
RY.PR.H FixedReset Disc 43,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.05 %
CM.PR.O FixedReset Disc 42,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.47 %
BAM.PF.A FixedReset Disc 39,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 5.46 %
TD.PF.M FixedReset Disc 28,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 22.98
Evaluated at bid price : 24.41
Bid-YTW : 5.00 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.G FixedReset Disc Quote: 19.72 – 20.18
Spot Rate : 0.4600
Average : 0.3068

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.45 %

BNS.PR.I FixedReset Disc Quote: 20.04 – 20.51
Spot Rate : 0.4700
Average : 0.3281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 5.03 %

ELF.PR.G Perpetual-Discount Quote: 22.06 – 22.53
Spot Rate : 0.4700
Average : 0.3628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 21.82
Evaluated at bid price : 22.06
Bid-YTW : 5.41 %

SLF.PR.I FixedReset Ins Non Quote: 18.91 – 19.25
Spot Rate : 0.3400
Average : 0.2360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 5.39 %

CM.PR.Y FixedReset Disc Quote: 24.36 – 24.70
Spot Rate : 0.3400
Average : 0.2363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 22.96
Evaluated at bid price : 24.36
Bid-YTW : 5.08 %

CM.PR.Q FixedReset Disc Quote: 18.68 – 18.98
Spot Rate : 0.3000
Average : 0.1975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 5.52 %

NA.PR.W : Convert or Hold?

Saturday, January 25th, 2020

It will be recalled that NA.PR.W will reset at 3.839% effective February 16, 2020.

NA.PR.W is a FixedReset, 3.90%+225, that commenced trading 2014-10-9 after being announced 2014-9-30. The company announced the extension on 2019-12-19. The issue 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. NA.PR.W and the FloatingReset that will arise 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_200124
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.92% and +1.46%, respectively, after discarding the junk outlying pair AIM.PR.A / AIM.PR.B, which resets on 2020-3-31. 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 NA.PR.W 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 NA.PR.W) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
NA.PR.W 16.76 225bp 16.67 16.18 15.69

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, NA.PR.W. Therefore, I recommend that holders of NA.PR.W 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 January 31, 2020 at 5:00 p.m. (EST). 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.

EMA.PR.F : Convert or Hold?

Saturday, January 25th, 2020

It will be recalled that EMA.PR.F will reset at 4.202% effective February 15, 2020.

EMA.PR.F is a FixedReset, 4.25%+263, that commenced trading 2014-6-9 after being being announced 2014-5-29. The company announced the extension on 2020-1-7. EMA.PR.F 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. EMA.PR.F and the FloatingReset that will arise 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_200124
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.92% and +1.46%, respectively, after discarding the junk outlying pair AIM.PR.A / AIM.PR.B, which resets on 2020-3-31. 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 EMA.PR.F 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 EMA.PR.F) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
EMA.PR.F 17.80 263bp 17.73 17.24 16.75

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, EMA.PR.F. Therefore, I recommend that holders of EMA.PR.F 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. (EST) on January 31, 2020. 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.

