January 15, 2018

January 15th, 2018
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 1.2452 % 2,904.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2452 % 5,329.3
Floater 3.17 % 3.30 % 35,401 19.01 4 1.2452 % 3,071.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0932 % 3,152.9
SplitShare 4.66 % 4.08 % 62,770 3.41 5 -0.0932 % 3,765.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0932 % 2,937.7
Perpetual-Premium 5.38 % 3.16 % 60,023 0.09 18 -0.1137 % 2,852.5
Perpetual-Discount 5.33 % 5.30 % 72,058 14.97 16 -0.2956 % 2,980.7
FixedReset 4.20 % 4.43 % 141,012 4.06 98 -0.1085 % 2,527.2
Deemed-Retractible 5.08 % 5.44 % 82,166 5.84 28 -0.1348 % 2,937.3
FloatingReset 3.04 % 2.59 % 38,816 0.78 10 0.1220 % 2,760.3
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 4.98 %
IFC.PR.A FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 6.91 %
BIP.PR.A FixedReset -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.14 %
SLF.PR.G FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 7.34 %
PWF.PR.Z Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 23.94
Evaluated at bid price : 24.30
Bid-YTW : 5.30 %
TRP.PR.C FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.52 %
BAM.PR.K Floater 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 3.30 %
TRP.PR.F FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 3.85 %
PWF.PR.A Floater 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 2.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset 101,040 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.41 %
MFC.PR.R FixedReset 67,709 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.07 %
BIP.PR.A FixedReset 57,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.14 %
TD.PR.S FixedReset 51,920 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.36 %
TRP.PR.C FixedReset 45,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.52 %
BMO.PR.D FixedReset 37,140 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.29 %
There were 24 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: 22.00 – 22.49
Spot Rate : 0.4900
Average : 0.3761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 5.60 %

BAM.PR.M Perpetual-Discount Quote: 21.65 – 21.97
Spot Rate : 0.3200
Average : 0.2188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.52 %

PWF.PR.F Perpetual-Discount Quote: 24.44 – 24.67
Spot Rate : 0.2300
Average : 0.1611

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 24.18
Evaluated at bid price : 24.44
Bid-YTW : 5.38 %

IFC.PR.E Deemed-Retractible Quote: 24.75 – 24.98
Spot Rate : 0.2300
Average : 0.1658

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.44 %

BAM.PF.F FixedReset Quote: 24.56 – 24.77
Spot Rate : 0.2100
Average : 0.1618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-15
Maturity Price : 23.49
Evaluated at bid price : 24.56
Bid-YTW : 4.87 %

BMO.PR.Q FixedReset Quote: 23.26 – 23.49
Spot Rate : 0.2300
Average : 0.1864

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.26
Bid-YTW : 3.91 %

January PrefLetter Released!

January 15th, 2018

The January, 2018, 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.

The January edition contains updated commentary on the FixedReset market.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the January, 2018, issue, while the “Next Edition” will be the February, 2018, issue, scheduled to be prepared as of the close February 9 and eMailed to subscribers prior to market-opening on February 12.

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?).

SBC.PR.A Semi-Annual Report 17H1

January 14th, 2018

Brompton Split Banc Corp. has released its Semi-Annual Report to June 30, 2017.

Figures of interest are:

MER: “The MER per Class A share, excluding Preferred share distributions (which were covered by the portfolio’s dividend income), was 1.64% for the first six months of 2017 compared to 1.77% for 2016. The MER per unit, excluding Preferred share distributions, was 0.94% for the first six months of 2017 and 0.99% for 2016. This ratio is more representative of the ongoing efficiency of the administration of the Fund.”

Average Net Assets: We need this to calculate portfolio yield. The Total Assets of the fund at year end was $172.0-million, compared to $183.1-million on June 30, however “On April 6, 2017, the Fund announced the split of its Class A shares (“Share Split”) and the concurrent private placement of Preferred shares (“Private Placement’) effective April 25, 2017. Pursuant to the Private Placement, 1,382,784 Preferred shares were offered to investors at a price of $10.03 per Preferred share.” So instead of giving equal weight to the beginning and end figures, we’ll assign a two-thirds weight to the year-end figure to arrive at a weighted average of $175.7-million.

