September 17, 2020

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 -0.6369 % 1,651.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6369 % 3,029.8
Floater 5.15 % 5.17 % 59,168 15.24 3 -0.6369 % 1,746.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1188 % 3,540.1
SplitShare 4.80 % 4.35 % 44,636 3.65 7 0.1188 % 4,227.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1188 % 3,298.5
Perpetual-Premium 5.35 % 5.18 % 79,843 14.13 17 0.0210 % 3,121.4
Perpetual-Discount 5.22 % 5.28 % 94,043 14.95 17 0.1611 % 3,509.7
FixedReset Disc 5.43 % 4.24 % 123,065 16.38 68 -0.1168 % 2,103.6
Deemed-Retractible 5.02 % 4.87 % 113,149 15.15 27 0.1535 % 3,453.5
FloatingReset 2.87 % 2.47 % 48,976 1.35 3 -0.1343 % 1,799.3
FixedReset Prem 5.26 % 4.46 % 255,258 0.88 11 -0.0287 % 2,616.2
FixedReset Bank Non 1.95 % 2.38 % 125,525 1.35 2 0.1412 % 2,842.9
FixedReset Ins Non 5.74 % 4.44 % 89,960 16.20 22 -0.1345 % 2,106.6
Performance Highlights
Issue Index Change Notes
BAM.PF.A FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.20 %
MFC.PR.Q FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.55 %
BAM.PR.R FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.20 %
NA.PR.C FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 22.99
Evaluated at bid price : 23.30
Bid-YTW : 4.17 %
BIP.PR.B FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 23.38
Evaluated at bid price : 24.30
Bid-YTW : 5.63 %
RY.PR.J FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.99 %
IFC.PR.G FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.57 %
TD.PF.L FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 22.83
Evaluated at bid price : 23.85
Bid-YTW : 4.10 %
PWF.PR.P FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.86 %
TRP.PR.C FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 8.81
Evaluated at bid price : 8.81
Bid-YTW : 5.50 %
BMO.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 22.92
Evaluated at bid price : 23.31
Bid-YTW : 4.04 %
TD.PF.E FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 3.90 %
TD.PF.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 4.03 %
PWF.PR.S Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 5.20 %
SLF.PR.G FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 4.43 %
BAM.PF.B FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 5.22 %
IFC.PR.E Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 24.49
Evaluated at bid price : 24.98
Bid-YTW : 5.20 %
BIP.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 21.94
Evaluated at bid price : 22.20
Bid-YTW : 5.64 %
BMO.PR.Z Perpetual-Premium 1.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.27 %
BAM.PR.X FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 4.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset Ins Non 70,617 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.42 %
NA.PR.X FixedReset Prem 63,478 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.76 %
TD.PF.A FixedReset Disc 51,552 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 4.03 %
MFC.PR.G FixedReset Ins Non 41,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.42 %
GWO.PR.S Deemed-Retractible 28,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.94 %
BMO.PR.T FixedReset Disc 27,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.14 %
There were 29 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 Ins Non Quote: 18.76 – 20.87
Spot Rate : 2.1100
Average : 1.1653

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.42 %

IAF.PR.G FixedReset Ins Non Quote: 18.02 – 20.00
Spot Rate : 1.9800
Average : 1.3195

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.54 %

TRP.PR.A FixedReset Disc Quote: 12.01 – 12.95
Spot Rate : 0.9400
Average : 0.5694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 5.41 %

EIT.PR.A SplitShare Quote: 25.39 – 27.00
Spot Rate : 1.6100
Average : 1.3021

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 4.35 %

BAM.PF.G FixedReset Disc Quote: 15.35 – 16.00
Spot Rate : 0.6500
Average : 0.4297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.26 %

MFC.PR.I FixedReset Ins Non Quote: 19.05 – 20.00
Spot Rate : 0.9500
Average : 0.7518

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-17
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.40 %

4 Responses to “September 17, 2020”

  1. cowboylutrell says:

    Two important developments are forthcoming for FTN.PR.A.

    I’ll mention these developments here. Mr. Hymas, you are welcome to comment if you find the need to add precision or even to punch holes in what follows.

    Before I begin, I’d like to warn that FTN.PR.A is currently a speculative issue according to DBRS, with a rating of Pfd-4 (high). As of September 15, the value of a unit was $12.36 according to Quadravest and as of today’s close it was $12.34 according to my own calculations, providing a protection of only 19.0% to holders of FTN.PR.A. Thus, conservative investors should stay away from this stock.

    The first development is the forthcoming announcement by Financial 15 Split Corp. of the new dividend rate for FTN.PR.A for the five year period from December 1 2020 to December 1 2025. This announcement has to be made not less than 60 days prior to December 1 2020 which means at the latest by October 1 2020, or so.

    Currently, FFN.PR.A, with a similar underlying portfolio and a slightly better protection (about 22.0%) than FTN.PR.A, has a yield to maturity of about 6.7%, with 4 years and 2 months to go before termination.

    I believe the management team of Financial 15 Corp. will be tempted to increase the dividend rate of FTN.PR.A to a level where the share price will return to about $10.00. Thus, my expectation is that they will announce in the next few days a new annual dividend rate of 6.75% on FTN.PR.A to begin in December 2020, compared to 5.50% currently. We’ll soon see how far my prediction is from reality, and how the market participants react to this announcement by Financial 15 Split Corp.

