Archive for October, 2019

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October 22, 2019

Tuesday, October 22nd, 2019

So Trudeau will be running a minority government in his second term, propped up by the NDP – just like his old man! PipelineCanada, here we come!

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 -0.1133 % 1,920.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1133 % 3,523.8
Floater 6.27 % 6.39 % 47,810 13.33 4 -0.1133 % 2,030.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1292 % 3,389.6
SplitShare 4.65 % 4.57 % 51,961 3.93 7 -0.1292 % 4,047.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1292 % 3,158.4
Perpetual-Premium 5.50 % -21.23 % 59,384 0.09 8 0.0490 % 3,024.7
Perpetual-Discount 5.37 % 5.43 % 68,865 14.72 25 0.0704 % 3,223.7
FixedReset Disc 5.62 % 5.77 % 169,140 14.29 66 0.1847 % 2,088.6
Deemed-Retractible 5.20 % 5.73 % 61,602 7.84 27 -0.0251 % 3,168.4
FloatingReset 6.29 % 6.66 % 85,692 12.97 2 -0.1138 % 2,407.8
FixedReset Prem 5.14 % 4.11 % 159,606 1.67 20 0.1433 % 2,601.6
FixedReset Bank Non 1.97 % 4.34 % 90,557 2.20 3 0.3469 % 2,683.3
FixedReset Ins Non 5.46 % 8.33 % 113,584 7.74 21 -0.1951 % 2,115.2
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.76
Bid-YTW : 11.12 %
MFC.PR.K FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.44
Bid-YTW : 8.71 %
CCS.PR.C Deemed-Retractible -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.83
Bid-YTW : 5.68 %
HSE.PR.A FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 10.69
Evaluated at bid price : 10.69
Bid-YTW : 7.62 %
MFC.PR.Q FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 8.67 %
BAM.PR.X FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 6.37 %
BAM.PR.N Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 5.67 %
BIP.PR.D FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 22.54
Evaluated at bid price : 23.05
Bid-YTW : 5.80 %
PWF.PR.P FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 12.76
Evaluated at bid price : 12.76
Bid-YTW : 6.16 %
CU.PR.I FixedReset Prem 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.24 %
CM.PR.Q FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 5.95 %
CU.PR.F Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 21.70
Evaluated at bid price : 21.70
Bid-YTW : 5.27 %
BMO.PR.Y FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.64 %
TRP.PR.B FixedReset Disc 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 6.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.F FloatingReset 65,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 13.57
Evaluated at bid price : 13.57
Bid-YTW : 6.66 %
SLF.PR.H FixedReset Ins Non 62,980 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.03
Bid-YTW : 9.04 %
BNS.PR.Z FixedReset Bank Non 52,490 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.89
Bid-YTW : 4.50 %
IFC.PR.A FixedReset Ins Non 50,225 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.68
Bid-YTW : 9.92 %
CM.PR.T FixedReset Disc 48,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 22.70
Evaluated at bid price : 23.75
Bid-YTW : 5.21 %
CM.PR.O FixedReset Disc 36,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.87 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Ins Non Quote: 12.76 – 13.13
Spot Rate : 0.3700
Average : 0.2392

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.76
Bid-YTW : 11.12 %
MFC.PR.K FixedReset Ins Non Quote: 17.44 – 17.77
Spot Rate : 0.3300
Average : 0.2204

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.44
Bid-YTW : 8.71 %
BAM.PR.R FixedReset Disc Quote: 14.71 – 15.17
Spot Rate : 0.4600
Average : 0.3524

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 6.53 %
BIP.PR.E FixedReset Disc Quote: 22.57 – 23.00
Spot Rate : 0.4300
Average : 0.3271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 22.12
Evaluated at bid price : 22.57
Bid-YTW : 5.57 %
PWF.PR.A Floater Quote: 11.42 – 11.73
Spot Rate : 0.3100
Average : 0.2142

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 6.17 %
EMA.PR.E Perpetual-Discount Quote: 21.10 – 21.40
Spot Rate : 0.3000
Average : 0.2114

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-22
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.43 %

Posted in Market Action | No Comments »

