LBS.PR.A : Semi-Annual Report, 2018

December 16th, 2018

Brompton’s Life & Banc Split Corp has released its Semi-Annual Report, 2018 in August.

Figures of interest are:

MER: “The MER per unit, excluding Preferred share distributions and issue costs (which were covered by the portfolio’s dividend income), was 0.93% for the first six months of 2018, down from 0.95% for 2017.”

Average Net Assets: We need this to calculate portfolio yield. The Total Assets of the fund at year end was $453.8-million, compared to $413.2-million on June 30, so call it an average of $433.5-million. Preferred share dividends of $5,271,068 were paid over the half year at 0.475 p.a. (boosted to 0.545 after the recent term extension), implying average units outstanding 22.2-million, at an average NAVPU of (20.06 + 18.62)/2 = 19.34, implies net assets of $429.3-million. Say the Average Net Assets are the average of the two estimates, $431.4-million.

Underlying Portfolio Yield: Income received of $8,114,588 divided by average net assets of $431.4-million, multiplied by two because it’s semiannual is 3.76%.

Income Coverage: Net investment income of $6,131,229 (before capital gains) divided by preferred share dividends of $5,271,068 is a very good 116%.

The income coverage calculated is fairly close to “The dividend coverage ratio was about 1.0x.” calculated by DBRS in November 2018.

December 14, 2018

December 14th, 2018
A large explosion of confiscated mortar rounds, grenades, guns and other explosive devices set up by Army explosive ordnance disposal technicians on Contingency Operating Base Q-West, Iraq, Dec. 31. The controlled blast, which contained more than 1,500 pounds of explosives, was set off at midnight as a way to ring in the New Year from Iraq.
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We may well be returning all our Christmas present for cash this year:

A gauge of global stocks tumbled on Friday after weak economic data from China and Europe intensified global growth worries as investors weighed the broader impact of the trade dispute between the United States and China.

On Wall Street, U.S. stocks were not only hampered by growth worries but by a drop in Johnson & Johnson shares, which lost 10.04 per cent, its biggest drop since 2002, as the biggest drag on both the Dow and S&P 500. The company’s stock fell after Reuters reported that the pharma major knew its baby powder was contaminated with cancer-causing asbestos.

The Dow is now down more than 10 per cent from its Oct. 3 high, putting each of the three major U.S. indexes in correction territory.

The Dow Jones Industrial Average fell 496.87 points, or 2.02 per cent, to 24,100.51, the S&P 500 lost 50.59 points, or 1.91 per cent, to 2,599.95 and the Nasdaq Composite dropped 159.67 points, or 2.26 per cent, to 6,910.67.

The energy sector pushed Canada’s main index lower on Friday, as oil prices declined after China reported slower economic growth, pointing to lower fuel demand from the world’s biggest oil importer.

The Toronto Stock Exchange’s S&P/TSX composite index unofficially closed down 155.28 points, or 1.05 per cent, at 14,595.07. It was a fresh two-year low.

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 -2.3723 % 2,385.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.3723 % 4,376.9
Floater 4.90 % 5.24 % 43,303 15.12 4 -2.3723 % 2,522.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4093 % 3,144.6
SplitShare 4.68 % 5.54 % 90,768 4.59 7 -0.4093 % 3,755.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4093 % 2,930.1
Perpetual-Premium 5.59 % 4.58 % 138,240 0.08 2 -0.4945 % 2,860.5
Perpetual-Discount 5.74 % 5.92 % 77,065 13.93 33 -0.1536 % 2,879.8
FixedReset Disc 5.04 % 5.54 % 209,020 14.47 66 -0.3438 % 2,227.8
Deemed-Retractible 5.51 % 7.40 % 98,471 5.15 27 0.1334 % 2,874.1
FloatingReset 4.11 % 4.75 % 41,454 2.97 7 -0.5299 % 2,453.3
FixedReset Prem 5.16 % 4.29 % 294,902 2.41 14 -0.5189 % 2,510.0
FixedReset Bank Non 2.99 % 4.36 % 134,526 2.92 6 -0.1242 % 2,557.6
FixedReset Ins Non 4.98 % 8.16 % 143,806 5.20 22 -0.4070 % 2,246.2
Performance Highlights
Issue Index Change Notes
PWF.PR.Q FloatingReset -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 5.30 %
HSE.PR.A FixedReset Disc -4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 6.77 %
HSE.PR.G FixedReset Disc -4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 6.99 %
BAM.PR.K Floater -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 5.30 %
HSE.PR.E FixedReset Disc -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 6.98 %
RY.PR.O Perpetual-Discount -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 22.94
Evaluated at bid price : 23.29
Bid-YTW : 5.29 %
TRP.PR.B FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 6.11 %
BAM.PR.B Floater -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 5.31 %
TD.PF.C FixedReset Disc -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.55 %
SLF.PR.J FloatingReset -2.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.19
Bid-YTW : 12.34 %
BNS.PR.I FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 22.43
Evaluated at bid price : 23.29
Bid-YTW : 4.96 %
TRP.PR.C FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 6.12 %
TD.PF.B FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.53 %
MFC.PR.F FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.79
Bid-YTW : 12.66 %
IAG.PR.I FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 7.43 %
BMO.PR.T FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.54 %
HSE.PR.C FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.86 %
BMO.PR.Y FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.74 %
IFC.PR.C FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.69
Bid-YTW : 9.57 %
CM.PR.O FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.63 %
BAM.PF.C Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 6.19 %
PWF.PR.A Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.08 %
IFC.PR.G FixedReset Ins Non -1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 8.20 %
PWF.PR.T FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.53 %
RY.PR.N Perpetual-Discount -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 23.04
Evaluated at bid price : 23.40
Bid-YTW : 5.27 %
TRP.PR.H FloatingReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 5.58 %
BAM.PR.C Floater -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 5.24 %
BAM.PF.G FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.06 %
SLF.PR.G FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.50
Bid-YTW : 12.09 %
TD.PF.A FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.49 %
EMA.PR.F FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.25 %
CM.PR.Q FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.65 %
CGI.PR.D SplitShare -1.30 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 4.56 %
BMO.PR.B FixedReset Prem -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.18 %
CM.PR.R FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 22.87
Evaluated at bid price : 23.95
Bid-YTW : 5.43 %
BAM.PF.D Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.07 %
W.PR.K FixedReset Prem -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.68 %
IFC.PR.A FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.32
Bid-YTW : 10.42 %
NA.PR.S FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.79 %
BAM.PF.J FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 22.96
Evaluated at bid price : 24.25
Bid-YTW : 5.15 %
EIT.PR.B SplitShare -1.03 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.56 %
GWO.PR.Q Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 7.59 %
MFC.PR.K FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.56
Bid-YTW : 8.01 %
SLF.PR.I FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.59
Bid-YTW : 7.96 %
CU.PR.C FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.84 %
CM.PR.S FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 5.43 %
RY.PR.J FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 5.43 %
PWF.PR.F Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 21.98
Evaluated at bid price : 22.21
Bid-YTW : 5.99 %
TD.PF.J FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 21.74
Evaluated at bid price : 22.10
Bid-YTW : 5.41 %
BAM.PR.T FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.07 %
RY.PR.M FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.44 %
IFC.PR.F Deemed-Retractible 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 7.34 %
BAM.PR.Z FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.75 %
CCS.PR.C Deemed-Retractible 2.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 7.47 %
BIP.PR.F FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 22.04
Evaluated at bid price : 22.61
Bid-YTW : 5.63 %
BAM.PF.F FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 5.97 %
BAM.PF.B FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 5.95 %
TRP.PR.F FloatingReset 3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 5.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 117,709 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.55 %
RY.PR.S FixedReset Disc 94,578 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 21.52
Evaluated at bid price : 21.85
Bid-YTW : 5.24 %
BNS.PR.I FixedReset Disc 90,623 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 22.43
Evaluated at bid price : 23.29
Bid-YTW : 4.96 %
TD.PF.K FixedReset Disc 88,380 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 21.92
Evaluated at bid price : 22.41
Bid-YTW : 5.29 %
TD.PF.A FixedReset Disc 82,245 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.49 %
TRP.PR.D FixedReset Disc 73,353 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.12 %
There were 60 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.S FixedReset Disc Quote: 20.99 – 21.99
Spot Rate : 1.0000
Average : 0.6637

