Market Action

November 14, 2019

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1767 % 1,975.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1767 % 3,624.8
Floater 6.12 % 6.31 % 45,324 13.39 4 -0.1767 % 2,089.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0504 % 3,402.4
SplitShare 4.63 % 4.55 % 47,962 3.86 7 -0.0504 % 4,063.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0504 % 3,170.3
Perpetual-Premium 5.56 % -19.46 % 51,656 0.09 10 -0.0941 % 3,032.1
Perpetual-Discount 5.33 % 5.44 % 68,996 14.73 25 -0.0329 % 3,243.9
FixedReset Disc 5.59 % 5.75 % 173,562 14.31 66 -0.3591 % 2,102.7
Deemed-Retractible 5.17 % 5.63 % 62,411 7.79 27 0.0047 % 3,195.1
FloatingReset 6.16 % 6.73 % 102,519 12.82 2 -0.9482 % 2,482.8
FixedReset Prem 5.12 % 3.72 % 125,106 1.61 20 -0.1207 % 2,623.1
FixedReset Bank Non 1.96 % 4.17 % 80,202 2.14 3 0.0691 % 2,692.7
FixedReset Ins Non 5.42 % 8.32 % 114,602 7.78 22 -0.5244 % 2,137.5
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.11 %
BAM.PR.R FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 6.31 %
MFC.PR.F FixedReset Ins Non -2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.67
Bid-YTW : 11.08 %
HSE.PR.E FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.22 %
SLF.PR.G FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.43
Bid-YTW : 10.51 %
SLF.PR.J FloatingReset -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.56
Bid-YTW : 10.63 %
CM.PR.O FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.91 %
HSE.PR.A FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 11.18
Evaluated at bid price : 11.18
Bid-YTW : 7.26 %
GWO.PR.N FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.66
Bid-YTW : 10.01 %
IFC.PR.C FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.51
Bid-YTW : 8.59 %
TRP.PR.B FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 11.19
Evaluated at bid price : 11.19
Bid-YTW : 6.40 %
NA.PR.S FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.82 %
MFC.PR.N FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.62
Bid-YTW : 9.10 %
BIP.PR.E FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 22.20
Evaluated at bid price : 22.68
Bid-YTW : 5.57 %
HSE.PR.C FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.08 %
HSE.PR.G FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.16 %
BAM.PR.X FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.12 %
BIP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.50 %
BAM.PR.T FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 6.30 %
IFC.PR.A FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.40
Bid-YTW : 10.22 %
IFC.PR.F Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.71 %
MFC.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.47 %
TD.PF.J FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 5.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.E FixedReset Prem 96,732 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.70 %
PWF.PR.S Perpetual-Discount 76,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 22.09
Evaluated at bid price : 22.09
Bid-YTW : 5.48 %
MFC.PR.O FixedReset Ins Non 68,754 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.87 %
BAM.PR.B Floater 63,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 6.34 %
TRP.PR.J FixedReset Prem 62,383 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.35 %
MFC.PR.M FixedReset Ins Non 60,712 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 8.88 %
There were 52 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.O FixedReset Disc Quote: 16.38 – 16.74
Spot Rate : 0.3600
Average : 0.2234

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.91 %
SLF.PR.G FixedReset Ins Non Quote: 13.43 – 13.89
Spot Rate : 0.4600
Average : 0.3321

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.43
Bid-YTW : 10.51 %
W.PR.M FixedReset Prem Quote: 25.88 – 26.25
Spot Rate : 0.3700
Average : 0.2686

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 3.54 %
BAM.PR.N Perpetual-Discount Quote: 21.71 – 21.95
Spot Rate : 0.2400
Average : 0.1406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 21.45
Evaluated at bid price : 21.71
Bid-YTW : 5.54 %
TRP.PR.D FixedReset Disc Quote: 16.09 – 16.40
Spot Rate : 0.3100
Average : 0.2143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.09
Evaluated at bid price : 16.09
Bid-YTW : 6.17 %
TRP.PR.E FixedReset Disc Quote: 15.63 – 16.00
Spot Rate : 0.3700
Average : 0.2768