October 21, 2019

Monday, October 21st, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1463 % 1,922.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1463 % 3,527.8
Floater 6.27 % 6.36 % 47,918 13.38 4 1.1463 % 2,033.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0900 % 3,394.0
SplitShare 4.64 % 4.55 % 50,889 3.93 7 0.0900 % 4,053.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0900 % 3,162.5
Perpetual-Premium 5.50 % -19.69 % 57,963 0.09 8 -0.0441 % 3,023.2
Perpetual-Discount 5.38 % 5.38 % 69,589 14.73 25 -0.0086 % 3,221.4
FixedReset Disc 5.63 % 5.78 % 163,098 14.26 66 0.2794 % 2,084.7
Deemed-Retractible 5.20 % 5.74 % 61,356 7.84 27 -0.0063 % 3,169.2
FloatingReset 6.29 % 6.69 % 79,292 12.93 2 0.0379 % 2,410.5
FixedReset Prem 5.15 % 4.18 % 161,772 1.68 20 -0.0353 % 2,597.8
FixedReset Bank Non 1.97 % 4.50 % 89,076 2.21 3 0.1529 % 2,674.0
FixedReset Ins Non 5.45 % 8.35 % 113,650 7.76 21 0.1407 % 2,119.3
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.86
Bid-YTW : 11.18 %
BNS.PR.I FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.35 %
MFC.PR.G FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.30
Bid-YTW : 8.37 %
RY.PR.S FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 5.35 %
GWO.PR.R Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 6.20 %
MFC.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 8.08 %
IFC.PR.A FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.82
Bid-YTW : 9.79 %
SLF.PR.H FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.09
Bid-YTW : 8.99 %
CU.PR.E Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 23.01
Evaluated at bid price : 23.29
Bid-YTW : 5.33 %
BIP.PR.F FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 21.92
Evaluated at bid price : 22.35
Bid-YTW : 5.74 %
RY.PR.M FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.73 %
W.PR.K FixedReset Prem 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.49
Bid-YTW : 3.70 %
TRP.PR.B FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 11.14
Evaluated at bid price : 11.14
Bid-YTW : 6.46 %
BIP.PR.A FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.96 %
IFC.PR.C FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.78
Bid-YTW : 8.35 %
TRP.PR.E FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 6.23 %
BAM.PR.K Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 10.86
Evaluated at bid price : 10.86
Bid-YTW : 6.44 %
BMO.PR.W FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 5.66 %
TRP.PR.F FloatingReset 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 6.69 %
BAM.PR.B Floater 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 6.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Q FixedReset Bank Non 52,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 4.76 %
EML.PR.A FixedReset Ins Non 50,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 4.02 %
BMO.PR.T FixedReset Disc 43,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 5.63 %
BMO.PR.E FixedReset Disc 36,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.66 %
NA.PR.W FixedReset Disc 28,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 6.03 %
RY.PR.M FixedReset Disc 26,978 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.73 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 15.07 – 15.48
Spot Rate : 0.4100
Average : 0.2539

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 6.43 %
BAM.PF.G FixedReset Disc Quote: 17.40 – 17.77
Spot Rate : 0.3700
Average : 0.2428

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.45 %
CU.PR.I FixedReset Prem Quote: 25.20 – 25.60
Spot Rate : 0.4000
Average : 0.2755

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.34 %
RY.PR.M FixedReset Disc Quote: 18.50 – 18.94
Spot Rate : 0.4400
Average : 0.3281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.73 %
EML.PR.A FixedReset Ins Non Quote: 25.64 – 25.95
Spot Rate : 0.3100
Average : 0.1983

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 4.02 %
TRP.PR.G FixedReset Disc Quote: 17.45 – 17.85
Spot Rate : 0.4000
Average : 0.2920

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-21
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.56 %

Posted in Market Action | No Comments »

October 18, 2019

Saturday, October 19th, 2019

Great news! FAIR Canada, that superannuation scheme for surplus regulatory staff is on its last legs:

The primary advocacy group for Canadian investors is facing extinction after it has returned a $2-million grant, unable to raise matching funds.

The Canadian Foundation for the Advancement of Investor Rights, known as FAIR Canada, has given back money provided in 2012 by Stephen Jarislowsky, the founder of investment firm Jarislowsky Fraser Ltd. Mr. Jarislowsky provided the endowment funding on the condition that FAIR found two-for-one matching money within two years.

