Archive for April, 2020

April 21, 2020

Tuesday, April 21st, 2020
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TXPR closed at 500.86, down 0.57% on the day. Volume today was 3.01-million, about average in the context of the past thirty days.

CPD closed at 9.93, down 0.50% on the day. Volume was 101,126, on the low side in the context of the past 30 trading days.

ZPR closed at 7.66, down 1.16% on the day. Volume of 240,784 was below average in the context of the past 30 trading days.

Five-year Canada yields were down 2bp to 0.42% today.

Alberta Investment Management Corp., known as AIMCo, has had a nasty accident:

Alberta’s government-owned money manager has lost more than $4-billion on what clients are calling a wrong-way bet against sharp swings in stock prices, dealing a heavy financial blow to a province already reeling from falling oil prices and the COVID-19 pandemic.

Alberta Investment Management Corp., known as AIMCo, suffered far larger losses than comparable funds after investing in contracts that pay off only if stock markets remain stable. It lost billions of dollars when the economic collapse wrought by COVID-19 sent the S&P 500 and other stock benchmarks on a roller coaster ride, putting it on the losing end of the trades, according to several senior pension plan officials and other sources who are familiar with the situation.

AIMCo’s hit on volatility-based investment strategies came on top of a sharp drop in the value of its traditional equity, bond and real estate investments in March, when virtually every investor lost money. The average Canadian pension plan lost 8.7 per cent of its value in the first three months of this year, according to consulting firm Mercer. When it formally reports quarterly results to clients later this month, AIMCo is expected to be down far more than this.

In the five years to December 31, 2018, AIMCo reported total performance of 7.2% vs. benchmark 6.5%, while each of the five years prior to that were above benchmark. On April 8, 2020, they announced:

For the one-year period ending December 31, 2019, AIMCo’s total fund return is 0.5% below that of its benchmark. On a four- and ten-year basis, AIMCo continues to demonstrate strong value add, outperforming its benchmark by 0.5% and 0.8% for each period respectively.

AIMCo has been publicly criticized by LAPP, the Local Authorities Pension Plan:

LAPP’s Statement of Investment Policies and Procedures (SIPP) specifies that AIMCo is expected to deliver a return of 0.85% (net of fees) above the return generated by the Plan’s policy benchmark asset mix over a four-year, annualized time horizon.

As at December 31, 2019, AIMCo generated a four-year, annualized return of 7.40% for LAPP. As at the same date, LAPP’s policy benchmark asset mix generated a 7.02% return over the same four-year, annualized time horizon. Therefore, the value added by AIMCo for the time period was 0.38%, which is short of LAPP’s SIPP-specified value added expectation of 0.85%. As measured by quarter ends, AIMCo has been short of LAPP’s SIPP-specified value added expectations for 46 consecutive quarters, or 11 years and 6 months.

Missing from this statement, however, is an indication of how meeting such an expectation over the past 11 years and 6 months would rank the fund’s performance against its peers. In the ten years to December 31, 2019, Ontario Teachers’ outperformed by 1.4% with a 9.8% return, while OMERS had a 10-year return of 8.2%. HOOPP, for which I have a deep respect, achieved a 10-year return of 11.38%, outperforming their benchmark by 253bp.

Of course, I haven’t delved into the composition of the benchmarks of these funds or how outperformance was achieved; important considerations before taking a view.

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 1.5233 % 1,434.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5233 % 2,632.1
Floater 5.36 % 5.48 % 41,494 14.70 4 1.5233 % 1,516.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1848 % 3,268.5
SplitShare 5.08 % 6.38 % 77,656 3.93 7 -0.1848 % 3,903.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1848 % 3,045.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0080 % 2,800.8
Perpetual-Discount 5.98 % 6.19 % 90,274 13.65 35 0.0080 % 3,004.1
FixedReset Disc 6.70 % 5.63 % 207,389 14.17 83 -0.2287 % 1,692.5
Deemed-Retractible 5.72 % 6.01 % 102,664 13.63 27 0.1801 % 2,955.9
FloatingReset 3.24 % 0.43 % 31,278 0.09 4 -0.2008 % 1,650.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.2287 % 2,340.6
FixedReset Bank Non 1.96 % 4.53 % 116,820 1.73 3 0.0551 % 2,721.2
FixedReset Ins Non 7.15 % 5.97 % 136,684 13.58 22 -0.1112 % 1,662.4
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc -4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.49 %
SLF.PR.I FixedReset Ins Non -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 6.01 %
BNS.PR.H FixedReset Disc -3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 5.37 %
NA.PR.C FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.12 %
BAM.PR.X FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 9.74
Evaluated at bid price : 9.74
Bid-YTW : 6.01 %
GWO.PR.L Deemed-Retractible -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 6.34 %
HSE.PR.E FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 9.05
Evaluated at bid price : 9.05
Bid-YTW : 12.09 %
TRP.PR.C FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 7.92
Evaluated at bid price : 7.92
Bid-YTW : 6.35 %
BMO.PR.C FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.89 %
MFC.PR.G FixedReset Ins Non -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 6.31 %
BNS.PR.G FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 23.11
Evaluated at bid price : 23.60
Bid-YTW : 5.50 %
GWO.PR.P Deemed-Retractible -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 21.84
Evaluated at bid price : 22.08
Bid-YTW : 6.17 %
PWF.PR.P FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 5.76 %
MFC.PR.R FixedReset Ins Non -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.13 %
MFC.PR.M FixedReset Ins Non -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 6.17 %
TD.PF.D FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.63 %
SLF.PR.H FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 5.97 %
PVS.PR.E SplitShare -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 7.16 %
BIP.PR.A FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 7.57 %
BAM.PF.H FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 5.51 %
CM.PR.Y FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.40 %
MFC.PR.I FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 6.25 %
PWF.PR.H Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 6.32 %
W.PR.M FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 21.96
Evaluated at bid price : 22.55
Bid-YTW : 5.78 %
ELF.PR.H Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 21.74
Evaluated at bid price : 22.06
Bid-YTW : 6.27 %
BIP.PR.D FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.49 %
EML.PR.A FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 21.85
Evaluated at bid price : 22.35
Bid-YTW : 6.13 %
TRP.PR.F FloatingReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 5.85 %
HSE.PR.G FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 8.50
Evaluated at bid price : 8.50
Bid-YTW : 11.93 %
POW.PR.A Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 22.05
Evaluated at bid price : 22.34
Bid-YTW : 6.31 %
PWF.PR.I Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 23.92
Evaluated at bid price : 24.16
Bid-YTW : 6.23 %
HSE.PR.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 8.95
Evaluated at bid price : 8.95
Bid-YTW : 11.50 %
GWO.PR.M Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 6.30 %
BAM.PF.B FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 6.14 %
EIT.PR.A SplitShare -1.04 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.45 %
RY.PR.J FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.36 %
RY.PR.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 5.41 %
CIU.PR.A Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.91 %
BAM.PR.B Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 7.90
Evaluated at bid price : 7.90
Bid-YTW : 5.48 %
IAF.PR.B Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 5.90 %
BMO.PR.Y FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 5.70 %
BAM.PF.E FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 6.23 %
PWF.PR.S Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.19 %
CU.PR.F Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 5.75 %
RY.PR.P Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 23.73
Evaluated at bid price : 24.20
Bid-YTW : 5.49 %
CU.PR.G Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.79 %
RY.PR.S FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.84 %
MFC.PR.J FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 5.92 %
BMO.PR.E FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 5.30 %
PVS.PR.H SplitShare 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.65 %
IAF.PR.G FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.31 %
MFC.PR.F FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 8.60
Evaluated at bid price : 8.60
Bid-YTW : 5.54 %
GWO.PR.S Deemed-Retractible 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.19 %
BAM.PF.F FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 6.22 %
IFC.PR.A FixedReset Ins Non 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 5.58 %
MFC.PR.C Deemed-Retractible 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.04 %
TD.PF.M FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.26 %
TRP.PR.E FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 6.16 %
IAF.PR.I FixedReset Ins Non 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 14.29
Evaluated at bid price : 14.29
Bid-YTW : 6.19 %
BIK.PR.A FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 6.92 %
IFC.PR.G FixedReset Ins Non 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.58 %
CCS.PR.C Deemed-Retractible 4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 6.03 %
PWF.PR.A Floater 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 8.51
Evaluated at bid price : 8.51
Bid-YTW : 5.12 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 179,528 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.36 %
BAM.PF.F FixedReset Disc 163,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 6.22 %
NA.PR.S FixedReset Disc 142,620 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 5.85 %
NA.PR.W FixedReset Disc 133,019 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.77 %
TD.PF.B FixedReset Disc 107,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 5.48 %
TD.PF.L FixedReset Disc 101,573 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 5.21 %
RY.PR.H FixedReset Disc 100,573 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 5.41 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.C FixedReset Disc Quote: 16.77 – 17.99
Spot Rate : 1.2200
Average : 0.7778

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.89 %

NA.PR.C FixedReset Disc Quote: 16.25 – 17.38
Spot Rate : 1.1300
Average : 0.7605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.12 %

BAM.PR.T FixedReset Disc Quote: 11.10 – 12.17
Spot Rate : 1.0700
Average : 0.7857

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.49 %

PWF.PR.T FixedReset Disc Quote: 12.81 – 14.00
Spot Rate : 1.1900
Average : 0.9169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.21 %

PVS.PR.E SplitShare Quote: 24.25 – 24.99
Spot Rate : 0.7400
Average : 0.4761

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 7.16 %

BNS.PR.H FixedReset Disc Quote: 21.72 – 22.60
Spot Rate : 0.8800
Average : 0.6374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-21
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 5.37 %

April 20, 2020

Monday, April 20th, 2020

As if negative interest rates weren’t bad enough. We now have negative oil prices:

The spot price for West Texas Intermediate plunged deep into negative pricing Monday, closing at minus US$37.63 over fears of rapidly filling storage and sinking demand.

Global demand destruction due to the COVID-19 pandemic and a supply glut that has crude lapping the top of storage tanks means futures traders are finding very few buyers for their soon-to-expire May contracts, throwing into doubt who will take actual delivery of barrels.

Available storage space is dropping fast at the Cushing, Oklahoma hub, where physical delivery of U.S. oil barrels bought in the futures market takes place. Four weeks ago, the storage hub was half full – now it is 69% full, according to U.S. Energy Department data. Cushing is a key hub for Canada because a lack of coastal access means the bulk of crude ends up there.