Distributions to preferred shareholders were 1,596,090, at a rate of 0.225, so the average preferred shares outstanding was 7,093,733. The Unit Value was 23.10 at year-end, 22.73 on June 30, average 22.92, for average assets of $162.6-million.

Split the difference between the two methods and say average assets were $169.2-million.

Underlying Portfolio Yield: Semi-annual dividends, interest and security lending income received of 3.412-million divided by average net assets of 169.2-million is 4.03% p.a.

Income Coverage: Gross investment income of 3.412-million less expenses of 1.161-million is Net Investment Income of 2.251-million, divided by Preferred Share Distributions of 1.596-million is 141%.

January 12, 2018

January 12th, 2018

And now I can start on PrefLetter!

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 1.3049 % 2,868.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3049 % 5,263.8
Floater 3.21 % 3.33 % 35,742 18.93 4 1.3049 % 3,033.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0155 % 3,155.8
SplitShare 4.65 % 4.06 % 61,775 3.41 5 -0.0155 % 3,768.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0155 % 2,940.5
Perpetual-Premium 5.38 % -0.24 % 59,091 0.09 18 -0.1071 % 2,855.7
Perpetual-Discount 5.32 % 5.29 % 72,501 14.99 16 -0.3054 % 2,989.5
FixedReset 4.20 % 4.40 % 139,621 3.93 98 -0.1929 % 2,530.0
Deemed-Retractible 5.07 % 5.41 % 82,859 5.86 28 -0.1805 % 2,941.3
FloatingReset 3.05 % 2.51 % 39,348 0.79 10 0.0567 % 2,756.9
Performance Highlights
Issue Index Change Notes
NA.PR.S FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 23.18
Evaluated at bid price : 23.65
Bid-YTW : 4.58 %
CU.PR.C FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 21.77
Evaluated at bid price : 22.15
Bid-YTW : 4.71 %
TRP.PR.D FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 22.96
Evaluated at bid price : 23.44
Bid-YTW : 4.61 %
MFC.PR.F FixedReset -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.42 %
BAM.PR.B Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.33 %
BNS.PR.Y FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 3.62 %
BAM.PR.C Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 3.34 %
BAM.PR.K Floater 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.33 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.C Perpetual-Discount 111,180 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 21.60
Evaluated at bid price : 21.90
Bid-YTW : 5.57 %
TRP.PR.J FixedReset 104,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.69 %
BNS.PR.D FloatingReset 73,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 3.49 %
BNS.PR.Q FixedReset 62,379 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.45 %
NA.PR.X FixedReset 57,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.47
Bid-YTW : 3.57 %
CM.PR.P FixedReset 54,968 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 23.18
Evaluated at bid price : 23.51
Bid-YTW : 4.42 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Quote: 23.90 – 24.20
Spot Rate : 0.3000
Average : 0.2092

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 4.94 %

BMO.PR.S FixedReset Quote: 24.32 – 24.60
Spot Rate : 0.2800
Average : 0.1944

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 23.92
Evaluated at bid price : 24.32
Bid-YTW : 4.44 %

BAM.PF.E FixedReset Quote: 23.77 – 24.06
Spot Rate : 0.2900
Average : 0.2132

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 22.99
Evaluated at bid price : 23.77
Bid-YTW : 4.74 %

TRP.PR.C FixedReset Quote: 18.20 – 18.47
Spot Rate : 0.2700
Average : 0.2014

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.57 %

MFC.PR.J FixedReset Quote: 24.47 – 24.67
Spot Rate : 0.2000
Average : 0.1374

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.47
Bid-YTW : 5.02 %

TRP.PR.G FixedReset Quote: 24.41 – 24.79
Spot Rate : 0.3800
Average : 0.3175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-12
Maturity Price : 23.17
Evaluated at bid price : 24.41
Bid-YTW : 4.86 %

New Issue: NA FixedReset, 4.60%+258, NVCC-Compliant

January 12th, 2018

National Bank of Canada has announced:

that it has entered into an agreement with a group of underwriters led by National Bank Financial Inc. for the issuance on a bought deal basis of 8 million non-cumulative 5-year rate reset first preferred shares series 40 (non-viability contingent capital (NVCC)) (the “Series 40 Preferred Shares”) at a price of $25.00 per share, to raise gross proceeds of $200 million.

