DC.PR.B & DC.PR.D To Be Extended

August 16th, 2019

Dundee Corporation has announced (although not yet on their website):

that it does not intend to exercise its right to redeem any currently outstanding cumulative 5-year rate reset first preference shares, series 2 (the “Series 2 Shares”) or cumulative floating rate first preference shares, series 3 (the “Series 3 Shares”) on September 30, 2019. As a result, subject to certain conditions, the holders of the Series 2 Shares have the right, at their option, to convert all or part of their Series 2 Shares on a one for one basis into Series 3 Shares and, the holders of Series 3 Shares have the right at their option, to convert all or a part of their Series 3 Shares on a one for one basis into Series 2 Shares, as at September 30, 2019. Holders who do not exercise their right to convert will retain their existing Series 2 Shares or Series 3 Shares, as applicable, unless automatically converted in accordance with the conditions below.

The foregoing conversions are subject to the conditions that: (i) if, after September 16, 2019, the Company determines that there would be less than 500,000 Series 2 Shares outstanding on September 30, 2019, then all remaining Series 2 Shares will automatically be converted into an equal number of Series 3 Shares on September 30, 2019, and (ii) alternatively, if the Company determines that there would be less than 500,000 Series 3 Shares outstanding on September 30, 2019, then all remaining Series 3 Shares will be automatically converted into an equal number of Series 2 Shares on September 30, 2019. In either case, Dundee will give written notice to that effect to holders of the Series 2 Shares or Series 3 Shares, as applicable, affected by the preceding minimums on or before September 23, 2019.

The dividend rate applicable to the Series 2 Shares for the 5-year period commencing on September 30, 2019 to, but excluding September 30, 2024, and the dividend rate applicable to the Series 3 Shares for the 3-month period commencing on September 30, 2019 to, but excluding December 31, 2019, will be determined and announced by way of a news release on September 3, 2019.

The deadline for the registered shareholder, CDS & Co., to provide notice of the exercise of its right to convert all or any part of the Series 2 Shares into Series 3 Shares or Series 3 Shares into Series 2 Shares is 5:00 p.m. (Toronto time) on September 16, 2019 and, once received, is irrevocable. Beneficial owners of Series 2 Shares or Series 3 Shares who wish to exercise their right of conversion should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

Holders will again have the opportunity to convert their Series 2 Shares into Series 3 or to convert their Series 3 Shares into Series 2 Shares on September 30, 2024, and every five years thereafter as long as the Series 2 Shares and Series 3 Shares remain outstanding.

I will have more to say when the reset rate is announced September 3.

LCS.PR.A : Correction & Apology for Comment

August 16th, 2019

In the post LCS.PR.A Seeks Mandate Change to Broaden Portfolio, I misinterpreted the paragraph in the press release that stated:

In keeping with industry trends over the past several years to lower investor costs and in connection with the proposed changes to the Fund, the Manager will discontinue the service fee paid to dealers based on the number of Class A Shares held by dealers’ clients of 0.40% per annum of the Class A Share net asset value beginning January 1, 2020. In addition, the management fee will not be increased for the Fund as a result of the additional work associated with the aforementioned enhancements.

I was under the mistaken impression that the manager was currently paying the fees, but this is not the case.

According to an eMail from an officer of Brompton:

Erm, no. We’re proposing to end the Class A trailer fee, but Brompton doesn’t pay the trailer fee, LCS does, so the Class A shareholders will end up with a lower MER after cancellation of this fee. No cash stuffed in pockets. I would appreciate a correction / retraction of this comment.

My apologies for my misdirected ire.

August 15, 2019

August 15th, 2019

The slide wasn’t big today, but we did see new lows!

TXPR closed at 582.66, down 0.34% on the day after setting a new 52-week low of 582.32. Volume was 3.33-million (within rounding error of yesterday’s figure), second only to July 19 in the past 30 days.

CPD closed at 11.635, down 0.13% on the day after setting a new 52-week low of 11.61. Volume of 120,970 was high, but not extraordinary in the context of the past thirty days.

ZPR closed at 9.23, down 0.32% on the day after setting a new 52-week low of 9.21. Volume of 219,493 was high, but not extraordinary in the context of the past thirty days.

Five-year Canada yields were down 3bp to 1.16% today.

