March 23, 2020

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quarantine_200323 mushroomcloud_200323_2
(Original Caption) An awesome mushroom cloud rises as an atomic bomb is exploded off Bikini Atoll in the Marshall Islands in 1946. coronavirus_200323_2
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American banks are issuing dire warnings:

  • Goldman Sachs economists on Friday forecast an unprecedented 24% hit to U.S. second-quarter GDP, following a 6% decline in the first-quarter, due to coronavirus; the bank also expects unemployment to surge to 9% and full-year GDP for 2020 to fall 3.8% on an annual average basis.
  • Bank of America warned late on Thursday that a recession due to the coronavirus pandemic is already here: “Jobs will be lost, wealth will be destroyed and confidence depressed,” the bank’s U.S. economist, Michelle Meyer, wrote in a note, as the Bank of America also forecast the economy to “collapse” in the second quarter, shrinking by 12%, with GDP for 2020 taking a 0.8% hit.
  • Morgan Stanley warned investors of the same thing: “Global recession in 2020 is now our base case,” the firm’s chief economist, Chetan Ahya, wrote in a recent note, predicting global economic growth to slow to 0.9% this year—the lowest level seen since the 2008 crisis.
    Deutsche Bank predicts that the U.S. economy will contract by 12.9% in the second quarter, with the coronavirus-driven declines set to “substantially exceed anything previously recorded going back to at least World War II,” according to a note Wednesday.
  • UBS similarly sees a “massive contraction” of almost 10% in second-quarter GDP, while also predicting a deep recession in the first half of 2020 due to the coronavirus pandemic.
  • But: Most of the economists at the big banks listed above still predict the economy will rebound later in 2020, or by 2021 at the latest.

And pension plans are looking sick again:

Canadian pension plans have seen their funding crater in recent weeks amid falling interest rates and a meltdown in stock markets, leaving some with shortfalls just weeks after being fully funded.

Consulting firm Mercer Canada Ltd. said its pension health index closed 2019 at 112 per cent — a reading that suggests the plans were over-funded, with more assets than obligations — up 10 percentage points over the course of the year. It was 103 per cent on Feb. 29, but had fallen to 89 per cent on Monday, March 16.

Aon PLC said its measure of pension solvency in Canada, which approached record highs in the fourth quarter of 2019, declined from 102.5 per cent on Jan. 2 to 95.8 per cent on Feb. 28, then to 90.6 by Friday, March 13.

So the Fed is ramping up its efforts:

The Fed pledged to buy as much government-backed debt as needed to restore normal functioning in the markets for housing and Treasury bonds. It announced that it would buy longer-dated corporate debt, including the riskiest investment-grade bonds, for the first time in its history. And it promised to unveil more — including supports for small businesses — in the days and weeks to come.

The central bank, which restarted its massive bond-buying program eight days ago, said it would expand well beyond the “at least” $700 billion in Treasury and $200 billion in mortgage-backed securities it initially committed to buying. Instead, officials will buy bonds “in the amounts needed to support smooth market functioning” — including buying government-backed debt tied to commercial real estate.

One of them, the Primary Market Corporate Credit Facility, is open to investment-grade companies and will provide bridge financing of four years, according to the Fed’s release. The Fed will create a special purpose vehicle that will both purchase bonds from eligible issuers and extend loans.

The other program, the Secondary Market Corporate Support Facility, will purchase already-issued debt, which has become hard to trade, including by buying exchange-traded funds that bundle bonds together. The Fed said that together the programs were intended “to support credit to large employers.”

The markets were unimpressed:

The Toronto Stock Exchange’s S&P/TSX Composite index was unofficially down 623.32 points, or 5.26%, at 11,228.49.

The Canadian death toll from the virus outbreak jumped by more than 50% on Sunday, and impatient officials threatened to punish people refusing to take precautions to fight the spread of the highly contagious illness.

Nine of the index’s 11 major sectors fell.

The energy sector dropped 3.8% as crude prices fell.

The financials sector slipped 7.9%. The industrials sector fell 3.7%.

The materials sector, which includes precious and base metals miners and fertilizer companies, added 5.4% as gold prices rose.