FAIR Canada received $2-million from the Ontario Securities Commission as part of the match, but has fallen short since and required multiple extensions on the Jarislowsky deadline.
…
All told, the self-regulatory IIROC and its predecessors have given FAIR Canada a total of $4.9-million over the years. In the fall of 2018, it gave a $250,000 grant from its restricted fund that comes from fines and settlements.

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 0.5533 % 1,900.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5533 % 3,487.8
Floater 6.34 % 6.50 % 46,133 13.19 4 0.5533 % 2,010.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0337 % 3,391.0
SplitShare 4.65 % 4.55 % 50,319 3.94 7 -0.0337 % 4,049.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0337 % 3,159.6
Perpetual-Premium 5.50 % -21.92 % 56,554 0.09 8 0.0294 % 3,024.5
Perpetual-Discount 5.38 % 5.38 % 70,327 14.77 25 0.2357 % 3,221.7
FixedReset Disc 5.65 % 5.72 % 170,195 14.34 66 0.0885 % 2,078.9
Deemed-Retractible 5.20 % 5.76 % 61,324 7.85 27 0.1778 % 3,169.4
FloatingReset 6.31 % 6.86 % 79,116 12.72 2 -0.0758 % 2,409.6
FixedReset Prem 5.15 % 4.04 % 167,715 1.69 20 -0.0647 % 2,598.8
FixedReset Bank Non 1.98 % 4.53 % 82,478 2.21 3 -0.1111 % 2,669.9
FixedReset Ins Non 5.46 % 8.16 % 114,725 7.77 21 0.0834 % 2,116.4
Performance Highlights
Issue Index Change Notes
NA.PR.A FixedReset Prem -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.51 %
TRP.PR.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 11.67
Evaluated at bid price : 11.67
Bid-YTW : 6.48 %
NA.PR.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.73 %
W.PR.K FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.71 %
SLF.PR.E Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.22
Bid-YTW : 6.62 %
TRP.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 6.21 %
BAM.PR.C Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 6.50 %
BMO.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.51 %
RY.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.22 %
BNS.PR.I FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.19 %
BAM.PR.N Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.A Deemed-Retractible 175,541 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 6.32 %
POW.PR.D Perpetual-Discount 137,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 22.41
Evaluated at bid price : 22.67
Bid-YTW : 5.54 %
GWO.PR.M Deemed-Retractible 137,737 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-11-17
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -14.77 %
TRP.PR.D FixedReset Disc 119,098 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.14 %
MFC.PR.M FixedReset Ins Non 73,602 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 9.36 %
RY.PR.Z FixedReset Disc 54,267 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.51 %
There were 62 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.90 – 19.62
Spot Rate : 0.7200
Average : 0.4730

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.74 %
CM.PR.R FixedReset Disc Quote: 21.30 – 21.80
Spot Rate : 0.5000
Average : 0.2862

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.68 %
BAM.PF.I FixedReset Prem Quote: 25.30 – 25.69
Spot Rate : 0.3900
Average : 0.2183

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.41 %
W.PR.K FixedReset Prem Quote: 25.18 – 25.62
Spot Rate : 0.4400
Average : 0.2830

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.71 %
NA.PR.A FixedReset Prem Quote: 25.30 – 25.65
Spot Rate : 0.3500
Average : 0.2114

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.51 %
BMO.PR.C FixedReset Disc Quote: 22.17 – 22.59
Spot Rate : 0.4200
Average : 0.2923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 21.91
Evaluated at bid price : 22.17
Bid-YTW : 5.49 %

Posted in Market Action | No Comments »

TD.PF.A : No Conversion To FloatingReset

Thursday, October 17th, 2019

The Toronto-Dominion Bank has announced:

that none of its 20 million Non-Cumulative 5-Year Rate Reset Preferred Shares, Series 1 (Non-Viability Contingent Capital (NVCC)) (the “Series 1 Shares”) will be converted on October 31, 2019 into Non-Cumulative Floating Rate Preferred Shares, Series 2 (NVCC) (the “Series 2 Shares”) of TD.

