October 17, 2017

October 17th, 2017

The Boston Fed has published a fascinating paper by Daniel H. Cooper, María José Luengo-Prado and Jonathan A. Parker titled The Local Aggregate Effects of Minimum Wage Increases:

As part of the Fair Labor Standards Act, the federal government initiated a national minimum wage in 1938, which has since been raised 22 times, the latest increase in 2009 going to $7.25 per hour. State-level minimum wage increases have occurred with much greater frequency, especially quite recently, with 17 states raising minimum wages in 2016 and 19 states doing so in 2017. In total, there have been 247 changes in the minimum wage on the federal and state level between 1999 and 2014, resulting in substantial variation in current minimum wages across the United States. The policy intent behind minimum wage laws is to raise the return to employment for low-wage workers; indeed, the idea of a $15 per hour “living wage” has been growing—in 2016 California and New York passed legislation to gradually raise their minimum wages to this level (Seattle enacted a similar gradual $15 per hour increase in 2014), while other states are enacting more modest multi-year raises.

A voluminous empirical literature has largely found that within the range of the increases historically experienced in the United States, higher minimum wages have minimal employment effects. However, this literature has largely overlooked the fact that through general equilibrium adjustments that go beyond the labor market, the level of the minimum wage should affect prices and consumer spending. Moreover, higher minimum wages may cause fluctuations as local economic conditions adjust to the changed regulations. This paper addresses these less-studied issues by exploiting the variation in minimum wages across the United States and the fact that labor markets are defined by commuting distances. The authors compile a dataset of state-level minimum wage changes for the 1999–2014 period and use city-level price data from metropolitan statistical areas to measure the dynamic effects that minimum wage increases have on annual changes in city-level prices (inflation) and consumer spending.

In particular, a 10 percent increase in the minimum wage is associated with an overall (all-items) inflation rate that is 8 basis points higher relative to the preceding year. This effect is not precisely estimated and is quite small, especially given that a 10 percent minimum wage increase is nearly double the average MWPC in our sample. However, the increase in inflation is not evenly distributed across all goods and services. In particular, minimum wage changes have the largest measured impact on food prices — especially food away from home (column 8). A 10 percent increase in the minimum wage leads to prices on food away from home that are about 0.3 percent higher.

Consistent with our findings for prices, we find the largest, most precisely estimated effects of a minimum wage increase on food away expenditures. In particular, a 10 percent increase in the minimum wage raises nominal food away consumption by nearly 0.8 percentage point. There are also relatively large and positive, but imprecisely estimated, impact effects for nondurables, and food and beverages consumed at home. In addition, the cumulative increase in food at home consumption is precisely estimated and of similar magnitude to the impact (and cumulative) effect for food away. Consumption of services also increases slightly.

In addition, the food away and food at home consumption effects are much larger than the respective food price effects, suggesting that nominal food consumption increases more than the amount that would be implied by higher prices alone. That is, consumers appear to adjust the quantity of food that they consume when the minimum wage rises, with the effect on food away from home being more immediate and the effect on food at home occurring over time.

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 0.2025 % 2,422.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2025 % 4,444.3
Floater 3.77 % 3.91 % 36,085 17.63 4 0.2025 % 2,561.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1055 % 3,070.2
SplitShare 4.75 % 4.72 % 74,789 4.37 6 -0.1055 % 3,666.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1055 % 2,860.7
Perpetual-Premium 5.35 % 1.53 % 61,456 0.21 17 0.0115 % 2,822.4
Perpetual-Discount 5.34 % 5.30 % 59,902 14.97 19 -0.1125 % 2,951.5
FixedReset 4.24 % 4.21 % 152,026 4.39 99 0.1385 % 2,479.3
Deemed-Retractible 5.07 % 5.57 % 100,750 6.00 30 -0.0207 % 2,902.4
FloatingReset 2.80 % 2.80 % 46,699 4.05 8 0.0000 % 2,671.6
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.54 %
MFC.PR.J FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.72 %
MFC.PR.N FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 5.18 %
HSE.PR.A FixedReset 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-17
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset 240,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-17
Maturity Price : 23.19
Evaluated at bid price : 23.60
Bid-YTW : 4.20 %
TD.PR.Y FixedReset 116,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.47 %
RY.PR.I FixedReset 100,380 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 3.65 %
NA.PR.A FixedReset 91,760 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.84 %
TD.PF.H FixedReset 90,462 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.63 %
BNS.PR.R FixedReset 60,550 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.65 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Quote: 24.31 – 24.92
Spot Rate : 0.6100
Average : 0.4430

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.31
Bid-YTW : 4.71 %

ELF.PR.G Perpetual-Discount Quote: 22.16 – 22.84
Spot Rate : 0.6800
Average : 0.5342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-17
Maturity Price : 21.92
Evaluated at bid price : 22.16
Bid-YTW : 5.38 %