Based on the latest available data, the Dow Jones Industrial Average fell 575.58 points, or 3%, to 18,598.4, the S&P 500 lost 65.55 points, or 2.84%, to 2,239.37 and the Nasdaq Composite dropped 16.37 points, or 0.24%, to 6,863.14.

The Dow at one point traded below its closing level on Nov. 8, 2016, effectively erasing all the gains since the election of Donald Trump as U.S. president.

The pan-European STOXX 600 index lost 4.30% and MSCI’s gauge of stocks across the globe shed 3.81%.

Emerging market stocks lost 5.61%. MSCI’s broadest index of Asia-Pacific shares outside Japan closed 5.75% lower, while Japan’s Nikkei rose 2.02%.

Which might well have been considered good news in some quarters:

Brookfield Asset Management Inc. chief executive officer Bruce Flatt says his company is moving away from private assets and buying publicly traded debt and stocks – including its own – in the recent market carnage.

“We have switched our focus for investments to the listed stock markets. … There are some stocks and debt starting to trade at a large discount to intrinsic value and we are focused on these,” Mr. Flatt said in a shareholder letter released Monday.

But there is bad news in other quarters:

Consensus continues to grow among government leaders and health officials that the best way to defeat the virus is to order nonessential businesses to close and residents to confine themselves at home. Britain, after initially resisting such measures, essentially locked down its economy on Monday, as did the governors of Virginia, Michigan and Oregon. More than 100 million Americans will soon be subject to stay-at-home orders.

Relaxing those restrictions could significantly increase the death toll from the virus, public health officials warn. Many economists say there is no positive trade-off — resuming normal activity prematurely would only strain hospitals and result in even more deaths, while exacerbating a recession that has most likely already arrived.

Officials have said the federal government’s initial 15-day period for social distancing is vital to slowing the spread of the virus, which has already infected more than 40,000 people in the United States. But Mr. Trump and a chorus of conservative voices have begun to suggest that the shock to the economy could hurt the country more than deaths from the virus.

On Monday, Mr. Trump said his administration would reassess whether to keep the economy shuttered after the initial 15-day period ends next Monday, saying it could extend another week and that certain parts of the country could reopen sooner than others, depending on the extent of infections.

“Our country wasn’t built to be shut down,” Mr. Trump said during a briefing at the White House. “America will, again, and soon, be open for business. Very soon. A lot sooner than three or four months that somebody was suggesting. Lot sooner. We cannot let the cure be worse than the problem itself.”

TXPR closed at 392.69, down 7.77% on the day. Volume today was 4.57-million – and this enormous figure was the lowest of the past five trading days.

CPD closed at 7.85, down 8.40% on the day. Volume of 546,111 was third-highest of the past 30 trading days, trailing March 13 and March 16.

ZPR closed at 6.11, down 6.72% on the day. Volume of 1,706,900 was third-highest of the past 30 trading days, behind March 20 and March 9.

Five-year Canada yields were down 4bp to 0.71% today.

I’m not reviewing suspect quotes today, as has been the case for the past while. I’m saving my sarcasm for less turbulent times.

