MAPF

MAPF Portfolio Composition : August 2020

Turnover increased slightly in August to 13%.

The fund’s trading will probably be higher in the future than has been normal for the past several years, since the extreme segmentation in the marketplace that I complained about for so long is now effectively ended. Low-Reset insurance issues were considered so cheap relative to their peers that a large portion of the fund’s holdings were effectively frozen. However, this differentiating factor is no longer considered applicable.

I am no longer making any adjustments for special qualities of insurance issues but note that this policy may change again in the future – a requirement for a Principal Loss Absorbency Mechanism (PLAM), whereby any security included in Tier 1 Capital will be wiped out prior to a government bail-out, even if technical bankruptcy is avoided, remains good public policy; it is a disgrace that the IAIS has rejected this principle and even worse that OSFI argued strenuously against it. I will continue to read notifications from these two entities with great interest, but while it is within the realm of possibility that ICS 2.0 will be revised following the expiry of the current five-year testing period, I can’t say I have any great confidence in the wisdom of the bureaucrats. However, it is a positive move that the increase in the limit for preferred share issuance was increased from 10% of the capital requirement to 15%; but this increase may only be met with issues having a PLAM.

Sectoral distribution of the MAPF portfolio on August 31 was as follows:

MAPF Sectoral Analysis 2020-8-31
HIMI Indices Sector Weighting YTW ModDur BMO-CM "50" Weighting
Ratchet 0% N/A N/A 0%
FixFloat 0% N/A N/A 0%
Floater 0% N/A N/A 0.7%
OpRet 0% N/A N/A 0%
SplitShare 0% N/A N/A 0%
Interest Rearing 0% N/A N/A 0%
PerpetualPremium 0% N/A N/A 1.2%
PerpetualDiscount 16.9% 5.21% 15.11 6.8%
Fixed-Reset Discount 27.5% 5.07% 15.20 35.5%
Deemed-Retractible 8.7% 5.11% 15.34 12.8%
FloatingReset 0% N/A N/A 0.6%
FixedReset Premium 0% N/A N/A 8.2%
FixedReset Bank non-NVCC 0% N/A N/A 0%
FixedReset Insurance non-NVCC 25.1% 4.49% 16.38 5.6%
Scraps – Ratchet 1.3% 6.39% 16.38 2.2%
Scraps – FixedFloater 0% N/A N/A 1.2%
Scraps – Floater 0% N/A N/A 0.5%
Scraps – OpRet 0% N/A N/A 0%
Scraps – SplitShare 0% N/A N/A 0%
Scraps – PerpPrem 0% N/A N/A 1.9%
Scraps – PerpDisc 0% N/A N/A 0%
Scraps – FR Discount 19.8% 7.01% 12.51 22.7%
Scraps – DeemedRet 0% N/A N/A 0%
Scraps – FloatingReset 0% N/A N/A 0%
Scraps – FR Premium 0% N/A N/A 0%
Scraps – Bank non-NVCC 0% N/A N/A 0%
Scraps – Ins non-NVCC 0% N/A N/A 0%
Cash 0.7% 0.00% 0.00 0%
Total 100% 5.32% 14.83 100%
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November. However, the distinctions are being kept because it is useful to distinguish insurance issues from others.
Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 0.40%, a constant 3-Month Bill rate of 0.14% and a constant Canada Prime Rate of 2.45%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

An additional wrinkle to the division into sub-indices is the fact that some issues are classed here as FixedResets, even though for analytical purposes they are classified as Straights – this is due to the fact that these particular issues reset with a floor rate which is (given the current level of the GOC 5-Year bond) currently expected to be effective.

For MAPF, these issues are BIP.PR.D, BIP.PR.E, BIP.PR.F and ECN.PR.C, with a combined portfolio weight of 4.5%. The total portfolio is therefore 69.1% “Floating”, which means the rates will reset periodically based upon the GOC-5, T-Bill or Canada Prime levels.

For the BMO-CM “50” index, these issues are ALA.PR.I, BIP.PR.D, BPO.PR.C and PPL.PR.M, with a combined weight of 7.5%. The total index is therefore 69.7% “Floating”.

Credit distribution is:

MAPF Credit Analysis 2020-8-31
DBRS Rating MAPF Weighting BMO-CM “50” Weighting
Pfd-1 0 0
Pfd-1(low) 0 0
Pfd-2(high) 37.0% 31.5%
Pfd-2 22.0% 25.5%
Pfd-2(low) 19.3% 14.4%
Pfd-3(high) 11.7% 13.3%
Pfd-3 5.3% 13.3%
Pfd-3(low) 2.2% 1.9%
Pfd-4(high) 1.1% 0
Pfd-4 0% 0
Pfd-4(low) 0.8% 0
Pfd-5(high) 0% 0
Pfd-5 0.0% 0
Cash +0.7% 0
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.B, which is rated P-4(low) by S&P and is unrated by DBRS; it is included in the Pfd-4(low) total.
The fund holds a position in BIP.PR.D, BIP.PR.E and BIP.PR.F, which are rated P-2(low) by S&P and are unrated by DBRS; these are included in the Pfd-2(low) total.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.
The Index holds a position in BIP.PR.D which is rated P-2(low) by S&P and is unrated by DBRS; this is included in the Pfd-2(low) total.

Liquidity Distribution is:

MAPF Liquidity Analysis 2020-8-31
Average Daily Trading MAPF Weighting BMO-CM “50” Weighting
<$50,000 22.0% 1.1%
$50,000 – $100,000 37.2% 19.7%
$100,000 – $200,000 34.8% 53.0%
$200,000 – $300,000 2.3% 20.9%
>$300,000 3.0% 5.2%
Cash +0.7% 0%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight BMO-CM “50” Weight
<100bp 0% 0%
100-149bp 6.7% 0.5%
150-199bp 2.8% 3.8%
200-249bp 10.2% 34.6%
250-299bp 34.1% 7.7%
300-349bp 3.4% 5.2%
350-399bp 10.1% 7.3%
400-449bp 2.5% 6.0%
450-499bp 0.0% 6.1%
500-549bp 2.5% 1.4%
550-599bp 0% 0%
>= 600bp 0% 0%
Undefined 27.6% 0%

Distribution of Floating Rate Start Dates is shown in the table below. This is the date of the next adjustment to the dividend rate, if the issue is currently paying a fixed rate for a limited time; which in practice is successive terms of 5 years. Issues that adjust quarterly are considered “Currently Floating”.

Range MAPF Weight BMO-CM “50” Weight
Currently Floating 1.3% 4.0%
0-1 Year 8.4% 10.3%
1-2 Years 24.3% 16.9%
2-3 Years 10.7% 5.3%
3-4 Years 10.4% 29.0%
4-5 Years 28.6% 11.7%
5-6 Years 0% 0%
>6 Years 0% 0%
Not Floating Rate 26.3% 22.8%

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased directly from Hymas Investment Management. A “unit trust” is like a regular mutual fund, but are not sold with a prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

Market Action

September 2, 2020

National Bank of Canada is issuing LRCNs:

it has entered into an agreement with a group of agents led by National Bank Financial Inc. for the issuance of $500 million of Limited Recourse Capital Notes, Series 1 (Non-viability Contingent Capital (NVCC)) (Subordinated Indebtedness) (the “Notes”).