HSE.PR.E FixedReset Quote: 24.70 – 24.97
Spot Rate : 0.2700
Average : 0.1845

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.15 %

W.PR.K FixedReset Quote: 26.25 – 26.50
Spot Rate : 0.2500
Average : 0.1854

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.64 %

W.PR.M FixedReset Quote: 26.57 – 26.75
Spot Rate : 0.1800
Average : 0.1159

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.57
Bid-YTW : 3.53 %

BMO.PR.Y FixedReset Quote: 24.90 – 25.24
Spot Rate : 0.3400
Average : 0.2772

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.18 %

October 16, 2017

October 16th, 2017
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 -0.2693 % 2,417.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2693 % 4,435.4
Floater 3.78 % 3.92 % 33,404 17.60 4 -0.2693 % 2,556.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2047 % 3,073.4
SplitShare 4.75 % 4.63 % 72,317 4.37 6 0.2047 % 3,670.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2047 % 2,863.7
Perpetual-Premium 5.35 % 1.37 % 61,306 0.13 17 0.0717 % 2,822.1
Perpetual-Discount 5.33 % 5.31 % 61,761 14.96 19 0.1984 % 2,954.8
FixedReset 4.25 % 4.22 % 153,955 4.51 99 -0.0253 % 2,475.8
Deemed-Retractible 5.07 % 5.54 % 99,082 6.00 30 0.0456 % 2,903.0
FloatingReset 2.80 % 2.79 % 48,250 4.05 8 -0.2930 % 2,671.6
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.78 %
PWF.PR.A Floater -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 3.45 %
BIP.PR.C FixedReset -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.71 %
BMO.PR.Y FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 23.31
Evaluated at bid price : 24.75
Bid-YTW : 4.34 %
HSE.PR.C FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 23.23
Evaluated at bid price : 24.25
Bid-YTW : 4.93 %
CU.PR.G Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 21.45
Evaluated at bid price : 21.74
Bid-YTW : 5.23 %
PVS.PR.E SplitShare 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 4.63 %
CU.PR.E Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 23.41
Evaluated at bid price : 23.68
Bid-YTW : 5.23 %
MFC.PR.B Deemed-Retractible 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset 100,875 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 22.78
Evaluated at bid price : 23.40
Bid-YTW : 4.18 %
TRP.PR.K FixedReset 86,651 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 4.10 %
TRP.PR.G FixedReset 76,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 23.00
Evaluated at bid price : 24.10
Bid-YTW : 4.69 %
NA.PR.W FixedReset 68,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 22.62
Evaluated at bid price : 23.15
Bid-YTW : 4.24 %
NA.PR.C FixedReset 56,019 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.02 %
RY.PR.Q FixedReset 55,394 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 3.54 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.R Perpetual-Premium Quote: 25.30 – 25.63
Spot Rate : 0.3300
Average : 0.1945

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 5.30 %

MFC.PR.G FixedReset Quote: 24.34 – 24.72
Spot Rate : 0.3800
Average : 0.2599

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.34
Bid-YTW : 4.69 %

PWF.PR.P FixedReset Quote: 17.45 – 17.80
Spot Rate : 0.3500
Average : 0.2334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.52 %

MFC.PR.N FixedReset Quote: 22.98 – 23.29
Spot Rate : 0.3100
Average : 0.1947

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 5.37 %

MFC.PR.J FixedReset Quote: 24.22 – 24.71
Spot Rate : 0.4900
Average : 0.3833

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 4.91 %

ELF.PR.G Perpetual-Discount Quote: 22.17 – 22.65
Spot Rate : 0.4800
Average : 0.3743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-16
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 5.38 %

October PrefLetter Released!

October 15th, 2017

The October, 2017, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the October, 2017, issue, while the “Next Edition” will be the November, 2017, issue, scheduled to be prepared as of the close November 10 and eMailed to subscribers prior to market-opening on November 13.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

PIC.PR.A To Be Extended

October 14th, 2017

Strathbridge Asset Management Inc. has announced (on September 1):

Premium Income Corporation (the “Fund”) is pleased to announce that the term of the Fund will be extended automatically for an additional seven year period beyond November 1, 2017 to November 1, 2024 as provided for in its articles of incorporation. In addition, in connection with the new term, holders of Class A shares will continue to receive ongoing leveraged exposure to a high-quality portfolio consisting principally of common shares of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, National Bank of Canada and The Toronto-Dominion Bank, as well as attractive quarterly distributions in the amount of $0.20319 ($0.81276 per annum) per class A share. Holders of the preferred shares are expected to continue to benefit from fixed cumulative preferential quarterly distributions in the amount of $0.215625 ($0.8625 per annum) per preferred share representing a yield of 5.75% on the original issue price of $15.00.

In connection with the extension of the term, holders of class A shares and preferred shares have a special retraction right (“Special Retraction Right”) to permit holders of such securities to retract such shares on November 1, 2017 on the terms on which such shares would have been redeemed had the term of the Fund not been extended. In order to exercise the Special Retraction Right, shares must be surrendered for retraction on or prior to 5:00 p.m. (Toronto time) on October 13, 2017. Depending on if more class A shares or preferred shares are retracted under the Special Retraction Right, the Fund will have to redeem preferred shares or consolidate the class A shares on a basis to ensure an equal number of class A shares and preferred shares remain outstanding. Notice of such redemption or consolidation, will be made via press release on or before October 23, 2017.

