January 15, 2019

January 15th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -3.0500 % 2,461.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.0500 % 4,515.9
Floater 4.75 % 5.07 % 36,238 15.39 4 -3.0500 % 2,602.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0473 % 3,199.0
SplitShare 4.65 % 4.97 % 97,306 4.51 6 -0.0473 % 3,820.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0473 % 2,980.7
Perpetual-Premium 5.57 % -9.29 % 169,040 0.08 2 0.1986 % 2,889.7
Perpetual-Discount 5.61 % 5.67 % 76,924 14.29 33 0.2517 % 2,973.5
FixedReset Disc 4.94 % 5.36 % 203,382 14.97 66 -0.6388 % 2,284.4
Deemed-Retractible 5.35 % 6.28 % 85,187 8.20 27 0.1507 % 2,956.9
FloatingReset 4.05 % 4.19 % 40,438 2.91 7 -0.7085 % 2,486.0
FixedReset Prem 5.17 % 4.35 % 260,793 2.20 14 -0.1868 % 2,526.7
FixedReset Bank Non 2.98 % 3.45 % 121,696 0.11 6 -0.3776 % 2,572.8
FixedReset Ins Non 4.86 % 6.43 % 140,568 8.40 22 -1.8096 % 2,261.3
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset Ins Non -15.71 % A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 4,970 shares today in a range of 20.30-60 before being quoted at 17.17-20.50. The closing price was 20.30.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.17
Bid-YTW : 8.86 %

GWO.PR.N FixedReset Ins Non -10.61 % A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 3,627 shares today in a range of 15.17-54 before being quoted at 13.90-1542. The closing price was 15.26.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.90
Bid-YTW : 9.60 %

BAM.PR.B Floater -5.38 % A suspicious quote provided at high cost by Nonsense Central, as the issue traded 3,596 shares today in a range of 13.52-00 before being quoted at 13.20-00. The closing price was 13.73.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 5.28 %

BAM.PR.T FixedReset Disc -4.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.83 %
MFC.PR.I FixedReset Ins Non -4.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.16
Bid-YTW : 6.65 %
TRP.PR.F FloatingReset -3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.48 %
TRP.PR.E FixedReset Disc -3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.81 %
HSE.PR.G FixedReset Disc -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.65 %
TD.PF.J FixedReset Disc -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 21.85
Evaluated at bid price : 22.25
Bid-YTW : 5.17 %
BMO.PR.Y FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.40 %
TRP.PR.G FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.90 %
PWF.PR.A Floater -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.00 %
TRP.PR.D FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.86 %
RY.PR.J FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 5.37 %
RY.PR.M FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 5.31 %
BAM.PR.K Floater -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 13.72
Evaluated at bid price : 13.72
Bid-YTW : 5.08 %
BMO.PR.W FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.25 %
BAM.PR.R FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.67 %
MFC.PR.H FixedReset Ins Non -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.59
Bid-YTW : 6.06 %
PWF.PR.P FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 5.48 %
BAM.PR.C Floater -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.07 %
TD.PF.C FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.23 %
PWF.PR.Q FloatingReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.03 %
TD.PF.D FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 21.37
Evaluated at bid price : 21.68
Bid-YTW : 5.28 %
MFC.PR.F FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.68
Bid-YTW : 9.00 %
CM.PR.O FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 5.31 %
MFC.PR.G FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.78 %
HSE.PR.C FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.32 %
HSE.PR.A FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.42 %
BMO.PR.Q FixedReset Bank Non -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 5.34 %
BAM.PR.X FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.36 %
CM.PR.S FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.17 %
TRP.PR.H FloatingReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 5.40 %
RY.PR.Z FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.05 %
PWF.PR.T FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.41 %
IAF.PR.G FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.22
Bid-YTW : 6.36 %
BAM.PF.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 5.46 %
BAM.PF.B FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.50 %
BMO.PR.Z Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 24.23
Evaluated at bid price : 24.72
Bid-YTW : 5.11 %
TD.PF.B FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.17 %
TRP.PR.B FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.73 %
POW.PR.G Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 23.89
Evaluated at bid price : 24.40
Bid-YTW : 5.75 %
BAM.PF.D Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 21.80
Evaluated at bid price : 21.80
Bid-YTW : 5.68 %
SLF.PR.J FloatingReset 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.42
Bid-YTW : 8.48 %
GWO.PR.Q Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.84
Bid-YTW : 6.32 %
IAF.PR.B Deemed-Retractible 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 6.30 %
BAM.PR.M Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 5.76 %
BMO.PR.E FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 22.72
Evaluated at bid price : 23.86
Bid-YTW : 4.92 %
BAM.PF.A FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 22.32
Evaluated at bid price : 23.05
Bid-YTW : 5.27 %
PWF.PR.Z Perpetual-Discount 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 22.27
Evaluated at bid price : 22.60
Bid-YTW : 5.70 %
CU.PR.G Perpetual-Discount 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 113,354 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 22.57
Evaluated at bid price : 23.33
Bid-YTW : 5.42 %
TRP.PR.K FixedReset Disc 65,946 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.66 %
BNS.PR.E FixedReset Prem 53,121 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.07 %
EMA.PR.H FixedReset Disc 50,255 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 22.88
Evaluated at bid price : 24.16
Bid-YTW : 5.08 %
BAM.PR.Z FixedReset Disc 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 22.03
Evaluated at bid price : 22.50
Bid-YTW : 5.36 %
TD.PF.G FixedReset Prem 42,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.30 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 17.17 – 20.50
Spot Rate : 3.3300
Average : 2.0194

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.17
Bid-YTW : 8.86 %

MFC.PR.Q FixedReset Ins Non Quote: 21.50 – 24.97
Spot Rate : 3.4700
Average : 2.3945

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 6.43 %

GWO.PR.N FixedReset Ins Non Quote: 13.90 – 15.42
Spot Rate : 1.5200
Average : 0.8475

