Archive for August, 2020

NPI.PR.A To Reset To 3.20%

Monday, August 31st, 2020

Northland Power Inc. has announced:

that pursuant to the share terms in respect of the Cumulative Rate Reset Preferred Shares, Series 1 (“Series 1 Shares”), it has determined the fixed dividend rate for the five years commencing September 30, 2020 and ending September 29, 2025. The fixed quarterly dividends on the Series 1 Shares during that period will be paid at an annual rate of 3.2% (Cdn. $0.2001 per share per quarter).

The quarterly floating rate dividends on the Cumulative Floating Rate Preferred Shares, Series 2 (the “Series 2 Shares”) will be paid at an annual rate, calculated for each quarter, of 2.80% over the annual yield on 90-day Government of Canada treasury bills. The actual quarterly dividend rate in respect of the September 30, 2020 to December 30, 2020 dividend period for the Series 2 Shares will be 0.74% (2.95% on an annualized basis) and the dividend, if and when declared, for such dividend period will be Cdn. $0.1859 per share, payable on December 31, 2020.

Holders of Series 1 Shares and Series 2 Shares have the right, at their option, exercisable not later than 5:00 pm (Toronto time) on September 15, 2020, to convert all or part of their Series 1 Shares or Series 2 Shares, as applicable, on a one-for-one basis, into shares of the other series, effective September 30, 2020.

Holders of either Series 1 Shares or Series 2 Shares are not required to elect to convert all or any part of their shares.

As provided in the share conditions for each of the Series 1 Shares and the Series 2 Shares, if Northland determines that after giving effect to all notices of conversion of Series 1 Shares and Series 2 Shares there would be fewer than 1,000,000 Series 1 Shares or Series 2 Shares outstanding after September 30, 2020, (i) all remaining shares of the series for which there would be fewer than 1,000,000 shares outstanding will be automatically converted into the other series of preferred shares on a one-for-one basis effective September 30, 2020; and (ii) no shares will be permitted to be converted into the series that would have fewer than 1,000,000 shares outstanding.

There are currently 4,501,565 Series 1 Shares and 1,498,435 Series 2 Shares outstanding.

NPI.PR.A was issued as a FixedReset, 5.25%+280bp, which commenced trading 2010-7-28 after being announced 2010-7-6 under the ticker symbol NPP.PR.A. The ticker was changed to NPI.PR.A effective January 1, 2011 after conversion from an Income Trust. The issue reset to 3.51% in 2015 and I recommended that holders retain the issue but there was a 25% conversion to NPI.PR.B.

NPI.PR.B is a FloatingReset, Bills+280bp, which came into existence via a partial conversion from NPI.PR.A.

ALA.PR.A To Reset At 3.06%

Monday, August 31st, 2020

AltaGas Ltd. has announced:

that it does not intend to exercise its right to redeem any or all of its currently outstanding Cumulative Redeemable Five-Year Rate Reset Preferred Shares, Series A (the “Series A Shares”) (TSX: ALA.PR.A) or the Cumulative Redeemable Floating Rate Preferred Shares, Series B (the “Series B Shares”) (TSX: ALA.PR.B) on September 30, 2020 (the “Conversion Date”).

As a result, subject to certain conditions, the holders of the Series A Shares have the right to convert all or part of their Series A Shares on a one-for-one basis into Series B Shares on the Conversion Date. Holders who do not exercise their right to convert their Series A Shares into Series B Shares will, subject to automatic conversion in the circumstances described below, retain their Series A Shares.

In addition, on the Conversion Date the holders of the Series B Shares have the right to convert all or part of their Series B Shares on a one-for-one basis into Series A Shares. Holders who do not exercise their right to convert their Series B Shares into Series A Shares will, subject to automatic conversion in the circumstances described below, retain their Series B Shares.

The foregoing conversion rights are subject to the conditions that: (i) if AltaGas determines that after giving effect to all conversions there would be less than 1,000,000 Series A Shares outstanding after the Conversion Date, then all remaining Series A Shares will automatically be converted into Series B Shares on a one-for-one basis on the Conversion Date; and (ii) if AltaGas determines that after giving effect to all conversions there would be less than 1,000,000 Series B Shares outstanding after the Conversion Date, then all remaining Series B Shares will automatically be converted into Series A Shares on a one-for-one basis on the Conversion Date. There are currently 5,511,220 Series A Shares and 2,488,780 Series B Shares outstanding.

With respect to any Series A Shares that are outstanding after the Conversion Date, holders shall be entitled to receive, as and when declared by the Board of Directors of AltaGas, fixed cumulative preferential cash dividends, payable quarterly. The new annual dividend rate applicable to the Series A Shares for the five-year period commencing on and including September 30, 2020 to, but excluding, September 30, 2025 will be 3.060 percent, being equal to the sum of the five-year Government of Canada bond yield determined as of today plus 2.66 percent.

With respect to any Series B Shares that are outstanding after the Conversion Date, holders shall be entitled to receive, as and when declared by the Board of Directors of AltaGas, quarterly floating rate cumulative preferential cash dividends. The dividend rate applicable to the Series B Shares for the three-month floating rate period commencing on and including September 30, 2020 to, but excluding, December 31, 2020 will be 2.809 percent, being equal to the sum of the annual rate of interest for the most recent auction of 90 day Government of Canada treasury bills plus 2.66 percent (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series A Shares and Series B Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right during the conversion period, which runs from August 31, 2020 until 5:00 p.m. (Toronto time) on September 15, 2020. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps. Any notices received after this deadline will not be valid.

Subject to the terms and conditions of the Series A Shares and Series B Shares and AltaGas’ right to redeem such shares, holders of the Series A Shares and the Series B Shares will have the opportunity to convert their shares again on September 30, 2025, and every five years thereafter as long as the Series A Shares and Series B Shares remain outstanding.

ALA.PR.A is a FixedReset issued at 5.00%+266bp, which commenced trading August 19, 2010 after being announced August 10, 2010. In 2015 the issue reset to 3.38% and I recommended holders retain the issue. Despite this, there was a 31% conversion to FloatingResets.

ALA.PR.B is a FloatingReset, Bills+266bp, which arose via a partial conversion from ALA.PR.A in 2015.