The Notes will bear interest at a rate of 4.300% annually, payable semi-annually, for the initial period ending on but excluding November 15, 2025. Thereafter, the interest rate on the Notes will reset every five years at a rate equal to the prevailing 5-year Government of Canada Yield plus 3.943%. The Notes will mature on November 15, 2080.

Concurrently with the issuance of the Notes, National Bank will issue Non-Cumulative 5-Year Fixed Rate Reset First Preferred Shares, Series 44 (non-viability contingent capital (NVCC)) (the “Series 44 Preferred Shares”) to be held by Computershare Trust Company of Canada as trustee for a newly-formed trust (the “Limited Recourse Trust”). In case of non-payment of interest on or principal of the Notes when due, the recourse of each Note holder will be limited to that holder’s proportionate share of the Limited Recourse Trust’s assets, which will consist of Series 44 Preferred Shares except in limited circumstances.

National Bank may redeem the Notes during the period from October 15 to and including November 15, commencing in 2025 and every five years thereafter, only upon the redemption by National Bank of the Series 44 Preferred Shares held in the Limited Recourse Trust, in accordance with the terms of such shares and with the prior written approval of the Superintendent of Financial Institutions (Canada) (the “Superintendent”), in whole on not less than 15 nor more than 60 days’ prior notice.

The purpose of the sale of the Notes is to enlarge National Bank’s Tier 1 capital base with a view to optimizing National Bank’s capital structure within the parameters prescribed by the Superintendent for bank capital requirements. The net proceeds from the sale of the Notes will be added to National Bank’s general funds and will be utilized for general banking purposes. The expected closing date is on or about September 9, 2020. National Bank intends to file in Canada a prospectus supplement to its August 17, 2020 base shelf prospectus in respect of this issue.

This issue is rated BBB by DBRS:

DBRS Limited (DBRS Morningstar) assigned a provisional rating of BBB with a Stable trend to the National Bank of Canada’s (National or the Bank) NVCC Additional Tier 1 (AT1) Limited Recourse Capital Notes (the Capital Notes). DBRS Morningstar assigned the rating equal to the Bank’s Intrinsic Assessment of A (high) less four rating notches, which is consistent with DBRS Morningstar’s standard notching for capital instruments with contingent risks and its ratings for the Bank’s NVCC Preferred Shares. The provisional rating for the Capital Notes is one notch below the rating of National’s NVCC Subordinated Debt.

DBRS Morningstar notes that the Office of the Superintendent of Financial Institutions granted Tier 1 capital treatment to the Capital Notes.

S&P has them at BB+:

The ‘BB+’ issue rating is four notches below NBC’s SACP, incorporating:

  • A deduction of one notch, the minimum downward notching from the SACP under our criteria for subordinated debt, reflecting contractual subordination;
  • A deduction of two additional notches, reflecting that the coupon payments are fully cancellable, at the issuer’s discretion; and
  • A deduction of an additional notch to reflect that this subordinated note features a (mandatory) contingent conversion (non-viability contingent capital [NVCC]) trigger. Should a trigger event occur (as defined by the Office of the Superintendent of Financial Institutions’ [OSFI] guideline for Capital Adequacy Requirements), each preferred share held in the limited recourse trust will automatically and immediately be converted, without the holder’s consent, into a number of fully paid and freely tradable common shares of the bank, determined in accordance with a conversion formula.

This was probably the impetus behind yesterday’s market pop.

PerpetualDiscounts now yield 5.41%, equivalent to 7.03% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.89%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 415bp from the 420bp reported August 26.

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 -0.1157 % 1,680.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1157 % 3,084.4
Floater 4.97 % 5.02 % 62,523 15.37 3 -0.1157 % 1,777.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0113 % 3,537.9
SplitShare 4.80 % 4.38 % 40,894 3.69 7 0.0113 % 4,225.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0113 % 3,296.5
Perpetual-Premium 5.36 % 4.69 % 82,198 0.64 17 -0.2116 % 3,116.9
Perpetual-Discount 5.29 % 5.41 % 82,799 14.77 17 -0.1400 % 3,458.7
FixedReset Disc 5.37 % 4.18 % 125,202 16.29 68 -0.2900 % 2,122.4
Deemed-Retractible 5.09 % 4.97 % 104,881 15.09 27 -0.1643 % 3,404.4
FloatingReset 2.82 % 2.33 % 45,724 1.39 3 -0.6599 % 1,820.7
FixedReset Prem 5.25 % 3.91 % 228,742 0.86 11 0.0825 % 2,622.8
FixedReset Bank Non 1.95 % 2.51 % 135,269 1.39 2 -0.6426 % 2,834.3
FixedReset Ins Non 5.59 % 4.35 % 96,140 16.31 22 0.2970 % 2,153.7
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -26.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.38 %
TRP.PR.G FixedReset Disc -11.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.94 %
PWF.PR.P FixedReset Disc -6.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 10.39
Evaluated at bid price : 10.39
Bid-YTW : 4.88 %
GWO.PR.Q Deemed-Retractible -3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.45
Evaluated at bid price : 23.70
Bid-YTW : 5.43 %
CU.PR.C FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.48 %
SLF.PR.J FloatingReset -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 9.70
Evaluated at bid price : 9.70
Bid-YTW : 3.99 %
BIK.PR.A FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.11
Evaluated at bid price : 24.50
Bid-YTW : 5.91 %
SLF.PR.E Deemed-Retractible -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 21.91
Evaluated at bid price : 22.15
Bid-YTW : 5.07 %
MFC.PR.F FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.47 %
TRP.PR.C FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 5.35 %
BAM.PF.G FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.24 %
W.PR.K FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 24.44
Evaluated at bid price : 25.02
Bid-YTW : 5.29 %
SLF.PR.B Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.99 %
CU.PR.F Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 21.90
Evaluated at bid price : 22.40
Bid-YTW : 5.02 %
PWF.PR.L Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.54
Evaluated at bid price : 23.81
Bid-YTW : 5.41 %
TRP.PR.F FloatingReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 4.80 %
CU.PR.H Perpetual-Premium -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 24.80
Evaluated at bid price : 25.10
Bid-YTW : 5.25 %
GWO.PR.F Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-02
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : -7.71 %
RY.PR.M FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 3.87 %
SLF.PR.H FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 4.41 %
BAM.PF.F FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 17.14
Evaluated at bid price : 17.14
Bid-YTW : 5.11 %
TD.PF.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.84 %
BAM.PF.A FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.04 %
SLF.PR.C Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 4.94 %
BIP.PR.F FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 21.91
Evaluated at bid price : 22.25
Bid-YTW : 5.72 %
TD.PF.L FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.14
Evaluated at bid price : 24.60
Bid-YTW : 3.96 %
BIP.PR.D FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 22.16
Evaluated at bid price : 22.51
Bid-YTW : 5.54 %
TRP.PR.A FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 5.13 %
CM.PR.Y FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.29
Evaluated at bid price : 25.10
Bid-YTW : 4.17 %
MFC.PR.H FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.33 %
IAF.PR.B Deemed-Retractible 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 22.63
Evaluated at bid price : 22.88
Bid-YTW : 5.02 %
CM.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 22.94
Evaluated at bid price : 24.10
Bid-YTW : 4.10 %
BIP.PR.A FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.56 %
BMO.PR.Y FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 3.99 %
BMO.PR.D FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.01
Evaluated at bid price : 23.35
Bid-YTW : 3.90 %
CM.PR.Q FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 4.10 %
IFC.PR.G FixedReset Ins Non 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.50 %
BIP.PR.E FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 5.65 %
BAM.PR.T FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 5.06 %
SLF.PR.G FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.24 %
TD.PF.J FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 3.96 %
TRP.PR.B FixedReset Disc 5.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 8.95
Evaluated at bid price : 8.95
Bid-YTW : 4.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.H Deemed-Retractible 420,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.10 %
TD.PF.L FixedReset Disc 164,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.14
Evaluated at bid price : 24.60
Bid-YTW : 3.96 %
RY.PR.J FixedReset Disc 104,995 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 3.89 %
BMO.PR.T FixedReset Disc 62,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.09 %
BMO.PR.D FixedReset Disc 49,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.01
Evaluated at bid price : 23.35
Bid-YTW : 3.90 %
RY.PR.Z FixedReset Disc 46,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 3.84 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 15.02 – 20.95
Spot Rate : 5.9300
Average : 3.3341