Mohamed El-Erian provided an update of my favourite financial market chart:

negativeyielddebt_190815
Click for Big
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 -1.1666 % 1,829.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1666 % 3,357.5
Floater 6.53 % 6.70 % 40,952 12.86 4 -1.1666 % 1,934.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0282 % 3,337.4
SplitShare 4.67 % 4.74 % 63,782 4.06 7 0.0282 % 3,985.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0282 % 3,109.7
Perpetual-Premium 5.62 % -8.16 % 57,668 0.09 9 -0.1141 % 2,980.5
Perpetual-Discount 5.47 % 5.60 % 53,590 14.51 25 -0.1695 % 3,115.3
FixedReset Disc 5.89 % 5.54 % 148,047 14.55 66 -0.6673 % 1,978.0
Deemed-Retractible 5.27 % 6.05 % 71,931 7.87 27 -0.0239 % 3,092.7
FloatingReset 4.65 % 7.43 % 62,758 7.98 3 -0.1007 % 2,278.7
FixedReset Prem 5.19 % 4.66 % 168,440 1.92 21 -0.1716 % 2,564.4
FixedReset Bank Non 2.00 % 4.44 % 96,537 2.38 3 -0.3220 % 2,633.3
FixedReset Ins Non 5.55 % 8.19 % 103,638 7.93 21 -0.1137 % 2,053.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.18
Evaluated at bid price : 10.18
Bid-YTW : 7.18 %
NA.PR.W FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.79 %
BAM.PR.K Floater -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.24
Evaluated at bid price : 10.24
Bid-YTW : 6.87 %
BAM.PR.Z FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.32 %
TRP.PR.G FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 6.50 %
BAM.PF.G FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 6.54 %
BAM.PF.F FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 6.45 %
BAM.PR.T FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 6.44 %
HSE.PR.G FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.29 %
CM.PR.O FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 5.62 %
TRP.PR.E FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.45 %
PWF.PR.T FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 5.40 %
TRP.PR.F FloatingReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 7.43 %
BAM.PF.E FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 6.55 %
BMO.PR.D FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.42 %
CU.PR.G Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.45 %
CCS.PR.C Deemed-Retractible -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.77 %
IFC.PR.G FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.74
Bid-YTW : 7.97 %
CM.PR.R FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.69 %
TRP.PR.B FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 9.99
Evaluated at bid price : 9.99
Bid-YTW : 6.29 %
MFC.PR.F FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.69
Bid-YTW : 10.45 %
BAM.PR.B Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.38
Evaluated at bid price : 10.38
Bid-YTW : 6.77 %
CU.PR.H Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 23.89
Evaluated at bid price : 24.35
Bid-YTW : 5.38 %
TD.PF.K FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.34 %
IAF.PR.G FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.64 %
TRP.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 12.23
Evaluated at bid price : 12.23
Bid-YTW : 6.52 %
BAM.PF.A FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.22 %
IFC.PR.A FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.48 %
CU.PR.F Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.38 %
CM.PR.P FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 5.68 %
HSE.PR.E FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 7.29 %
SLF.PR.J FloatingReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.14
Bid-YTW : 10.81 %
MFC.PR.K FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.56 %
CU.PR.C FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 5.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 320,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 5.41 %
TD.PF.H FixedReset Prem 129,273 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.89 %
TD.PF.M FixedReset Prem 118,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 22.91
Evaluated at bid price : 24.32
Bid-YTW : 5.01 %
TD.PF.B FixedReset Disc 109,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.29 %
BAM.PR.R FixedReset Disc 68,313 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.29 %
RY.PR.J FixedReset Disc 67,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 5.41 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 16.01 – 17.00
Spot Rate : 0.9900
Average : 0.6493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 6.50 %

IFC.PR.A FixedReset Ins Non Quote: 13.67 – 14.60
Spot Rate : 0.9300
Average : 0.6668

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.48 %

CCS.PR.C Deemed-Retractible Quote: 23.72 – 24.54
Spot Rate : 0.8200
Average : 0.6394

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.77 %

CU.PR.F Perpetual-Discount Quote: 21.00 – 21.45
Spot Rate : 0.4500
Average : 0.2733

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.38 %

TRP.PR.E FixedReset Disc Quote: 13.95 – 14.38
Spot Rate : 0.4300
Average : 0.3002

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.45 %

HSE.PR.A FixedReset Disc Quote: 10.18 – 10.60
Spot Rate : 0.4200
Average : 0.2937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.18
Evaluated at bid price : 10.18
Bid-YTW : 7.18 %

BMO.PR.T : No Conversion to FloatingReset

August 15th, 2019

Bank of Montreal has announced:

that none of its 16 million Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 29 (the “Preferred Shares Series 29”) will be converted on August 26, 2019, being the first business day following the conversion date of August 25, 2019, into Non-Cumulative Floating Rate Class B Preferred Shares, Series 30 of the Bank (the “Preferred Shares Series 30”).

