Market Action

March 27, 2019

Some illuminating charts from a Statistics Canada study:

debttoincomestatscan
Click for Big
changedebttoincomestatscan
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wealthstatscan
Click for Big

Meanwhile, PrefBlog’s Department Studying Artificial Intelligence Because There’s Not Bloody Much Of The Real Kind has learned something of interest to insurers:

The predictions of early death that were made by AI algorithms were “significantly more accurate” than predictions delivered by a model that did not use machine learning, lead study author Dr. Stephen Weng, an assistant professor of epidemiology and data science at the University of Nottingham (UN) in the U.K., said in a statement.

It was an interesting day for the Canadian preferred share market, which steadily fell until 2:15pm, down 45bp, when the cavalry arrived and the index finished with a gain of 8bp on the day.

txpr_190327
Click for Big

PerpetualDiscounts now yield 5.40%, equivalent to 7.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.66%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a sharp narrowing from the 350bp reported March 20.

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 -1.6354 % 2,071.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6354 % 3,800.6
Floater 5.65 % 5.76 % 42,018 14.26 3 -1.6354 % 2,190.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0397 % 3,278.9
SplitShare 4.87 % 4.57 % 78,137 3.88 8 -0.0397 % 3,915.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0397 % 3,055.2
Perpetual-Premium 5.66 % -11.00 % 62,970 0.09 7 0.1572 % 2,936.0
Perpetual-Discount 5.36 % 5.40 % 79,909 14.66 26 0.4300 % 3,113.7
FixedReset Disc 5.29 % 5.27 % 197,244 14.97 64 -0.3692 % 2,156.8
Deemed-Retractible 5.21 % 5.75 % 99,020 8.20 27 0.3806 % 3,081.7
FloatingReset 4.25 % 4.04 % 40,508 2.72 5 -0.5003 % 2,375.4
FixedReset Prem 5.07 % 3.73 % 319,716 2.22 19 0.2101 % 2,571.3
FixedReset Bank Non 1.98 % 4.12 % 147,250 2.74 3 0.0977 % 2,626.8
FixedReset Ins Non 5.05 % 6.53 % 113,487 8.35 22 -0.3190 % 2,233.7
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -3.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.01
Bid-YTW : 9.34 %
MFC.PR.F FixedReset Ins Non -3.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.97
Bid-YTW : 9.25 %
TRP.PR.G FixedReset Disc -3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.02 %
SLF.PR.J FloatingReset -2.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.28
Bid-YTW : 9.51 %
GWO.PR.N FixedReset Ins Non -2.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.29
Bid-YTW : 8.90 %
HSE.PR.C FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 6.28 %
RY.PR.M FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 5.19 %
BAM.PF.F FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.69 %
BAM.PR.K Floater -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 11.88
Evaluated at bid price : 11.88
Bid-YTW : 5.84 %
RY.PR.J FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.27 %
PWF.PR.A Floater -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 5.48 %
CM.PR.O FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 5.17 %
TD.PF.C FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 5.06 %
BAM.PF.D Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 5.69 %
CM.PR.P FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 5.33 %
SLF.PR.H FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 7.87 %
BMO.PR.E FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 21.99
Evaluated at bid price : 22.50
Bid-YTW : 4.82 %
MFC.PR.L FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.41
Bid-YTW : 7.88 %
TD.PF.B FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.14 %
TRP.PR.F FloatingReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 14.07
Evaluated at bid price : 14.07
Bid-YTW : 6.39 %
GWO.PR.G Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.04
Bid-YTW : 5.71 %
PWF.PR.Z Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 23.53
Evaluated at bid price : 23.89
Bid-YTW : 5.46 %
SLF.PR.D Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 6.53 %
SLF.PR.A Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 6.13 %
BMO.PR.Y FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.06 %
PWF.PR.S Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 22.06
Evaluated at bid price : 22.44
Bid-YTW : 5.42 %
TD.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.15 %
TRP.PR.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.91 %
PWF.PR.L Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 5.43 %
SLF.PR.C Deemed-Retractible 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 6.49 %
IFC.PR.A FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.46
Bid-YTW : 8.09 %
TRP.PR.B FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 5.75 %
GWO.PR.H Deemed-Retractible 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.88 %
CU.PR.D Perpetual-Discount 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 22.88
Evaluated at bid price : 23.14
Bid-YTW : 5.34 %
PWF.PR.K Perpetual-Discount 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 5.37 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.A Deemed-Retractible 584,603 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 6.13 %
GWO.PR.I Deemed-Retractible 306,985 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.47 %
PWF.PR.S Perpetual-Discount 219,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 22.06
Evaluated at bid price : 22.44
Bid-YTW : 5.42 %
GWO.PR.L Deemed-Retractible 211,635 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -9.59 %
GWO.PR.M Deemed-Retractible 116,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : -11.36 %
PWF.PR.F Perpetual-Discount 102,371 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 24.08
Evaluated at bid price : 24.34
Bid-YTW : 5.47 %
SLF.PR.B Deemed-Retractible 101,850 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 6.14 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Deemed-Retractible Quote: 23.80 – 24.91
Spot Rate : 1.1100
Average : 0.7785