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 5.43 %

RY.PR.O Perpetual-Discount Quote: 23.29 – 24.05
Spot Rate : 0.7600
Average : 0.4423

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 22.94
Evaluated at bid price : 23.29
Bid-YTW : 5.29 %

BAM.PF.E FixedReset Disc Quote: 18.66 – 19.50
Spot Rate : 0.8400
Average : 0.5732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.16 %

BAM.PF.A FixedReset Disc Quote: 21.80 – 22.50
Spot Rate : 0.7000
Average : 0.4568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 21.50
Evaluated at bid price : 21.80
Bid-YTW : 5.71 %

BAM.PF.G FixedReset Disc Quote: 20.09 – 20.70
Spot Rate : 0.6100
Average : 0.3855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-14
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.06 %

GWO.PR.T Deemed-Retractible Quote: 22.26 – 22.96
Spot Rate : 0.7000
Average : 0.4841

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 7.40 %

December 13, 2018

December 13th, 2018
rainbowunicorn_181213
Click for Big

My unaffordable provincial government has cost me some more money:

One of the world’s biggest bond raters has cut Ontario’s credit rating to its lowest in 16 years, saying that revenue cuts by the Progressive Conservative government will exacerbate the province’s deficit and debt problems.

In a report issued Thursday afternoon, Moody’s Investors Service announced it had reduced Ontario’s long-term debt rating to Aa3 from Aa2. It was Moody’s second downgrade of the province this decade, the previous one was in 2012.

The move follows the province’s release of its fall economic statement last month, in which the first-year government of Premier Doug Ford estimated that it will run a deficit of $14.5-billion for the fiscal year ending March 31, 2019 – more than double what the previous Liberal government had projected in last spring’s budget. It also follows the release of the Financial Accountability Office of Ontario’s latest budget and economic outlook, which projected that the province’s deficits will inch higher over the Ford government’s four-year term – in part due to tax cuts that will take a bite out of revenues.

Ontario is the country’s most indebted province, with about $325-billion of net debt. Its debt-to-GDP ratio is expected to top 40 per cent this year, second only to Newfoundland and Labrador.