During the conversion period which ran from July 26, 2019 to August 12, 2019, 223,098 Preferred Shares Series 29 were tendered for conversion into Preferred Shares Series 30, which is less than the minimum 1,000,000 required to give effect to the conversion, as described in the Preferred Shares Series 29 prospectus supplement dated May 30, 2014. As a result, no Preferred Shares Series 30 will be issued on August 26, 2019 and holders of Preferred Shares Series 29 will retain their shares.

The Preferred Shares Series 29 are currently listed on the Toronto Stock Exchange under the symbol BMO.PR.T. As previously announced on July 26, 2019, the dividend rate for the five-year period commencing on August 25, 2019, and ending on August 24, 2024, will be 3.624%.

BMO.PR.T is a FixedReset, 3.90%+224, NVCC-compliant issue that commenced trading 2014-6-6 after being announced 2019-05-28. BMO.PR.T will reset at 3.624% effective August 25, 2019. I recommended against conversion. It is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

RY.PR.H : No Conversion to FloatingReset

August 15th, 2019

Royal Bank of Canada has announced:

that during the conversion notice period, which ran from July 25, 2019 to August 9, 2019, 210,844 Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series BB (the “Series BB shares”) were tendered for conversion, on a one-for-one basis, into NVCC Non-Cumulative Floating Rate First Preferred Shares, Series BC (the “Series BC shares”). As per the conditions set out in the prospectus supplement dated May 27, 2014, since less than 1,000,000 Series BC shares would be outstanding after August 24, 2019, holders of Series BB shares will not be entitled to convert their shares into Series BC shares. As a result, Series BC shares will not be issued at this time and holders of Series BB shares will retain their shares.

On August 24, 2019, Royal Bank of Canada will have 20,000,000 Series BB shares issued and outstanding. The Series BB shares are currently listed on the Toronto Stock Exchange under the symbol RY.PR.H.

RY.PR.H is a FixedReset, 3.90%+226, NVCC-Compliant issue that commenced trading 2014-6-3 after being announced 2014-5-23. The bank gave notice of extension on 2019-7-22. RY.PR.H will reset At 3.65% effective August 24, 2019. I recommended against conversion. The issue is tracked by HIMIPref™ and has been assigned to the FixedReset-Discount subindex.

August 14, 2019

August 15th, 2019
mushroomcloud_190814
Click for Big

Not a pleasant day for global markets:

The global economy is under increasing stress as growth cools and trade tensions take a mounting toll. On Wednesday, the tremors were felt worldwide.

Shares on Wall Street were off sharply, only a day after they had rallied as President Trump narrowed the scope of his next round of tariffs. The S&P 500 was down 2.9 percent. And bond markets offered an ominous warning on American growth prospects, with yields falling to levels not seen in years.

The financial jitters, which continued Thursday as markets in Asia were down in early trading, came after new data showed the German economy hurtling toward a recession and factory output in China growing at its slowest pace in 17 years.

The trouble in two of the world’s manufacturing powerhouses indicated, in part, how hard both have been hit by Mr. Trump’s tariffs. And it increased concern that the United States, too, is headed for an economic reckoning.

Treasuries reaped the benefits:

Investors were intensely attuned Wednesday to downbeat economic signals from the bond market. Yields on long-term United States Treasury securities continue to plumb lows not seen in recent years. The yield on the benchmark 10-year Treasury note fell to 1.58 percent, a level it last reached in late 2016. The yield on the 30-year bond fell to 2.03 percent, the lowest level on record.

And Canada was not spared:

The S&P 500 fell 2.9 per cent. The Dow Jones Industrial Average suffered its worst selloff since October, 2018, tumbling 800.49 points or 3.1 per cent.

Canada’s benchmark index, the S&P/TSX Composite, fell 1.9 per cent, also its biggest one-day decline since October and erasing $47-billion from the index’s market capitalization, according to Bloomberg.

But the bond market, which has been sending gloomy economic signals for much of this year, reflected some of the biggest concerns among many investors as the rush into safe holdings raised bond prices and lowered yields.

The yield on the Government of Canada 10-year bond fell to 1.14 per cent, a 3 1/2-year low and down from a yield of 2.6 per cent in October.

TXPR closed at 584.66, down 1.58% on the day after setting a new 52-week low of 583.85. Volume was 3.33-million, second only to July 19 in the past 30 days.

CPD closed at 11.65, a new 52-week low and down 1.31% on the day. Volume of 158,542 was the fourth-highest of the past thirty days.

ZPR closed at 9.26, a new 52-week low and down 1.70% on the day. Volume of 391,261 was the second-highest of the past 30 days, beaten only by the August 13 volume of 557,210.

Five-year Canada yields were down 6bp to 1.19% today.

PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.21%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to an astonishing 405bp, a new post-Credit Crunch record (second only to the 445bp recorded November 26, 2008, a day on which

The TXPR index was down 5.94% on the BCE news.

) and significantly wider than the 390bp the reported August 7.

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 -2.1014 % 1,851.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.1014 % 3,397.1
Floater 6.45 % 6.68 % 40,472 12.88 4 -2.1014 % 1,957.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0396 % 3,336.5
SplitShare 4.67 % 4.70 % 66,207 4.06 7 0.0396 % 3,984.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0396 % 3,108.8
Perpetual-Premium 5.62 % -8.34 % 53,389 0.09 9 -0.1315 % 2,983.9
Perpetual-Discount 5.46 % 5.59 % 55,435 14.52 25 -0.2255 % 3,120.6
FixedReset Disc 5.85 % 5.53 % 146,086 14.66 66 -2.3116 % 1,991.3
Deemed-Retractible 5.27 % 6.06 % 66,616 7.88 27 -0.5603 % 3,093.5
FloatingReset 4.64 % 7.30 % 63,678 7.97 3 -1.1938 % 2,281.0
FixedReset Prem 5.19 % 4.54 % 168,278 1.92 21 -0.4201 % 2,568.8
FixedReset Bank Non 1.99 % 4.33 % 89,417 2.39 3 -0.2514 % 2,641.8
FixedReset Ins Non 5.54 % 8.01 % 99,193 7.94 21 -1.6007 % 2,055.8
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset Disc -5.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.00 %
HSE.PR.E FixedReset Disc -5.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.21 %
HSE.PR.G FixedReset Disc -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.16 %
HSE.PR.A FixedReset Disc -4.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.66
Evaluated at bid price : 10.66
Bid-YTW : 6.85 %
TD.PF.A FixedReset Disc -4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 5.35 %
EMA.PR.C FixedReset Disc -4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 5.96 %
BMO.PR.W FixedReset Disc -4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 5.54 %
CU.PR.C FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.70 %
CM.PR.P FixedReset Disc -4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.62 %
TD.PF.C FixedReset Disc -4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 5.39 %
MFC.PR.G FixedReset Ins Non -3.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 8.21 %
NA.PR.S FixedReset Disc -3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.68 %
TD.PF.I FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.17 %
MFC.PR.K FixedReset Ins Non -3.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.01
Bid-YTW : 8.77 %
TRP.PR.A FixedReset Disc -3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 6.44 %
IAF.PR.I FixedReset Ins Non -3.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.99
Bid-YTW : 7.87 %
TRP.PR.E FixedReset Disc -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 6.33 %
TD.PF.J FixedReset Disc -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.23 %
TRP.PR.F FloatingReset -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 12.38
Evaluated at bid price : 12.38
Bid-YTW : 7.30 %
PWF.PR.P FixedReset Disc -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.59 %
EMA.PR.F FixedReset Disc -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 6.16 %
TRP.PR.G FixedReset Disc -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.34 %
BAM.PR.B Floater -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.68 %
SLF.PR.I FixedReset Ins Non -3.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 8.00 %
BAM.PF.B FixedReset Disc -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.35 %
MFC.PR.M FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.82
Bid-YTW : 9.26 %
IAF.PR.G FixedReset Ins Non -2.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.87
Bid-YTW : 7.49 %
TD.PF.D FixedReset Disc -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.46 %
TD.PF.K FixedReset Disc -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.27 %
BMO.PR.C FixedReset Disc -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 5.34 %
CM.PR.R FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.62 %
BAM.PR.K Floater -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.68 %
BIP.PR.A FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.88 %
TD.PF.B FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.28 %
TRP.PR.C FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 6.39 %
BAM.PR.C Floater -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.68 %
MFC.PR.I FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.53
Bid-YTW : 8.01 %
BAM.PF.E FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 6.43 %
NA.PR.W FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.63 %
IFC.PR.A FixedReset Ins Non -2.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.82
Bid-YTW : 10.34 %
TRP.PR.D FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 6.25 %
BIP.PR.D FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.83 %
MFC.PR.N FixedReset Ins Non -2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.61
Bid-YTW : 9.36 %
NA.PR.C FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 5.55 %
BAM.PR.R FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 6.23 %
RY.PR.S FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 5.09 %
BMO.PR.S FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 5.33 %
CM.PR.Q FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 5.69 %
CM.PR.S FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.54 %
NA.PR.E FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.53 %
BAM.PF.J FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.68
Evaluated at bid price : 23.51
Bid-YTW : 5.07 %
BAM.PF.F FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.31 %
EMA.PR.E Perpetual-Discount -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.62 %
BAM.PF.G FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.40 %
BMO.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.32 %
BAM.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 6.31 %
RY.PR.Z FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.01 %
IFC.PR.C FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.75
Bid-YTW : 8.70 %
BAM.PR.X FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 6.12 %
GWO.PR.S Deemed-Retractible -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 6.06 %
NA.PR.G FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.53 %
MFC.PR.J FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.19
Bid-YTW : 8.30 %
PWF.PR.T FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.30 %
RY.PR.H FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.03 %
BMO.PR.F FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.84
Evaluated at bid price : 24.12
Bid-YTW : 4.94 %
RY.PR.M FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.47 %
BIP.PR.F FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.13 %
MFC.PR.F FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.85
Bid-YTW : 10.29 %
SLF.PR.G FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.00
Bid-YTW : 10.24 %
BNS.PR.I FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 5.18 %
BMO.PR.E FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.35 %
CM.PR.T FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.78
Evaluated at bid price : 23.97
Bid-YTW : 4.87 %
CCS.PR.C Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 5.59 %
MFC.PR.Q FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.28
Bid-YTW : 8.20 %
TD.PF.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 5.43 %
BIP.PR.E FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.99 %
GWO.PR.R Deemed-Retractible -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.09
Bid-YTW : 6.46 %
CM.PR.O FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.52 %
GWO.PR.H Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 6.62 %
TD.PF.L FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.84
Evaluated at bid price : 24.10
Bid-YTW : 4.80 %
SLF.PR.D Deemed-Retractible -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.69
Bid-YTW : 6.90 %
TD.PF.M FixedReset Prem -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.94
Evaluated at bid price : 24.38
Bid-YTW : 4.99 %
SLF.PR.B Deemed-Retractible -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.07
Bid-YTW : 6.47 %
PWF.PR.S Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 5.59 %
BAM.PF.H FixedReset Prem -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.54 %
IFC.PR.E Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 6.09 %
CM.PR.Y FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.97
Evaluated at bid price : 24.45
Bid-YTW : 5.04 %
CU.PR.H Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 5.32 %
IFC.PR.G FixedReset Ins Non 2.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.A FixedReset Ins Non 103,551 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.82
Bid-YTW : 10.34 %
RY.PR.Z FixedReset Disc 94,183 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.01 %
BMO.PR.Y FixedReset Disc 71,196 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 5.39 %
RY.PR.Q FixedReset Prem 68,728 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.13 %
TRP.PR.C FixedReset Disc 61,115 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 6.39 %
TRP.PR.A FixedReset Disc 58,267 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 6.44 %
There were 59 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 16.82 – 17.75
Spot Rate : 0.9300
Average : 0.5744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.21 %