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.83 %

EMA.PR.F FixedReset Disc Quote: 19.15 – 19.79
Spot Rate : 0.6400
Average : 0.4085

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.42 %

TRP.PR.G FixedReset Disc Quote: 18.30 – 19.05
Spot Rate : 0.7500
Average : 0.5251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.02 %

TD.PF.K FixedReset Disc Quote: 21.61 – 22.08
Spot Rate : 0.4700
Average : 0.3053

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 21.32
Evaluated at bid price : 21.61
Bid-YTW : 4.95 %

BAM.PR.R FixedReset Disc Quote: 15.54 – 16.20
Spot Rate : 0.6600
Average : 0.4975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 5.92 %

CU.PR.F Perpetual-Discount Quote: 20.90 – 21.40
Spot Rate : 0.5000
Average : 0.3455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-27
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.44 %

Issue Comments

VNR.PR.A To Be Acquired At $25.00 Under Plan of Arrangement

Valener Inc. has announced that it:

and Noverco Inc. (“Noverco”), the controlling partner of Energir, L.P., announced today that they have entered into a definitive arrangement agreement (the “Arrangement Agreement”) pursuant to which Noverco will acquire indirectly all of the issued and outstanding common shares of Valener (the “Common Shares”) for $26.00 per Common Share in cash and all of the issued and outstanding Cumulative Rate Reset Preferred Shares, Series A of Valener (the “Preferred Shares”) for $25.00 per Preferred Share in cash plus accrued and unpaid dividends (the “Arrangement”).

Transaction Highlights

  • Cash consideration of $26.00 per Common Share represents a premium of approximately 30% to the closing price per Common Share on December 12, 2018 (the day prior to Noverco’s initial approach to Valener regarding a potential transaction) and approximately 10% to the all-time high closing price per Common Share of $23.67 observed on March 22, 2019.
  • Cash consideration of $25.00 per Preferred Share represents a premium of approximately 18% to the closing price per Preferred Share on December 12, 2018.
  • The acquisition of all of the outstanding Common Shares and Preferred Shares implies a total enterprise value for Valener of approximately $1.2 billion, including the assumption of existing indebtedness.
  • 100% cash consideration provides immediate liquidity and certainty of value for holders of Common Shares and holders of Preferred Shares.
  • BMO Capital Markets and TD Securities provided opinions that, subject to the assumptions, limitations and qualifications contained therein, the cash consideration to be received is fair from a financial point of view to the holders of Common Shares and the holders of Preferred Shares; further, cash consideration to be received by holders of Common Shares falls within the fair market value range of $24.00 to $28.50 per Common Share established by TD Securities as independent valuator.


Under the Arrangement, it is proposed that the Preferred Shares will also be acquired by Noverco. Pursuant to the Arrangement Agreement, holders of Preferred Shares will be asked to vote on the Arrangement as a separate class. However, completion of the Arrangement is not conditional on receipt of such approval. If the requisite approval from holders of Preferred Shares is not obtained, such Preferred Shares will be excluded from the Arrangement and remain outstanding in accordance with their terms. For the Preferred Shares to be included in the Arrangement, the resolution approving the Arrangement must be approved by holders of not less than 66 2/3% of Preferred Shares present in person or by proxy at the Special Meeting.

That’s a nice little windfall for holders of VNR.PR.A, which closed at 21.31-73 today, after trading 310 shares!

The issue commenced trading 2012-6-6 as a FixedReset, 4.35%+281, after being announced 2012-5-15. It reset to 4.62% effective 2017-10-15. I recommended against conversion and there was no conversion to FloatingResets. The issue is tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

Market Action

March 26, 2019

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 1.1388 % 2,105.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1388 % 3,863.8
Floater 5.56 % 5.71 % 41,847 14.35 3 1.1388 % 2,226.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0645 % 3,280.2
SplitShare 4.87 % 4.58 % 77,954 3.88 8 0.0645 % 3,917.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0645 % 3,056.4
Perpetual-Premium 5.67 % -8.01 % 65,546 0.08 7 0.0168 % 2,931.4
Perpetual-Discount 5.38 % 5.46 % 76,178 14.58 26 0.1743 % 3,100.4
FixedReset Disc 5.26 % 5.25 % 184,819 14.98 64 -0.0509 % 2,164.8
Deemed-Retractible 5.23 % 5.80 % 100,315 8.20 27 0.3089 % 3,070.0
FloatingReset 4.23 % 4.13 % 40,185 2.72 5 0.3383 % 2,387.4
FixedReset Prem 5.08 % 3.81 % 324,033 2.23 19 0.0551 % 2,565.9
FixedReset Bank Non 1.98 % 4.05 % 148,848 2.74 3 -0.3477 % 2,624.2
FixedReset Ins Non 5.03 % 6.51 % 113,121 8.35 22 0.1540 % 2,240.9
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -3.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.54
Bid-YTW : 7.44 %
BAM.PR.R FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.94 %
TD.PF.A FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.09 %
BAM.PF.G FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.73 %
IAF.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 : 20.50
Bid-YTW : 6.48 %
TD.PF.D FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.18 %
TRP.PR.B FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 11.61
Evaluated at bid price : 11.61
Bid-YTW : 5.85 %
BAM.PF.F FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.56 %
BAM.PR.T FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.84 %
BMO.PR.E FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 22.15
Evaluated at bid price : 22.75
Bid-YTW : 4.76 %
MFC.PR.F FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 8.81 %
BIP.PR.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.35 %
CCS.PR.C Deemed-Retractible 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.99 %
RY.PR.J FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 5.16 %
MFC.PR.L FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 7.75 %
ELF.PR.H Perpetual-Discount 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 24.81
Evaluated at bid price : 25.15
Bid-YTW : 5.56 %
BAM.PR.K Floater 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.71 %
MFC.PR.B Deemed-Retractible 2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.17
Bid-YTW : 6.14 %
BAM.PR.Z FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.56 %
SLF.PR.J FloatingReset 3.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 9.15 %
MFC.PR.N FixedReset Ins Non 3.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.77
Bid-YTW : 7.81 %
SLF.PR.G FixedReset Ins Non 3.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.55
Bid-YTW : 8.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.N FixedReset Ins Non 77,928 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 8.57 %
BAM.PR.Z FixedReset Disc 58,149 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.56 %
TD.PF.G FixedReset Prem 50,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.62 %
BIK.PR.A FixedReset Prem 48,423 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 5.33 %
BNS.PR.E FixedReset Prem 46,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 3.67 %
MFC.PR.R FixedReset Ins Non 34,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.79 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Ins Non Quote: 20.90 – 25.00
Spot Rate : 4.1000
Average : 2.6810