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 -2.6269 % 1,229.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.6269 % 2,256.9
Floater 8.80 % 8.86 % 58,744 10.50 4 -2.6269 % 1,300.7
OpRet 0.00 % 0.00 % 0 0.00 0 -11.3876 % 2,655.8
SplitShare 6.25 % 12.56 % 73,614 3.91 7 -11.3876 % 3,171.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -11.3876 % 2,474.6
Perpetual-Premium 7.83 % 8.28 % 107,194 11.03 12 -7.3190 % 2,175.4
Perpetual-Discount 7.24 % 7.41 % 90,425 12.03 24 -6.8548 % 2,418.3
FixedReset Disc 9.20 % 7.80 % 213,431 11.16 64 -7.2601 % 1,310.8
Deemed-Retractible 7.31 % 8.20 % 96,493 11.23 27 -8.5829 % 2,313.0
FloatingReset 7.58 % 7.93 % 64,194 11.49 3 -12.1237 % 1,335.1
FixedReset Prem 7.54 % 7.38 % 194,954 12.06 22 -9.3620 % 1,797.5
FixedReset Bank Non 2.09 % 8.12 % 125,348 1.78 3 -3.1552 % 2,544.8
FixedReset Ins Non 9.42 % 8.28 % 120,655 10.82 22 -9.9126 % 1,251.2
Performance Highlights
Issue Index Change Notes
PVS.PR.G SplitShare -27.38 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 15.27 %
GWO.PR.N FixedReset Ins Non -21.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 7.61
Evaluated at bid price : 7.61
Bid-YTW : 6.41 %
SLF.PR.G FixedReset Ins Non -17.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 6.40
Evaluated at bid price : 6.40
Bid-YTW : 8.03 %
RY.PR.R FixedReset Prem -15.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.38 %
IFC.PR.A FixedReset Ins Non -15.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 8.03
Evaluated at bid price : 8.03
Bid-YTW : 8.03 %
EIT.PR.A SplitShare -15.08 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 12.56 %
CU.PR.I FixedReset Prem -15.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 6.69 %
IFC.PR.E Deemed-Retractible -14.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 8.23 %
MFC.PR.Q FixedReset Ins Non -14.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 9.01 %
BAM.PR.X FixedReset Disc -14.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 7.20
Evaluated at bid price : 7.20
Bid-YTW : 8.69 %
PWF.PR.Q FloatingReset -14.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 6.75
Evaluated at bid price : 6.75
Bid-YTW : 7.98 %
BNS.PR.E FixedReset Prem -14.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 7.45 %
EIT.PR.B SplitShare -13.64 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 11.34 %
TRP.PR.A FixedReset Disc -13.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 8.38
Evaluated at bid price : 8.38
Bid-YTW : 8.64 %
PWF.PR.G Perpetual-Premium -13.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 8.56 %
BIK.PR.A FixedReset Prem -13.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 9.43 %
MFC.PR.N FixedReset Ins Non -12.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 9.23
Evaluated at bid price : 9.23
Bid-YTW : 8.02 %
POW.PR.C Perpetual-Premium -12.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 8.64 %
IFC.PR.G FixedReset Ins Non -12.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 7.94 %
TD.PF.L FixedReset Disc -12.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 7.87 %
BAM.PF.A FixedReset Disc -12.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.68
Evaluated at bid price : 11.68
Bid-YTW : 8.48 %
MFC.PR.L FixedReset Ins Non -12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 8.61 %
GWO.PR.Q Deemed-Retractible -12.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.51 %
SLF.PR.H FixedReset Ins Non -12.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 8.52
Evaluated at bid price : 8.52
Bid-YTW : 8.30 %
GWO.PR.R Deemed-Retractible -12.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 8.20 %
BAM.PF.B FixedReset Disc -11.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.54
Evaluated at bid price : 10.54
Bid-YTW : 8.63 %
GWO.PR.S Deemed-Retractible -11.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 8.32 %
SLF.PR.J FloatingReset -11.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 6.85
Evaluated at bid price : 6.85
Bid-YTW : 7.04 %
TD.PF.E FixedReset Disc -11.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 7.43 %
GWO.PR.M Deemed-Retractible -11.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 8.56 %
MFC.PR.C Deemed-Retractible -11.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 8.12 %
MFC.PR.B Deemed-Retractible -11.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 7.78 %
CU.PR.G Perpetual-Discount -11.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.13 %
CM.PR.T FixedReset Disc -11.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 7.87 %
BAM.PF.G FixedReset Disc -11.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 8.50 %
CU.PR.F Perpetual-Discount -10.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.13 %
PWF.PR.P FixedReset Disc -10.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 7.70
Evaluated at bid price : 7.70
Bid-YTW : 7.41 %
IFC.PR.C FixedReset Ins Non -10.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 8.39 %
SLF.PR.D Deemed-Retractible -10.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 7.97 %