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.38 %
EIT.PR.A SplitShare Quote: 25.40 – 27.00
Spot Rate : 1.6000
Average : 0.9192

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.28 %
IFC.PR.F Deemed-Retractible Quote: 25.11 – 26.31
Spot Rate : 1.2000
Average : 0.6649

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 24.63
Evaluated at bid price : 25.11
Bid-YTW : 5.35 %
GWO.PR.Q Deemed-Retractible Quote: 23.70 – 24.90
Spot Rate : 1.2000
Average : 0.7045

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 23.45
Evaluated at bid price : 23.70
Bid-YTW : 5.43 %
CU.PR.C FixedReset Disc Quote: 16.00 – 17.00
Spot Rate : 1.0000
Average : 0.6122

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.48 %
IAF.PR.G FixedReset Ins Non Quote: 19.00 – 20.00
Spot Rate : 1.0000
Average : 0.7433

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-02
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.34 %
Issue Comments

FFH.PR.G To Reset To 2.962%

Fairfax Financial Holdings Limited has announced:

that it has determined the fixed dividend rate on its Cumulative 5-Year Rate Reset Preferred Shares, Series G (the “Series G Shares”) (TSX: FFH.PR.G) for the five years commencing October 1, 2020 and ending September 30, 2025. The fixed quarterly dividends on the Series G Shares during that period, if and when declared, will be paid at an annual rate of 2.962% (C$0.185125 per share per quarter).

Holders of Series G Shares have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on September 15, 2020, to convert all or part of their Series G Shares, on a one-for-one basis, into Cumulative Floating Rate Preferred Shares, Series H (the “Series H Shares”) (TSX: FFH.PR.H), effective September 30, 2020. The quarterly floating rate dividends on the Series H Shares will be paid at an annual rate, calculated for each quarter, of 2.56% over the annual yield on three-month Government of Canada treasury bills. The actual quarterly dividend rate in respect of the September 30, 2020 to December 30, 2020 dividend period for the Series H Shares will be 0.68282% (2.70900% on an annualized basis) and the dividend for such dividend period, if and when declared, will be C$0.17070 per share, payable on December 30, 2020.

Holders of Series H Shares also have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on September 15, 2020, to convert all or part of their Series H Shares, on a one-for-one basis, into Series G Shares, effective September 30, 2020. Holders of the Series H Shares who elect to convert their shares by the conversion deadline will receive Series G Shares effective September 30, 2020 and will be entitled to receive, if and when declared, the fixed-rate dividend as described above.

Holders of Series G Shares are not required to elect to convert all or any part of their Series G Shares into Series H Shares and holders of Series H Shares are not required to elect to convert all or any part of their Series H Shares into Series G Shares. Holders of the Series G Shares who do not elect to convert their shares by the conversion deadline will retain their Series G Shares and will receive the fixed-rate dividend as described above (subject to the automatic conversion features described below). Holders of the Series H Shares who do not elect to convert their shares by the conversion deadline will retain their Series H Shares and will receive the floating-rate dividend as described above (subject to the automatic conversion features described below).

As provided in the share conditions of the Series G Shares and the Series H Shares: (i) if Fairfax determines that there would be fewer than 1,000,000 Series G Shares outstanding after September 30, 2020, all remaining Series G Shares will be automatically converted into Series H Shares on a one-for-one basis effective September 30, 2020 and Fairfax will cause the return of all Series H Shares tendered for conversion into Series G Shares; and (ii) if Fairfax determines that there would be fewer than 1,000,000 Series H Shares outstanding after September 30, 2020, all remaining Series H Shares will be automatically converted into Series G Shares on a one-for-one basis effective September 30, 2020 and Fairfax will cause the return of all Series G Shares tendered for conversion into Series H Shares.

There are currently 7,432,952 Series G Shares and 2,567,048 Series H Shares outstanding. The Series G Shares and the Series H Shares are listed on the Toronto Stock Exchange under the trading symbols “FFH.PR.G” and “FFH.PR.H”, respectively.

FFH.PR.G was issued as a FixedReset 5.00%+256, which commenced trading July 28, 2010 after being announced July 20, 2010. It reset to 3.318% in 2015. I recommended that holders continue holding the issue, but there was a 26% conversion anyway.

FFH.PR.H is a FloatingReset, Bills+256, that arose out of a partial conversion from FFH.PR.G.

Market Action

September 1, 2020

unicorn_200901
Click for Big

TXPR closed at 591.75, up 1.34% on the day. Volume today was 3.38-million, by far the second-highest of the past thirty days, behind only August 26.

CPD closed at 11.78, up 0.86% on the day. Volume was 147,303, very high in the context of the past 30 trading days.

ZPR closed at 9.32, up 1.08% on the day. Volume of 307,588 was the high in the context of the past 30 trading days.