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.38 %

RY.PR.H FixedReset Disc Quote: 19.00 – 19.80
Spot Rate : 0.8000
Average : 0.4880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.96 %

IFC.PR.C FixedReset Ins Non Quote: 18.54 – 19.15
Spot Rate : 0.6100
Average : 0.3902

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.54
Bid-YTW : 7.44 %

TRP.PR.A FixedReset Disc Quote: 14.16 – 14.83
Spot Rate : 0.6700
Average : 0.4517

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 6.00 %

PWF.PR.A Floater Quote: 13.05 – 13.70
Spot Rate : 0.6500
Average : 0.4323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-26
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 5.36 %

IFC.PR.G FixedReset Ins Non Quote: 21.30 – 21.90
Spot Rate : 0.6000
Average : 0.3828

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 6.35 %

Press Clippings

Winners and Losers in the Bond-Yield Collapse

John Heinzl was kind enough to quote me in his latest piece, Winners and Losers in the Bond-Yield Collapse:

If you haven’t checked guaranteed investment certificate rates recently, you’re in for a shock. After climbing for most of 2018, GIC yields have gone into reverse. A five-year GIC at Tangerine, for instance, now pays just 2.5 per cent annually, down from 3.1 per cent as recently as November. Government bonds are even less attractive. The five-year Canada bond now yields less than inflation – the Consumer Price Index rose 1.5 per cent in February – which means bond investors are earning a negative real return, said James Hymas of Hymas Investment Management. “And that’s before taxes,” he said.

Market Action

February 27, 2019

PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a sharp narrowing from the 355bp reported February 20.

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 0.6196 % 2,204.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6196 % 4,044.3
Floater 5.32 % 5.57 % 30,456 14.46 4 0.6196 % 2,330.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0421 % 3,258.5
SplitShare 4.90 % 4.56 % 91,700 3.95 8 0.0421 % 3,891.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0421 % 3,036.2
Perpetual-Premium 5.83 % -4.47 % 89,965 0.08 4 -0.1479 % 2,902.6
Perpetual-Discount 5.54 % 5.58 % 73,170 14.25 31 0.0515 % 3,004.8
FixedReset Disc 5.13 % 5.43 % 216,512 14.77 65 0.2440 % 2,216.2
Deemed-Retractible 5.30 % 6.21 % 91,744 8.10 27 0.1845 % 2,996.9
FloatingReset 4.32 % 5.57 % 52,281 8.45 6 0.4556 % 2,461.2
FixedReset Prem 5.11 % 4.03 % 306,662 2.24 18 0.2195 % 2,544.4
FixedReset Bank Non 1.97 % 4.03 % 167,036 2.81 3 0.6287 % 2,637.8
FixedReset Ins Non 5.01 % 6.84 % 131,859 8.35 22 -0.0274 % 2,239.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -4.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 9.63 %
VNR.PR.A FixedReset Disc -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.80
Evaluated at bid price : 22.13
Bid-YTW : 5.27 %
MFC.PR.K FixedReset Ins Non -2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 7.51 %
TD.PF.I FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 22.54
Evaluated at bid price : 23.31
Bid-YTW : 5.11 %
RY.PR.S FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.94
Evaluated at bid price : 22.44
Bid-YTW : 4.85 %
CM.PR.S FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.41 %
MFC.PR.M FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.29
Bid-YTW : 7.21 %
TD.PF.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.31 %
TD.PF.D FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 5.31 %
BIP.PR.D FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.86
Evaluated at bid price : 22.16
Bid-YTW : 6.17 %
SLF.PR.J FloatingReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 8.89 %
EIT.PR.A SplitShare 1.01 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.73 %
GWO.PR.N FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 8.75 %
PWF.PR.P FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.67 %
SLF.PR.C Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 6.78 %
SLF.PR.H FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 7.62 %
RY.PR.W Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.05 %
SLF.PR.G FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.18
Bid-YTW : 8.84 %
SLF.PR.D Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.81
Bid-YTW : 6.78 %
TRP.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 5.96 %
CM.PR.Q FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.39 %
BMO.PR.C FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 22.94
Evaluated at bid price : 24.00
Bid-YTW : 5.21 %
TRP.PR.G FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.80 %
SLF.PR.I FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.88
Bid-YTW : 6.56 %
HSE.PR.A FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.36 %
TRP.PR.A FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 15.78
Evaluated at bid price : 15.78
Bid-YTW : 5.89 %
BAM.PR.X FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.82 %
BIP.PR.A FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.44 %
BAM.PR.C Floater 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.57 %
HSE.PR.E FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.78 %
BAM.PF.I FixedReset Prem 2.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.73 %
MFC.PR.G FixedReset Ins Non 2.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.82
Bid-YTW : 6.64 %
BAM.PR.R FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.98 %
RY.PR.J FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.45
Evaluated at bid price : 21.78
Bid-YTW : 5.17 %
TD.PF.J FixedReset Disc 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 22.15
Evaluated at bid price : 22.70
Bid-YTW : 5.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.R FixedReset Disc 91,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.98 %
NA.PR.A FixedReset Prem 91,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.38 %
TD.PF.L FixedReset Prem 71,464 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 23.22
Evaluated at bid price : 25.20
Bid-YTW : 5.02 %
MFC.PR.R FixedReset Ins Non 61,298 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.21 %
TD.PF.J FixedReset Disc 56,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 22.15
Evaluated at bid price : 22.70
Bid-YTW : 5.04 %
CM.PR.O FixedReset Disc 47,370 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.42 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Disc Quote: 19.60 – 23.07
Spot Rate : 3.4700
Average : 1.9578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.70 %