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.90
Bid-YTW : 9.60 %

IFC.PR.C FixedReset Ins Non Quote: 19.38 – 20.40
Spot Rate : 1.0200
Average : 0.5969

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.38
Bid-YTW : 7.22 %

HSE.PR.G FixedReset Disc Quote: 20.25 – 21.20
Spot Rate : 0.9500
Average : 0.5995

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.65 %

BMO.PR.Y FixedReset Disc Quote: 21.21 – 22.25
Spot Rate : 1.0400
Average : 0.7154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-15
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.40 %

January 14, 2019

January 14th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 6.0445 % 2,538.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 6.0445 % 4,658.0
Floater 4.61 % 4.96 % 37,578 15.59 4 6.0445 % 2,684.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2694 % 3,200.5
SplitShare 4.65 % 4.89 % 92,249 4.52 6 -0.2694 % 3,822.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2694 % 2,982.1
Perpetual-Premium 5.59 % 5.27 % 93,111 14.94 2 0.0199 % 2,884.0
Perpetual-Discount 5.62 % 5.72 % 77,255 14.29 33 0.4941 % 2,966.1
FixedReset Disc 4.91 % 5.33 % 204,209 14.99 66 0.0229 % 2,299.1
Deemed-Retractible 5.36 % 6.24 % 85,702 8.20 27 0.4231 % 2,952.4
FloatingReset 4.02 % 4.14 % 40,233 2.91 7 0.0665 % 2,503.8
FixedReset Prem 5.16 % 4.28 % 260,082 2.21 14 -0.0251 % 2,531.4
FixedReset Bank Non 2.97 % 3.63 % 125,992 0.11 6 -0.2876 % 2,582.6
FixedReset Ins Non 4.78 % 6.21 % 143,358 8.43 22 1.1189 % 2,303.0
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 6.55 %
TRP.PR.G FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 5.74 %
SLF.PR.J FloatingReset -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.24
Bid-YTW : 8.61 %
NA.PR.G FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 5.10 %
BAM.PF.A FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.12
Evaluated at bid price : 22.70
Bid-YTW : 5.36 %
RY.PR.S FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.18
Evaluated at bid price : 22.85
Bid-YTW : 4.88 %
TD.PF.I FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.24
Evaluated at bid price : 22.80
Bid-YTW : 5.25 %
BMO.PR.E FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.55
Evaluated at bid price : 23.50
Bid-YTW : 5.01 %
NA.PR.S FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.32 %
TD.PF.J FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.27
Evaluated at bid price : 22.91
Bid-YTW : 5.00 %
BMO.PR.S FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.22 %
TD.PF.A FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.15 %
EMA.PR.H FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.84
Evaluated at bid price : 24.08
Bid-YTW : 5.10 %
MFC.PR.Q FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.56
Bid-YTW : 6.39 %
BMO.PR.Q FixedReset Bank Non -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 4.81 %
EIT.PR.B SplitShare -1.26 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 5.40 %
BAM.PF.F FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.63 %
CM.PR.Q FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.36 %
CU.PR.I FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.27 %
RY.PR.M FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.17 %
SLF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.62
Bid-YTW : 8.46 %
NA.PR.W FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 5.39 %
SLF.PR.A Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 6.49 %
CCS.PR.C Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.34 %
TRP.PR.H FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.32 %
BAM.PR.R FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.55 %
PWF.PR.H Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 24.65
Evaluated at bid price : 24.91
Bid-YTW : 5.78 %
IFC.PR.E Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.12 %
TRP.PR.B FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.67 %
MFC.PR.I FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.16
Bid-YTW : 6.09 %
MFC.PR.H FixedReset Ins Non 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.79 %
BAM.PF.G FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.63 %
BIP.PR.D FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.88
Evaluated at bid price : 23.87
Bid-YTW : 5.80 %
CU.PR.D Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.07
Evaluated at bid price : 22.39
Bid-YTW : 5.54 %
TRP.PR.F FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.28 %
BIP.PR.A FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 21.36
Evaluated at bid price : 21.66
Bid-YTW : 6.23 %
PWF.PR.E Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 23.69
Evaluated at bid price : 23.99
Bid-YTW : 5.74 %
BAM.PR.M Perpetual-Discount 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.85 %
BAM.PR.X FixedReset Disc 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.28 %
GWO.PR.S Deemed-Retractible 3.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.91 %
BAM.PR.K Floater 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 4.96 %
BAM.PR.C Floater 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 14.03
Evaluated at bid price : 14.03
Bid-YTW : 4.97 %
BAM.PR.Z FixedReset Disc 4.19 % Just a reversal of Friday‘s nonsense.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 21.97
Evaluated at bid price : 22.40
Bid-YTW : 5.39 %

PWF.PR.P FixedReset Disc 4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 5.37 %
BAM.PR.T FixedReset Disc 4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 5.56 %
MFC.PR.K FixedReset Ins Non 5.98 % Just a reversal of Friday‘s nonsense.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.37
Bid-YTW : 6.74 %

MFC.PR.L FixedReset Ins Non 6.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.16 %
PWF.PR.A Floater 7.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 3.89 %
VNR.PR.A FixedReset Disc 9.20 % Just a reversal of Friday‘s nonsense.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 5.37 %

MFC.PR.M FixedReset Ins Non 9.48 % Just a reversal of Friday‘s nonsense.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.09
Bid-YTW : 6.84 %

BAM.PR.B Floater 9.76 % Just a reversal of Friday‘s nonsense.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.00 %

TD.PF.B FixedReset Disc 12.83 % Just a reversal of Friday‘s nonsense.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.12 %

Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Y FixedReset Bank Non 195,864 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 3.88 %
BMO.PR.C FixedReset Disc 170,273 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.85
Evaluated at bid price : 23.84
Bid-YTW : 5.34 %
TD.PF.I FixedReset Disc 108,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.24
Evaluated at bid price : 22.80
Bid-YTW : 5.25 %
CM.PR.S FixedReset Disc 81,992 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.10 %
CM.PR.R FixedReset Disc 69,809 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.57
Evaluated at bid price : 23.34
Bid-YTW : 5.41 %
NA.PR.X FixedReset Prem 67,172 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.49
Bid-YTW : 4.51 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.G FixedReset Disc Quote: 23.00 – 23.55
Spot Rate : 0.5500
Average : 0.3328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 5.10 %

