Archive for September, 2018

DGS.PR.A To Extend Term

Friday, September 28th, 2018

Brompton Group has announced:

As a result of strong long-term performance, Dividend Growth Split Corp. (the “Fund”) is pleased to announce that the board of directors has approved an extension of the maturity date of the Class A and Preferred shares of the Company. The current maturity date of November 28, 2019 will be extended for an additional period of three to five years. The new term and the proposed rate for the preferred share dividend for the new term will be announced at least 60 days prior to the current November 28, 2019 maturity date. The preferred share dividend rate for the extended term will be based on market yields for preferred shares with similar terms at that time.

The extension of the term of the Fund 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.
Since inception in December 2007 to August 31, 2018, the Class A share has delivered a 7.4%(1) per annum return, which outperformed the S&P/TSX Composite Index by 2.7% per annum. Since inception to August 31, 2018, Class A shareholders have received cash distributions of $12.39. Class A shareholders also have the option to reinvest their cash distributions in a dividend reinvestment plan which is commission free to participants. Class A shareholders can enroll in the DRIP program by contacting their investment advisor.

The term extension offers Preferred shareholders the opportunity to enjoy preferential cash dividends until the end of the extended term. Since inception to August 31, 2018, the Preferred share has delivered a 5.4% (1) per annum return.

The Fund invests, on an approximately equally-weighted basis, in a portfolio consisting primarily of equity securities of Canadian dividend growth companies. In addition, DGS may hold up to 20% of the total assets of the portfolio in global dividend growth companies for diversification and potentially enhanced return potential.

DGS.PR.A approved a term extension in 2011 which became official in 2013 and took effect in 2014 (these guys like to plan ahead!) with the dividend rate unchanged at 5.25%. The manager’s mandate expanded slightly in August, 2018.

DGS.PR.A is tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

September 28, 2018

Friday, September 28th, 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 -0.2273 % 3,130.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2273 % 5,744.3
Floater 3.47 % 3.66 % 34,106 18.15 4 -0.2273 % 3,310.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1029 % 3,230.2
SplitShare 4.61 % 4.69 % 54,960 4.77 5 -0.1029 % 3,857.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1029 % 3,009.8
Perpetual-Premium 5.56 % -2.69 % 49,444 0.09 12 0.0460 % 2,925.3
Perpetual-Discount 5.43 % 5.57 % 56,210 14.58 22 0.2812 % 3,002.9
FixedReset Disc 4.17 % 5.01 % 145,867 15.50 42 0.1345 % 2,589.3
Deemed-Retractible 5.16 % 6.02 % 58,660 5.34 27 0.2371 % 2,995.7
FloatingReset 3.39 % 4.14 % 37,485 5.63 5 0.0090 % 2,855.7
FixedReset Prem 4.82 % 4.13 % 162,968 2.85 35 0.1072 % 2,577.4
FixedReset Bank Non 3.19 % 3.76 % 68,216 0.40 9 0.0181 % 2,573.3
FixedReset Ins Non 4.31 % 5.01 % 85,580 5.41 22 0.0832 % 2,594.7
Performance Highlights
Issue Index Change Notes
SLF.PR.A Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.92 %
CU.PR.I FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 2.21 %
W.PR.J Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 5.65 %
W.PR.H Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 5.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 155,699 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.69 %
BMO.PR.S FixedReset Disc 74,012 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 22.83
Evaluated at bid price : 23.51
Bid-YTW : 4.95 %
TD.PF.C FixedReset Disc 54,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 22.82
Evaluated at bid price : 23.28
Bid-YTW : 4.90 %
RY.PR.Q FixedReset Prem 52,870 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 3.56 %
RY.PR.M FixedReset Disc 50,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 23.26
Evaluated at bid price : 24.30
Bid-YTW : 4.92 %
BMO.PR.E FixedReset Disc 47,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.83 %
There were 13 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: 23.98 – 24.53
Spot Rate : 0.5500
Average : 0.3529

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.98
Bid-YTW : 6.02 %

IFC.PR.C FixedReset Ins Non Quote: 23.59 – 24.03
Spot Rate : 0.4400
Average : 0.2984

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.59
Bid-YTW : 5.26 %

W.PR.K FixedReset Prem Quote: 25.45 – 25.84
Spot Rate : 0.3900
Average : 0.2533

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.33 %

MFC.PR.R FixedReset Ins Non Quote: 25.99 – 26.25
Spot Rate : 0.2600
Average : 0.1816

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 3.68 %

BAM.PR.R FixedReset Disc Quote: 20.85 – 21.28
Spot Rate : 0.4300
Average : 0.3563

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.28 %

IAG.PR.I FixedReset Ins Non Quote: 25.15 – 25.50
Spot Rate : 0.3500
Average : 0.2805

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.68 %

FTU.PR.B To Extend Term and Boost Dividend

Thursday, September 27th, 2018

Quadravest has announced:

US Financial 15 Split Corp. (the “Company”) is pleased to announce it has extended the termination date of the Company a further six year period from December 1, 2018 to December 1, 2024.