BMO.PR.F FixedReset Disc Quote: 24.12 – 24.75
Spot Rate : 0.6300
Average : 0.3865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.84
Evaluated at bid price : 24.12
Bid-YTW : 4.94 %

PWF.PR.T FixedReset Disc Quote: 17.79 – 18.33
Spot Rate : 0.5400
Average : 0.3465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.30 %

SLF.PR.I FixedReset Ins Non Quote: 18.01 – 18.49
Spot Rate : 0.4800
Average : 0.2934

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 8.00 %

TRP.PR.G FixedReset Disc Quote: 16.40 – 16.86
Spot Rate : 0.4600
Average : 0.2758

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.34 %

GWO.PR.S Deemed-Retractible Quote: 23.69 – 24.23
Spot Rate : 0.5400
Average : 0.3719

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 6.06 %

August 13, 2019

August 13th, 2019

Hostilities cooled in the trade war:

The Trump administration on Tuesday delayed imposing a 10 per cent import tariff on laptops, cellphones, video game consoles and a wide range of other products made in China, in an abrupt pullback from a hard line stance on Chinese trade.

The U.S. Trade Representative’s Office action was published just minutes after China’s Ministry of Commerce said Vice Premier Liu He conducted a phone call with U.S. trade officials.

The delay in the tariffs that had been scheduled to start next month provides some relief to retailers. Although most stores would have stocked their holiday merchandise before the earlier September deadline, some might have faced the tariffs for fill-in orders late in the holiday shopping season.

“We’re doing this for the Christmas season, just in case some of the tariffs would have an impact on U.S. customers” President Donald Trump told reporters as he prepared to depart from New Jersey for an event in Pittsburgh.

For what it’s worth, I will note that Trump has an election to fight next year – and the concept of ‘voting with your pocketbook’ is so well-known it’s trite. So I believe that Trump will win a headline concession from China (never mind all the fine print), declare victory and lift the tariffs well before the election. I’d be hesitant to estimate a probability for that scenario, though!