Five-year Canada yields were down 3bp to 0.36% 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 0.7776 % 1,682.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7776 % 3,087.9
Floater 4.96 % 5.04 % 63,385 15.35 3 0.7776 % 1,779.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1472 % 3,537.5
SplitShare 4.80 % 4.37 % 42,567 3.69 7 0.1472 % 4,224.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1472 % 3,296.1
Perpetual-Premium 5.34 % 3.30 % 81,695 0.08 17 0.1210 % 3,123.5
Perpetual-Discount 5.28 % 5.36 % 83,147 14.85 17 0.5378 % 3,463.5
FixedReset Disc 5.36 % 4.14 % 122,179 16.35 68 1.2376 % 2,128.6
Deemed-Retractible 5.08 % 5.00 % 105,575 15.18 27 1.0746 % 3,410.0
FloatingReset 2.80 % 2.44 % 43,998 1.39 3 0.7535 % 1,832.8
FixedReset Prem 5.25 % 4.20 % 231,050 0.87 11 0.1797 % 2,620.6
FixedReset Bank Non 1.94 % 1.98 % 134,289 1.39 2 0.2415 % 2,852.6
FixedReset Ins Non 5.61 % 4.38 % 89,837 16.24 22 1.3174 % 2,147.3
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 4.99 %
BIP.PR.A FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.64 %
TRP.PR.D FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 5.56 %
GWO.PR.Q Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 24.39
Evaluated at bid price : 24.67
Bid-YTW : 5.21 %
CM.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 22.80
Evaluated at bid price : 23.80
Bid-YTW : 4.17 %
RY.PR.S FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.82 %
GWO.PR.G Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 24.61
Evaluated at bid price : 24.87
Bid-YTW : 5.22 %
TD.PF.K FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.99 %
IAF.PR.G FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 4.38 %
PWF.PR.L Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.34 %
ELF.PR.F Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.47 %
BAM.PR.C Floater 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 8.66
Evaluated at bid price : 8.66
Bid-YTW : 5.02 %
POW.PR.G Perpetual-Premium 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-01
Maturity Price : 25.25
Evaluated at bid price : 25.55
Bid-YTW : -0.05 %
CM.PR.Y FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.19
Evaluated at bid price : 24.80
Bid-YTW : 4.24 %
BMO.PR.F FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.28
Evaluated at bid price : 25.00
Bid-YTW : 4.04 %
NA.PR.W FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.31 %
MFC.PR.G FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 4.34 %
TD.PF.L FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.03
Evaluated at bid price : 24.32
Bid-YTW : 4.02 %
GWO.PR.H Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.26
Evaluated at bid price : 23.56
Bid-YTW : 5.13 %
BMO.PR.B FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.54 %
BAM.PR.T FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.15 %
BIP.PR.E FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.75 %
TD.PF.M FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.24
Evaluated at bid price : 24.95
Bid-YTW : 4.12 %
NA.PR.G FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.32 %
NA.PR.E FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.14 %
CM.PR.S FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.05 %
W.PR.K FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.76 %
NA.PR.S FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 4.29 %
BMO.PR.D FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 22.67
Evaluated at bid price : 23.00
Bid-YTW : 3.97 %
BAM.PF.F FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 5.16 %
GWO.PR.I Deemed-Retractible 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 21.69
Evaluated at bid price : 21.94
Bid-YTW : 5.12 %
BIP.PR.F FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 5.79 %
NA.PR.C FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.03
Evaluated at bid price : 23.84
Bid-YTW : 4.06 %
GWO.PR.R Deemed-Retractible 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 22.96
Evaluated at bid price : 23.40
Bid-YTW : 5.11 %
TRP.PR.K FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.54
Evaluated at bid price : 24.71
Bid-YTW : 4.92 %
IAF.PR.B Deemed-Retractible 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 5.08 %
MFC.PR.C Deemed-Retractible 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 5.00 %
BAM.PF.B FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.19 %
MFC.PR.B Deemed-Retractible 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 5.00 %
MFC.PR.K FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 4.33 %
PWF.PR.S Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 22.48
Evaluated at bid price : 22.76
Bid-YTW : 5.32 %
TRP.PR.C FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 9.35
Evaluated at bid price : 9.35
Bid-YTW : 5.27 %
SLF.PR.B Deemed-Retractible 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 4.93 %
MFC.PR.L FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.46 %
SLF.PR.D Deemed-Retractible 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 22.05
Evaluated at bid price : 22.34
Bid-YTW : 4.97 %
SLF.PR.C Deemed-Retractible 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 5.00 %
TRP.PR.E FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 5.37 %
MFC.PR.I FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.30 %
BAM.PF.G FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.16 %
MFC.PR.J FixedReset Ins Non 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 4.37 %
TRP.PR.G FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 16.03
Evaluated at bid price : 16.03
Bid-YTW : 5.28 %
GWO.PR.N FixedReset Ins Non 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.15 %
PWF.PR.T FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.63 %
SLF.PR.A Deemed-Retractible 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.95 %
CM.PR.Q FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.17 %
IFC.PR.A FixedReset Ins Non 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 4.64 %
MFC.PR.F FixedReset Ins Non 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 10.42
Evaluated at bid price : 10.42
Bid-YTW : 4.38 %
SLF.PR.J FloatingReset 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 9.91
Evaluated at bid price : 9.91
Bid-YTW : 3.90 %
MFC.PR.H FixedReset Ins Non 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.38 %
SLF.PR.E Deemed-Retractible 4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 4.97 %
BAM.PR.X FixedReset Disc 4.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 4.93 %
MFC.PR.M FixedReset Ins Non 5.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 4.50 %
BAM.PF.A FixedReset Disc 5.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.10 %
BAM.PR.R FixedReset Disc 6.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 13.54
Evaluated at bid price : 13.54
Bid-YTW : 5.10 %
BMO.PR.Y FixedReset Disc 6.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 4.07 %
TD.PF.I FixedReset Disc 8.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 22.50
Evaluated at bid price : 22.80
Bid-YTW : 3.88 %
PWF.PR.P FixedReset Disc 8.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 4.54 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 237,173 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.24
Evaluated at bid price : 24.95
Bid-YTW : 4.12 %
RY.PR.J FixedReset Disc 133,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 3.91 %
RY.PR.R FixedReset Prem 95,613 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.77 %
NA.PR.S FixedReset Disc 72,631 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 4.29 %
TD.PF.G FixedReset Prem 68,131 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.05 %
BNS.PR.G FixedReset Prem 59,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.31 %
There were 64 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 12.60 – 13.74
Spot Rate : 1.1400
Average : 0.7468

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.19 %
EIT.PR.B SplitShare Quote: 25.35 – 26.35
Spot Rate : 1.0000
Average : 0.6197

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.44 %
TD.PF.J FixedReset Disc Quote: 20.68 – 21.50
Spot Rate : 0.8200
Average : 0.5079

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 4.05 %
CM.PR.Y FixedReset Disc Quote: 24.80 – 25.60
Spot Rate : 0.8000
Average : 0.5125

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 23.19
Evaluated at bid price : 24.80
Bid-YTW : 4.24 %
BIP.PR.E FixedReset Disc Quote: 21.70 – 22.50
Spot Rate : 0.8000
Average : 0.5161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.75 %
BAM.PR.Z FixedReset Disc Quote: 17.05 – 17.89
Spot Rate : 0.8400
Average : 0.5806

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-01
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.33 %
Issue Comments

NPI.PR.A To Reset To 3.20%

Northland Power Inc. has announced:

that pursuant to the share terms in respect of the Cumulative Rate Reset Preferred Shares, Series 1 (“Series 1 Shares”), it has determined the fixed dividend rate for the five years commencing September 30, 2020 and ending September 29, 2025. The fixed quarterly dividends on the Series 1 Shares during that period will be paid at an annual rate of 3.2% (Cdn. $0.2001 per share per quarter).

The quarterly floating rate dividends on the Cumulative Floating Rate Preferred Shares, Series 2 (the “Series 2 Shares”) will be paid at an annual rate, calculated for each quarter, of 2.80% over the annual yield on 90-day Government of Canada treasury bills. The actual quarterly dividend rate in respect of the September 30, 2020 to December 30, 2020 dividend period for the Series 2 Shares will be 0.74% (2.95% on an annualized basis) and the dividend, if and when declared, for such dividend period will be Cdn. $0.1859 per share, payable on December 31, 2020.

