Archive for June, 2022

June 30, 2022

Thursday, June 30th, 2022

Well, that’s the end of the first half!

U.S. and Canadian stocks on Thursday closed out their worst quarter since the onset of the COVID-19 pandemic with another session of broad losses and growing unease among investors that the bloodletting in markets won’t let up any time soon.

The world’s most closely followed benchmark stock index, the S&P 500, saw the steepest percentage decline in the first half of a year since 1970.

The Canadian stock market has fared better, but its outperformance has been eroding in recent weeks amid growing bets that a rush by central bankers to hike interest rates to combat skyrocketing inflation will push economies into recession. Such a scenario paints an unsupportive picture for the S&P/TSX Composite Index, due to its heavy weighting of economically sensitive sectors such as energy, metals and financials.

In total, more than US$13-trillion has been erased from global stocks in a year that has also seen steep losses in bond markets and a breathtaking drop in cryptocurrencies, once thought to be a compelling way to diversify away from larger asset classes.

But we’ll end things on a hopeful note:

An international team of researchers, led by scientists at the University of Manchester, has developed a fast and economical method of converting methane, or natural gas, into liquid methanol at ambient temperature and pressure. The method takes place under continuous flow over a photo-catalytic material using visible light to drive the conversion.

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 0.0000 % 2,535.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,863.1
Floater 4.91 % 4.92 % 42,274 15.65 3 0.0000 % 2,802.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1549 % 3,458.0
SplitShare 4.92 % 5.77 % 44,206 3.19 8 -0.1549 % 4,129.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1549 % 3,222.0
Perpetual-Premium 6.07 % 6.20 % 77,781 13.50 2 1.2605 % 2,848.9
Perpetual-Discount 5.97 % 6.06 % 65,054 13.83 34 0.2745 % 3,106.6
FixedReset Disc 4.70 % 6.41 % 113,121 13.52 57 0.0194 % 2,506.5
Insurance Straight 5.99 % 6.11 % 93,272 13.78 19 0.5677 % 3,001.3
FloatingReset 5.81 % 6.06 % 44,736 13.81 2 -0.3989 % 2,634.6
FixedReset Prem 5.05 % 4.68 % 138,149 1.98 9 0.1756 % 2,610.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0194 % 2,562.2
FixedReset Ins Non 4.78 % 6.46 % 71,255 13.47 15 0.1898 % 2,616.6
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.54 %
BIP.PR.A FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.82 %
RY.PR.H FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.34 %
GWO.PR.T Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.12 %
CCS.PR.C Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.92 %
PWF.PR.T FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.84 %
IFC.PR.F Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.71
Evaluated at bid price : 22.05
Bid-YTW : 6.03 %
BAM.PF.B FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.23 %
FTS.PR.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 7.04 %
SLF.PR.D Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.85 %
CU.PR.H Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 22.02
Evaluated at bid price : 22.25
Bid-YTW : 5.96 %
GWO.PR.L Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 6.13 %
GWO.PR.M Insurance Straight 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 23.26
Evaluated at bid price : 23.56
Bid-YTW : 6.19 %
RY.PR.Z FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 6.34 %
BAM.PR.C Floater 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.92 %
MFC.PR.F FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 7.01 %
GWO.PR.Q Insurance Straight 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.15 %
BAM.PF.D Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.05 %
RY.PR.S FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 23.71
Evaluated at bid price : 24.08
Bid-YTW : 5.81 %
SLF.PR.E Insurance Straight 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.81 %
GWO.PR.G Insurance Straight 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 6.13 %
BMO.PR.S FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 6.16 %
TRP.PR.E FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.39 %
GWO.PR.P Insurance Straight 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.85
Evaluated at bid price : 22.09
Bid-YTW : 6.14 %
SLF.PR.C Insurance Straight 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.78 %
BNS.PR.I FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 24.24
Evaluated at bid price : 24.56
Bid-YTW : 5.78 %
CU.PR.D Perpetual-Discount 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.94 %
POW.PR.C Perpetual-Premium 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.05 %
MFC.PR.M FixedReset Ins Non 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.I FixedReset Disc 51,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 24.27
Evaluated at bid price : 24.93
Bid-YTW : 6.30 %
MFC.PR.C Insurance Straight 44,924 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.91 %
CM.PR.R FixedReset Disc 28,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 2.80 %
IFC.PR.I Perpetual-Discount 25,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 22.18
Evaluated at bid price : 22.53
Bid-YTW : 6.02 %
BAM.PF.F FixedReset Disc 25,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.26 %
BMO.PR.S FixedReset Disc 19,745 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 6.16 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Discount Quote: 22.25 – 25.10
Spot Rate : 2.8500
Average : 1.6007