National Bank has granted the underwriters an option to purchase, on the same terms, up to an additional 4 million Series 40 Preferred Shares. This option is exercisable in whole or in part by the underwriters at any time up to two business days prior to closing. The gross proceeds raised under the offering will be $300 million should this option be exercised in full.

The Series 40 Preferred Shares will yield 4.60% annually, payable quarterly, as and when declared by the Board of Directors of National Bank, for the initial period ending May 15, 2023. The first of such dividends, if declared, shall be payable on May 15, 2018. Thereafter, the dividend rate will reset every five years at a level of 258 basis points over the then 5-year Government of Canada bond yield. Subject to regulatory approval, National Bank may redeem the Series 40 Preferred Shares in whole or in part at par on May 15, 2023 and on May 15 every five years thereafter.

Holders of the Series 40 Preferred Shares will have the right to convert their shares into an equal number of non-cumulative floating rate first preferred shares series 41 (non-viability contingent capital (NVCC)) (the “Series 41 Preferred Shares”), subject to certain conditions, on May 15, 2023, and on May 15 every five years thereafter. Holders of the Series 41 Preferred Shares will be entitled to receive quarterly floating dividends, as and when declared by the Board of Directors of National Bank, equal to the 90-day Government of Canada Treasury Bill rate plus 258 basis points.

The net proceeds of the offering will be used for general corporate purposes and added to National Bank’s capital base. The expected closing date is on or about January 22, 2018. National Bank intends to file in Canada a prospectus supplement to its November 21, 2016 base shelf prospectus in respect of this issue.

They later announced:

that as a result of strong investor demand for its previously announced domestic public offering of non-cumulative 5-year rate reset first preferred shares series 40 (non-viability contingent capital (NVCC)) (the “Series 40 Preferred Shares”), the underwriters have exercised their option to purchase an additional 4,000,000 Series 40 Preferred Shares. The size of the offering has been increased to 12 million shares for gross proceeds of $300 million. The offering will be underwritten by a syndicate led by National Bank Financial Inc. The expected closing date is on or about January 22, 2018.

The net proceeds of the offering will be used for general corporate purposes and added to National Bank’s capital base.

This issue looks quite expensive to me, according to Implied Volatility Analysis:

impvol_na_180111
Click for Big

We see in this chart many of the same features we saw when reviewing the recent BPO new issue and Tuesday’s BEP issue and yesterday’s CM issue:

  • The curve is very steep, with Implied Volatility equal to 40% (a ridiculously large figure), and
  • The extant issues are trading relatively near to, or well above par

The ludicrously high figure of Implied Volatility is something I take to mean that the underlying assumption of the Black-Scholes model, that of no directionality of prices, is not accepted by the market; the market seems to be taking the view that since things seem rosy now, they will always be rosy and everything will trade near par in the future.

I balk at ascribing a 100% probability to this outcome. There may still be a few old geezers amongst the Assiduous Readers of this blog who can still (faintly) remember the Great Bear Market of 2014-16, in which quite a few similar assumptions made earlier turned out to be slightly inaccurate.

For the long term, I suggest that any change in the slope of the curve will be a flattening, with a very high degree of confidence. This will imply that the higher-spread issues will outperform the lower-spread issues.

All told, though, I have no hesitation in slapping an ‘Expensive’ label on this issue – according to the Implied Volatility analysis shown above, the theoretical price of the new issue is 24.01.

