August 29, 2017

Conversion to T+2 settlement is now underway:

The implementation of T+2 settlement formally takes place next week, on Tues. Sept. 5, but the transition effectively begins on Mon. Aug. 28.

The Canadian Capital Markets Association (CCMA) has published a support plan stressing that the move to shorter settlement cycles “is more than a one-day event.” The transition starts with the last few days of T+3 trading, it notes, and ends Sept. 8, “assuming everything goes as planned.”

The shift to T+2 involves all segments of the investment industry, including brokerage firms, investors, exchanges and other components of trading infrastructure.

It’s a good move, reducing counterparty exposure during the pre-settlement period, but doesn’t go far enough. Why isn’t T+1 standard?

The newest crypto-currency is WhopperCoins:

Fast-food chain Burger King has launched its own crypto-currency, called WhopperCoin, in Russia.

Customers will be able to claim one coin for every rouble (1.3p) they spend on the Whopper sandwich.

Russians will be able to buy a Whopper with the virtual cash, once they have amassed 1,700 whoppercoins.

The company said it would release Apple and Android apps next month so people could save, share and trade their wallet full of whoppercoins.

It’s a great idea – I don’t know what, if anything, Aimia’s doing to exploit this new technology.

The OSC Superannuation Company, which has the official name of Canadian Foundation for Advancement of Investor Rights, “FAIR Canada” for short, has appointed a new Executive Director:

Fair Canada Chair, Ermanno Pascutto, announced that Frank Allen, a seasoned securities lawyer and executive leader, has been appointed its Executive Director. Frank begins his role effective immediately.

Frank also acted as the General Counsel at the Ontario Securities Commission and played a leading role in the development and drafting of the OSC’s rule protecting minority security holders in related party transactions.

Mr. Allen’s tenure at the OSC was from January 1988 to January 1990, thus overlapping with FAIR’s founder and Chair Ermanno Pascutto’s tenure as OSC Executive Director from 1984-89.

Long term readers will remember that FAIR and the OSC have been in bed together for a long time – I regard FAIR as nothing more than a stalking horse for the OSC. However, there is a chance – just a chance, but it’s there! – that we will soon have seen the last of FAIR, as indicated by their Annual Report to June 30, 2016:

fairfunding
Click for Big

We’ll see what happens!

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 -1.2071 % 2,333.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2071 % 4,280.9
Floater 3.71 % 3.76 % 124,463 17.87 3 -1.2071 % 2,467.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0709 % 3,079.6
SplitShare 4.73 % 4.17 % 51,743 1.32 5 -0.0709 % 3,677.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0709 % 2,869.5
Perpetual-Premium 5.40 % 4.81 % 53,980 5.87 17 0.0255 % 2,782.9
Perpetual-Discount 5.31 % 5.34 % 62,043 14.87 20 0.0234 % 2,926.6
FixedReset 4.38 % 4.43 % 148,656 6.32 98 -0.5103 % 2,383.3
Deemed-Retractible 5.07 % 5.51 % 103,167 6.03 31 0.0653 % 2,872.2
FloatingReset 2.63 % 3.08 % 40,062 4.18 9 -0.2752 % 2,615.1
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 3.76 %
BMO.PR.Y FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.65
Evaluated at bid price : 23.36
Bid-YTW : 4.44 %
IFC.PR.C FixedReset -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 5.79 %
CM.PR.O FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.44 %
TRP.PR.H FloatingReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.31 %
PWF.PR.P FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.53 %
RY.PR.J FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.63
Evaluated at bid price : 23.26
Bid-YTW : 4.47 %
MFC.PR.G FixedReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.13 %
MFC.PR.K FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 6.41 %
BAM.PF.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.92
Evaluated at bid price : 22.49
Bid-YTW : 4.66 %
TRP.PR.D FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.48
Evaluated at bid price : 21.83
Bid-YTW : 4.51 %
TRP.PR.C FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 4.54 %
MFC.PR.L FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.76 %
MFC.PR.F FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.80
Bid-YTW : 8.57 %
BAM.PF.E FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.97
Evaluated at bid price : 22.24
Bid-YTW : 4.70 %
BMO.PR.T FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.37 %
BAM.PR.K Floater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 3.76 %
TRP.PR.B FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.50 %
TD.PF.D FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.79
Evaluated at bid price : 23.61
Bid-YTW : 4.44 %
EML.PR.A FixedReset -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.18 %
TD.PF.A FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.36
Evaluated at bid price : 21.68
Bid-YTW : 4.38 %
BAM.PR.X FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.64 %
CU.PR.C FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.64 %
IFC.PR.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.69
Bid-YTW : 7.21 %
RY.PR.Z FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.35 %
RY.PR.M FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.39
Evaluated at bid price : 22.96
Bid-YTW : 4.40 %
ELF.PR.G Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.09
Evaluated at bid price : 22.37
Bid-YTW : 5.37 %
BMO.PR.W FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 4.41 %
MFC.PR.N FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.64
Bid-YTW : 6.09 %
RY.PR.H FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.38 %
POW.PR.D Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 129,575 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 4.00 %
RY.PR.B Deemed-Retractible 100,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-28
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 2.08 %
GWO.PR.H Deemed-Retractible 80,191 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.38
Bid-YTW : 6.12 %
IFC.PR.F Deemed-Retractible 53,392 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 5.51 %
PWF.PR.T FixedReset 33,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.62
Evaluated at bid price : 23.05
Bid-YTW : 4.26 %
BAM.PR.K Floater 32,048 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 3.76 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 22.24 – 22.72
Spot Rate : 0.4800
Average : 0.3061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.97
Evaluated at bid price : 22.24
Bid-YTW : 4.70 %

EML.PR.A FixedReset Quote: 26.50 – 26.90
Spot Rate : 0.4000
Average : 0.2517

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.18 %

TRP.PR.G FixedReset Quote: 23.79 – 24.20
Spot Rate : 0.4100
Average : 0.2811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.84
Evaluated at bid price : 23.79
Bid-YTW : 4.55 %

TRP.PR.D FixedReset Quote: 21.83 – 22.17
Spot Rate : 0.3400
Average : 0.2118

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.48
Evaluated at bid price : 21.83
Bid-YTW : 4.51 %

BMO.PR.Y FixedReset Quote: 23.36 – 23.81
Spot Rate : 0.4500
Average : 0.3231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.65
Evaluated at bid price : 23.36
Bid-YTW : 4.44 %

BAM.PR.R FixedReset Quote: 19.86 – 20.25
Spot Rate : 0.3900
Average : 0.2674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.67 %

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