In connection with the extension, the Company will also amend the dividend entitlement of the FTU.PR.B Preferred Shares (“Preferred Shares”) effective December 1, 2018, to pay a cumulative preferential monthly dividend at an annual rate equivalent to 10.00% based on the net asset value per unit as at the end of the preceding month to a maximum of $0.0833 per Preferred Share per month (10.00% of $10.00 original issue price). This represents an increase of 4.75% in the rate from the current annual policy of 5.25% of the preceding month end net asset value.

The dividend policy for the FTU Class A Shares (“Class A Shares”) will remain unchanged.

In connection with the extension, the Company will offer a Special Retraction Right which will allow existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 30, 2018 net asset value per unit.

Since inception of the Company, Class A Shares have received a total of $3.70 per share and Preferred Shares have received a total of $5.58 per share, for a combined total of $9.28.

US Financial 15 invests in a portfolio consisting of 15 U.S. financial services companies as follows: American Express, Bank of America, Bank of New York Mellon Corp., Citigroup, CME Group Inc., Fifth Third Bancorp, The Goldman Sachs Group, J.P. Morgan Chase & Co., Morgan Stanley, PNC Financial Services Group Inc., Regions Financial Corp., State Street Corp., SunTrust Banks, U.S. Bancorp, and Wells Fargo.

FTU.PR.B is currently backed by a NAVPU of 9.14 as of 2018-09-14 against a par value of 10.00 – the fund is underwater! The fund has total assets of 26-million as of 2018-08-31, all of which is due to the preferred shareholders. The fund got whacked in the Credit Crunch – there has not been a distribution to Capital Unitholders since May, 2008.

According to the 2018 Annual Information Form:

In the event that the Termination Date is extended in any Extension Year, each holder of Preferred Shares or Class A Shares shall have the right to retract such Preferred Shares or Class A Shares effective December 1 of such Extension Year (the “Recurring Special Retraction Right”). The price payable per Preferred Share so retracted shall be equal to (i) the sum of (A) the lesser of (x) $10.00 and (y) the net asset value of the Company calculated on November 30 of such Extension Year, divided by the number of Preferred Shares then outstanding, plus (B) an amount equal to the accrued and unpaid dividends on each Preferred Share to but excluding November 30 of such Extension Year, plus (ii) all Dividends Owing thereon to but excluding November 30 of such Extension Year. The price payable per Class A Share so retracted shall be equal to the greater of (i) the net asset value per Unit calculated on November 30 of such Extension Year less $10.00, and (ii) zero. Holders of Preferred Shares or Class A Shares wishing to take advantage of the Recurring Special Retraction Right must surrender their Preferred Shares or Class A Shares for retraction no later than the close of business on November 1 of such Extension Year (or, if November 1 of such year is not a business day, on the immediately preceding business day). Payment of the retraction price per Preferred Share or Class A Share owing in respect of the exercise of the Recurring Special Retraction Right will be made on or before December 15 of such Extension Year (or, if December 15 of such year is not a business day, on the immediately succeeding business day).

November 1 is a Thursday this year, so the deadline to notify the company of a desire to retract is November 1 (brokerages will set their internal deadlines a few days earlier).

This is important, because it is virtually certain that I will recommend retraction.

In the previous extension, preferred shareholders got warrantsall of the 2014 warrants were exercised, as were many of the 2013 warrants (see SEDAR and search for “US Financial 15 Split Corp. Apr 4 2013 10:25:30 ET News release – English PDF 18 K” and then write your friendly neighborhood regulator and ask why I can’t link this public document directly).

The warrants were not enough to prevent any intelligent person from exercising the Special Retraction Right, but this is the preferred share market.