August 31, 2020

Monday, August 31st, 2020

Here’s what Britain is talking about by way of paying the coronavirus debt:

Treasury officials in Britain are pushing for tax hikes to plug holes blown in public finances by the coronavirus pandemic, two leading British newspapers said.

Such hikes will enable the Exchequer to raise at least £20-billion ($35-billion) a year, and some could be introduced in https://www.theglobeandmail.com/business/article-liberals-revised-covid-19-emergency-benefits-resemble-a-national/#commentsthe November budget, the Sunday Telegraph said.

The Sunday Times newspaper said officials were drawing up plans for a £30-billion “tax raid” on the wealthy, businesses, pensions and foreign aid.

In its budget, the government also plans to raise both capital gains tax and corporation tax, the Sunday Times added.

Finance Minister Rishi Sunak is considering a proposal to boost corporation tax to 24 per cent from 19 per cent, a move that would raise £12-billion next year, rising to £17-billion in 2023-24, the paper said.

I was infuriated by a recent article about the new coronavirus supports and their similarity to Guaranteed Annual Income:

According to the tenets of a guaranteed basic income program, all adults are eligible for government benefits that establish a floor for income, but those payments decline as earnings from wages rise. That gradual reduction, or clawback, means that the basic income benefit is eliminated entirely for higher earners.

Wrong, wrong, wrong!

A ‘clawback’ implies that there is a higher marginal rate on low earnings that is hidden from obvious view. This leads to such things as welfare recipients facing a marginal tax rate in excess of 50% on earnings which is often claimed to be a disincentive to work.

You want guaranteed basic income? Fine. Good. But it must work as follows:
i) Cut everybody a cheque for $X.
ii) This $X is included in taxable income
iii) Then tax the taxable income in the usual way.

The Bank of Canada has published its 2019 Cash Alternative Survey Results:

The role of cash in Canadians’ lives has been evolving, as innovations in digital payments have become more widely adopted over the past decade. The emergence of privately issued digital currencies has motivated many central banks to conduct research into central bank digital currencies (CBDCs). We contribute to the Bank of Canada’s research on CBDC by monitoring Canadians’ use of cash and their adoption of digital payment methods.

The Bank conducted the 2019 Cash Alternative Survey (CAS) in August and September 2019. The 2019 CAS asked respondents to report their cash holdings, adoption of cryptocurrencies, and views regarding the potential impact of cash disappearing from the Canadian economy.

We find that Canadians’ cash holdings remain stable, and cryptocurrency adoption remains limited and concentrated among few demographics. Looking ahead, we find few Canadians plan to stop using cash and a significant share report they would find the disappearance of cash problematic. We plan to conduct further iterations of the Cash Alternative Study to further analyze Canadians’ cash use, including their withdrawal and spending behaviour.

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 0.1168 % 1,669.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1168 % 3,064.1
Floater 5.00 % 5.08 % 63,879 15.27 3 0.1168 % 1,765.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0694 % 3,532.3
SplitShare 4.68 % 4.39 % 40,851 3.24 8 0.0694 % 4,218.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0694 % 3,291.3
Perpetual-Premium 5.51 % 4.60 % 82,252 2.76 4 0.4152 % 3,119.7
Perpetual-Discount 5.30 % 5.14 % 79,410 14.68 31 0.6930 % 3,445.0
FixedReset Disc 5.45 % 4.30 % 120,354 16.26 67 0.0008 % 2,102.5
Deemed-Retractible 5.11 % 5.09 % 102,778 14.91 27 0.5886 % 3,373.7
FloatingReset 2.82 % 2.29 % 40,730 1.40 3 0.7143 % 1,819.1
FixedReset Prem 5.26 % 4.39 % 234,013 0.87 11 -0.1328 % 2,615.9
FixedReset Bank Non 1.95 % 2.33 % 126,911 1.39 2 0.0604 % 2,845.7
FixedReset Ins Non 5.68 % 4.43 % 90,299 16.19 22 0.1966 % 2,119.4
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.35 %
MFC.PR.M FixedReset Ins Non -4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.74 %
BAM.PR.R FixedReset Disc -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.44 %
BAM.PF.A FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 5.42 %
TD.PF.I FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.25 %
MFC.PR.F FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.54 %
CM.PR.S FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.11 %
PWF.PR.P FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.95 %
TRP.PR.K FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.98
Evaluated at bid price : 24.31
Bid-YTW : 5.05 %
RY.PR.S FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 3.87 %
TRP.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 5.51 %
PWF.PR.E Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.89 %
GWO.PR.T Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 24.35
Evaluated at bid price : 24.83
Bid-YTW : 5.25 %
IFC.PR.C FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 4.66 %
CU.PR.E Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.67
Evaluated at bid price : 23.97
Bid-YTW : 5.12 %
PWF.PR.L Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.56
Evaluated at bid price : 23.83
Bid-YTW : 5.40 %
RY.PR.M FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 3.88 %
GWO.PR.I Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 21.62
Evaluated at bid price : 21.87
Bid-YTW : 5.22 %
CU.PR.F Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.40
Evaluated at bid price : 22.68
Bid-YTW : 4.97 %
BAM.PF.B FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 5.29 %
GWO.PR.N FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 4.29 %
CU.PR.G Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.15
Evaluated at bid price : 22.44
Bid-YTW : 5.03 %
GWO.PR.P Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 0.48 %
GWO.PR.R Deemed-Retractible 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.91
Evaluated at bid price : 23.32
Bid-YTW : 5.21 %
CU.PR.H Perpetual-Premium 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.38
Bid-YTW : 5.05 %
CIU.PR.A Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.10
Evaluated at bid price : 22.38
Bid-YTW : 5.15 %
GWO.PR.H Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.24
Evaluated at bid price : 23.54
Bid-YTW : 5.22 %
PWF.PR.K Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.81
Evaluated at bid price : 23.09
Bid-YTW : 5.41 %
TD.PF.D FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 3.94 %
PWF.PR.F Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 24.17
Evaluated at bid price : 24.43
Bid-YTW : 5.42 %
CU.PR.D Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.65
Evaluated at bid price : 23.95
Bid-YTW : 5.13 %
MFC.PR.C Deemed-Retractible 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 21.88
Evaluated at bid price : 22.12
Bid-YTW : 5.09 %
BAM.PR.T FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 5.22 %
BAM.PR.M Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 21.64
Evaluated at bid price : 21.89
Bid-YTW : 5.51 %
GWO.PR.S Deemed-Retractible 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 24.79
Evaluated at bid price : 25.09
Bid-YTW : 5.31 %
TRP.PR.D FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.46 %
RY.PR.Z FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %
MFC.PR.N FixedReset Ins Non 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.38 %
BIP.PR.A FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.53 %
TRP.PR.F FloatingReset 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 10.82
Evaluated at bid price : 10.82
Bid-YTW : 4.75 %
TRP.PR.A FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 5.18 %
CM.PR.R FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.05
Evaluated at bid price : 23.40
Bid-YTW : 4.13 %
MFC.PR.G FixedReset Ins Non 4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.39 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.G FixedReset Ins Non 165,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.39 %
SLF.PR.I FixedReset Ins Non 154,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 4.32 %
BAM.PR.R FixedReset Disc 102,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.44 %
RY.PR.M FixedReset Disc 83,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 3.88 %
BMO.PR.D FixedReset Disc 81,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.34
Evaluated at bid price : 22.65
Bid-YTW : 4.03 %
PWF.PR.F Perpetual-Discount 69,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 24.17
Evaluated at bid price : 24.43
Bid-YTW : 5.42 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 15.60 – 22.00
Spot Rate : 6.4000
Average : 3.5282