The Canadian preferred share market was on wheels 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 -0.8970 % 2,443.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8970 % 4,483.3
Floater 4.79 % 5.10 % 43,342 15.35 4 -0.8970 % 2,583.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.8076 % 3,157.6
SplitShare 4.66 % 5.36 % 91,626 4.60 7 0.8076 % 3,770.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.8076 % 2,942.1
Perpetual-Premium 5.56 % 5.20 % 97,844 15.10 2 0.2180 % 2,874.7
Perpetual-Discount 5.73 % 5.94 % 71,445 13.91 33 0.3122 % 2,884.3
FixedReset Disc 5.02 % 5.48 % 200,178 14.59 66 2.4402 % 2,235.5
Deemed-Retractible 5.52 % 7.58 % 99,897 5.15 27 0.3855 % 2,870.2
FloatingReset 4.09 % 4.76 % 38,381 2.97 7 0.2769 % 2,466.4
FixedReset Prem 5.13 % 4.24 % 304,879 2.29 14 0.8140 % 2,523.0
FixedReset Bank Non 2.98 % 4.10 % 139,361 2.93 6 0.2630 % 2,560.8
FixedReset Ins Non 4.96 % 8.14 % 143,699 5.22 22 1.2334 % 2,255.4
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.16 %
TD.PF.J FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.49
Evaluated at bid price : 21.76
Bid-YTW : 5.46 %
IFC.PR.F Deemed-Retractible -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 7.70 %
PWF.PR.F Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.67
Evaluated at bid price : 21.92
Bid-YTW : 6.07 %
BAM.PR.C Floater -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.16 %
GWO.PR.G Deemed-Retractible 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 7.51 %
SLF.PR.H FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.69
Bid-YTW : 8.96 %
MFC.PR.L FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 9.94 %
MFC.PR.M FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 9.38 %
W.PR.K FixedReset Prem 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.10 %
BAM.PR.T FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 6.12 %
BAM.PR.M Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.11 %
SLF.PR.B Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 8.35 %
BNS.PR.G FixedReset Prem 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.87 %
TD.PF.G FixedReset Prem 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 3.86 %
EML.PR.A FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 4.65 %
PVS.PR.D SplitShare 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 4.94 %
GWO.PR.M Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.44 %
SLF.PR.E Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.71
Bid-YTW : 9.08 %
BMO.PR.Q FixedReset Bank Non 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.71 %
BIP.PR.A FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.91 %
CU.PR.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.72 %
MFC.PR.J FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 7.63 %
BAM.PF.J FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 23.06
Evaluated at bid price : 24.51
Bid-YTW : 5.05 %
TD.PF.A FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 5.36 %
TRP.PR.K FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.03 %
TRP.PR.B FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 5.87 %
TD.PF.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.64
Evaluated at bid price : 22.06
Bid-YTW : 5.42 %
BMO.PR.B FixedReset Prem 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.75 %
BAM.PF.H FixedReset Prem 1.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.65 %
RY.PR.M FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.50 %
BAM.PF.I FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.55 %
VNR.PR.A FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.65 %
SLF.PR.I FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.37
Bid-YTW : 8.14 %
BIP.PR.D FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 22.46
Evaluated at bid price : 23.10
Bid-YTW : 6.08 %
PWF.PR.T FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.38 %
RY.PR.H FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.27 %
NA.PR.E FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.80 %
MFC.PR.K FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 8.16 %
CU.PR.C FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 5.87 %
NA.PR.W FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.77 %
EMA.PR.H FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 23.06
Evaluated at bid price : 24.65
Bid-YTW : 4.93 %
NA.PR.G FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.73
Evaluated at bid price : 22.13
Bid-YTW : 5.49 %
PWF.PR.P FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 5.65 %
BMO.PR.D FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 22.38
Evaluated at bid price : 23.03
Bid-YTW : 5.45 %
CM.PR.Q FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 5.54 %
RY.PR.J FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 5.48 %
MFC.PR.Q FixedReset Ins Non 2.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.68
Bid-YTW : 8.35 %
MFC.PR.R FixedReset Ins Non 2.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.92 %
BMO.PR.C FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 23.03
Evaluated at bid price : 24.25
Bid-YTW : 5.31 %
NA.PR.C FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 5.69 %
TD.PF.D FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.43 %
BAM.PF.E FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.11 %
TRP.PR.H FloatingReset 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.49 %
TRP.PR.D FixedReset Disc 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.09 %
MFC.PR.F FixedReset Ins Non 2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 12.23 %
HSE.PR.E FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.72 %
RY.PR.Z FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.18 %
BAM.PR.R FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.04 %
IFC.PR.A FixedReset Ins Non 2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.51
Bid-YTW : 10.19 %
TD.PF.B FixedReset Disc 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.36 %
BMO.PR.T FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 5.38 %
CM.PR.P FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.41 %
TRP.PR.C FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 5.93 %
BMO.PR.Y FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 5.59 %
EMA.PR.F FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 6.12 %
TD.PF.K FixedReset Disc 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 22.03
Evaluated at bid price : 22.57
Bid-YTW : 5.22 %
BMO.PR.W FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.30 %
IFC.PR.G FixedReset Ins Non 2.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 7.86 %
TD.PF.C FixedReset Disc 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.34 %
NA.PR.S FixedReset Disc 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.67 %
TRP.PR.G FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.04 %
CM.PR.O FixedReset Disc 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 5.48 %
HSE.PR.A FixedReset Disc 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 6.42 %
BAM.PF.F FixedReset Disc 3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.08 %
BAM.PF.D Perpetual-Discount 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.00 %
IAG.PR.G FixedReset Ins Non 3.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 7.37 %
BMO.PR.S FixedReset Disc 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.38 %
TRP.PR.A FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.00 %
BMO.PR.E FixedReset Disc 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 22.68
Evaluated at bid price : 23.78
Bid-YTW : 5.01 %
CM.PR.S FixedReset Disc 3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.46 %
BAM.PF.B FixedReset Disc 3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 6.05 %
TRP.PR.E FixedReset Disc 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.00 %
BIP.PR.E FixedReset Disc 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.76
Evaluated at bid price : 22.12
Bid-YTW : 5.65 %
EIT.PR.B SplitShare 4.02 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.36 %
BNS.PR.I FixedReset Disc 4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 22.68
Evaluated at bid price : 23.81
Bid-YTW : 4.80 %
CM.PR.R FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 23.00
Evaluated at bid price : 24.24
Bid-YTW : 5.33 %
TD.PF.I FixedReset Disc 4.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 22.49
Evaluated at bid price : 23.25
Bid-YTW : 5.29 %
BAM.PR.X FixedReset Disc 4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 15.84
Evaluated at bid price : 15.84
Bid-YTW : 5.67 %
BAM.PF.G FixedReset Disc 4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.92 %
BAM.PF.A FixedReset Disc 4.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.41
Evaluated at bid price : 21.68
Bid-YTW : 5.71 %
HSE.PR.G FixedReset Disc 5.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.64 %
BAM.PR.Z FixedReset Disc 6.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.84 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.F FloatingReset 334,693 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.57 %
GWO.PR.N FixedReset Ins Non 107,814 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 12.20 %
CM.PR.R FixedReset Disc 93,241 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 23.00
Evaluated at bid price : 24.24
Bid-YTW : 5.33 %
BMO.PR.C FixedReset Disc 89,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 23.03
Evaluated at bid price : 24.25
Bid-YTW : 5.31 %
BMO.PR.E FixedReset Disc 67,659 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 22.68
Evaluated at bid price : 23.78
Bid-YTW : 5.01 %
MFC.PR.I FixedReset Ins Non 64,772 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 8.04 %
There were 81 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 19.22 – 20.55
Spot Rate : 1.3300
Average : 0.7701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 6.05 %