Look. The NAVPU is below the preferred share par value. This means that every dime, now or in the future, should accrue to the preferred shareholders. But in the event of a miraculous upsurge in the US market, it doesn’t and it won’t. The Capital Units will get all the money over the preferred share par value of $10.00 on liquidation. If things are miraculous enough, they might even get interim distributions. Why? What are they paying preferred shareholders for this privilege? Nuthin’. They will not share any future losses, because they’ve lost everything already, but they may share future profits. Why give them this sweet deal for free? Preferred shareholders will be far better off if they retract for cash and reinvest the proceeds in a US portfolio. As it stands, they are now invested in an expensive mutual fund (MER = 1.53% according to the 18H1 Semi-annual report) with cruddy returns (-1.09% since inception, vs. +3.62% for the S&P 500 Financial Index, according to the 2017 Annual Report).

Why? Why would anybody in his right mind hold this issue, when you can get the full NAVPU with a special retraction?

It closed at $8.85 today, a slight (just over 3%) discount to the September 14 NAVPU of 9.14, so after hedging costs there’s hardly any incentive to try to arbitrage the difference.

So the 10% coupon they’re offering is best characterized as flim-flam. All the money should belong, and can belong, to the preferred shareholders. Retract!

BK.PR.A To Extend Term and Boost Dividend

Thursday, September 27th, 2018

Quadravest has announced:

Canadian Banc Corp. (the “Company’) is pleased to announce it has extended the termination date of the Company a further five year period from December 1, 2018 to December 1, 2023.

In connection with the extension, the Company will also amend the dividend entitlement of the BK.PR.A Preferred Shares (“Preferred Shares”) effective December 1, 2018, to pay a cumulative preferential floating rate monthly dividend at an annual rate equivalent to the prevailing Canadian Prime Rate plus 1.5% (previously 0.75%). The minimum rate per annum of which dividends will be paid on the Preferred Shares remains at 5% and the maximum rate will increase from 7% to 8%. Assuming no change in the current Prime Rate of 3.7%, the dividends paid on the Preferred Shares would increase from the current rate of 5.0% to 5.2% per annum on their $10 redemption value. The BK Class A Shares (“Class A Shares”) will continue to receive their targeted monthly payments currently set at an annualized rate of 10%, based on the volume weighted average market price of the Class A Shares over the last 3 trading days of the preceding month.

In connection with the term extension, the Company will offer a Special Retraction Right which will allow existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 30, 2018 net asset value per unit.

Since inception of the Company, the Class A Shares have received a total of $14.05 per share and the Preferred Shares have received a total of $6.98 per share, for a combined total of $21.03.

The Company invests in a portfolio of six publicly traded Canadian Banks as follows:

Bank of Montreal Canadian Imperial Bank of Commerce Royal Bank of Canada
The Bank of Nova Scotia National Bank of Canada The Toronto-Dominion Bank

BK.PR.A is currently backed by a NAVPU of 22.76 as of 2018-9-14. The fund has total assets (including Capital Units) of 255-million as of 2018-8-31.

BK.PR.A was extended in December, 2012, in accordance with a vote taken in 2011.

According to the 2018 Annual Information Form:

In the event that the Termination Date is extended in any Extension Year, each holder of Preferred Shares or Class A Shares shall have the right to retract such Preferred Shares or Class A Shares effective December 1 of such Extension Year (the “Recurring Special Retraction Right”). The price payable per Preferred Share so retracted shall be equal to (i) the sum of (A) the lesser of (x) $10.00 and (y) the net asset value of the Company calculated on November 30 of such Extension Year, divided by the number of Preferred Shares then outstanding, plus (B) an amount equal to the accrued and unpaid dividends on each Preferred Share to but excluding November 30 of such Extension Year, plus (ii) all declared and unpaid dividends thereon to but excluding November 30 of such Extension Year. The price payable per Class A Share so retracted shall be equal to the greater of (i) the net asset value per Unit calculated on November 30 of such Extension Year less $10.00, and (ii) zero. Holders of Preferred Shares or Class A Shares wishing to take advantage of the Recurring Special Retraction Right must surrender their Preferred Shares or Class A Shares for retraction no later than the close of business on November 1 of such Extension Year (or, if November 1 of such year is not a business day, on the immediately preceding business day). Payment of the retraction price per Preferred Share or Class A Share owing in respect of the exercise of the Recurring Special Retraction Right will be made on or before December 15 of such Extension Year (or, if December 15 of such year is not a business day, on the immediately succeeding business day).

November 1 is a Thursday this year so the deadline to notify the company of a desire to retract is November 1 (brokerages will set their internal deadlines a few days earlier). BK.PR.A is currently trading above its retraction price, however, so in the absence of extortionate transaction costs, holders who want to get out are better off selling.