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.42 %

MFC.PR.M FixedReset Ins Non Quote: 15.85 – 16.81
Spot Rate : 0.9600
Average : 0.6318

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.74 %

BAM.PF.A FixedReset Disc Quote: 17.04 – 18.00
Spot Rate : 0.9600
Average : 0.6350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 5.42 %

TD.PF.I FixedReset Disc Quote: 21.00 – 22.74
Spot Rate : 1.7400
Average : 1.4467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.25 %

BMO.PR.Y FixedReset Disc Quote: 18.00 – 19.20
Spot Rate : 1.2000
Average : 0.9774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.35 %

BAM.PR.R FixedReset Disc Quote: 12.70 – 13.54
Spot Rate : 0.8400
Average : 0.7012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.44 %

August 28, 2020

Friday, August 28th, 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 0.4300 % 1,667.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4300 % 3,060.5
Floater 5.01 % 5.10 % 63,951 15.25 3 0.4300 % 1,763.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0369 % 3,529.8
SplitShare 4.68 % 4.41 % 41,155 3.25 8 0.0369 % 4,215.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0369 % 3,289.0
Perpetual-Premium 5.54 % 4.67 % 82,498 3.99 4 0.0099 % 3,106.8
Perpetual-Discount 5.34 % 5.39 % 78,074 14.63 31 0.1725 % 3,421.3
FixedReset Disc 5.45 % 4.27 % 121,648 16.32 67 -0.0124 % 2,102.5
Deemed-Retractible 5.14 % 5.16 % 99,115 14.84 27 0.0885 % 3,354.0
FloatingReset 2.86 % 2.20 % 40,701 1.40 3 -0.2412 % 1,806.2
FixedReset Prem 5.25 % 4.10 % 235,435 0.88 11 0.0000 % 2,619.4
FixedReset Bank Non 1.95 % 2.38 % 131,498 1.40 2 0.4654 % 2,844.0
FixedReset Ins Non 5.69 % 4.45 % 90,602 16.11 22 0.7154 % 2,115.2
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 5.12 %
SLF.PR.J FloatingReset -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.09 %
TRP.PR.D FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.56 %
RY.PR.Z FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.93 %
NA.PR.G FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.39 %
BAM.PR.M Perpetual-Discount -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.62 %
BAM.PR.T FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 5.28 %
CM.PR.Q FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.27 %
TRP.PR.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 5.31 %
CM.PR.R FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 22.40
Evaluated at bid price : 22.72
Bid-YTW : 4.24 %
SLF.PR.E Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.16 %
MFC.PR.C Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.17 %
TD.PF.C FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 3.92 %
BAM.PF.I FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 4.96 %
CM.PR.O FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.16 %
BAM.PF.H FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 24.39
Evaluated at bid price : 25.00
Bid-YTW : 5.05 %
SLF.PR.H FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.45 %
MFC.PR.J FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.46 %
PWF.PR.L Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 5.46 %
BAM.PR.B Floater 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 5.03 %
IAF.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 4.22 %
BIK.PR.A FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.72 %
BAM.PR.Z FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.27 %
TRP.PR.F FloatingReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.91 %
SLF.PR.A Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 22.89
Evaluated at bid price : 23.16
Bid-YTW : 5.11 %
TD.PF.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 3.89 %
SLF.PR.G FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 10.40
Evaluated at bid price : 10.40
Bid-YTW : 4.32 %
MFC.PR.R FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 23.83
Evaluated at bid price : 24.21
Bid-YTW : 4.38 %
POW.PR.D Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.33 %
IAF.PR.B Deemed-Retractible 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.12 %
NA.PR.W FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.30 %
TRP.PR.B FixedReset Disc 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 4.82 %
MFC.PR.I FixedReset Ins Non 5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.40 %
TD.PF.D FixedReset Disc 6.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 3.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 69,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.31 %
MFC.PR.M FixedReset Ins Non 56,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.49 %
PWF.PR.H Perpetual-Discount 50,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-27
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -1.05 %
MFC.PR.N FixedReset Ins Non 50,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 4.46 %
BNS.PR.H FixedReset Prem 28,570 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 3.98 %
BAM.PR.Z FixedReset Disc 26,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.27 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Discount Quote: 23.70 – 24.80
Spot Rate : 1.1000
Average : 0.6413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.33 %

POW.PR.A Perpetual-Discount Quote: 25.23 – 26.23
Spot Rate : 1.0000
Average : 0.6091

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-27
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 2.60 %

BMO.PR.Y FixedReset Disc Quote: 18.90 – 20.00
Spot Rate : 1.1000
Average : 0.7333

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.11 %

CU.PR.G Perpetual-Discount Quote: 22.15 – 23.00
Spot Rate : 0.8500
Average : 0.5161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 22.15
Evaluated at bid price : 22.15
Bid-YTW : 5.11 %

BAM.PR.M Perpetual-Discount Quote: 21.50 – 22.13
Spot Rate : 0.6300
Average : 0.3782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.62 %

