Archive for July, 2018

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July 11, 2018

Wednesday, July 11th, 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 %

Posted in Market Action | No Comments »

July 10, 2018

Tuesday, July 10th, 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 %

Posted in Market Action | No Comments »

July 9, 2018

Monday, July 9th, 2018

Let’s give three cheers for regulation!

The Food and Drug Administration (FDA) says its rules, along with federal laws, stop employees from improperly cashing in on their government service. But how adequate are those revolving door controls? Science has found that much like outside advisers, regular employees at the agency, headquartered in Silver Spring, Maryland, often reap later rewards—jobs or consulting work—from the makers of the drugs they previously regulated.

FDA staffers play a pivotal role in drug approvals, presenting evidence to the agency’s advisory panels and influencing or making approval decisions. They are free to move to jobs in pharma, and many do; in a 2016 study in The BMJ, researchers examined the job histories of 55 FDA staff who had conducted drug reviews over a 9-year period in the hematologyoncology field. They found that 15 of the 26 employees who left the agency later worked or consulted for the biopharmaceutical industry.

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 0.4718 % 3,015.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4718 % 5,534.1
Floater 3.34 % 3.56 % 71,486 18.40 4 0.4718 % 3,189.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0476 % 3,189.8
SplitShare 4.61 % 4.53 % 62,973 4.93 5 0.0476 % 3,809.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0476 % 2,972.2
Perpetual-Premium 5.64 % -13.03 % 57,501 0.09 9 0.0416 % 2,903.0
Perpetual-Discount 5.38 % 5.46 % 55,073 14.73 26 0.0379 % 2,984.2
FixedReset 4.32 % 4.64 % 136,806 5.59 106 0.1284 % 2,546.7
Deemed-Retractible 5.14 % 5.93 % 62,583 5.49 27 0.0608 % 2,972.9
FloatingReset 3.26 % 3.69 % 33,334 3.40 9 0.3493 % 2,824.3
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 5.79 %
BAM.PR.B Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-09
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 3.56 %
PWF.PR.T FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-09
Maturity Price : 23.51
Evaluated at bid price : 24.22
Bid-YTW : 4.54 %
MFC.PR.B Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 6.89 %
MFC.PR.C Deemed-Retractible 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.63
Bid-YTW : 7.20 %
SLF.PR.G FixedReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 6.98 %
SLF.PR.J FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.04
Bid-YTW : 6.61 %
TD.PF.D FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-09
Maturity Price : 23.30
Evaluated at bid price : 24.34
Bid-YTW : 4.80 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.R FloatingReset 135,777 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -3.08 %
BAM.PF.H FixedReset 53,444 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.46 %
BAM.PF.B FixedReset 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-09
Maturity Price : 22.73
Evaluated at bid price : 23.36
Bid-YTW : 5.00 %
TD.PR.S FixedReset 41,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.80 %
TD.PR.T FloatingReset 40,679 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 0.85 %
RY.PR.I FixedReset 37,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 3.71 %
There were 12 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: 25.16 – 26.16
Spot Rate : 1.0000
Average : 0.5651

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.76 %
TRP.PR.A FixedReset Quote: 20.24 – 21.40
Spot Rate : 1.1600
Average : 0.7438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-09
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 4.88 %
PWF.PR.Q FloatingReset Quote: 21.54 – 22.41
Spot Rate : 0.8700
Average : 0.5513

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-09
Maturity Price : 21.26
Evaluated at bid price : 21.54
Bid-YTW : 3.47 %
BAM.PF.E FixedReset Quote: 23.15 – 24.00
Spot Rate : 0.8500
Average : 0.6100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-09
Maturity Price : 22.77
Evaluated at bid price : 23.15
Bid-YTW : 4.98 %
GWO.PR.T Deemed-Retractible Quote: 23.77 – 24.25
Spot Rate : 0.4800
Average : 0.3015

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 6.13 %
GWO.PR.F Deemed-Retractible Quote: 25.70 – 26.15
Spot Rate : 0.4500
Average : 0.2915

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-08
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -24.36 %

Posted in Market Action | No Comments »

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

Friday, July 6th, 2018

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.

Posted in Issue Comments | No Comments »

July 6, 2018

Friday, July 6th, 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 %

Posted in Market Action | No Comments »

EMA.PR.C To Be Extended

Friday, July 6th, 2018

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.

Posted in Issue Comments | No Comments »

July 5, 2018

Thursday, July 5th, 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 %

Posted in Market Action | No Comments »

MAPF Performance: June, 2018

Wednesday, July 4th, 2018

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close June 29, 2018, was $10.2518 after a distribution of 0.102984 per unit dividends.

