Archive for November, 2019

MFC.PR.M To Be Extended

Tuesday, November 19th, 2019

Manulife Financial Corporation has announced (on November 8):

that it does not intend to exercise its right to redeem all or any of its currently outstanding 14,000,000 Non-cumulative Rate Reset Class 1 Shares Series 17 (the “Series 17 Preferred Shares”) (TSX: MFC.PR.M) on December 19, 2019. As a result, subject to certain conditions described in the prospectus supplement dated August 11, 2014 relating to the issuance of the Series 17 Preferred Shares (the “Prospectus”), the holders of the Series 17 Preferred Shares have the right, at their option, to convert all or part of their Series 17 Preferred Shares on a one-for-one basis into Non-cumulative Floating Rate Class 1 Shares Series 18 of Manulife (the “Series 18 Preferred Shares”) on December 19, 2019. A formal notice of the right to convert Series 17 Preferred Shares into Series 18 Preferred Shares will be sent to the registered holders of the Series 17 Preferred Shares in accordance with the share conditions of the Series 17 Preferred Shares. Holders of Series 17 Preferred Shares are not required to elect to convert all or any part of their Series 17 Preferred Shares into Series 18 Preferred Shares. Holders who do not exercise their right to convert their Series 17 Preferred Shares into Series 18 Preferred Shares on such date will retain their Series 17 Preferred Shares, unless automatically converted in accordance with the conditions below.

The foregoing conversion right is subject to the conditions that: (i) if, after December 4, 2019, Manulife determines that there would be less than 1,000,000 Series 17 Preferred Shares outstanding on December 19, 2019, then all remaining Series 17 Preferred Shares will automatically be converted into an equal number of Series 18 Preferred Shares on December 19, 2019, and (ii) alternatively, if, after December 4, 2019, Manulife determines that there would be less than 1,000,000 Series 18 Preferred Shares outstanding on December 19, 2019, then no Series 17 Preferred Shares will be converted into Series 18 Preferred Shares. In either case, Manulife will give written notice to that effect to any registered holders of Series 17 Preferred Shares affected by the preceding minimums on or before December 11, 2019.

The dividend rate applicable to the Series 17 Preferred Shares for the 5-year period commencing on December 20, 2019, and ending on December 19, 2024, and the dividend rate applicable to the Series 18 Preferred Shares for the 3-month period commencing on December 20, 2019, and ending on March 19, 2020, will be determined and announced by way of a news release on November 20, 2019. Manulife will also give written notice of these dividend rates to the registered holders of Series 17 Preferred Shares.

Beneficial owners of Series 17 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Toronto time) on December 4, 2019. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, AST Trust Company (Canada), at 1-800-783-9495.

Subject to certain conditions described in the Prospectus, Manulife may redeem the Series 17 Preferred Shares, in whole or in part, on December 19, 2024 and on December 19 every five years thereafter and may redeem the Series 18 Preferred Shares, in whole or in part, after December 19, 2019.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 18 Preferred Shares effective upon conversion. Listing of the Series 18 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 18 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.S”.

MFC.PR.M is a FixedReset, 3.90%+236, that commenced trading 2014-8-15 after being announced 2014-8-11. It is tracked by HIMIPref™ and has been assigned to the FixedReset (Insurance non-NVCC) subindex, but will move shortly to the FixedReset (Discount) subindex as the imposition of NVCC rules for insurers can no longer be considered probable.

I will have more to say one the reset rate has been determined November 20.

DGS.PR.A : Partial Call For Redemption

Tuesday, November 19th, 2019

Brompton Group has announced:

Dividend Growth Split Corp. (the “Fund”) announces a pro-rata redemption of preferred shares (the “Preferred Shares”) to maintain an equal number of class A shares (the “Class A Shares”) and Preferred Shares outstanding. In connection with the extension of the Fund’s term for an additional five years, holders of both Class A Shares and Preferred Shares had a special retraction right. Class A shareholders retracted 1,189,759 more shares than Preferred shareholders. As a result, the Fund is required to redeem 1,189,759 Preferred Shares on a pro-rata basis pursuant to the Fund’s constating documents. This is the first pro-rata redemption the Fund has had to effect since inception in December 2007. Each Preferred shareholder of record on November 28, 2019 will receive a redemption price of $10.13 per Preferred Share resulting in a reduction of 3.508% of each Preferred shareholders’ holdings. The redemption payment will be made on or before December 13, 2019.