LFE.PR.B To Be Extended with Dividend Boost

Thursday, September 27th, 2018

Quadravest Capital Management has announced:

Canadian Life Companies Split Corp (the “Company”) is pleased to announce it has extended the termination date of the Company a further six year period from December 1, 2018 to December 1, 2024.

In connection with the extension, the Company will also amend the dividend entitlement of the LFE.PR.B Preferred Shares (“Preferred Shares”) effective December 1, 2018, to pay a cumulative preferential floating rate monthly dividend at an annual rate equivalent to the greater of, (i) 6.5% based on the $10 original issue price and (ii) the prevailing Canadian Prime Rate plus 2% annually based on the $10 original issue price, to a maximum of 8%. Based on the current Prime Rate of 3.7%, the annual rate would be 6.5%, which represents an increase of 0.25% per annum from the current rate of 6.25%.

The dividend policy for the LFE Class A Shares (“Class A Shares”) will remain unchanged.

In connection with the extension, the Company will offer a Special Retraction Right which will allow existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 30, 2018 net asset value per unit.

Since inception of the Company, Class A Shares have received a total of $7.15 per share and Preferred Shares have received a total of $7.64 per share, for a combined total of $14.79.

The Company invests in a portfolio of four publicly traded Canadian life insurance companies as follows: Great-West Lifeco Inc., Industrial Alliance Insurance & Financial Services Inc., Manulife Financial Corporation and Sun Life Financial Inc.

LFE.PR.B came into being in 2012, when it was received in exchange from LFE.PR.A (warrants were also part of the exchange consideration). The dividend was set to 6.25% – they had to be generous, because the NAVPU at the time was only about 11.55. The NAVPU is now 13.94 as of September 14, 2018.

From the Annual Information Form comes the following information:

In the event that the Termination Date is extended in any Extension Year, each holder of Preferred Shares or Class A Shares shall have the right to retract such Preferred Shares or Class A Shares effective December 1 of such Extension Year (the “Recurring Special Retraction Right”). The price payable per Preferred Share so retracted shall be equal to (i) the sum of (A) the lesser of (x) $10.00 and (y) the net asset value of the Company calculated on November 30 of such Extension Year, divided by the number of Preferred Shares then outstanding, plus (B) an amount equal to the accrued and unpaid dividends on each Preferred Share to but excluding November 30 of such Extension Year, plus (ii) all Dividends Owing thereon to but excluding November 30 of such Extension Year. The price payable per Class A Share so retracted shall be equal to the greater of (i) the net asset value per Unit calculated on November 30 of such Extension Year less $10.00, and (ii) zero. Holders of Preferred Shares or Class A Shares wishing to take advantage of the Recurring Special Retraction Right must surrender their Preferred Shares or Class A Shares for retraction no later than the close of business on November 1 of such Extension Year (or, if November 1 of such year is not a business day, on the immediately preceding business day). Payment of the retraction price per Preferred Share or Class A Share owing in respect of the exercise of the Recurring Special Retraction Right will be made on or before December 15 of such Extension Year (or, if December 15 of such year is not a business day, on the immediately succeeding business day).

November 1 is a Thursday this year, so the deadline to notify the company of a desire to retract is November 1 (brokerages will set their internal deadlines a few days earlier). LFE.PR.B is currently trading above its retraction price, however, so in the absence of extortionate transaction costs, holders who want to get out are better off selling.

September 27, 2018

Thursday, September 27th, 2018

Visionary? Bullshit artist? Both?:

The Securities and Exchange Commission today charged Elon Musk, CEO and Chairman of Silicon Valley-based Tesla Inc., with securities fraud for a series of false and misleading tweets about a potential transaction to take Tesla private.

On August 7, 2018, Musk tweeted to his 22 million Twitter followers that he could take Tesla private at $420 per share (a substantial premium to its trading price at the time), that funding for the transaction had been secured, and that the only remaining uncertainty was a shareholder vote. The SEC’s complaint alleges that, in truth, Musk had not discussed specific deal terms with any potential financing partners, and he allegedly knew that the potential transaction was uncertain and subject to numerous contingencies. According to the SEC’s complaint, Musk’s tweets caused Tesla’s stock price to jump by over six percent on August 7, and led to significant market disruption.