During the conversion period, which ran from October 1, 2019 to October 16, 2019, 230,894 Series 1 Shares were tendered for conversion into Series 2 Shares, which is less than the minimum 1,000,000 shares required to give effect to the conversion, as described in the prospectus supplement for the Series 1 Shares dated May 28, 2014. As a result, no Series 2 Shares will be issued on October 31, 2019 and holders of Series 1 Shares will retain their Series 1 Shares.

The Series 1 Shares are currently listed on the Toronto Stock Exchange under the symbol TD.PF.A. As previously announced on October 1, 2019, the dividend rate for the Series 1 Shares for the 5-year period from and including October 31, 2019 to but excluding October 31, 2024 will be 3.662%

TD.PF.A is a FixedReset, 3.90%+224, NVCC-compliant issue that commenced trading 2014-6-4 after being announced 2014-5-26. TD.PF.A will reset at 3.662% effective October 31, 2019. I recommended against conversion. It is tracked by HIMIPref™ and is assigned to the FixedReset – Discount subindex.

Posted in Issue Comments | 2 Comments »

October 17, 2019

Thursday, October 17th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0461 % 1,890.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0461 % 3,468.6
Floater 6.37 % 6.54 % 48,065 13.13 4 -0.0461 % 1,999.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0788 % 3,392.1
SplitShare 4.64 % 4.57 % 50,779 3.94 7 0.0788 % 4,050.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0788 % 3,160.7
Perpetual-Premium 5.50 % -20.81 % 56,200 0.09 8 -0.0490 % 3,023.6
Perpetual-Discount 5.39 % 5.39 % 69,550 14.75 25 0.1188 % 3,214.1
FixedReset Disc 5.65 % 5.72 % 166,632 14.32 66 0.1907 % 2,077.1
Deemed-Retractible 5.21 % 5.76 % 63,371 7.85 27 0.0598 % 3,163.8
FloatingReset 6.30 % 6.84 % 81,838 12.74 2 1.1115 % 2,411.5
FixedReset Prem 5.14 % 3.85 % 162,685 1.69 20 0.0628 % 2,600.4
FixedReset Bank Non 1.97 % 4.39 % 82,004 2.22 3 -0.0416 % 2,672.9
FixedReset Ins Non 5.46 % 8.18 % 116,260 7.78 21 0.1462 % 2,114.6
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 7.59 %
IFC.PR.C FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.52 %
SLF.PR.H FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.03
Bid-YTW : 8.96 %
BAM.PR.X FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 6.24 %
IAF.PR.G FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.73 %
BIP.PR.A FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.97 %
TD.PF.D FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.71 %
TRP.PR.B FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.35 %
BIP.PR.F FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 21.88
Evaluated at bid price : 22.30
Bid-YTW : 5.75 %
TD.PF.C FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.60 %
CM.PR.Q FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.94 %
BIP.PR.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 22.07
Evaluated at bid price : 22.50
Bid-YTW : 5.59 %
SLF.PR.J FloatingReset 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.15
Bid-YTW : 10.89 %
TRP.PR.C FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 6.41 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.E Deemed-Retractible 107,025 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.75 %
TD.PF.B FixedReset Disc 62,526 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.52 %
TRP.PR.E FixedReset Disc 48,318 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 15.52
Evaluated at bid price : 15.52
Bid-YTW : 6.28 %
TRP.PR.C FixedReset Disc 41,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 6.41 %
BMO.PR.F FixedReset Disc 40,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 22.95
Evaluated at bid price : 24.35
Bid-YTW : 5.19 %
MFC.PR.M FixedReset Ins Non 40,440 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.16
Bid-YTW : 9.42 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 16.94 – 17.43
Spot Rate : 0.4900
Average : 0.3345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 7.59 %
CU.PR.E Perpetual-Discount Quote: 23.02 – 23.40
Spot Rate : 0.3800
Average : 0.2767

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 22.74
Evaluated at bid price : 23.02
Bid-YTW : 5.39 %
BAM.PR.M Perpetual-Discount Quote: 21.03 – 21.36
Spot Rate : 0.3300
Average : 0.2313