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

IAIS Says No To DeemedRetractions

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

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

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

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

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

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

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

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

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

Quick Facts

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

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

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

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

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

Market Action

November 13, 2019

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2435 % 1,978.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2435 % 3,631.2
Floater 6.11 % 6.30 % 47,122 13.41 4 0.2435 % 2,092.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,404.1
SplitShare 4.63 % 4.54 % 48,678 3.87 7 0.0168 % 4,065.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,171.9
Perpetual-Premium 5.56 % -18.34 % 51,484 0.09 10 0.1060 % 3,034.9
Perpetual-Discount 5.32 % 5.43 % 69,866 14.75 25 0.0121 % 3,245.0
FixedReset Disc 5.57 % 5.75 % 176,255 14.31 66 -0.0637 % 2,110.3
Deemed-Retractible 5.17 % 5.58 % 62,001 7.79 27 -0.0094 % 3,195.0
FloatingReset 6.10 % 10.39 % 68,418 7.89 2 -0.8677 % 2,506.5
FixedReset Prem 5.10 % 3.71 % 146,907 1.62 20 -0.0195 % 2,626.3
FixedReset Bank Non 1.96 % 4.24 % 80,811 2.15 3 0.1383 % 2,690.8
FixedReset Ins Non 5.39 % 8.24 % 114,116 7.79 22 -0.5119 % 2,148.7
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.81 %
TRP.PR.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.52 %
MFC.PR.I FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.09
Bid-YTW : 7.96 %
MFC.PR.F FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.98
Bid-YTW : 10.77 %
TD.PF.E FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.80 %
MFC.PR.L FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.76
Bid-YTW : 8.85 %
SLF.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.27 %
SLF.PR.H FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.31
Bid-YTW : 8.86 %
IFC.PR.A FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.55
Bid-YTW : 10.08 %
PWF.PR.A Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 11.94
Evaluated at bid price : 11.94
Bid-YTW : 5.81 %
BIP.PR.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.42 %
TRP.PR.B FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 11.33
Evaluated at bid price : 11.33
Bid-YTW : 6.31 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 260,201 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 23.02
Evaluated at bid price : 24.55
Bid-YTW : 5.16 %
BMO.PR.D FixedReset Disc 99,878 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.57 %
BAM.PF.B FixedReset Disc 79,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.96 %
CU.PR.I FixedReset Prem 55,936 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.28 %
TD.PF.I FixedReset Disc 50,706 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.45 %
RY.PR.H FixedReset Disc 48,847 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.47 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 23.51 – 24.20
Spot Rate : 0.6900
Average : 0.4749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 5.45 %
BMO.PR.C FixedReset Disc Quote: 22.01 – 22.45
Spot Rate : 0.4400
Average : 0.2996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.49 %
BNS.PR.I FixedReset Disc Quote: 19.35 – 19.93
Spot Rate : 0.5800
Average : 0.4542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.48 %
CU.PR.D Perpetual-Discount Quote: 23.00 – 23.35
Spot Rate : 0.3500
Average : 0.2294

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 5.33 %
TRP.PR.A FixedReset Disc Quote: 13.56 – 13.94
Spot Rate : 0.3800
Average : 0.2668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.52 %
BAM.PF.G FixedReset Disc Quote: 18.00 – 18.36
Spot Rate : 0.3600
Average : 0.2738