The New York Times adds:

The problem isn’t limited to the United States. Out of an estimated 6.8 billion barrels of storage in the world, nearly 60 percent is filled, according to data assembled by various energy consultancies. Storage is almost complete filled in the Caribbean and South Africa, and Angola, Brazil and Nigeria may run out of warehousing capacity within days.

And there was another rare event:

The World Bank’s pandemic bonds triggered on Friday, The Financial Times reported, unleashing roughly $133 million in aid to the poorest nations hit by the coronavirus.

The vehicles, which offered investors highly attractive yields at the risk of losing their principal payment, reached their key threshold after the exponential growth rate of coronavirus in payment-eligible nations turned positive. When the triggers were met, the bondholders’ payments were transferred to the relief pool.

Nations with coronavirus deaths and membership in the World Bank’s International Development Association can now tap most of the $196 million sum created by the bonds’ issuance.

Investors who bought the organization’s riskier Class B bonds lost all of their money, while those who purchased Class A bonds will lose 16.7 cents on the dollar, the FT reported.

The World Bank has highlighted the news release in which these bonds were touted nearly three years ago, as part of their capital-at-risk programme.

I got notice today of imminent price increases for the Exchange quotes I use … ah, well, quality costs money! So here’s today’s round-up of the action, as indicated by the quality quotes provided by the protected monopoly:

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 4.4761 % 1,412.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 4.4761 % 2,592.6
Floater 5.44 % 5.54 % 42,262 14.61 4 4.4761 % 1,494.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1370 % 3,274.6
SplitShare 5.07 % 6.29 % 80,383 3.93 7 -0.1370 % 3,910.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1370 % 3,051.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.8831 % 2,800.6
Perpetual-Discount 5.98 % 6.19 % 90,351 13.65 35 0.8831 % 3,003.9
FixedReset Disc 6.68 % 5.63 % 209,164 14.10 83 1.6625 % 1,696.3
Deemed-Retractible 5.73 % 6.05 % 102,636 13.63 27 1.1810 % 2,950.6
FloatingReset 3.24 % 0.42 % 30,898 0.10 4 0.4843 % 1,653.8
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 1.6625 % 2,346.0
FixedReset Bank Non 1.96 % 4.52 % 118,261 1.74 3 0.5820 % 2,719.7
FixedReset Ins Non 7.14 % 5.93 % 136,808 13.51 22 2.2304 % 1,664.3
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset Disc -4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.64 %
CU.PR.F Perpetual-Discount -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.64
Evaluated at bid price : 19.64
Bid-YTW : 5.82 %
PWF.PR.T FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 6.27 %
PWF.PR.A Floater -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 8.17
Evaluated at bid price : 8.17
Bid-YTW : 5.33 %
TD.PF.C FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.57 %
PVS.PR.H SplitShare -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 5.90 %
RY.PR.J FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.41 %
RY.PR.N Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.07
Evaluated at bid price : 22.42
Bid-YTW : 5.54 %
CU.PR.G Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.87 %
BMO.PR.Y FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.77 %
MFC.PR.M FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 6.05 %
NA.PR.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 21.97
Evaluated at bid price : 22.56
Bid-YTW : 5.66 %
BAM.PF.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.31 %
ELF.PR.G Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 6.19 %
PWF.PR.K Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.27 %
RY.PR.W Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 5.44 %
PWF.PR.G Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 23.43
Evaluated at bid price : 23.72
Bid-YTW : 6.24 %
NA.PR.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 5.96 %
MFC.PR.K FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 5.76 %
CU.PR.H Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.18
Evaluated at bid price : 22.55
Bid-YTW : 5.90 %
GWO.PR.F Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.20 %
BIP.PR.D FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.40 %
PWF.PR.S Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.26 %
CM.PR.Y FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.31 %
CM.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 5.63 %
GWO.PR.S Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.29 %
TD.PF.L FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 5.21 %
GWO.PR.Q Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 6.19 %
CM.PR.S FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 5.52 %
TD.PF.H FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 21.68
Evaluated at bid price : 22.12
Bid-YTW : 5.19 %
GWO.PR.I Deemed-Retractible 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.16 %
TRP.PR.D FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 6.20 %
TRP.PR.J FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 23.38
Evaluated at bid price : 23.90
Bid-YTW : 5.83 %
CU.PR.I FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.30
Evaluated at bid price : 23.09
Bid-YTW : 4.89 %
PWF.PR.P FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 9.17
Evaluated at bid price : 9.17
Bid-YTW : 5.66 %
BAM.PF.B FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 6.07 %
NA.PR.S FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.44
Evaluated at bid price : 13.44
Bid-YTW : 5.84 %
BAM.PF.A FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 5.98 %
BMO.PR.Q FixedReset Bank Non 1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.01 %
MFC.PR.R FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 6.01 %
MFC.PR.I FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 6.15 %
POW.PR.D Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.31 %
POW.PR.B Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.28 %
BAM.PF.C Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.20 %
SLF.PR.J FloatingReset 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 4.92 %
SLF.PR.H FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 5.87 %
MFC.PR.C Deemed-Retractible 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.17 %
PWF.PR.H Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 6.22 %
PWF.PR.R Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 21.78
Evaluated at bid price : 22.11
Bid-YTW : 6.24 %
CM.PR.O FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 5.82 %
PWF.PR.O Perpetual-Discount 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 6.26 %
GWO.PR.H Deemed-Retractible 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 6.17 %
BMO.PR.C FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.75 %
GWO.PR.R Deemed-Retractible 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.06 %
BAM.PR.T FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 11.59
Evaluated at bid price : 11.59
Bid-YTW : 6.21 %
TD.PF.J FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.28 %
POW.PR.G Perpetual-Discount 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.05
Evaluated at bid price : 22.40
Bid-YTW : 6.29 %
IAF.PR.G FixedReset Ins Non 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 6.40 %
W.PR.M FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.46
Evaluated at bid price : 22.86
Bid-YTW : 5.71 %
EML.PR.A FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.01
Evaluated at bid price : 22.62
Bid-YTW : 6.05 %
MFC.PR.H FixedReset Ins Non 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 6.16 %
GWO.PR.L Deemed-Retractible 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.78
Evaluated at bid price : 23.06
Bid-YTW : 6.18 %
CM.PR.P FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.71 %
BAM.PR.M Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.13 %
BAM.PF.D Perpetual-Discount 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.12 %
GWO.PR.G Deemed-Retractible 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.23 %
POW.PR.A Perpetual-Discount 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.24 %
BNS.PR.H FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.14
Evaluated at bid price : 22.46
Bid-YTW : 5.19 %
TRP.PR.B FixedReset Disc 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 7.20
Evaluated at bid price : 7.20
Bid-YTW : 6.08 %
SLF.PR.C Deemed-Retractible 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.97 %
PWF.PR.I Perpetual-Discount 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 24.18
Evaluated at bid price : 24.44
Bid-YTW : 6.16 %
SLF.PR.E Deemed-Retractible 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.99 %
CM.PR.Q FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 5.93 %
BAM.PR.N Perpetual-Discount 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.14 %
NA.PR.X FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 23.48
Evaluated at bid price : 24.00
Bid-YTW : 5.57 %
CU.PR.C FixedReset Disc 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.95 %
SLF.PR.D Deemed-Retractible 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.94 %
TRP.PR.A FixedReset Disc 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 6.18 %
GWO.PR.P Deemed-Retractible 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.05 %
GWO.PR.N FixedReset Ins Non 3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 8.95
Evaluated at bid price : 8.95
Bid-YTW : 4.97 %
MFC.PR.G FixedReset Ins Non 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 6.16 %
BNS.PR.I FixedReset Disc 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.85 %
SLF.PR.B Deemed-Retractible 3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 5.91 %
BAM.PR.R FixedReset Disc 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 11.38
Evaluated at bid price : 11.38
Bid-YTW : 6.15 %
BMO.PR.F FixedReset Disc 4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.28 %
NA.PR.G FixedReset Disc 4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 16.14
Evaluated at bid price : 16.14
Bid-YTW : 5.55 %
MFC.PR.F FixedReset Ins Non 4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 8.47
Evaluated at bid price : 8.47
Bid-YTW : 5.63 %
SLF.PR.I FixedReset Ins Non 4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 5.80 %
BIK.PR.A FixedReset Disc 4.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.12 %
IFC.PR.G FixedReset Ins Non 5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.77 %
TD.PF.K FixedReset Disc 5.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 5.31 %
BAM.PR.C Floater 6.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 7.76
Evaluated at bid price : 7.76
Bid-YTW : 5.58 %
BAM.PR.K Floater 6.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 7.76
Evaluated at bid price : 7.76
Bid-YTW : 5.58 %
SLF.PR.G FixedReset Ins Non 6.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 8.62
Evaluated at bid price : 8.62
Bid-YTW : 5.45 %
RY.PR.M FixedReset Disc 6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 5.67 %
W.PR.K FixedReset Disc 6.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 21.95
Evaluated at bid price : 22.51
Bid-YTW : 5.85 %
HSE.PR.A FixedReset Disc 6.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 5.17
Evaluated at bid price : 5.17
Bid-YTW : 10.83 %
HSE.PR.G FixedReset Disc 7.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 8.60
Evaluated at bid price : 8.60
Bid-YTW : 11.78 %
BAM.PR.B Floater 8.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 7.82
Evaluated at bid price : 7.82
Bid-YTW : 5.54 %
BAM.PR.X FixedReset Disc 9.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 5.85 %
TRP.PR.G FixedReset Disc 10.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 6.31 %
HSE.PR.E FixedReset Disc 11.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 9.26
Evaluated at bid price : 9.26
Bid-YTW : 11.79 %
HSE.PR.C FixedReset Disc 12.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 9.05
Evaluated at bid price : 9.05
Bid-YTW : 11.36 %
IFC.PR.A FixedReset Ins Non 13.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 5.70 %
TRP.PR.C FixedReset Disc 15.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 8.10
Evaluated at bid price : 8.10
Bid-YTW : 6.21 %
TRP.PR.E FixedReset Disc 16.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 6.32 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 141,952 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 5.71 %
SLF.PR.H FixedReset Ins Non 121,498 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 5.87 %
TD.PF.M FixedReset Disc 112,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.39 %
BNS.PR.D FloatingReset 112,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 0.42 %
MFC.PR.I FixedReset Ins Non 87,667 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 6.15 %
TD.PF.G FixedReset Disc 71,692 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.67
Evaluated at bid price : 23.20
Bid-YTW : 5.53 %
There were 63 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 13.70 – 18.10
Spot Rate : 4.4000
Average : 2.4445

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.44 %

BAM.PF.B FixedReset Disc Quote: 14.20 – 16.54
Spot Rate : 2.3400
Average : 1.8537

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 6.07 %

BAM.PF.J FixedReset Disc Quote: 22.05 – 24.20
Spot Rate : 2.1500
Average : 1.7658

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 5.41 %

TD.PF.F Perpetual-Discount Quote: 22.47 – 23.74
Spot Rate : 1.2700
Average : 0.8861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.11
Evaluated at bid price : 22.47
Bid-YTW : 5.46 %

BMO.PR.Z Perpetual-Discount Quote: 23.10 – 23.99
Spot Rate : 0.8900
Average : 0.5496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 22.71
Evaluated at bid price : 23.10
Bid-YTW : 5.48 %

TD.PF.E FixedReset Disc Quote: 15.05 – 17.00
Spot Rate : 1.9500
Average : 1.6145

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-20
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.57 %

RY.PR.J To Be Extended

Sunday, April 19th, 2020

Royal Bank of Canada has announced (on April 9):

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series BD (the “Series BD shares”) on May 24, 2020. There are currently 24,000,000 Series BD shares outstanding.