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.71 %
BAM.PR.N Perpetual-Discount Quote: 20.79 – 21.18
Spot Rate : 0.3900
Average : 0.2931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 5.77 %
TD.PF.C FixedReset Disc Quote: 16.95 – 17.20
Spot Rate : 0.2500
Average : 0.1534

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.60 %
CM.PR.P FixedReset Disc Quote: 16.04 – 16.33
Spot Rate : 0.2900
Average : 0.1989

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 16.04
Evaluated at bid price : 16.04
Bid-YTW : 5.90 %

Posted in Market Action | No Comments »

October 16, 2019

Wednesday, October 16th, 2019

The Federal Reserve has announced the appointment of its Insurance Policy Advisory Committee:

The Federal Reserve Board on Wednesday announced the inaugural 21 members of the Insurance Policy Advisory Committee (IPAC). The IPAC provides information, advice, and recommendations to the Federal Reserve Board on domestic and international insurance issues, including negotiations at the International Association of Insurance Supervisors (IAIS).

The inaugural IPAC members include expertise in life insurance, property and casualty insurance, and reinsurance. Members have professional backgrounds in insurance accounting, actuarial science, academia, insurance regulation, policyholder advocacy, capital markets, and other areas.

The inaugural IPAC members will serve staggered terms ranging from one to three years. Starting next year, the Board intends to annually appoint new members to the IPAC to serve three-year terms.

PerpetualDiscounts now yield 5.40%, equivalent to 7.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.42%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed precipitously to 360bp from the 380bp reported October 9.

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 1.0242 % 1,891.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0242 % 3,470.2
Floater 6.37 % 6.54 % 46,184 13.13 4 1.0242 % 1,999.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1068 % 3,389.4
SplitShare 4.65 % 4.57 % 52,075 3.95 7 -0.1068 % 4,047.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1068 % 3,158.2
Perpetual-Premium 5.49 % -23.10 % 57,701 0.09 8 0.0343 % 3,025.1
Perpetual-Discount 5.39 % 5.40 % 69,435 14.70 25 0.1985 % 3,210.3
FixedReset Disc 5.67 % 5.73 % 167,059 14.33 66 -0.0539 % 2,073.1
Deemed-Retractible 5.21 % 5.73 % 65,987 7.85 27 0.0189 % 3,161.9
FloatingReset 6.37 % 6.85 % 80,996 12.73 2 -0.4578 % 2,384.9
FixedReset Prem 5.14 % 4.04 % 161,030 1.69 20 0.0471 % 2,598.8
FixedReset Bank Non 1.97 % 4.44 % 81,768 2.22 3 -0.1801 % 2,674.0
FixedReset Ins Non 5.47 % 8.16 % 115,530 7.77 21 0.0601 % 2,111.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.71
Evaluated at bid price : 10.71
Bid-YTW : 7.47 %
TRP.PR.C FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 11.53
Evaluated at bid price : 11.53
Bid-YTW : 6.56 %
CM.PR.Q FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.03 %
TD.PF.L FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 22.75
Evaluated at bid price : 23.86
Bid-YTW : 5.08 %
BIP.PR.F FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 5.84 %
NA.PR.S FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 5.80 %
BAM.PF.C Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.73 %
RY.PR.S FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 5.26 %
HSE.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 7.32 %
BAM.PR.K Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.66
Evaluated at bid price : 10.66
Bid-YTW : 6.56 %
BAM.PR.C Floater 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 6.54 %
IAF.PR.I FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.55 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.E Deemed-Retractible 142,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.75 %
TD.PF.C FixedReset Disc 80,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 5.68 %
TRP.PR.C FixedReset Disc 72,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 11.53
Evaluated at bid price : 11.53
Bid-YTW : 6.56 %
BMO.PR.F FixedReset Disc 64,804 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 22.97
Evaluated at bid price : 24.40
Bid-YTW : 5.18 %
TRP.PR.A FixedReset Disc 60,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 6.58 %
IFC.PR.C FixedReset Ins Non 59,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.68
Bid-YTW : 8.35 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.R FixedReset Ins Non Quote: 24.25 – 24.66
Spot Rate : 0.4100
Average : 0.2794