    The second development is the forthcoming “Continuing Special Retraction Right” by which each share of FTN.PR.A can be retracted at the lesser of $10.00 or the net asset value of one unit on November 30 2020, as explained on pages 18 and 19 of the final short form prospectus of Financial 15 Split Corp. published on SEDAR on November 27 2015. Shareholders of FTN.PR.A who wish to participate to this special retraction must surrender their shares no later than the close of business on October 30 2020 (typically it would be November 1 but it falls on a Sunday this year), and in practice it’s earlier than that because brokers need to get the instructions prior to October 30 in order for them to submit the information on time (those wishing to do this should ask their brokers for details about their own cut-off date).

    At today’s closing bid of 9.81, shares of FTN.PR.A have a yield-to-special-retraction date of 14.4% assuming:

    i) the retraction price ends up being $10.00 (which is by no means guaranteed, as it could be less if the NAV of the unit on November 30 2020 ends up being less than $10.00);

    ii) the payment of the retraction price is made precisely on December 15 2020 (payment has to be made on or before December 15) ;

    and taking into account the fact that there are currently three monthly dividends of $0.04583 remaining.

    Because of the two developments mentioned above, I think the price of FTN.PR.A will tend to rise above $9.90 and may eventually get closer to $10.00 in the weeks ahead.

    Again, only speculative accounts should own FTN.PR.A at this point, because of its poor DBRS rating and poor downside protection, especially in such a volatile year. And anyone who intends to purchase FTN.PR.A should perform rigorous fact-checking and due diligence, and verify and take note of the critical dates involved.

    I do not recommend buying or selling FTN.PR.A. I simply listed a few facts and made a few assumptions, and I made one prediction concerning the new annual dividend rate to be announced soon, and I’m aware that this prediction might end up being completely wrong.

    I’m long FTN.PR.A and my intention is to surrender my shares under this year’s “Continuing Special Retraction Right”.

  2. Szeven says:

    The problem with split shares is you have to surrender both a capital share and a preferred share. It is possible this one is unique and no one noticed. I doubt it though.

    I show the offer of the capital share at 3.19
    The preferred share is offered 9.84

    The combined NAV as you quote is 12.34, but the cost of the combined units in the open market is 13.03.

  3. cowboylutrell says:

    Hi Szeven,

    Thanks for your comment. It seems to me you are referring to the annual retraction right, which happens in October every year when both a capital share and a preferred share are required, and you are right when you notice that at current prices, the annual retraction right would not lead to an attractive outcome.

    But in the present situation, there is no need to purchase a capital share. Here’s why.

    December 1 2020 was initially the termination date for both FTN and FTN.PR.A. But the fund, Financial 15 Split Corp., decided to extend the termination date five years in the future to December 1 2025. But in order to do so, it had to give the shareholders an option to get out as if the fund terminated as originally planned on December 1 2020.

    So the Continuing Special Retraction Right, which happens on December 1 2020, lets preferred shareholders the option to retract their shares at the lesser of $10.00 or the NAV of the unit, if they provide their instructions on time to their brokers, and there’s no need to simultaneously tender capital shares.

    For example, if both the stock prices and the NAV published on September 15 2020 are the same on November 30 2020, a shareholder of FTN.PR,A who would retract his share under this scenario would get $10.00 per share and the same number of capital shares would get called by the company at $2.36 (i.e. capital shares would be called at a loss because their closing price was $3.23 and they would get called at $2.36, and capital shareholders who have their shares called would sustain this loss, not preferred shareholders).

    For fact-checking purposes, see the paragraph entitled “Extensions of the Termination Date” on page 18 of the final short form prospectus published on SEDAR on November 27 2015, as well as the paragraph entitled “Continuing Special Retraction Right” on pages 18 and 19 of the same document.

  4. RAV4guy says:

    Thank you cowboylutrell for bringing this to my attention.

    I think your analysis is slightly wrong in that if one retracts, one does not get the dividend that may be declared with a record date of November 30.

    “Continuing Special Retraction Right
    In the event that the Termination Date is extended in any Extension Year, each holder of Preferred Shares or Class A Shares shall have the right to retract such Preferred Shares or Class A Shares effective December 1 of such Extension Year (the “Continuing Special Retraction Right”). The price payable per Preferred Share so retracted shall be equal to (i) the sum of (A) the lesser of (x) $10.00 and (y) the Net Asset Value calculated on November 30 of such Extension Year, divided by the number of Preferred Shares then outstanding, plus (B) an amount equal to the accrued and unpaid dividends on each Preferred Share to but excluding November 30 of such Extension Year, plus (ii) all declared and unpaid dividends thereon to but excluding November 30 of such Extension Year.”

    One would only get 2 dividends, the dividends paid in October and the November dividend rather than the three you state above.

    I just checked and the last trade was at $9.90. If that remains the case I think I will retract and pickup the $.10 on the share price, save the trading commissions and receive 1 more dividend. I am guessing the retraction right has lifted the price towards $10.00 but when the retraction right is gone the price of FTN.PR.A will drift lower. The disadvantage is waiting until around Dec. 15 to be able to reinvest.

    Investor’s Edge says I have until this Friday to declare.

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