For further information, please contact Investor Relations at 416.681.3966, toll free at 1.800.725.7172 or visit www.strathbridge.com.

October 13, 2017

October 13th, 2017
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 0.1348 % 2,423.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1348 % 4,447.3
Floater 3.77 % 3.94 % 31,755 17.57 4 0.1348 % 2,563.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0792 % 3,067.1
SplitShare 4.76 % 4.86 % 73,485 4.38 6 -0.0792 % 3,662.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0792 % 2,857.9
Perpetual-Premium 5.36 % 3.32 % 61,672 0.22 17 -0.0046 % 2,820.1
Perpetual-Discount 5.34 % 5.31 % 61,749 14.94 19 0.0835 % 2,948.9
FixedReset 4.24 % 4.23 % 155,431 4.56 99 0.0735 % 2,476.5
Deemed-Retractible 5.07 % 5.54 % 100,598 6.01 30 0.0608 % 2,901.6
FloatingReset 2.80 % 2.80 % 50,129 4.06 8 0.1413 % 2,679.5
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 3.41 %
BAM.PF.J FixedReset 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.41 %
NA.PR.W FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 22.64
Evaluated at bid price : 23.18
Bid-YTW : 4.23 %
HSE.PR.G FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 23.32
Evaluated at bid price : 24.70
Bid-YTW : 5.17 %
GWO.PR.N FixedReset 1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.71
Bid-YTW : 7.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.Z Perpetual-Discount 207,904 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 23.94
Evaluated at bid price : 24.30
Bid-YTW : 5.29 %
TD.PF.A FixedReset 82,026 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 23.07
Evaluated at bid price : 23.40
Bid-YTW : 4.21 %
TD.PF.G FixedReset 80,348 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.62
Bid-YTW : 3.48 %
TD.PF.H FixedReset 79,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.63 %
TD.PF.C FixedReset 73,308 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 22.76
Evaluated at bid price : 23.37
Bid-YTW : 4.18 %
RY.PR.Q FixedReset 72,464 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.55 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.C Deemed-Retractible Quote: 21.96 – 22.27
Spot Rate : 0.3100
Average : 0.2108

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 6.72 %

HSE.PR.C FixedReset Quote: 24.00 – 24.36
Spot Rate : 0.3600
Average : 0.2704

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 23.11
Evaluated at bid price : 24.00
Bid-YTW : 4.99 %

CM.PR.Q FixedReset Quote: 24.51 – 24.75
Spot Rate : 0.2400
Average : 0.1556

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 4.31 %

BMO.PR.Y FixedReset Quote: 25.00 – 25.24
Spot Rate : 0.2400
Average : 0.1629

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.01 %

CU.PR.G Perpetual-Discount Quote: 21.50 – 21.80
Spot Rate : 0.3000
Average : 0.2237

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.31 %

SLF.PR.D Deemed-Retractible Quote: 21.65 – 21.92
Spot Rate : 0.2700
Average : 0.1965

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.88 %

October 12, 2017

October 12th, 2017

There is a very good staff working paper published by the Bank of Canada, by Jean-Sébastien Fontaine and Guillaume Nolin titled Measuring Limits of Arbitrage in Fixed-Income Markets:

We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo-trading strategy based on relative value generates higher returns than one based on the well-known noise measure. The relative value is therefore a better proxy for limits to arbitrage. We construct relative value indices for the US, UK, Japan, Germany, Italy, France, Switzerland and Canada. Limits to arbitrage increase with the scarcity of capital: we find that each index is correlated with local volatility and funding costs. Limits to arbitrage also exhibit strong commonality across countries, consistent with the international mobility of capital. The relative value indices are updated regularly and available publicly.

Using a static parametric yield curve, Hu, Pan and Wang (2013) (HPW thereafter) show that an index of fitting errors—the “noise” measure—is priced in the cross-section of returns from hedge funds and carry trades. In other words, aggregating these deviations tends to reveal an important financial risk factor.

Measuring fitting errors against a parametric curve is a component of HIMIPref™ I dub “disparity”. The BoC paper then states:

We introduce a new measure of deviations based on the relative value of bonds. This measure is model-free, bypassing the need for preliminary parameter estimation. It is intuitive and easy to compute. For any bond in our sample, we use a small number of comparable bonds to form a replicating portfolio with the same duration and convexity. This bond and its replicating portfolio should have the same expected return. The relative value for that bond is the difference between its yield and that of the replicating portfolio.

So it’s a tightly constrained yield maximizer, also a component of HIMIPref™.

Extending the analysis to several other countries, we find that the relative value index is correlated with local equity market volatility indices and domestic interbank lending market conditions. In addition, the relative value indices exhibit a large degree of commonality across countries. These relative value indices are available publicly and will be regularly updated. We hope that these indices will help to answer a number of research questions. In addition, future research could apply our methodology to create relative value indices for supranational, sub-national or corporate bond markets.

I have a number of technical quibbles about their methodology, but it’s a worthy effort. The two problems that come immediately to mind are first, the quality of the market data (I haven’t seen a bond database yet that hasn’t been riddled with errors) and the fact that there’s no allowance for the cost of shorting. I found in the Treasury Market in the ’90’s that there were a lot of unusually rich issues (particularly in the short end) … and that almost every one of those had ‘gone special’ in the loans market, meaning they were expensive to short. And just try getting data for THAT!