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.69 %
HSE.PR.A FixedReset Disc Quote: 10.71 – 11.00
Spot Rate : 0.2900
Average : 0.1893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.71
Evaluated at bid price : 10.71
Bid-YTW : 7.47 %
BAM.PF.F FixedReset Disc Quote: 17.55 – 17.79
Spot Rate : 0.2400
Average : 0.1534

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.16 %
BIP.PR.E FixedReset Disc Quote: 22.15 – 22.50
Spot Rate : 0.3500
Average : 0.2681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.83
Evaluated at bid price : 22.15
Bid-YTW : 5.68 %
HSE.PR.G FixedReset Disc Quote: 17.15 – 17.40
Spot Rate : 0.2500
Average : 0.1726

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.43 %
BIP.PR.F FixedReset Disc Quote: 22.00 – 22.30
Spot Rate : 0.3000
Average : 0.2247

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 5.84 %

Posted in Market Action | No Comments »

SLF Upgraded To Pfd-2(high) By DBRS

Wednesday, October 16th, 2019

DBRS has announced that it:

upgraded Sun Life Financial Inc.’s (SLF or the Company) Issuer Rating and Senior Unsecured Debentures rating to A (high) from “A,” its Subordinated Unsecured Debentures rating to “A” from A (low) and its Preferred Shares rating to Pfd-2 (high) from Pfd-2.
…
The ratings upgrade recognizes the Company’s improved franchise strength, the increasing diversification of earnings across its four core business segments and its excellent capitalization. Furthermore, DBRS Morningstar has gained comfort from management’s actions over the past year to turn around the performance of SLF’s legacy U.S. individual life block that is in run-off, including the reserve strengthening, which should reduce the probability of the block adversely impacting results. The ratings also consider the Company’s exposure to operational risk arising from operating in multiple jurisdictions with varying degrees of geopolitical risk in Asia, as well as its guaranteed products in Canada that can result in profit volatility. Also a ratings constraint is SLF’s higher proportion of mortgages, BBB-rated bonds and corporate loans in the Company’s investment portfolio relative to those of similarly rated peers.
…
SLF and its main operating insurance subsidiary, SLA, are maintaining strong regulatory capital ratios. Indeed, with sizable cushions over regulatory minimums under the Life Insurance Capital Adequacy Test (LICAT) framework that was implemented in 2018, DBRS Morningstar views the Company as very well positioned to navigate adverse scenarios. As of Q2 2019, the LICAT for the consolidated holding company was 144%, higher than SLA’s LICAT of 133%, as the holding company held $2.2 billion of additional assets comprising cash and other liquid assets. Solid earnings in the last five years have also contributed to the Company’s strong capitalization level. Moreover, financial leverage remains conservative at 20.4% with a fixed-charge coverage ratio of 9.0 times as of Q2 2019.

Affected issues are: SLF.PR.A, SLF.PR.B, SLF.PR.C, SLF.PR.D, SLF.PR.E, SLF.PR.G, SLF.PR.H, SLF.PR.I, SLF.PR.J and SLF.PR.K.

Posted in Issue Comments | No Comments »