Subject to certain conditions set out in the prospectus supplement dated January 27, 2015 relating to the issuance of the Series BD shares, the holders of the Series BD shares have the right to convert all or part of their Series BD shares, on a one-for-one basis, into NVCC Non-Cumulative Floating Rate First Preferred Shares Series BE (the “Series BE shares”) on May 24, 2020. On such date, holders who do not exercise their right to convert their Series BD shares into Series BE shares will continue to hold their Series BD shares. The conversion will occur on May 25 being the first business day following the conversion date of May 24 as identified in the prospectus, which falls on a Sunday. The foregoing conversion rights are subject to the following:

if Royal Bank of Canada determines that there would be less than 1,000,000 Series BE shares outstanding after taking into account all shares tendered for conversion on May 24, 2020, then holders of Series BD shares will not be entitled to convert their shares into Series BE shares, and
alternatively, if Royal Bank of Canada determines that there would remain outstanding less than 1,000,000 Series BD shares after May 24, 2020, then all remaining Series BD shares will automatically be converted into Series BE shares on a one-for-one basis on May 24, 2020.
In either case, Royal Bank of Canada will give written notice to that effect to holders of Series BD shares no later than May 17, 2020.

The dividend rate applicable for the Series BD shares for the 5-year period from and including May 24, 2020 to, but excluding, May 24, 2025, and the dividend rate applicable to the Series BE shares for the 3-month period from and including May 24, 2020 to, but excluding, August 24, 2020, will be determined and announced by way of a press release on April 24, 2020.

Beneficial owners of Series BD shares who wish to exercise their conversion rights should instruct their broker or other nominee to exercise such rights during the conversion period, which runs from April 24, 2020 until 5:00 p.m. (EST) on May 11, 2020.

Inquiries should be directed to Shareholder Relations Officer, Shirley Boudreau, at 416-955-7806.

I will have more to say when the reset rate is announced April 24.

April 17, 2020

Saturday, April 18th, 2020
rainbow_200417
Click for Big

TXPR closed at 501.84, up 0.97% on the day, which was about 172bp higher than the day’s low, with a late recovery commencing at 3:30 that put even the last two day’s late rallies to shame. Volume today was superb at 7.21-million, behind only March 18 in the past thirty days.

CPD closed at 9.88, down 0.30% on the day. Volume was 147,035, near the median of the past 30 trading days.

ZPR closed at 7.73, up 0.91% on the day. Volume of 138,961 was the lowest of the past 30 trading days, behind even April 15.

Five-year Canada yields were up 3bp to 0.46% today.

S&P downgraded First Quantum Minerals one notch to CCC+:

  • We see increased risks across Canada-headquartered copper miner First Quantum Minerals’ (FQM’s) countries of operation, which could negatively affect production and operating costs.
  • Given our lower EBITDA forecast for 2020, we now expect a material deterioration in the company’s liquidity position and a covenant breach at the June testing date.
  • We are therefore lowering to ‘CCC+’ from ‘B-‘ our long-term issuer credit rating on FQM and its senior unsecured bonds.
  • The stable outlook factors in our expectation that the company would be able to secure an amendment to its coming financial covenants testing in June 2020, as well as no further deterioration in production or copper prices beyond our current EBITDA forecast.

S&P also downgraded Ensign Drilling Inc. four notches to CCC+:

  • We expect Canada-based Ensign Drilling Inc.’s credit metrics to weaken materially due to significant cuts in capital budgets by exploration and production (E&P) companies, driven by the substantial drop in crude oil prices.
  • Although we expect the company to generate positive free cash flows, limited availability on the credit facility and the potential for covenant breaches constrain the rating.
  • Accordingly, S&P Global Ratings lowered its long-term issuer credit rating on Ensign and its issue-level rating on the company’s unsecured debt to ‘CCC+’ from ‘BB-‘.
  • The negative outlook incorporates our view that credit measures will remain weak over the next 12 months due to reduced drilling activity and that there is potential for liquidity to further deteriorate, if activity levels don’t recover.

OSFI released a statement titled Statement from the Superintendent on Canadian bank capital and dividends:

When there are periods of economic uncertainty or a downturn, releasing capital buffers is the first step in OSFI’s contingency plan, as it enables banks to use the funds that had been set aside. To this end, on March 13, OSFI released 1.25 percentage points, which was about 55% of the Domestic Stability Buffer and at the same time, OSFI prohibited dividend increases and cancelled future share buybacks. OSFI will continue to monitor institutions’ capital and liquidity levels and if conditions warrant, is prepared to release the remaining 1.0 percentage points of the buffer.

OSFI has built other contingency measures into Canada’s capital regime. Specifically, as banks move through capital layers, there are disbursement restrictions. For example, if sustaining a bank’s capital level requires it to access funds that are in the Capital Conservation Buffer, the bank will be automatically required to restrict disbursements, including dividends and share buybacks. Restrictions for larger banks would apply earlier when its capital levels fall within the D-SIB surcharge threshold.

OSFI has long signalled its expectations that banks use their capital buffer in the event of a downturn or period of economic uncertainty. For example in 2016 and 2017, I noted “…of course, a bank that is using up its capital needs to recapitalize. If this goes on long enough, or happens quickly enough, dramatic measures may be required. But for a bank that starts with capital well above its regulatory minimum, we all need to see the idea of using some of the bank’s capital buffer as the normal first step in the process …”

Is this a sign they’re feeling a little bit of political pressure? Bank dividends have been a hot topic lately, as mentioned on April 9 and April 2. For all that the implied reassurance may be welcome, this is a sign of an unhealthy economy: Canada’s financial system is grossly overweighted in banks and retirement portfolios reflect that in spades, given retirees need for income. Having all one’s eggs in one basket is not a good idea – I can only hope, rather forlornly, that the banks will be broken up once this idea becomes more acceptable in polite society. So we can expect a burst of bank hiring of ex-politicians in the near future!

Meanwhile Mutual Funds that own bonds are now allowed increased borrowing to fund redemptions, if they’re having trouble selling bonds:

As a result of the Coronavirus pandemic (“COVID-19”), the Ontario Securities Commission (the “Commission”) is providing to mutual funds temporary exemption from the borrowing limits set out in Ontario securities law, subject to terms and conditions, in order to accommodate requests for the redemption of mutual fund securities under securities legislation.

Description of Order

The order provides a temporary exemption to mutual funds that are subject to National Instrument 81-102 Investment Funds (“NI 81-102”), other than labour sponsored or venture capital funds, and which invest in fixed income securities from the borrowing limit imposed in subparagraph 2.6(1)(a)(i) of NI 81-102 for the period from April 17, 2020 to July 31, 2020 (the “Effective Period”), provided that the outstanding amount of all borrowings made by the mutual fund does not exceed 10 percent of its net asset value at the time of borrowing during the Effective Period.

The relief provided above is subject to the following terms and conditions:

• Any mutual fund relying on the order must use the temporary exemption from the borrowing limit only for the purpose of facilitating an orderly liquidation of fixed income securities to deal with the short-term dislocation in the fixed income securities market due to the COVID-19 pandemic, in order to accommodate requests for the redemption of securities of the mutual fund received during the period from April 17, 2020 to July 30, 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 0.4998 % 1,352.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4998 % 2,481.5
Floater 5.69 % 5.92 % 41,363 14.03 4 0.4998 % 1,430.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1491 % 3,279.1
SplitShare 5.06 % 6.30 % 81,219 3.94 7 0.1491 % 3,915.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1491 % 3,055.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5421 % 2,776.0
Perpetual-Discount 6.04 % 6.28 % 91,642 13.51 35 0.5421 % 2,977.6
FixedReset Disc 6.79 % 5.72 % 208,878 13.99 83 -0.4354 % 1,668.6
Deemed-Retractible 5.80 % 6.16 % 102,288 13.49 27 0.3834 % 2,916.1
FloatingReset 3.44 % 0.77 % 28,598 0.10 4 -2.9187 % 1,645.8
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.4354 % 2,307.6
FixedReset Bank Non 1.97 % 4.50 % 117,325 1.74 3 0.0693 % 2,704.0
FixedReset Ins Non 7.30 % 6.09 % 133,771 13.26 22 -0.8882 % 1,628.0
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -15.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 10.46
Evaluated at bid price : 10.46
Bid-YTW : 7.45 %
TRP.PR.C FixedReset Disc -14.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 7.01
Evaluated at bid price : 7.01
Bid-YTW : 7.22 %
TRP.PR.B FixedReset Disc -12.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 7.01
Evaluated at bid price : 7.01
Bid-YTW : 6.28 %
RY.PR.M FixedReset Disc -11.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 6.06 %
TRP.PR.H FloatingReset -11.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 7.18
Evaluated at bid price : 7.18
Bid-YTW : 5.55 %
IFC.PR.A FixedReset Ins Non -10.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 9.26
Evaluated at bid price : 9.26
Bid-YTW : 6.53 %
BIK.PR.A FixedReset Disc -9.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 7.47 %
HSE.PR.C FixedReset Disc -6.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.05
Evaluated at bid price : 8.05
Bid-YTW : 12.93 %
TD.PF.K FixedReset Disc -5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 5.64 %
HSE.PR.E FixedReset Disc -5.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 13.25 %
SLF.PR.J FloatingReset -4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 5.29 %
SLF.PR.G FixedReset Ins Non -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.10
Evaluated at bid price : 8.10
Bid-YTW : 5.83 %
W.PR.K FixedReset Disc -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.27 %
TD.PF.J FixedReset Disc -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.41 %
CCS.PR.C Deemed-Retractible -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.24 %
TRP.PR.D FixedReset Disc -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 6.31 %
BIP.PR.F FixedReset Disc -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.58 %
IFC.PR.G FixedReset Ins Non -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.11 %
CU.PR.C FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.12 %
IAF.PR.I FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 6.38 %
HSE.PR.A FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 4.85
Evaluated at bid price : 4.85
Bid-YTW : 11.60 %
CM.PR.O FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 5.95 %
RY.PR.Z FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 5.39 %
MFC.PR.M FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 12.82
Evaluated at bid price : 12.82
Bid-YTW : 6.12 %
EIT.PR.B SplitShare -2.08 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.38 %
HSE.PR.G FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.01
Evaluated at bid price : 8.01
Bid-YTW : 12.69 %
MFC.PR.L FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 5.93 %
IAF.PR.G FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 6.57 %
SLF.PR.H FixedReset Ins Non -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 6.00 %
TRP.PR.F FloatingReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 6.06 %
CM.PR.Q FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 6.12 %
CM.PR.P FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.08
Evaluated at bid price : 13.08
Bid-YTW : 5.87 %
BMO.PR.T FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.71 %
EML.PR.A FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 6.21 %
BMO.PR.S FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.78 %
MFC.PR.J FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 6.06 %
RY.PR.H FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 5.45 %
BAM.PR.R FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 10.95
Evaluated at bid price : 10.95
Bid-YTW : 6.42 %
MFC.PR.H FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 6.32 %
BAM.PF.F FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 6.35 %
BAM.PR.B Floater -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 7.18
Evaluated at bid price : 7.18
Bid-YTW : 6.03 %
BMO.PR.Y FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 5.84 %
IFC.PR.I Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 22.66
Evaluated at bid price : 23.01
Bid-YTW : 5.96 %
BAM.PF.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 6.39 %
BAM.PF.A FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 6.10 %
PVS.PR.G SplitShare 1.11 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 6.06 %
PWF.PR.I Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 6.33 %
MFC.PR.F FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.10
Evaluated at bid price : 8.10
Bid-YTW : 5.91 %
IFC.PR.E Deemed-Retractible 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.43
Evaluated at bid price : 21.75
Bid-YTW : 6.02 %
TD.PF.I FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.40 %
MFC.PR.O FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 22.97
Evaluated at bid price : 23.48
Bid-YTW : 5.84 %
SLF.PR.A Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.03 %
GWO.PR.N FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.63
Evaluated at bid price : 8.63
Bid-YTW : 5.19 %
CIU.PR.A Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.96 %
POW.PR.B Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.39 %
RY.PR.J FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.35 %
RY.PR.Q FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 22.90
Evaluated at bid price : 23.42
Bid-YTW : 5.42 %
BAM.PF.D Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.27 %
GWO.PR.M Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 23.03
Evaluated at bid price : 23.30
Bid-YTW : 6.28 %
BAM.PF.C Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 6.31 %
PWF.PR.H Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 22.50
Evaluated at bid price : 22.76
Bid-YTW : 6.34 %
GWO.PR.Q Deemed-Retractible 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.27 %
BNS.PR.H FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.52
Evaluated at bid price : 21.89
Bid-YTW : 5.34 %
CU.PR.F Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.67 %
RY.PR.N Perpetual-Discount 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 22.38
Evaluated at bid price : 22.70
Bid-YTW : 5.47 %
TD.PF.D FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 14.79
Evaluated at bid price : 14.79
Bid-YTW : 5.53 %
BAM.PF.J FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 5.43 %
PWF.PR.A Floater 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.35
Evaluated at bid price : 8.35
Bid-YTW : 5.21 %
IFC.PR.F Deemed-Retractible 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.97
Evaluated at bid price : 22.27
Bid-YTW : 6.00 %
TD.PF.L FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.29 %
CM.PR.Y FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.39 %
BIP.PR.A FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 7.40 %
MFC.PR.B Deemed-Retractible 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 6.04 %
BIP.PR.B FixedReset Disc 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 6.33 %
CM.PR.R FixedReset Disc 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 5.89 %
IFC.PR.C FixedReset Ins Non 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 5.71 %
BMO.PR.B FixedReset Disc 3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.57
Evaluated at bid price : 21.96
Bid-YTW : 5.25 %
NA.PR.E FixedReset Disc 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.65 %
TRP.PR.A FixedReset Disc 7.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 6.41 %
BIP.PR.E FixedReset Disc 8.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 6.32 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.F FloatingReset 273,856 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 6.06 %
HSE.PR.A FixedReset Disc 239,362 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 4.85
Evaluated at bid price : 4.85
Bid-YTW : 11.60 %
HSE.PR.E FixedReset Disc 215,004 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 13.25 %
CM.PR.R FixedReset Disc 210,505 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 5.89 %
BAM.PR.B Floater 194,685 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 7.18
Evaluated at bid price : 7.18
Bid-YTW : 6.03 %
HSE.PR.G FixedReset Disc 176,970 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.01
Evaluated at bid price : 8.01
Bid-YTW : 12.69 %
RY.PR.C Deemed-Retractible 176,575 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 5.55 %
GWO.PR.N FixedReset Ins Non 167,981 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.63
Evaluated at bid price : 8.63
Bid-YTW : 5.19 %
SLF.PR.H FixedReset Ins Non 143,342 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 6.00 %
IFC.PR.I Perpetual-Discount 142,131 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 22.66
Evaluated at bid price : 23.01
Bid-YTW : 5.96 %
TRP.PR.B FixedReset Disc 141,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 7.01
Evaluated at bid price : 7.01
Bid-YTW : 6.28 %
IAF.PR.I FixedReset Ins Non 130,863 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 6.38 %
TD.PF.M FixedReset Disc 128,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.44 %
SLF.PR.J FloatingReset 118,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 5.29 %
There were 90 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.A FixedReset Disc Quote: 15.41 – 21.00
Spot Rate : 5.5900
Average : 3.2291

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 6.10 %

PWF.PR.P FixedReset Disc Quote: 9.03 – 13.90
Spot Rate : 4.8700
Average : 2.9205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 9.03
Evaluated at bid price : 9.03
Bid-YTW : 5.77 %

W.PR.M FixedReset Disc Quote: 22.34 – 24.70
Spot Rate : 2.3600
Average : 1.3202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.83
Evaluated at bid price : 22.34
Bid-YTW : 5.83 %

SLF.PR.I FixedReset Ins Non Quote: 13.50 – 16.00
Spot Rate : 2.5000
Average : 1.5254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.09 %

IFC.PR.F Deemed-Retractible Quote: 22.27 – 24.80
Spot Rate : 2.5300
Average : 1.5695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 21.97
Evaluated at bid price : 22.27
Bid-YTW : 6.00 %

TRP.PR.E FixedReset Disc Quote: 10.46 – 13.00
Spot Rate : 2.5400
Average : 1.6315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-17
Maturity Price : 10.46
Evaluated at bid price : 10.46
Bid-YTW : 7.45 %

CF.PR.A & CF.PR.C Downgraded to Pfd-4(high) Trend-Negative by DBRS

Friday, April 17th, 2020

DBRS has announced that it:

downgraded its rating on Canaccord Genuity Group Inc.’s (CF or the Company) Cumulative Preferred Shares to Pfd-4 (high) from Pfd-3 (low) and maintained the trend at Negative. The Company has a Support Assessment of SA3, which implies no expected systemic support.

The rating downgrade recognizes the considerable headwinds facing all nonbank financial institutions, particularly those with more limited or weaker business models that lack the breadth and scale to overcome significant near-term challenges. CF is a Canadian-based financial institution with $4.5 billion in assets as of Q3 2020, operating in the U.S., the United Kingdom (UK), and Australia, with a focus on capital markets activities and wealth management. Given the abruptness and severity of the economic contraction caused by the Coronavirus Disease (COVID-19), combined with uncertainty about the magnitude or duration of the downturn, DBRS Morningstar has concerns about potential impact on the Company’s capital markets businesses. DBRS Morningstar sees near-term challenges for participants in the capital markets as significant, with potential issues including reduced investment banking volumes, asset value declines, unmet margin calls/collateral liquidation at lower prices, illiquid assets stalled on the balance sheet, and limited market access for funding, all of which could adversely affect the financials of firms such as CF in DBRS Morningstar’s opinion. Additionally, while CF’s trading businesses will likely benefit from the significant market volatility, the magnitude of these revenues will likely be insufficient to offset the other notable headwinds.

In maintaining the Negative trend, DBRS Morningstar notes the leverage utilized in recent wealth management and other acquisitions in Canada, the U.S., the UK, and Australia where CF expected the combined businesses’ success and efficiencies to drive profits and reduce leverage over time. With unsupportive revenue headwinds in wealth management, DBRS Morningstar remains concerned that the impact of the coronavirus-related downturn could impede CF’s ability to comfortably meet contractual payments.

Affected issues are CF.PR.A and CF.PR.C

Amid a long bear market for preferred shares come glimpses of why you might want them in your portfolio

Friday, April 17th, 2020

I’m grateful to Rob Carrick for kindly quoting me in his piece Amid a long bear market for preferred shares come glimpses of why you might want them in your portfolio:

“Common share dividends can be cut quite easily,” said James Hymas, president of Hymas Investment Management Inc. and an authority on preferred shares. “Preferred share dividends can only be cut when the common share dividend goes to zero.”

The preferred share index was down more than 30 per cent from its pre-pandemic peak to its March 23 trough, but then bargain hunters stepped in. “There was a growing sense that the yields available were completely ridiculous,” Mr. Hymas said. “At the bottom, you had the bluest of the blue chip companies yielding 7 per cent on their dividends.”

A quick refresher on falling share prices and dividends: When stocks fall in price, their dividend yield rises. Mr. Hymas said that six months ago, rate reset preferred yields were in the 5.5 to 5.75 per cent range.

Preferred share dividends are more secure than common share dividends, but defaults have happened in rare cases. Mr. Hymas said these defaults are rare because the total amount of preferred share dividends paid out by companies tends to be a comparatively small corporate expense. Also, a company is considered to be financially failing when it suspends preferred share dividends. “It is extremely difficult for a company to get financing once it has pulled that trigger.”