BAM.PF.E FixedReset Disc Quote: 15.16 – 15.85
Spot Rate : 0.6900
Average : 0.4738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 15.16
Evaluated at bid price : 15.16
Bid-YTW : 5.21 %

August 27, 2020

Thursday, August 27th, 2020

Chair Jerome H. Powell of the Federal Reserve made an important speech today titled New Economic Challenges and the Fed’s Monetary Policy Review:

The persistent undershoot of inflation from our 2 percent longer-run objective is a cause for concern. Many find it counterintuitive that the Fed would want to push up inflation. After all, low and stable inflation is essential for a well-functioning economy. And we are certainly mindful that higher prices for essential items, such as food, gasoline, and shelter, add to the burdens faced by many families, especially those struggling with lost jobs and incomes. However, inflation that is persistently too low can pose serious risks to the economy. Inflation that runs below its desired level can lead to an unwelcome fall in longer-term inflation expectations, which, in turn, can pull actual inflation even lower, resulting in an adverse cycle of ever-lower inflation and inflation expectations.

This dynamic is a problem because expected inflation feeds directly into the general level of interest rates. Well-anchored inflation expectations are critical for giving the Fed the latitude to support employment when necessary without destabilizing inflation.18 But if inflation expectations fall below our 2 percent objective, interest rates would decline in tandem. In turn, we would have less scope to cut interest rates to boost employment during an economic downturn, further diminishing our capacity to stabilize the economy through cutting interest rates. We have seen this adverse dynamic play out in other major economies around the world and have learned that once it sets in, it can be very difficult to overcome. We want to do what we can to prevent such a dynamic from happening here.

We continue to believe that specifying a numerical goal for employment is unwise, because the maximum level of employment is not directly measurable and changes over time for reasons unrelated to monetary policy. The significant shifts in estimates of the natural rate of unemployment over the past decade reinforce this point. In addition, we have not changed our view that a longer-run inflation rate of 2 percent is most consistent with our mandate to promote both maximum employment and price stability.

Our longer-run goal continues to be an inflation rate of 2 percent. Our statement emphasizes that our actions to achieve both sides of our dual mandate will be most effective if longer-term inflation expectations remain well anchored at 2 percent. However, if inflation runs below 2 percent following economic downturns but never moves above 2 percent even when the economy is strong, then, over time, inflation will average less than 2 percent. Households and businesses will come to expect this result, meaning that inflation expectations would tend to move below our inflation goal and pull realized inflation down. To prevent this outcome and the adverse dynamics that could ensue, our new statement indicates that we will seek to achieve inflation that averages 2 percent over time. Therefore, following periods when inflation has been running below 2 percent, appropriate monetary policy will likely aim to achieve inflation moderately above 2 percent for some time.

Update, 2020-8-28: I should have noted that seeking to “achieve inflation moderately above 2 percent for some time” “inflation that averages 2 percent over time” is known as Price-Level Targetting

This had a moderate effect on the market:

The Fed’s new strategy sent Treasury yields higher, which gave a lift to interest rate-sensitive financials in the U.S.

The financial sector provided the biggest boost to the S&P 500 and the Dow, pushing the former to its fifth straight record closing high and the latter within a hair’s breadth of reclaiming positive territory for the year so far.

The Dow remains more than 3.6% below its record high reached in February.

Stocks lost steam late in the session following House of Representatives Speaker Nancy Pelosi issued a statement saying Democrats and Republicans remain far apart over the next stimulus bill.

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 1.1067 % 1,660.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1067 % 3,047.4
Floater 5.03 % 5.10 % 63,948 15.26 3 1.1067 % 1,756.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0297 % 3,528.5
SplitShare 4.68 % 4.42 % 40,906 3.25 8 0.0297 % 4,213.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0297 % 3,287.8
Perpetual-Premium 5.54 % 4.68 % 85,546 3.99 4 0.1089 % 3,106.5
Perpetual-Discount 5.34 % 5.45 % 78,744 14.59 31 0.3259 % 3,415.4
FixedReset Disc 5.44 % 4.22 % 125,418 16.28 67 -0.0711 % 2,102.8
Deemed-Retractible 5.14 % 5.14 % 96,861 14.85 27 0.1146 % 3,351.0
FloatingReset 2.84 % 2.20 % 42,366 1.41 3 0.3781 % 1,810.5
FixedReset Prem 5.25 % 4.08 % 244,169 0.88 11 -0.1398 % 2,619.4
FixedReset Bank Non 1.96 % 2.47 % 127,429 1.40 2 0.1418 % 2,830.9
FixedReset Ins Non 5.73 % 4.46 % 85,979 16.02 22 -0.4942 % 2,100.2
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.32 %
SLF.PR.G FixedReset Ins Non -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.39 %
NA.PR.W FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 4.41 %
TD.PF.I FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.12 %
BAM.PR.Z FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.34 %
MFC.PR.N FixedReset Ins Non -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.28
Evaluated at bid price : 16.28
Bid-YTW : 4.49 %
BAM.PF.B FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.29 %
BMO.PR.W FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.00 %
SLF.PR.I FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.34 %
BAM.PF.H FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 24.02
Evaluated at bid price : 24.75
Bid-YTW : 5.09 %
BAM.PF.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.23 %
IAF.PR.B Deemed-Retractible -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.66
Evaluated at bid price : 21.91
Bid-YTW : 5.23 %
TRP.PR.A FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 5.25 %
BMO.PR.T FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.06 %
GWO.PR.S Deemed-Retractible -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 24.07
Evaluated at bid price : 24.55
Bid-YTW : 5.41 %
BAM.PF.F FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.23 %
BAM.PF.E FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 5.17 %
TD.PF.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 3.95 %
MFC.PR.R FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 23.44
Evaluated at bid price : 23.85
Bid-YTW : 4.44 %
SLF.PR.H FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 4.50 %
MFC.PR.L FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.57 %
BMO.PR.Y FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.11 %
CM.PR.P FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.07 %
TD.PF.B FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 3.97 %
MFC.PR.M FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.51 %
MFC.PR.F FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 4.46 %
TRP.PR.F FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 4.95 %
CM.PR.S FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.02 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 3.86 %
BIP.PR.D FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 5.69 %
TRP.PR.C FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 5.35 %
BIP.PR.E FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.36
Evaluated at bid price : 21.68
Bid-YTW : 5.85 %
BAM.PR.B Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 8.55
Evaluated at bid price : 8.55
Bid-YTW : 5.09 %
BNS.PR.I FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.86 %
BIP.PR.F FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.81
Evaluated at bid price : 22.12
Bid-YTW : 5.85 %
CM.PR.O FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 4.12 %
IFC.PR.C FixedReset Ins Non 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.69 %
BAM.PR.R FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 5.19 %
TD.PF.C FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 3.88 %
BIP.PR.A FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 5.64 %
BAM.PR.X FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 4.97 %
SLF.PR.J FloatingReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 9.75
Evaluated at bid price : 9.75
Bid-YTW : 3.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.C Deemed-Retractible 154,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-26
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 2.63 %
BMO.PR.T FixedReset Disc 123,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.06 %
TD.PF.D FixedReset Disc 108,058 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.22 %
TD.PF.A FixedReset Disc 79,926 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.91 %
BAM.PR.K Floater 79,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.10 %
BNS.PR.G FixedReset Prem 59,178 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.47 %
There were 27 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: 21.50 – 22.85
Spot Rate : 1.3500
Average : 0.9334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.12 %