TRP.PR.G FixedReset Disc Quote: 20.86 – 21.42
Spot Rate : 0.5600
Average : 0.3501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 5.74 %

BAM.PF.A FixedReset Disc Quote: 22.70 – 23.25
Spot Rate : 0.5500
Average : 0.3407

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 22.12
Evaluated at bid price : 22.70
Bid-YTW : 5.36 %

CU.PR.I FixedReset Disc Quote: 25.70 – 26.25
Spot Rate : 0.5500
Average : 0.3851

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.27 %

HSE.PR.E FixedReset Disc Quote: 20.71 – 21.19
Spot Rate : 0.4800
Average : 0.3323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 6.55 %

BMO.PR.T FixedReset Disc Quote: 20.25 – 20.65
Spot Rate : 0.4000
Average : 0.2638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-14
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.15 %

New Issue: CM FixedReset, 5.20%+331, NVCC-compliant

January 14th, 2019

The Canadian Imperial Bank of Commerce has announced:

that it had entered into an agreement with a group of underwriters led by CIBC Capital Markets for an issue of 10 million Basel III-compliant Non-cumulative Rate Reset Class A Preferred Shares Series 49 (Non-Viability Contingent Capital (NVCC)) (the “Series 49 Shares”) priced at $25.00 per Series 49 Share to raise gross proceeds of $250 million.

CIBC has granted the underwriters an option to purchase up to an additional 2 million Series 49 Shares at the same offering price, exercisable at any time up to two days prior to closing. Should the underwriters’ option be fully exercised, the total gross proceeds of the financing will be $300 million.

The Series 49 Shares will yield 5.20% per annum, payable quarterly, as and when declared by the Board of Directors of CIBC, for an initial period ending April 30, 2024. On April 30, 2024, and on April 30 every five years thereafter, the dividend rate will reset to be equal to the then current five-year Government of Canada bond yield plus 3.31%.

Subject to regulatory approval and certain provisions of the Series 49 Shares, on April 30, 2024 and on April 30 every five years thereafter, CIBC may, at its option, redeem all or any part of the then outstanding Series 49 Shares at par.

Subject to the right of redemption, holders of the Series 49 Shares will have the right to convert their shares into Non-cumulative Floating Rate Class A Preferred Shares Series 50 (Non-Viability Contingent Capital (NVCC)) (the “Series 50 Shares”), subject to certain conditions, on April 30, 2024 and on April 30 every five years thereafter. Holders of the Series 50 Shares will be entitled to receive a quarterly floating rate dividend, as and when declared by the Board of Directors of CIBC, equal to the three-month Government of Canada Treasury Bill yield plus 3.31%.

Holders of the Series 50 Shares may convert their Series 50 Shares into Series 49 Shares, subject to certain conditions, on April 30, 2029 and on April 30 every five years thereafter.

The expected closing date is January 22, 2019. CIBC will make an application to list the Series 49 Shares as of the closing date on the Toronto Stock Exchange. The net proceeds of this offering will be used for general purposes of CIBC.

The new issue is quite expensive according to Implied Volatility Analysis:

impvol_cm_190114a
Click for Big

According to this analysis, the fair value of the new issue on January 14 is 23.85. Note that CM.PR.R, a FixedReset, 4.40%+338, NVCC Compliant issue that commenced trading 2017-6-2 after being announced 2017-5-25, was quoted today at 23.34-55, after trading 69,809 shares in a range of 23.07-45. CM.PR.R resets 2022-7-31, so it has 14 dividend payments left to reset at 80bp less than the new issue, so 25 * 0.008 * 14 / 4 = 0.70, so it will receive $0.70 less total dividends than the new issue until it resets. I’m ignoring a ‘first-coupon effect’ for the new issue, but the currently payable dividend for CM.PR.R pays it up until 2019-1-30, so the effect is minimal.

PIC.PR.A To Get Bigger

January 14th, 2019

Strathbridge Asset Management has announced:

Premium Income Corporation (the “Fund”) is pleased to announce that it is undertaking an overnight treasury offering of Preferred Shares and Class A Shares.

The sales period for the overnight offering will end at 9:00 am EST tomorrow, January 15, 2019. The offering is expected to close on or about January 22, 2019 and is subject to certain conditions including approval by the Toronto Stock Exchange (“TSX”).The Preferred Shares will be offered at a price of $14.60 per Preferred Share to yield 6.27% and the Class A Shares will be offered at an indicative price of $6.40 per Class A Share to yield 12.7%. The trading price on the TSX for each of the Preferred Shares and Class A Shares as at 2:45pm EST on January 14, 2019 was $14.59 and $6.57, respectively.

Since the inception of the Fund, the aggregate dividends declared on the Preferred Shares have been $19.40 per share and the aggregate dividends declared on the Class A Shares have been $24.81 per share, for a combined total of $44.21 per unit.

The Fund invests in a portfolio consisting principally of common shares of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada and The Toronto-Dominion Bank (the “Banks”). To generate additional returns above the dividend income earned on the Fund’s portfolio, the Fund will selectively write covered call and put options in respect of some or all of the common shares in the Fund’s portfolio. The manager and investment manager of the Fund is Strathbridge Asset Management Inc.

The Preferred Shares pay fixed cumulative preferential quarterly cash distributions in the amount of $0.215625 ($0.8625 per annum) per preferred share representing a yield of 5.75% on the original issue price of $15.00. The Class A Shares currently pay quarterly distributions in the amount $0.20319 ($0.81276 per annum) per Class A Share.