BAM.PR.Z FixedReset Disc -10.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 8.55 %
NA.PR.A FixedReset Prem -10.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.19 %
RY.PR.Q FixedReset Prem -10.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.26 %
TRP.PR.F FloatingReset -10.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 7.71
Evaluated at bid price : 7.71
Bid-YTW : 7.93 %
GWO.PR.P Deemed-Retractible -10.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.43 %
CU.PR.D Perpetual-Discount -10.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.09 %
TD.PF.K FixedReset Disc -10.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 7.43 %
NA.PR.X FixedReset Prem -10.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 8.17 %
BAM.PR.T FixedReset Disc -10.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 8.63
Evaluated at bid price : 8.63
Bid-YTW : 8.83 %
MFC.PR.K FixedReset Ins Non -9.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 8.19 %
MFC.PR.G FixedReset Ins Non -9.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 8.92 %
IFC.PR.F Deemed-Retractible -9.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 7.84 %
PWF.PR.H Perpetual-Premium -9.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.51 %
RY.PR.N Perpetual-Discount -9.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.87 %
BAM.PF.J FixedReset Prem -9.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 7.24 %
HSE.PR.G FixedReset Disc -9.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 6.79
Evaluated at bid price : 6.79
Bid-YTW : 15.52 %
TRP.PR.G FixedReset Disc -9.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 8.17 %
CM.PR.R FixedReset Disc -9.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 8.44 %
EMA.PR.H FixedReset Prem -9.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.46 %
EML.PR.A FixedReset Ins Non -9.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.84 %
TRP.PR.C FixedReset Disc -9.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 7.00
Evaluated at bid price : 7.00
Bid-YTW : 7.94 %
BMO.PR.D FixedReset Disc -9.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 7.73 %
PWF.PR.O Perpetual-Premium -9.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 8.54 %
TD.PF.I FixedReset Disc -9.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.37 %
CU.PR.H Perpetual-Discount -9.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 7.42 %
TD.PF.G FixedReset Prem -9.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.38 %
TD.PF.J FixedReset Disc -9.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 7.36 %
GWO.PR.I Deemed-Retractible -9.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 13.83
Evaluated at bid price : 13.83
Bid-YTW : 8.20 %
IAF.PR.G FixedReset Ins Non -8.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 8.27 %
BAM.PF.I FixedReset Prem -8.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.13 %
MFC.PR.I FixedReset Ins Non -8.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.66
Evaluated at bid price : 10.66
Bid-YTW : 8.66 %
MFC.PR.J FixedReset Ins Non -8.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 8.27 %
PVS.PR.E SplitShare -8.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 13.14 %
BNS.PR.G FixedReset Prem -8.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 7.16 %
TRP.PR.K FixedReset Prem -8.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 7.57 %
CM.PR.P FixedReset Disc -8.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 8.01 %
HSE.PR.E FixedReset Disc -8.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 7.10
Evaluated at bid price : 7.10
Bid-YTW : 15.01 %
IAF.PR.B Deemed-Retractible -8.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 7.72 %
BAM.PF.F FixedReset Disc -8.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 8.40 %
CM.PR.S FixedReset Disc -8.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.24
Evaluated at bid price : 11.24
Bid-YTW : 7.74 %
BNS.PR.H FixedReset Prem -8.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 7.33 %
GWO.PR.F Deemed-Retractible -8.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 8.10 %
CM.PR.O FixedReset Disc -8.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 8.11 %
SLF.PR.C Deemed-Retractible -8.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 7.87 %
SLF.PR.E Deemed-Retractible -7.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 7.89 %
SLF.PR.I FixedReset Ins Non -7.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.37
Evaluated at bid price : 10.37
Bid-YTW : 8.30 %
PWF.PR.T FixedReset Disc -7.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 8.11 %
RY.PR.O Perpetual-Discount -7.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.74 %
TD.PF.F Perpetual-Discount -7.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.75 %
CM.PR.Y FixedReset Disc -7.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 7.69 %
MFC.PR.H FixedReset Ins Non -7.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 8.70 %
CU.PR.E Perpetual-Discount -7.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 7.22 %