But, I will admit, the part I like best about this paper is that it provides third party validation of my investing style … which is always a useful thing to have on hand when marketing one’s services!

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 0.1857 % 2,420.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1857 % 4,441.3
Floater 3.77 % 3.93 % 30,155 17.60 4 0.1857 % 2,559.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1647 % 3,069.5
SplitShare 4.75 % 4.87 % 76,109 4.38 6 -0.1647 % 3,665.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1647 % 2,860.1
Perpetual-Premium 5.36 % -1.68 % 64,217 0.14 17 0.1366 % 2,820.2
Perpetual-Discount 5.35 % 5.31 % 61,187 14.94 19 0.1922 % 2,946.5
FixedReset 4.25 % 4.28 % 157,571 4.58 99 0.1981 % 2,474.7
Deemed-Retractible 5.08 % 5.58 % 101,454 6.01 30 0.1273 % 2,899.9
FloatingReset 2.77 % 2.77 % 50,717 4.06 8 -0.0326 % 2,675.7
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 23.16
Evaluated at bid price : 24.32
Bid-YTW : 5.30 %
PVS.PR.E SplitShare -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.98 %
MFC.PR.M FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.43
Bid-YTW : 5.16 %
MFC.PR.L FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 5.79 %
SLF.PR.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.31
Bid-YTW : 7.70 %
HSE.PR.A FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.77 %
RY.PR.J FixedReset 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.97 %
TD.PF.A FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 23.12
Evaluated at bid price : 23.45
Bid-YTW : 4.24 %
BMO.PR.Q FixedReset 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.67
Bid-YTW : 4.39 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 115,286 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.71
Bid-YTW : 3.68 %
RY.PR.R FixedReset 113,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 3.55 %
TD.PF.D FixedReset 108,102 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 4.21 %
TD.PF.B FixedReset 105,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 22.99
Evaluated at bid price : 23.36
Bid-YTW : 4.27 %
NA.PR.Q FixedReset 104,275 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.29 %
RY.PR.J FixedReset 84,784 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.97 %
There were 57 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Quote: 22.86 – 23.50
Spot Rate : 0.6400
Average : 0.3904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 22.43
Evaluated at bid price : 22.86
Bid-YTW : 4.34 %

HSE.PR.G FixedReset Quote: 24.32 – 24.80
Spot Rate : 0.4800
Average : 0.2958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-12
Maturity Price : 23.16
Evaluated at bid price : 24.32
Bid-YTW : 5.30 %

IFC.PR.A FixedReset Quote: 20.20 – 20.50
Spot Rate : 0.3000
Average : 0.1906

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 6.97 %

BAM.PF.J FixedReset Quote: 25.20 – 25.56
Spot Rate : 0.3600
Average : 0.2524

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.68 %

BNS.PR.D FloatingReset Quote: 22.93 – 23.19
Spot Rate : 0.2600
Average : 0.1748

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 4.02 %

GWO.PR.Q Deemed-Retractible Quote: 24.41 – 24.65
Spot Rate : 0.2400
Average : 0.1578

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 5.61 %

October 11, 2017

October 11th, 2017

The salutary effects of Ontario’s minimum wage hike are becoming visible: one large company is thinking about what it’s doing and taking steps to increase productivity:

Grocery store chain Metro Inc. says it will eliminate about 280 jobs starting in 2021 as part of a $400-million overhaul of its Ontario distribution network.

The company says the move to modernize and automate its network will mean the loss of about 180 full-time and 100 part-time positions.

The announcement follows comments by Metro in August that it would study automation as it looked to cut costs in the face of the Ontario government’s plan to raise the minimum wage next year.

PerpetualDiscounts now yield 5.32%, equivalent to 6.92% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 285bp, a significant narrowing from the 295bp reported October 4.

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 -0.2358 % 2,415.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2358 % 4,433.1
Floater 3.78 % 3.94 % 28,764 17.58 4 -0.2358 % 2,554.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0066 % 3,074.6
SplitShare 4.74 % 4.66 % 75,736 4.39 6 0.0066 % 3,671.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0066 % 2,864.8
Perpetual-Premium 5.36 % 2.99 % 64,477 0.22 17 0.0417 % 2,816.4
Perpetual-Discount 5.36 % 5.32 % 62,163 14.91 19 0.0113 % 2,940.8
FixedReset 4.26 % 4.31 % 150,972 4.59 99 0.1883 % 2,469.8
Deemed-Retractible 5.08 % 5.58 % 101,012 6.02 30 0.1635 % 2,896.2
FloatingReset 2.77 % 2.73 % 50,891 4.06 8 0.1197 % 2,676.6
Performance Highlights
Issue Index Change Notes
ELF.PR.G Perpetual-Discount -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.41 %
BAM.PR.R FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.75 %
HSE.PR.E FixedReset 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.68
Bid-YTW : 5.15 %
SLF.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 6.98 %
BAM.PR.Z FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 24.05
Evaluated at bid price : 24.87
Bid-YTW : 4.73 %
HSE.PR.A FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 4.82 %
BMO.PR.Q FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 4.74 %
TRP.PR.F FloatingReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 3.55 %
MFC.PR.K FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 5.72 %
TRP.PR.B FixedReset 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 242,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.69 %
TRP.PR.K FixedReset 196,554 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.09 %
RY.PR.R FixedReset 150,859 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.99
Bid-YTW : 3.51 %
NA.PR.A FixedReset 110,695 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 4.01 %
NA.PR.S FixedReset 108,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 23.16
Evaluated at bid price : 23.57
Bid-YTW : 4.38 %
TD.PF.E FixedReset 106,096 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.78 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.B Perpetual-Discount Quote: 24.85 – 26.66
Spot Rate : 1.8100
Average : 1.0178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 5.40 %