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 0.1473 % 3,137.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1473 % 5,757.4
Floater 3.46 % 3.66 % 35,404 18.16 4 0.1473 % 3,318.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,233.5
SplitShare 4.60 % 4.57 % 53,449 4.77 5 0.0158 % 3,861.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,012.9
Perpetual-Premium 5.56 % -3.56 % 49,988 0.09 12 0.0789 % 2,924.0
Perpetual-Discount 5.44 % 5.58 % 58,351 14.56 22 0.0363 % 2,994.5
FixedReset Disc 4.17 % 4.95 % 147,573 15.49 42 0.0740 % 2,585.9
Deemed-Retractible 5.18 % 6.04 % 58,531 5.34 27 0.0518 % 2,988.6
FloatingReset 3.39 % 4.17 % 38,924 5.63 5 0.4083 % 2,855.4
FixedReset Prem 4.82 % 4.08 % 165,353 2.85 35 0.1387 % 2,574.6
FixedReset Bank Non 3.19 % 3.82 % 66,728 0.40 9 -0.0451 % 2,572.8
FixedReset Ins Non 4.31 % 5.16 % 85,823 5.42 22 0.0542 % 2,592.5
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.11
Bid-YTW : 7.53 %
SLF.PR.J FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.92
Bid-YTW : 6.96 %
BAM.PF.J FixedReset Prem 1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.08 %
TRP.PR.B FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-27
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 5.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset Prem 229,880 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 3.63 %
CM.PR.S FixedReset Disc 56,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-27
Maturity Price : 22.84
Evaluated at bid price : 24.03
Bid-YTW : 4.83 %
TRP.PR.E FixedReset Disc 41,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-27
Maturity Price : 22.43
Evaluated at bid price : 22.91
Bid-YTW : 5.13 %
NA.PR.C FixedReset Prem 34,980 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.30 %
TD.PF.K FixedReset Disc 34,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-27
Maturity Price : 23.17
Evaluated at bid price : 25.04
Bid-YTW : 4.80 %
TD.PF.C FixedReset Disc 29,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-27
Maturity Price : 22.80
Evaluated at bid price : 23.26
Bid-YTW : 4.90 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 20.48 – 20.95
Spot Rate : 0.4700
Average : 0.3160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-27
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 5.12 %

TRP.PR.E FixedReset Disc Quote: 22.91 – 23.25
Spot Rate : 0.3400
Average : 0.2011

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-27
Maturity Price : 22.43
Evaluated at bid price : 22.91
Bid-YTW : 5.13 %

GWO.PR.N FixedReset Ins Non Quote: 18.60 – 18.95
Spot Rate : 0.3500
Average : 0.2191

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 8.31 %

TRP.PR.C FixedReset Disc Quote: 17.79 – 18.10
Spot Rate : 0.3100
Average : 0.1864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-27
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.21 %

BAM.PF.E FixedReset Disc Quote: 23.50 – 23.79
Spot Rate : 0.2900
Average : 0.2051

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-27
Maturity Price : 23.07
Evaluated at bid price : 23.50
Bid-YTW : 5.15 %

BAM.PR.X FixedReset Disc Quote: 19.00 – 19.40
Spot Rate : 0.4000
Average : 0.3197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.08 %

September 26, 2018

Wednesday, September 26th, 2018

The Fed hiked policy rates today:

Information received since the Federal Open Market Committee met in August indicates that the labor market has continued to strengthen and that economic activity has been rising at a strong rate. Job gains have been strong, on average, in recent months, and the unemployment rate has stayed low. Household spending and business fixed investment have grown strongly. On a 12-month basis, both overall inflation and inflation for items other than food and energy remain near 2 percent. Indicators of longer-term inflation expectations are little changed, on balance.

Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee expects that further gradual increases in the target range for the federal funds rate will be consistent with sustained expansion of economic activity, strong labor market conditions, and inflation near the Committee’s symmetric 2 percent objective over the medium term. Risks to the economic outlook appear roughly balanced.

In view of realized and expected labor market conditions and inflation, the Committee decided to raise the target range for the federal funds rate to 2 to 2-1/4 percent.

In determining the timing and size of future adjustments to the target range for the federal funds rate, the Committee will assess realized and expected economic conditions relative to its maximum employment objective and its symmetric 2 percent inflation objective. This assessment will take into account a wide range of information, including measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial and international developments.

Voting for the FOMC monetary policy action were: Jerome H. Powell, Chairman; John C. Williams, Vice Chairman; Thomas I. Barkin; Raphael W. Bostic; Lael Brainard; Richard H. Clarida; Esther L. George; Loretta J. Mester; and Randal K. Quarles.

No dissenters!

Well … maybe one guy:

The Fed stressed repeatedly that the U.S. economy is “strong” across the board and no longer needs the heavy stimulus the central bank put into place during the Great Recession, but the president is concerned that higher rates will harm the economy.