TD.PF.J FixedReset Disc Quote: 21.76 – 22.60
Spot Rate : 0.8400
Average : 0.4896

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 21.49
Evaluated at bid price : 21.76
Bid-YTW : 5.46 %

TRP.PR.H FloatingReset Quote: 13.30 – 13.98
Spot Rate : 0.6800
Average : 0.4510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.49 %

MFC.PR.K FixedReset Ins Non Quote: 20.35 – 21.09
Spot Rate : 0.7400
Average : 0.5113

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 8.16 %

PWF.PR.P FixedReset Disc Quote: 15.41 – 16.09
Spot Rate : 0.6800
Average : 0.4825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 5.65 %

POW.PR.B Perpetual-Discount Quote: 22.71 – 23.22
Spot Rate : 0.5100
Average : 0.3323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-13
Maturity Price : 22.45
Evaluated at bid price : 22.71
Bid-YTW : 5.99 %

FTU.PR.B Shrinks 32%

December 13th, 2018

It will be recalled that FTU.PR.B recently extended term with a dividend boost to 10% – no gift, since the units are underwater. Shareholders had a retraction right:

In connection with the extension, the Company will offer a Special Retraction Right which will allow existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 30, 2018 net asset value per unit.

I recommended retraction, but it seems that the spirit of giving entered a lot of shareholders’ hearts during the retraction period.

Quadravest has announced:

US Financial 15 Split Corp. (“the Company”) announces a Class A share consolidation for all Class A shareholders of record on December 18, 2018. In connection with the extension of the termination date of the Company, a special retraction right was offered allowing existing shareholders to tender one or both classes of shares and receive a retraction price based on the November 30, 2018 net asset value per unit. In aggregate, more Preferred shares were tendered for retraction than Class A shares. The purpose of the share consolidation is to maintain the requirement that an equal number of Class A shares and Preferred shares remain outstanding.

Immediately after the special retraction payment on December 17, 2018, there will be 1,901,817 Preferred shares and 2,804,666 Class A shares outstanding. In order to restore an equal amount of shares outstanding for each class, Class A shareholders on record as at December 18, 2018 will receive approximately 0.678090368 Class A shares for each Class A share outstanding. The consolidation is a non-taxable event. The impact of the Class A share consolidation will be reflected in the next reported net asset value per unit as at December 31, 2018. Net assets of the Company after the retraction payments will be approximately $14.7 million.

The Class A shares provide for a leveraged return on the portfolio of investments and are entitled to all assets
greater than a $10 net asset value.

The Company’s Preferred shares will begin receiving an increased dividend rate of 10% annually based on the
Company’s net asset value to a maximum of $0.08333 per Preferred Share per month, effective December 1,
2018.

The company had 2,808,191 Whole Units outstanding on November 30.

LFE.PR.B Shrinks 3%

December 13th, 2018

It will be recalled that LFE.PR.B extended term with a dividend boost

to the greater of, (i) 6.5% based on the $10 original issue price and (ii) the prevailing Canadian Prime Rate plus 2% annually based on the $10 original issue price, to a maximum of 8%.

Shareholders had a special retraction right, but I noted that:

LFE.PR.B is currently trading above its retraction price, however, so in the absence of extortionate transaction costs, holders who want to get out are better off selling.

Quadravest has announced today:

Canadian Life Companies Split Corp. (“the Company”) announces a Class A share subdivision for all Class A shareholders of record on December 18, 2018.

In connection with the extension of the termination date of the Company, a special retraction right was offered allowing existing shareholders to tender one or both classes of shares and receive a retraction price based on the November 30, 2018 net asset value per unit. In aggregate, more Class A shares were tendered for retraction than Preferred shares. The purpose of the share consolidation is to maintain the requirement that an equal number of Class A shares and Preferred shares remain outstanding.

Immediately after the special retraction payment on December 17, 2018, there will be 14,320,344 Preferred shares and 13,641,379 Class A shares outstanding. In order to restore an equal amount of shares outstanding for each class, Class A shareholders on record as at December 18, 2018 will receive approximately 1.0497724607 Class A shares for each Class A share outstanding. The subdivision is a non-taxable event.

The impact of the Class A share consolidation will be reflected in the next reported net asset value per unit as at December 31, 2018. Net assets of the Company after the retraction payments will be approximately $174.9 million.

The issue closed today at 9.95-10, so if you missed the retraction there hasn’t been a lot of harm done! I’m surprised it’s holding up so well given that the November 30 NAVPU was 13.42 (which will now go up a bit due to the consolidation).