BMO.PR.Q FixedReset Quote: 22.35 – 22.74
Spot Rate : 0.3900
Average : 0.2523

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 4.74 %

ELF.PR.G Perpetual-Discount Quote: 22.00 – 22.38
Spot Rate : 0.3800
Average : 0.2433

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.41 %

GWO.PR.N FixedReset Quote: 17.35 – 17.75
Spot Rate : 0.4000
Average : 0.2826

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.35
Bid-YTW : 8.31 %

BMO.PR.S FixedReset Quote: 23.80 – 24.08
Spot Rate : 0.2800
Average : 0.1685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-11
Maturity Price : 23.40
Evaluated at bid price : 23.80
Bid-YTW : 4.32 %

MFC.PR.L FixedReset Quote: 22.11 – 22.36
Spot Rate : 0.2500
Average : 0.1745

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.96 %

October 10, 2017

October 10th, 2017

Scotia came out with a Tier 1 Bond last week:

Bank of Nova Scotia saw strong investor demand on Wednesday for an Additional Tier 1 bond, the first offshore deal of its kind out of Canada, which could pave the way for similar deals. The US$1.25bn perpetual non-call five issue, which has a fixed coupon for the initial five years and then switches to floating, saw almost US$8bn of demand at the peak of interest.

With the level of interest so strong – there were roughly 400 line items in early marketing – bookrunners Bank of America Merrill Lynch, Citigroup, Scotia and UBS were able to pull in pricing sharply from IPTs of 5% area to 4.65%.

That looked to be attractive pricing for the borrower, who is looking to diversify its funding outside of Canada.

“The deal has a dividend stopper and the concept of MDA doesn’t exist in Canada.”

Dividend stopper language prevents banks from paying equity dividends if they have not paid AT1 coupons, and is prohibited in European AT1 bonds.

Maximum Distributable Amounts (MDA) is also a European concept and is effectively a firm’s distributable profit. If it is too low, banks can be barred from paying AT1 coupons.

“Some European AT1s turn the capital structure upside down,” David Knutson, head of Americas credit research at Schroders, told IFR.

“They are essentially sub equity. In principle, you shouldn’t be able to pay equity if you can’t pay bondholders.”

This may cut into the supply of preferred shares:

The notes were crafted in such a way that the money raised qualifies as additional tier 1 (AT1) capital, which is part of a cash reserve that Canada’s top banking regulator expects banks to hold to maintain a minimum level of financial stability.

The Canadian banks have primarily raised this type of capital by issuing preferred shares into the domestic market, which is heavily dependent on retail demand. But preferred shares have been a tough sell for banks to export beyond Canada because Canada Revenue Agency puts a tax of 25 per cent on any passive income generated by investors who are not residents of Canada.

BMO Nesbitt Burns Inc. analyst Kris Somers called Scotiabank’s note a “gamechanger,” adding in a report that the new structure has the potential to result in reduced supply of preferred shares sold by financials.

This type of offering is being billed as a solution to a problem that Canada’s largest financial institutions have been wrestling with for years: The country’s market for preferred shares has become a less reliable and more costly way of sourcing AT1 capital.

There’s no mention of the issue on Scotia’s website that I can see, but the prospectus is on EDGAR – and I can link to it directly because it was subject to the rules of a first-world regulator!

Interest Rate
From and including the Issue Date to, but excluding, October 12, 2022 (the “Fixed Rate Period”), interest will accrue on the Notes at an initial rate equal to 4.650% per annum. From and including October 12, 2022 (the “Floating Rate Period”), interest will accrue on the Notes at a rate per annum equal to three-month LIBOR (as defined herein) plus 2.648% and will reset quarterly.

Optional Redemption
The Bank may, at its option, with the prior written approval of the Superintendent of Financial Institutions (Canada) (the “Superintendent”), redeem the Notes, in whole or in part, on any Interest Payment Date on or after October 12, 2022, at a redemption price equal to 100% of the principal amount thereof, plus any accrued and unpaid interest up to, but excluding, the date of redemption (except to the extent such unpaid interest was cancelled).

The Bank may, at its option, with the prior written approval of the Superintendent, redeem the Notes, in whole but not in part, at any time within 90 days following a Regulatory Event Date (as defined herein), at a redemption price equal to 100% of the principal amount thereof, plus any accrued and unpaid interest up to, but excluding, the date of redemption (except to the extent such unpaid interest was cancelled).