MFC.PR.N FixedReset Ins Non Quote: 19.00 – 21.99
Spot Rate : 2.9900
Average : 1.7360

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.31 %

MFC.PR.F FixedReset Ins Non Quote: 13.85 – 15.02
Spot Rate : 1.1700
Average : 0.7319

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 9.63 %

VNR.PR.A FixedReset Disc Quote: 22.13 – 23.30
Spot Rate : 1.1700
Average : 0.7356

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.80
Evaluated at bid price : 22.13
Bid-YTW : 5.27 %

MFC.PR.K FixedReset Ins Non Quote: 18.95 – 19.89
Spot Rate : 0.9400
Average : 0.6020

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 7.51 %

BAM.PR.X FixedReset Disc Quote: 15.00 – 15.98
Spot Rate : 0.9800
Average : 0.6776

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.82 %

Issue Comments

FFN.PR.A To Be Extended

Quadravest has announced (on February 21):

North American Financial 15 Split Corp. (the “Company”) is pleased to announce it will extend the termination date of the Company a further five year period from December 1, 2019 to December 1, 2024.

The term extension allows holders of FFN Class A Shares (“Class A Shares”) to continue to receive ongoing leveraged exposure to a portfolio consisting of high-quality financial services companies made up of Canadian and U.S. issuers, as well as receiving targeted monthly distributions. Since inception of the Company Class A shareholders have received monthly distributions totaling $12.65 per share.

Holders of the FFN.PR.A Preferred Shares (“Preferred Shares”) are expected to continue to benefit from cumulative preferential monthly distributions. The Preferred shareholders have received a total of $7.53 per share since inception.

The extension of the term of the Company is not expected to be a taxable event and should enable shareholders to defer potential capital gains tax liability that would have otherwise been realized on the redemption of the Class A Shares or Preferred Shares at the end of the term, until such time as such shares are disposed of by shareholders.

In connection with the extension, the Company will have the right to amend the minimum rate of cumulative preferential monthly dividends to be paid to the Preferred Shares for the five year renewal period, commencing December 1, 2019. Any change to the Preferred Share minimum dividend rate for the extended term will be based on market yields for preferred shares with similar terms at such time and will be announced no later than September 30, 2019. The Company has the right to establish the rate of cumulative preferential monthly dividends to be paid to the Preferred Shares on an annual basis.

The Company invests in a high quality portfolio consisting of 15 financial services companies made up of Canadian and U.S. issuers as follows: Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, Toronto-Dominion Bank, National Bank of Canada, Manulife Financial Corporation, Sun Life Financial, Great-West Lifeco, CI Financial Corp, Bank of America, Citigroup Inc., Goldman Sachs Group, JP Morgan Chase & Co. and Wells Fargo & Co.

It is worth noting that the dividend rate on FFN.PR.A remains unchanged at 5.50%, where it was reset in 2017. Quadravest does not announce rates originally set explicitly for a single fiscal year if they do not change in the following fiscal year.

Issue Comments

February 26, 2019

I seem to have a problem with comments.

PrefBlog uses a plug-in called WP-SpamShield to deflect the hundreds (literally!) of spam comments that flood in daily; regrettably, it appears to have gone berserk.

An Assiduous Reader notified me that his attempt to comment was frustrated due to the system thinking his comment was spam and telling him:

ERROR: Your comment appears to be spam.