The syndicate of agents for the offering is being co-led by RBC Capital Markets, CIBC Capital Markets, National Bank Financial Inc. and Scotiabank, and also includes BMO Capital Markets, TD Securities Inc., Raymond James Ltd., Canaccord Genuity Corp., Desjardins Securities Inc., Echelon Wealth Partners Inc., GMP Securities L.P. and Industrial Alliance Securities Inc.

For further information, please contact Investor Relations at 416.681.3966, toll free at 1.800.725.7172, email at info@strathbridge.com or visit www.strathbridge.com

So the offering price is $21.00 per Whole Unit, compared to the January 10 NAVPU of 20.34 – a premium of just over 3%. Well … it’s not as bad a some of the offerings we’ve seen, eh?

Update, 2019-1-15: They raised almost 15-million:

Premium Income Corporation (the “Fund”) is pleased to announce a successful overnight treasury offering of 694,000 Preferred Shares and 694,000 Class A Shares. Gross proceeds of the offering are expected to be approximately $14.6 million.

The offering is expected to close on or about January 22, 2019 and is subject to certain conditions including approval by the Toronto Stock Exchange (“TSX”). The Preferred Shares were offered at a price of $14.60 per Preferred Share and the Class A Shares were offered at a price of $6.40 per Class A Share.

January PrefLetter Released!

January 14th, 2019

The January, 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 January, 2019, issue, while the “Next Edition” will be the February, 2019, issue, scheduled to be prepared as of the close February 8, 2019, and eMailed to subscribers prior to market-opening on February 11.

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

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

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

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

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

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

Note: Assiduous Reader DG informs me:

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

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

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

But Adrian2 now advises:

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

Bank of Canada Gives Up on Commercial Paper & Bankers Acceptance Statistics

January 12th, 2019

The Bank of Canada has announced (on 2018-11-13):

As of January 2019, the Bank of Canada will no longer publish the daily, weekly or monthly prime commercial paper (CP) or bankers’ acceptance (BA) rates. This decision has been taken after a thorough review of these rates and in keeping with the Bank’s policy of only publishing reliable data using appropriate sources and calculation methodologies.

The Investment Industry Regulatory Organization of Canada (IIROC) will start publishing for informational purposes only the 1- and 3-month transaction based BA rates on the same date. These new BA rates will be publicly available on the IIROC’s website on a delayed basis IIROC’s website.

The historical data for these rates will continue to be available on the Bank of Canada website at the Selected Historical Interest Rates page.

For further inquiries contact Bank of Canada at communications@bankofcanada.ca or IIROC Victoria Pinnington vpinnington@iiroc.ca

Naturally, given the secretive nature of the BoC, details of this review are not linked.

I also note their statement that:

The final publication of the “Selected Historical Interest Rates” package will be in January 2019, and on July 31, 2019 the page will be removed from the Bank of Canada’s website. After that date DSOCapitalMarkets@bankofcanada.ca will be pleased to respond to requests for publications.

Please note that you can find all the historical data through Statistics Canada’s CANSIM repository in tables 10-10-0122-01 and 10-10-0123-01, and data for the last ten years on the Canadian Interest Rates, Bond Yields, Treasury Bills and U.S. Interest Rates pages on our website. For a full mapping of the various time series and their new locations please refer to the attached document.

I have sent the following eMail to the Bank:

Sirs,

I understand from your website notice (https://www.bankofcanada.ca/2018/11/changes-to-publication-of-interest-rate-statistics/ ) that the BoC will no longer publish indicative CP or BA rates due to “the Bank’s policy of only publishing reliable data using appropriate sources and calculation methodologies” following “a thorough review of these rates”.

I have two questions regarding this policy change:
i) will this review be published, or is it available on request?
ii) I note that you continue to publish Series “V80691335: Conventional mortgage – 5-year”, claiming that it has not varied in the past five weeks from the nonsensical claim of “5.34%”, a figure that appears to be based on the commercial banks’ “posted rate”, which bears no relationship to actual rates in the marketplace (see, e.g., https://www.ratehub.ca/best-mortgage-rates/5-year/fixed ). Why do you consider the rates you publish to be ” reliable data using appropriate sources and calculation methodologies”?

Sincerely,

Well … I’ll give them a chance to answer. But I suspect that this termination of service is a disgraceful disservice to Canadians, and just another gift to Our Glorious Banks that will assist them to exploit their practical hegemony over the Canadian financial system for commercial purposes.

PWF.PR.T : Convert or Hold?

January 12th, 2019

It will be recalled that PWF.PR.T will reset at 4.215% effective January 31, 2019.

PWF.PR.T is a FixedReset, 4.20%+237, that commenced trading 2013-12-11 after being announced 2013-12-2. It is tracked by HIMIPref™ and is assigned to the FixedReset Discount subindex.

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., PWF.PR.T 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).

pairs_fr_190111
Click for Big

Note that three price adjustments were made in the preparation of the above chart, due to poor quality of the quotes provided by the Toronto Stock Exchange.

The market appears to have lost its fleeing interest in floating rate product; the implied rates until the next interconversion are above the current 3-month bill rate as the averages for investment-grade and junk issues are at +1.45% and +1.55%, respectively. 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 PWF.PR.T 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 PWF.PR.T) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 2.50% 2.00% 1.50%
PWF.PR.T 20.03 294bp 20.18 19.69 19.19

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts, PWF.PR.T. Therefore I recommend that holders of PWF.PR.T continue to hold the issue and not to convert. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – 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.

Those who wish to convert anyway are advised that the deadline for notifying the company of such a desire is January 16, 2019 at 5:00 p.m. (EST). Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.

January 11, 2019

January 11th, 2019

The quality of quotes provided by the Toronto Stock Exchange seems to get worse every day.