Additionally, the Bank may, at its option, with the prior written approval of the Superintendent, redeem the Notes, in whole but not in part, on any date following the occurrence of a Tax Event (as defined herein), at a redemption price equal to 100% of the principal amount thereof, plus any accrued and unpaid interest up to, but excluding, the date of redemption (except to the extent such unpaid interest was cancelled).

Upon the occurrence of a Trigger Event (as defined below), each outstanding Note will automatically and immediately be converted, on a full and permanent basis, without the consent of the holders thereof, into that number of Common Shares determined by dividing (a) the product of the Multiplier and the Note Value, by (b) the Conversion Price (an “NVCC Automatic Conversion”). See “Description of the Notes—NVCC Automatic Conversion.”

“Conversion Price” means, in respect of each Note, the greater of (i) the Floor Price and (ii) the Current Market Price.

“Current Market Price” means the volume weighted average trading price of the Common Shares on the TSX or, if not then listed on the TSX, on another exchange or market chosen by the board of directors of the Bank on which the Common Shares are then traded, for the 10 consecutive trading days ending on the trading day immediately prior to the date on which the Trigger Event occurs (with the conversion occurring as of the start of business on the date on which the Trigger Event occurs), converted (if not denominated in U.S. dollars) into U.S. dollars at the Prevailing Rate on the day immediately prior to the date on which the Trigger Event occurs. If no such trading prices are available, Current Market Price shall be the Floor Price.

“Floor Price” means the U.S. dollar equivalent of CAD$5.00 converted into U.S. dollars at the Prevailing Rate on the day immediately prior to the date on which the Trigger Event occurs, subject to adjustment in the event of (i) the issuance of Common Shares or securities exchangeable for or convertible into Common Shares to all holders of Common Shares as a stock dividend, (ii) the subdivision, redivision or change of the Common Shares into a greater number of Common Shares, or (iii) the reduction, combination or consolidation of the Common Shares into a lesser number of Common Shares. The adjustment shall be calculated to the nearest one-tenth of one cent provided that no adjustment of the Floor Price shall be required unless such adjustment would require an increase or decrease of at least 1% of the Floor Price then in effect; provided, however, that in such case any adjustment that would otherwise be required to be made will be carried forward and will be made at the time of and together with the next subsequent adjustment which, together with any adjustments so carried forward, will amount to at least 1% of the Floor Price.

“Multiplier” means 1.25.

Note that the multiplier for sub-debt is 1.5 and the multiplier for preferred shares is 1.0. So preferred shares are effectively junior to this debt.

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 0.3550 % 2,421.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3550 % 4,443.6
Floater 3.77 % 3.93 % 27,932 17.60 4 0.3550 % 2,560.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0659 % 3,074.4
SplitShare 4.74 % 4.75 % 76,674 4.39 6 0.0659 % 3,671.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0659 % 2,864.6
Perpetual-Premium 5.37 % 4.66 % 62,940 2.34 17 0.1693 % 2,815.2
Perpetual-Discount 5.36 % 5.32 % 63,300 14.93 19 0.1676 % 2,940.5
FixedReset 4.26 % 4.32 % 151,943 6.10 99 0.1538 % 2,465.1
Deemed-Retractible 5.09 % 5.56 % 100,808 6.02 30 0.1860 % 2,891.5
FloatingReset 2.77 % 2.80 % 50,419 4.07 8 0.4206 % 2,673.4
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-10
Maturity Price : 15.84
Evaluated at bid price : 15.84
Bid-YTW : 4.63 %
MFC.PR.G FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 4.75 %
SLF.PR.G FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.09
Bid-YTW : 7.89 %
TRP.PR.A FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-10
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 4.53 %
BMO.PR.Z Perpetual-Premium 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.72 %
MFC.PR.N FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 5.33 %
CM.PR.O FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-10
Maturity Price : 23.03
Evaluated at bid price : 23.40
Bid-YTW : 4.32 %
MFC.PR.M FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.25 %
SLF.PR.J FloatingReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.58
Bid-YTW : 7.73 %
BAM.PR.X FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-10
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 162,355 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.98
Bid-YTW : 4.12 %
MFC.PR.O FixedReset 102,942 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.70 %
GWO.PR.T Deemed-Retractible 83,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.65 %
GWO.PR.P Deemed-Retractible 80,013 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 5.07 %
GWO.PR.S Deemed-Retractible 72,076 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 5.29 %
BMO.PR.B FixedReset 69,313 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 3.75 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.D Deemed-Retractible Quote: 25.42 – 26.00
Spot Rate : 0.5800
Average : 0.3395

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-11-09
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -8.60 %

CCS.PR.C Deemed-Retractible Quote: 23.60 – 24.25
Spot Rate : 0.6500
Average : 0.4331

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 6.02 %

RY.PR.J FixedReset Quote: 24.61 – 25.00
Spot Rate : 0.3900
Average : 0.2624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-10
Maturity Price : 23.30
Evaluated at bid price : 24.61
Bid-YTW : 4.41 %

TRP.PR.B FixedReset Quote: 15.84 – 16.38
Spot Rate : 0.5400
Average : 0.4186

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-10
Maturity Price : 15.84
Evaluated at bid price : 15.84
Bid-YTW : 4.63 %