The Treasury market, though, ignored my prating as usual and flattened:

The U.S. Treasury yield curve hit its flattest level in more than 12 years on Tuesday, suggesting increased market anxiety over the state of the economy amid trade war concerns and global political tensions.

The spread between U.S. 2-year and 10-year note yields, a closely watched metric for recession signals, declined to 0.6 basis point, the narrowest since June 2007, according to Refinitiv data. The last time this yield curve inverted was also in June 2007 in the midst of the U.S. sub-prime mortgage crisis

Despite weak signals from the yield curve, U.S. yields rose across the board on Tuesday after the Trump administration delayed imposing a 10% import tariff on laptops, cellphones, video game consoles and a wide range of other products made in China. Analysts said the U.S. move served to ease trade tensions between the two world’s largest economies, at least for now.

U.S. two-year and 10-year note yields hit session highs after the trade news, while those on 30-year bonds rallied from more than three-year lows. Traders earlier were bracing for 30-year yields sinking to a record low below 2.08%.

The Labor Department said the U.S. consumer price index climbed 0.3% last month, lifted by gains in the cost of energy products and a range of other goods. Excluding the volatile food and energy components, the CPI gained 0.3% after rising by the same margin in June.

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 0.0686 % 1,891.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0686 % 3,470.1
Floater 6.32 % 6.48 % 39,727 13.16 4 0.0686 % 1,999.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0678 % 3,335.2
SplitShare 4.67 % 4.74 % 66,893 4.07 7 -0.0678 % 3,982.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0678 % 3,107.6
Perpetual-Premium 5.61 % -13.06 % 53,256 0.09 9 0.0219 % 2,987.8
Perpetual-Discount 5.45 % 5.53 % 56,892 14.64 25 -0.0458 % 3,127.6
FixedReset Disc 5.71 % 5.41 % 147,511 14.87 66 0.4569 % 2,038.4
Deemed-Retractible 5.24 % 5.96 % 64,179 7.89 27 0.0443 % 3,110.9
FloatingReset 4.59 % 7.05 % 63,340 7.99 3 0.2993 % 2,308.6
FixedReset Prem 5.16 % 4.40 % 164,425 1.92 21 0.0150 % 2,579.7
FixedReset Bank Non 1.99 % 4.30 % 84,377 2.39 3 0.0699 % 2,648.4
FixedReset Ins Non 5.45 % 8.00 % 97,150 7.99 21 -0.0338 % 2,089.3
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.46
Bid-YTW : 8.16 %
TRP.PR.B FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 10.21
Evaluated at bid price : 10.21
Bid-YTW : 6.15 %
SLF.PR.I FixedReset Ins Non -1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.57
Bid-YTW : 7.61 %
CU.PR.H Perpetual-Discount -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 23.74
Evaluated at bid price : 24.20
Bid-YTW : 5.42 %
IAF.PR.G FixedReset Ins Non -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.10 %
TRP.PR.D FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 6.09 %
BMO.PR.Z Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 24.03
Evaluated at bid price : 24.50
Bid-YTW : 5.10 %
NA.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.42 %
RY.PR.M FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 5.38 %
CCS.PR.C Deemed-Retractible 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.43
Bid-YTW : 5.40 %
TRP.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.22 %
TD.PF.J FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 5.05 %
HSE.PR.A FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 6.52 %
BAM.PR.Z FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 6.13 %
CM.PR.S FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.43 %
HSE.PR.G FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.77 %
BMO.PR.C FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 5.16 %
HSE.PR.C FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 6.59 %
IFC.PR.C FixedReset Ins Non 2.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.05
Bid-YTW : 8.47 %
CM.PR.P FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 77,207 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 5.10 %
BAM.PR.X FixedReset Disc 73,815 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 6.01 %
RY.PR.J FixedReset Disc 61,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.39 %
MFC.PR.J FixedReset Ins Non 59,176 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 8.06 %
BAM.PF.G FixedReset Disc 52,826 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.28 %
TD.PF.B FixedReset Disc 43,107 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 5.13 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 18.46 – 19.49
Spot Rate : 1.0300
Average : 0.6139

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.46
Bid-YTW : 8.16 %

BIP.PR.C FixedReset Prem Quote: 24.95 – 25.33
Spot Rate : 0.3800
Average : 0.2615

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.81 %

BAM.PR.R FixedReset Disc Quote: 14.39 – 14.69
Spot Rate : 0.3000
Average : 0.1905

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 6.09 %

CU.PR.H Perpetual-Discount Quote: 24.20 – 24.55
Spot Rate : 0.3500
Average : 0.2510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 23.74
Evaluated at bid price : 24.20
Bid-YTW : 5.42 %

CU.PR.C FixedReset Disc Quote: 16.45 – 16.73
Spot Rate : 0.2800
Average : 0.1844

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.45 %

EMA.PR.H FixedReset Disc Quote: 24.52 – 24.83
Spot Rate : 0.3100
Average : 0.2146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 23.07
Evaluated at bid price : 24.52
Bid-YTW : 4.94 %

ENB.PR.Y : Convert or Hold?