December 12, 2018

December 12th, 2018
rainbowunicorn_181212
Click for Big

PerpetualDiscounts now yield 5.95%, equivalent to 7.74% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 360bp, unchanged from the figure reported December 5.

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 0.4107 % 2,465.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4107 % 4,523.9
Floater 4.71 % 5.07 % 43,366 15.27 4 0.4107 % 2,607.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3056 % 3,132.3
SplitShare 4.70 % 5.66 % 92,427 4.60 7 -0.3056 % 3,740.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3056 % 2,918.6
Perpetual-Premium 5.57 % 5.22 % 101,113 15.07 2 0.1986 % 2,868.4
Perpetual-Discount 5.74 % 5.95 % 72,609 13.89 33 0.2172 % 2,875.3
FixedReset Disc 5.14 % 5.60 % 200,484 14.38 66 0.8196 % 2,182.2
Deemed-Retractible 5.53 % 7.49 % 103,306 5.15 27 0.2094 % 2,859.2
FloatingReset 4.10 % 4.80 % 38,962 2.98 7 -0.0299 % 2,459.6
FixedReset Prem 5.17 % 4.44 % 302,415 2.29 14 0.5141 % 2,502.7
FixedReset Bank Non 2.99 % 4.27 % 141,038 2.93 6 0.2358 % 2,554.1
FixedReset Ins Non 5.01 % 8.42 % 140,253 5.21 22 0.7649 % 2,227.9
Performance Highlights
Issue Index Change Notes
EIT.PR.B SplitShare -3.47 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.36
Bid-YTW : 6.11 %
PWF.PR.Q FloatingReset -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 5.01 %
HSE.PR.G FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.99 %
CU.PR.F Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.79 %
BIP.PR.D FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 22.22
Evaluated at bid price : 22.70
Bid-YTW : 6.19 %
SLF.PR.I FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.03
Bid-YTW : 8.46 %
GWO.PR.L Deemed-Retractible 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 6.27 %
TD.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 5.43 %
MFC.PR.F FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.74
Bid-YTW : 12.69 %
GWO.PR.R Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.34
Bid-YTW : 7.85 %
TD.PF.D FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 5.57 %
CM.PR.O FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.67 %
BMO.PR.Q FixedReset Bank Non 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 6.13 %
PVS.PR.D SplitShare 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.46
Bid-YTW : 5.39 %
BAM.PF.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.30 %
TRP.PR.H FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.62 %
BAM.PR.B Floater 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 5.07 %
SLF.PR.A Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 8.53 %
MFC.PR.I FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 8.12 %
BIP.PR.C FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.94 %
POW.PR.B Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 5.99 %
BAM.PF.C Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.12 %
GWO.PR.F Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-11
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -9.71 %
MFC.PR.N FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.78
Bid-YTW : 9.70 %
EMA.PR.F FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.29 %
SLF.PR.H FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 9.15 %
BAM.PF.J FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 23.08
Evaluated at bid price : 24.55
Bid-YTW : 5.12 %
BMO.PR.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 22.22
Evaluated at bid price : 22.90
Bid-YTW : 5.23 %
BAM.PR.R FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 6.21 %
MFC.PR.G FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.48
Bid-YTW : 8.21 %
MFC.PR.M FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 9.58 %
TRP.PR.A FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 6.23 %
BIP.PR.B FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.62 %
GWO.PR.N FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.02
Bid-YTW : 12.36 %
BAM.PF.A FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.02 %
TRP.PR.K FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 5.47 %
TRP.PR.E FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.23 %
RY.PR.J FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 5.59 %
BNS.PR.I FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 22.18
Evaluated at bid price : 22.85
Bid-YTW : 5.04 %
CM.PR.P FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.56 %
BAM.PF.I FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 5.09 %
BAM.PR.N Perpetual-Discount 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.15 %
IFC.PR.G FixedReset Ins Non 2.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 8.42 %
BAM.PR.T FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.20 %
HSE.PR.A FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 6.64 %
BAM.PF.F FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.31 %
BIP.PR.E FixedReset Disc 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 5.90 %
BAM.PR.X FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.94 %
BAM.PF.G FixedReset Disc 3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.22 %
BAM.PF.E FixedReset Disc 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.26 %
TRP.PR.D FixedReset Disc 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.23 %
TRP.PR.B FixedReset Disc 4.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.W Perpetual-Discount 441,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 5.15 %
TRP.PR.E FixedReset Disc 137,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.23 %
TRP.PR.K FixedReset Disc 133,341 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 5.47 %
BAM.PR.T FixedReset Disc 78,484 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.20 %
BAM.PF.A FixedReset Disc 72,518 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.02 %
GWO.PR.G Deemed-Retractible 70,795 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.98
Bid-YTW : 7.70 %
There were 86 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 20.25 – 21.50
Spot Rate : 1.2500
Average : 0.8927

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 8.77 %

EIT.PR.B SplitShare Quote: 23.36 – 24.24
Spot Rate : 0.8800
Average : 0.5516

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.36
Bid-YTW : 6.11 %

IAG.PR.G FixedReset Ins Non Quote: 20.41 – 21.15
Spot Rate : 0.7400
Average : 0.4580

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 8.05 %

PWF.PR.A Floater Quote: 17.39 – 18.00
Spot Rate : 0.6100
Average : 0.3830

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 4.01 %

W.PR.K FixedReset Prem Quote: 25.03 – 25.47
Spot Rate : 0.4400
Average : 0.2685

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 5.65 %

CU.PR.C FixedReset Disc Quote: 17.70 – 18.23
Spot Rate : 0.5300
Average : 0.3613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.98 %

