PrefLetter

July PrefLetter Released!

The July, 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.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the June, 2018, issue, while the “Next Edition” will be the August, 2018, issue, scheduled to be prepared as of the close August 10 and eMailed to subscribers prior to market-opening on August 13.

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?).

Market Action

July 13, 2018

… and now it’s time for 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 0.8530 % 3,151.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8530 % 5,783.2
Floater 3.42 % 3.64 % 68,786 18.23 4 0.8530 % 3,332.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2768 % 3,186.5
SplitShare 4.61 % 4.54 % 61,528 4.92 5 -0.2768 % 3,805.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2768 % 2,969.1
Perpetual-Premium 5.64 % -15.44 % 60,963 0.09 9 -0.0044 % 2,906.1
Perpetual-Discount 5.38 % 5.48 % 54,569 14.69 26 0.1035 % 2,985.8
FixedReset 4.30 % 4.58 % 132,763 4.17 106 0.0813 % 2,560.5
Deemed-Retractible 5.14 % 5.93 % 64,706 5.48 27 0.1828 % 2,970.6
FloatingReset 3.28 % 3.73 % 32,884 3.38 9 0.0691 % 2,840.3
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.47 %
BAM.PF.E FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 23.30
Evaluated at bid price : 23.68
Bid-YTW : 4.85 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 3.64 %
BAM.PR.C Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.64 %
IFC.PR.A FixedReset 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 7.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.W Perpetual-Discount 222,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 24.49
Evaluated at bid price : 24.72
Bid-YTW : 5.02 %
BMO.PR.W FixedReset 50,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 22.68
Evaluated at bid price : 23.12
Bid-YTW : 4.61 %
BAM.PF.F FixedReset 28,494 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 24.54
Evaluated at bid price : 24.86
Bid-YTW : 4.93 %
RY.PR.H FixedReset 27,568 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 23.23
Evaluated at bid price : 23.75
Bid-YTW : 4.54 %
NA.PR.G FixedReset 21,207 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 23.21
Evaluated at bid price : 25.20
Bid-YTW : 4.75 %
EMA.PR.H FixedReset 19,036 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.48 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.I FixedReset Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.5836

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.71 %

MFC.PR.F FixedReset Quote: 19.30 – 19.97
Spot Rate : 0.6700
Average : 0.4196

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 7.34 %

RY.PR.N Perpetual-Discount Quote: 24.99 – 25.52
Spot Rate : 0.5300
Average : 0.3249

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 24.52
Evaluated at bid price : 24.99
Bid-YTW : 4.95 %

BAM.PF.H FixedReset Quote: 25.89 – 26.33
Spot Rate : 0.4400
Average : 0.2641

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.57 %

TRP.PR.F FloatingReset Quote: 20.65 – 21.00
Spot Rate : 0.3500
Average : 0.2178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.12 %

PVS.PR.F SplitShare Quote: 25.50 – 26.00
Spot Rate : 0.5000
Average : 0.4037

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.54 %

Market Action

July 12, 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 0.5899 % 3,125.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5899 % 5,734.3
Floater 3.22 % 3.43 % 69,721 18.71 4 0.5899 % 3,304.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.3492 % 3,195.4
SplitShare 4.60 % 4.48 % 62,123 4.93 5 0.3492 % 3,816.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3492 % 2,977.4
Perpetual-Premium 5.64 % -14.13 % 61,412 0.09 9 0.0000 % 2,906.2
Perpetual-Discount 5.38 % 5.48 % 53,917 14.70 26 -0.1115 % 2,982.7
FixedReset 4.30 % 4.63 % 136,522 4.19 106 0.0118 % 2,558.4
Deemed-Retractible 5.15 % 5.97 % 65,697 5.48 27 -0.1014 % 2,965.2
FloatingReset 3.24 % 3.72 % 34,234 3.39 9 0.2077 % 2,838.3
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 21.81
Evaluated at bid price : 22.30
Bid-YTW : 4.92 %
BAM.PR.K Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 3.43 %
PWF.PR.Q FloatingReset 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 21.56
Evaluated at bid price : 21.96
Bid-YTW : 3.39 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset 1,036,959 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.69 %
NA.PR.G FixedReset 132,207 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 23.21
Evaluated at bid price : 25.21
Bid-YTW : 4.76 %
RY.PR.W Perpetual-Discount 81,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 24.47
Evaluated at bid price : 24.71
Bid-YTW : 5.02 %
IFC.PR.G FixedReset 73,756 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 5.09 %
BMO.PR.W FixedReset 58,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 22.67
Evaluated at bid price : 23.11
Bid-YTW : 4.63 %
SLF.PR.G FixedReset 56,587 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 6.90 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Quote: 24.40 – 24.95
Spot Rate : 0.5500
Average : 0.3605