October 15, 2019

Tuesday, October 15th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1061 % 1,872.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1061 % 3,435.0
Floater 6.44 % 6.62 % 47,836 13.03 4 1.1061 % 1,979.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1067 % 3,393.1
SplitShare 4.64 % 4.56 % 54,125 3.95 7 -0.1067 % 4,052.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1067 % 3,161.6
Perpetual-Premium 5.50 % -22.43 % 57,169 0.09 8 -0.0832 % 3,024.1
Perpetual-Discount 5.41 % 5.45 % 69,773 14.70 25 -0.0121 % 3,204.0
FixedReset Disc 5.66 % 5.73 % 168,986 14.34 66 0.2500 % 2,074.3
Deemed-Retractible 5.21 % 5.76 % 66,772 7.85 27 0.1151 % 3,161.3
FloatingReset 6.34 % 6.81 % 81,051 12.79 2 0.8077 % 2,395.9
FixedReset Prem 5.15 % 4.12 % 160,861 1.69 20 -0.0177 % 2,597.6
FixedReset Bank Non 1.97 % 4.23 % 78,607 2.22 3 -0.0554 % 2,678.8
FixedReset Ins Non 5.47 % 8.20 % 106,936 7.78 21 0.2988 % 2,110.2
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.36 %
TRP.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 15.36
Evaluated at bid price : 15.36
Bid-YTW : 6.34 %
GWO.PR.N FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.82
Bid-YTW : 9.73 %
TD.PF.L FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 22.87
Evaluated at bid price : 24.15
Bid-YTW : 5.01 %
NA.PR.W FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.91 %
IAF.PR.G FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.68
Bid-YTW : 7.88 %
BAM.PF.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.46 %
TRP.PR.B FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.93
Evaluated at bid price : 10.93
Bid-YTW : 6.44 %
BAM.PF.B FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.18 %
TRP.PR.C FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 11.74
Evaluated at bid price : 11.74
Bid-YTW : 6.44 %
TRP.PR.A FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 6.60 %
BIP.PR.A FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.01 %
NA.PR.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 5.77 %
TRP.PR.F FloatingReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 6.81 %
HSE.PR.A FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.97
Evaluated at bid price : 10.97
Bid-YTW : 7.29 %
BAM.PR.K Floater 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.65 %
BAM.PR.C Floater 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 6.66 %
SLF.PR.H FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.79 %
IFC.PR.A FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.40
Bid-YTW : 10.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 171,692 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.78 %
EMA.PR.F FixedReset Disc 62,314 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.43 %
NA.PR.S FixedReset Disc 57,709 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.73 %
BMO.PR.E FixedReset Disc 56,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.59 %
EMA.PR.C FixedReset Disc 36,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.17 %
BAM.PR.C Floater 33,736 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 6.66 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Y FixedReset Bank Non Quote: 24.60 – 25.11
Spot Rate : 0.5100
Average : 0.3414

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.14 %
RY.PR.S FixedReset Disc Quote: 19.75 – 20.15
Spot Rate : 0.4000
Average : 0.2529

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.32 %
BAM.PF.G FixedReset Disc Quote: 17.22 – 17.65
Spot Rate : 0.4300
Average : 0.2843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.42 %
TD.PF.D FixedReset Disc Quote: 18.65 – 19.09
Spot Rate : 0.4400
Average : 0.3228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.78 %
PWF.PR.S Perpetual-Discount Quote: 21.95 – 22.26
Spot Rate : 0.3100
Average : 0.2102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 21.95
Evaluated at bid price : 21.95
Bid-YTW : 5.49 %
BAM.PR.K Floater Quote: 10.51 – 10.85
Spot Rate : 0.3400
Average : 0.2438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.65 %

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October PrefLetter Released!

Tuesday, October 15th, 2019

The October, 2019, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the October, 2019, issue, while the “Next Edition” will be the November, 2019, issue, scheduled to be prepared as of the close November 8, 2019, and eMailed to subscribers prior to market-opening on November 11.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

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DF.PR.A : Semi-Annual Report 2019H1

Monday, October 14th, 2019

Dividend 15 Split Corp. II has released its Semi-Annual Report to May 31, 2019.

Figures of interest are:

MER: “A separate base management expense ratio has been presented to reflect the normal operating expenses of the Company excluding any one time offering expenses. Management expense ratio is based on total expenses for the stated period and is expressed as an annualized percentage of average net asset value during the period.” The fund reports a figure of 1.04%

Average Net Assets: We need this to calculate portfolio yield. The Total Assets of the fund at fiscal year end was $234.4-million, compared to $241.6-million on May 31, so call it an average of $238.0-million. Preferred share dividends of $4,313,981 were paid over the half year at 0.525 p.a., implying average units outstanding 16.44-million, at an average NAVPU of (14.26 + 14.70)/2 = 14.48, implies net assets of $238.0-million. Say the Average Net Assets are the average of the two estimates, $238.0-million.

Underlying Portfolio Yield: Income received of $4,592,138 divided by average net assets of $238.0-million, multiplied by two because it’s semiannual is 3.86%.

Income Coverage: Net investment income of $3,351,881 (after expenses, before transaction costs, before capital gains) divided by preferred share dividends of $4,313,981 is 78%.

The income coverage calculated is a bit less than the DBRS calculation in May 2019:

The dividend coverage ratio was approximately 0.8x.

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