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

November 12, 2019

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3109 % 1,974.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3109 % 3,622.4
Floater 6.12 % 6.28 % 43,607 13.44 4 0.3109 % 2,087.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2528 % 3,403.6
SplitShare 4.63 % 4.54 % 49,306 3.87 7 0.2528 % 4,064.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2528 % 3,171.3
Perpetual-Premium 5.57 % -17.64 % 52,173 0.09 10 -0.0745 % 3,031.7
Perpetual-Discount 5.32 % 5.41 % 70,263 14.78 25 0.0191 % 3,244.6
FixedReset Disc 5.57 % 5.73 % 173,476 14.33 66 0.1505 % 2,111.6
Deemed-Retractible 5.17 % 5.64 % 62,983 7.79 27 0.0484 % 3,195.3
FloatingReset 6.05 % 10.29 % 69,143 7.90 2 0.2901 % 2,528.5
FixedReset Prem 5.10 % 3.54 % 148,335 1.62 20 0.0409 % 2,626.8
FixedReset Bank Non 1.97 % 4.30 % 82,064 2.15 3 -0.2070 % 2,687.1
FixedReset Ins Non 5.36 % 8.15 % 113,971 7.80 22 0.4923 % 2,159.8
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 7.21 %
NA.PR.G FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.90 %
TRP.PR.B FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 11.14
Evaluated at bid price : 11.14
Bid-YTW : 6.42 %
BIK.PR.A FixedReset Prem -1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 5.04 %
BAM.PF.F FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.06 %
TD.PF.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.73 %
MFC.PR.G FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 7.77 %
CM.PR.O FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.77 %
SLF.PR.J FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.91
Bid-YTW : 10.29 %
BAM.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 6.27 %
MFC.PR.J FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.82
Bid-YTW : 8.15 %
MFC.PR.I FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 7.74 %
RY.PR.M FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.71 %
IFC.PR.C FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 8.29 %
BAM.PR.R FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
EMA.PR.C FixedReset Disc 57,920 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.07 %
BMO.PR.T FixedReset Disc 50,194 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 5.55 %
CM.PR.O FixedReset Disc 48,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.77 %
CM.PR.S FixedReset Disc 45,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.67 %
TD.PF.K FixedReset Disc 44,977 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.70 %
CM.PR.T FixedReset Disc 38,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 22.72
Evaluated at bid price : 23.79
Bid-YTW : 5.19 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 11.77 – 12.16
Spot Rate : 0.3900
Average : 0.2568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 11.77
Evaluated at bid price : 11.77
Bid-YTW : 5.89 %
EIT.PR.A SplitShare Quote: 25.47 – 25.87
Spot Rate : 0.4000
Average : 0.2726

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 4.54 %
BNS.PR.I FixedReset Disc Quote: 19.30 – 19.74
Spot Rate : 0.4400
Average : 0.3163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.49 %
BAM.PF.G FixedReset Disc Quote: 17.91 – 18.21
Spot Rate : 0.3000
Average : 0.1792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 6.25 %
HSE.PR.E FixedReset Disc Quote: 18.45 – 18.89
Spot Rate : 0.4400
Average : 0.3280

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.04 %
PWF.PR.T FixedReset Disc Quote: 17.40 – 17.66
Spot Rate : 0.2600
Average : 0.1686

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

November PrefLetter Released!

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

PrefLetter may now be purchased by all Canadian residents.

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

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

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

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

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

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

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

Note: Assiduous Reader DG informs me:

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

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

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

But Adrian2 now advises:

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

Market Action

November 7, 2019

Here’s a phrase you don’t see very often: hard-working traders!

A proposal to shorten trading hours on Europe’s stock exchanges could help to boost liquidity and would have far-reaching benefits for the industry’s hard-working traders.

But a proposed 90 minute reduction in the trading day could also drive some business away from Europe’s main stock exchanges into so-called dark pools, trading venues which are less transparent and which regulators have been trying to curb.

Banks and fund managers on Thursday have proposed shortening the trading day in Europe to 7 hours from current 8-1/2 — one of the longest in the world.

I don’t understand why exchanges ever close in this day and age, frankly.

Ontario is going to review the Securities Act:

The fall statement acknowledged that the Securities Act is “outdated, and should support modern capital markets.”

“Ontario will undertake measures to create a modernized securities regulatory framework that is responsive to innovation and changes in a rapidly evolving marketplace,” the statement said. “Accordingly, the government will establish a securities modernization task force.”
…
The Securities Act requires that the Minister of Finance appoint an advisory committee to review securities legislation every five years. However, the most recent such review finished in March 2003, when a committee chaired by Purdy Crawford released a comprehensive report.

The act also requires that the finance minister and the OSC review their memorandum of understanding (MOU), which sets out both parties’ respective roles and responsibilities, every five years. The parties have not formally reviewed the current MOU since November 2009.

Yields popped:

U.S. Treasury yields surged to more than three-month highs on Thursday, exaggerated by technical factors, as reports that a U.S.-China agreement to roll back trade tariffs boosted global economic growth expectations.

Tariffs imposed during the months-long bilateral trade war will be phased out, the Chinese commerce ministry said on Thursday, without specifying a timetable.