Since inception in December 2007 to October 31, 2019, the Preferred Share has delivered a 5.4%(1) per annum return.

Since inception in December 2007 to October 31, 2019, the Class A share has delivered a 7.6%(1) per annum return, which outperformed the S&P/TSX Composite Index by 3.0% per annum. Since inception to October 31, 2019, Class A shareholders have received cash distributions of $13.09. 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 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 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 current extension was announced in September, 2018. The manager’s mandate expanded slightly in August, 2018. The dividend rate was reset to 5.50% until the next maturity 2024-9-27.

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

November 18, 2019

Monday, November 18th, 2019

Here’s one reason preferreds have been doing so badly:

The household savings rate – the percentage of disposable income left after spending – most recently clocked in at 1.7 per cent, near its lowest point in six decades, according to Statistics Canada. In dollar terms, the plunge is substantial. Last year, $852 was saved per household, compared with greater than $3,500 in 2013.

At the expense of savings, Canadians are spending more than ever on debt payments. The household debt-service ratio sits at a record 14.9 per cent – meaning, households are spending about 15 cents of every after-tax dollar on debt payments. For the second consecutive quarter, households spent more on interest than principal repayments.

The situation in Canada differs wildly from the U.S., where people are hoarding cash to a greater degree. The U.S. personal savings rate is running north of 8 per cent, and the country’s household debt burden is markedly lower than a decade ago.

There’s another factor driving Canada’s savings rate lower: the country is getting older, and people generally spend more than they earn in their retirement years. If Canada’s age distribution was held constant at 1999 levels, today’s savings rate would be about three percentage points higher, BMO said Friday in a report.

savingsrate_191117
Click for Big

The Trading Economics website has some global comparators, including Mexico at 21.2%, The Netherlands at 25.44% and global champion China at 36.1%.

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 -0.1768 % 1,973.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1768 % 3,621.6
Floater 6.12 % 6.31 % 44,544 13.38 4 -0.1768 % 2,087.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.3031 % 3,407.0
SplitShare 4.62 % 4.61 % 49,106 3.86 7 0.3031 % 4,068.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3031 % 3,174.5
Perpetual-Premium 5.56 % -18.77 % 49,212 0.09 10 0.0196 % 3,035.9
Perpetual-Discount 5.32 % 5.44 % 66,993 14.73 25 0.0762 % 3,249.8
FixedReset Disc 5.58 % 5.62 % 172,054 14.44 66 0.1156 % 2,107.6
Deemed-Retractible 5.17 % 5.61 % 60,975 7.78 27 0.0674 % 3,198.6
FloatingReset 6.20 % 6.79 % 103,836 12.73 2 -1.5745 % 2,457.2
FixedReset Prem 5.12 % 3.75 % 122,245 1.60 20 0.0117 % 2,622.1
FixedReset Bank Non 1.96 % 4.17 % 74,360 2.14 3 -0.1377 % 2,694.5
FixedReset Ins Non 5.43 % 7.98 % 110,589 7.85 22 0.5875 % 2,151.3
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 6.79 %
HSE.PR.C FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 7.10 %
TRP.PR.E FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 6.14 %
TRP.PR.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 11.14
Evaluated at bid price : 11.14
Bid-YTW : 6.23 %
HSE.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 6.98 %
MFC.PR.Q FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 8.27 %
EIT.PR.A SplitShare 1.10 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.27 %
BAM.PR.T FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 6.10 %
IAF.PR.I FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.78
Bid-YTW : 7.57 %
GWO.PR.N FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.70
Bid-YTW : 9.88 %
MFC.PR.N FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.62
Bid-YTW : 8.81 %
MFC.PR.F FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.55
Bid-YTW : 10.97 %
EMA.PR.F FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 6.18 %
MFC.PR.J FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.98 %
EMA.PR.C FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.02 %
CU.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 5.68 %
HSE.PR.G FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 7.21 %
MFC.PR.K FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.67
Bid-YTW : 8.33 %
MFC.PR.L FixedReset Ins Non 2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.71
Bid-YTW : 8.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset Ins Non 65,706 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.90
Bid-YTW : 8.67 %
TD.PF.A FixedReset Disc 56,549 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 5.47 %
RY.PR.S FixedReset Disc 49,451 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.35 %
BAM.PR.M Perpetual-Discount 47,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 21.43
Evaluated at bid price : 21.69
Bid-YTW : 5.55 %
TD.PF.K FixedReset Disc 45,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.55 %
RY.PR.J FixedReset Disc 43,105 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 5.63 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 14.26 – 14.64
Spot Rate : 0.3800
Average : 0.2702