Please go back and check all parts of your comment submission (including name, email, website, and comment content).

If you are a logged in user, and you are seeing this message repeatedly, then you may need to check your registered user information for spam data.

I couldn’t see any problems, so after a bit of back-and-forth I captured a comment attempt by him on the ‘blocked log’. Yes, it was rejected – with a code. I have attempted to look up the code on the maker’s website … and it seems my Access to the website has been forbidden, due to:

unusual traffic from your web browser, device, or network, resulting in firewall security measures limiting your access to this website.

So it seems that either their Unusual Traffic detector has gone berserk and is now blocking networks on a wholesale basis or that somebody in Canada has been Very Naughty Indeed.

If the problem doesn’t resolve itself in the next few days, I’ll uninstall the spam blocker and try another solution. In the meantime, I would appreciate Assiduous Readers attempting to comment on this post and notifying me if blocked.

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 -0.2703 % 2,190.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2703 % 4,019.4
Floater 5.35 % 5.61 % 30,997 14.41 4 -0.2703 % 2,316.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0050 % 3,257.2
SplitShare 4.90 % 4.55 % 55,740 3.92 8 0.0050 % 3,889.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0050 % 3,034.9
Perpetual-Premium 5.82 % -4.19 % 88,463 0.08 4 0.0296 % 2,906.9
Perpetual-Discount 5.54 % 5.65 % 74,295 14.26 31 0.1087 % 3,003.3
FixedReset Disc 5.14 % 5.45 % 218,137 14.80 65 -0.1640 % 2,210.8
Deemed-Retractible 5.31 % 6.14 % 92,018 8.10 27 -0.0253 % 2,991.4
FloatingReset 4.33 % 5.57 % 52,888 8.43 6 0.3361 % 2,450.1
FixedReset Prem 5.13 % 4.18 % 305,421 2.24 18 -0.0261 % 2,538.9
FixedReset Bank Non 1.99 % 4.22 % 168,346 2.81 3 0.4491 % 2,621.3
FixedReset Ins Non 5.01 % 6.93 % 131,163 8.35 22 0.0595 % 2,240.3
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 5.23 %
HSE.PR.E FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.92 %
BAM.PF.I FixedReset Prem -1.98 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.45 %
BNS.PR.I FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.30
Evaluated at bid price : 23.03
Bid-YTW : 4.79 %
TRP.PR.C FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 6.04 %
BMO.PR.C FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.79
Evaluated at bid price : 23.69
Bid-YTW : 5.28 %
BMO.PR.E FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.31
Evaluated at bid price : 23.04
Bid-YTW : 4.96 %
MFC.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.32
Bid-YTW : 6.93 %
TD.PF.D FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 21.43
Evaluated at bid price : 21.76
Bid-YTW : 5.23 %
RY.PR.J FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.32 %
SLF.PR.J FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 9.01 %
BMO.PR.Z Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 24.33
Evaluated at bid price : 24.83
Bid-YTW : 5.04 %
BIP.PR.F FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 5.93 %
BAM.PR.X FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 14.73
Evaluated at bid price : 14.73
Bid-YTW : 5.92 %
IAF.PR.I FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.32
Bid-YTW : 6.73 %
PWF.PR.Q FloatingReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 5.57 %
BAM.PR.N Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 5.87 %
SLF.PR.G FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 8.98 %
CCS.PR.C Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 6.05 %
MFC.PR.N FixedReset Ins Non 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 7.34 %
PWF.PR.P FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.73 %
RY.PR.S FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.16
Evaluated at bid price : 22.80
Bid-YTW : 4.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset Prem 120,695 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.06 %
NA.PR.C FixedReset Disc 80,159 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.28
Evaluated at bid price : 22.86
Bid-YTW : 5.56 %
BNS.PR.G FixedReset Prem 71,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.85 %
TD.PF.H FixedReset Prem 63,887 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.18 %
BAM.PF.J FixedReset Disc 61,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.94
Evaluated at bid price : 24.15
Bid-YTW : 5.06 %
MFC.PR.N FixedReset Ins Non 61,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 7.34 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 12.43 – 13.37
Spot Rate : 0.9400
Average : 0.6177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 5.65 %

IFC.PR.C FixedReset Ins Non Quote: 19.32 – 19.89
Spot Rate : 0.5700
Average : 0.3636

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.32
Bid-YTW : 7.30 %

IFC.PR.E Deemed-Retractible Quote: 23.31 – 23.80
Spot Rate : 0.4900
Average : 0.2863

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 6.20 %

NA.PR.E FixedReset Disc Quote: 20.55 – 21.09
Spot Rate : 0.5400
Average : 0.3435

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.45 %

TD.PF.J FixedReset Disc Quote: 21.95 – 22.70
Spot Rate : 0.7500
Average : 0.5654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 5.23 %

TRP.PR.B FixedReset Disc Quote: 12.96 – 13.50
Spot Rate : 0.5400
Average : 0.3566

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 12.96
Evaluated at bid price : 12.96
Bid-YTW : 5.91 %

Issue Comments

FTS.PR.K : No Conversion to FloatingReset

Fortis, Inc. has quietly announced:

that only 101,586 Cumulative Redeemable Fixed Rate Reset First Preference Shares, Series K of the Corporation (the “Series K Shares”) were tendered for conversion into Cumulative Redeemable Floating Rate First Preference Shares, Series L of the Corporation (the “Series L Shares”) on or prior to the February 14, 2019 conversion deadline.