TRP.PR.A FixedReset Disc Quote: 12.65 – 13.55
Spot Rate : 0.9000
Average : 0.5463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 5.25 %

TD.PF.D FixedReset Disc Quote: 19.00 – 20.69
Spot Rate : 1.6900
Average : 1.3598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.22 %

BAM.PR.X FixedReset Disc Quote: 11.45 – 12.50
Spot Rate : 1.0500
Average : 0.7988

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 4.97 %

BMO.PR.W FixedReset Disc Quote: 18.00 – 18.58
Spot Rate : 0.5800
Average : 0.3736

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.00 %

BAM.PR.Z FixedReset Disc Quote: 16.90 – 17.46
Spot Rate : 0.5600
Average : 0.3698

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.34 %

RY.PR.W, RY.PR.A, RY.PR.C, RY.PR.E, RY.PR.F & RY.PR.G To Be Redeemed

Wednesday, August 26th, 2020

Royal Bank of Canada has announced:

its intention, subject to the approval of the Office of the Superintendent of Financial Institutions (OSFI), to redeem all of its issued and outstanding Non-Cumulative First Preferred Shares, Series W (Series W Shares), Non-Cumulative First Preferred Shares, Series AA (Series AA Shares), Non-Cumulative First Preferred Shares, Series AC (Series AC Shares), Non-Cumulative First Preferred Shares, Series AE (Series AE Shares), Non-Cumulative First Preferred Shares, Series AF (Series AF Shares), and Non-Cumulative First Preferred Shares, Series AG (Series AG Shares) on October 1, 2020, for cash at a redemption price per Series W, Series AA, Series AC, Series AE, Series AF, and Series AG share, respectively, of $25.00, together with all declared and unpaid dividends.

In addition, the Bank has also declared a 38-day dividend of $0.127534 per Series W share, $0.115822 per Series AA share, $0.119726 per Series AC share, $0.117123 per Series AE share, $0.115822 per Series AF share and $0.117123 per Series AG share covering the period from August 24, 2020 (the date of the last dividend payment), up to but excluding the redemption date of October 1, 2020. This results in a total amount of $25.127534 per Series W share, $25.115822 per Series AA share, $25.119726 per Series AC share, $25.117123 per Series AE share, $25.115822 per Series AF share and $25.117123 per Series AG share, to be paid upon surrender of the Series W shares, Series AA shares, Series AC shares, Series AE shares, Series AF shares, and Series AG shares.

There are 12,000,000 Series W shares outstanding, representing $300 million of capital; 12,000,000 Series AA shares outstanding, representing $300 million of capital; 8,000,000 Series AC shares outstanding, representing $200 million of capital; 10,000,000 Series AE shares outstanding, representing $250 million of capital; 8,000,000 Series AF shares outstanding, representing $200 million of capital and 10,000,000 Series AG shares outstanding, representing $250 million of capital. The redemptions will be financed out of the general corporate funds of Royal Bank of Canada.

RY.PR.W is something of an oddity, as it has a conversion to common provision similar to the ones which were used by CIBC to qualify as NVCC by assigning the right to pull the trigger to OSFI. For this reason the shares were not rated by DBRS. I’m glad that ambiguity has now been resolved!

None of the other issues, RY.PR.A, RY.PR.C, RY.PR.E, RY.PR.F or RY.PR.G, are NVCC-compliant and redemption has been expected for some time. I imagine that this mass redemption was the purpose of the Royal Bank LRCN issue, although they have carefully avoided saying so.

Thanks to Assiduous Reader Tim for bringing this to my attention.

August 26, 2020

Wednesday, August 26th, 2020
unicorn_200826
Click for Big

TXPR closed at 583.50, up 1.62% on the day. Volume today was 3.87-million, by far the highest of the past thirty days, well ahead of second-place July 29.

CPD closed at 11.63, up 1.22% on the day. Volume was 111,115, highest of the past 30 trading days, ahead of second-place August 12.

ZPR closed at 9.35, up 2.13% on the day. Volume of 894,959 was the highest of the past 30 trading days, more than double that of second-place August 4.

Five-year Canada yields were up 1bp to 0.42% today.

Today’s market pop is probably related to the announcement of a mass redemption of RY DeemedRetractibles.

PerpetualDiscounts now yield 5.46%, equivalent to 7.10% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.89%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed dramatically to 420bp from the 455bp reported August 12. We are now well below the pre-2020 record of 445bp briefly touched in 2008.