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.26
Bid-YTW : 10.29 %

BAM.PR.K Floater Quote: 11.13 – 11.44
Spot Rate : 0.3100
Average : 0.2292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 6.31 %

TRP.PR.F FloatingReset Quote: 13.45 – 13.83
Spot Rate : 0.3800
Average : 0.2995

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 6.79 %

BMO.PR.Q FixedReset Bank Non Quote: 23.71 – 23.99
Spot Rate : 0.2800
Average : 0.2099

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 4.46 %

BNS.PR.Z FixedReset Bank Non Quote: 24.11 – 24.36
Spot Rate : 0.2500
Average : 0.1812

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.11
Bid-YTW : 4.17 %

CM.PR.Y FixedReset Disc Quote: 24.80 – 25.00
Spot Rate : 0.2000
Average : 0.1324

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-18
Maturity Price : 23.11
Evaluated at bid price : 24.80
Bid-YTW : 5.10 %

November 15, 2019

Friday, November 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 0.0885 % 1,977.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0885 % 3,628.0
Floater 6.11 % 6.30 % 44,823 13.41 4 0.0885 % 2,090.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1681 % 3,396.7
SplitShare 4.64 % 4.61 % 48,063 3.86 7 -0.1681 % 4,056.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1681 % 3,164.9
Perpetual-Premium 5.56 % -19.22 % 51,136 0.09 10 0.1060 % 3,035.3
Perpetual-Discount 5.32 % 5.43 % 68,403 14.75 25 0.1058 % 3,247.3
FixedReset Disc 5.59 % 5.73 % 174,053 14.31 66 0.1190 % 2,105.2
Deemed-Retractible 5.16 % 5.62 % 61,530 7.78 27 0.0422 % 3,196.5
FloatingReset 6.12 % 6.65 % 103,124 12.92 2 0.5523 % 2,496.5
FixedReset Prem 5.12 % 3.72 % 123,728 1.61 20 -0.0507 % 2,621.8
FixedReset Bank Non 1.96 % 4.19 % 77,126 2.14 3 0.2070 % 2,698.3
FixedReset Ins Non 5.42 % 8.23 % 110,406 7.77 22 0.0619 % 2,138.8
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 7.47 %
BIK.PR.A FixedReset Prem -1.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.56 %
MFC.PR.F FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.52
Bid-YTW : 11.24 %
IAF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.78 %
MFC.PR.K FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.61
Bid-YTW : 8.63 %
TRP.PR.F FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.65 %
CM.PR.O FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 5.84 %
RY.PR.M FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 5.72 %
SLF.PR.G FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.61
Bid-YTW : 10.34 %
TRP.PR.E FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 6.15 %
HSE.PR.A FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 11.49
Evaluated at bid price : 11.49
Bid-YTW : 7.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.E FixedReset Disc 78,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.49 %
TD.PF.H FixedReset Prem 73,678 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.55 %
BAM.PF.A FixedReset Disc 59,511 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.92 %
MFC.PR.Q FixedReset Ins Non 59,023 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 8.46 %
BAM.PF.D Perpetual-Discount 58,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
PWF.PR.S Perpetual-Discount 44,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 22.10
Evaluated at bid price : 22.10
Bid-YTW : 5.48 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Disc Quote: 17.26 – 18.07
Spot Rate : 0.8100
Average : 0.5554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 7.47 %

NA.PR.C FixedReset Disc Quote: 21.35 – 21.69
Spot Rate : 0.3400
Average : 0.2475

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.77 %

IAF.PR.I FixedReset Ins Non Quote: 19.55 – 19.79
Spot Rate : 0.2400
Average : 0.1520

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.78 %

TRP.PR.G FixedReset Disc Quote: 17.49 – 17.85
Spot Rate : 0.3600
Average : 0.2778