Holders of Series 1 Shares and Series 2 Shares have the right, at their option, exercisable not later than 5:00 pm (Toronto time) on September 15, 2020, to convert all or part of their Series 1 Shares or Series 2 Shares, as applicable, on a one-for-one basis, into shares of the other series, effective September 30, 2020.

Holders of either Series 1 Shares or Series 2 Shares are not required to elect to convert all or any part of their shares.

As provided in the share conditions for each of the Series 1 Shares and the Series 2 Shares, if Northland determines that after giving effect to all notices of conversion of Series 1 Shares and Series 2 Shares there would be fewer than 1,000,000 Series 1 Shares or Series 2 Shares outstanding after September 30, 2020, (i) all remaining shares of the series for which there would be fewer than 1,000,000 shares outstanding will be automatically converted into the other series of preferred shares on a one-for-one basis effective September 30, 2020; and (ii) no shares will be permitted to be converted into the series that would have fewer than 1,000,000 shares outstanding.

There are currently 4,501,565 Series 1 Shares and 1,498,435 Series 2 Shares outstanding.

NPI.PR.A was issued as a FixedReset, 5.25%+280bp, which commenced trading 2010-7-28 after being announced 2010-7-6 under the ticker symbol NPP.PR.A. The ticker was changed to NPI.PR.A effective January 1, 2011 after conversion from an Income Trust. The issue reset to 3.51% in 2015 and I recommended that holders retain the issue but there was a 25% conversion to NPI.PR.B.

NPI.PR.B is a FloatingReset, Bills+280bp, which came into existence via a partial conversion from NPI.PR.A.

Issue Comments

ALA.PR.A To Reset At 3.06%

AltaGas Ltd. has announced:

that it does not intend to exercise its right to redeem any or all of its currently outstanding Cumulative Redeemable Five-Year Rate Reset Preferred Shares, Series A (the “Series A Shares”) (TSX: ALA.PR.A) or the Cumulative Redeemable Floating Rate Preferred Shares, Series B (the “Series B Shares”) (TSX: ALA.PR.B) on September 30, 2020 (the “Conversion Date”).

As a result, subject to certain conditions, the holders of the Series A Shares have the right to convert all or part of their Series A Shares on a one-for-one basis into Series B Shares on the Conversion Date. Holders who do not exercise their right to convert their Series A Shares into Series B Shares will, subject to automatic conversion in the circumstances described below, retain their Series A Shares.

In addition, on the Conversion Date the holders of the Series B Shares have the right to convert all or part of their Series B Shares on a one-for-one basis into Series A Shares. Holders who do not exercise their right to convert their Series B Shares into Series A Shares will, subject to automatic conversion in the circumstances described below, retain their Series B Shares.

The foregoing conversion rights are subject to the conditions that: (i) if AltaGas determines that after giving effect to all conversions there would be less than 1,000,000 Series A Shares outstanding after the Conversion Date, then all remaining Series A Shares will automatically be converted into Series B Shares on a one-for-one basis on the Conversion Date; and (ii) if AltaGas determines that after giving effect to all conversions there would be less than 1,000,000 Series B Shares outstanding after the Conversion Date, then all remaining Series B Shares will automatically be converted into Series A Shares on a one-for-one basis on the Conversion Date. There are currently 5,511,220 Series A Shares and 2,488,780 Series B Shares outstanding.

With respect to any Series A Shares that are outstanding after the Conversion Date, holders shall be entitled to receive, as and when declared by the Board of Directors of AltaGas, fixed cumulative preferential cash dividends, payable quarterly. The new annual dividend rate applicable to the Series A Shares for the five-year period commencing on and including September 30, 2020 to, but excluding, September 30, 2025 will be 3.060 percent, being equal to the sum of the five-year Government of Canada bond yield determined as of today plus 2.66 percent.

With respect to any Series B Shares that are outstanding after the Conversion Date, holders shall be entitled to receive, as and when declared by the Board of Directors of AltaGas, quarterly floating rate cumulative preferential cash dividends. The dividend rate applicable to the Series B Shares for the three-month floating rate period commencing on and including September 30, 2020 to, but excluding, December 31, 2020 will be 2.809 percent, being equal to the sum of the annual rate of interest for the most recent auction of 90 day Government of Canada treasury bills plus 2.66 percent (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series A Shares and Series B Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right during the conversion period, which runs from August 31, 2020 until 5:00 p.m. (Toronto time) on September 15, 2020. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps. Any notices received after this deadline will not be valid.

Subject to the terms and conditions of the Series A Shares and Series B Shares and AltaGas’ right to redeem such shares, holders of the Series A Shares and the Series B Shares will have the opportunity to convert their shares again on September 30, 2025, and every five years thereafter as long as the Series A Shares and Series B Shares remain outstanding.

ALA.PR.A is a FixedReset issued at 5.00%+266bp, which commenced trading August 19, 2010 after being announced August 10, 2010. In 2015 the issue reset to 3.38% and I recommended holders retain the issue. Despite this, there was a 31% conversion to FloatingResets.

ALA.PR.B is a FloatingReset, Bills+266bp, which arose via a partial conversion from ALA.PR.A in 2015.

Market Action

August 31, 2020

Here’s what Britain is talking about by way of paying the coronavirus debt:

Treasury officials in Britain are pushing for tax hikes to plug holes blown in public finances by the coronavirus pandemic, two leading British newspapers said.

Such hikes will enable the Exchequer to raise at least £20-billion ($35-billion) a year, and some could be introduced in https://www.theglobeandmail.com/business/article-liberals-revised-covid-19-emergency-benefits-resemble-a-national/#commentsthe November budget, the Sunday Telegraph said.

The Sunday Times newspaper said officials were drawing up plans for a £30-billion “tax raid” on the wealthy, businesses, pensions and foreign aid.

In its budget, the government also plans to raise both capital gains tax and corporation tax, the Sunday Times added.

Finance Minister Rishi Sunak is considering a proposal to boost corporation tax to 24 per cent from 19 per cent, a move that would raise £12-billion next year, rising to £17-billion in 2023-24, the paper said.

I was infuriated by a recent article about the new coronavirus supports and their similarity to Guaranteed Annual Income:

According to the tenets of a guaranteed basic income program, all adults are eligible for government benefits that establish a floor for income, but those payments decline as earnings from wages rise. That gradual reduction, or clawback, means that the basic income benefit is eliminated entirely for higher earners.

Wrong, wrong, wrong!

A ‘clawback’ implies that there is a higher marginal rate on low earnings that is hidden from obvious view. This leads to such things as welfare recipients facing a marginal tax rate in excess of 50% on earnings which is often claimed to be a disincentive to work.

You want guaranteed basic income? Fine. Good. But it must work as follows:
i) Cut everybody a cheque for $X.
ii) This $X is included in taxable income
iii) Then tax the taxable income in the usual way.

The Bank of Canada has published its 2019 Cash Alternative Survey Results:

The role of cash in Canadians’ lives has been evolving, as innovations in digital payments have become more widely adopted over the past decade. The emergence of privately issued digital currencies has motivated many central banks to conduct research into central bank digital currencies (CBDCs). We contribute to the Bank of Canada’s research on CBDC by monitoring Canadians’ use of cash and their adoption of digital payment methods.