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 22.02
Evaluated at bid price : 22.25
Bid-YTW : 5.96 %

TRP.PR.C FixedReset Disc Quote: 13.51 – 17.00
Spot Rate : 3.4900
Average : 2.4861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 7.59 %

GWO.PR.T Insurance Straight Quote: 21.20 – 23.00
Spot Rate : 1.8000
Average : 1.0618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.12 %

MFC.PR.M FixedReset Ins Non Quote: 19.80 – 22.00
Spot Rate : 2.2000
Average : 1.4677

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.78 %

MFC.PR.N FixedReset Ins Non Quote: 19.07 – 20.50
Spot Rate : 1.4300
Average : 0.9241

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.90 %

PWF.PR.Z Perpetual-Discount Quote: 21.35 – 22.60
Spot Rate : 1.2500
Average : 0.8345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-30
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.15 %

Research : Fund Comparison 2011

Thursday, June 30th, 2022

AS I state in the introduction:

In last year’s review of Canadian preferred share funds, I discussed the explosion in the number of decision-makers in the investment market-place; the decline in Defined Benefit pension plans and corresponding increase in Defined Contribution plans and other forms of saving have changed the investment world from one in which the decisions were made by a relatively small group of specialists to a world in which investment management is just another consumer good. This change has resulted in an explosion of consumer choice and a consequent rise in the importance of marketing to the success of any investment product, as opposed to old-fashioned concepts such as risk and return.

In this essay I will discuss

  • • the manner in which investment decisions – particularly with respect to index funds – are made
  • • the use of derivatives by index funds
  • • the explosion in the number of indices in recent years, as the notion of passive investing has become more fashionable

The 2010 comparison is available via THIS LINK.

Look for the research link!

June 29, 2022

Wednesday, June 29th, 2022

An eMail from the New York Fed brought news of a new index:

The Federal Reserve Bank of New York today announced the monthly publication of a first-of-its-kind research product focused on identifying periods of widespread distress in the U.S. corporate bond market. Starting with today’s publication, the Corporate Bond Market Distress Index (CMDI)—a summary metric of U.S. corporate bond market functioning—will be updated regularly at 10:00 AM ET on the last Wednesday of each month. The CMDI was first introduced through a New York Fed Staff Report in January 2021, and a subsequent Liberty Street Economics blog post in February 2021.

The CMDI is a unified measure that identifies periods of dislocations and is associated with future realizations of other financial market conditions. By applying the CMDI to historical data, the index identifies past periods of market distress, such as those around the global financial crisis peaking in late 2008 and early 2009 as well as during COVID-19-related market stress in 2020. Additional periods since the beginning of 2022 were identified in a recent Liberty Street Economics blog post in June 2022.

PerpetualDiscounts now yield 6.07%, equivalent to 7.89% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.33%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 255bp from the 260bp reported June 22.

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<
br>Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.0
0
0 2.0619 % 2,535.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.0619 % 4,863.1
Floater 4.91 % 4.88 % 43,873 15.71 3 2.0619 % 2,802.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0129 % 3,463.3
SplitShare 4.91 % 5.62 % 44,842 3.19 8 -0.
0129 %
4,135.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0129 % 3,227.0
Perpetual-Premium 6.14 % 6.20 % 78,333 13.51 2 -1.1012 % 2,813.5
Perpetual-Discount 5.99 % 6.07 % 61,918 13.79 34 0.2711 % 3,098.1
FixedReset Disc 4.66 % 6.41 % 116,655 13.51 57 0.3124 % 2,506.0
Insurance Straight 6.03 % 6.08 % 88,190 13.83 19 0.5528 % 2
,984.4
FloatingReset 5.79 % 6.01 % 45,356 13.88 2 1.1798 % 2,645.2
FixedReset Prem 5.06 % 4.90 % 138,256 1.98 9 0.1055 % 2,605.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3124 % 2,561.7
FixedReset Ins Non 4.60 % 6.40 % 69,411 13.48 15 -0.
0865 %
2,611.6