PWF.PR.S Perpetual-Discount -7.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 8.14 %
GWO.PR.G Deemed-Retractible -7.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.78
Evaluated at bid price : 15.78
Bid-YTW : 8.31 %
SLF.PR.B Deemed-Retractible -7.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 7.68 %
GWO.PR.T Deemed-Retractible -7.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.11 %
BAM.PF.E FixedReset Disc -7.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 9.95
Evaluated at bid price : 9.95
Bid-YTW : 8.06 %
GWO.PR.L Deemed-Retractible -7.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 8.48 %
BAM.PR.R FixedReset Disc -7.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 8.40
Evaluated at bid price : 8.40
Bid-YTW : 8.82 %
TRP.PR.J FixedReset Prem -7.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 7.39 %
NA.PR.W FixedReset Disc -7.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 8.22 %
NA.PR.E FixedReset Disc -7.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 8.04 %
BMO.PR.S FixedReset Disc -7.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 7.80 %
TRP.PR.B FixedReset Disc -6.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 7.06
Evaluated at bid price : 7.06
Bid-YTW : 6.81 %
BAM.PF.H FixedReset Prem -6.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.99 %
TD.PF.B FixedReset Disc -6.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.95
Evaluated at bid price : 10.95
Bid-YTW : 7.30 %
RY.PR.E Deemed-Retractible -6.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 13.15 %
PWF.PR.E Perpetual-Premium -6.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.28 %
SLF.PR.A Deemed-Retractible -6.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 7.77 %
PWF.PR.L Perpetual-Discount -6.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 8.25 %
TD.PF.A FixedReset Disc -6.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.62
Evaluated at bid price : 10.62
Bid-YTW : 7.50 %
BMO.PR.T FixedReset Disc -6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 7.71 %
EMA.PR.E Perpetual-Discount -6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.52 %
RY.PR.G Deemed-Retractible -6.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 13.29 %
BMO.PR.Q FixedReset Bank Non -6.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.79
Bid-YTW : 12.32 %
BMO.PR.Y FixedReset Disc -6.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 7.36 %
TD.PF.M FixedReset Disc -6.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 7.35 %
PWF.PR.K Perpetual-Discount -6.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 8.09 %
PWF.PR.F Perpetual-Discount -6.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 8.19 %
BMO.PR.B FixedReset Prem -6.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.23 %
PWF.PR.R Perpetual-Premium -6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 8.19 %
BIP.PR.F FixedReset Disc -6.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 8.39 %
RY.PR.A Deemed-Retractible -6.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.78
Bid-YTW : 12.73 %
RY.PR.P Perpetual-Premium -6.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.62 %
TD.PF.H FixedReset Prem -6.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.32 %
BIP.PR.B FixedReset Prem -6.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.67 %
RY.PR.C Deemed-Retractible -6.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 12.44 %
MFC.PR.M FixedReset Ins Non -6.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 8.03 %
PVS.PR.D SplitShare -6.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 13.55 %
PWF.PR.Z Perpetual-Discount -6.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 8.10 %
RY.PR.F Deemed-Retractible -6.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 12.81 %
BIP.PR.D FixedReset Disc -6.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 7.97 %
RY.PR.M FixedReset Disc -6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 6.89 %
W.PR.K FixedReset Prem -6.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 8.11 %
BIP.PR.C FixedReset Prem -5.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.59 %
NA.PR.C FixedReset Disc -5.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 8.44 %
BMO.PR.C FixedReset Disc -5.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 7.23 %
BAM.PF.C Perpetual-Discount -5.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 7.61 %
BAM.PF.D Perpetual-Discount -5.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 7.66 %
BAM.PR.K Floater -5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 6.76
Evaluated at bid price : 6.76
Bid-YTW : 9.00 %
TRP.PR.E FixedReset Disc -5.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 8.39 %
BAM.PR.M Perpetual-Discount -5.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 7.60 %
MFC.PR.R FixedReset Ins Non -5.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 8.49 %
BNS.PR.I FixedReset Disc -5.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 6.75 %