January 11, 2018

January 12th, 2018

Boom! The Canadian preferred share market took a whacking today; perhaps due to renewed NAFTA fears:

President Donald Trump reiterated his threat to withdraw the U.S. from Nafta while saying that gains from a new deal could be used to pay for a wall at the Mexican border.

A day after Canadian officials said they viewed the odds of withdrawal as rising, Trump repeated his threat to pull out of the North American Free Trade Agreement if it can’t be reworked in his favor, the Wall Street Journal reported Thursday, citing an interview with the president. However, Trump said he was willing to be “a little bit flexible” about the deal until after Mexico’s presidential election in July. He didn’t elaborate on what that means.

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 -0.8197 % 2,831.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8197 % 5,196.0
Floater 3.25 % 3.37 % 35,831 18.85 4 -0.8197 % 2,994.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0621 % 3,156.3
SplitShare 4.65 % 4.01 % 58,138 3.42 5 -0.0621 % 3,769.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0621 % 2,940.9
Perpetual-Premium 5.37 % 1.93 % 59,513 0.09 18 -0.0939 % 2,858.8
Perpetual-Discount 5.30 % 5.26 % 70,980 15.03 16 0.0509 % 2,998.7
FixedReset 4.19 % 4.34 % 139,823 3.86 98 -0.4687 % 2,534.9
Deemed-Retractible 5.06 % 5.38 % 81,280 5.86 28 -0.3302 % 2,946.6
FloatingReset 2.97 % 2.71 % 37,647 1.02 10 -0.2001 % 2,755.4
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 4.99 %
BAM.PR.K Floater -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 3.42 %
MFC.PR.L FixedReset -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.37
Bid-YTW : 5.28 %
BAM.PR.T FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 4.95 %
MFC.PR.M FixedReset -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.03 %
CU.PR.C FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 21.96
Evaluated at bid price : 22.42
Bid-YTW : 4.65 %
SLF.PR.I FixedReset -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.36 %
BAM.PF.E FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 23.04
Evaluated at bid price : 23.86
Bid-YTW : 4.71 %
MFC.PR.K FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.38
Bid-YTW : 5.35 %
MFC.PR.I FixedReset -1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.29 %
NA.PR.X FixedReset -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.60 %
BMO.PR.W FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 23.28
Evaluated at bid price : 23.64
Bid-YTW : 4.43 %
BAM.PF.G FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 23.29
Evaluated at bid price : 24.52
Bid-YTW : 4.83 %
BAM.PF.F FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 23.52
Evaluated at bid price : 24.63
Bid-YTW : 4.85 %
MFC.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.74
Bid-YTW : 4.27 %
BAM.PF.D Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 21.99
Evaluated at bid price : 22.32
Bid-YTW : 5.52 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 408,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.58
Bid-YTW : 3.72 %
TRP.PR.E FixedReset 302,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 24.03
Evaluated at bid price : 24.35
Bid-YTW : 4.43 %
CM.PR.R FixedReset 186,314 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.98 %
BMO.PR.T FixedReset 158,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 23.61
Evaluated at bid price : 24.00
Bid-YTW : 4.40 %
TD.PF.H FixedReset 146,293 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.55 %
TD.PR.S FixedReset 120,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.22 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 25.07 – 25.36
Spot Rate : 0.2900
Average : 0.2008

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.57 %

PWF.PR.Z Perpetual-Discount Quote: 24.52 – 24.75
Spot Rate : 0.2300
Average : 0.1495

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 24.14
Evaluated at bid price : 24.52
Bid-YTW : 5.25 %

BAM.PF.C Perpetual-Discount Quote: 21.92 – 22.14
Spot Rate : 0.2200
Average : 0.1530

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 21.61
Evaluated at bid price : 21.92
Bid-YTW : 5.56 %

IAG.PR.G FixedReset Quote: 24.22 – 24.48
Spot Rate : 0.2600
Average : 0.1959

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 4.61 %

NA.PR.A FixedReset Quote: 26.37 – 26.55
Spot Rate : 0.1800
Average : 0.1250

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 3.64 %

PWF.PR.A Floater Quote: 19.20 – 19.75
Spot Rate : 0.5500
Average : 0.4995

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-11
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 2.94 %