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.43 %

PVS.PR.F SplitShare Quote: 25.40 – 25.65
Spot Rate : 0.2500
Average : 0.1714

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.67 %

HSE.PR.E FixedReset Disc Quote: 18.10 – 18.46
Spot Rate : 0.3600
Average : 0.2845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-15
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.19 %

November 14, 2019

Thursday, November 14th, 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 -0.1767 % 1,975.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1767 % 3,624.8
Floater 6.12 % 6.31 % 45,324 13.39 4 -0.1767 % 2,089.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0504 % 3,402.4
SplitShare 4.63 % 4.55 % 47,962 3.86 7 -0.0504 % 4,063.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0504 % 3,170.3
Perpetual-Premium 5.56 % -19.46 % 51,656 0.09 10 -0.0941 % 3,032.1
Perpetual-Discount 5.33 % 5.44 % 68,996 14.73 25 -0.0329 % 3,243.9
FixedReset Disc 5.59 % 5.75 % 173,562 14.31 66 -0.3591 % 2,102.7
Deemed-Retractible 5.17 % 5.63 % 62,411 7.79 27 0.0047 % 3,195.1
FloatingReset 6.16 % 6.73 % 102,519 12.82 2 -0.9482 % 2,482.8
FixedReset Prem 5.12 % 3.72 % 125,106 1.61 20 -0.1207 % 2,623.1
FixedReset Bank Non 1.96 % 4.17 % 80,202 2.14 3 0.0691 % 2,692.7
FixedReset Ins Non 5.42 % 8.32 % 114,602 7.78 22 -0.5244 % 2,137.5
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.11 %
BAM.PR.R FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 6.31 %
MFC.PR.F FixedReset Ins Non -2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.67
Bid-YTW : 11.08 %
HSE.PR.E FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.22 %
SLF.PR.G FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.43
Bid-YTW : 10.51 %
SLF.PR.J FloatingReset -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.56
Bid-YTW : 10.63 %
CM.PR.O FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.91 %
HSE.PR.A FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 11.18
Evaluated at bid price : 11.18
Bid-YTW : 7.26 %
GWO.PR.N FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.66
Bid-YTW : 10.01 %
IFC.PR.C FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.51
Bid-YTW : 8.59 %
TRP.PR.B FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 11.19
Evaluated at bid price : 11.19
Bid-YTW : 6.40 %
NA.PR.S FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.82 %
MFC.PR.N FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.62
Bid-YTW : 9.10 %
BIP.PR.E FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 22.20
Evaluated at bid price : 22.68
Bid-YTW : 5.57 %
HSE.PR.C FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.08 %
HSE.PR.G FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.16 %
BAM.PR.X FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.12 %
BIP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.50 %
BAM.PR.T FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 6.30 %
IFC.PR.A FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.40
Bid-YTW : 10.22 %
IFC.PR.F Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.71 %
MFC.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.47 %
TD.PF.J FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 5.61 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.E FixedReset Prem 96,732 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.70 %
PWF.PR.S Perpetual-Discount 76,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 22.09
Evaluated at bid price : 22.09
Bid-YTW : 5.48 %
MFC.PR.O FixedReset Ins Non 68,754 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.87 %
BAM.PR.B Floater 63,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 6.34 %
TRP.PR.J FixedReset Prem 62,383 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.35 %
MFC.PR.M FixedReset Ins Non 60,712 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 8.88 %
There were 52 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.O FixedReset Disc Quote: 16.38 – 16.74
Spot Rate : 0.3600
Average : 0.2234

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.91 %

SLF.PR.G FixedReset Ins Non Quote: 13.43 – 13.89
Spot Rate : 0.4600
Average : 0.3321

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.43
Bid-YTW : 10.51 %

W.PR.M FixedReset Prem Quote: 25.88 – 26.25
Spot Rate : 0.3700
Average : 0.2686

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 3.54 %

BAM.PR.N Perpetual-Discount Quote: 21.71 – 21.95
Spot Rate : 0.2400
Average : 0.1406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 21.45
Evaluated at bid price : 21.71
Bid-YTW : 5.54 %

TRP.PR.D FixedReset Disc Quote: 16.09 – 16.40
Spot Rate : 0.3100
Average : 0.2143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.09
Evaluated at bid price : 16.09
Bid-YTW : 6.17 %

TRP.PR.E FixedReset Disc Quote: 15.63 – 16.00
Spot Rate : 0.3700
Average : 0.2768

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 6.25 %

IAIS Says No To DeemedRetractions

Thursday, November 14th, 2019

The International Association of Insurance Supervisors has released a bevy of documents related to the supervision of Internationally Active Insurance Groups.