ELF.PR.H Perpetual-Premium Quote: 24.80 – 25.10
Spot Rate : 0.3000
Average : 0.2092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-10
Maturity Price : 24.47
Evaluated at bid price : 24.80
Bid-YTW : 5.56 %

BMO.PR.T FixedReset Quote: 23.16 – 23.50
Spot Rate : 0.3400
Average : 0.2589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-10
Maturity Price : 22.80
Evaluated at bid price : 23.16
Bid-YTW : 4.34 %

October 6, 2017

October 6th, 2017

I just noticed we’ve passed a milestone of sorts … both today and 2017-10-4, the “Median Duration-to-Worst” of the FixedReset subindex is less than 5, indicating that the average (see note, below) investment-grade FixedReset will now be called in the worst-case scenario … for a long time it has been insurance sector “Deemed Retractions” that have been medians. October 4 was the first time since November 28, 2014 that this has happened … it will be remembered that although December 1, 2014 was only a moderately negative day, but it was shortly followed by the reset of TRP.PR.A TO 3.266%. This reset was a wake-up call for the (surprisingly many) who hadn’t been paying attention to projected reset rates and I consider this to be the start of the bear market that reached its nadir in February 2016.

So in honour of this momentous event, let’s republish the chart showing the “Rolling 114 Month Cumulative Return”, with its commentary:

When I wrote eMail To A Client towards the end of July, one had to go back to January, 2011, to find a starting point that would give you a positive return through the holding period. As of the end of September, the required starting point moved back again, to July month-end, 2010. The debacle of the last two months, in which the BMO-CM index lost another 12.66% has extended this period to ludicrous lengths: the total cumulative return since August 31, 2006, a period of nine-and-a-half years, is now a mere 0.73%. And note the word cumulative. I don’t mean annualized. Cumulative.

The current 114-month total cumulative return of basically zero was not exceeded during the Credit Crunch. Neither was the current 12-month total return of -22.09%, since the worst 12-month cumulative return prior to this was for the year ending November 28, 2008, for which the total return was a relatively healthy -20.93%. The discussion in eMail To A Client still applies … but more so, now!

prefCumulativeReturns_160229_114Mo
Click for Big

… and update it with the nineteen months of returns since then …

prefcumulativereturns_170929_114mo
Click for Big

Looks a little better now, eh?

*Note that medians are calculated by weight, not by count, so that if you have an index that is comprised of one issue with a weight of 60% and 40 issues with a weight of 1% each, any median measured will take its value from the big issue. The median issue for the duration calculation is NA.PR.C, which is presumed by the YTW calculation to be called on economic grounds; it is ranked #47 in order of ascending Modified Duration – YTW. Of the 46 issues with a lower calculated Modified Duration – YTW:

  • One has been called, price of 24.95
  • Twenty-two are bank issues, presumed to be called on economic grounds, average price 25.74
  • Thirteen are unregulated issues, presumed to be called on economic grounds, average price 25.83
  • Two are insurance issues, presumed to be called on economic grounds, average price 26.30
  • Eight are bank issues, considered to be subject to a “Deemed Retraction”, average price 24.08

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 -0.3705 % 2,413.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3705 % 4,427.9
Floater 3.79 % 3.95 % 25,848 17.55 4 -0.3705 % 2,551.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2379 % 3,072.4
SplitShare 4.75 % 4.78 % 79,325 4.40 6 0.2379 % 3,669.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2379 % 2,862.8
Perpetual-Premium 5.38 % 4.66 % 60,255 2.35 17 0.2320 % 2,810.4
Perpetual-Discount 5.36 % 5.33 % 63,173 14.94 19 0.3199 % 2,935.6
FixedReset 4.27 % 4.34 % 151,561 4.58 99 0.2793 % 2,461.3
Deemed-Retractible 5.10 % 5.59 % 99,162 6.03 30 0.2533 % 2,886.1
FloatingReset 2.85 % 3.02 % 50,637 4.07 8 0.1587 % 2,662.2
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 4.89 %
BMO.PR.S FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 23.32
Evaluated at bid price : 23.72
Bid-YTW : 4.34 %
PWF.PR.T FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 23.18
Evaluated at bid price : 23.65
Bid-YTW : 4.35 %
TRP.PR.F FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 3.68 %
PWF.PR.L Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 23.64
Evaluated at bid price : 23.91
Bid-YTW : 5.33 %
MFC.PR.J FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.24
Bid-YTW : 4.92 %
HSE.PR.E FixedReset 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.26 %
BAM.PR.R FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.72 %
CU.PR.E Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 22.91
Evaluated at bid price : 23.35
Bid-YTW : 5.29 %
GWO.PR.H Deemed-Retractible 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.28 %
SLF.PR.G FixedReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 8.05 %
BAM.PF.G FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 23.17
Evaluated at bid price : 24.34
Bid-YTW : 4.68 %
BAM.PR.T FixedReset 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 4.69 %
IFC.PR.A FixedReset 2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 7.12 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.Q FixedReset 316,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 1.84 %
NA.PR.X FixedReset 111,299 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 3.63 %
MFC.PR.H FixedReset 91,683 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 5.08 %
CM.PR.R FixedReset 79,792 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.04 %
BAM.PR.K Floater 59,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 3.96 %
IAG.PR.G FixedReset 27,559 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 5.16 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.D Perpetual-Discount Quote: 22.06 – 22.58
Spot Rate : 0.5200
Average : 0.3319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 21.78
Evaluated at bid price : 22.06
Bid-YTW : 5.58 %