<
td>Notes

Performance Highlights
Issue Index Change
GWO.PR.P Insurance Straight -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 6.27 %
TRP.PR.E FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 7.52 %
TRP.PR.D FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 7.51 %
MFC.PR.F FixedReset Ins Non -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 7.10 %
POW.PR.C Perpetual-Premium -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 6.21 %
SLF.PR.G FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 7.10 %
IFC.PR.A FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.46 %
PWF.PR.T FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.76 %
FTS.PR.G FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.71 %
PWF.PR.Z Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 6.13 %
ELF.PR.F Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.03 %
MFC.PR.J FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 22.90
Evaluated at bid price : 23.55
Bid-YTW : 6.19 %
CCS.PR.C Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.85 %
TD.PF.K FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 23.24
Evaluated at bid price : 23.70
Bid-YTW : 6.12 %
NA.PR.S FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 6.40 %
CU.PR.J Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.01 %
ELF.PR.H Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 23.00
Evaluated at bid price : 23.27
Bid-YTW : 5.92 %
POW.PR.D Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.02 %
FTS.PR.M FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.76 %
IFC.PR.F Insurance Straight 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 22.01
Evaluated at bid price : 22.30
Bid-YTW : 5.97 %
GWO.PR.T Insurance Straight 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.05 %
BMO.PR.T FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.34 %
RY.PR.O Perpetual-Discount 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 23.04
Evaluated at bid price : 23.45
Bid-YTW : 5.27 %
GWO.PR.Y Insurance Straight 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.13 %
IFC.PR.K Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.51
Evaluated at bid price : 21.81
Bid-YTW : 6.04 %
GWO.PR.R Insurance Straight 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.19 %
BAM.PR.B Floater 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 4.88 %
TRP.PR.F FloatingReset 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 6.01 %
BAM.PR.K Floater 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 4.88 %
RY.PR.J FixedReset Disc 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 6.41 %
IFC.PR.C FixedReset Disc 8.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
RS.PR.A SplitShare 49,385 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.03
Bid-YTW : 5.11 %
TD.PF.J FixedReset Disc 47,720 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 23.24
Evaluated at bid price : 23.85
Bid-YTW : 6.25 %
GWO.PR.M Insurance Straight 45,745 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 6.27 %
IFC.PR.G FixedReset Ins Non 37,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.98
Evaluated at bid price : 22.56
Bid-YTW : 6.38 %
BMO.PR.E FixedReset Disc 31,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 23.57
Evaluated at bid price : 24.00
Bid-YTW : 6.13 %
PWF.PF.A Perpetual-Discount 27,169 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.15 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 13.29 – 15.31
Spot Rate : 2.0200
Average : 1.3907


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 4.88 %
PWF.PR.T FixedReset Disc Quote: 20.50 – 22.25
Spot Rate : 1.7500
Average : 1.1378


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.76 %
MFC.PR.L FixedReset Ins Non Quote: 18.75 – 24.35
Spot Rate : 5.6000
Average : 5.0790


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.99 %
GWO.PR.P Insurance Straight Quote: 21.65 – 22.65
Spot Rate : 1.0000
Average : 0.6891


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 6.27 %
RY.PR.O Perpetual-Discount Quote: 23.45 – 24.40
Spot Rate : 0.9500
Average : 0.6495


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 23.04
Evaluated at bid price : 23.45
Bid-YTW : 5.27 %
CCS.PR.C Insurance Straight Quote: 21.50 – 24.25
Spot Rate : 2.7500
Average : 2.4497


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-29
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.85 %

Research : Yield

Wednesday, June 29th, 2022

A brief review of different types of yield calculation.

Part 2 of this discussion is available via THIS LINK.

Look for the research link!

