March 27, 2019

Some illuminating charts from a Statistics Canada study:

debttoincomestatscan
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changedebttoincomestatscan
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wealthstatscan
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Meanwhile, PrefBlog’s Department Studying Artificial Intelligence Because There’s Not Bloody Much Of The Real Kind has learned something of interest to insurers:

The predictions of early death that were made by AI algorithms were “significantly more accurate” than predictions delivered by a model that did not use machine learning, lead study author Dr. Stephen Weng, an assistant professor of epidemiology and data science at the University of Nottingham (UN) in the U.K., said in a statement.

It was an interesting day for the Canadian preferred share market, which steadily fell until 2:15pm, down 45bp, when the cavalry arrived and the index finished with a gain of 8bp on the day.

txpr_190327
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PerpetualDiscounts now yield 5.40%, equivalent to 7.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.66%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a sharp narrowing from the 350bp reported March 20.

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 -1.6354 % 2,071.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6354 % 3,800.6
Floater 5.65 % 5.76 % 42,018 14.26 3 -1.6354 % 2,190.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0397 % 3,278.9
SplitShare 4.87 % 4.57 % 78,137 3.88 8 -0.0397 % 3,915.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0397 % 3,055.2
Perpetual-Premium 5.66 % -11.00 % 62,970 0.09 7 0.1572 % 2,936.0
Perpetual-Discount 5.36 % 5.40 % 79,909 14.66 26 0.4300 % 3,113.7
FixedReset Disc 5.29 % 5.27 % 197,244 14.97 64 -0.3692 % 2,156.8
Deemed-Retractible 5.21 % 5.75 % 99,020 8.20 27 0.3806 % 3,081.7
FloatingReset 4.25 % 4.04 % 40,508 2.72 5 -0.5003 % 2,375.4
FixedReset Prem 5.07 % 3.73 % 319,716 2.22 19 0.2101 % 2,571.3
FixedReset Bank Non 1.98 % 4.12 % 147,250 2.74 3 0.0977 % 2,626.8
FixedReset Ins Non 5.05 % 6.53 % 113,487 8.35 22 -0.3190 % 2,233.7
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -3.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.01
Bid-YTW : 9.34 %
MFC.PR.F FixedReset Ins Non -3.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.97
Bid-YTW : 9.25 %
TRP.PR.G FixedReset Disc -3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.02 %
SLF.PR.J FloatingReset -2.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.28
Bid-YTW : 9.51 %
GWO.PR.N FixedReset Ins Non -2.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.29
Bid-YTW : 8.90 %
HSE.PR.C FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 6.28 %
RY.PR.M FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 5.19 %
BAM.PF.F FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.69 %
BAM.PR.K Floater -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 11.88
Evaluated at bid price : 11.88
Bid-YTW : 5.84 %
RY.PR.J FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.27 %
PWF.PR.A Floater -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 5.48 %
CM.PR.O FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 5.17 %
TD.PF.C FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 5.06 %
BAM.PF.D Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 5.69 %
CM.PR.P FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 5.33 %
SLF.PR.H FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 7.87 %
BMO.PR.E FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 21.99
Evaluated at bid price : 22.50
Bid-YTW : 4.82 %
MFC.PR.L FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.41
Bid-YTW : 7.88 %
TD.PF.B FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.14 %
TRP.PR.F FloatingReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 14.07
Evaluated at bid price : 14.07
Bid-YTW : 6.39 %
GWO.PR.G Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.04
Bid-YTW : 5.71 %
PWF.PR.Z Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 23.53
Evaluated at bid price : 23.89
Bid-YTW : 5.46 %
SLF.PR.D Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 6.53 %
SLF.PR.A Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 6.13 %
BMO.PR.Y FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.06 %
PWF.PR.S Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 22.06
Evaluated at bid price : 22.44
Bid-YTW : 5.42 %
TD.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.15 %
TRP.PR.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.91 %
PWF.PR.L Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 5.43 %
SLF.PR.C Deemed-Retractible 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 6.49 %
IFC.PR.A FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.46
Bid-YTW : 8.09 %
TRP.PR.B FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 5.75 %
GWO.PR.H Deemed-Retractible 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.88 %
CU.PR.D Perpetual-Discount 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 22.88
Evaluated at bid price : 23.14
Bid-YTW : 5.34 %
PWF.PR.K Perpetual-Discount 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 5.37 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.A Deemed-Retractible 584,603 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 6.13 %
GWO.PR.I Deemed-Retractible 306,985 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.47 %
PWF.PR.S Perpetual-Discount 219,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 22.06
Evaluated at bid price : 22.44
Bid-YTW : 5.42 %
GWO.PR.L Deemed-Retractible 211,635 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -9.59 %
GWO.PR.M Deemed-Retractible 116,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : -11.36 %
PWF.PR.F Perpetual-Discount 102,371 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 24.08
Evaluated at bid price : 24.34
Bid-YTW : 5.47 %
SLF.PR.B Deemed-Retractible 101,850 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 6.14 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Deemed-Retractible Quote: 23.80 – 24.91
Spot Rate : 1.1100
Average : 0.7785

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.83 %

EMA.PR.F FixedReset Disc Quote: 19.15 – 19.79
Spot Rate : 0.6400
Average : 0.4085

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.42 %

TRP.PR.G FixedReset Disc Quote: 18.30 – 19.05
Spot Rate : 0.7500
Average : 0.5251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.02 %

TD.PF.K FixedReset Disc Quote: 21.61 – 22.08
Spot Rate : 0.4700
Average : 0.3053

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 21.32
Evaluated at bid price : 21.61
Bid-YTW : 4.95 %

BAM.PR.R FixedReset Disc Quote: 15.54 – 16.20
Spot Rate : 0.6600
Average : 0.4975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 5.92 %

CU.PR.F Perpetual-Discount Quote: 20.90 – 21.40
Spot Rate : 0.5000
Average : 0.3455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.44 %

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