BAM.PR.X FixedReset Quote: 17.29 – 17.65
Spot Rate : 0.3600
Average : 0.2210

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 4.89 %

MFC.PR.N FixedReset Quote: 22.76 – 23.16
Spot Rate : 0.4000
Average : 0.2611

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.76
Bid-YTW : 5.54 %

MFC.PR.M FixedReset Quote: 23.00 – 23.36
Spot Rate : 0.3600
Average : 0.2445

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.45 %

CU.PR.D Perpetual-Discount Quote: 23.60 – 23.86
Spot Rate : 0.2600
Average : 0.1576

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 23.34
Evaluated at bid price : 23.60
Bid-YTW : 5.24 %

CM.PR.O FixedReset Quote: 23.10 – 23.50
Spot Rate : 0.4000
Average : 0.3061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-06
Maturity Price : 22.74
Evaluated at bid price : 23.10
Bid-YTW : 4.39 %

October 5, 2017

October 5th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.2447 % 2,422.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2447 % 4,444.3
Floater 3.77 % 3.92 % 26,640 17.63 4 1.2447 % 2,561.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3162 % 3,065.1
SplitShare 4.76 % 4.82 % 80,769 4.40 6 -0.3162 % 3,660.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3162 % 2,856.0
Perpetual-Premium 5.36 % 4.76 % 60,975 2.35 17 0.3168 % 2,803.9
Perpetual-Discount 5.36 % 5.36 % 62,211 14.79 19 0.3634 % 2,926.2
FixedReset 4.28 % 4.37 % 153,498 6.10 99 0.2677 % 2,454.5
Deemed-Retractible 5.11 % 5.60 % 99,695 6.03 30 0.1673 % 2,878.8
FloatingReset 2.85 % 3.00 % 50,817 4.07 8 0.0701 % 2,658.0
Performance Highlights
Issue Index Change Notes
PVS.PR.E SplitShare -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.82 %
TRP.PR.F FloatingReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 3.72 %
BAM.PF.G FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 23.02
Evaluated at bid price : 24.00
Bid-YTW : 4.75 %
TRP.PR.B FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 4.62 %
IAG.PR.A Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.16 %
MFC.PR.F FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.80
Bid-YTW : 7.93 %
MFC.PR.M FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 5.52 %
PWF.PR.R Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 5.47 %
RY.PR.H FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 22.92
Evaluated at bid price : 23.28
Bid-YTW : 4.34 %
POW.PR.D Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.21 %
BAM.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 3.92 %
PWF.PR.E Perpetual-Premium 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-11-04
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : -3.39 %
HSE.PR.A FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 4.82 %
IAG.PR.G FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.22 %
CM.PR.P FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 22.38
Evaluated at bid price : 22.78
Bid-YTW : 4.34 %
NA.PR.S FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 23.17
Evaluated at bid price : 23.58
Bid-YTW : 4.45 %
BAM.PR.K Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.94 %
BAM.PR.C Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.94 %
NA.PR.W FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 22.39
Evaluated at bid price : 22.80
Bid-YTW : 4.42 %
MFC.PR.J FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 5.11 %
PWF.PR.S Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 22.73
Evaluated at bid price : 23.11
Bid-YTW : 5.27 %
TRP.PR.C FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 4.57 %
BAM.PR.T FixedReset 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 189,539 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.11 %
RY.PR.Q FixedReset 160,283 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 3.61 %
CM.PR.R FixedReset 104,146 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.07 %
TD.PF.C FixedReset 76,914 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 22.44
Evaluated at bid price : 22.87
Bid-YTW : 4.33 %
MFC.PR.H FixedReset 57,205 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.06 %
IFC.PR.A FixedReset 53,716 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 7.48 %
There were 65 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 19.58 – 20.39
Spot Rate : 0.8100
Average : 0.6276

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 3.72 %

PVS.PR.E SplitShare Quote: 25.90 – 26.38
Spot Rate : 0.4800
Average : 0.3106

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.82 %

BAM.PF.G FixedReset Quote: 24.00 – 24.35
Spot Rate : 0.3500
Average : 0.2141

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-05
Maturity Price : 23.02
Evaluated at bid price : 24.00
Bid-YTW : 4.75 %

MFC.PR.K FixedReset Quote: 21.97 – 22.47
Spot Rate : 0.5000
Average : 0.3734

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.97
Bid-YTW : 6.10 %

MFC.PR.I FixedReset Quote: 24.40 – 24.74
Spot Rate : 0.3400
Average : 0.2334

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.09 %

SLF.PR.G FixedReset Quote: 17.66 – 17.98
Spot Rate : 0.3200
Average : 0.2244

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.66
Bid-YTW : 8.26 %