Pursuant to the terms of the Series K Shares, as described in the prospectus supplement of the Corporation dated July 9, 2013 to the base shelf prospectus of the Corporation dated May 10, 2012 relating to the issuance of the Series K Shares, holders of Series K Shares are not entitled to convert their Series K Shares into Series L Shares unless at least 1,000,000 Series K Shares are tendered for conversion during the conversion period. As a result of the failure of holders to tender at least 1,000,000 Series K Shares for conversion at this time, no Series K Shares will be converted into Series L Shares on March 1, 2019.

Holders of Series K Shares who exercised their right to convert their Series K Shares into Series L Shares will continue to hold Series K Shares on and after March 1, 2019 and any Series K Shares tendered for conversion will be returned to the holders thereof. As previously announced by the Corporation, the fixed dividend rate on the Series K Shares will be $0.2453125 per Series K Share, payable quarterly on the first day of March, June, September and December of each year during the five-year period from and including March 1, 2019 to but excluding March 1, 2024.
Investor enquiries should be directed to Ms. Karen Gosse, Vice President, Treasury and Planning, Fortis at 709.737.2865.

This was not a press release, although press releases are issued by almost all other companies making similar announcements. This announcement was quietly added to the preferred share section of their share information page – I don’t know when – it might even have been today, since my first inquiry was sent Thursday 21st and was only answered Tuesday 26th.

FTS.PR.K is a FixedReset, 4.00%+205, that commenced trading 2013-7-13 after being announced 2013-7-9. It resets to 3.925% effective 2019-3-1, although the company would prefer you didn’t know that. I recommended against conversion. The issue is tracked by HIMIPref™ but relegated to the Scraps – FixedResets (Discount) subindex on credit concerns.

My eMail of inquiry – sent on three successive days – also included the question:

The 3.925% rate for FTS.PR.K implies that the five-year Canada rate, as defined in the prospectus, was 1.875%, whereas your competitors’ calculations implied that this rate was 1.879%. For greater certainty, please confirm the exact date and time for which you obtained the relevant rate from Bloomberg.

Fortis Investor Relations tells me they’ll be getting back to me.

Issue Comments

AQN.PR.D To Be Extended

Algonquin Power & Utilities Corp. has announced:

that it does not intend to exercise its right to redeem all or part of the currently outstanding 4,000,000 Cumulative Rate Reset Preferred Shares, Series D (the “Series D Preferred Shares”) on April 1, 2019. As a result, subject to certain conditions, the holders of the Series D Preferred Shares have the right to convert all or part of their Series D Preferred Shares, on a one-for-one basis, into Cumulative Floating Rate Preferred Shares, Series E (the “Series E Preferred Shares”) on April 1, 2019 (the “Conversion Date”) in accordance with the terms and conditions of the Series D Preferred Shares described in the prospectus supplement of the Company dated February 25, 2014 to a short form base shelf prospectus of the Company dated February 18, 2014.

Holders of Series D Preferred Shares who do not exercise their right to convert their Series D Preferred Shares into Series E Preferred Shares on the Conversion Date will retain their Series D Preferred Shares.

The dividend rate applicable to the Series D Preferred Shares for the 5-year period from and including March 31, 2019 to but excluding March 31, 2024, and the dividend rate applicable to the Series E Preferred Shares for the 3-month period from and including March 31, 2019 to but excluding June 30, 2019, will be determined and announced by the Company by way of a news release on March 1, 2019.

Beneficial owners of Series D Preferred Shares who wish to exercise their conversion right during the conversion period, which runs from March 1, 2019 until March 15, 2019 at 5:00 p.m. (EST), should communicate as soon as possible with their broker or other nominee for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other nominee time to complete the necessary steps. Any notices received after this deadline will not be valid.

The foregoing conversion rights are subject to the following conditions:
i. if APUC determines that there would remain outstanding on the Conversion Date fewer than 1,000,000 Series E Preferred Shares, after having taken into account all Series D Preferred Shares tendered for conversion into Series E Preferred Shares, then holders of Series D Preferred Shares will not be entitled to convert their Series D Preferred Shares into Series E Preferred Shares, and

ii.alternatively, if APUC determines that there would remain outstanding on the Conversion Date fewer than 1,000,000 Series D Preferred Shares, after having taken into account all Series D Preferred Shares tendered for conversion into Series E Preferred Shares, then all remaining Series D Preferred Shares will automatically be converted into Series E Preferred Shares without the consent of the holders of Series D Preferred Shares, on a one-for-one basis, on the Conversion Date.

In either case, APUC will give written notice to that effect to the registered holder of Series D Preferred Shares no later than March 22, 2019.

AQN.PR.D is a FixedReset, 5.00%+328, that commenced trading 2014-3-5 after being announced February 24. It is tracked by HIMIPref™ but relegated to the Scraps-FixedReset(Discount) subindex on credit concerns.