“I am not happy about [the rate hike]. I’d rather pay down debt,” Trump said Wednesday at a news conference after his U.N. meetings. “I’m worried about the fact that they seem to like rising interest rates. We can do other things with the money.”

Trump has urged Powell, his own appointee, not to raise rates further, but the central bank is an independent agency that shows no sign of bowing to presidential pressure. Twelve of the Fed’s 16 leaders now anticipate another rate hike by the end of the year.

It’s an ongoing question how high the Fed will take interest rates. Fed leaders released new projections Wednesday showing the neutral level for interest rates is 3 percent, a level they are likely to hit within the next year. If they go beyond that, business leaders are likely to read that as a sign the Fed is concerned that the economy is overheating, inflation is picking up too much and the central bank wants to rein that in.

The Fed doesn’t foresee interest rates going much above 3.25 to 3.5 percent in the coming years, although central bankers stress they will adjust policy depending upon what happens with the economy.

Trump’s doing his usual thing … setting up an excuse for future failure. If the economy tanks – or even if it simply doesn’t meet his promised 3% p.a. growth every single year … he’s got to blame somebody. And if he blames the Fed, there are a lot of gold-standard wingnuts and international-cabal conspiracy theorists who will cheer him on.

I love the bit where he says he’d “rather pay down debt”. Coming from the guy who’s pumping fiscal stimulus into the economy as fast as he can … well, what can one do but sigh?

PerpetualDiscounts now yield 5.59%, equivalent to 7.27% at the standard equivalency factor of 1.3x. Long corporates now yield about 4.10%, so the pre-tax interest-equivalent spread is now about 315bp, unchanged from September 19.

The Fed’s action today appeared to boost hopes of great big fat dividend increases on reset as time passes …

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 0.1206 % 3,133.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1206 % 5,748.9
Floater 3.47 % 3.64 % 36,842 18.21 4 0.1206 % 3,313.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1427 % 3,233.0
SplitShare 4.60 % 4.57 % 55,596 4.78 5 0.1427 % 3,860.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1427 % 3,012.4
Perpetual-Premium 5.56 % -3.74 % 51,739 0.10 12 0.0823 % 2,921.7
Perpetual-Discount 5.44 % 5.59 % 59,205 14.47 22 0.0296 % 2,993.4
FixedReset Disc 4.17 % 5.03 % 149,224 15.52 42 0.3036 % 2,583.9
Deemed-Retractible 5.18 % 6.00 % 58,974 5.35 27 0.0173 % 2,987.1
FloatingReset 3.41 % 4.19 % 40,520 5.62 5 0.2364 % 2,843.8
FixedReset Prem 4.83 % 4.13 % 167,708 3.05 35 0.0903 % 2,571.1
FixedReset Bank Non 3.19 % 3.76 % 65,862 0.41 9 0.0677 % 2,574.0
FixedReset Ins Non 4.32 % 5.11 % 88,876 5.42 22 0.4610 % 2,591.1
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-26
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 3.70 %
PWF.PR.F Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-26
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.63 %
EMA.PR.H FixedReset Prem 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.72 %
BAM.PR.K Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-26
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.64 %
MFC.PR.I FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.47 %
CM.PR.O FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-26
Maturity Price : 23.05
Evaluated at bid price : 23.66
Bid-YTW : 4.90 %
PWF.PR.T FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-26
Maturity Price : 23.50
Evaluated at bid price : 24.35
Bid-YTW : 4.84 %
BAM.PR.B Floater 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-26
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 3.65 %
SLF.PR.H FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 6.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.L FixedReset Bank Non 300,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.43 %
BMO.PR.E FixedReset Disc 229,993 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.85 %
BNS.PR.H FixedReset Prem 211,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.71 %
BNS.PR.G FixedReset Prem 178,350 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.69 %
BNS.PR.Z FixedReset Bank Non 127,001 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 4.19 %
TD.PF.K FixedReset Disc 94,660 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.78 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 21.65 – 22.48
Spot Rate : 0.8300
Average : 0.5771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-26
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 2.99 %

TD.PF.D FixedReset Disc Quote: 24.60 – 25.00
Spot Rate : 0.4000
Average : 0.2329

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 4.86 %

IFC.PR.F Deemed-Retractible Quote: 24.51 – 24.98
Spot Rate : 0.4700
Average : 0.3056

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 5.70 %

MFC.PR.H FixedReset Ins Non Quote: 25.35 – 25.72
Spot Rate : 0.3700
Average : 0.2306

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.03 %

HSE.PR.C FixedReset Prem Quote: 24.58 – 25.00
Spot Rate : 0.4200
Average : 0.3070