Returns to June 29, 2018
Period MAPF BMO-CM “50” Preferred Share Index TXPR*
Total Return		 CPD – according to Blackrock
One Month +0.64% +0.50% +0.29% N/A
Three Months +0.82% +1.19% +0.85% N/A
One Year +11.64% +7.52% +5.23% +%
Two Years (annualized) +20.39% +14.72% +12.29% N/A
Three Years (annualized) +7.71% +6.10% +4.43% +%
Four Years (annualized) +3.97% +2.54% +1.34% N/A
Five Years (annualized) +4.75% +2.71% +1.76% +%
Six Years (annualized) +4.98% +2.76% +1.88% N/A
Seven Years (annualized) +4.23% +3.02% +2.18% N/A
Eight Years (annualized) +6.05% +4.36% +3.29% N/A
Nine Years (annualized) +7.59% +5.25% +3.99% N/A
Ten Years (annualized) +10.63% +4.70% +3.60% +%
Eleven Years (annualized) +9.17% +3.84% +2.67%  
Twelve Years (annualized) +8.84% +3.49%    
Thirteen Years (annualized) +8.51% +3.43%    
Fourteen Years (annualized) +8.60% +3.65%    
Fifteen Years (annualized) +9.35% +3.69%    
Sixteen Years (annualized) +9.21% +3.95%    
Seventeen Years (annualized) +9.56% +3.91%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The full name of the BMO-CM “50” index is the BMO Capital Markets “50” Preferred Share Index. It is calculated without accounting for fees.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.26%, +0.75% and +4.45%, respectively, according to Morningstar after all fees & expenses. Three year performance is +4.35%; five year is +2.62%; ten year is +4.07%
Manulife Preferred Income Class Adv has been terminated by Manulife.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.17%, +0.82% & +6.32%, respectively. Three year performance is +6.11%, five-year is +3.28%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +0.14%, +0.61% and +5.37% for one-, three- and twelve months, respectively. Three year performance is +5.26%; five-year is +1.94%

According to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.
The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is +5.44% for the past twelve months. Two year performance is +14.78%, three year is +3.85%, five year is -0.13%.
Figures for Natixis Canadian Preferred Share Class (formerly NexGen Canadian Preferred Share Tax Managed Fund) are -%, +% and -% for one-, three- and twelve-months, respectively.
Figures for BMO Preferred Share Fund (advisor series) according to Morningstar are +0.02%, +0.58% and +2.36% for the past one-, three- and twelve-months, respectively. Three year performance is +2.56%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F are +5.53% for the past twelve months. The three-year figure is +6.36%; five years is +2.18%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR)
Figures for Lysander-Slater Preferred Share Dividend Fund according to Morningstar are +0.33%, +1.07% and +5.89% for the past one, three and twelve months, respectively. Three year performance is +5.14%.
Figures for the Desjardins Canadian Preferred Share Fund A Class are +0.16%, +0.60% and +4.03% for the past one, three and twelve months, respectively. Two year performance is +11.35%

MAPF returns assume reinvestment of dividends, and are shown after expenses but before fees. Past performance is not a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund. For more information, see the fund’s main page. The fund is available either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited.

The preferred share market seems to have paused its strong advance from the lows of late 2014 to early 2016, but I think that there is still room for outsized gains. The Seniority Spread (the interest-equivalent yield on reasonably liquid, investment-grade PerpetualDiscounts less the yield on long term corporate bonds) is still quite elevated (chart end-date 2018-6-8):

pl_180608_body_chart_1
Click for Big

… and the relationship between five-year Canada yields and yields on investment-grade FixedResets is also well within what I consider ‘decoupled panic’ territory (chart end-date 2018-6-8):

pl_180608_body_chart_5
Click for Big

In addition, I feel that the yield on five-year Canadas is unsustainably low (it should be the inflation rate plus an increment of … 1%? 1.5%? 2.0%?),and a return to sustainable levels is likely over the medium term.

FixedReset performance on the month was +0.25% vs. PerpetualDiscounts of 1.40% in June; over the past three months, the latter class has outperformed slightly.:

himi_indexperf_180629
Click for Big

Floaters were relatively calm on the month, as they returned +0.26% for May and +38.4% for the past twelve months. But look at the long-term performance:

himi_floaterperf_180629
Click for Big

Some Assiduous Readers will be interested to observe that the ‘Quantitative Easing’ decline was not as bad as the ‘Credit Crunch’ decline, which took the sector down to the point where the 15-year cumulative total return was negative. I wrote about that at the time and still can’t get over it. Fifteen years!

As for the future, of course, it’s one thing to say that ‘spreads are unsustainable and so are government yields’ and it’s quite another to forecast just how and when a more economically sustainable environment will take effect. It could be years. There could be a reversal, particularly if Trump’s international trade policies cause a severe recession or even a depression. And, of course, I could be just plain wrong about the sustainability of the current environment.