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 0.7084 % 1,988.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7084 % 3,648.0
Floater 6.08 % 6.24 % 46,889 13.50 4 0.7084 % 2,102.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1405 % 3,397.5
SplitShare 4.64 % 4.56 % 51,807 3.88 7 0.1405 % 4,057.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1405 % 3,165.7
Perpetual-Premium 5.56 % -18.51 % 51,709 0.09 10 0.0353 % 3,034.6
Perpetual-Discount 5.33 % 5.43 % 70,749 14.75 25 -0.1421 % 3,240.1
FixedReset Disc 5.58 % 5.72 % 175,955 14.30 66 0.7753 % 2,107.8
Deemed-Retractible 5.17 % 5.64 % 64,298 7.80 27 0.0861 % 3,191.1
FloatingReset 6.13 % 6.69 % 93,310 12.88 2 1.2213 % 2,500.1
FixedReset Prem 5.11 % 3.78 % 153,368 1.63 20 0.1444 % 2,622.9
FixedReset Bank Non 1.96 % 4.10 % 89,570 2.16 3 0.0000 % 2,695.7
FixedReset Ins Non 5.40 % 8.24 % 112,549 7.79 22 0.4364 % 2,143.0
Performance Highlights
Issue Index Change Notes
BAM.PR.M Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.65 %
CU.PR.D Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 5.32 %
TRP.PR.G FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.33 %
NA.PR.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.74 %
RY.PR.J FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.79 %
BNS.PR.I FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.51 %
NA.PR.W FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 5.87 %
BAM.PF.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 6.25 %
BAM.PF.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.92 %
SLF.PR.H FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.79 %
RY.PR.M FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.74 %
CU.PR.C FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 5.69 %
MFC.PR.N FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.70
Bid-YTW : 8.99 %
CM.PR.Q FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.97 %
SLF.PR.J FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.66
Bid-YTW : 10.52 %
HSE.PR.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.98 %
NA.PR.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.78 %
TRP.PR.F FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 6.69 %
BIP.PR.A FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.56 %
PWF.PR.P FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 5.88 %
TRP.PR.D FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 6.07 %
TD.PF.E FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.76 %
HSE.PR.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 7.13 %
EMA.PR.F FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 6.32 %
BMO.PR.Y FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.56 %
HSE.PR.G FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.10 %
RY.PR.S FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 5.40 %
BAM.PF.F FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.98 %
IFC.PR.A FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.85
Bid-YTW : 9.78 %
MFC.PR.F FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.20
Bid-YTW : 10.51 %
BAM.PR.X FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.98 %
SLF.PR.G FixedReset Ins Non 2.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.23 %
TRP.PR.E FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.07 %
TRP.PR.C FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 6.35 %
BAM.PR.K Floater 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 11.23
Evaluated at bid price : 11.23
Bid-YTW : 6.24 %
HSE.PR.A FixedReset Disc 4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 11.66
Evaluated at bid price : 11.66
Bid-YTW : 6.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 104,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 5.69 %
TD.PF.I FixedReset Disc 62,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 5.50 %
PWF.PR.P FixedReset Disc 41,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 5.88 %
TD.PF.J FixedReset Disc 34,255 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.67 %
BMO.PR.C FixedReset Disc 32,577 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 5.44 %
TRP.PR.C FixedReset Disc 32,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 6.35 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 16.35 – 16.95
Spot Rate : 0.6000
Average : 0.4010

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.79 %
MFC.PR.G FixedReset Ins Non Quote: 18.82 – 19.24
Spot Rate : 0.4200
Average : 0.2760

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.82
Bid-YTW : 8.00 %
CU.PR.F Perpetual-Discount Quote: 21.25 – 21.74
Spot Rate : 0.4900
Average : 0.3677

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.31 %
BAM.PF.E FixedReset Disc Quote: 16.66 – 16.97
Spot Rate : 0.3100
Average : 0.1907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 6.25 %
TD.PF.C FixedReset Disc Quote: 16.96 – 17.29
Spot Rate : 0.3300
Average : 0.2114

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 5.63 %
SLF.PR.G FixedReset Ins Non Quote: 13.67 – 14.06
Spot Rate : 0.3900
Average : 0.2728

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.23 %
Market Action

November 6, 2019

Another bubble has burst:

A real estate developer who raised tens of millions of dollars from dozens of individual investors bundled into syndicated mortgages to fund Toronto-area condominium buildings is facing an investor revolt on one project and insolvency on another.