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.76 %

HSE.PR.A FixedReset Quote: 17.87 – 18.22
Spot Rate : 0.3500
Average : 0.2235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 5.03 %

TRP.PR.H FloatingReset Quote: 17.20 – 17.50
Spot Rate : 0.3000
Average : 0.1899

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.95 %

TRP.PR.A FixedReset Quote: 20.53 – 21.47
Spot Rate : 0.9400
Average : 0.8363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 4.82 %

MFC.PR.J FixedReset Quote: 25.00 – 25.30
Spot Rate : 0.3000
Average : 0.2003

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.74 %

MFC.PR.B Deemed-Retractible Quote: 21.92 – 22.30
Spot Rate : 0.3800
Average : 0.2809

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 7.13 %

Market Action

July 11, 2018

A good day for FixedResets, presumably due to the Bank of Canada policy hike and anticipation of increasing five-year Canada yields.

PerpetualDiscounts now yield 5.47%, equivalent to 7.11% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, unchanged from July 4

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 1.3727 % 3,106.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3727 % 5,700.7
Floater 3.24 % 3.44 % 70,208 18.68 4 1.3727 % 3,285.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0793 % 3,184.3
SplitShare 4.61 % 4.70 % 61,802 4.93 5 -0.0793 % 3,802.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0793 % 2,967.0
Perpetual-Premium 5.64 % -15.63 % 61,148 0.09 9 0.0306 % 2,906.2
Perpetual-Discount 5.38 % 5.47 % 56,026 14.70 26 -0.0279 % 2,986.0
FixedReset 4.30 % 4.60 % 134,249 4.29 106 0.4840 % 2,558.1
Deemed-Retractible 5.14 % 5.92 % 63,454 5.49 27 -0.0920 % 2,968.2
FloatingReset 3.25 % 3.72 % 34,409 3.39 9 0.2727 % 2,832.5
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.09
Bid-YTW : 7.54 %
MFC.PR.J FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.74 %
MFC.PR.L FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 6.02 %
BAM.PR.B Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 3.44 %
IFC.PR.C FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.19
Bid-YTW : 5.39 %
GWO.PR.T Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.92 %
SLF.PR.J FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.27
Bid-YTW : 6.42 %
MFC.PR.G FixedReset 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.58 %
BAM.PR.K Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 3.46 %
PWF.PR.P FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 4.41 %
GWO.PR.N FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.98
Bid-YTW : 7.61 %
TRP.PR.A FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.83 %
BAM.PF.G FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.34
Evaluated at bid price : 24.37
Bid-YTW : 4.97 %
CU.PR.G Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.32 %
CU.PR.C FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 22.31
Evaluated at bid price : 22.94
Bid-YTW : 4.64 %
BAM.PR.R FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 5.06 %
BAM.PF.F FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 24.37
Evaluated at bid price : 24.73
Bid-YTW : 4.97 %
TRP.PR.C FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.83 %
SLF.PR.H FixedReset 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 5.67 %
MFC.PR.N FixedReset 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.20 %
BAM.PR.C Floater 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 3.45 %
SLF.PR.G FixedReset 3.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.21
Bid-YTW : 6.81 %
MFC.PR.M FixedReset 3.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 5.32 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.G Perpetual-Premium 408,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 5.26 %
TRP.PR.B FixedReset 150,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.76 %
PWF.PR.L Perpetual-Discount 104,234 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 22.86
Evaluated at bid price : 23.13
Bid-YTW : 5.51 %
PWF.PR.H Perpetual-Premium 94,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-10
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -15.79 %
IFC.PR.G FixedReset 75,456 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.02 %
PWF.PR.T FixedReset 75,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.60
Evaluated at bid price : 24.30
Bid-YTW : 4.53 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.6790

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.81 %

TRP.PR.A FixedReset Quote: 20.49 – 21.40
Spot Rate : 0.9100
Average : 0.7225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.83 %