January 24, 2020

Saturday, January 25th, 2020
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 -0.3310 % 2,131.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3310 % 3,911.6
Floater 5.74 % 5.85 % 48,157 14.11 4 -0.3310 % 2,254.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1041 % 3,458.0
SplitShare 4.76 % 4.27 % 34,758 3.72 6 0.1041 % 4,129.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1041 % 3,222.1
Perpetual-Premium 5.58 % -0.47 % 60,821 0.09 11 0.1358 % 3,061.3
Perpetual-Discount 5.24 % 5.30 % 69,630 14.94 24 0.1552 % 3,319.4
FixedReset Disc 5.46 % 5.61 % 195,804 14.50 64 -0.5113 % 2,187.4
Deemed-Retractible 5.14 % 5.24 % 64,882 14.90 27 0.1919 % 3,255.2
FloatingReset 6.01 % 5.91 % 66,954 14.05 3 -0.5322 % 2,548.1
FixedReset Prem 5.10 % 3.62 % 129,803 1.50 22 0.0529 % 2,645.6
FixedReset Bank Non 1.93 % 3.71 % 68,933 1.96 3 0.0953 % 2,740.4
FixedReset Ins Non 5.30 % 5.62 % 125,133 14.38 22 -0.5617 % 2,212.0
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.26 %
MFC.PR.N FixedReset Ins Non -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.73 %
MFC.PR.L FixedReset Ins Non -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.68 %
TRP.PR.F FloatingReset -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 6.40 %
BIP.PR.A FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.30 %
TD.PF.I FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.45 %
BAM.PF.B FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 5.77 %
TRP.PR.A FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 6.22 %
TRP.PR.C FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 12.49
Evaluated at bid price : 12.49
Bid-YTW : 6.21 %
NA.PR.G FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.71 %
BAM.PR.R FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 6.10 %
MFC.PR.F FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 5.79 %
CU.PR.C FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 5.80 %
MFC.PR.I FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.69 %
BAM.PF.F FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.92 %
SLF.PR.H FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.62 %
TRP.PR.G FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.12 %
BAM.PR.Z FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.86 %
BAM.PR.X FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 6.08 %
TRP.PR.E FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.97 %
TRP.PR.D FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.94 %
MFC.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 5.70 %
NA.PR.W FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.75 %
HSE.PR.C FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.89 %
TD.PF.D FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.61 %
GWO.PR.R Deemed-Retractible 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 22.87
Evaluated at bid price : 23.15
Bid-YTW : 5.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.S Deemed-Retractible 72,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 24.43
Evaluated at bid price : 24.77
Bid-YTW : 5.34 %
SLF.PR.H FixedReset Ins Non 70,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.62 %
CM.PR.T FixedReset Disc 61,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 22.60
Evaluated at bid price : 23.51
Bid-YTW : 5.26 %
CM.PR.R FixedReset Disc 49,224 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.61 %
RY.PR.S FixedReset Disc 48,313 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 5.17 %
RY.PR.Z FixedReset Disc 48,296 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.34 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 20.65 – 21.13
Spot Rate : 0.4800
Average : 0.3199

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.30 %

HSE.PR.C FixedReset Disc Quote: 17.33 – 17.74
Spot Rate : 0.4100
Average : 0.3107

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.89 %

MFC.PR.L FixedReset Ins Non Quote: 16.77 – 17.24
Spot Rate : 0.4700
Average : 0.3739

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.68 %

TD.PF.I FixedReset Disc Quote: 21.14 – 21.48
Spot Rate : 0.3400
Average : 0.2565

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.45 %

IAF.PR.I FixedReset Ins Non Quote: 20.10 – 20.55
Spot Rate : 0.4500
Average : 0.3668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.57 %

IAF.PR.G FixedReset Ins Non Quote: 19.42 – 19.72
Spot Rate : 0.3000
Average : 0.2212

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-24
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 5.66 %

January 23, 2020

Thursday, January 23rd, 2020

There is a superb opinion piece in the Globe by Joseph Groia, titled Hey OSC: Can you spare $100-million?:

Do most Ontarians know that there is more than $100-million of public money sitting in a bank account at the Ontario Securities Commission (OSC) just waiting to be spent on health care, education or legal aid? Unfortunately, they may not as the OSC is badly behind on its statutory corporate-governance obligations (ironically for our capital markets regulator). It is also not clear what Queen’s Park plans to do about it.

Where did the $100-million come from? Under the Securities Act, the OSC is required to pay money it receives under certain orders or settlements into Ontario’s consolidated revenue fund for general governmental purposes unless they designate it to be used for third parties or investor education (the 2(b) Fund). The 2(b) Fund now exceeds $100-million, yet the OSC has not said when or how it plans to spend this enormous amount of public money; nor is there clear transparency or accountability about the process they will follow. What is clear is that the Securities Act allows the Ontario government to take surplus money away from the OSC at any time.