The Bank conducted the 2019 Cash Alternative Survey (CAS) in August and September 2019. The 2019 CAS asked respondents to report their cash holdings, adoption of cryptocurrencies, and views regarding the potential impact of cash disappearing from the Canadian economy.

We find that Canadians’ cash holdings remain stable, and cryptocurrency adoption remains limited and concentrated among few demographics. Looking ahead, we find few Canadians plan to stop using cash and a significant share report they would find the disappearance of cash problematic. We plan to conduct further iterations of the Cash Alternative Study to further analyze Canadians’ cash use, including their withdrawal and spending behaviour.

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 0.1168 % 1,669.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1168 % 3,064.1
Floater 5.00 % 5.08 % 63,879 15.27 3 0.1168 % 1,765.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0694 % 3,532.3
SplitShare 4.68 % 4.39 % 40,851 3.24 8 0.0694 % 4,218.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0694 % 3,291.3
Perpetual-Premium 5.51 % 4.60 % 82,252 2.76 4 0.4152 % 3,119.7
Perpetual-Discount 5.30 % 5.14 % 79,410 14.68 31 0.6930 % 3,445.0
FixedReset Disc 5.45 % 4.30 % 120,354 16.26 67 0.0008 % 2,102.5
Deemed-Retractible 5.11 % 5.09 % 102,778 14.91 27 0.5886 % 3,373.7
FloatingReset 2.82 % 2.29 % 40,730 1.40 3 0.7143 % 1,819.1
FixedReset Prem 5.26 % 4.39 % 234,013 0.87 11 -0.1328 % 2,615.9
FixedReset Bank Non 1.95 % 2.33 % 126,911 1.39 2 0.0604 % 2,845.7
FixedReset Ins Non 5.68 % 4.43 % 90,299 16.19 22 0.1966 % 2,119.4
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.35 %
MFC.PR.M FixedReset Ins Non -4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.74 %
BAM.PR.R FixedReset Disc -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.44 %
BAM.PF.A FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 5.42 %
TD.PF.I FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.25 %
MFC.PR.F FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.54 %
CM.PR.S FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.11 %
PWF.PR.P FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.95 %
TRP.PR.K FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.98
Evaluated at bid price : 24.31
Bid-YTW : 5.05 %
RY.PR.S FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 3.87 %
TRP.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 5.51 %
PWF.PR.E Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.89 %
GWO.PR.T Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 24.35
Evaluated at bid price : 24.83
Bid-YTW : 5.25 %
IFC.PR.C FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 4.66 %
CU.PR.E Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.67
Evaluated at bid price : 23.97
Bid-YTW : 5.12 %
PWF.PR.L Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.56
Evaluated at bid price : 23.83
Bid-YTW : 5.40 %
RY.PR.M FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 3.88 %
GWO.PR.I Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 21.62
Evaluated at bid price : 21.87
Bid-YTW : 5.22 %
CU.PR.F Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.40
Evaluated at bid price : 22.68
Bid-YTW : 4.97 %
BAM.PF.B FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 5.29 %
GWO.PR.N FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 4.29 %
CU.PR.G Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.15
Evaluated at bid price : 22.44
Bid-YTW : 5.03 %
GWO.PR.P Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 0.48 %
GWO.PR.R Deemed-Retractible 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.91
Evaluated at bid price : 23.32
Bid-YTW : 5.21 %
CU.PR.H Perpetual-Premium 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.38
Bid-YTW : 5.05 %
CIU.PR.A Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.10
Evaluated at bid price : 22.38
Bid-YTW : 5.15 %
GWO.PR.H Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.24
Evaluated at bid price : 23.54
Bid-YTW : 5.22 %
PWF.PR.K Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.81
Evaluated at bid price : 23.09
Bid-YTW : 5.41 %
TD.PF.D FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 3.94 %
PWF.PR.F Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 24.17
Evaluated at bid price : 24.43
Bid-YTW : 5.42 %
CU.PR.D Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.65
Evaluated at bid price : 23.95
Bid-YTW : 5.13 %
MFC.PR.C Deemed-Retractible 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 21.88
Evaluated at bid price : 22.12
Bid-YTW : 5.09 %
BAM.PR.T FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 5.22 %
BAM.PR.M Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 21.64
Evaluated at bid price : 21.89
Bid-YTW : 5.51 %
GWO.PR.S Deemed-Retractible 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 24.79
Evaluated at bid price : 25.09
Bid-YTW : 5.31 %
TRP.PR.D FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.46 %
RY.PR.Z FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %
MFC.PR.N FixedReset Ins Non 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.38 %
BIP.PR.A FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.53 %
TRP.PR.F FloatingReset 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 10.82
Evaluated at bid price : 10.82
Bid-YTW : 4.75 %
TRP.PR.A FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 5.18 %
CM.PR.R FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 23.05
Evaluated at bid price : 23.40
Bid-YTW : 4.13 %
MFC.PR.G FixedReset Ins Non 4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.39 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.G FixedReset Ins Non 165,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.39 %
SLF.PR.I FixedReset Ins Non 154,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 4.32 %
BAM.PR.R FixedReset Disc 102,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.44 %
RY.PR.M FixedReset Disc 83,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 3.88 %
BMO.PR.D FixedReset Disc 81,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 22.34
Evaluated at bid price : 22.65
Bid-YTW : 4.03 %
PWF.PR.F Perpetual-Discount 69,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 24.17
Evaluated at bid price : 24.43
Bid-YTW : 5.42 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 15.60 – 22.00
Spot Rate : 6.4000
Average : 3.5282

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.42 %
MFC.PR.M FixedReset Ins Non Quote: 15.85 – 16.81
Spot Rate : 0.9600
Average : 0.6318

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.74 %
BAM.PF.A FixedReset Disc Quote: 17.04 – 18.00
Spot Rate : 0.9600
Average : 0.6350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 5.42 %
TD.PF.I FixedReset Disc Quote: 21.00 – 22.74
Spot Rate : 1.7400
Average : 1.4467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.25 %
BMO.PR.Y FixedReset Disc Quote: 18.00 – 19.20
Spot Rate : 1.2000
Average : 0.9774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.35 %
BAM.PR.R FixedReset Disc Quote: 12.70 – 13.54
Spot Rate : 0.8400
Average : 0.7012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-31
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.44 %
Market Action