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 -3.3646 % 2,393.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.3646 % 4,392.5
Floater 4.89 % 5.14 % 39,137 15.29 4 -3.3646 % 2,531.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.7600 % 3,209.1
SplitShare 4.64 % 4.78 % 90,129 4.53 6 0.7600 % 3,832.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7600 % 2,990.2
Perpetual-Premium 5.59 % 5.27 % 168,297 14.94 2 -0.3168 % 2,883.4
Perpetual-Discount 5.65 % 5.77 % 76,887 14.23 33 -0.0764 % 2,951.5
FixedReset Disc 4.91 % 5.28 % 199,221 14.98 66 -0.3896 % 2,298.6
Deemed-Retractible 5.38 % 6.33 % 84,479 8.20 27 0.0293 % 2,940.0
FloatingReset 4.02 % 4.06 % 42,006 2.92 7 -0.2064 % 2,502.1
FixedReset Prem 5.16 % 4.19 % 260,854 2.21 14 0.1033 % 2,532.1
FixedReset Bank Non 2.96 % 3.60 % 123,055 0.12 6 0.2471 % 2,590.0
FixedReset Ins Non 4.83 % 6.25 % 146,303 8.42 22 -0.1113 % 2,277.5
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -12.20 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 3,500 shares today in a range of 20.40-52 before being quoted at 18.00-20.50. The closing price was 20.52.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.77 %

MFC.PR.M FixedReset Ins Non -7.97 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 4,348 shares today in a range of 20.13-39 before being quoted at 18.35-20.39. The closing price was 20.33.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.94 %

BAM.PR.B Floater -7.43 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 1,525 shares today in a range of 13.80-97 before being quoted at 12.71-13.97. The closing price was 13.97.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 5.49 %

VNR.PR.A FixedReset Disc -7.36 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 4,750 shares today in a range of 22.00-26 before being quoted at 20.01-22.00. The closing price was 22.00.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.88 %

BAM.PR.Z FixedReset Disc -7.21 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 11,775 shares today in a range of 22.89-22 before being quoted at 21.50-22.88. The closing price was 22.89.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.64 %

MFC.PR.K FixedReset Ins Non -6.06 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 7,684 shares today in a range of 20.44-78 before being quoted at 19.22-20.65. The closing price was 20.69.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.22
Bid-YTW : 7.44 %

BAM.PR.M Perpetual-Discount -4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.00 %
MFC.PR.L FixedReset Ins Non -4.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 7.90 %
PWF.PR.P FixedReset Disc -4.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.59 %
PWF.PR.A Floater -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.17 %
GWO.PR.S Deemed-Retractible -2.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.33 %
BAM.PR.T FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.81 %
BAM.PR.X FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 5.42 %
TRP.PR.F FloatingReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.38 %
TRP.PR.B FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.75 %
RY.PR.M FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.10 %
RY.PR.Z FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.99 %
CM.PR.O FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.20 %
BAM.PR.C Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.14 %
BAM.PR.R FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.61 %
TD.PF.E FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.13
Evaluated at bid price : 22.44
Bid-YTW : 5.17 %
TD.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.12 %
RY.PR.H FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.04 %
BAM.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.38
Evaluated at bid price : 23.15
Bid-YTW : 5.24 %
BAM.PF.G FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.72 %
BAM.PR.K Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 13.57
Evaluated at bid price : 13.57
Bid-YTW : 5.14 %
PVS.PR.F SplitShare 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.78 %
PWF.PR.S Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.69 %
HSE.PR.E FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.38 %
EIT.PR.B SplitShare 1.31 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 5.15 %
MFC.PR.J FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.86
Bid-YTW : 6.26 %
SLF.PR.A Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 6.61 %
BAM.PF.J FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 23.15
Evaluated at bid price : 24.72
Bid-YTW : 4.93 %
BMO.PR.W FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.08 %
MFC.PR.H FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 5.97 %
BIP.PR.D FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.67
Evaluated at bid price : 23.45
Bid-YTW : 5.91 %
BMO.PR.Q FixedReset Bank Non 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 4.35 %
MFC.PR.R FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 5.52 %
MFC.PR.Q FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.86
Bid-YTW : 6.22 %
BIP.PR.E FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.44
Evaluated at bid price : 23.20
Bid-YTW : 5.39 %
BIP.PR.F FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.44
Evaluated at bid price : 23.30
Bid-YTW : 5.47 %
IFC.PR.G FixedReset Ins Non 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.22 %
CM.PR.P FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.27 %
BMO.PR.D FixedReset Disc 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.59
Evaluated at bid price : 23.39
Bid-YTW : 5.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 253,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.63
Evaluated at bid price : 23.45
Bid-YTW : 5.38 %
TD.PF.E FixedReset Disc 132,956 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.13
Evaluated at bid price : 22.44
Bid-YTW : 5.17 %
TD.PF.I FixedReset Disc 76,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.47
Evaluated at bid price : 23.20
Bid-YTW : 5.15 %
BMO.PR.C FixedReset Disc 57,456 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.89
Evaluated at bid price : 23.93
Bid-YTW : 5.31 %
BNS.PR.I FixedReset Disc 49,761 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.77
Evaluated at bid price : 23.98
Bid-YTW : 4.58 %
TRP.PR.J FixedReset Prem 47,983 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.73 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 16.33 – 20.75
Spot Rate : 4.4200
Average : 3.0823

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 4.93 %

MFC.PR.N FixedReset Ins Non Quote: 19.45 – 22.15
Spot Rate : 2.7000
Average : 1.4822

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.14 %

TD.PF.B FixedReset Disc Quote: 18.00 – 20.50
Spot Rate : 2.5000
Average : 1.4131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.77 %

MFC.PR.Q FixedReset Ins Non Quote: 21.86 – 24.50
Spot Rate : 2.6400
Average : 1.5831

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.86
Bid-YTW : 6.22 %

MFC.PR.M FixedReset Ins Non Quote: 18.35 – 20.39
Spot Rate : 2.0400
Average : 1.3141

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.94 %

BAM.PR.Z FixedReset Disc Quote: 21.50 – 22.88
Spot Rate : 1.3800
Average : 0.8287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.64 %