Of these, the most important for our purposes is the “Technical Note on ICS Version 2.0 for the monitoring period” which states:

Principal Loss Absorbency Mechanism (PLAM): A distinction is made for mutual and non-mutual IAIGs. For non-mutual IAIGs, the 10% limit for Tier 1 Limited financial instruments will be maintained for Tier 1 Limited financial instruments that do not have a PLAM. An additional 5% allowance is granted to those Tier 1 Limited financial instruments that do have a PLAM. The limits are stated as a % of the ICS capital requirement.

For mutual IAIGs: A PLAM is not required as part of Tier 1 Limited capital resources and the limit for Tier 1 Limited capital resources is maintained at 30% of the ICS capital requirement

So that’s an end to the saga that began in February, 2011. As an investor, I’m shocked; as a taxpayer who will end up footing the bill if one of our outsized insurance companies goes down, I’m disappointed.

Update: An end? Or a new beginning? The Canadian Office of the Superintendent of Financial Institutions – which has disgraced itself throughout the negotiations for ICS 2.0 – has announced:

While broadly supportive of the goals of the Insurance Capital Standard (ICS), the Office of the Superintendent of Financial Institutions (OSFI) did not support the ICS design proposed for a five-year monitoring period at the Executive Committee Meeting of the International Association of Insurance Supervisors (IAIS) in Abu Dhabi, United Arab Emirates.

OSFI’s view is that that the Standard in its current form is not fit for purpose for the Canadian market. Specifically, the proposed capital requirements for long-term products are too high to be compatible with OSFI’s mandate of allowing Canadian insurers to compete and take reasonable risks.

During the five-year monitoring period, OSFI will continue its work in trying to achieve an international capital standard for insurance companies that works for all jurisdictions.

Quick Facts

  • Canadian insurers will continue to be subject to the requirements of OSFI’s robust capital frameworks for federally regulated insurance companies.
  • An initiative of the IAIS, the International Capital Standard is a proposed common capital standard for large internationally active insurance groups.

So, maybe a PLAM for Tier 1 Limited capital resources is a bargaining chip …

Update: There hasn’t been much press coverage of this, but here are two articles:

Update, 2019-11-17: States and Feds Split on Major World Insurance Standards Deal

Update, 2019-11-18: OSFI rebuffs global capital rules for insurers.

November 13, 2019

Thursday, November 14th, 2019

PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.47%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 360bp from the 375bp reported November 6.

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 0.2435 % 1,978.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2435 % 3,631.2
Floater 6.11 % 6.30 % 47,122 13.41 4 0.2435 % 2,092.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,404.1
SplitShare 4.63 % 4.54 % 48,678 3.87 7 0.0168 % 4,065.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,171.9
Perpetual-Premium 5.56 % -18.34 % 51,484 0.09 10 0.1060 % 3,034.9
Perpetual-Discount 5.32 % 5.43 % 69,866 14.75 25 0.0121 % 3,245.0
FixedReset Disc 5.57 % 5.75 % 176,255 14.31 66 -0.0637 % 2,110.3
Deemed-Retractible 5.17 % 5.58 % 62,001 7.79 27 -0.0094 % 3,195.0
FloatingReset 6.10 % 10.39 % 68,418 7.89 2 -0.8677 % 2,506.5
FixedReset Prem 5.10 % 3.71 % 146,907 1.62 20 -0.0195 % 2,626.3
FixedReset Bank Non 1.96 % 4.24 % 80,811 2.15 3 0.1383 % 2,690.8
FixedReset Ins Non 5.39 % 8.24 % 114,116 7.79 22 -0.5119 % 2,148.7
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.81 %
TRP.PR.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.52 %
MFC.PR.I FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.09
Bid-YTW : 7.96 %
MFC.PR.F FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.98
Bid-YTW : 10.77 %
TD.PF.E FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.80 %
MFC.PR.L FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.76
Bid-YTW : 8.85 %
SLF.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.27 %
SLF.PR.H FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.31
Bid-YTW : 8.86 %
IFC.PR.A FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.55
Bid-YTW : 10.08 %
PWF.PR.A Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 11.94
Evaluated at bid price : 11.94
Bid-YTW : 5.81 %
BIP.PR.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.42 %
TRP.PR.B FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 11.33
Evaluated at bid price : 11.33
Bid-YTW : 6.31 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.M FixedReset Disc 260,201 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 23.02
Evaluated at bid price : 24.55
Bid-YTW : 5.16 %
BMO.PR.D FixedReset Disc 99,878 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.57 %
BAM.PF.B FixedReset Disc 79,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.96 %
CU.PR.I FixedReset Prem 55,936 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.28 %
TD.PF.I FixedReset Disc 50,706 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.45 %
RY.PR.H FixedReset Disc 48,847 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.47 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 23.51 – 24.20
Spot Rate : 0.6900
Average : 0.4749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 5.45 %