June 28, 2022

Tuesday, June 28th, 2022
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 -0.9446 % 2,484.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9446 % 4,764.9
Floater 5.01 % 5.01 % 45,701 15.49 3 -0.9446 % 2,746.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1655 % 3,463.8
SplitShare 4.91 % 5.64 % 45,136 3.15 8 0.1655 % 4,136.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1655 % 3,227.4
Perpetual-Premium 6.08 % 6.19 % 78,067 13.52 2 -0.3726 % 2,844.8
Perpetual-Discount 6.01 % 6.11 % 63,547 13.73 34 -0.3312 % 3,089.7
FixedReset Disc 4.67 % 6.48 % 117,811 13.44 57 -0.1192 % 2,498.2
Insurance Straight 6.06 % 6.10 % 91,642 13.77 19 -1.0029 % 2,968.0
FloatingReset 5.86 % 6.17 % 46,884 13.65 2 -0.4328 % 2,614.3
FixedReset Prem 5.07 % 4.87 % 137,622 1.98 9 0.1849 % 2,602.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1192 % 2,553.7
FixedReset Ins Non 4.59 % 6.40 % 70,171 13.53 15 0.5552 % 2,613.9
Performance Highlights
Issue Index Change Notes
IFC.PR.K Perpetual-Discount -4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.20 %
GWO.PR.R Insurance Straight -3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.35 %
RY.PR.J FixedReset Disc -3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.68 %
RY.PR.O Perpetual-Discount -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.75
Evaluated at bid price : 23.00
Bid-YTW : 5.38 %
IFC.PR.F Insurance Straight -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.61
Evaluated at bid price : 21.91
Bid-YTW : 6.07 %
GWO.PR.M Insurance Straight -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 6.31 %
BAM.PR.X FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.40 %
RY.PR.Z FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.48 %
SLF.PR.C Insurance Straight -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 5.95 %
SLF.PR.E Insurance Straight -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.93 %
GWO.PR.Y Insurance Straight -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 6.26 %
SLF.PR.D Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.93 %
POW.PR.D Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.12 %
GWO.PR.L Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 6.25 %
BAM.PR.K Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 5.05 %
IFC.PR.E Insurance Straight -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.72
Evaluated at bid price : 22.05
Bid-YTW : 5.92 %
MFC.PR.M FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 7.04 %
BIP.PR.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.67 %
POW.PR.A Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 6.09 %
CU.PR.J Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.11 %
FTS.PR.G FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.78 %
PVS.PR.K SplitShare 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.42
Bid-YTW : 5.64 %
NA.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.51 %
CM.PR.Q FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 6.40 %
BAM.PF.C Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.15 %
RY.PR.N Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 23.01
Evaluated at bid price : 23.41
Bid-YTW : 5.28 %
MFC.PR.J FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.67
Evaluated at bid price : 23.30
Bid-YTW : 6.26 %
BAM.PF.D Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.15 %
IFC.PR.A FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 6.35 %
MFC.PR.N FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.98 %
MFC.PR.K FixedReset Ins Non 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 249,950 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 3.08 %
FTS.PR.H FixedReset Disc 200,005 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 7.11 %
PWF.PR.P FixedReset Disc 200,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 7.31 %
CU.PR.I FixedReset Prem 150,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.37 %
TRP.PR.C FixedReset Disc 102,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 7.66 %
BAM.PF.I FixedReset Prem 69,825 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 4.34 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 15.81 – 25.00
Spot Rate : 9.1900
Average : 5.1755

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.58 %

MFC.PR.L FixedReset Ins Non Quote: 18.75 – 24.35
Spot Rate : 5.6000
Average : 4.5078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.99 %

TRP.PR.C FixedReset Disc Quote: 13.51 – 17.00
Spot Rate : 3.4900
Average : 2.7509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 7.66 %

PWF.PR.H Perpetual-Discount Quote: 23.70 – 25.18
Spot Rate : 1.4800
Average : 0.8657

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 6.17 %

POW.PR.A Perpetual-Discount Quote: 23.01 – 24.29
Spot Rate : 1.2800
Average : 0.7277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 6.09 %

BMO.PR.W FixedReset Disc Quote: 20.25 – 22.35
Spot Rate : 2.1000
Average : 1.5544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.52 %

Research : DeemedRetractible Conversion

Tuesday, June 28th, 2022

CIBC was able to change the status of some of its preferred shares from DeemedRetractible to NVCC without a shareholder vote in 2011. This short essay looked at the implications of this move for other issues.

Look for the research link!