There are two main types of preferred shares – rate resets and perpetuals, which pay a fixed dividend. Perpetuals typically behave more like bonds, rising in price when rates fall and losing ground when rates rise. However, Mr. Hymas said perpetuals have been lumped in with rate resets lately and have not done well, either.

Why consider rate reset preferreds at all, then? Mr. Hymas says their yields are attractive now and would remain so even if they undergo a dividend reset at today’s depressed rates. And, as we wait for the pandemic’s impact on the economy to hurt corporate profits, there’s the added level of security over common share dividends.

The do-not-ignore caveat: Forget about preferred shares altogether if you want a secure investment that doesn’t change much in price. “Preferred shares are volatile beasts and you shouldn’t buy them for preservation of capital,” Mr. Hymas said. “They are all about preservation of income.”

It is a pity that the article uses Current Yield to illustrate the reward side of the case in favour of preferreds, instead of calculating the yield properly as with the yield calculator for Resets. This inaccuracy is particularly glaring with respect to BAM.PR.B, a Floater paying 70% of Canada Prime based on par, so (2.45% * 70%) * 25 = 1.715% * 25 = 0.42875 p.a. The article touts a Current Yield of 9.1% at a price of 7.64, implying a dividend rate of $0.69524 p.a., or 2.78% of par, implying Canada Prime of 3.97% …. this is consistent with the March dividend of $0.172813prime hit 3.95% in October 2018 and was reduced to 3.45% in early March 2020 and then to 2.95% in mid March 2020 and then to 2.45% in late March 2020. Some people are going to be awfully disappointed.

April 16, 2020

Thursday, April 16th, 2020
explosion_200416
Click for Big

The big news today was the US unemployment numbers:

In the last four weeks, the number of unemployment claims has reached 22 million — roughly the net number of jobs created in a nine-and-a-half-year stretch that began after the last recession and ended with the pandemic’s arrival.

The emergency relief enacted by Congress expanded benefits and eligibility to plug holes in an unemployment program that differs from state to state. The act extended jobless benefits to freelancers, part-timers, recent hires and other workers usually ineligible, added a $600 weekly supplement and offered an extra 13 weeks of benefits. But the surge in applicants has tested the ability of state agencies to keep up with claims and payments.

According to the Labor Department, 33 states are now able to pay out the additional $600. One is Washington, where the volume of jobless claims last week was seven times the record pace set in the last recession, said Nick Demerice, public affairs director for the state’s Employment Security Department. A 2017 software upgrade helped avoid the backlogs that have plagued other states, he said.

In Rhode Island, another state where the $600 payment is now available, technology remains a sticking point, said Scott R. Jensen, director of the state’s Department of Labor and Training. Its system is capable of handling a few thousand people daily who call or log in online. On Sunday, the department expects 90,000 people to try to access the system.

TXPR closed at 497.04, down 0.59% on the day, which was about 47bp higher than the day’s low, with a late recovery echoing yesterday’s. Volume today was 2.97-million, low in the context of the past thirty days.

CPD closed at 9.91, down 0.60% on the day. Volume was 152,770, near the median of the past 30 trading days.

ZPR closed at 7.66, down 0.78% on the day. Volume of 230,234 was second-lowest of the past 30 trading days, ahead of only April 15.

Five-year Canada yields were down 2bp to 0.43% today.

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 -2.8803 % 1,345.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.8803 % 2,469.2
Floater 5.71 % 5.93 % 41,073 14.01 4 -2.8803 % 1,423.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0119 % 3,274.2
SplitShare 5.07 % 6.28 % 82,508 3.94 7 -0.0119 % 3,910.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0119 % 3,050.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2549 % 2,761.1
Perpetual-Discount 6.07 % 6.34 % 89,700 13.47 35 -0.2549 % 2,961.5
FixedReset Disc 6.77 % 5.69 % 205,739 14.08 83 -0.4785 % 1,675.9
Deemed-Retractible 5.82 % 6.16 % 101,415 13.48 27 -0.2439 % 2,905.0
FloatingReset 3.33 % 4.91 % 29,732 13.99 4 -0.7196 % 1,695.3
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.4785 % 2,317.7
FixedReset Bank Non 1.97 % 4.59 % 112,750 1.75 3 -0.0277 % 2,702.1
FixedReset Ins Non 7.24 % 5.98 % 128,654 13.35 22 -0.6846 % 1,642.6
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -15.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 6.93 %
TRP.PR.G FixedReset Disc -14.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 7.05 %
HSE.PR.A FixedReset Disc -7.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 4.97
Evaluated at bid price : 4.97
Bid-YTW : 11.31 %
BAM.PR.X FixedReset Disc -6.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 6.46 %
MFC.PR.F FixedReset Ins Non -5.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 8.01
Evaluated at bid price : 8.01
Bid-YTW : 5.98 %
PWF.PR.A Floater -4.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 8.18
Evaluated at bid price : 8.18
Bid-YTW : 5.32 %
TRP.PR.B FixedReset Disc -4.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 7.99
Evaluated at bid price : 7.99
Bid-YTW : 5.50 %
GWO.PR.N FixedReset Ins Non -4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 8.52
Evaluated at bid price : 8.52
Bid-YTW : 5.25 %
SLF.PR.G FixedReset Ins Non -4.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 8.46
Evaluated at bid price : 8.46
Bid-YTW : 5.58 %
TRP.PR.C FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 8.21
Evaluated at bid price : 8.21
Bid-YTW : 6.15 %
TD.PF.D FixedReset Disc -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 5.64 %
MFC.PR.I FixedReset Ins Non -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 6.27 %
CM.PR.R FixedReset Disc -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.09 %
SLF.PR.J FloatingReset -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.05 %
HSE.PR.E FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 8.75
Evaluated at bid price : 8.75
Bid-YTW : 12.52 %
CU.PR.I FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 22.19
Evaluated at bid price : 22.90
Bid-YTW : 4.94 %
SLF.PR.I FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 6.13 %
BAM.PR.C Floater -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 7.30
Evaluated at bid price : 7.30
Bid-YTW : 5.93 %
RY.PR.Q FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 22.60
Evaluated at bid price : 23.10
Bid-YTW : 5.50 %
BIP.PR.A FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 7.63 %
NA.PR.E FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.94 %
BAM.PR.K Floater -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 7.27
Evaluated at bid price : 7.27
Bid-YTW : 5.96 %
PVS.PR.G SplitShare -2.08 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.28 %
RY.PR.J FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.42 %
MFC.PR.N FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 12.76
Evaluated at bid price : 12.76
Bid-YTW : 6.01 %
BNS.PR.G FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 23.34
Evaluated at bid price : 23.82
Bid-YTW : 5.46 %
GWO.PR.H Deemed-Retractible -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.30 %
PWF.PR.P FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 5.78 %
POW.PR.B Perpetual-Discount -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.47 %
BMO.PR.D FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 5.87 %
PWF.PR.S Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.31 %
POW.PR.G Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 21.45
Evaluated at bid price : 21.76
Bid-YTW : 6.47 %
BAM.PF.G FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 6.25 %
BNS.PR.H FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 21.26
Evaluated at bid price : 21.53
Bid-YTW : 5.43 %
GWO.PR.R Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 6.19 %
POW.PR.D Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.45 %
TRP.PR.F FloatingReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 9.43
Evaluated at bid price : 9.43
Bid-YTW : 5.94 %
W.PR.M FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 21.68
Evaluated at bid price : 22.12
Bid-YTW : 5.90 %
BAM.PR.R FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.33 %
BAM.PR.B Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 7.26
Evaluated at bid price : 7.26
Bid-YTW : 5.96 %
BMO.PR.W FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 5.61 %
IFC.PR.A FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 10.32
Evaluated at bid price : 10.32
Bid-YTW : 5.82 %
SLF.PR.H FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 11.37
Evaluated at bid price : 11.37
Bid-YTW : 5.88 %
CU.PR.H Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 21.74
Evaluated at bid price : 22.10
Bid-YTW : 6.02 %
RY.PR.H FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.37 %
MFC.PR.B Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 6.23 %
IFC.PR.G FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.93 %
BMO.PR.F FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.55 %
NA.PR.G FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 5.87 %
CCS.PR.C Deemed-Retractible 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 6.03 %
BIP.PR.B FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.56 %
BIP.PR.E FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.84 %
PWF.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 6.10 %
NA.PR.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 21.81
Evaluated at bid price : 22.31
Bid-YTW : 5.74 %
W.PR.K FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 21.61
Evaluated at bid price : 21.99
Bid-YTW : 5.99 %
BNS.PR.I FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 16.44
Evaluated at bid price : 16.44
Bid-YTW : 5.04 %
BIP.PR.D FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.55 %
BAM.PF.A FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 6.17 %
HSE.PR.C FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 8.60
Evaluated at bid price : 8.60
Bid-YTW : 12.02 %
CM.PR.Y FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.54 %
PVS.PR.H SplitShare 1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.75 %
MFC.PR.J FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.97 %
BIP.PR.F FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.38 %
TRP.PR.K FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 22.38
Evaluated at bid price : 22.67
Bid-YTW : 5.47 %
MFC.PR.M FixedReset Ins Non 3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.98 %
CU.PR.C FixedReset Disc 4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.98 %
BIP.PR.C FixedReset Disc 4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.H FloatingReset 263,247 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 8.11
Evaluated at bid price : 8.11
Bid-YTW : 4.91 %
RY.PR.J FixedReset Disc 154,673 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.42 %
MFC.PR.J FixedReset Ins Non 130,375 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.97 %
IAF.PR.I FixedReset Ins Non 120,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 6.21 %
CM.PR.R FixedReset Disc 98,095 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.09 %
IFC.PR.A FixedReset Ins Non 75,077 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 10.32
Evaluated at bid price : 10.32
Bid-YTW : 5.82 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.M FixedReset Disc Quote: 19.77 – 24.65
Spot Rate : 4.8800
Average : 4.1270

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.46 %

TRP.PR.A FixedReset Disc Quote: 9.90 – 12.01
Spot Rate : 2.1100
Average : 1.3898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 6.93 %

BIP.PR.E FixedReset Disc Quote: 18.50 – 20.75
Spot Rate : 2.2500
Average : 1.7793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.84 %

RY.PR.P Perpetual-Discount Quote: 23.76 – 24.99
Spot Rate : 1.2300
Average : 0.7674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 23.32
Evaluated at bid price : 23.76
Bid-YTW : 5.59 %

CM.PR.T FixedReset Disc Quote: 17.98 – 19.00
Spot Rate : 1.0200
Average : 0.6260

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 5.74 %

TD.PF.D FixedReset Disc Quote: 14.51 – 15.70
Spot Rate : 1.1900
Average : 0.8172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-16
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 5.64 %

April 15, 2020

Wednesday, April 15th, 2020
explosion_200415
Click for Big

Retail sales in America were “pretty catastrophic“:

Retail sales plunged in March, offering a grim snapshot of the coronavirus outbreak’s effect on consumer spending, as businesses shuttered from coast to coast and wary shoppers restricted their spending.