This pool of money has been used in the past to fund outfits like “FAIR Canada”, which by some odd coincidence happens to have created jobs for ex-OSC staff. The existence of this pool is a blot on Ontario’s governance. If investor education is important, an allowance for this should be made in the budget. If it’s not important, don’t fund it. But all fines and penalties levied by the OSC should go straight into Ontario general revenues, with no discretion allowed to the OSC to fund their friends.

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 -0.0593 % 2,138.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0593 % 3,924.6
Floater 5.72 % 5.82 % 48,440 14.16 4 -0.0593 % 2,261.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0195 % 3,454.5
SplitShare 4.77 % 4.44 % 33,701 4.16 6 -0.0195 % 4,125.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0195 % 3,218.8
Perpetual-Premium 5.58 % -0.67 % 60,416 0.09 11 -0.0108 % 3,057.1
Perpetual-Discount 5.24 % 5.32 % 70,338 14.91 24 0.0679 % 3,314.2
FixedReset Disc 5.43 % 5.59 % 195,978 14.52 64 -0.2443 % 2,198.7
Deemed-Retractible 5.14 % 5.23 % 63,394 14.91 27 0.0497 % 3,248.9
FloatingReset 5.97 % 5.94 % 69,550 13.99 3 -0.5054 % 2,561.8
FixedReset Prem 5.09 % 3.70 % 131,168 1.50 22 -0.0107 % 2,644.2
FixedReset Bank Non 1.94 % 3.77 % 69,100 1.96 3 0.0545 % 2,737.8
FixedReset Ins Non 5.27 % 5.58 % 125,843 14.50 22 -0.5657 % 2,224.5
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.59 %
HSE.PR.G FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.97 %
PWF.PR.T FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 5.61 %
MFC.PR.F FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 5.70 %
IAF.PR.I FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.58 %
SLF.PR.J FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 5.85 %
TRP.PR.B FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 11.92
Evaluated at bid price : 11.92
Bid-YTW : 6.06 %
BAM.PF.E FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.07 %
MFC.PR.Q FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 5.51 %
EMA.PR.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.97 %
SLF.PR.G FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 13.23
Evaluated at bid price : 13.23
Bid-YTW : 5.71 %
TRP.PR.A FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 14.52
Evaluated at bid price : 14.52
Bid-YTW : 6.10 %
EMA.PR.F FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.05 %
MFC.PR.H FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.58 %
HSE.PR.E FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.99 %
HSE.PR.C FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.82 %
GWO.PR.N FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 5.27 %
BAM.PR.C Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 5.85 %
BAM.PF.B FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.66 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset Disc 146,670 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.86 %
BMO.PR.Q FixedReset Bank Non 125,335 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 3.81 %
BAM.PF.F FixedReset Disc 117,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.84 %
BAM.PF.H FixedReset Prem 69,842 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.35 %
RY.PR.J FixedReset Disc 68,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 5.55 %
W.PR.M FixedReset Prem 68,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 3.52 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.H Perpetual-Premium Quote: 25.04 – 25.52
Spot Rate : 0.4800
Average : 0.2883

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 5.47 %

IAF.PR.I FixedReset Ins Non Quote: 20.05 – 20.45
Spot Rate : 0.4000
Average : 0.2756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.58 %

PWF.PR.T FixedReset Disc Quote: 18.02 – 18.40
Spot Rate : 0.3800
Average : 0.2607

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 5.61 %

HSE.PR.E FixedReset Disc Quote: 18.70 – 19.24
Spot Rate : 0.5400
Average : 0.4343

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.99 %

TD.PF.B FixedReset Disc Quote: 17.37 – 17.60
Spot Rate : 0.2300
Average : 0.1458

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.52 %

PWF.PR.A Floater Quote: 12.45 – 12.83
Spot Rate : 0.3800
Average : 0.2997

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-23
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.55 %