August 28, 2020

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 0.4300 % 1,667.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4300 % 3,060.5
Floater 5.01 % 5.10 % 63,951 15.25 3 0.4300 % 1,763.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0369 % 3,529.8
SplitShare 4.68 % 4.41 % 41,155 3.25 8 0.0369 % 4,215.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0369 % 3,289.0
Perpetual-Premium 5.54 % 4.67 % 82,498 3.99 4 0.0099 % 3,106.8
Perpetual-Discount 5.34 % 5.39 % 78,074 14.63 31 0.1725 % 3,421.3
FixedReset Disc 5.45 % 4.27 % 121,648 16.32 67 -0.0124 % 2,102.5
Deemed-Retractible 5.14 % 5.16 % 99,115 14.84 27 0.0885 % 3,354.0
FloatingReset 2.86 % 2.20 % 40,701 1.40 3 -0.2412 % 1,806.2
FixedReset Prem 5.25 % 4.10 % 235,435 0.88 11 0.0000 % 2,619.4
FixedReset Bank Non 1.95 % 2.38 % 131,498 1.40 2 0.4654 % 2,844.0
FixedReset Ins Non 5.69 % 4.45 % 90,602 16.11 22 0.7154 % 2,115.2
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 5.12 %
SLF.PR.J FloatingReset -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.09 %
TRP.PR.D FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.56 %
RY.PR.Z FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.93 %
NA.PR.G FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.39 %
BAM.PR.M Perpetual-Discount -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.62 %
BAM.PR.T FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 5.28 %
CM.PR.Q FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.27 %
TRP.PR.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 5.31 %
CM.PR.R FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 22.40
Evaluated at bid price : 22.72
Bid-YTW : 4.24 %
SLF.PR.E Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.16 %
MFC.PR.C Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.17 %
TD.PF.C FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 3.92 %
BAM.PF.I FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 4.96 %
CM.PR.O FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.16 %
BAM.PF.H FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 24.39
Evaluated at bid price : 25.00
Bid-YTW : 5.05 %
SLF.PR.H FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.45 %
MFC.PR.J FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.46 %
PWF.PR.L Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 5.46 %
BAM.PR.B Floater 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 5.03 %
IAF.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 4.22 %
BIK.PR.A FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.72 %
BAM.PR.Z FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.27 %
TRP.PR.F FloatingReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.91 %
SLF.PR.A Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 22.89
Evaluated at bid price : 23.16
Bid-YTW : 5.11 %
TD.PF.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 3.89 %
SLF.PR.G FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 10.40
Evaluated at bid price : 10.40
Bid-YTW : 4.32 %
MFC.PR.R FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 23.83
Evaluated at bid price : 24.21
Bid-YTW : 4.38 %
POW.PR.D Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.33 %
IAF.PR.B Deemed-Retractible 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.12 %
NA.PR.W FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.30 %
TRP.PR.B FixedReset Disc 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 4.82 %
MFC.PR.I FixedReset Ins Non 5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.40 %
TD.PF.D FixedReset Disc 6.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 3.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 69,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.31 %
MFC.PR.M FixedReset Ins Non 56,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.49 %
PWF.PR.H Perpetual-Discount 50,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-27
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -1.05 %
MFC.PR.N FixedReset Ins Non 50,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 4.46 %
BNS.PR.H FixedReset Prem 28,570 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 3.98 %
BAM.PR.Z FixedReset Disc 26,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.27 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Discount Quote: 23.70 – 24.80
Spot Rate : 1.1000
Average : 0.6413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.33 %
POW.PR.A Perpetual-Discount Quote: 25.23 – 26.23
Spot Rate : 1.0000
Average : 0.6091

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-27
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 2.60 %
BMO.PR.Y FixedReset Disc Quote: 18.90 – 20.00
Spot Rate : 1.1000
Average : 0.7333

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.11 %
CU.PR.G Perpetual-Discount Quote: 22.15 – 23.00
Spot Rate : 0.8500
Average : 0.5161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 22.15
Evaluated at bid price : 22.15
Bid-YTW : 5.11 %
BAM.PR.M Perpetual-Discount Quote: 21.50 – 22.13
Spot Rate : 0.6300
Average : 0.3782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.62 %
BAM.PF.E FixedReset Disc Quote: 15.16 – 15.85
Spot Rate : 0.6900
Average : 0.4738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-28
Maturity Price : 15.16
Evaluated at bid price : 15.16
Bid-YTW : 5.21 %
Market Action

August 27, 2020

Chair Jerome H. Powell of the Federal Reserve made an important speech today titled New Economic Challenges and the Fed’s Monetary Policy Review:

The persistent undershoot of inflation from our 2 percent longer-run objective is a cause for concern. Many find it counterintuitive that the Fed would want to push up inflation. After all, low and stable inflation is essential for a well-functioning economy. And we are certainly mindful that higher prices for essential items, such as food, gasoline, and shelter, add to the burdens faced by many families, especially those struggling with lost jobs and incomes. However, inflation that is persistently too low can pose serious risks to the economy. Inflation that runs below its desired level can lead to an unwelcome fall in longer-term inflation expectations, which, in turn, can pull actual inflation even lower, resulting in an adverse cycle of ever-lower inflation and inflation expectations.

This dynamic is a problem because expected inflation feeds directly into the general level of interest rates. Well-anchored inflation expectations are critical for giving the Fed the latitude to support employment when necessary without destabilizing inflation.18 But if inflation expectations fall below our 2 percent objective, interest rates would decline in tandem. In turn, we would have less scope to cut interest rates to boost employment during an economic downturn, further diminishing our capacity to stabilize the economy through cutting interest rates. We have seen this adverse dynamic play out in other major economies around the world and have learned that once it sets in, it can be very difficult to overcome. We want to do what we can to prevent such a dynamic from happening here.
…
We continue to believe that specifying a numerical goal for employment is unwise, because the maximum level of employment is not directly measurable and changes over time for reasons unrelated to monetary policy. The significant shifts in estimates of the natural rate of unemployment over the past decade reinforce this point. In addition, we have not changed our view that a longer-run inflation rate of 2 percent is most consistent with our mandate to promote both maximum employment and price stability.
…
Our longer-run goal continues to be an inflation rate of 2 percent. Our statement emphasizes that our actions to achieve both sides of our dual mandate will be most effective if longer-term inflation expectations remain well anchored at 2 percent. However, if inflation runs below 2 percent following economic downturns but never moves above 2 percent even when the economy is strong, then, over time, inflation will average less than 2 percent. Households and businesses will come to expect this result, meaning that inflation expectations would tend to move below our inflation goal and pull realized inflation down. To prevent this outcome and the adverse dynamics that could ensue, our new statement indicates that we will seek to achieve inflation that averages 2 percent over time. Therefore, following periods when inflation has been running below 2 percent, appropriate monetary policy will likely aim to achieve inflation moderately above 2 percent for some time.

Update, 2020-8-28: I should have noted that seeking to “achieve inflation moderately above 2 percent for some time” “inflation that averages 2 percent over time” is known as Price-Level Targetting

This had a moderate effect on the market:

The Fed’s new strategy sent Treasury yields higher, which gave a lift to interest rate-sensitive financials in the U.S.
…
The financial sector provided the biggest boost to the S&P 500 and the Dow, pushing the former to its fifth straight record closing high and the latter within a hair’s breadth of reclaiming positive territory for the year so far.

The Dow remains more than 3.6% below its record high reached in February.

Stocks lost steam late in the session following House of Representatives Speaker Nancy Pelosi issued a statement saying Democrats and Republicans remain far apart over the next stimulus bill.