Total sales, which include retail purchases in stores and online as well as money spent at bars and restaurants, fell 8.7 percent from the previous month, the Commerce Department said Wednesday. The decline was by far the largest in the nearly three decades the government has tracked the data.

Even that bleak figure doesn’t capture the full impact of the sudden economic freeze on the retail industry. Most states didn’t shut down nonessential businesses until late March or early April, meaning data for the current month could be worse still.

… and business was even worse in Canada:

The Canadian economy plunged by about 9 per cent in March, and the Bank of Canada expects the downturn to be the “sharpest on record” as COVID-19 inflicts devastation on business activity.

In a preliminary estimate, Statistics Canada on Wednesday said March’s decline in gross domestic product would be the largest one-month contraction in records dating back to 1961. For the entire first quarter, GDP would decline by 2.6 per cent, or greater than a 10-per-cent drop at an annualized rate.

Under normal circumstances, Statscan releases its March GDP figures in May. However, given the swift downturn resulting from the novel coronavirus, Canada’s national statistical agency moved to publish a timelier estimate of activity. Statscan stressed that the estimates will change once more information is used in the full report released next month.

So bad, in fact, that the Bank of Canada has given up on statistics:

The Bank of Canada made the extraordinary move of omitting eagerly awaited new economic projections from its quarterly Monetary Policy Report Wednesday, saying that forecasting can’t be done “with any degree of confidence” in light of the uncertainty surrounding the COVID-19 crisis.

Instead, the bank outlined in its quarterly update alternative scenarios that would affect the pace of recovery from the economic shock delivered by the pandemic, which has triggered government-imposed business shutdowns, massive unemployment and a severe slump in oil prices.

In terms of a near-term forecast, the bank would only say that its “scenario analysis” indicates that real gross domestic product would be between 15 and 30 per cent lower in the second quarter (April through June) than it was in the fourth quarter of 2019, after an estimated decline of 1 to 3 per cent in the first quarter, on a quarter-over-quarter basis. It also predicted that the second-quarter inflation rate would be “close to zero per cent,” slumping from slightly above the central bank’s 2-per-cent target in February, before the COVID-19 shock derailed the Canadian economy.

The BoC’s press release was unusually lengthy:

The Bank of Canada today maintained its target for the overnight rate at ¼ percent, which the Bank considers its effective lower bound. The Bank Rate is correspondingly ½ percent and the deposit rate is ¼ percent. The Bank also announced new measures to provide additional support to Canada’s financial system.

The necessary efforts to contain the COVID-19 pandemic have caused a sudden and deep contraction in economic activity and employment worldwide. In financial markets, this has driven a flight to safety and a sharp repricing of a wide range of assets. It has also pushed down prices for commodities, especially oil. In this environment, the Canadian dollar has depreciated since January, although by less than many other currencies. The sudden halt in global activity will be followed by regional recoveries at different times, depending on the duration and severity of the outbreak in each region. This means that the global economic recovery, when it comes, could be protracted and uneven.

The Canadian economy was in a solid position ahead of the COVID-19 outbreak, but has since been hit by widespread shutdowns and lower oil prices. One early measure of the extent of the damage was an unprecedented drop in employment in March, with more than one million jobs lost across Canada. Many more workers reported shorter hours, and by early April some six million Canadians had applied for the Canada Emergency Response Benefit.

The outlook is too uncertain at this point to provide a complete forecast. However, Bank analysis of alternative scenarios suggests the level of real activity was down 1-3 percent in the first quarter of 2020, and will be 15-30 percent lower in the second quarter than in fourth-quarter 2019. CPI inflation is expected to be close to 0 percent in the second quarter of 2020. This is primarily due to the transitory effects of lower gasoline prices.

The pandemic-driven contraction has prompted decisive policy action to support individuals and businesses and to lay the foundation for economic recovery once containment measures start to ease. Fiscal programs, designed to expand according to the magnitude of the shock, will help individuals and businesses weather this shutdown phase of the pandemic, and support incomes and confidence leading into the recovery. These programs have been complemented by actions taken by other federal agencies and provincial governments.

For its part, the Bank of Canada has taken measures to improve market function so that monetary policy actions have their intended effect on the economy. This helps ensure that households and businesses continue to have access to the credit they need to bridge this difficult time, and that lower interest rates find their way to ultimate borrowers. The Bank has lowered its target for the overnight rate 150 basis points over the last three weeks, to its effective lower bound. It has also conducted lending operations to financial institutions and asset purchases in core funding markets amounting to around $200 billion.

These actions have served to ease market dysfunction and help keep credit channels open, although they remain strained. The next challenge for markets will be managing increased demand for near-term financing by federal and provincial governments, and businesses and households. The situation calls for special actions by the central bank. To this end, the Bank is furthering its efforts with several important steps.

Under its previously-announced program, the Bank will continue to purchase at least $5 billion in Government of Canada securities per week in the secondary market, and will increase the level of purchases as required to maintain proper functioning of the government bond market. Also, the Bank is temporarily increasing the amount of Treasury Bills it acquires at auctions to up to 40 percent, effective immediately.

The Bank is also announcing today the development of a new Provincial Bond Purchase Program of up to $50 billion, to supplement its Provincial Money Market Purchase Program. Further, the Bank is announcing a new Corporate Bond Purchase Program, in which the Bank will acquire up to a total of $10 billion in investment grade corporate bonds in the secondary market. Both of these programs will be put in place in the coming weeks. Finally, the Bank is further enhancing its term repo facility to permit funding for up to 24 months.

These measures will work in combination to ease pressure on Canadian borrowers. As containment restrictions are eased and economic activity resumes, fiscal and monetary policy actions will help underpin confidence and stimulate spending by consumers and businesses to restore growth. The Bank’s Governing Council stands ready to adjust the scale or duration of its programs if necessary. All the Bank’s actions are aimed at helping to bridge the current period of containment and create the conditions for a sustainable recovery and achievement of the inflation target over time.

And the markets took all this poorly:

A double whammy of economic data showing the U.S. economy in a deep downturn and reports of persistent crude oil oversupply and collapsing demand slammed global markets on Wednesday as vivid reminders of the damage from coronavirus-related lockdowns.

Oil prices sank after the International Energy Agency (IEA) forecast a 29-million-barrel per day dive in April crude demand to levels not seen in 25 years and said no output cut could fully offset the near-term decline facing the market.

The Toronto Stock Exchange’s S&P/TSX composite index fell 2.1% to 13,958.58, pulling back from a one-month high on Tuesday, as dismal first-quarter earnings reports weighed on U.S. stocks.

The heavily weighted financial sector fell 3.4%, while the energy group was down 5.3%.

Canadian bond yields fell and the loonie slumped to a one-week low as the Bank of Canada broadened the suite of assets it is purchasing to cushion the economic blow of the coronavirus pandemic.

The Dow Jones Industrial Average fell 442.91 points, or 1.85%, to 23,506.85, the S&P 500 lost 62.24 points, or 2.19%, to 2,783.82 and the Nasdaq Composite dropped 122.56 points, or 1.44%, to 8,393.18.

TXPR closed at 500.01, down 0.73% on the day, which was about 60bp higher than the day’s low. Volume today was 3.19-million, relatively low in the context of the past thirty days.

CPD closed at 9.97, down 1.29% on the day. Volume was 85,285, second-lowest of the past 30 trading days, ahead of only April 14.

ZPR closed at 7.72, down 1.15% on the day. Volume of 142,781 was the lowest of the past 30 trading days, below second-place April 3, when volume was 165,030.

Five-year Canada yields were down 9bp to 0.45% today.

PerpetualDiscounts now yield 6.30%, equivalent to 8.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed, to 445bp from the 455bp reported April 8 – just little narrower than the old record set on November 26, 2008 when trouble with the BCE buyout caused a short-lived spike in PerpetualDiscount bid yields, moving the Seniority Spread to 445bp.