June 27, 2022

Monday, June 27th, 2022
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 -0.3054 % 2,508.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3054 % 4,810.3
Floater 4.96 % 4.97 % 47,650 15.55 3 -0.3054 % 2,772.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2280 % 3,458.0
SplitShare 4.92 % 5.82 % 45,590 3.15 8 0.2280 % 4,129.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2280 % 3,222.1
Perpetual-Premium 6.05 % 6.17 % 81,036 13.55 2 -0.4943 % 2,855.4
Perpetual-Discount 5.99 % 6.08 % 65,554 13.71 34 -0.1715 % 3,100.0
FixedReset Disc 4.67 % 6.47 % 119,500 13.45 57 -0.0380 % 2,501.2
Insurance Straight 6.00 % 6.12 % 93,227 13.77 19 -0.1779 % 2,998.0
FloatingReset 5.83 % 6.11 % 48,509 13.74 2 0.9046 % 2,625.7
FixedReset Prem 5.08 % 4.93 % 136,536 1.98 9 -0.0748 % 2,598.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0380 % 2,556.7
FixedReset Ins Non 4.62 % 6.45 % 70,688 13.39 15 -1.1538 % 2,599.5
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -6.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 7.12 %
IFC.PR.C FixedReset Disc -5.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.29 %
MFC.PR.J FixedReset Ins Non -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 6.35 %
MFC.PR.M FixedReset Ins Non -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.95 %
BMO.PR.W FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.52 %
RY.PR.S FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 23.10
Evaluated at bid price : 23.50
Bid-YTW : 5.95 %
RY.PR.N Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 22.81
Evaluated at bid price : 23.06
Bid-YTW : 5.37 %
BIP.PR.F FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 22.70
Evaluated at bid price : 23.12
Bid-YTW : 6.56 %
CU.PR.H Perpetual-Discount -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.70
Evaluated at bid price : 21.70
Bid-YTW : 6.12 %
IFC.PR.A FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.45 %
BAM.PF.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.29 %
MFC.PR.K FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.55 %
MFC.PR.L FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 7.00 %
IAF.PR.I FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 23.37
Evaluated at bid price : 24.00
Bid-YTW : 6.18 %
PVS.PR.K SplitShare -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.18
Bid-YTW : 5.82 %
NA.PR.S FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.58 %
ELF.PR.H Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 6.03 %
TD.PF.D FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 6.43 %
GWO.PR.P Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 6.15 %
IFC.PR.E Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 22.07
Evaluated at bid price : 22.35
Bid-YTW : 5.84 %
PWF.PR.L Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.25 %
CU.PR.J Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.04 %
PWF.PR.P FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.29 %
CCS.PR.C Insurance Straight 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.91 %
BAM.PF.G FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.32 %
BMO.PR.S FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.32 %
TRP.PR.F FloatingReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.11 %
CM.PR.Y FixedReset Prem 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.75 %
CU.PR.G Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.98 %
TRP.PR.D FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.32 %
PVS.PR.J SplitShare 2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 6.07 %
CM.PR.O FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.27 %
IFC.PR.G FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 6.43 %
BAM.PR.X FixedReset Disc 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.25 %
RY.PR.M FixedReset Disc 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 6.41 %
RY.PR.H FixedReset Disc 4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 246,701 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 3.43 %
PWF.PR.H Perpetual-Discount 130,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 6.17 %
BMO.PR.T FixedReset Disc 121,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.41 %
CM.PR.O FixedReset Disc 108,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.27 %
PWF.PR.S Perpetual-Discount 74,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.16 %
PWF.PR.O Perpetual-Discount 68,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 6.21 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 18.73 – 24.35
Spot Rate : 5.6200
Average : 3.3104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 7.00 %

TRP.PR.C FixedReset Disc Quote: 13.55 – 17.00
Spot Rate : 3.4500
Average : 1.9405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 7.64 %

IFC.PR.G FixedReset Ins Non Quote: 22.40 – 24.85
Spot Rate : 2.4500
Average : 1.6669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 6.43 %

CU.PR.J Perpetual-Discount Quote: 19.90 – 21.99
Spot Rate : 2.0900
Average : 1.3155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.04 %