BMO.PR.C FixedReset Disc Quote: 22.01 – 22.45
Spot Rate : 0.4400
Average : 0.2996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.49 %

BNS.PR.I FixedReset Disc Quote: 19.35 – 19.93
Spot Rate : 0.5800
Average : 0.4542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.48 %

CU.PR.D Perpetual-Discount Quote: 23.00 – 23.35
Spot Rate : 0.3500
Average : 0.2294

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 5.33 %

TRP.PR.A FixedReset Disc Quote: 13.56 – 13.94
Spot Rate : 0.3800
Average : 0.2668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.52 %

BAM.PF.G FixedReset Disc Quote: 18.00 – 18.36
Spot Rate : 0.3600
Average : 0.2738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.22 %

November 12, 2019

Tuesday, November 12th, 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 0.3109 % 1,974.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3109 % 3,622.4
Floater 6.12 % 6.28 % 43,607 13.44 4 0.3109 % 2,087.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2528 % 3,403.6
SplitShare 4.63 % 4.54 % 49,306 3.87 7 0.2528 % 4,064.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2528 % 3,171.3
Perpetual-Premium 5.57 % -17.64 % 52,173 0.09 10 -0.0745 % 3,031.7
Perpetual-Discount 5.32 % 5.41 % 70,263 14.78 25 0.0191 % 3,244.6
FixedReset Disc 5.57 % 5.73 % 173,476 14.33 66 0.1505 % 2,111.6
Deemed-Retractible 5.17 % 5.64 % 62,983 7.79 27 0.0484 % 3,195.3
FloatingReset 6.05 % 10.29 % 69,143 7.90 2 0.2901 % 2,528.5
FixedReset Prem 5.10 % 3.54 % 148,335 1.62 20 0.0409 % 2,626.8
FixedReset Bank Non 1.97 % 4.30 % 82,064 2.15 3 -0.2070 % 2,687.1
FixedReset Ins Non 5.36 % 8.15 % 113,971 7.80 22 0.4923 % 2,159.8
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 7.21 %
NA.PR.G FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.90 %
TRP.PR.B FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 11.14
Evaluated at bid price : 11.14
Bid-YTW : 6.42 %
BIK.PR.A FixedReset Prem -1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 5.04 %
BAM.PF.F FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.06 %
TD.PF.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.73 %
MFC.PR.G FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 7.77 %
CM.PR.O FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.77 %
SLF.PR.J FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.91
Bid-YTW : 10.29 %
BAM.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 6.27 %
MFC.PR.J FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.82
Bid-YTW : 8.15 %
MFC.PR.I FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 7.74 %
RY.PR.M FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.71 %
IFC.PR.C FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 8.29 %
BAM.PR.R FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
EMA.PR.C FixedReset Disc 57,920 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.07 %
BMO.PR.T FixedReset Disc 50,194 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 5.55 %
CM.PR.O FixedReset Disc 48,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.77 %
CM.PR.S FixedReset Disc 45,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.67 %
TD.PF.K FixedReset Disc 44,977 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.70 %
CM.PR.T FixedReset Disc 38,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 22.72
Evaluated at bid price : 23.79
Bid-YTW : 5.19 %
There were 43 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: 11.77 – 12.16
Spot Rate : 0.3900
Average : 0.2568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 11.77
Evaluated at bid price : 11.77
Bid-YTW : 5.89 %