Dimitrios (Jim) Neilas, chief executive officer of Storey Living Inc., is facing legal fights on two fronts as projects he has pushed – known as the Adelaide Lofts in downtown Toronto and the OpArt condos in Oakville – are now subject to court actions from creditors seeking to sell land parcels that he had hoped to make into condominium or rental properties. At stake are millions of dollars for small investors whose loans are not registered and not protected in an insolvency process, or in the settlement deals proposed by the debtors.
…
Noor Al-Awqati, the chief operating officer of Hi-Rise Capital Ltd. and principal mortgage broker for the company, denied some of [Ontario’s Superintendent of Financial Services’] claims in an April 3, 2019 affidavit, saying Hi-Rise has received no fees from the Adelaide project since at least September, 2017. He admits to the 14 per cent commission paid on the initial investments, but said Hi-Rise transferred 10 or 12 per cent of each commission to third-parties who referred the investors.

What a great business, eh? 14% commission!

The Ontario Ministry of Finance has announced:

As dividends are paid out of after‐tax corporate earnings, individual shareholders receive dividend tax credits, the rate of which approximates the CIT rate paid by the corporation. Corresponding to the reduction in the small business CIT rate, Ontario’s small business (non‐eligible) dividend tax credit rate would be reduced from 3.2863 per cent to 2.9863 per cent, effective January 1, 2020. As a result, recipients of non‐eligible dividends would receive reduced dividend tax credits.

Apparently (see the Annex) this will raise 55-million annually once it’s running, about 60% of the cost of reducing the small business CIT rate.

PerpetualDiscounts now yield 5.44%, equivalent to 7.07% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.34%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened sharply to 375bp from the 355bp reported October 30.

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 -0.1327 % 1,974.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1327 % 3,622.4
Floater 6.12 % 6.26 % 48,406 13.48 4 -0.1327 % 2,087.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1689 % 3,392.7
SplitShare 4.64 % 4.64 % 51,675 3.89 7 0.1689 % 4,051.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1689 % 3,161.2
Perpetual-Premium 5.56 % -18.68 % 52,086 0.09 10 0.2045 % 3,033.5
Perpetual-Discount 5.32 % 5.44 % 67,719 14.74 25 0.0727 % 3,244.7
FixedReset Disc 5.62 % 5.76 % 173,571 14.24 66 -0.2244 % 2,091.6
Deemed-Retractible 5.18 % 5.64 % 64,089 7.81 27 0.0626 % 3,188.4
FloatingReset 6.21 % 6.78 % 94,392 12.78 2 -0.2216 % 2,470.0
FixedReset Prem 5.12 % 3.75 % 152,371 1.63 20 -0.0407 % 2,619.1
FixedReset Bank Non 1.96 % 3.94 % 90,929 2.16 3 -0.2064 % 2,695.7
FixedReset Ins Non 5.43 % 8.21 % 111,656 7.80 22 -0.0966 % 2,133.7
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 11.71
Evaluated at bid price : 11.71
Bid-YTW : 6.51 %
BAM.PR.K Floater -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 10.92
Evaluated at bid price : 10.92
Bid-YTW : 6.42 %
TRP.PR.E FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 6.22 %
IFC.PR.A FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.56
Bid-YTW : 10.03 %
TD.PF.I FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 5.53 %
MFC.PR.R FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.31
Bid-YTW : 5.71 %
PWF.PR.P FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 5.96 %
NA.PR.S FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 17.14
Evaluated at bid price : 17.14
Bid-YTW : 5.81 %
TD.PF.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 5.84 %
TRP.PR.D FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 16.04
Evaluated at bid price : 16.04
Bid-YTW : 6.16 %
BAM.PR.B Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 6.26 %
IFC.PR.E Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.62 %
NA.PR.G FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.80 %
BMO.PR.Y FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.65 %
CU.PR.C FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.E Perpetual-Discount 330,524 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 22.62
Evaluated at bid price : 22.90
Bid-YTW : 5.34 %
BAM.PR.X FixedReset Disc 223,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 6.10 %
SLF.PR.D Deemed-Retractible 53,386 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.68 %
IFC.PR.G FixedReset Ins Non 53,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.43
Bid-YTW : 8.45 %
EMA.PR.H FixedReset Disc 42,420 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 23.26
Evaluated at bid price : 24.95
Bid-YTW : 4.83 %
GWO.PR.S Deemed-Retractible 39,920 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.59 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.I Deemed-Retractible Quote: 21.23 – 21.65
Spot Rate : 0.4200
Average : 0.2829

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 6.65 %
CCS.PR.C Deemed-Retractible Quote: 23.91 – 24.58
Spot Rate : 0.6700
Average : 0.5369