New Issue: CM FixedReset, 4.50%+245, NVCC-compliant

January 10th, 2018

Canadian Imperial Bank of Commerce has announced:

that it had entered into an agreement with a group of underwriters led by CIBC Capital Markets for an issue of 16 million Basel III-compliant Non-cumulative Rate Reset Class A Preferred Shares Series 47 (Non-Viability Contingent Capital (NVCC)) (the “Series 47 Shares”) priced at $25.00 per Series 47 Share to raise gross proceeds of $400 million.

CIBC has granted the underwriters an option to purchase up to an additional two million Series 47 Shares at the same offering price, exercisable at any time up to two days prior to closing. Should the underwriters’ option be fully exercised, the total gross proceeds of the financing will be $450 million.

The Series 47 Shares will yield 4.5% per annum, payable quarterly, as and when declared by the Board of Directors of CIBC, for an initial period ending January 31, 2023. On January 31, 2023, and on January 31 every five years thereafter, the dividend rate will reset to be equal to the then current five-year Government of Canada bond yield plus 2.45%.

Subject to regulatory approval and certain provisions of the Series 47 Shares, on January 31, 2023 and on January 31 every five years thereafter, CIBC may, at its option, redeem all or any part of the then outstanding Series 47 Shares at par.

Subject to the right of redemption, holders of the Series 47 Shares will have the right to convert their shares into Non-cumulative Floating Rate Class A Preferred Shares Series 48 (Non-Viability Contingent Capital (NVCC)) (the “Series 48 Shares”), subject to certain conditions, on January 31, 2023 and on January 31 every five years thereafter. Holders of the Series 48 Shares will be entitled to receive a quarterly floating rate dividend, as and when declared by the Board of Directors of CIBC, equal to the three-month Government of Canada Treasury Bill yield plus 2.45%.

Holders of the Series 48 Shares may convert their Series 48 Shares into Series 47 Shares, subject to certain conditions, on January 31, 2028 and on January 31 every five years thereafter.

The expected closing date is January 18, 2018. CIBC will make an application to list the Series 47 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of this offering will be used for general purposes of CIBC.

This issue looks quite expensive to me, according to Implied Volatility Analysis:

impvol_cm_180110
Click for Big

We see in this chart many of the same features we saw when reviewing the recent BPO new issue and yesterday’s BEP issue:

  • The curve is very steep, with Implied Volatility equal to 40% (a ridiculously large figure), and
  • The extant issues ar trading near par

The ludicrously high figure of Implied Volatility is something I take to mean that the underlying assumption of the Black-Scholes model, that of no directionality of prices, is not accepted by the market; the market seems to be taking the view that since things seem rosy now, they will always be rosy and everything will trade near par in the future.

I balk at ascribing a 100% probability to this outcome. There may still be a few old geezers amongst the Assiduous Readers of this blog who can still (faintly) remember the Great Bear Market of 2014-16, in which quite a few similar assumptions made earlier turned out to be slightly inaccurate.

For the long term, I suggest that any change in the slope of the curve will be a flattening, with a very high degree of confidence. This will imply that the higher-spread issues will outperform the lower-spread issues.

All told, though, I have no hesitation in slapping an ‘Expensive’ label on this issue – according to the Implied Volatility analysis shown above, the theoretical price of the new issue is 24.26.

January 10, 2018

January 10th, 2018

The Bay Street Boys have got all the mileage they could out of the ‘everything is rosy’ story, so now they’re shaking the other tree:

Mexico’s peso and Canada’s dollar dropped after reports the U.S. may pull out of the trillion-dollar trade pact that President Donald Trump has threatened to dump if it doesn’t favor his nation.