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 -2.9218 % 1,385.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.9218 % 2,542.4
Floater 5.55 % 5.77 % 40,624 14.25 4 -2.9218 % 1,465.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2617 % 3,274.6
SplitShare 5.07 % 6.11 % 82,778 3.94 7 -0.2617 % 3,910.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2617 % 3,051.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6068 % 2,768.1
Perpetual-Discount 6.05 % 6.30 % 89,531 13.49 35 -0.6068 % 2,969.1
FixedReset Disc 6.73 % 5.66 % 206,291 14.03 83 -1.5130 % 1,684.0
Deemed-Retractible 5.81 % 6.16 % 101,231 13.48 27 -0.8524 % 2,912.1
FloatingReset 3.31 % 4.91 % 30,075 14.11 4 -0.2328 % 1,707.6
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -1.5130 % 2,328.9
FixedReset Bank Non 1.97 % 4.54 % 112,027 1.75 3 0.0139 % 2,702.9
FixedReset Ins Non 7.19 % 5.92 % 125,066 13.45 22 -2.2836 % 1,653.9
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset Disc -6.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 6.92 %
HSE.PR.C FixedReset Disc -6.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 12.25 %
BAM.PR.B Floater -5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 7.35
Evaluated at bid price : 7.35
Bid-YTW : 5.89 %
BIP.PR.C FixedReset Disc -4.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.73 %
IAF.PR.G FixedReset Ins Non -4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 6.38 %
BIP.PR.D FixedReset Disc -4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.65 %
MFC.PR.G FixedReset Ins Non -4.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.38 %
MFC.PR.J FixedReset Ins Non -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.10 %
BIP.PR.B FixedReset Disc -4.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.64 %
TD.PF.E FixedReset Disc -4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.60 %
BIP.PR.A FixedReset Disc -3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 7.43 %
TRP.PR.E FixedReset Disc -3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 12.41
Evaluated at bid price : 12.41
Bid-YTW : 6.22 %
BAM.PF.B FixedReset Disc -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.17 %
BAM.PF.A FixedReset Disc -3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 6.28 %
CU.PR.C FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.19 %
NA.PR.A FixedReset Disc -3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.83 %
PWF.PR.T FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 6.18 %
BAM.PR.K Floater -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 7.45
Evaluated at bid price : 7.45
Bid-YTW : 5.81 %
W.PR.K FixedReset Disc -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 21.38
Evaluated at bid price : 21.68
Bid-YTW : 6.08 %
TRP.PR.H FloatingReset -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 8.11
Evaluated at bid price : 8.11
Bid-YTW : 4.91 %
MFC.PR.M FixedReset Ins Non -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 6.23 %
MFC.PR.F FixedReset Ins Non -3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 8.46
Evaluated at bid price : 8.46
Bid-YTW : 5.65 %
HSE.PR.G FixedReset Disc -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 12.30 %
HSE.PR.A FixedReset Disc -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 5.40
Evaluated at bid price : 5.40
Bid-YTW : 10.39 %
BAM.PR.C Floater -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.77 %
TRP.PR.C FixedReset Disc -2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 8.52
Evaluated at bid price : 8.52
Bid-YTW : 5.92 %
MFC.PR.K FixedReset Ins Non -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 5.92 %
SLF.PR.G FixedReset Ins Non -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 8.85
Evaluated at bid price : 8.85
Bid-YTW : 5.33 %
MFC.PR.R FixedReset Ins Non -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.22 %
GWO.PR.N FixedReset Ins Non -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 8.92
Evaluated at bid price : 8.92
Bid-YTW : 5.01 %
CM.PR.T FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 5.75 %
IFC.PR.A FixedReset Ins Non -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 10.44
Evaluated at bid price : 10.44
Bid-YTW : 5.75 %
BAM.PF.F FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 6.29 %
MFC.PR.C Deemed-Retractible -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.25 %
BAM.PF.G FixedReset Disc -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.15 %
IAF.PR.I FixedReset Ins Non -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 6.20 %
CCS.PR.C Deemed-Retractible -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.10 %
BAM.PR.R FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 11.24
Evaluated at bid price : 11.24
Bid-YTW : 6.24 %
CM.PR.Q FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 5.99 %
BMO.PR.T FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 5.59 %
BAM.PR.Z FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.27 %
BAM.PF.J FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.61 %
NA.PR.X FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 22.73
Evaluated at bid price : 23.25
Bid-YTW : 5.76 %
BMO.PR.E FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.40 %
TRP.PR.D FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.11 %
EML.PR.A FixedReset Ins Non -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 21.80
Evaluated at bid price : 22.28
Bid-YTW : 6.15 %
CM.PR.P FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 5.76 %
TRP.PR.J FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 22.74
Evaluated at bid price : 23.25
Bid-YTW : 5.99 %
PWF.PR.H Perpetual-Discount -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 6.40 %
BAM.PR.T FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.27 %
HSE.PR.E FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 12.15 %
MFC.PR.B Deemed-Retractible -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.16 %
BAM.PF.E FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.32 %
BAM.PF.H FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 22.26
Evaluated at bid price : 23.02
Bid-YTW : 5.44 %
TD.PF.L FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 5.43 %
SLF.PR.H FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 5.81 %
NA.PR.W FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 5.76 %
IFC.PR.C FixedReset Ins Non -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.91 %
BNS.PR.I FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.12 %
SLF.PR.E Deemed-Retractible -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.16 %
BIK.PR.A FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 21.72
Evaluated at bid price : 22.05
Bid-YTW : 6.69 %
SLF.PR.I FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.79
Evaluated at bid price : 13.79
Bid-YTW : 5.96 %
MFC.PR.Q FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 5.89 %
BMO.PR.Y FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.72 %
TD.PF.C FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 5.49 %
MFC.PR.I FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 6.06 %
RY.PR.M FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 5.37 %
CM.PR.R FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 5.89 %
BIP.PR.F FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.53 %
TD.PF.D FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.45 %
TRP.PR.B FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 8.40
Evaluated at bid price : 8.40
Bid-YTW : 5.23 %
PWF.PR.Z Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 6.30 %
BAM.PR.X FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 9.70
Evaluated at bid price : 9.70
Bid-YTW : 6.05 %
MFC.PR.L FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 5.76 %
MFC.PR.O FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 22.84
Evaluated at bid price : 23.34
Bid-YTW : 5.87 %
PWF.PR.S Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.21 %
TD.PF.A FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 5.44 %
RY.PR.J FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.31 %
NA.PR.S FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.86 %
BAM.PF.D Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.34 %
TD.PF.K FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.27 %
BMO.PR.S FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 5.66 %
GWO.PR.S Deemed-Retractible -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.39 %
TD.PF.J FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 5.16 %
GWO.PR.F Deemed-Retractible -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 23.32
Evaluated at bid price : 23.60
Bid-YTW : 6.30 %
GWO.PR.P Deemed-Retractible -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 21.37
Evaluated at bid price : 21.64
Bid-YTW : 6.29 %
RY.PR.Z FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 5.25 %
BMO.PR.D FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 5.78 %
NA.PR.C FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 5.98 %
PWF.PR.I Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 6.40 %
MFC.PR.N FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.89 %
TD.PF.B FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.79
Evaluated at bid price : 13.79
Bid-YTW : 5.41 %
SLF.PR.A Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.11 %
RY.PR.P Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 23.23
Evaluated at bid price : 23.70
Bid-YTW : 5.61 %
SLF.PR.B Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.06 %
RY.PR.S FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.94 %
BMO.PR.W FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 5.54 %
GWO.PR.I Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 6.25 %
SLF.PR.C Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 6.12 %
CM.PR.S FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 5.57 %
BAM.PR.N Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 6.37 %
TRP.PR.F FloatingReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 9.55
Evaluated at bid price : 9.55
Bid-YTW : 5.87 %
PWF.PR.E Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.34 %
GWO.PR.M Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 22.64
Evaluated at bid price : 22.89
Bid-YTW : 6.39 %
BAM.PR.M Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.30 %
POW.PR.C Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 6.43 %
BAM.PF.C Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.36 %
CM.PR.O FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 5.81 %
PVS.PR.E SplitShare -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 6.93 %
CU.PR.F Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.77 %
TD.PF.F Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 22.11
Evaluated at bid price : 22.47
Bid-YTW : 5.45 %
NA.PR.E FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 5.79 %
TRP.PR.A FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 11.78
Evaluated at bid price : 11.78
Bid-YTW : 5.75 %
IFC.PR.G FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.86 %
SLF.PR.J FloatingReset 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 8.78
Evaluated at bid price : 8.78
Bid-YTW : 4.91 %
PWF.PR.P FixedReset Disc 12.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 9.15
Evaluated at bid price : 9.15
Bid-YTW : 5.69 %
TRP.PR.G FixedReset Disc 16.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 6.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.K FixedReset Ins Non 237,322 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 5.92 %
BNS.PR.E FixedReset Disc 65,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 22.01
Evaluated at bid price : 22.62
Bid-YTW : 5.51 %
RY.PR.E Deemed-Retractible 49,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 5.96 %
HSE.PR.C FixedReset Disc 49,145 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 12.25 %
TD.PF.M FixedReset Disc 47,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 5.51 %
HSE.PR.E FixedReset Disc 46,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 12.15 %
There were 59 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.M FixedReset Disc Quote: 19.58 – 24.65
Spot Rate : 5.0700
Average : 3.3014

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 5.51 %

BAM.PF.B FixedReset Disc Quote: 14.00 – 16.60
Spot Rate : 2.6000
Average : 1.5745

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.17 %

BIP.PR.E FixedReset Disc Quote: 18.27 – 20.35
Spot Rate : 2.0800
Average : 1.2632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 6.92 %

W.PR.K FixedReset Disc Quote: 21.68 – 24.00
Spot Rate : 2.3200
Average : 1.6775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 21.38
Evaluated at bid price : 21.68
Bid-YTW : 6.08 %

CM.PR.Y FixedReset Disc Quote: 19.40 – 21.00
Spot Rate : 1.6000
Average : 1.0169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.65 %

MFC.PR.H FixedReset Ins Non Quote: 15.04 – 16.83
Spot Rate : 1.7900
Average : 1.2717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-15
Maturity Price : 15.04
Evaluated at bid price : 15.04
Bid-YTW : 6.19 %