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-26
Maturity Price : 24.20
Evaluated at bid price : 24.58
Bid-YTW : 5.48 %

TD.PF.C FixedReset Disc Quote: 23.21 – 23.50
Spot Rate : 0.2900
Average : 0.1783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-26
Maturity Price : 22.76
Evaluated at bid price : 23.21
Bid-YTW : 4.91 %

September 25, 2018

Tuesday, September 25th, 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 1.2486 % 3,129.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2486 % 5,742.0
Floater 3.47 % 3.64 % 37,147 18.19 4 1.2486 % 3,309.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,228.4
SplitShare 4.61 % 4.68 % 54,149 4.78 5 -0.0238 % 3,855.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,008.1
Perpetual-Premium 5.56 % -1.05 % 51,855 0.10 12 -0.0559 % 2,919.3
Perpetual-Discount 5.44 % 5.57 % 59,603 14.47 22 -0.1144 % 2,992.5
FixedReset Disc 4.18 % 5.04 % 138,350 15.48 42 0.1020 % 2,576.1
Deemed-Retractible 5.18 % 6.06 % 59,594 5.35 27 -0.2164 % 2,986.5
FloatingReset 3.41 % 4.17 % 42,182 5.63 5 -0.2087 % 2,837.1
FixedReset Prem 4.83 % 4.16 % 169,855 2.85 35 -0.0279 % 2,568.7
FixedReset Bank Non 3.19 % 3.53 % 65,766 0.41 9 0.0045 % 2,572.2
FixedReset Ins Non 4.34 % 5.12 % 88,776 5.41 22 -0.0544 % 2,579.2
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.34
Bid-YTW : 6.55 %
IFC.PR.G FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 5.29 %
SLF.PR.J FloatingReset -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 7.21 %
TD.PF.J FixedReset Prem -1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.75 %
CU.PR.F Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-25
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.46 %
IFC.PR.A FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.88
Bid-YTW : 7.74 %
GWO.PR.S Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.85 %
CU.PR.C FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-25
Maturity Price : 21.66
Evaluated at bid price : 21.94
Bid-YTW : 5.11 %
MFC.PR.M FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 5.54 %
BAM.PR.C Floater 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-25
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 3.64 %
BAM.PR.K Floater 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-25
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 3.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 279,965 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.88 %
BNS.PR.H FixedReset Prem 161,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 3.74 %
PWF.PR.K Perpetual-Discount 144,620 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-25
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 5.59 %
BMO.PR.T FixedReset Disc 125,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-25
Maturity Price : 22.52
Evaluated at bid price : 23.06
Bid-YTW : 4.94 %
GWO.PR.M Deemed-Retractible 83,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.25
Evaluated at bid price : 26.03
Bid-YTW : -29.80 %
CM.PR.R FixedReset Prem 62,171 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.16 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 20.84 – 21.24
Spot Rate : 0.4000
Average : 0.2579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-25
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.46 %

BMO.PR.W FixedReset Disc Quote: 22.85 – 23.17
Spot Rate : 0.3200
Average : 0.1843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-25
Maturity Price : 22.39
Evaluated at bid price : 22.85
Bid-YTW : 4.95 %

SLF.PR.H FixedReset Ins Non Quote: 21.34 – 21.71
Spot Rate : 0.3700
Average : 0.2728

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.34
Bid-YTW : 6.55 %

GWO.PR.S Deemed-Retractible Quote: 24.25 – 24.50
Spot Rate : 0.2500
Average : 0.1565

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.85 %

SLF.PR.J FloatingReset Quote: 19.64 – 19.90
Spot Rate : 0.2600
Average : 0.1736

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 7.21 %

TD.PF.J FixedReset Prem Quote: 25.15 – 25.52
Spot Rate : 0.3700
Average : 0.2841

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.75 %

BNS.PR.B & BNS.PR.Q to be Redeemed

Tuesday, September 25th, 2018

The Bank of Nova Scotia has announced:

that it intends to exercise its right to redeem all outstanding Non-cumulative Preferred Shares Series 20 of Scotiabank (the “Series 20 Shares”) and Non-cumulative Preferred Shares Series 21 of Scotiabank (the “Series 21 Shares”) on October 26, 2018, at a price equal to $25.00 per share, together with all declared and unpaid dividends. Formal notice will be issued to holders of the Series 20 Shares and Series 21 Shares in accordance with the share conditions. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

On August 28, 2018, the Board of Directors of Scotiabank announced a quarterly dividend of $0.225625 per Series 20 Share, and $0.187403 per Series 21 Share. This will be the final dividend on the Series 20 Shares and Series 21 Shares, and will be paid on the date of the redemption, October 26, 2018, to shareholders of record at the close of business on October 2, 2018. After October 26, 2018, the Series 20 Shares and Series 21 Shares will cease to be entitled to dividends.