RY.PR.Z FixedReset Disc -5.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.87
Evaluated at bid price : 10.87
Bid-YTW : 7.20 %
EMA.PR.F FixedReset Disc -5.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 7.71 %
RY.PR.J FixedReset Disc -5.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.98
Evaluated at bid price : 12.98
Bid-YTW : 6.58 %
POW.PR.B Perpetual-Discount -5.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 8.05 %
MFC.PR.O FixedReset Ins Non -5.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 8.28 %
NA.PR.G FixedReset Disc -5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 8.10 %
W.PR.M FixedReset Prem -5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.93 %
BMO.PR.E FixedReset Disc -5.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 7.21 %
BMO.PR.W FixedReset Disc -5.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 7.60 %
POW.PR.G Perpetual-Premium -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 8.39 %
IFC.PR.I Perpetual-Premium -5.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.63 %
MFC.PR.F FixedReset Ins Non -5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 7.03
Evaluated at bid price : 7.03
Bid-YTW : 7.37 %
BMO.PR.Z Perpetual-Discount -5.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.65 %
EMA.PR.C FixedReset Disc -5.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 7.70 %
BIP.PR.E FixedReset Disc -4.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 8.10 %
TD.PF.D FixedReset Disc -4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 6.98 %
POW.PR.A Perpetual-Premium -4.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 8.32 %
GWO.PR.H Deemed-Retractible -4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 7.81 %
PVS.PR.H SplitShare -4.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 9.05 %
NA.PR.S FixedReset Disc -4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 8.20 %
ELF.PR.G Perpetual-Discount -4.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 7.41 %
HSE.PR.A FixedReset Disc -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 4.40
Evaluated at bid price : 4.40
Bid-YTW : 13.61 %
HSE.PR.C FixedReset Disc -4.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 6.70
Evaluated at bid price : 6.70
Bid-YTW : 16.03 %
TD.PF.C FixedReset Disc -4.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 7.20 %
PVS.PR.F SplitShare -4.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 20.01
Bid-YTW : 10.59 %
RY.PR.W Perpetual-Discount -4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 6.18 %
TRP.PR.D FixedReset Disc -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 8.14 %
BAM.PR.N Perpetual-Discount -4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 7.66 %
CM.PR.Q FixedReset Disc -4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 8.27 %
CCS.PR.C Deemed-Retractible -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.19 %
POW.PR.D Perpetual-Discount -4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.77 %
ELF.PR.H Perpetual-Premium -3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.41 %
BMO.PR.F FixedReset Disc -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 7.10 %
RY.PR.S FixedReset Disc -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 6.36 %
CIU.PR.A Perpetual-Discount -3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 7.25 %
PWF.PR.I Perpetual-Premium -3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.47 %
RY.PR.H FixedReset Disc -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 7.11 %
BAM.PR.B Floater -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 6.90
Evaluated at bid price : 6.90
Bid-YTW : 8.81 %
BAM.PR.C Floater -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 6.82
Evaluated at bid price : 6.82
Bid-YTW : 8.92 %
BNS.PR.Z FixedReset Bank Non -2.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 8.12 %
BIP.PR.A FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 10.07 %
IAF.PR.I FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 7.83 %
PWF.PR.A Floater 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 6.95
Evaluated at bid price : 6.95
Bid-YTW : 8.86 %
CU.PR.C FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 6.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset Ins Non 59,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 8.03 %
TRP.PR.D FixedReset Disc 59,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 8.14 %
BMO.PR.W FixedReset Disc 57,438 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 7.60 %
RY.PR.Z FixedReset Disc 57,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 10.87
Evaluated at bid price : 10.87
Bid-YTW : 7.20 %
TD.PF.C FixedReset Disc 55,473 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 7.20 %
RY.PR.R FixedReset Prem 54,089 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.38 %
There were 116 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 8.63 – 16.22
Spot Rate : 7.5900
Average : 4.2507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 8.63
Evaluated at bid price : 8.63
Bid-YTW : 8.83 %