December 11, 2018

December 11th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5954 % 2,455.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5954 % 4,505.4
Floater 4.73 % 5.11 % 43,574 15.20 4 -0.5954 % 2,596.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2638 % 3,141.9
SplitShare 4.69 % 5.49 % 92,645 4.60 7 -0.2638 % 3,752.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2638 % 2,927.5
Perpetual-Premium 5.59 % 5.23 % 101,395 15.05 2 0.1591 % 2,862.8
Perpetual-Discount 5.75 % 5.95 % 73,070 13.88 33 0.1208 % 2,869.0
FixedReset Disc 5.18 % 5.71 % 198,199 14.33 66 -0.1215 % 2,164.5
Deemed-Retractible 5.54 % 7.49 % 100,984 5.14 27 -0.2223 % 2,853.2
FloatingReset 4.10 % 4.92 % 39,519 2.98 7 -0.1718 % 2,460.3
FixedReset Prem 5.20 % 4.60 % 302,146 2.29 14 0.1294 % 2,489.9
FixedReset Bank Non 3.00 % 4.31 % 142,288 2.93 6 -0.1109 % 2,548.0
FixedReset Ins Non 5.05 % 8.51 % 135,805 5.21 22 0.1123 % 2,211.0
Performance Highlights
Issue Index Change Notes
RY.PR.J FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.71 %
HSE.PR.G FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.82 %
TD.PF.J FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 21.84
Evaluated at bid price : 22.25
Bid-YTW : 5.33 %
BAM.PR.B Floater -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.13 %
RY.PR.M FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.60 %
HSE.PR.C FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.73 %
BAM.PF.E FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.48 %
MFC.PR.I FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 8.37 %
CM.PR.P FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.68 %
CM.PR.O FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.73 %
IFC.PR.F Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 7.41 %
NA.PR.S FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.87 %
PWF.PR.T FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.46 %
CM.PR.S FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.69 %
GWO.PR.N FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.77
Bid-YTW : 12.67 %
BIP.PR.A FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.03 %
PVS.PR.F SplitShare -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.79 %
TD.PF.D FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.63 %
BMO.PR.S FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.60 %
BAM.PF.F FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 6.50 %
SLF.PR.B Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.45
Bid-YTW : 8.68 %
BMO.PR.Q FixedReset Bank Non -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.47 %
EIT.PR.A SplitShare -1.19 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 5.66 %
BAM.PR.K Floater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 13.74
Evaluated at bid price : 13.74
Bid-YTW : 5.11 %
MFC.PR.C Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 9.73 %
MFC.PR.B Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.66
Bid-YTW : 9.33 %
MFC.PR.L FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.15
Bid-YTW : 10.31 %
TD.PF.B FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.54 %
W.PR.J Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 6.05 %
CU.PR.D Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 21.58
Evaluated at bid price : 21.58
Bid-YTW : 5.73 %
PWF.PR.F Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 22.01
Evaluated at bid price : 22.24
Bid-YTW : 5.98 %
BIP.PR.D FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 22.40
Evaluated at bid price : 23.00
Bid-YTW : 6.11 %
BAM.PF.G FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.43 %
MFC.PR.K FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 8.51 %
IFC.PR.A FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.15
Bid-YTW : 10.82 %
BIP.PR.E FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.09 %
BAM.PR.M Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.19 %
BIP.PR.B FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.46 %
BAM.PF.D Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.21 %
BIP.PR.C FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.43 %
MFC.PR.R FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 5.93 %
BAM.PF.C Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 6.20 %
TRP.PR.G FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 6.27 %
EMA.PR.H FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 22.81
Evaluated at bid price : 24.02
Bid-YTW : 5.08 %
TRP.PR.C FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.13 %
BIP.PR.F FixedReset Disc 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 21.57
Evaluated at bid price : 21.90
Bid-YTW : 5.82 %
BAM.PF.A FixedReset Disc 3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.12 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset Prem 116,082 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 5.16 %
TRP.PR.D FixedReset Disc 94,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 6.47 %
TRP.PR.K FixedReset Disc 55,963 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 23.00
Evaluated at bid price : 24.20
Bid-YTW : 5.83 %
BAM.PF.I FixedReset Disc 45,683 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 23.14
Evaluated at bid price : 24.49
Bid-YTW : 5.80 %
RY.PR.S FixedReset Disc 38,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 5.21 %
EMA.PR.H FixedReset Disc 33,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 22.81
Evaluated at bid price : 24.02
Bid-YTW : 5.08 %
There were 72 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 20.14 – 20.90
Spot Rate : 0.7600
Average : 0.5009

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 8.87 %

RY.PR.J FixedReset Disc Quote: 20.55 – 21.31
Spot Rate : 0.7600
Average : 0.5015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-11
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.71 %

IFC.PR.F Deemed-Retractible Quote: 22.75 – 23.58
Spot Rate : 0.8300
Average : 0.6281

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 7.41 %

IFC.PR.E Deemed-Retractible Quote: 22.72 – 23.39
Spot Rate : 0.6700
Average : 0.4788

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.72
Bid-YTW : 7.32 %

SLF.PR.A Deemed-Retractible Quote: 20.30 – 20.99
Spot Rate : 0.6900
Average : 0.5008

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 8.77 %

W.PR.M FixedReset Prem Quote: 24.76 – 25.24
Spot Rate : 0.4800
Average : 0.3143

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 5.92 %

Update for discussion, 2018-12-13:

impvol_bip_181213
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impvol_ema_181213
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AQN.PR.A : Convert or Hold?

December 10th, 2018

It will be recalled that AQN.PR.A will reset at 5.162% effective December 31, 2018.

AQN.PR.A is a FixedReset, 4.50%+294, that commenced trading 2012-11-9 after being announced 2012-10-25. The 2018-11-28 notice of extension was reported on PrefBlog. The issue is tracked by HIMIPref™, but relegated to the Scraps – FixedReset Discount index on credit concerns.