I think that a broad, sustainable rally in FixedResets will require higher five-year Canada yields (or a widespread expectation of them) … and although I’m sure this will happen eventually, it would be foolish to speculate on just when it will happen!

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW		 Leverage
Divisor		 Securities
Average
YTW		 Capital
Gains
Multiplier		 Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note		 1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note		 1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note		 0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note		 1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note		 0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June, 2018 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or 2025-1-31 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See OSFI Does Not Grandfather Extant Tier 1 Capital, CM.PR.D, CM.PR.E, CM.PR.G: Seeking NVCC Status and the January, February, March and June, 2011, editions of PrefLetter for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June, 2018 1.95% 1.22%

Significant positions were held in NVCC non-compliant regulated FixedReset issues on May 31, 2018; all of these currently have their yields calculated with the presumption that they will be called by the issuers at par prior to 2022-1-31 (banks) or 2025-1-31 (insurers and insurance holding companies) or on a different date (SplitShares) This presents another complication in the calculation of sustainable yield, which also assumes that redemption proceeds will be reinvested at the same rate. It will also be noted that my analysis of likely insurance industry regulation as updated is not given much weight by the market.

I will also note that the sustainable yield calculated above is not directly comparable with any yield calculation currently reported by any other preferred share fund as far as I am aware. The Sustainable Yield depends on:
i) Calculating Yield-to-Worst for each instrument and using this yield for reporting purposes;
ii) Using the contemporary value of Five-Year Canadas to estimate dividends after reset for FixedResets. The assumption regarding the five-year Canada rate has become more important as the proportion of low-spread FixedResets in the portfolio has increased.
iii) Making the assumption that deeply discounted NVCC non-compliant issues from both banks and insurers, both Straight and FixedResets will be redeemed at par on their DeemedMaturity date as discussed above.

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July 4, 2018

Wednesday, July 4th, 2018

DBRS commented on the Enbridge deal:

DBRS Limited (DBRS) notes that Enbridge Inc. (ENB; rated BBB (high) with a Stable trend by DBRS), the parent of Westcoast Energy Inc. (Westcoast or the Company; rated A (low) with a Stable trend by DBRS), has announced that it has agreed to sell its Canadian natural gas gathering and processing business in British Columbia (B.C.) and Alberta to Brookfield Infrastructure Partners and its institutional partners for a cash purchase price of $4.31 billion, subject to customary closing adjustments and receipt of regulatory approvals. The assets include 19 natural gas processing plants and liquids handling facilities with a total operating capacity of 3.3 billion cubic feet per day and 3,550 kilometres of natural gas gathering pipelines. ENB has entered into separate sale agreements for those assets governed by provincial regulations in Alberta and B.C. and those governed by federal National Energy Board (NEB) regulations. The sale of the provincially regulated assets is expected to close in 2018, while the sale of the federally regulated assets is expected to close in mid-2019.
…
DBRS views the sale of Westcoast’s gas gathering and processing business as moderately positive for the Company’s business risk profile, as it eliminates volume risk. However, in the absence of detailed information on the EBITDA for the assets being sold and how the proceeds will be used at the Westcoast level, the impact of the sale on Westcoast’s financial risk profile is not clear at this time. DBRS expects ENB to use the proceeds of the sale that are directly owned by Westcoast in a manner that will maintain Westcoast’s financial metrics at levels consistent with the current ratings and will review details of the sale, regulatory approvals and use of proceeds as they become available.

With respect to ENB, DBRS believes that the transaction is consistent with the goals of ENB’s previously communicated strategic plan and financial outlook and is supportive of the current ratings.

PerpetualDiscounts now yield 5.47%, equivalent to 7.11% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”> is now about 325bp, a significant narrowing from the 335bp reported June 27.

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 -0.9081 % 2,999.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9081 % 5,504.3
Floater 3.35 % 3.58 % 75,660 18.38 4 -0.9081 % 3,172.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0874 % 3,182.5
SplitShare 4.62 % 4.53 % 66,745 4.95 5 0.0874 % 3,800.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0874 % 2,965.4
Perpetual-Premium 5.62 % -9.01 % 58,238 0.09 9 0.0044 % 2,895.9
Perpetual-Discount 5.36 % 5.47 % 57,210 14.61 26 -0.0801 % 2,981.0
FixedReset 4.32 % 4.65 % 133,540 5.62 106 0.0316 % 2,539.1
Deemed-Retractible 5.15 % 5.76 % 67,305 5.51 27 -0.0982 % 2,967.5
FloatingReset 3.11 % 3.60 % 34,619 3.42 9 0.2549 % 2,805.6
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 5.73 %
MFC.PR.Q FixedReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 5.30 %
BAM.PR.C Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 3.59 %
BAM.PR.K Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 3.58 %
TRP.PR.F FloatingReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 3.96 %
TRP.PR.H FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.77 %
TRP.PR.G FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 23.07
Evaluated at bid price : 24.00
Bid-YTW : 5.04 %
MFC.PR.M FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.08
Bid-YTW : 5.76 %
TRP.PR.C FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.G FixedReset 111,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.34 %
SLF.PR.D Deemed-Retractible 50,945 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.53
Bid-YTW : 7.18 %
POW.PR.D Perpetual-Discount 42,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 5.47 %
IFC.PR.G FixedReset 41,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 5.17 %
TRP.PR.C FixedReset 31,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.79 %
NA.PR.G FixedReset 30,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 23.14
Evaluated at bid price : 25.02
Bid-YTW : 4.78 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Quote: 23.30 – 24.60
Spot Rate : 1.3000
Average : 0.7313