August 13th, 2019

It will be recalled that ENB.PR.Y will reset at 3.737% effective September 1, 2019

ENB.PR.Y is a FixedReset, 4.00%+238, that commenced trading 2013-6-6 after being announced 2013-5-28. It is tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g. ENB.PR.Y and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_190813
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +1.14% and +1.26%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the ENB.PR.Y FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for ENB.PR.Y) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
ENB.PR.Y 14.05 238bp 14.19 13.71 13.24

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, ENB.PR.Y. Therefore, I recommend that holders of ENB.PR.Y continue to hold the issue and not to convert. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (EST) on August 19, 2019. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.

August 12, 2019

August 12th, 2019
explosion_190812
Click for Big

There is some nervousness regarding the trade war:

Banks and technology companies drove a broad slide in stocks on Wall Street on Monday afternoon, knocking the Dow Jones industrial average down more than 300 points.

The sell-off added to losses the market racked up last week amid heightened anxiety over the continuing trade war between the United States and China.

The week of wild swings was fueled by investors’ worries that the fallout from the costly trade conflict would hurt corporate profits and hamper an already slowing global economy.

Traders shifted money into government bonds on Monday, sending bond prices higher. Yields move lower when bond prices rise, and as investors poured money into the bond market, the yield on the 10-year Treasury fell to 1.65 percent from 1.73 percent late Friday. The yield is used as a benchmark for interest rates on mortgages and other consumer loans.

The Bank of Canada has released a Staff Analytical Note by Rohan Arora, Guillaume Ouellet Leblanc, Jabir Sandhu and Jun Yang titled Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market:

Market participants in Canada have suggested that the liquidity of corporate bonds worsened in recent years. Yet, previous analysis by Bank of Canada staff (Fan et al. 2018b) shows that corporate bond market liquidity has generally improved since 2010. That conclusion relies on two commonly used liquidity proxies that are computed using data from transactions. However, most corporate bonds trade infrequently; in fact, only about 200 bonds transact on any given day. Consequently, infrequently traded bonds are missing from the existing liquidity proxies. This raises the concern that these proxies do not provide a complete picture of the liquidity conditions of the overall market.

We construct a new liquidity proxy using the price of exchange-traded funds (ETFs), the ETF-based proxy of Canadian corporate bond market liquidity (ECML). ECML measures the average liquidity of about 900 corporate bonds each day. Many of these bonds transact infrequently and are consequently missing from the existing liquidity proxies. Nonetheless, using ECML leads us to the same conclusion as Fan et al. (2018b):

corporate bond market liquidity has generally improved since 2010

But, the longer sample available with ECML also shows that liquidity has remained relatively stable since 2014.

TXPR closed at 592.89, down 0.78% on the day. Volume was 2.09-million, high, but not notably so in the context of the past 30 days.

CPD closed at 11.83, down 0.76% on the day. Volume of 141,299 was the fourth-highest of the past thirty days.

ZPR closed at 9.42, down 1.15% on the day. Volume of 211,213 was the second-highest of the past 30 days, beaten only by the August 7 volume of 242,011.

Five-year Canada yields were down 1bp to 1.20% today.