TRP.PR.E FixedReset Quote: 22.61 – 22.98
Spot Rate : 0.3700
Average : 0.2307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 22.00
Evaluated at bid price : 22.61
Bid-YTW : 4.85 %

PWF.PR.F Perpetual-Discount Quote: 23.79 – 24.17
Spot Rate : 0.3800
Average : 0.2696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.52
Evaluated at bid price : 23.79
Bid-YTW : 5.52 %

W.PR.M FixedReset Quote: 25.60 – 25.85
Spot Rate : 0.2500
Average : 0.1671

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.41 %

TRP.PR.G FixedReset Quote: 24.21 – 24.55
Spot Rate : 0.3400
Average : 0.2600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.17
Evaluated at bid price : 24.21
Bid-YTW : 5.02 %

Canada Prime

BoC Raises Policy Rate 25bp; Prime Follows

The Bank of Canada has announced:

The Bank of Canada today increased its target for the overnight rate to 1 ½ per cent. The Bank Rate is correspondingly 1 ¾ per cent and the deposit rate is 1 ¼ per cent.

The Bank expects the global economy to grow by about 3 ¾ per cent in 2018 and 3 ½ per cent in 2019, in line with the April Monetary Policy Report (MPR). The US economy is proving stronger than expected, reinforcing market expectations of higher policy rates and pushing up the US dollar. This is contributing to financial stresses in some emerging market economies. Meanwhile, oil prices have risen. Yet, the Canadian dollar is lower, reflecting broad-based US dollar strength and concerns about trade actions. The possibility of more trade protectionism is the most important threat to global prospects.

Canada’s economy continues to operate close to its capacity and the composition of growth is shifting. Temporary factors are causing volatility in quarterly growth rates: the Bank projects a pick-up to 2.8 per cent in the second quarter and a moderation to 1.5 per cent in the third. Household spending is being dampened by higher interest rates and tighter mortgage lending guidelines. Recent data suggest housing markets are beginning to stabilize following a weak start to 2018. Meanwhile, exports are being buoyed by strong global demand and higher commodity prices. Business investment is growing in response to solid demand growth and capacity pressures, although trade tensions are weighing on investment in some sectors. Overall, the Bank still expects average growth of close to 2 per cent over 2018-2020.

CPI and the Bank’s core measures of inflation remain near 2 per cent, consistent with an economy operating close to capacity. CPI inflation is expected to edge up further to about 2.5 per cent before settling back to 2 per cent by the second half of 2019. The Bank estimates that underlying wage growth is running at about 2.3 per cent, slower than would be expected in a labour market with no slack.

As in April, the projection incorporates an estimate of the impact of trade uncertainty on Canadian investment and exports. This effect is now judged to be larger, given mounting trade tensions.

The July projection also incorporates the estimated impact of tariffs on steel and aluminum recently imposed by the United States, as well as the countermeasures enacted by Canada. Although there will be difficult adjustments for some industries and their workers, the effect of these measures on Canadian growth and inflation is expected to be modest.

Governing Council expects that higher interest rates will be warranted to keep inflation near target and will continue to take a gradual approach, guided by incoming data. In particular, the Bank is monitoring the economy’s adjustment to higher interest rates and the evolution of capacity and wage pressures, as well as the response of companies and consumers to trade actions.

As usual there are no details of how the voting went or any capsule description of the rationale for such dissent, as is routinely provided by professionally managed central banks such as the US Federal Reserve. It’s a pity that members of the grandiosely named Governing Council are so insecure!

Market reaction was muted:

The Canadian dollar weakened to a more than one-week low against its U.S. counterpart on Wednesday as broad-based gains for the greenback offset an interest rate hike and the prospect of further tightening by the Bank of Canada.

The U.S. dollar rose as the market put aside trade tension fears and focused on an expectation-beating inflation report, which increased prospects that the Federal Reserve will raise interest rates two more times this year.

“This U.S. dollar move offsets and even more so the somewhat hawkish BoC hike,” said Greg Anderson, global head of foreign exchange strategy at BMO Capital Markets in New York.

The Bank of Canada raised its benchmark interest rate by 25 basis points to 1.50 per cent, the fourth hike since last summer.

Money markets see a nearly 70 per cent chance of further tightening by December.