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 1.1067 % 1,660.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1067 % 3,047.4
Floater 5.03 % 5.10 % 63,948 15.26 3 1.1067 % 1,756.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0297 % 3,528.5
SplitShare 4.68 % 4.42 % 40,906 3.25 8 0.0297 % 4,213.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0297 % 3,287.8
Perpetual-Premium 5.54 % 4.68 % 85,546 3.99 4 0.1089 % 3,106.5
Perpetual-Discount 5.34 % 5.45 % 78,744 14.59 31 0.3259 % 3,415.4
FixedReset Disc 5.44 % 4.22 % 125,418 16.28 67 -0.0711 % 2,102.8
Deemed-Retractible 5.14 % 5.14 % 96,861 14.85 27 0.1146 % 3,351.0
FloatingReset 2.84 % 2.20 % 42,366 1.41 3 0.3781 % 1,810.5
FixedReset Prem 5.25 % 4.08 % 244,169 0.88 11 -0.1398 % 2,619.4
FixedReset Bank Non 1.96 % 2.47 % 127,429 1.40 2 0.1418 % 2,830.9
FixedReset Ins Non 5.73 % 4.46 % 85,979 16.02 22 -0.4942 % 2,100.2
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.32 %
SLF.PR.G FixedReset Ins Non -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.39 %
NA.PR.W FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 4.41 %
TD.PF.I FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.12 %
BAM.PR.Z FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.34 %
MFC.PR.N FixedReset Ins Non -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.28
Evaluated at bid price : 16.28
Bid-YTW : 4.49 %
BAM.PF.B FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.29 %
BMO.PR.W FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.00 %
SLF.PR.I FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.34 %
BAM.PF.H FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 24.02
Evaluated at bid price : 24.75
Bid-YTW : 5.09 %
BAM.PF.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.23 %
IAF.PR.B Deemed-Retractible -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.66
Evaluated at bid price : 21.91
Bid-YTW : 5.23 %
TRP.PR.A FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 5.25 %
BMO.PR.T FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.06 %
GWO.PR.S Deemed-Retractible -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 24.07
Evaluated at bid price : 24.55
Bid-YTW : 5.41 %
BAM.PF.F FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.23 %
BAM.PF.E FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 5.17 %
TD.PF.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 3.95 %
MFC.PR.R FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 23.44
Evaluated at bid price : 23.85
Bid-YTW : 4.44 %
SLF.PR.H FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 4.50 %
MFC.PR.L FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.57 %
BMO.PR.Y FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.11 %
CM.PR.P FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.07 %
TD.PF.B FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 3.97 %
MFC.PR.M FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.51 %
MFC.PR.F FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 4.46 %
TRP.PR.F FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 4.95 %
CM.PR.S FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.02 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 3.86 %
BIP.PR.D FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 5.69 %
TRP.PR.C FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 5.35 %
BIP.PR.E FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.36
Evaluated at bid price : 21.68
Bid-YTW : 5.85 %
BAM.PR.B Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 8.55
Evaluated at bid price : 8.55
Bid-YTW : 5.09 %
BNS.PR.I FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.86 %
BIP.PR.F FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.81
Evaluated at bid price : 22.12
Bid-YTW : 5.85 %
CM.PR.O FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 4.12 %
IFC.PR.C FixedReset Ins Non 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.69 %
BAM.PR.R FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 5.19 %
TD.PF.C FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 3.88 %
BIP.PR.A FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 5.64 %
BAM.PR.X FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 4.97 %
SLF.PR.J FloatingReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 9.75
Evaluated at bid price : 9.75
Bid-YTW : 3.99 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.C Deemed-Retractible 154,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-26
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 2.63 %
BMO.PR.T FixedReset Disc 123,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.06 %
TD.PF.D FixedReset Disc 108,058 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.22 %
TD.PF.A FixedReset Disc 79,926 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.91 %
BAM.PR.K Floater 79,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.10 %
BNS.PR.G FixedReset Prem 59,178 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.47 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.I FixedReset Disc Quote: 21.50 – 22.85
Spot Rate : 1.3500
Average : 0.9334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.12 %
TRP.PR.A FixedReset Disc Quote: 12.65 – 13.55
Spot Rate : 0.9000
Average : 0.5463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 5.25 %
TD.PF.D FixedReset Disc Quote: 19.00 – 20.69
Spot Rate : 1.6900
Average : 1.3598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.22 %
BAM.PR.X FixedReset Disc Quote: 11.45 – 12.50
Spot Rate : 1.0500
Average : 0.7988

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 4.97 %
BMO.PR.W FixedReset Disc Quote: 18.00 – 18.58
Spot Rate : 0.5800
Average : 0.3736

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.00 %
BAM.PR.Z FixedReset Disc Quote: 16.90 – 17.46
Spot Rate : 0.5600
Average : 0.3698

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-27
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.34 %
Issue Comments

RY.PR.W, RY.PR.A, RY.PR.C, RY.PR.E, RY.PR.F & RY.PR.G To Be Redeemed

Royal Bank of Canada has announced:

its intention, subject to the approval of the Office of the Superintendent of Financial Institutions (OSFI), to redeem all of its issued and outstanding Non-Cumulative First Preferred Shares, Series W (Series W Shares), Non-Cumulative First Preferred Shares, Series AA (Series AA Shares), Non-Cumulative First Preferred Shares, Series AC (Series AC Shares), Non-Cumulative First Preferred Shares, Series AE (Series AE Shares), Non-Cumulative First Preferred Shares, Series AF (Series AF Shares), and Non-Cumulative First Preferred Shares, Series AG (Series AG Shares) on October 1, 2020, for cash at a redemption price per Series W, Series AA, Series AC, Series AE, Series AF, and Series AG share, respectively, of $25.00, together with all declared and unpaid dividends.

In addition, the Bank has also declared a 38-day dividend of $0.127534 per Series W share, $0.115822 per Series AA share, $0.119726 per Series AC share, $0.117123 per Series AE share, $0.115822 per Series AF share and $0.117123 per Series AG share covering the period from August 24, 2020 (the date of the last dividend payment), up to but excluding the redemption date of October 1, 2020. This results in a total amount of $25.127534 per Series W share, $25.115822 per Series AA share, $25.119726 per Series AC share, $25.117123 per Series AE share, $25.115822 per Series AF share and $25.117123 per Series AG share, to be paid upon surrender of the Series W shares, Series AA shares, Series AC shares, Series AE shares, Series AF shares, and Series AG shares.

There are 12,000,000 Series W shares outstanding, representing $300 million of capital; 12,000,000 Series AA shares outstanding, representing $300 million of capital; 8,000,000 Series AC shares outstanding, representing $200 million of capital; 10,000,000 Series AE shares outstanding, representing $250 million of capital; 8,000,000 Series AF shares outstanding, representing $200 million of capital and 10,000,000 Series AG shares outstanding, representing $250 million of capital. The redemptions will be financed out of the general corporate funds of Royal Bank of Canada.

RY.PR.W is something of an oddity, as it has a conversion to common provision similar to the ones which were used by CIBC to qualify as NVCC by assigning the right to pull the trigger to OSFI. For this reason the shares were not rated by DBRS. I’m glad that ambiguity has now been resolved!

None of the other issues, RY.PR.A, RY.PR.C, RY.PR.E, RY.PR.F or RY.PR.G, are NVCC-compliant and redemption has been expected for some time. I imagine that this mass redemption was the purpose of the Royal Bank LRCN issue, although they have carefully avoided saying so.

Thanks to Assiduous Reader Tim for bringing this to my attention.