January 10, 2019

January 10th, 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 1.3677 % 2,477.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3677 % 4,545.4
Floater 4.72 % 5.07 % 38,908 15.41 4 1.3677 % 2,619.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0740 % 3,184.9
SplitShare 4.67 % 5.00 % 85,616 4.53 6 -0.0740 % 3,803.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0740 % 2,967.6
Perpetual-Premium 5.57 % 5.25 % 161,064 14.97 2 0.0000 % 2,892.6
Perpetual-Discount 5.64 % 5.75 % 75,200 14.22 33 0.2878 % 2,953.7
FixedReset Disc 4.89 % 5.24 % 200,722 15.06 66 0.8775 % 2,307.6
Deemed-Retractible 5.39 % 6.27 % 83,783 8.20 27 0.2513 % 2,939.1
FloatingReset 4.02 % 3.96 % 43,709 2.92 7 0.4888 % 2,507.3
FixedReset Prem 5.16 % 4.22 % 262,268 2.22 14 -0.0112 % 2,529.5
FixedReset Bank Non 2.97 % 3.52 % 127,095 0.12 6 -0.1097 % 2,583.6
FixedReset Ins Non 4.82 % 6.44 % 145,794 8.43 22 0.9848 % 2,280.0
Performance Highlights
Issue Index Change Notes
CM.PR.P FixedReset Disc -4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 5.34 %
BMO.PR.D FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.06
Evaluated at bid price : 22.50
Bid-YTW : 5.47 %
BAM.PF.G FixedReset Disc -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 5.60 %
IFC.PR.A FixedReset Ins Non -2.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.97
Bid-YTW : 7.95 %
MFC.PR.L FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.93
Bid-YTW : 7.29 %
MFC.PR.R FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.88 %
BAM.PF.F FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.54 %
RY.PR.J FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.74
Evaluated at bid price : 22.20
Bid-YTW : 5.10 %
BAM.PF.B FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.34 %
BMO.PR.Y FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.75
Evaluated at bid price : 22.22
Bid-YTW : 5.07 %
BAM.PF.I FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.31 %
TD.PF.A FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.99 %
TRP.PR.G FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 5.56 %
TRP.PR.F FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 5.29 %
TRP.PR.B FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.56 %
HSE.PR.A FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 6.21 %
VNR.PR.A FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.38 %
CM.PR.R FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.61
Evaluated at bid price : 23.40
Bid-YTW : 5.35 %
TRP.PR.K FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 5.56 %
CU.PR.E Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.85
Evaluated at bid price : 21.85
Bid-YTW : 5.69 %
TD.PF.K FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.41
Evaluated at bid price : 23.22
Bid-YTW : 4.81 %
MFC.PR.J FixedReset Ins Non 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.40 %
MFC.PR.Q FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 6.44 %
TD.PF.B FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.01 %
CM.PR.O FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.07 %
TD.PF.C FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.99 %
HSE.PR.G FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.37 %
BAM.PF.D Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.80
Evaluated at bid price : 21.80
Bid-YTW : 5.67 %
NA.PR.S FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.17 %
HSE.PR.C FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.19 %
BIP.PR.A FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.34 %
BIP.PR.E FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.15
Evaluated at bid price : 22.71
Bid-YTW : 5.52 %
TD.PF.J FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 4.91 %
IFC.PR.F Deemed-Retractible 1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 6.19 %
TRP.PR.A FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.57 %
BAM.PR.X FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 5.25 %
MFC.PR.G FixedReset Ins Non 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.06
Bid-YTW : 6.55 %
BIP.PR.F FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.16
Evaluated at bid price : 22.80
Bid-YTW : 5.61 %
MFC.PR.I FixedReset Ins Non 2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.33 %
EMA.PR.F FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.33 %
PWF.PR.Q FloatingReset 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 4.97 %
NA.PR.G FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.47
Evaluated at bid price : 23.34
Bid-YTW : 4.97 %
IAF.PR.B Deemed-Retractible 2.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.63
Bid-YTW : 6.37 %
BMO.PR.C FixedReset Disc 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.78
Evaluated at bid price : 23.70
Bid-YTW : 5.33 %
PWF.PR.A Floater 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 4.03 %
SLF.PR.G FixedReset Ins Non 3.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.65
Bid-YTW : 8.37 %
TD.PF.D FixedReset Disc 4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.75
Evaluated at bid price : 22.22
Bid-YTW : 5.09 %
RY.PR.H FixedReset Disc 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.92 %
PWF.PR.P FixedReset Disc 4.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 5.28 %
BAM.PF.J FixedReset Disc 4.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 23.01
Evaluated at bid price : 24.35
Bid-YTW : 4.98 %
BAM.PR.N Perpetual-Discount 5.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.82 %
RY.PR.M FixedReset Disc 5.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.71
Evaluated at bid price : 22.17
Bid-YTW : 4.95 %
MFC.PR.K FixedReset Ins Non 6.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.46
Bid-YTW : 6.65 %
MFC.PR.M FixedReset Ins Non 8.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.94
Bid-YTW : 6.87 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Disc 116,878 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 5.49 %
GWO.PR.M Deemed-Retractible 56,105 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.86 %
TRP.PR.J FixedReset Prem 54,460 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.87 %
TD.PF.J FixedReset Disc 53,458 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 4.91 %
BNS.PR.H FixedReset Prem 42,355 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.22 %
BMO.PR.C FixedReset Disc 42,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.78
Evaluated at bid price : 23.70
Bid-YTW : 5.33 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.H FixedReset Disc Quote: 21.05 – 23.77
Spot Rate : 2.7200
Average : 1.7836

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.92 %

MFC.PR.I FixedReset Ins Non Quote: 21.65 – 23.84
Spot Rate : 2.1900
Average : 1.5154

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.33 %

BMO.PR.D FixedReset Disc Quote: 22.50 – 23.80
Spot Rate : 1.3000
Average : 0.7715

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.06
Evaluated at bid price : 22.50
Bid-YTW : 5.47 %

HSE.PR.A FixedReset Disc Quote: 13.82 – 15.99
Spot Rate : 2.1700
Average : 1.6949

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 6.21 %

TD.PF.C FixedReset Disc Quote: 20.41 – 21.50
Spot Rate : 1.0900
Average : 0.6682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.99 %

TD.PF.I FixedReset Disc Quote: 23.00 – 23.95
Spot Rate : 0.9500
Average : 0.6243

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-10
Maturity Price : 22.36
Evaluated at bid price : 23.00
Bid-YTW : 5.16 %

January 9, 2019

January 9th, 2019

The Bank of Canada’s press release today regarding the policy rate was unusually lengthy:

The Bank of Canada today maintained its target for the overnight rate at 1 ¾ per cent. The Bank Rate is correspondingly 2 per cent and the deposit rate is 1 ½ per cent.