BNS.PR.Q (Series 20) was announced 2008-05-27 as a FixedReset, 5.00+170, and commenced trading 2008-6-10. After an extension announcement it reset at 3.61% in 2013.

At that time, there was a partial conversion to BNS.PR.B, the FloatingReset.

September 24, 2018

Monday, September 24th, 2018

Royal Bank issued bail-in debt today:

Royal Bank of Canada has set the bar for bail-in debt, issuing the first in a new class of bonds intended to keep taxpayers from having to bail out distressed banks in the event of a crisis.

On Monday, RBC began selling $2-billion of five-year bonds, priced at 95 basis points above government bonds, maturing in 2023. The sale comes one day after new rules came into force, and creates an early benchmark for the premium other large banks can expect to pay as they begin to issue their own bail-in notes.

This step has been discussed extensively on PrefBlog, most recently in the post DBRS: Canadian Banks’ Trends Now Stable on Bail-In Approval.

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 -1.0874 % 3,090.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0874 % 5,671.2
Floater 3.52 % 3.71 % 35,622 18.05 4 -1.0874 % 3,268.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0238 % 3,229.2
SplitShare 4.61 % 4.64 % 54,858 4.79 5 0.0238 % 3,856.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0238 % 3,008.9
Perpetual-Premium 5.56 % -1.72 % 53,892 0.10 12 0.0526 % 2,920.9
Perpetual-Discount 5.44 % 5.54 % 58,769 14.52 22 0.0711 % 2,996.0
FixedReset Disc 4.19 % 5.05 % 138,581 15.48 42 0.0219 % 2,573.5
Deemed-Retractible 5.17 % 5.95 % 60,071 5.35 27 -0.0768 % 2,993.0
FloatingReset 3.41 % 4.18 % 43,912 5.64 5 -0.0454 % 2,843.0
FixedReset Prem 4.83 % 4.18 % 172,158 3.06 35 0.0703 % 2,569.4
FixedReset Bank Non 3.19 % 3.64 % 66,422 0.41 9 0.0226 % 2,572.1
FixedReset Ins Non 4.33 % 5.21 % 88,909 5.42 22 0.0895 % 2,580.6
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.78 %
BAM.PR.C Floater -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.71 %
BAM.PR.B Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.72 %
IFC.PR.C FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.40 %
IFC.PR.A FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 7.53 %
TD.PF.J FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.41 %
BAM.PR.Z FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 23.05
Evaluated at bid price : 24.54
Bid-YTW : 5.18 %
IFC.PR.G FixedReset Ins Non 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 61,971 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 24.13
Evaluated at bid price : 24.45
Bid-YTW : 5.08 %
TD.PF.K FixedReset Disc 57,315 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 23.14
Evaluated at bid price : 24.95
Bid-YTW : 4.82 %
BNS.PR.Z FixedReset Bank Non 51,455 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 4.23 %
BMO.PR.Y FixedReset Bank Non 51,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 23.37
Evaluated at bid price : 24.42
Bid-YTW : 5.02 %
BMO.PR.S FixedReset Disc 37,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 22.73
Evaluated at bid price : 23.39
Bid-YTW : 4.97 %
SLF.PR.I FixedReset Ins Non 32,203 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.07
Bid-YTW : 5.06 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.C Floater Quote: 17.45 – 18.00
Spot Rate : 0.5500
Average : 0.3584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.71 %

BAM.PR.K Floater Quote: 17.13 – 17.85
Spot Rate : 0.7200
Average : 0.5396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.78 %

MFC.PR.Q FixedReset Ins Non Quote: 24.41 – 24.79
Spot Rate : 0.3800
Average : 0.2423

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 5.23 %

IFC.PR.F Deemed-Retractible Quote: 24.65 – 25.00
Spot Rate : 0.3500
Average : 0.2299

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 5.59 %

MFC.PR.O FixedReset Ins Non Quote: 26.17 – 26.50
Spot Rate : 0.3300
Average : 0.2173

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.84 %

EMA.PR.H FixedReset Prem Quote: 25.11 – 25.47
Spot Rate : 0.3600
Average : 0.2624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-24
Maturity Price : 23.21
Evaluated at bid price : 25.11
Bid-YTW : 4.83 %