Both currencies pared losses after a White House official said there hasn’t been any change in Trump’s position on Nafta. The peso fell 0.5 percent to 19.3398 per dollar as of 3:33 p.m. in New York, after falling as much as 0.9 percent. The Canadian dollar slipped 0.6 percent to 1.2543 per dollar. Yields on Canadian government 2-year notes fell six basis points to 1.74 percent.

The Five-Year Canada yield declined to 1.95%.

PerpetualDiscounts now yield 5.25%, equivalent to 6.83% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a slight (and perhaps spurious) narrowing from the 300bp reported January 3.

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 1.5479 % 2,855.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5479 % 5,238.9
Floater 3.22 % 3.36 % 35,767 18.87 4 1.5479 % 3,019.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0466 % 3,158.3
SplitShare 4.65 % 4.06 % 58,758 3.42 5 -0.0466 % 3,771.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0466 % 2,942.8
Perpetual-Premium 5.36 % -0.57 % 55,100 0.09 18 -0.0218 % 2,861.5
Perpetual-Discount 5.30 % 5.25 % 73,936 15.06 16 -0.4881 % 2,997.2
FixedReset 4.17 % 4.15 % 139,752 3.86 98 -0.1486 % 2,546.8
Deemed-Retractible 5.04 % 5.38 % 81,297 5.86 28 -0.0545 % 2,956.3
FloatingReset 2.97 % 2.56 % 37,946 1.03 10 0.1133 % 2,760.9
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 5.60 %
BAM.PR.M Perpetual-Discount -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.57 %
BAM.PR.N Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.59 %
CU.PR.G Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 21.67
Evaluated at bid price : 22.03
Bid-YTW : 5.15 %
CU.PR.I FixedReset -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.45 %
BIP.PR.D FixedReset -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.81 %
NA.PR.C FixedReset -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.14 %
BAM.PF.I FixedReset -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.62 %
NA.PR.W FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 23.33
Evaluated at bid price : 23.65
Bid-YTW : 4.41 %
SLF.PR.D Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 6.82 %
HSE.PR.A FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.85 %
TRP.PR.A FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.59 %
PWF.PR.F Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.32 %
SLF.PR.J FloatingReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 6.50 %
SLF.PR.H FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 5.43 %
BAM.PR.B Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 3.36 %
PWF.PR.T FixedReset 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 3.56 %
IFC.PR.A FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 6.56 %
BAM.PR.C Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 3.37 %
CCS.PR.C Deemed-Retractible 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.44 %
BAM.PR.K Floater 3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 713,839 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.00 %
TD.PR.S FixedReset 180,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.05 %
TD.PF.C FixedReset 87,835 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 23.41
Evaluated at bid price : 23.73
Bid-YTW : 4.39 %
BMO.PR.D FixedReset 71,035 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.16 %
BMO.PR.M FixedReset 40,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 3.60 %
MFC.PR.J FixedReset 40,860 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.74
Bid-YTW : 4.83 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.M Deemed-Retractible Quote: 25.86 – 26.17
Spot Rate : 0.3100
Average : 0.1910

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-02-09
Maturity Price : 25.50
Evaluated at bid price : 25.86
Bid-YTW : -9.29 %

HSE.PR.A FixedReset Quote: 18.10 – 18.49
Spot Rate : 0.3900
Average : 0.2815

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.85 %

BAM.PF.D Perpetual-Discount Quote: 22.00 – 22.45
Spot Rate : 0.4500
Average : 0.3452

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 5.60 %

GWO.PR.N FixedReset Quote: 18.65 – 18.95
Spot Rate : 0.3000
Average : 0.2031

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.51 %

BAM.PR.N Perpetual-Discount Quote: 21.45 – 21.71
Spot Rate : 0.2600
Average : 0.1713

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.59 %

BAM.PF.B FixedReset Quote: 24.30 – 24.57
Spot Rate : 0.2700
Average : 0.1843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-10
Maturity Price : 23.86
Evaluated at bid price : 24.30
Bid-YTW : 4.73 %

Toronto Rock Lacrosse Tickets Giveaway!

January 10th, 2018

I have eight pairs of Toronto Rock Lacrosse tickets to give away!