The Big Banks hiked prime. Sadly, we do not know what has been done with the banks’ top secret internal primes or the spreads to Prime that the average customer might see on his renewal notice.

Details are:

Market Action

July 10, 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 1.6158 % 3,064.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6158 % 5,623.5
Floater 3.28 % 3.48 % 71,189 18.60 4 1.6158 % 3,240.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0951 % 3,186.8
SplitShare 4.61 % 4.68 % 62,762 4.93 5 -0.0951 % 3,805.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0951 % 2,969.4
Perpetual-Premium 5.64 % -13.30 % 56,613 0.09 9 0.0787 % 2,905.3
Perpetual-Discount 5.37 % 5.47 % 56,212 14.73 26 0.0886 % 2,986.9
FixedReset 4.32 % 4.66 % 134,334 4.47 106 -0.0383 % 2,545.8
Deemed-Retractible 5.14 % 5.93 % 64,333 5.49 27 -0.0639 % 2,971.0
FloatingReset 3.26 % 3.69 % 35,179 3.39 9 0.0149 % 2,824.8
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 7.33 %
SLF.PR.H FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 6.00 %
MFC.PR.M FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.91 %
TRP.PR.C FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 4.91 %
BAM.PR.C Floater 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.54 %
BAM.PR.X FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.94 %
BAM.PR.K Floater 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.50 %
BAM.PR.B Floater 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.48 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.E Deemed-Retractible 62,431 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.93 %
NA.PR.G FixedReset 60,565 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 23.19
Evaluated at bid price : 25.16
Bid-YTW : 4.77 %
BIP.PR.D FixedReset 51,260 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.95 %
BAM.PR.K Floater 43,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.50 %
MFC.PR.J FixedReset 37,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 4.92 %
IFC.PR.G FixedReset 36,911 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.16 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 21.46 – 22.41
Spot Rate : 0.9500
Average : 0.7598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 3.51 %

SLF.PR.G FixedReset Quote: 19.61 – 20.10
Spot Rate : 0.4900
Average : 0.3127

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 7.33 %

PVS.PR.D SplitShare Quote: 25.36 – 25.71
Spot Rate : 0.3500
Average : 0.2187

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.18 %

PWF.PR.A Floater Quote: 21.66 – 22.03
Spot Rate : 0.3700
Average : 0.2696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 21.39
Evaluated at bid price : 21.66
Bid-YTW : 2.78 %

BMO.PR.Y FixedReset Quote: 24.41 – 24.65
Spot Rate : 0.2400
Average : 0.1488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 23.32
Evaluated at bid price : 24.41
Bid-YTW : 4.77 %

BAM.PR.C Floater Quote: 17.15 – 17.52
Spot Rate : 0.3700
Average : 0.2795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.54 %

Issue Comments

BMO.PR.M, BMO.PR.R To Be Redeemed

Bank of Montreal has announced (on June 28):

its intention to redeem all of its 6,267,391 outstanding Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 16 (“Series 16”) for an aggregate total of approximately $157 million and all of its 5,732,609 outstanding Non-Cumulative Floating Rate Class B Preferred Shares, Series 17 (“Series 17”) for an aggregate total of approximately $143 million on August 25, 2018. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

The Series 16 and Series 17 are redeemable at Bank of Montreal’s option on August 25, 2018, at a redemption price of $25.00 per share. Payment of the redemption price will be made by Bank of Montreal on August 27, 2018, the first business day following the redemption date, upon surrender of the Series 16 and Series 17.

On May 30, 2018, Bank of Montreal announced that dividends of $0.211875 per share for Series 16 and $0.179589 per share for Series 17 had been declared. These will be the final dividends on Series 16 and Series 17, and will be paid in the usual manner on August 27, 2018 to the shareholders of record on August 1, 2018, separately from the payment of the redemption price.

Notice will be delivered to holders of the Series 16 and Series 17 in accordance with the terms outlined in the Series 16 and 17 prospectus supplement.

Series 16 is BMO.PR.M, a Fixed Reset +165bp that commenced trading 2008-6-23 at 5.20% after being announced 2008-6-12 and was reset to 3.39% in August, 2013.

Series 17 is BMO.PR.R, a FloatingReset, +165bp, that resulted from the 2013 conversion from BMO.PR.M at the time of reset.

Market Action

July 6, 2018

Jobs, jobs, jobs!