BAM.PF.B FixedReset Disc Quote: 20.00 – 22.54
Spot Rate : 2.5400
Average : 1.7975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.15 %

BAM.PR.T FixedReset Disc Quote: 17.46 – 20.00
Spot Rate : 2.5400
Average : 1.8869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 7.21 %

Research : Dividend Capture

Saturday, June 25th, 2022

As I state in the introduction to this essay:

Dividend Capture is an investment strategy that is based on the idea that market inefficiencies and differential taxation of capital gains and dividends can be exploited to produce excess returns by owning a security for a short period of time that includes the ex-Dividend date. One recommended strategy is to “Buy the stock the day before it goes X, capture the dividend, and sell it the next day. This is the most common Dividend Capture strategy, and the subject of the most academic research (Campbell and Beranck 1955, Durand and May 1960, etc). While the market is rising, this is the simplest, most efficient and least volatile way to capture dividends.”

I discuss various examples of Dividend Capture and examine the usefulness of the concept in the Canadian preferred share market.

This essay also continues the mathematical work embodied in the June 2010 Prefletter essay “Closed Form Yield Calculation”, using the Exponential Approximation as a simplifying tool.

Look for the research link!


June 24, 2022

Friday, June 24th, 2022

TXPR closed at 619.18, up 1.53% on the day. Volume today was 781,400, second-lowest of the past 21 trading days.

CPD closed at 12.24, unchanged on the day. Volume was 125,610, third-highest of the past 21 trading days.

ZPR closed at 10.30 up 0.78% on the day. Volume of 142,060 was third-lowest of the past 21 trading days.

Five-year Canada yields were up a bit to 3.24% today.

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 0.5116 % 2,515.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5116 % 4,825.0
Floater 4.94 % 4.95 % 49,665 15.60 3 0.5116 % 2,780.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.3458 % 3,450.2
SplitShare 4.93 % 5.57 % 44,993 3.16 8 0.3458 % 4,120.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3458 % 3,214.8
Perpetual-Premium 6.02 % 6.11 % 77,414 13.65 2 0.5176 % 2,869.6
Perpetual-Discount 5.98 % 6.07 % 66,443 13.77 34 0.9200 % 3,105.3
FixedReset Disc 4.66 % 6.40 % 119,220 13.53 57 0.7459 % 2,502.2
Insurance Straight 5.99 % 6.08 % 91,904 13.82 19 0.4671 % 3,003.4
FloatingReset 5.89 % 6.20 % 48,873 13.62 2 0.7859 % 2,602.2
FixedReset Prem 5.07 % 5.34 % 138,727 1.97 9 0.2779 % 2,600.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7459 % 2,557.7
FixedReset Ins Non 4.56 % 6.38 % 73,601 13.64 15 0.7494 % 2,629.8
Performance Highlights
Issue Index Change Notes
GWO.PR.M Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.39
Evaluated at bid price : 23.68
Bid-YTW : 6.15 %
BAM.PR.X FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.38 %
IFC.PR.K Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.75
Evaluated at bid price : 22.05
Bid-YTW : 5.97 %
BIP.PR.B FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.51 %
SLF.PR.E Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.83 %
BNS.PR.I FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.61
Evaluated at bid price : 24.00
Bid-YTW : 5.86 %
TD.PF.A FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.24 %
RY.PR.N Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.08
Evaluated at bid price : 23.51
Bid-YTW : 5.25 %
PWF.PR.L Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.18 %
IFC.PR.E Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.77 %
PWF.PR.K Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.20 %
TD.PF.M FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 5.34 %
CU.PR.G Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.07 %
IFC.PR.I Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 22.38
Evaluated at bid price : 22.77
Bid-YTW : 5.94 %
GWO.PR.Q Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.16 %
TD.PF.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.37
Evaluated at bid price : 21.69
Bid-YTW : 6.30 %
PWF.PR.F Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.34
Evaluated at bid price : 21.61
Bid-YTW : 6.17 %
PWF.PF.A Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.18 %
GWO.PR.Y Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.09 %
BAM.PR.M Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.07 %
TRP.PR.F FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 6.20 %
FTS.PR.G FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.63 %
IFC.PR.A FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.28 %
RY.PR.S FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.62
Evaluated at bid price : 24.00
Bid-YTW : 5.78 %
TRP.PR.C FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 13.49
Evaluated at bid price : 13.49
Bid-YTW : 7.60 %
POW.PR.G Perpetual-Discount 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 5.97 %
CU.PR.D Perpetual-Discount 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.09 %
PWF.PR.T FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 6.63 %
MFC.PR.M FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 6.70 %
BAM.PF.E FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 7.11 %
GWO.PR.S Insurance Straight 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.14 %
GWO.PR.N FixedReset Ins Non 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.98 %
CU.PR.F Perpetual-Discount 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.96 %
FTS.PR.M FixedReset Disc 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.75 %
PVS.PR.K SplitShare 3.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.57 %
CU.PR.C FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.50
Evaluated at bid price : 21.80
Bid-YTW : 6.34 %
CU.PR.H Perpetual-Discount 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 22.09
Evaluated at bid price : 22.09
Bid-YTW : 6.01 %
TRP.PR.A FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.55 %
IFC.PR.C FixedReset Disc 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.88 %
BAM.PR.T FixedReset Disc 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.11 %
MFC.PR.N FixedReset Ins Non 4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 6.64 %
TRP.PR.E FixedReset Disc 7.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 7.32 %
MIC.PR.A Perpetual-Discount 9.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 6.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 34,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.36 %
CM.PR.S FixedReset Disc 30,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 22.36
Evaluated at bid price : 23.21
Bid-YTW : 6.08 %
PWF.PR.S Perpetual-Discount 29,030 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.14 %
CM.PR.R FixedReset Disc 26,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.32 %
PWF.PR.O Perpetual-Discount 22,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 6.19 %
CU.PR.I FixedReset Prem 21,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.48 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 22.60 – 23.98
Spot Rate : 1.3800
Average : 0.9558