EIT.PR.A SplitShare Quote: 25.47 – 25.87
Spot Rate : 0.4000
Average : 0.2726

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 4.54 %

BNS.PR.I FixedReset Disc Quote: 19.30 – 19.74
Spot Rate : 0.4400
Average : 0.3163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.49 %

BAM.PF.G FixedReset Disc Quote: 17.91 – 18.21
Spot Rate : 0.3000
Average : 0.1792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 6.25 %

HSE.PR.E FixedReset Disc Quote: 18.45 – 18.89
Spot Rate : 0.4400
Average : 0.3280

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.04 %

PWF.PR.T FixedReset Disc Quote: 17.40 – 17.66
Spot Rate : 0.2600
Average : 0.1686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.80 %

November 11, 2019

Monday, November 11th, 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 -1.4014 % 1,968.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4014 % 3,611.1
Floater 6.14 % 6.32 % 43,691 13.38 4 -1.4014 % 2,081.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1519 % 3,395.0
SplitShare 4.64 % 4.59 % 49,437 3.87 7 0.1519 % 4,054.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1519 % 3,163.3
Perpetual-Premium 5.56 % -19.97 % 52,917 0.09 10 0.0196 % 3,034.0
Perpetual-Discount 5.33 % 5.44 % 69,500 14.73 25 -0.0208 % 3,244.0
FixedReset Disc 5.58 % 5.74 % 174,587 14.28 66 0.1081 % 2,108.5
Deemed-Retractible 5.17 % 5.65 % 60,900 7.79 27 0.0657 % 3,193.7
FloatingReset 6.06 % 6.61 % 92,427 12.98 2 0.7305 % 2,521.1
FixedReset Prem 5.10 % 3.64 % 147,348 1.62 20 0.1033 % 2,625.7
FixedReset Bank Non 1.96 % 4.15 % 85,147 2.15 3 -0.2478 % 2,692.7
FixedReset Ins Non 5.39 % 8.35 % 112,481 7.79 22 0.1603 % 2,149.2
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 6.37 %
BAM.PR.K Floater -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.32 %
BAM.PR.T FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 6.36 %
IFC.PR.F Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.73 %
RY.PR.M FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.81 %
SLF.PR.H FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.38
Bid-YTW : 8.80 %
SLF.PR.J FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.75
Bid-YTW : 10.43 %
TD.PF.L FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 22.82
Evaluated at bid price : 24.01
Bid-YTW : 5.09 %
MFC.PR.I FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.95 %
CCS.PR.C Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.55 %
HSE.PR.G FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 7.07 %
HSE.PR.E FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 50,469 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.76 %
TRP.PR.K FixedReset Prem 31,596 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 3.98 %
RY.PR.A Deemed-Retractible 28,603 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-12-11
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -11.65 %
CU.PR.E Perpetual-Discount 26,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 22.58
Evaluated at bid price : 22.86
Bid-YTW : 5.36 %
NA.PR.C FixedReset Disc 23,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.74 %
CM.PR.S FixedReset Disc 21,683 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 5.64 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.M FixedReset Prem Quote: 25.78 – 26.50
Spot Rate : 0.7200
Average : 0.4356

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 3.74 %

BNS.PR.Z FixedReset Bank Non Quote: 24.12 – 24.58
Spot Rate : 0.4600
Average : 0.3016

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 4.15 %

BNS.PR.Y FixedReset Bank Non Quote: 24.53 – 25.11
Spot Rate : 0.5800
Average : 0.4349

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 3.41 %

BAM.PR.T FixedReset Disc Quote: 15.20 – 15.60
Spot Rate : 0.4000
Average : 0.2671

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 6.36 %

BIP.PR.F FixedReset Disc Quote: 22.85 – 23.21
Spot Rate : 0.3600
Average : 0.2299

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 22.24
Evaluated at bid price : 22.85
Bid-YTW : 5.63 %

CM.PR.P FixedReset Disc Quote: 16.43 – 16.77
Spot Rate : 0.3400
Average : 0.2207

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-11
Maturity Price : 16.43
Evaluated at bid price : 16.43
Bid-YTW : 5.84 %

November PrefLetter Released!

Monday, November 11th, 2019

The November, 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 November, 2019, issue, while the “Next Edition” will be the December, 2019, issue, scheduled to be prepared as of the close December 13, 2019, and eMailed to subscribers prior to market-opening on December 16.

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?).