The global economic expansion continues to moderate, with growth forecast to slow to 3.4 per cent in 2019 from 3.7 per cent in 2018. In particular, growth in the United States remains solid but is expected to slow to a more sustainable pace through 2019. However, there are increasing signs that the US-China trade conflict is weighing on global demand and commodity prices.

Global benchmark prices for oil have been about 25 per cent lower than assumed in the October Monetary Policy Report (MPR). The lower prices primarily reflect sustained increases in US oil supply and, more recently, increased worries about global demand. These worries among market participants have also been reflected in bond and equity markets.

The drop in global oil prices has a material impact on the Canadian outlook, resulting in lower terms of trade and national income. As well, transportation constraints and rising production have combined to push up oil inventories in the west and exert even more downward pressure on Canadian benchmark prices. While price differentials have narrowed in recent weeks following announced mandatory production cuts in Alberta, investment in Canada’s oil sector is projected to weaken further.

These developments are occurring in the context of a Canadian economy that has been performing well overall. Growth has been running close to potential, employment growth has been strong and unemployment is at a 40-year low. Looking ahead, exports and non-energy investment are projected to grow solidly, supported by foreign demand, the CUSMA, the lower Canadian dollar, and federal tax measures targeted at investment.

Meanwhile, consumption spending and housing investment have been weaker than expected as housing markets adjust to municipal and provincial measures, changes to mortgage guidelines, and higher interest rates. Household spending will be dampened further by slow growth in oil-producing provinces. The Bank will continue to monitor these adjustments.

The Bank projects real GDP will grow by 1.7 per cent in 2019, 0.4 percentage points slower than the October outlook. This revised forecast reflects a temporary slowing in the fourth quarter of 2018 and the first quarter of 2019. This will open up a modest amount of excess capacity, primarily in oil-producing regions. Nevertheless, indicators of demand should start to show renewed momentum in early 2019, leading to above-potential growth of 2.1 per cent in 2020.

Core inflation measures remain clustered close to 2 per cent. As expected, CPI inflation eased to 1.7% in November, due to lower gasoline prices. CPI inflation is projected to edge further down and be below 2 per cent through much of 2019, owing mainly to lower gasoline prices. On the other hand, the lower level of the Canadian dollar will exert some upward pressure on inflation. As these transitory effects unwind and excess capacity is absorbed, inflation will return to around the 2 per cent target by late 2019.

Weighing all of these factors, Governing Council continues to judge that the policy interest rate will need to rise over time into a neutral range to achieve the inflation target. The appropriate pace of rate increases will depend on how the outlook evolves, with a particular focus on developments in oil markets, the Canadian housing market, and global trade policy.

Barrie McKenna of the Globe notes:

The bank’s new qualified commitment to raise rates “over time” is meant to “inject ambiguity” into what it will do in the months ahead, Bank of Canada Governor Stephen Poloz explained to reporters. He said the bank is hoping to have a clearer picture of how the economy is evolving by the time it releases its next forecast in April.

“It’s all about the data,” Mr. Poloz said.

The bank also released its first quarterly forecast of 2019, highlighted by a sharp downgrade in GDP growth. The Bank of Canada says the economy will grow just 1.7 per cent this year, down sharply from its previous forecast of 2.1 per cent, and below the estimated 2-per-cent pace of 2018.

The bank also highlighted that housing activity has been “weaker than expected” as home buyers adjust to tougher mortgage rules, new restrictions on foreign buyers in some provinces and previous mortgage rate hikes. It’s the bank’s first hint that the real estate slump in Toronto and Vancouver may be worse than initially thought.

Nonetheless, the Bank of Canada reckons the economic swoon will be short-lived, lasting only through the first half of the year. It says the economy will grow 2.1 per cent in 2020, up from its previous estimate of 1.9 per cent. It bases its optimism on a host of factors, including an expectation of stronger exports, higher investments outside the oil patch, a cheaper Canadian dollar and the positive impact of the newly agreed USMCA, which will replace the North American free-trade agreement.

PerpetualDiscounts now yield 5.77%, equivalent to 7.50% at the standard conversion factor of 1.3x. Long corporates now yield a little under 4.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a dramatic narrowing from the 360bp reported January 2.

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 2.6662 % 2,443.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.6662 % 4,484.1
Floater 4.79 % 5.07 % 40,455 15.40 4 2.6662 % 2,584.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3838 % 3,187.3
SplitShare 4.62 % 5.07 % 88,658 4.53 7 0.3838 % 3,806.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3838 % 2,969.8
Perpetual-Premium 5.57 % 5.25 % 160,109 14.98 2 0.5038 % 2,892.6
Perpetual-Discount 5.66 % 5.77 % 74,451 14.23 33 0.1148 % 2,945.3
FixedReset Disc 4.93 % 5.27 % 203,340 15.02 66 0.9574 % 2,287.5
Deemed-Retractible 5.40 % 6.40 % 86,928 8.20 27 0.7067 % 2,931.8
FloatingReset 4.04 % 3.96 % 41,220 2.92 7 0.2308 % 2,495.1
FixedReset Prem 5.16 % 4.20 % 260,044 2.22 14 0.2281 % 2,529.7
FixedReset Bank Non 2.96 % 3.44 % 128,952 0.13 6 0.2405 % 2,586.5
FixedReset Ins Non 4.87 % 6.60 % 146,794 8.42 22 0.7178 % 2,257.8
Performance Highlights
Issue Index Change Notes
BAM.PF.J FixedReset Disc -6.56 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 9,000 shares today in a range of 24.92-03 before being quoted at 23.22-25.00. The closing price was 24.92.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 22.47
Evaluated at bid price : 23.22
Bid-YTW : 5.26 %