NA.PR.E FixedReset Disc Quote: 11.20 – 17.50
Spot Rate : 6.3000
Average : 3.5410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 8.04 %

GWO.PR.T Deemed-Retractible Quote: 16.00 – 22.00
Spot Rate : 6.0000
Average : 3.4312

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.11 %

PVS.PR.G SplitShare Quote: 15.25 – 21.50
Spot Rate : 6.2500
Average : 4.0907

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 15.27 %

NA.PR.W FixedReset Disc Quote: 9.97 – 13.94
Spot Rate : 3.9700
Average : 2.2633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 8.22 %

BNS.PR.E FixedReset Prem Quote: 17.73 – 20.90
Spot Rate : 3.1700
Average : 1.9291

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-23
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 7.45 %

5 Responses to “March 23, 2020”

  1. cowboylutrell says:

    I think there’s a sizeable inefficiency in the split share world currently (there might very well be other inefficiencies, but I found this one).

    There’s a special redemption date on December 1, 2020 for FTN.PR.A at the lesser of NAV or $10.00, while the next special redemption date for FFN.PR.A falls only on December 1, 2024.

    Besides that, FTN.PR.A and FFN.PR.A have similar portfolios and structures. FTN.PR.A terminates on December 1, 2025 while FFN.PR.A terminates on December 1, 2024.

    On March 13, 2020, the underlying value of a full unit of FTN.PR.A + FTN was $12.32 while the underlying value of FFN.PR.A + FFN was $12.77.

    So FTN.PR.A had a protection of 18,8% (2.32 / 12.32) while FFN.PR.A had a protection of 21.7%.

    Portfolios’ valuations plunged since March 13, 2020 and as I write this I estimate it to be about $10.00 for a full unit of FTN.PR.A + FTN while the valuation of a full unit of FFN.PR.A + FFN might be $10.40 or so.

    I think FTN.PR.A (with only 8 months to go before the special redemption date), because of the relative proximity of its special redemption date, should trade at a much lower discount to its potential redemption price of $10.00 than FFN.PR.A (which has a full 4 years and 8 months to go before its special redemption date).

    But they’re currently trading at very similar prices : FTN.PR.A is 7.27 to 7.38 while FFN.PR.A is 7.35 to 7.40.

    My conclusion: most market participants on FTN.PR.A aren’t aware of the December 1, 2020 special redemption date. They erroneously focus on the termination date of December 1, 2025 mentioned in Financial 15 Split’s fund features on Quadravest’s web site.

  2. jiHymas says:

    The bid price of FTN appears to be well above its monthly retraction value:

    The formula is 96%NAV-C. The NAV on 3/13 was 12.32, which leads to a current estimate of 10.72 after applying the -13% in ^TTFS over the period. Capital Units are offered at 3.99 as of the closing quote 3/24. Therefore the estimated monthly retraction price = 0.96*10.72 – 3.99 = 6.30, significantly below the 3/24 closing bid of 7.70.

    On the other hand, the formula for FFN is the same; the NAV on 3/13 was 12.77, for a current estimate of 11.11. Capital Units are offered at 3.24. Therefore the estimated monthly retraction price = 0.96*11.11 – 3.24 = 7.43, compared to the 3/24 closing bid on the preferreds of 7.20.

    So the price of the FFN preferreds is being supported by its monthly retraction price estimate.

    It’s an interesting puzzle: why are the FTN Capital Units so rich?

    Additionally, to recast the problem in option terms, a buyer of FTN.PR.A is buying assets valued at 10.72 for a price of 7.70, which also includes the effect of selling a call on those assets with a strike price of 10.00, term of about 8 months. So what’s the implied volatility? And how does that compare with exchange-traded options?

  3. cowboylutrell says:

    Thanks for your answer! It sounds correct: over the next few months, the monthly retraction formula will continue to matter.

    I would answer your question as to why are the FTN capital units so rich, by most market participants’ ignorance about the risk induced by the December 1, 2020, special retraction. They risk having a vast proportion of their capital units retracted at a much lower price than the current market price, but most are not aware of it, mistakenly believing that they only should care about the December 1, 2025 termination date.

  4. mbarbon says:

    Note, that some preferred shares can be redeemed on their own, at the discretion of the company… For some investors it may be worth considering.

    I haven’t bought FFN/FTN, but I have bought others to hold till 2024 or whenever. I’ll take the 20% gain plus the dividend with the risk that market be at least equal to where it is now (or if it goes up in between, I’ll cash out).

  5. mbarbon says:

    Some of the split share (common+pref) when combined actually trade for a discount… DGS combined was trading at 5% yesterday…
    Pref trading at 16% discount, with Common trading at a premium.
    Usually both trade at a premium.

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