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.50 %
TRP.PR.A FixedReset Quote: 20.24 – 21.32
Spot Rate : 1.0800
Average : 0.6656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 4.85 %
MFC.PR.M FixedReset Quote: 23.08 – 23.95
Spot Rate : 0.8700
Average : 0.5716

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.08
Bid-YTW : 5.76 %
IFC.PR.C FixedReset Quote: 22.70 – 23.29
Spot Rate : 0.5900
Average : 0.3849

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 5.73 %
BAM.PR.X FixedReset Quote: 18.18 – 18.59
Spot Rate : 0.4100
Average : 0.2863

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-04
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 4.98 %
MFC.PR.Q FixedReset Quote: 24.23 – 24.65
Spot Rate : 0.4200
Average : 0.3039

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 5.30 %

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July 3, 2018

Tuesday, July 3rd, 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 1.1974 % 3,027.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1974 % 5,554.7
Floater 3.32 % 3.54 % 76,231 18.46 4 1.1974 % 3,201.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0318 % 3,179.7
SplitShare 4.62 % 4.52 % 66,059 4.95 5 -0.0318 % 3,797.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0318 % 2,962.8
Perpetual-Premium 5.62 % -8.74 % 58,799 0.09 9 -0.0087 % 2,895.8
Perpetual-Discount 5.36 % 5.45 % 59,358 14.64 26 0.0769 % 2,983.4
FixedReset 4.32 % 4.65 % 135,965 5.61 106 0.0897 % 2,538.3
Deemed-Retractible 5.14 % 5.76 % 69,603 5.51 27 0.0905 % 2,970.5
FloatingReset 3.11 % 3.76 % 34,940 3.42 9 -0.1098 % 2,798.4
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.98 %
SLF.PR.H FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.44
Bid-YTW : 6.20 %
TRP.PR.E FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-03
Maturity Price : 22.00
Evaluated at bid price : 22.60
Bid-YTW : 4.81 %
MFC.PR.Q FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.06 %
TRP.PR.D FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-03
Maturity Price : 22.06
Evaluated at bid price : 22.69
Bid-YTW : 4.82 %
BAM.PR.K Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-03
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.54 %
MFC.PR.K FixedReset 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 6.17 %
BAM.PR.C Floater 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-03
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 3.55 %
BAM.PR.B Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-03
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 3.55 %
PWF.PR.P FixedReset 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.49 %
MFC.PR.G FixedReset 5.22 % Just a reversal of Friday‘s nonsense.

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset 42,546 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.46
Bid-YTW : 3.59 %
PWF.PR.Q FloatingReset 35,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-03
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.39 %
NA.PR.G FixedReset 26,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-03
Maturity Price : 23.14
Evaluated at bid price : 25.00
Bid-YTW : 4.78 %
IFC.PR.G FixedReset 18,215 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 5.23 %
RY.PR.F Deemed-Retractible 13,605 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-02
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -1.77 %
SLF.PR.A Deemed-Retractible 10,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.37
Bid-YTW : 6.81 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 22.88 – 24.00
Spot Rate : 1.1200
Average : 0.8325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-03
Maturity Price : 22.52
Evaluated at bid price : 22.88
Bid-YTW : 5.00 %
SLF.PR.H FixedReset Quote: 21.44 – 22.09
Spot Rate : 0.6500
Average : 0.4622

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.44
Bid-YTW : 6.20 %
PVS.PR.F SplitShare Quote: 25.49 – 25.99
Spot Rate : 0.5000
Average : 0.3294

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.49
Bid-YTW : 4.52 %
MFC.PR.M FixedReset Quote: 22.80 – 23.19
Spot Rate : 0.3900
Average : 0.2444

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.98 %
W.PR.M FixedReset Quote: 25.50 – 25.99
Spot Rate : 0.4900
Average : 0.3506

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.51 %
SLF.PR.J FloatingReset Quote: 19.48 – 19.90
Spot Rate : 0.4200
Average : 0.2900

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.48
Bid-YTW : 6.91 %

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