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.67 %
TRP.PR.E FixedReset Disc Quote: 15.62 – 16.11
Spot Rate : 0.4900
Average : 0.3624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 6.22 %
PWF.PR.L Perpetual-Discount Quote: 23.42 – 23.83
Spot Rate : 0.4100
Average : 0.3007

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 23.16
Evaluated at bid price : 23.42
Bid-YTW : 5.47 %
TRP.PR.F FloatingReset Quote: 13.52 – 13.95
Spot Rate : 0.4300
Average : 0.3245

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 6.78 %
BIP.PR.E FixedReset Disc Quote: 22.66 – 22.94
Spot Rate : 0.2800
Average : 0.1805

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 22.18
Evaluated at bid price : 22.66
Bid-YTW : 5.57 %
Issue Comments

FTS.PR.M To Reset At 3.913%

Fortis Inc. has announced that it (on November 1, although only on its share information page, not as a press release):

provides notice to the holders of its Cumulative Redeemable Fixed Rate Reset First Preference Shares, Series M of the Corporation (the “Series M Shares”) of the following dividend rates, in each case payable if, as and when declared by the Board of Directors of the Corporation:

i. $0.2445625 per Series M Share, being the fixed dividend rate payable quarterly on the first day of March, June, September and December of each year during the five-year period from and including December 1, 2019 to but excluding December 1, 2024; and

ii. $0.25816575 per share on the Cumulative Redeemable Floating Rate First Preference Shares, Series N of the Corporation (the “Series N Shares”), being the floating dividend rate applicable to the Series N Shares for the 3-month period from and including December 1, 2019 and ending on and including February 29, 2020, in each case determined in accordance with the corresponding rights, privileges, conditions and restrictions attached to the Series M Shares and Series N Shares, respectively, as a class, as set out in the short form prospectus of the Corporation dated September 11, 2014 relating to the issuance of the Series M Shares.

Beneficial owners of Series M Shares wishing to convert to Series N Shares should communicate with their broker or other nominee to obtain instructions for exercising such right during the conversion period, which runs from November 1, 2019, until 5:00 p.m. (EST) on November 18, 2019.

Inquiries should be directed to Ms. Karen Gosse, Vice President, Treasury and Planning, Fortis at 709.737.2865.

FTS.PR.M is a FixedReset, 4.10%+248, that commenced trading 2014-9-19 after being announced and supersized 2014-9-3. The issue is tracked by HIMIPref™ but is relegated to the Scraps – FixedResets (Discount) subindex.

Note that the reset rate is inconsistent with the rate for ENB.PF.A and the rate for PPL.PR.G; it has been shown on PrefBlog that FixedReset Prospectuses Are Imprecise!

I am pleased to note that Fortis has reconsidered its previous policy of selective disclosure.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., FTS.PR.M and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated). Inspection of the graph and the overall average break-even rates for extant pairs will provide a guide for estimating the break-even rate for the pair now under consideration assuming, of course, that enough conversions occur so that the pair is in fact created.

pairs_fr_191105
Click for Big

The market has lost enthusiasm for floating rate product; the implied rates until the next interconversion are generally well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.47% and +1.44%, respectively, after removal of the outlying pair FFH.PR.C / FFH.PR.D from the junk group. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the FTS.PR.M FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for FTS.PR.M) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
FTS.PR.M 17.31 248bp 17.38 16.88 16.39

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, FTS.PR.M. Therefore, it seems likely that I will recommend that holders of FTS.PR.M continue to hold the issue and not to convert, but I will wait until it’s closer to the November 18 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Market Action