MFC.PR.M FixedReset Ins Non -4.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.88 %
BAM.PR.N Perpetual-Discount -4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.15 %
SLF.PR.G FixedReset Ins Non -3.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 8.79 %
MFC.PR.K FixedReset Ins Non -3.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.22
Bid-YTW : 7.41 %
RY.PR.M FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.27 %
BMO.PR.C FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 22.37
Evaluated at bid price : 22.95
Bid-YTW : 5.52 %
PWF.PR.A Floater -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.17 %
EMA.PR.H FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 22.80
Evaluated at bid price : 24.00
Bid-YTW : 5.11 %
BIP.PR.E FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 21.88
Evaluated at bid price : 22.30
Bid-YTW : 5.63 %
GWO.PR.M Deemed-Retractible -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.86 %
TRP.PR.C FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 5.69 %
GWO.PR.I Deemed-Retractible -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.98
Bid-YTW : 7.22 %
PWF.PR.R Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 23.38
Evaluated at bid price : 23.70
Bid-YTW : 5.80 %
GWO.PR.P Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.93 %
RY.PR.O Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 23.57
Evaluated at bid price : 24.01
Bid-YTW : 5.15 %
BAM.PR.R FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 5.50 %
EIT.PR.B SplitShare 1.16 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.28 %
PWF.PR.G Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-08
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : -2.98 %
NA.PR.S FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.26 %
BIP.PR.F FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 21.85
Evaluated at bid price : 22.30
Bid-YTW : 5.74 %
MFC.PR.R FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.67 %
BAM.PF.A FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 22.44
Evaluated at bid price : 23.26
Bid-YTW : 5.17 %
CU.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.52 %
IAF.PR.I FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 5.81 %
BIP.PR.A FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.45 %
BAM.PF.F FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 5.45 %
BMO.PR.T FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 5.07 %
TD.PF.B FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 5.08 %
MFC.PR.H FixedReset Ins Non 2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.37
Bid-YTW : 6.13 %
NA.PR.G FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 22.14
Evaluated at bid price : 22.76
Bid-YTW : 5.12 %
MFC.PR.N FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.26
Bid-YTW : 7.20 %
BAM.PF.G FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.42 %
SLF.PR.C Deemed-Retractible 2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.26
Bid-YTW : 6.99 %
TD.PF.E FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 22.41
Evaluated at bid price : 22.75
Bid-YTW : 5.05 %
BMO.PR.S FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 5.11 %
NA.PR.W FixedReset Disc 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.27 %
TD.PF.A FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.04 %
GWO.PR.N FixedReset Ins Non 3.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.46
Bid-YTW : 8.29 %
IAF.PR.G FixedReset Ins Non 3.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 6.27 %
TD.PF.I FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 22.47
Evaluated at bid price : 23.19
Bid-YTW : 5.11 %
BMO.PR.W FixedReset Disc 3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.06 %
CM.PR.P FixedReset Disc 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 5.10 %
RY.PR.Z FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.90 %
BMO.PR.Y FixedReset Disc 3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.13 %
TRP.PR.H FloatingReset 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.43 %
CM.PR.O FixedReset Disc 3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.14 %
CM.PR.Q FixedReset Disc 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 21.27
Evaluated at bid price : 21.54
Bid-YTW : 5.24 %
TD.PF.C FixedReset Disc 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.07 %
BAM.PR.Z FixedReset Disc 4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 5.18 %
SLF.PR.I FixedReset Ins Non 4.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.31
Bid-YTW : 6.23 %
MFC.PR.L FixedReset Ins Non 4.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.23
Bid-YTW : 7.10 %
RY.PR.J FixedReset Disc 4.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 21.89
Evaluated at bid price : 22.44
Bid-YTW : 5.04 %
MFC.PR.B Deemed-Retractible 6.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 6.98 %
BAM.PR.B Floater 7.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 5.10 %
BAM.PR.K Floater 8.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 5.07 %
BAM.PF.B FixedReset Disc 9.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 5.29 %
MFC.PR.C Deemed-Retractible 12.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 7.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset Disc 107,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.33 %
W.PR.K FixedReset Prem 76,058 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.82 %
RY.PR.Z FixedReset Disc 66,579 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.90 %
BAM.PF.E FixedReset Disc 56,751 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.34 %
BIP.PR.D FixedReset Disc 48,393 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 22.41
Evaluated at bid price : 23.00
Bid-YTW : 5.99 %
PWF.PR.I Perpetual-Premium 30,940 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-08
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -10.43 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 15.86 – 20.75
Spot Rate : 4.8900
Average : 3.1897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 15.86
Evaluated at bid price : 15.86
Bid-YTW : 5.09 %

BAM.PF.J FixedReset Disc Quote: 23.22 – 25.00
Spot Rate : 1.7800
Average : 1.0165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 22.47
Evaluated at bid price : 23.22
Bid-YTW : 5.26 %

MFC.PR.M FixedReset Ins Non Quote: 18.35 – 19.95
Spot Rate : 1.6000
Average : 0.9436

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.88 %

MFC.PR.L FixedReset Ins Non Quote: 19.23 – 20.90
Spot Rate : 1.6700
Average : 1.0856

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.23
Bid-YTW : 7.10 %

RY.PR.M FixedReset Disc Quote: 20.95 – 22.42
Spot Rate : 1.4700
Average : 0.9012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-09
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.27 %

IFC.PR.A FixedReset Ins Non Quote: 17.38 – 20.00
Spot Rate : 2.6200
Average : 2.1324

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.38
Bid-YTW : 7.66 %