Despite sharpening trade tensions, a hefty rise in payrolls has provided new evidence that the American economy is strong enough to keep pulling sidelined workers back into action.

Employers added a total of 213,000 jobs in June, the Labor Department said Friday in its monthly report. The jobless rate rose to 4 percent, up from 3.8 percent in May, but that was because so many people joined the labor force and started actively hunting for work.

For workers, the modest 2.7 percent increase in the average hourly wage over the past year was disappointing; pay raises are a nose behind some measures of inflation. But the slow pace does undercut arguments that the economy is in danger of revving too fast.

There were jobs in Canada, too!

The Canadian dollar strengthened to a three-week high against its U.S. counterpart on Friday as oil prices rose and data showing a stronger-than-expected rise in domestic jobs raised expectations for a Bank of Canada interest rate hike next week.

The Canadian economy added 31,800 jobs in June, more than the 24,000 gain that analysts had predicted.

Chances of a Bank of Canada interest rate increase at the July 11 announcement climbed to more than 90 percent from 88 percent before the data, the overnight index swaps market indicated.

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 1.0233 % 3,001.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0233 % 5,508.1
Floater 3.35 % 3.59 % 73,979 18.35 4 1.0233 % 3,174.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1349 % 3,188.3
SplitShare 4.61 % 4.52 % 65,572 4.94 5 0.1349 % 3,807.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1349 % 2,970.8
Perpetual-Premium 5.61 % -8.63 % 57,639 0.09 9 0.1742 % 2,901.8
Perpetual-Discount 5.36 % 5.46 % 55,175 14.63 26 -0.0229 % 2,983.1
FixedReset 4.32 % 4.65 % 136,541 5.55 106 0.1749 % 2,543.5
Deemed-Retractible 5.14 % 5.94 % 64,297 5.50 27 -0.0468 % 2,971.1
FloatingReset 3.10 % 3.52 % 33,082 3.41 9 0.2141 % 2,814.5
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-06
Maturity Price : 23.20
Evaluated at bid price : 24.13
Bid-YTW : 4.88 %
IFC.PR.E Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.99 %
SLF.PR.H FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 5.94 %
VNR.PR.A FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-06
Maturity Price : 23.05
Evaluated at bid price : 24.54
Bid-YTW : 4.82 %
PWF.PR.A Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-06
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 2.83 %
BAM.PR.K Floater 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-06
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.I FixedReset 145,799 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 4.69 %
GWO.PR.G Deemed-Retractible 55,757 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.96 %
TD.PF.G FixedReset 51,184 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 3.54 %
NA.PR.G FixedReset 42,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-06
Maturity Price : 23.18
Evaluated at bid price : 25.11
Bid-YTW : 4.76 %
MFC.PR.N FixedReset 39,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 5.52 %
MFC.PR.K FixedReset 36,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.08 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.J Perpetual-Discount Quote: 24.82 – 25.28
Spot Rate : 0.4600
Average : 0.3098

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-06
Maturity Price : 24.57
Evaluated at bid price : 24.82
Bid-YTW : 5.66 %

TD.PF.D FixedReset Quote: 24.13 – 24.52
Spot Rate : 0.3900
Average : 0.2546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-06
Maturity Price : 23.20
Evaluated at bid price : 24.13
Bid-YTW : 4.88 %

EMA.PR.H FixedReset Quote: 25.35 – 25.59
Spot Rate : 0.2400
Average : 0.1627

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.73 %

TRP.PR.H FloatingReset Quote: 17.00 – 17.30
Spot Rate : 0.3000
Average : 0.2300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-06
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.77 %

SLF.PR.A Deemed-Retractible Quote: 22.42 – 22.71
Spot Rate : 0.2900
Average : 0.2208

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 6.77 %

MFC.PR.O FixedReset Quote: 26.51 – 26.85
Spot Rate : 0.3400
Average : 0.2866

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 3.55 %

Issue Comments

EMA.PR.C To Be Extended

Emera Incorporated has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Cumulative Rate Reset First Preferred Shares, Series C of the Company (the “Series C Shares”) on August 15, 2018. There are currently 10,000,000 Series C Shares outstanding.