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 1.7699 % 1,642.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7699 % 3,014.1
Floater 5.08 % 5.16 % 59,118 15.15 3 1.7699 % 1,737.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1340 % 3,527.5
SplitShare 4.68 % 4.38 % 41,268 3.26 8 0.1340 % 4,212.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1340 % 3,286.8
Perpetual-Premium 5.54 % 4.72 % 86,171 3.99 4 0.0297 % 3,103.1
Perpetual-Discount 5.36 % 5.46 % 78,613 14.56 31 0.8291 % 3,404.3
FixedReset Disc 5.43 % 4.22 % 121,615 16.29 67 1.3256 % 2,104.3
Deemed-Retractible 5.14 % 5.19 % 94,562 14.82 27 0.7849 % 3,347.2
FloatingReset 2.85 % 2.28 % 39,214 1.41 3 0.2900 % 1,803.7
FixedReset Prem 5.25 % 3.89 % 236,336 0.88 11 0.0466 % 2,623.1
FixedReset Bank Non 1.96 % 2.38 % 128,054 1.41 2 -0.1618 % 2,826.8
FixedReset Ins Non 5.70 % 4.44 % 85,280 16.05 22 0.9533 % 2,110.6
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.22 %
MFC.PR.I FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.63 %
MFC.PR.G FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 4.57 %
TD.PF.I FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.00 %
TRP.PR.C FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 5.41 %
BIP.PR.B FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 24.16
Evaluated at bid price : 24.85
Bid-YTW : 5.59 %
POW.PR.B Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 24.06
Evaluated at bid price : 24.31
Bid-YTW : 5.57 %
BMO.PR.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 23.13
Evaluated at bid price : 23.51
Bid-YTW : 4.01 %
MFC.PR.K FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 4.39 %
SLF.PR.C Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.19 %
MFC.PR.R FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 23.73
Evaluated at bid price : 24.12
Bid-YTW : 4.39 %
PWF.PR.R Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 24.62
Evaluated at bid price : 24.86
Bid-YTW : 5.58 %
BAM.PF.C Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 21.73
Evaluated at bid price : 22.16
Bid-YTW : 5.54 %
NA.PR.C FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 23.09
Evaluated at bid price : 23.40
Bid-YTW : 4.15 %
SLF.PR.A Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.76
Evaluated at bid price : 23.04
Bid-YTW : 5.14 %
PWF.PR.E Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 24.35
Evaluated at bid price : 24.66
Bid-YTW : 5.62 %
BAM.PR.M Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 21.52
Evaluated at bid price : 21.78
Bid-YTW : 5.53 %
IAF.PR.B Deemed-Retractible 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.18 %
POW.PR.D Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.87
Evaluated at bid price : 23.14
Bid-YTW : 5.46 %
TRP.PR.D FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 5.43 %
SLF.PR.B Deemed-Retractible 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 5.11 %
GWO.PR.I Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.35 %
GWO.PR.S Deemed-Retractible 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 24.38
Evaluated at bid price : 24.85
Bid-YTW : 5.35 %
TRP.PR.G FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 5.40 %
BMO.PR.D FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.34
Evaluated at bid price : 22.65
Bid-YTW : 4.01 %
TD.PF.J FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.05 %
BAM.PR.N Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 21.48
Evaluated at bid price : 21.74
Bid-YTW : 5.54 %
NA.PR.E FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.18 %
NA.PR.S FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.28 %
CM.PR.T FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.70
Evaluated at bid price : 23.61
Bid-YTW : 4.19 %
GWO.PR.R Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.63
Evaluated at bid price : 22.89
Bid-YTW : 5.32 %
GWO.PR.T Deemed-Retractible 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 24.04
Evaluated at bid price : 24.51
Bid-YTW : 5.32 %
PWF.PR.S Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 5.54 %
SLF.PR.I FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.27 %
BAM.PR.B Floater 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 8.43
Evaluated at bid price : 8.43
Bid-YTW : 5.16 %
IAF.PR.G FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 4.43 %
PWF.PR.Z Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 23.44
Evaluated at bid price : 23.84
Bid-YTW : 5.44 %
BAM.PR.K Floater 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 5.15 %
BAM.PR.C Floater 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 8.42
Evaluated at bid price : 8.42
Bid-YTW : 5.17 %
BMO.PR.E FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.07 %
RY.PR.M FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 3.91 %
GWO.PR.H Deemed-Retractible 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.78
Evaluated at bid price : 23.06
Bid-YTW : 5.33 %
PWF.PR.F Perpetual-Discount 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 5.57 %
TD.PF.B FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 3.92 %
RY.PR.Z FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 3.81 %
GWO.PR.G Deemed-Retractible 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 5.34 %
BMO.PR.S FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.04 %
GWO.PR.Q Deemed-Retractible 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 23.96
Evaluated at bid price : 24.43
Bid-YTW : 5.33 %
RY.PR.H FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 3.87 %
TD.PF.C FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 3.96 %
IFC.PR.G FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.55 %
MFC.PR.N FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.38 %
MFC.PR.J FixedReset Ins Non 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 4.50 %
BAM.PF.G FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.30 %
PWF.PR.L Perpetual-Discount 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 5.54 %
PWF.PR.K Perpetual-Discount 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.31
Evaluated at bid price : 22.58
Bid-YTW : 5.53 %
PWF.PR.P FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.78 %
CM.PR.R FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.78
Evaluated at bid price : 23.13
Bid-YTW : 4.16 %
TD.PF.K FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.02 %
TD.PF.E FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.90 %
TRP.PR.F FloatingReset 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 10.71
Evaluated at bid price : 10.71
Bid-YTW : 4.90 %
MFC.PR.F FixedReset Ins Non 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 10.24
Evaluated at bid price : 10.24
Bid-YTW : 4.41 %
CU.PR.C FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.41 %
MFC.PR.L FixedReset Ins Non 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 15.47
Evaluated at bid price : 15.47
Bid-YTW : 4.51 %
SLF.PR.G FixedReset Ins Non 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 4.26 %
MFC.PR.M FixedReset Ins Non 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 4.46 %
TRP.PR.A FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 5.18 %
TRP.PR.E FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 14.04
Evaluated at bid price : 14.04
Bid-YTW : 5.36 %
BAM.PF.A FixedReset Disc 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.15 %
BIP.PR.A FixedReset Disc 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.76 %
BMO.PR.Y FixedReset Disc 3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.06 %
CM.PR.P FixedReset Disc 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 4.02 %
BMO.PR.W FixedReset Disc 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 3.92 %
BMO.PR.T FixedReset Disc 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 4.01 %
BAM.PF.B FixedReset Disc 4.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 5.19 %
BAM.PR.Z FixedReset Disc 4.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 5.22 %
BAM.PR.T FixedReset Disc 4.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 5.16 %
BAM.PF.F FixedReset Disc 5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.17 %
GWO.PR.N FixedReset Ins Non 5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 10.40
Evaluated at bid price : 10.40
Bid-YTW : 4.13 %
BAM.PF.E FixedReset Disc 6.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.11 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.D Deemed-Retractible 380,465 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.19 %
BMO.PR.C FixedReset Disc 255,528 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 23.13
Evaluated at bid price : 23.51
Bid-YTW : 4.01 %
BNS.PR.Z FixedReset Bank Non 203,875 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 2.38 %
CM.PR.R FixedReset Disc 111,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 22.78
Evaluated at bid price : 23.13
Bid-YTW : 4.16 %
RY.PR.M FixedReset Disc 106,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 3.91 %
RY.PR.R FixedReset Prem 80,026 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 3.87 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 19.00 – 20.64
Spot Rate : 1.6400
Average : 0.9977