I will have further commentary when the reset rate is announced on March 1.

Market Action

February 25, 2019

Rob Carrick of the Globe published an article last week titled Critics of the overhauled CPP say it’s a bad deal – here’s why they’re wrong which contained the following puzzling statements:

Critics say the CPP pay outs offer a poor rate of return on contributions…

The Fraser Institute think tank critiqued this column, partly for not deploring the rate of return people will get on money contributed to the expanded CPP. The institute quotes a study saying the overall return is 2.5 per cent, which is described as “meagre.”

Based on numbers only, maybe so. Guidelines for financial planners set out after-fee returns of 3.2 per cent for conservative portfolios (25 per cent stocks, 75 per cent bonds and cash), 3.9 per cent for balanced portfolios (50 per cent stocks, 50 per cent bonds/cash) and 4.7 per cent for aggressive (75 per cent stocks, 25 per cent bonds/cash.

This puzzled me because the last time I reviewed it, I figured the CPP was doing a pretty good job. The primary reason for this is that they have a captive market; therefore they have no salesmen; and therefore they don’t have to come up with interesting stories and ensure their portfolios are aligned with that story. All they have to do is choose good investments. This is an extremely important determinant of investment management results, as I have stated in this blog to the point of weariness when discussing outfits like OMERS, Teachers and HOOPP. It also helps that they can fire people without having to worry about clients’ reactions.

So I did a little checking and a little digging and, after the Fraser Institute came out with another volley in their debate, had an eMail exchange with one of the Fraser Institute honchos which included the following, taken from my side of the exchange:

Aren’t the figures quoted by Carrick (which appear to be from the FPSC Projection Assumption Guidelines, published online at [LINK] ) nominal returns, gross of 2.0% inflation, as opposed to your figures, which are net of inflation?

It makes quite a difference to the comparison!


As you are doubtless aware, the CPP was only 6% funded in 1996 (see [LINK] ) as the CPP was conceived as having a pay-as-you-go basis.

This was changed in 1997 to a requirement for steady-state funding and full funding (see [LINK] ).

It is clear that a transition from 6% funding to 100% funding must be paid for somehow, and I see only three avenues for accomplishing this task:
– reduce benefits for the ‘early benefiticiaries’ [sic], some of whom achieved staggering rates of return on their contributions, as discussed in [LINK]
– increase contributions for ‘late beneficiaries’
– make up the difference through government general revenue, i.e., taxpayers in general irrespective of CPP status.

The solution reached was to adjust the contribution and benefit rates with the effect that current contributors are over-funding their benefits. Right or wrong, that was a political decision that people seem happy with, although it leads to the gap you deprecate between the fund’s required rate of return and the rate of return realized in benefits to current contributors.

Thus, the existence of this gap is irrelevant to any discussion of CPP expansion, as the gap that existed in 1996 is slowly being erased through increased contribution rates. Any changes to the level of expected benefits must be fully funded; this implies that the gap, expressed in terms of fund- and contributor-returns will actually narrow as the plan is expanded (or, conversely, widen if the fund should become less ambitious; I note that as per the 16th Actuarial report referenced above, the contribution rate was projected to rise to 10.1% in 2016 and 14.2% in 2030.

Even after accounting for the gap in returns, contributors are expected to achieve a 2.5% real rate of return on their contributions according to your figures, a rate that can hardly be described as meagre. This is equivalent to a 4.5% nominal rate given generally accepted estimates of future inflation, handsomely exceeding the ‘conservative’ (3.2%) and ‘balanced’ (3.9%) portfolios of the FPSC Projection Assumption Guidelines quoted by Carrick. The projected contributor rate of return is exceeded only slightly by the ‘aggressive’ projection (4.7%). It is my experience in the investment management business that there are far more investors who will demand ‘conservative’ or ‘balanced’ investment portfolios – particularly among those who hold less than the median non-pension financial assets of a mere $11,600 in 2016 (see [LINK] ).

You claim that “the CPP has to earn a 4% ROR over time in order to sustainably provide a 2.5% ROR to retirees. No worker would likely make that deal voluntarily” This is absurd. There exist a huge number of Canadian equity mutual funds with MERs in excess of 1.5%, and (according to the OSC in 2013 (see [LINK] : “According to analysis from Strategic Insight on advisory fees charged by client asset size under U.S. fee-based programs (2011), 70% of U.S. investors with account sizes of $100,000 are charged advisory fees higher than 1.25% and 31% are charged over 1.50%”. Note also that, as discussed above, elimination of this gap with respect to current contributors would only move the requirement for increasing the CPP funded ratio onto other shoulders; this is in distinction to the extortionate levels of fees in the Canadian financial services industry which are paid very happily by investors.

I will also note that my analysis of annuity rates indicates that the expected rate of return on annuities offered to retail investors is 0% – the profits due to investment returns during the lives of the annuities are captured entirely by the sponsoring company – and are well in excess of 1.5% (the value of annuities lies not in their value as investments, but as insurance against unexpected longevity). Additionally, the Net Interest Margins achieved by Canadian banks are grossly in excess of the 1.5% that “no worker would likely make … voluntarily”. (see [LINK] ). It is also clear that almost every investor in Canada bonds for the past ten-plus years has voluntarily accepted a rate of return far below 2.5% real.