November 5, 2019

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.5036 % 1,976.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5036 % 3,627.2
Floater 6.11 % 6.28 % 46,103 13.45 4 1.5036 % 2,090.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0225 % 3,387.0
SplitShare 4.65 % 4.68 % 51,907 3.89 7 0.0225 % 4,044.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0225 % 3,155.9
Perpetual-Premium 5.57 % -19.29 % 54,016 0.09 10 -0.1217 % 3,027.3
Perpetual-Discount 5.31 % 5.42 % 64,140 14.73 25 -0.0017 % 3,242.3
FixedReset Disc 5.61 % 5.74 % 172,927 14.28 66 0.6259 % 2,096.3
Deemed-Retractible 5.18 % 5.65 % 65,479 7.81 27 0.0235 % 3,186.4
FloatingReset 6.19 % 6.72 % 95,852 12.85 2 1.0448 % 2,475.4
FixedReset Prem 5.11 % 3.77 % 129,102 1.64 20 0.1914 % 2,620.2
FixedReset Bank Non 1.96 % 3.92 % 91,622 2.17 3 0.3036 % 2,701.2
FixedReset Ins Non 5.42 % 8.27 % 113,118 7.81 22 0.2707 % 2,135.8
Performance Highlights
Issue Index Change Notes
BAM.PF.J FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 23.28
Evaluated at bid price : 24.80
Bid-YTW : 4.75 %
BAM.PR.X FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.06 %
PWF.PR.A Floater 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 5.84 %
BMO.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.56 %
BIK.PR.A FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 4.61 %
IAF.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.12
Bid-YTW : 7.64 %
TRP.PR.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 6.37 %
BAM.PR.R FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.22 %
HSE.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 7.11 %
HSE.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 7.18 %
TRP.PR.A FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 13.79
Evaluated at bid price : 13.79
Bid-YTW : 6.36 %
BIP.PR.D FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 22.64
Evaluated at bid price : 23.20
Bid-YTW : 5.73 %
BAM.PF.B FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.98 %
HSE.PR.E FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 7.24 %
BAM.PR.T FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 15.44
Evaluated at bid price : 15.44
Bid-YTW : 6.22 %
BAM.PR.K Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 6.28 %
BAM.PR.B Floater 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 6.33 %
MFC.PR.L FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.56
Bid-YTW : 8.97 %
TRP.PR.G FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.36 %
TRP.PR.F FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 6.72 %
BAM.PR.Z FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.99 %
PWF.PR.T FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.88 %
BAM.PF.A FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.95 %
BAM.PR.C Floater 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 6.30 %
PWF.PR.P FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 13.19
Evaluated at bid price : 13.19
Bid-YTW : 5.89 %
IFC.PR.A FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.85
Bid-YTW : 9.77 %
TRP.PR.C FixedReset Disc 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 12.09
Evaluated at bid price : 12.09
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
EMA.PR.H FixedReset Disc 91,814 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 23.22
Evaluated at bid price : 24.85
Bid-YTW : 4.85 %
GWO.PR.H Deemed-Retractible 89,643 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.74
Bid-YTW : 6.15 %
CM.PR.T FixedReset Disc 55,381 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 22.73
Evaluated at bid price : 23.81
Bid-YTW : 5.16 %
BAM.PR.B Floater 48,359 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 6.33 %
PWF.PR.P FixedReset Disc 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 13.19
Evaluated at bid price : 13.19
Bid-YTW : 5.89 %
IFC.PR.G FixedReset Ins Non 35,678 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.41
Bid-YTW : 8.46 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.I FixedReset Disc Quote: 19.00 – 19.41
Spot Rate : 0.4100
Average : 0.2828

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.55 %
CM.PR.Y FixedReset Disc Quote: 24.64 – 24.95
Spot Rate : 0.3100
Average : 0.1939

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 23.05
Evaluated at bid price : 24.64
Bid-YTW : 5.18 %
CU.PR.C FixedReset Disc Quote: 16.76 – 17.27
Spot Rate : 0.5100
Average : 0.4171

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.86 %
BAM.PF.F FixedReset Disc Quote: 17.72 – 18.20
Spot Rate : 0.4800
Average : 0.3890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.14 %
BNS.PR.Z FixedReset Bank Non Quote: 24.22 – 24.49
Spot Rate : 0.2700
Average : 0.1879

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 3.92 %
CM.PR.Q FixedReset Disc Quote: 17.97 – 18.22
Spot Rate : 0.2500
Average : 0.1705

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 6.02 %
Market Action

November 4, 2019

rainbow_191104
Click for Big

TXPR closed at 602.55, up 0.55% on the day. Volume was 2.70-million, behind only October 18 and October 11 in the past thirty days.

CPD closed at 12.05, up 0.42% on the day. Volume of 165,979 was the highest of the past 30 days, well ahead of second-place October 21.

ZPR closed at 9.62, up 0.63% on the day. Volume of 303,104 was second-highest of the past 30 days, just a whisker behind October 30.