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.22 %

SLF.PR.J FloatingReset Quote: 9.50 – 10.50
Spot Rate : 1.0000
Average : 0.6211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.09 %

MFC.PR.G FixedReset Ins Non Quote: 18.17 – 19.20
Spot Rate : 1.0300
Average : 0.6814

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 4.57 %

MFC.PR.I FixedReset Ins Non Quote: 18.15 – 19.24
Spot Rate : 1.0900
Average : 0.7434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.63 %

MFC.PR.N FixedReset Ins Non Quote: 16.65 – 17.65
Spot Rate : 1.0000
Average : 0.6535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.38 %

IAF.PR.G FixedReset Ins Non Quote: 18.83 – 25.00
Spot Rate : 6.1700
Average : 5.8243

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-26
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 4.43 %

August 25, 2020

Wednesday, August 26th, 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 0.5257 % 1,614.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5257 % 2,961.7
Floater 5.17 % 5.25 % 58,793 15.01 3 0.5257 % 1,706.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0695 % 3,522.7
SplitShare 4.69 % 4.41 % 39,908 3.26 8 -0.0695 % 4,206.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0695 % 3,282.4
Perpetual-Premium 5.54 % 4.68 % 87,225 4.00 4 0.1587 % 3,102.2
Perpetual-Discount 5.41 % 5.54 % 78,554 14.41 31 0.1666 % 3,376.3
FixedReset Disc 5.50 % 4.27 % 121,665 16.20 67 0.6427 % 2,076.7
Deemed-Retractible 5.18 % 5.25 % 91,623 14.67 27 0.4671 % 3,321.1
FloatingReset 2.86 % 2.05 % 38,431 1.41 3 0.7609 % 1,798.5
FixedReset Prem 5.25 % 4.04 % 238,830 0.89 11 0.2156 % 2,621.8
FixedReset Bank Non 1.96 % 2.31 % 118,534 1.41 2 0.6721 % 2,831.4
FixedReset Ins Non 5.75 % 4.48 % 85,276 15.99 22 1.1500 % 2,090.7
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 5.34 %
TD.PF.C FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 4.05 %
MFC.PR.Q FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 4.48 %
TD.PF.A FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 3.97 %
MFC.PR.I FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.51 %
BMO.PR.Y FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.21 %
MFC.PR.H FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 4.52 %
TD.PF.E FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.00 %
MFC.PR.B Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 22.05
Evaluated at bid price : 22.28
Bid-YTW : 5.21 %
BMO.PR.Q FixedReset Bank Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 2.98 %
CU.PR.C FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.52 %
BAM.PF.J FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 23.09
Evaluated at bid price : 24.01
Bid-YTW : 4.97 %
TRP.PR.D FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.51 %
SLF.PR.E Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 21.51
Evaluated at bid price : 21.77
Bid-YTW : 5.15 %
MFC.PR.C Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.17 %
TD.PF.I FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 22.12
Evaluated at bid price : 22.39
Bid-YTW : 3.93 %
MFC.PR.N FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.48 %
SLF.PR.B Deemed-Retractible 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 22.83
Evaluated at bid price : 23.11
Bid-YTW : 5.18 %
SLF.PR.G FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.39 %
RY.PR.M FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.98 %
MFC.PR.G FixedReset Ins Non 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.49 %
MFC.PR.F FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 9.99
Evaluated at bid price : 9.99
Bid-YTW : 4.52 %
SLF.PR.H FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 4.48 %
TRP.PR.B FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 8.62
Evaluated at bid price : 8.62
Bid-YTW : 4.92 %
TD.PF.D FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.06 %
GWO.PR.N FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.34 %
BAM.PF.E FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.44 %
MFC.PR.K FixedReset Ins Non 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.44 %
SLF.PR.J FloatingReset 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 9.55
Evaluated at bid price : 9.55
Bid-YTW : 4.07 %
CM.PR.Q FixedReset Disc 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 4.24 %
SLF.PR.I FixedReset Ins Non 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Z FixedReset Bank Non 154,686 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 2.31 %
GWO.PR.T Deemed-Retractible 150,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 23.68
Evaluated at bid price : 24.13
Bid-YTW : 5.40 %
IAF.PR.I FixedReset Ins Non 102,494 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.34 %
BMO.PR.S FixedReset Disc 78,127 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.12 %
BNS.PR.E FixedReset Prem 60,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.44 %
SLF.PR.B Deemed-Retractible 55,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 22.83
Evaluated at bid price : 23.11
Bid-YTW : 5.18 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.51 – 25.00
Spot Rate : 6.4900
Average : 5.4452

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.51 %

BIP.PR.A FixedReset Disc Quote: 16.85 – 18.00
Spot Rate : 1.1500
Average : 0.8010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.97 %

TD.PF.A FixedReset Disc Quote: 18.04 – 18.50
Spot Rate : 0.4600
Average : 0.3335

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 3.97 %

CM.PR.T FixedReset Disc Quote: 23.25 – 23.50
Spot Rate : 0.2500
Average : 0.1725

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 22.51
Evaluated at bid price : 23.25
Bid-YTW : 4.27 %

TD.PF.K FixedReset Disc Quote: 19.98 – 20.24
Spot Rate : 0.2600
Average : 0.1887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 4.12 %

MFC.PR.B Deemed-Retractible Quote: 22.28 – 22.47
Spot Rate : 0.1900
Average : 0.1329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-25
Maturity Price : 22.05
Evaluated at bid price : 22.28
Bid-YTW : 5.21 %

DFN.PR.A To Get Bigger

Wednesday, August 26th, 2020

Dividend 15 Split Corp. has announced:

it will undertake an offering of Preferred Shares of the Company.