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

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

pairs_fr_181210
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The market appears to be more interested in floating rate product than usual; the implied rates until the next interconversion are above the current 3-month bill rate as the averages for investment-grade and junk issues are at +2.10% and +1.62%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

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

Estimate of FloatingReset (received in exchange for AQN.PR.A) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 2.50% 2.00% 1.50%
AQN.PR.A 19.45 294bp 19.71 19.24 18.77

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

Those who wish to convert anyway are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (Toronto time) on December 17, 2018. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s not much time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.

December 10, 2018

December 10th, 2018
mushroomcloud_181210
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I was discussing investment planning recently and after that discussion became interested in a casual check of Shen’s paper published by the Kansas City Fed, which I highlighted long ago.

I was particularly interested in checking the 20-year return differential between stocks and bonds in the light of his Chart 4, which basically shows that if you’re looking at a twenty-year holding period, then 100% stocks is the way to go.

shenchart4
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So, I got to wondering … how about the last twenty years? I mean, sure the market’s done very well over the past few years, but since 1998 we’ve had both the Tech Wreck and the Credit Crunch … so did the rule of thumb triumph or fail?

Looking for long-term results on the web can be a hellish experience, but I found what looks to be a good source … there’s a blog called DQYDJ (Don’t Quit Your Day Job) that has an S&P 500 calculator that knows about dividends, as well as a (ten year) Treasury calculator

Results? S&P 500, +6.104% annualized with dividends reinvested. 10-Year Treasury, +3.640% annualized with coupons reinvested. So equities – and the rule of thumb – win. I just wish someone would do this for Canada …

The penny-wise, pound-foolish, unaffordable premier of Ontario has done it again … S&P has put Hydro One on Outlook Negative:

  • •The Washington Utilities and Transportation Commission (WUTC) has denied the merger petition between Hydro One Ltd. (HOL) and Avista Corp.
  • •The WUTC’s decision, in our view, significantly increases the likelihood that the transaction will not close as expected, reducing the possibility of an imminent ratings downgrade on HOL.
  • •However, in our assessment, the WUTC’s decision weakens HOL’s ability to track, adjust, and control the execution of its strategy, and raises broader concerns regarding HOL’s governance and strategic direction as it seeks a permanent CEO.
  • •S&P Global Ratings affirmed its ‘A-‘ issuer credit ratings on HOL and subsidiary Hydro One Inc. (HOI) and removed the ratings from CreditWatch, where they were placed with negative implications on June 15, 2018. The outlook on both entities is negative.
  • •We also affirmed our issue-level ratings on HOI, including the ‘A-‘ rating on its senior unsecured debt, and the ‘A-2’ global and ‘A-1 (LOW)’ Canadian National Scale ratings on its commercial paper program. We removed the ratings from CreditWatch with negative implications.
  • •The negative outlooks reflect uncertainty about HOL’s ability to convert its strategy into constructive actions that support the company’s financial performance. In addition, the negative outlook incorporates broader concerns related to HOL’s governance, uncertainty regarding the company’s strategic direction, and our revised base-case assumption that the Avista transaction is unlikely to close as expected, the effect of which results in weaker stand-alone financial measures for HOL through 2019.

How did my party, the party of quiet businesslike competence, the party of Bill Davis, get taken over by buffoons, careerists and fearful bigots? And, more importantly, why are these turds costing me so much money?

Speaking of losing money, the Canadian Preferred Share market got hammered again today.

TXPR closed at 618.77, down 1.07% from Friday‘s close, but still comfortably above the 52-week low of 609.77 set on December 6. Volume was on the high side, but nothing extraordinary in the context of the last thirty days. Mind you, there was a huge number of issues trading more than 10,000 shares – the two observations taken together suggest to me that there is a lot of retail action but not much institutional.

CPD closed at 12.42, down 0.64% from Friday’s close, but still above the 52-week low of 12.11 touched on December 6. Volume of 204,412 was nothing special in the context of the past thirty days.