Five-year Canada yields were up 8bp to 1.54% 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 1.5265 % 1,947.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5265 % 3,573.4
Floater 6.21 % 6.37 % 46,330 13.33 4 1.5265 % 2,059.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1410 % 3,386.2
SplitShare 4.65 % 4.68 % 51,758 3.89 7 0.1410 % 4,043.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1410 % 3,155.2
Perpetual-Premium 5.57 % -17.73 % 55,517 0.09 10 0.0354 % 3,031.0
Perpetual-Discount 5.31 % 5.42 % 64,619 14.73 25 0.1941 % 3,242.4
FixedReset Disc 5.64 % 5.79 % 175,522 14.24 66 0.6173 % 2,083.2
Deemed-Retractible 5.18 % 5.67 % 64,591 7.81 27 0.1302 % 3,185.6
FloatingReset 6.26 % 6.84 % 73,469 7.86 2 -0.1862 % 2,449.8
FixedReset Prem 5.12 % 3.84 % 156,480 1.64 20 0.2271 % 2,615.2
FixedReset Bank Non 1.96 % 4.11 % 91,140 2.17 3 -0.0276 % 2,693.1
FixedReset Ins Non 5.44 % 8.20 % 113,687 7.78 22 0.9781 % 2,130.0
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.80 %
PWF.PR.A Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 11.73
Evaluated at bid price : 11.73
Bid-YTW : 5.91 %
SLF.PR.G FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.34
Bid-YTW : 10.53 %
BAM.PR.R FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 6.30 %
IFC.PR.F Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.64 %
RY.PR.M FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.80 %
TD.PF.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.66 %
NA.PR.S FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.78 %
NA.PR.W FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 5.93 %
BAM.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 6.31 %
CU.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.85 %
TD.PF.D FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.79 %
BAM.PR.C Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 6.43 %
TRP.PR.G FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 6.47 %
MFC.PR.J FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 8.20 %
BAM.PF.F FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 6.10 %
IFC.PR.G FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 8.46 %
MFC.PR.R FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 5.53 %
EMA.PR.F FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.39 %
TRP.PR.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.03 %
HSE.PR.A FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 7.26 %
PWF.PR.P FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 6.02 %
BAM.PR.X FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 6.12 %
BAM.PF.G FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 6.27 %
IAF.PR.G FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.79 %
MFC.PR.F FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.84
Bid-YTW : 10.85 %
IFC.PR.A FixedReset Ins Non 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.48
Bid-YTW : 10.10 %
BAM.PR.K Floater 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 6.37 %
BAM.PR.Z FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 6.10 %
BAM.PF.E FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 6.37 %
BAM.PR.B Floater 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 10.92
Evaluated at bid price : 10.92
Bid-YTW : 6.42 %
SLF.PR.H FixedReset Ins Non 1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.07
Bid-YTW : 9.00 %
BNS.PR.I FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 5.59 %
MFC.PR.N FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 9.06 %
HSE.PR.C FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 7.20 %
HSE.PR.G FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.28 %
MFC.PR.I FixedReset Ins Non 3.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.A Deemed-Retractible 93,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.36
Bid-YTW : 6.26 %
EMA.PR.H FixedReset Disc 87,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 23.24
Evaluated at bid price : 24.90
Bid-YTW : 4.84 %
MFC.PR.F FixedReset Ins Non 69,720 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.84
Bid-YTW : 10.85 %
SLF.PR.D Deemed-Retractible 42,242 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.07
Bid-YTW : 6.69 %
GWO.PR.N FixedReset Ins Non 39,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.79
Bid-YTW : 9.84 %
CM.PR.R FixedReset Disc 37,322 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.76 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 13.41 – 13.97
Spot Rate : 0.5600
Average : 0.3550

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 6.12 %
BAM.PF.A FixedReset Disc Quote: 19.20 – 19.75
Spot Rate : 0.5500
Average : 0.3597

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.06 %
IFC.PR.A FixedReset Ins Non Quote: 14.48 – 14.99
Spot Rate : 0.5100
Average : 0.3397

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.48
Bid-YTW : 10.10 %
IAF.PR.G FixedReset Ins Non Quote: 18.90 – 19.39
Spot Rate : 0.4900
Average : 0.3230

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.79 %
CU.PR.C FixedReset Disc Quote: 16.77 – 17.20
Spot Rate : 0.4300
Average : 0.3153

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.85 %
EMA.PR.C FixedReset Disc Quote: 17.53 – 17.99
Spot Rate : 0.4600
Average : 0.3523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 6.18 %