The offering will be co-led by National Bank Financial Inc. and CIBC World Markets Inc

The Preferred Shares will be offered at a price of $10.00 per Preferred Share to yield 5.50%.

The closing price on the TSX of the Preferred Shares on August 24, 2020 was $10.01.

Since inception of the Company, 197 consecutive dividends have been declared for the Preferred Shares. The aggregate dividends paid on the Preferred Shares have been $8.66 per share. All distributions to date have been made in tax advantage eligible Canadian dividends.

The net proceeds of the offering will be used by the Company to invest in an actively managed, high quality portfolio consisting of 15 dividend yielding Canadian companies as follows:

Bank of Montreal Enbridge Inc. TC Energy
The Bank of Nova Scotia Manulife Financial Corp. TELUS Corporation
BCE Inc. National Bank of Canada Thomson-Reuters Corporation
Canadian Imperial Bank of Commerce Royal Bank of Canada The Toronto-Dominion Bank
CI Financial Corp. Sun Life Financial Inc. TransAlta Corporation

The Company’s investment objectives are:

Preferred Shares:

  • to provide holders of the Preferred Shares with fixed, cumulative preferential monthly cash dividends in the amount of 5.50% annually; and

  • on or about the termination date, currently December 1, 2024 (subject to further 5 year extensions thereafter and it has been extended in the past), to pay the holders of the Preferred Shares $10.00 per Preferred Share.

The sales period of this overnight offering will end at 9:00 a.m. EST on August 26, 2020. The offering is expected to close on or about September 2, 2020 and is subject to certain closing conditions including approval by the TSX.

A prospectus supplement to the Company’s short form base shelf prospectus dated June 18, 2020 containing important detailed information about the Preferred Shares and the Class A Shares being offered will be filed with securities commissions or similar authorities in all provinces of Canada. Copies of the prospectus supplement and the short form base shelf prospectus may be obtained from your registered financial advisor using the contact information for such advisor, or from representatives of the agents listed above. There will not be any sale or any acceptance of an offer to buy the securities being offered until the prospectus supplement has been filed with the Securities Commissions or similar authorities in each of the provinces of Canada.

There are a couple of unusual things about this announcement:

  • There is no mention of a maximum size, and
  • No Capital Units are on offer

I believe that this is due to the new rules regarding “At-the-Market Offerings”. DFN announced in November 2019 that they would be taking advantage of this distribution technique; in other words, I believe that the Capital Units have already been sold to investors through the market and that this offering is simply an effort to square the books. However, this is hard to reconcile with the 20H1 Semi-Annual Report, which discloses ATM distributions for the preferreds, but not for the Capital Units. Life is getting more complicated!

EFN.PR.G To Be Redeemed

Monday, August 24th, 2020

Element Fleet Management Corp. has announced:

  • The Company will redeem Series G shares in full on September 30, 2020, further maturing its capital structure by eliminating its most expensive preferred series
  • The redemption is enabled by the Company’s strategic plan to deliver a consistent, superior client experience by improving operating performance and profitability, which has materially enhanced free cash flow over the last two years
  • With the redemption, the Company will have cumulatively eliminated or replaced over $1 billion of high-cost hybrid instruments from its capital structure in the last 18 months, simplifying and strengthening its investment-grade balance sheet

…its intention to redeem – in accordance with the terms of the Cumulative 5-Year Rate Reset Preferred Shares, Series G (the “Series G Shares”) as set out in the Company’s articles – all of its 6,900,000 issued and outstanding Series G Shares on September 30, 2020 (the “Redemption Date”) for a redemption price equal to $25.00 per Series G Share, together with all accrued and unpaid dividends up to but excluding the Redemption Date (the “Redemption Price”), less any tax required to be deducted and withheld by the Company.

“The ongoing success of our strategic plan to transform Element’s business by delivering a consistent, superior client experience and improving profitability enables us to take advantage of this opportunity to further mature our capital structure by eliminating the most expensive series of our preferred shares,” said Jay Forbes, President and Chief Executive Officer of Element. “This redemption advances our strategic priority of simplifying and strengthening Element’s investment-grade balance sheet.”

With this redemption, the Company will have cumulatively eliminated or replaced over $1 billion of high-cost hybrid instruments from its capital structure in the last 18 months.

The Company remains on track to achieve sub-6.0x tangible leverage by the end of this year.

“We expect that achieving our tangible leverage target – combined with Element’s focus on organic profitable revenue growth – will result in our business generating excess free cash flow in the near future,” Mr. Forbes added. “We are evaluating the timing and scope of further potential capital allocation measures and look forward to sharing our Board’s capital allocation strategy along with our Q3 2020 results at the end of October.”

As previously announced, the Company’s Board of Directors has declared a dividend of $0.406250 per Series G Share for the third quarter of 2020 payable on the Redemption Date to holders of record as of the close of business on September 14, 2020. This will be the final quarterly dividend on the Series G Shares, although holders will receive on redemption of the Series G Shares all accrued and unpaid dividends up to but excluding the Redemption Date.

The Company has provided notice today of the Redemption Price and the Redemption Date to the sole registered holder of the Series G Shares in accordance with the terms of the Series G Shares as set out in the Company’s articles. Non-registered holders of Series G Shares should contact their broker or other intermediary for information regarding the redemption process for the Series G Shares in which they hold a beneficial interest. The Company’s transfer agent for the Series G Shares is Computershare Investor Services Inc. Questions regarding the redemption process may be directed to Computershare Investor Services Inc. at 1-800-564-6253 or by email to corporateactions@computershare.com.

EFN.PR.G is a FixedReset, 6.50%+534, that was announced 2015-5-20, but not added to HIMIPref™ at the time due to the lack of a credit rating. It, together with EFN’s other three preferred share issues, were added to HIMIPref™ in September, 2015, after the company was rated Pfd-3 by DBRS.

As a matter of interest, EFN.PR.G was quoted at 22.70-30 today to yield 6.39%-6.19% to perpetuity. The closing price was 23.20 on volume of 200 shares. The redemption may be considered another piece of evidence that the Canadian preferred share market is still really cheap!