Subject to certain conditions set out in the prospectus supplement of the Company dated May 31, 2012, to the amended and restated short form base shelf prospectus dated February 18, 2011, relating to the issuance of the Series C Shares, the holders of the Series C Shares have the right, at their option, to convert all or any of their Series C Shares, on a one-for-one basis, into Cumulative Floating Rate First Preferred Shares, Series D of the Company (the “Series D Shares”) on August 15, 2018 (the “Conversion Date”).

On such date, holders who do not exercise their right to convert their Series C Shares into Series D Shares will continue to hold their Series C Shares.

The foregoing conversion right is subject to the following:

1. if the Company determines that there would be less than 1,000,000 Series D Shares outstanding on the Conversion Date, then holders of Series C Shares will not be entitled to convert their shares into Series D Shares, and

2. alternatively, if the Company determines that there would remain outstanding less than 1,000,000 Series C Shares on the Conversion Date, then all remaining Series C Shares will automatically be converted into Series D Shares on a one-for-one basis on the Conversion Date.

In either case, Emera will give written notice to that effect to holders of Series C Shares no later than August 8, 2018.

The dividend rate applicable for the Series C Shares for the five-year period commencing on August 15, 2018 and ending on (and inclusive of) August 14, 2023, and the dividend rate applicable to the Series D Shares for the 3-month period commencing on August 15, 2018 and ending on (and inclusive of) November 14, 2018, will be determined on July 16, 2018 and notice of such dividend rates shall be provided to the holders of the Series C Shares on that day.

Beneficial owners of Series C Shares who wish to exercise their conversion right should communicate with their broker or other nominee to obtain instructions for exercising such right during the conversion period, which runs from July 16, 2018 until 5:00 p.m. (EDT) on July 31, 2018.

EMA.PR.C is a FixedReset, 4.10%+265, that commenced trading 2012-6-7 after being announced 2012-5-29.

I will have more commentary once the reset dividend rate is known.

Market Action

July 5, 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 -0.9442 % 2,971.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9442 % 5,452.3
Floater 3.39 % 3.61 % 74,537 18.31 4 -0.9442 % 3,142.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0476 % 3,184.0
SplitShare 4.61 % 4.52 % 68,072 4.94 5 0.0476 % 3,802.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0476 % 2,966.8
Perpetual-Premium 5.62 % -8.36 % 56,396 0.08 9 0.0305 % 2,896.8
Perpetual-Discount 5.36 % 5.47 % 55,840 14.61 26 0.0933 % 2,983.8
FixedReset 4.32 % 4.64 % 135,218 5.60 106 -0.0036 % 2,539.0
Deemed-Retractible 5.14 % 5.78 % 66,553 5.51 27 0.1655 % 2,972.5
FloatingReset 3.10 % 3.63 % 33,251 3.41 9 0.1047 % 2,808.5
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-05
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 3.66 %
VNR.PR.A FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-05
Maturity Price : 23.06
Evaluated at bid price : 24.55
Bid-YTW : 4.89 %
MFC.PR.Q FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 5.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 63,281 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.49 %
MFC.PR.Q FixedReset 43,725 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 5.08 %
CM.PR.S FixedReset 37,924 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-05
Maturity Price : 22.64
Evaluated at bid price : 23.65
Bid-YTW : 4.69 %
POW.PR.D Perpetual-Discount 30,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-05
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 5.47 %
BNS.PR.E FixedReset 28,956 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.49 %
MFC.PR.R FixedReset 27,254 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.02 %
There were 24 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: 24.55 – 24.95
Spot Rate : 0.4000
Average : 0.2610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-05
Maturity Price : 23.06
Evaluated at bid price : 24.55
Bid-YTW : 4.89 %

PWF.PR.Z Perpetual-Discount Quote: 23.80 – 24.12
Spot Rate : 0.3200
Average : 0.2067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-05
Maturity Price : 23.46
Evaluated at bid price : 23.80
Bid-YTW : 5.49 %

MFC.PR.H FixedReset Quote: 25.06 – 25.34
Spot Rate : 0.2800
Average : 0.1800

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 5.16 %

BAM.PR.K Floater Quote: 16.57 – 17.02
Spot Rate : 0.4500
Average : 0.3579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-05
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 3.66 %

IFC.PR.F Deemed-Retractible Quote: 24.75 – 25.14
Spot Rate : 0.3900
Average : 0.3159

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.53 %

BAM.PF.H FixedReset Quote: 25.89 – 26.10
Spot Rate : 0.2100
Average : 0.1364

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.54 %