ZPR closed at 10.06, down 1.08% since Friday, but still well above the 52-week low of 9.80 reached on December 6. Volume of 389,094 was high but not out of line with the past thirty days.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.6423 % 2,470.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6423 % 4,532.4
Floater 4.70 % 5.03 % 40,508 15.35 4 -0.6423 % 2,612.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0352 % 3,150.2
SplitShare 4.67 % 5.49 % 89,394 4.61 7 0.0352 % 3,762.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0352 % 2,935.3
Perpetual-Premium 5.59 % 6.04 % 140,597 13.78 2 -0.3963 % 2,858.2
Perpetual-Discount 5.75 % 5.94 % 72,534 13.90 33 0.0605 % 2,865.6
FixedReset Disc 5.17 % 5.76 % 189,405 14.39 66 -1.2075 % 2,167.1
Deemed-Retractible 5.53 % 7.61 % 98,744 5.15 27 0.0267 % 2,859.6
FloatingReset 4.09 % 4.92 % 39,404 2.98 7 -0.9836 % 2,464.5
FixedReset Prem 5.20 % 4.70 % 294,738 2.30 14 -0.4006 % 2,486.7
FixedReset Bank Non 3.00 % 4.43 % 134,113 2.94 6 -0.2143 % 2,550.9
FixedReset Ins Non 5.05 % 8.53 % 137,592 5.21 22 -0.9425 % 2,208.6
Performance Highlights
Issue Index Change Notes
EMA.PR.H FixedReset Disc -3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 22.52
Evaluated at bid price : 23.42
Bid-YTW : 5.23 %
TD.PF.I FixedReset Disc -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.88
Evaluated at bid price : 22.26
Bid-YTW : 5.55 %
SLF.PR.G FixedReset Ins Non -3.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.59
Bid-YTW : 11.91 %
BAM.PF.G FixedReset Disc -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.50 %
MFC.PR.F FixedReset Ins Non -2.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 12.86 %
SLF.PR.J FloatingReset -2.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.63
Bid-YTW : 11.76 %
PWF.PR.Q FloatingReset -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 4.84 %
PWF.PR.A Floater -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.99 %
IFC.PR.G FixedReset Ins Non -2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.44
Bid-YTW : 9.00 %
BIP.PR.B FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 6.32 %
BAM.PR.C Floater -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 13.47
Evaluated at bid price : 13.47
Bid-YTW : 5.22 %
BAM.PR.X FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 6.09 %
GWO.PR.N FixedReset Ins Non -2.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 12.37 %
BIP.PR.E FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.17 %
MFC.PR.Q FixedReset Ins Non -2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 9.05 %
BMO.PR.Y FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.70 %
NA.PR.S FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.77 %
NA.PR.W FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.83 %
BIP.PR.F FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.02 %
TRP.PR.C FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 6.29 %
NA.PR.G FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.64
Evaluated at bid price : 22.00
Bid-YTW : 5.52 %
EMA.PR.F FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.40 %
BAM.PF.A FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.34 %
MFC.PR.R FixedReset Ins Non -1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 6.34 %
TRP.PR.A FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 6.30 %
PWF.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.37 %
BMO.PR.S FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.52 %
NA.PR.E FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 5.85 %
TD.PF.C FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.50 %
BMO.PR.T FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.47 %
TRP.PR.E FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 6.34 %
BIP.PR.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 6.20 %
PWF.PR.F Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.04 %
BMO.PR.E FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 5.34 %
HSE.PR.C FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.60 %
MFC.PR.G FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.13
Bid-YTW : 8.53 %
PWF.PR.P FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.76 %
TRP.PR.D FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.46 %
W.PR.J Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.99 %
CM.PR.O FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 5.63 %
TRP.PR.F FloatingReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.65 %
BMO.PR.W FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 5.41 %
MFC.PR.N FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.61
Bid-YTW : 9.87 %
BMO.PR.D FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 22.12
Evaluated at bid price : 22.61
Bid-YTW : 5.56 %
VNR.PR.A FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.84 %
TD.PF.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.35
Evaluated at bid price : 21.66
Bid-YTW : 5.53 %
RY.PR.S FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 5.23 %
BAM.PF.B FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.38 %
TRP.PR.B FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.25 %
RY.PR.J FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.51 %
TD.PF.B FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 5.49 %
TD.PF.K FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.75
Evaluated at bid price : 22.15
Bid-YTW : 5.33 %
HSE.PR.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 6.68 %
HSE.PR.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 13.08
Evaluated at bid price : 13.08
Bid-YTW : 6.79 %
TRP.PR.G FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.43 %
CM.PR.Q FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 5.64 %
BAM.PF.F FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.41 %
MFC.PR.L FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.34
Bid-YTW : 10.10 %
BIP.PR.A FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.92 %
W.PR.H Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 23.87
Evaluated at bid price : 24.12
Bid-YTW : 5.79 %
BMO.PR.Z Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 24.26
Evaluated at bid price : 24.75
Bid-YTW : 5.07 %
CU.PR.D Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.80
Evaluated at bid price : 21.80
Bid-YTW : 5.67 %
CU.PR.G Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.75 %
IFC.PR.E Deemed-Retractible 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 7.29 %
BAM.PR.K Floater 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 5.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 97,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.52 %
BIP.PR.A FixedReset Disc 46,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.92 %
PVS.PR.D SplitShare 45,940 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.13
Bid-YTW : 5.90 %
BAM.PR.R FixedReset Disc 44,458 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 16.46
Evaluated at bid price : 16.46
Bid-YTW : 6.33 %
MFC.PR.Q FixedReset Ins Non 38,885 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 9.05 %
MFC.PR.R FixedReset Ins Non 38,125 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 6.34 %
There were 70 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.O FixedReset Ins Non Quote: 25.43 – 25.97
Spot Rate : 0.5400
Average : 0.3393

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.85 %

BIP.PR.B FixedReset Disc Quote: 24.55 – 25.02
Spot Rate : 0.4700
Average : 0.2754

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 6.32 %

TD.PF.C FixedReset Disc Quote: 19.45 – 20.00
Spot Rate : 0.5500
Average : 0.4384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.50 %

TRP.PR.E FixedReset Disc Quote: 17.39 – 17.87
Spot Rate : 0.4800
Average : 0.3810

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 6.34 %

PWF.PR.F Perpetual-Discount Quote: 22.01 – 22.31
Spot Rate : 0.3000
Average : 0.2188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.04 %

BAM.PR.N Perpetual-Discount Quote: 19.23 – 19.60
Spot Rate : 0.3700
Average : 0.3015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-10
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 6.31 %

ALA.PR.E : Convert or Hold?

December 10th, 2018

It will be recalled that ALA.PR.E will reset at 5.393% effective December 31, 2018.

ALA.PR.E is a FixedReset, 5.00%+317, that commenced trading 2013-12-13 after being announced 2013-12-4. The 2018-11-28 notice of extension was reported on PrefBlog. The issue is tracked by HIMIPref™ but is relegated to the Scraps – FixedReset Discount subindex due to credit concerns.

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

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

pairs_fr_181210
Click for Big

The market appears to be more interested in floating rate product than usual; the implied rates until the next interconversion are above the current 3-month bill rate as the averages for investment-grade and junk issues are at +2.10% and +1.62%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

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

Estimate of FloatingReset (received in exchange for ALA.PR.E) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 2.50% 2.00% 1.50%
ALA.PR.E 17.35 317bp 17.60 17.15 16.69

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

Those who wish to convert anyway are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (Toronto time) on December 17, 2018. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s not much time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.