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 -0.8611 % 1,889.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8611 % 3,467.7
Floater 6.32 % 6.50 % 39,970 13.13 4 -0.8611 % 1,998.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0056 % 3,337.4
SplitShare 4.67 % 4.74 % 69,653 4.07 7 -0.0056 % 3,985.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0056 % 3,109.7
Perpetual-Premium 5.61 % -11.89 % 54,021 0.09 9 0.0175 % 2,987.2
Perpetual-Discount 5.45 % 5.54 % 55,823 14.65 25 -0.1108 % 3,129.0
FixedReset Disc 5.74 % 5.42 % 143,593 14.80 66 -1.2557 % 2,029.2
Deemed-Retractible 5.24 % 5.97 % 66,578 7.90 27 -0.1676 % 3,109.5
FloatingReset 4.60 % 7.10 % 63,592 7.99 3 -1.0857 % 2,301.7
FixedReset Prem 5.16 % 4.47 % 156,760 1.93 21 -0.3216 % 2,579.3
FixedReset Bank Non 1.99 % 4.28 % 85,659 2.39 3 -0.3343 % 2,646.6
FixedReset Ins Non 5.45 % 7.76 % 90,105 7.99 21 -0.9178 % 2,090.0
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.13 %
CM.PR.S FixedReset Disc -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.54 %
HSE.PR.G FixedReset Disc -3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.91 %
CM.PR.P FixedReset Disc -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 5.54 %
HSE.PR.E FixedReset Disc -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.83 %
BMO.PR.C FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.31 %
HSE.PR.A FixedReset Disc -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 11.03
Evaluated at bid price : 11.03
Bid-YTW : 6.62 %
CM.PR.O FixedReset Disc -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 5.49 %
BIP.PR.A FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.68 %
TRP.PR.F FloatingReset -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 7.10 %
BAM.PR.X FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 6.00 %
BAM.PR.Z FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.24 %
MFC.PR.K FixedReset Ins Non -2.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.63
Bid-YTW : 8.30 %
IFC.PR.A FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.11
Bid-YTW : 10.06 %
BIP.PR.F FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.08 %
TRP.PR.C FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 11.02
Evaluated at bid price : 11.02
Bid-YTW : 6.20 %
BAM.PR.T FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.15 %
MFC.PR.Q FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.42
Bid-YTW : 8.10 %
CM.PR.R FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 5.49 %
PWF.PR.A Floater -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 6.11 %
BMO.PR.D FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.30 %
SLF.PR.J FloatingReset -1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.10
Bid-YTW : 10.83 %
TD.PF.A FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 5.14 %
BAM.PF.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 15.37
Evaluated at bid price : 15.37
Bid-YTW : 6.27 %
BMO.PR.E FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.28 %
TD.PF.C FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 5.18 %
TD.PF.I FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 4.96 %
PWF.PR.P FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.41 %
EMA.PR.F FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.96 %
SLF.PR.G FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.20
Bid-YTW : 10.05 %
TRP.PR.A FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 12.64
Evaluated at bid price : 12.64
Bid-YTW : 6.30 %
BMO.PR.W FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 5.31 %
NA.PR.W FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 5.50 %
IFC.PR.C FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.56
Bid-YTW : 8.84 %
TRP.PR.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 5.98 %
SLF.PR.H FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.81
Bid-YTW : 8.76 %
MFC.PR.F FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.02
Bid-YTW : 10.13 %
BAM.PR.R FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.04 %
RY.PR.H FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.98 %
NA.PR.G FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 5.43 %
MFC.PR.M FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.19
Bid-YTW : 8.96 %
HSE.PR.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.76 %
BMO.PR.S FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.27 %
IAF.PR.I FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.39 %
MFC.PR.N FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 9.04 %
BNS.PR.I FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.10 %
TD.PF.B FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.15 %
CU.PR.E Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 22.25
Evaluated at bid price : 22.25
Bid-YTW : 5.52 %
W.PR.K FixedReset Prem -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.12 %
GWO.PR.N FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.95
Bid-YTW : 9.16 %
RY.PR.M FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.44 %
CM.PR.Q FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 5.61 %
CU.PR.F Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.35 %
BAM.PF.G FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.31 %
RY.PR.S FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 4.96 %
PWF.PR.S Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 5.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 106,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.95 %
BMO.PR.D FixedReset Disc 69,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.30 %
BMO.PR.Y FixedReset Disc 54,944 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.38 %
SLF.PR.H FixedReset Ins Non 51,890 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.81
Bid-YTW : 8.76 %
RY.PR.J FixedReset Disc 37,978 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.40 %
BAM.PR.X FixedReset Disc 35,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 6.00 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.P FixedReset Disc Quote: 15.76 – 16.47
Spot Rate : 0.7100
Average : 0.4152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 5.54 %

CM.PR.S FixedReset Disc Quote: 17.50 – 18.09
Spot Rate : 0.5900
Average : 0.3540

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.54 %

BNS.PR.D FloatingReset Quote: 24.29 – 24.82
Spot Rate : 0.5300
Average : 0.3353

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.29
Bid-YTW : 3.89 %

BMO.PR.C FixedReset Disc Quote: 21.44 – 22.00
Spot Rate : 0.5600
Average : 0.3816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.31 %

BNS.PR.I FixedReset Disc Quote: 19.48 – 19.88
Spot Rate : 0.4000
Average : 0.2279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.10 %

CM.PR.O FixedReset Disc Quote: 16.47 – 17.05
Spot Rate : 0.5800
Average : 0.4086

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 5.49 %

August PrefLetter Released!

August 12th, 2019

The August, 2019, 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.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the August, 2019, issue, while the “Next Edition” will be the September, 2019, issue, scheduled to be prepared as of the close September 13, 2019, and eMailed to subscribers prior to market-opening on September 16.

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?).