The games take place at the Air Canada Centre and the seats are very good. Just tell me which ones you would like. A decision regarding who gets tickets will be made two weeks before each game and I will mail them to the lucky winner; while preference will be given to customers and those who tell me they’ve got a kid who plays lacrosse, anybody can win. If you win and don’t want your name publicized, that’s fine.

The games are:

Toronto Rock Lacrosse Ticket Giveaway
Date Opponent
Saturday
2018-1-27
7pm
New England Black Wolves
Saturday
2018-2-3
7pm
Calgary Roughnecks
Saturday
2018-3-3
7pm
Georgia Swarm
Sunday
2018-3-11
3pm
New England Black Wolves
Friday
2018-3-30
7:30pm
Colorado Mammoth
Friday
2018-4-13
7:30pm
Rochester Knighthawks
???
???
???
Home Playoff Game 1
If there is one!
???
???
???
Coupons Redeemable for available tickets
Expires 2018-4-14

The games are a lot of fun. One thing that has impressed me is that these guys’ technical skills are so good they can concentrate on strategy … there are a lot fewer loose balls than I remember from my days of box lacrosse at age 10!

The redeemable coupons can be exchanged for tickets for any game, but there are no guarantees regarding just what seats you will get. Still, if you would like to plan an outing for four, rather than just a pair, let me know and … you might get two ‘real’ tickets and the two coupons!

The play-off game? There’s no guarantee that there will be one, but you could always try your luck and ask for them.

To try your luck at receiving a pair of tickets, just eMail me or comment on this post.

January 9, 2018

January 9th, 2018

TD continues to provide cruddy service:

Been trying 5 days straight to get through to an advisor without any success. Totally, gun shy to make any risky trades after last week system issues. Why does anyone still trade with TD?.

Will TD update its customers on the outages last week? About future up trades to prevent any further issues? Compensation to investors for loses? When customers will have phone access to advisors again?

Probably no to all my questions. They don’t seem to care. I did notice their stock is the only Canadian bank stock that is trading down today.

td_outages_180109
Click for Big

The pathetic excuses for poor performance provided by Canada’s pathetic excuses for brokerage houses has really started to bother me, so I looked up the Toronto Stock Exchange Daily Trading Reports. The 2018-01-02 Report states that the TSX experienced 829,930 trades on the day (number of trades will be a better indication of retail volume than trading value), while the 2017-11-15 Report (date chosen to be reasonable recent and reasonably typical) reports 889,332 trades.

Obviously this is the smallest of all possible samples using an imperfect proxy, but this doesn’t look like an unprecedented explosion of retail activity to me! I might put a chart together at some point, or perhaps some Industrious and Assiduous Reader could do it for me. But it does seem that perhaps a few more details are required before we can understand the horrible service Canadian retail investors are getting from their beloved banks. Until we get both a convincing explanation of the problem and a reasonably well-detailed exposition of what is being done to address the problem, I suggest that retail investors not count on being able to trade during an actual market break.

However, the market was up again today, presumably due to the five-year Canada yield continuing to rise … now at 2.00%! So I’m all right, Jack.