April 14, 2020

Tuesday, April 14th, 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 1.3372 % 1,427.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3372 % 2,618.9
Floater 5.39 % 5.57 % 40,544 14.57 4 1.3372 % 1,509.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.6404 % 3,283.2
SplitShare 5.06 % 6.08 % 86,091 3.95 7 0.6404 % 3,920.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.6404 % 3,059.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 1.0376 % 2,785.0
Perpetual-Discount 6.02 % 6.25 % 89,480 13.56 35 1.0376 % 2,987.2
FixedReset Disc 6.63 % 5.74 % 203,172 14.00 83 0.5841 % 1,709.8
Deemed-Retractible 5.76 % 6.05 % 99,014 13.59 27 1.0033 % 2,937.1
FloatingReset 3.19 % 4.56 % 30,374 14.46 4 0.9994 % 1,711.5
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.5841 % 2,364.7
FixedReset Bank Non 1.97 % 4.89 % 110,125 1.75 3 -0.0554 % 2,702.5
FixedReset Ins Non 7.02 % 6.01 % 123,422 13.41 22 0.7290 % 1,692.5
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -10.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.74 %
HSE.PR.A FixedReset Disc -5.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 5.57
Evaluated at bid price : 5.57
Bid-YTW : 10.58 %
NA.PR.E FixedReset Disc -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.06 %
SLF.PR.J FloatingReset -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 8.51
Evaluated at bid price : 8.51
Bid-YTW : 4.89 %
MFC.PR.H FixedReset Ins Non -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 15.16
Evaluated at bid price : 15.16
Bid-YTW : 6.32 %
HSE.PR.C FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 11.64 %
W.PR.M FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.25
Evaluated at bid price : 22.62
Bid-YTW : 5.77 %
HSE.PR.G FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 8.51
Evaluated at bid price : 8.51
Bid-YTW : 12.28 %
BIP.PR.C FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.40 %
MFC.PR.R FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.19 %
BAM.PR.T FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 6.37 %
MFC.PR.O FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 23.21
Evaluated at bid price : 23.71
Bid-YTW : 5.90 %
PVS.PR.H SplitShare -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 6.08 %
BIP.PR.B FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 6.33 %
BAM.PF.A FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 15.58
Evaluated at bid price : 15.58
Bid-YTW : 6.19 %
NA.PR.X FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 23.27
Evaluated at bid price : 23.80
Bid-YTW : 5.74 %
PWF.PR.A Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 8.61
Evaluated at bid price : 8.61
Bid-YTW : 5.05 %
MFC.PR.K FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.93 %
TD.PF.B FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 13.97
Evaluated at bid price : 13.97
Bid-YTW : 5.51 %
BMO.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 5.75 %
SLF.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.04 %
RY.PR.N Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.13
Evaluated at bid price : 22.50
Bid-YTW : 5.51 %
CM.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.71 %
BNS.PR.H FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 5.50 %
CU.PR.G Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.83 %
POW.PR.C Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.71
Evaluated at bid price : 22.95
Bid-YTW : 6.35 %
BMO.PR.T FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.62 %
BAM.PF.C Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 6.29 %
GWO.PR.I Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.17 %
BAM.PF.G FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 6.21 %
PWF.PR.I Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 23.54
Evaluated at bid price : 23.81
Bid-YTW : 6.32 %
GWO.PR.S Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.30 %
EIT.PR.A SplitShare 1.22 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.93 %
GWO.PR.F Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 23.67
Evaluated at bid price : 23.94
Bid-YTW : 6.21 %
POW.PR.D Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.36 %
POW.PR.B Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.33 %
CU.PR.D Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.86 %
IFC.PR.I Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 5.88 %
SLF.PR.A Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.03 %
GWO.PR.L Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.30 %
MFC.PR.N FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 13.18
Evaluated at bid price : 13.18
Bid-YTW : 5.98 %
GWO.PR.H Deemed-Retractible 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 6.18 %
BAM.PF.D Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.25 %
PWF.PR.R Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.74
Evaluated at bid price : 22.07
Bid-YTW : 6.24 %
BAM.PR.M Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.23 %
CM.PR.Q FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.05 %
MFC.PR.Q FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 5.95 %
IAF.PR.G FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.28 %
GWO.PR.Q Deemed-Retractible 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.27 %
IAF.PR.B Deemed-Retractible 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.00 %
RY.PR.Z FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.34 %
TD.PF.L FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.45 %
BAM.PF.B FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 6.09 %
PWF.PR.F Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.31 %
GWO.PR.G Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.29 %
PWF.PR.H Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.26 %
PWF.PR.O Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 6.35 %
GWO.PR.P Deemed-Retractible 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.70
Evaluated at bid price : 21.95
Bid-YTW : 6.20 %
BAM.PR.B Floater 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 7.77
Evaluated at bid price : 7.77
Bid-YTW : 5.57 %
CU.PR.H Perpetual-Discount 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.16
Evaluated at bid price : 22.52
Bid-YTW : 5.90 %
CCS.PR.C Deemed-Retractible 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.94 %
PWF.PR.G Perpetual-Discount 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 6.29 %
TD.PF.E FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 5.55 %
SLF.PR.I FixedReset Ins Non 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.04
Evaluated at bid price : 14.04
Bid-YTW : 6.05 %
BIP.PR.D FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.35 %
TRP.PR.C FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 8.78
Evaluated at bid price : 8.78
Bid-YTW : 6.08 %
MFC.PR.F FixedReset Ins Non 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 8.75
Evaluated at bid price : 8.75
Bid-YTW : 5.79 %
EIT.PR.B SplitShare 2.13 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.87 %
PWF.PR.Z Perpetual-Discount 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 6.20 %
BAM.PR.C Floater 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 7.73
Evaluated at bid price : 7.73
Bid-YTW : 5.60 %
PWF.PR.S Perpetual-Discount 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.12 %
BIK.PR.A FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.00
Evaluated at bid price : 22.45
Bid-YTW : 6.56 %
CM.PR.P FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 13.62
Evaluated at bid price : 13.62
Bid-YTW : 5.78 %
IFC.PR.C FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 6.01 %
BAM.PR.K Floater 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 7.72
Evaluated at bid price : 7.72
Bid-YTW : 5.60 %
EML.PR.A FixedReset Ins Non 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.12
Evaluated at bid price : 22.80
Bid-YTW : 6.13 %
CU.PR.E Perpetual-Discount 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.84 %
BMO.PR.Y FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.83 %
BAM.PR.Z FixedReset Disc 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 6.28 %
CM.PR.R FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.95 %
RY.PR.M FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 5.47 %
CU.PR.C FixedReset Disc 3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.18 %
SLF.PR.G FixedReset Ins Non 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 5.52 %
TRP.PR.B FixedReset Disc 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 8.54
Evaluated at bid price : 8.54
Bid-YTW : 5.50 %
CU.PR.I FixedReset Disc 4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.83
Evaluated at bid price : 23.52
Bid-YTW : 4.80 %
MFC.PR.C Deemed-Retractible 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.08 %
TRP.PR.K FixedReset Disc 4.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 5.63 %
GWO.PR.N FixedReset Ins Non 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 9.17
Evaluated at bid price : 9.17
Bid-YTW : 5.20 %
IFC.PR.A FixedReset Ins Non 4.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 10.73
Evaluated at bid price : 10.73
Bid-YTW : 5.83 %
BAM.PR.X FixedReset Disc 8.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 9.86
Evaluated at bid price : 9.86
Bid-YTW : 6.22 %
TRP.PR.H FloatingReset 8.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 8.40
Evaluated at bid price : 8.40
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSE.PR.G FixedReset Disc 104,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 8.51
Evaluated at bid price : 8.51
Bid-YTW : 12.28 %
TD.PF.G FixedReset Disc 89,646 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.77
Evaluated at bid price : 23.30
Bid-YTW : 5.63 %
TD.PF.J FixedReset Disc 83,516 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 5.24 %
NA.PR.E FixedReset Disc 54,490 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.06 %
GWO.PR.N FixedReset Ins Non 41,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 9.17
Evaluated at bid price : 9.17
Bid-YTW : 5.20 %
HSE.PR.C FixedReset Disc 39,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 11.64 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.I FixedReset Disc Quote: 16.73 – 19.18
Spot Rate : 2.4500
Average : 1.4966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 5.61 %

PWF.PR.P FixedReset Disc Quote: 8.15 – 9.93
Spot Rate : 1.7800
Average : 1.3252

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.74 %

CCS.PR.C Deemed-Retractible Quote: 21.25 – 22.75
Spot Rate : 1.5000
Average : 1.0652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.94 %

IFC.PR.G FixedReset Ins Non Quote: 14.31 – 15.79
Spot Rate : 1.4800
Average : 1.0502

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 6.15 %

IAF.PR.B Deemed-Retractible Quote: 19.36 – 20.36
Spot Rate : 1.0000
Average : 0.7405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.00 %

NA.PR.A FixedReset Disc Quote: 22.81 – 23.90
Spot Rate : 1.0900
Average : 0.8618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-04-14
Maturity Price : 22.39
Evaluated at bid price : 22.81
Bid-YTW : 5.74 %

FFH Warns of Big 20Q1 Loss

Tuesday, April 14th, 2020

Fairfax Financial Holdings Limited has announced:

preliminary unaudited financial information which will be finalized for the Company’s first quarter of 2020 unaudited financial results, including information reflecting key developments as a result of the COVID-19 pandemic and its impact on global financial markets. We are currently estimating a net loss in the first quarter of 2020 of approximately $1.4 billion and an approximate 12% decrease in book value adjusted for the $10 per common share dividend paid in the first quarter of 2020.

  • “These are unprecedented turbulent times and we wanted to provide our shareholders with preliminary indications of some key developments for Fairfax’s first quarter of 2020 financial results. Our insurance companies continued to have strong underwriting performance in the first quarter of 2020 with a consolidated combined ratio below 100%, favourable reserve development and strong growth in gross premiums written of approximately 12%. Net losses on investments currently estimated at approximately $1.5 billion primarily reflects unrealized losses in the fair value of our common stock and bond portfolio from the sudden shock of COVID -19 and reverses a significant amount of the $1.7 billion net gains on investments we reported in 2019. We remain focused on continuing to be soundly financed and have drawn on our credit facility solely to ensure that we maintain high levels of liquid assets during these uncertain times. Fairfax had approximately $2.5 billion in cash and marketable securities in its holding company at March 31, 2020,” said Prem Watsa, Chair and Chief Executive Officer.

  • Since mid-March 2020, Fairfax has been reinvesting its cash and short term investments into higher yielding investment grade U.S. corporate bonds with an average maturity date of 4 years and average interest rates of 4.25%, that will benefit interest income in the future. To date, taking advantage of the increase in corporate spreads, Fairfax has purchased about $2.9 billion of such bonds.
  • Share of losses of associates of approximately $250 million will reflect impairment losses related to Fairfax’s investments in Quess, Resolute and Astarta of approximately $200 million, as well as the Company’s share of losses of associates.
  • Net losses on investments of approximately $1.5 billion will reflect unrealized losses on the Company’s equity and equity-related holdings and bonds.
  • Fairfax has drawn, solely as extra security, approximately $1.8 billion from its credit facility for liquidity purposes to support its insurance and reinsurance operations if these unprecedented turbulent times continue for an extended period. Fairfax was able to borrow these funds at no net cost to the Company as we were able to reinvest the proceeds into short term investments at a favourable spread while maintaining access to the funds if needed. Including the approximately $600 million proceeds from the sale of its 40% interest in Fairfax’s UK run-off group, RiverStone UK, which closed on March 31, 2020, Fairfax had approximately $2.5 billion cash and marketable securities in its holding company at March 31, 2020. During the first quarter of 2020, Fairfax utilized approximately $400 million and $300 million of its cash and marketable securities to provide capital support to its insurance and reinsurance operations and to pay common and preferred share dividends, respectively.
  • At March 31, 2020, the decrease in common shareholders’ equity will primarily be as a result of a net loss currently estimated at approximately $1.4 billion, principally from net losses on investments, unrealized foreign currency translation losses of approximately $200 million on foreign subsidiaries and foreign operations which will be recorded in accumulated other comprehensive income as a component of common shareholders’ equity on the consolidated balance sheet (principally as a result of the strengthening of the U.S. dollar), and the payment in the first quarter of the annual common share dividend of approximately $276 million.

This was released early on the evening of April 14, according to Globe Newswire, so the market has not reacted at time of writing.

Affected issues are: FFH.PR.C, FFH.PR.D, FFH.PR.E, FFH.PR.F, FFH.PR.G, FFH.PR.H, FFH.PR.I, FFH.PR.J, FFH.PR.K and FFH.PR.M