I remain perplexed by your statement that “please note that the CPP doesn’t offer any inheritable asset other than the death benefit. That issue isn’t included in the comparison.” Surely your analysis included all cash-flows from the CPP to beneficiaries; therefore your claim of a 2.5% expected rate of return will – under the “full funding” regime – be unaffected by whether any given outflow is labelled as a death benefit or otherwise.

Sincerely,

For the record, I don’t consider the Fraser Institute to be a think-tank at all. It’s just another murky mouthpiece for the vested interests … their funding is unusually opaque.

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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 0.1935 % 2,196.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1935 % 4,030.3
Floater 5.34 % 5.59 % 32,269 14.44 4 0.1935 % 2,322.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0748 % 3,257.0
SplitShare 4.90 % 4.63 % 57,717 3.92 8 -0.0748 % 3,889.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0748 % 3,034.8
Perpetual-Premium 5.82 % -8.10 % 89,025 0.08 4 0.2373 % 2,906.1
Perpetual-Discount 5.55 % 5.66 % 76,831 14.23 31 0.2558 % 3,000.0
FixedReset Disc 5.13 % 5.45 % 221,041 14.78 65 0.3436 % 2,214.5
Deemed-Retractible 5.30 % 6.21 % 92,572 8.10 27 0.4378 % 2,992.1
FloatingReset 4.35 % 5.64 % 53,662 8.42 6 0.4407 % 2,441.9
FixedReset Prem 5.12 % 4.16 % 282,760 2.25 18 0.2243 % 2,539.5
FixedReset Bank Non 2.00 % 4.40 % 170,441 2.81 3 0.1900 % 2,609.6
FixedReset Ins Non 4.97 % 6.88 % 132,091 8.25 22 0.3757 % 2,239.0
Performance Highlights
Issue Index Change Notes
RY.PR.S FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.78
Evaluated at bid price : 22.20
Bid-YTW : 4.91 %
CM.PR.O FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.41 %
RY.PR.J FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.27 %
HSE.PR.G FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 6.72 %
SLF.PR.G FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 9.14 %
MFC.PR.M FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.10 %
ELF.PR.H Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 24.19
Evaluated at bid price : 24.55
Bid-YTW : 5.66 %
SLF.PR.C Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.81 %
GWO.PR.R Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 6.38 %
GWO.PR.H Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.60 %
IAF.PR.I FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 6.88 %
SLF.PR.E Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 6.84 %
BAM.PR.B Floater 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 5.59 %
PWF.PR.Q FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 5.64 %
HSE.PR.C FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.49 %
GWO.PR.P Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.59 %
PWF.PR.Z Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 22.27
Evaluated at bid price : 22.61
Bid-YTW : 5.74 %
TD.PF.I FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 22.83
Evaluated at bid price : 23.87
Bid-YTW : 4.97 %
GWO.PR.N FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.90
Bid-YTW : 8.82 %
BMO.PR.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 22.47
Evaluated at bid price : 23.33
Bid-YTW : 4.89 %
TRP.PR.F FloatingReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 5.74 %
MFC.PR.L FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.65 %
BAM.PF.A FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 5.63 %
BAM.PR.M Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.76 %
BAM.PR.Z FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.72 %
PWF.PR.T FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.45 %
BAM.PF.I FixedReset Prem 2.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.73 %
BIP.PR.D FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 22.18
Evaluated at bid price : 22.61
Bid-YTW : 6.14 %
TD.PF.J FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.99
Evaluated at bid price : 22.45
Bid-YTW : 5.10 %
TRP.PR.C FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 5.95 %
HSE.PR.E FixedReset Disc 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 115,716 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.27 %
CU.PR.H Perpetual-Discount 97,820 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 23.08
Evaluated at bid price : 23.46
Bid-YTW : 5.61 %
RY.PR.Z FixedReset Disc 76,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 5.25 %
TD.PF.L FixedReset Prem 74,943 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 23.18
Evaluated at bid price : 25.10
Bid-YTW : 5.04 %
BMO.PR.S FixedReset Disc 69,909 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.39 %
GWO.PR.G Deemed-Retractible 63,910 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.29
Bid-YTW : 6.21 %
There were 30 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: 20.77 – 21.55
Spot Rate : 0.7800
Average : 0.5139

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.77
Bid-YTW : 6.99 %

BAM.PR.X FixedReset Disc Quote: 14.55 – 15.21
Spot Rate : 0.6600
Average : 0.4292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.99 %

BAM.PR.N Perpetual-Discount Quote: 20.32 – 20.85
Spot Rate : 0.5300
Average : 0.3548

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.95 %

PWF.PR.P FixedReset Disc Quote: 14.21 – 14.65
Spot Rate : 0.4400
Average : 0.3064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 5.84 %

POW.PR.D Perpetual-Discount Quote: 22.05 – 22.44
Spot Rate : 0.3900
Average : 0.2749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.74 %

CU.PR.H Perpetual-Discount Quote: 23.46 – 23.90
Spot Rate : 0.4400
Average : 0.3359

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 23.08
Evaluated at bid price : 23.46
Bid-YTW : 5.61 %