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.77 %

CM.PR.O FixedReset Disc Quote: 20.95 – 22.00
Spot Rate : 1.0500
Average : 0.7119

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.36 %

BAM.PR.X FixedReset Disc Quote: 17.01 – 18.00
Spot Rate : 0.9900
Average : 0.7710

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.38 %

TRP.PR.B FixedReset Disc Quote: 12.81 – 14.29
Spot Rate : 1.4800
Average : 1.2721

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 7.64 %

IFC.PR.G FixedReset Ins Non Quote: 21.90 – 22.90
Spot Rate : 1.0000
Average : 0.8082

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.54
Evaluated at bid price : 21.90
Bid-YTW : 6.52 %

BAM.PR.N Perpetual-Discount Quote: 19.21 – 19.83
Spot Rate : 0.6200
Average : 0.4337

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.22 %

Research : Annuities, Part 2

Friday, June 24th, 2022

This essay extends the prior discussion of annuities presented in Annuities Part 1 and The Annuity Decision.

A retirement calculator is provided and discussed, with notes on its design, shortcomings and potential for future enhancements.

I conclude in part:

My advice is to remain as flexible as possible. Retirement plans should be updated annually, while eschewing the temptation to over-manage one’s assets. Investors should focus on a 15-year plan (at the most) rather than a 30-year plan, while keeping a sharp eye not on the prospects for ruin, but for the prospects of large cuts in final results.

If, for instance, the first 15 years of retirement investment go badly, there is no need to continue with the same allocation for the next 15; and this should be recognized at year zero. In year 15 an annuity will be a lot cheaper than it is at year zero, and risk should be assessed with this in mind. In many cases, I suggest, an annuity purchase should be deferred, using the potential for annuity purchase as a safety net for one’s retirement planning. After all, they grow a bit cheaper every day of your life! They also represent an irreversible decision – so plan to drop off your cheque on your way home from the doctor’s office, not on the way there!

Cash is important. If at all possible, withdrawals from the portfolio should be funded by portfolio income; if there is a shortfall, consider shifting to higher yielding assets (without assuming too much risk, of course! It should be recognized that a higher cash yield will result in a lower expected capital gain). If that still does not solve the problem, an annuity should be considered.

And, by all means, don’t take this or any other financial projection too seriously. They are useful as background, to allow you to play with the effects of different decisions, but they all rely on highly uncertain predictions of future events. Remember: I didn’t predict a wave of revolts across the Middle East this year – and neither did anybody else.

Look for the research link!