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 1.0924 % 2,811.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0924 % 5,159.1
Floater 3.27 % 3.41 % 33,987 18.76 4 1.0924 % 2,973.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.5069 % 3,159.7
SplitShare 4.65 % 4.11 % 61,066 3.42 5 0.5069 % 3,773.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5069 % 2,944.1
Perpetual-Premium 5.36 % -0.25 % 51,446 0.09 18 0.0433 % 2,862.1
Perpetual-Discount 5.28 % 5.24 % 71,755 15.10 16 -0.2390 % 3,011.9
FixedReset 4.16 % 4.07 % 140,785 3.82 98 0.4426 % 2,550.6
Deemed-Retractible 5.04 % 5.39 % 82,593 5.87 28 -0.0412 % 2,957.9
FloatingReset 2.97 % 2.50 % 39,397 0.80 10 0.4624 % 2,757.8
Performance Highlights
Issue Index Change Notes
BAM.PF.J FixedReset -2.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.42 %
IFC.PR.A FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.77 %
BAM.PF.C Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 21.72
Evaluated at bid price : 22.06
Bid-YTW : 5.52 %
CCS.PR.C Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.68 %
BAM.PF.D Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 22.22
Evaluated at bid price : 22.51
Bid-YTW : 5.47 %
MFC.PR.M FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.08
Bid-YTW : 4.90 %
BAM.PF.G FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.73 %
IFC.PR.C FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 4.77 %
MFC.PR.L FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 5.07 %
BNS.PR.Y FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.79
Bid-YTW : 3.58 %
CM.PR.O FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 23.87
Evaluated at bid price : 24.24
Bid-YTW : 4.38 %
TRP.PR.F FloatingReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 3.78 %
TRP.PR.A FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 4.63 %
PWF.PR.T FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 24.42
Evaluated at bid price : 24.80
Bid-YTW : 4.36 %
IAG.PR.G FixedReset 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.49
Bid-YTW : 4.33 %
BAM.PR.X FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 4.90 %
CU.PR.C FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 22.18
Evaluated at bid price : 22.78
Bid-YTW : 4.57 %
MFC.PR.K FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.59
Bid-YTW : 5.19 %
BAM.PR.C Floater 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.41 %
EIT.PR.A SplitShare 1.47 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.49
Bid-YTW : 4.52 %
IAG.PR.A Deemed-Retractible 1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.99
Bid-YTW : 6.07 %
BMO.PR.Q FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 3.95 %
BMO.PR.T FixedReset 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 23.71
Evaluated at bid price : 24.09
Bid-YTW : 4.38 %
BAM.PR.B Floater 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 3.41 %
BAM.PF.F FixedReset 1.67 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 4.67 %
TRP.PR.G FixedReset 1.89 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 4.32 %
TRP.PR.E FixedReset 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 23.40
Evaluated at bid price : 24.42
Bid-YTW : 4.37 %
TRP.PR.D FixedReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 23.50
Evaluated at bid price : 23.96
Bid-YTW : 4.50 %
HSE.PR.G FixedReset 2.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 3.59 %
TRP.PR.B FixedReset 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 4.57 %
TRP.PR.H FloatingReset 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 3.55 %
MFC.PR.F FixedReset 3.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.11 %
TRP.PR.C FixedReset 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 314,386 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.88 %
RY.PR.Q FixedReset 203,403 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.92
Bid-YTW : 3.31 %
BNS.PR.Q FixedReset 171,194 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.26 %
BNS.PR.R FixedReset 87,383 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.28 %
NA.PR.W FixedReset 86,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 23.59
Evaluated at bid price : 23.90
Bid-YTW : 4.37 %
CM.PR.P FixedReset 84,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 23.41
Evaluated at bid price : 23.73
Bid-YTW : 4.38 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Clearly a bogus quote (a spread of over $9 !), since the low for the day was 16.94 and the high 17.10 on what the bank-owned brokerages would possibly describe as overwhelming volume of 4,250 shares. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

Quote: 16.92 – 26.01
Spot Rate : 9.0900
Average : 4.9744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 3.55 %

TD.PR.T FloatingReset Quote: 24.95 – 25.59
Spot Rate : 0.6400
Average : 0.3845

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 1.59 %

SLF.PR.G FixedReset Quote: 19.08 – 19.75
Spot Rate : 0.6700
Average : 0.4411

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.08
Bid-YTW : 7.36 %

IFC.PR.C FixedReset Quote: 23.81 – 24.69
Spot Rate : 0.8800
Average : 0.6887

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 4.77 %

PWF.PR.F Perpetual-Discount Quote: 24.40 – 24.86
Spot Rate : 0.4600
Average : 0.2725

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-01-09
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 5.38 %

MFC.PR.G FixedReset Quote: 25.01 – 25.43
Spot Rate : 0.4200
Average : 0.2689

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.96 %