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October 18, 2019

Saturday, October 19th, 2019

Great news! FAIR Canada, that superannuation scheme for surplus regulatory staff is on its last legs:

The primary advocacy group for Canadian investors is facing extinction after it has returned a $2-million grant, unable to raise matching funds.

The Canadian Foundation for the Advancement of Investor Rights, known as FAIR Canada, has given back money provided in 2012 by Stephen Jarislowsky, the founder of investment firm Jarislowsky Fraser Ltd. Mr. Jarislowsky provided the endowment funding on the condition that FAIR found two-for-one matching money within two years.

FAIR Canada received $2-million from the Ontario Securities Commission as part of the match, but has fallen short since and required multiple extensions on the Jarislowsky deadline.
…
All told, the self-regulatory IIROC and its predecessors have given FAIR Canada a total of $4.9-million over the years. In the fall of 2018, it gave a $250,000 grant from its restricted fund that comes from fines and settlements.

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 0.5533 % 1,900.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5533 % 3,487.8
Floater 6.34 % 6.50 % 46,133 13.19 4 0.5533 % 2,010.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0337 % 3,391.0
SplitShare 4.65 % 4.55 % 50,319 3.94 7 -0.0337 % 4,049.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0337 % 3,159.6
Perpetual-Premium 5.50 % -21.92 % 56,554 0.09 8 0.0294 % 3,024.5
Perpetual-Discount 5.38 % 5.38 % 70,327 14.77 25 0.2357 % 3,221.7
FixedReset Disc 5.65 % 5.72 % 170,195 14.34 66 0.0885 % 2,078.9
Deemed-Retractible 5.20 % 5.76 % 61,324 7.85 27 0.1778 % 3,169.4
FloatingReset 6.31 % 6.86 % 79,116 12.72 2 -0.0758 % 2,409.6
FixedReset Prem 5.15 % 4.04 % 167,715 1.69 20 -0.0647 % 2,598.8
FixedReset Bank Non 1.98 % 4.53 % 82,478 2.21 3 -0.1111 % 2,669.9
FixedReset Ins Non 5.46 % 8.16 % 114,725 7.77 21 0.0834 % 2,116.4
Performance Highlights
Issue Index Change Notes
NA.PR.A FixedReset Prem -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.51 %
TRP.PR.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 11.67
Evaluated at bid price : 11.67
Bid-YTW : 6.48 %
NA.PR.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.73 %
W.PR.K FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.71 %
SLF.PR.E Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.22
Bid-YTW : 6.62 %
TRP.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 6.21 %
BAM.PR.C Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 6.50 %
BMO.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.51 %
RY.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.22 %
BNS.PR.I FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.19 %
BAM.PR.N Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.A Deemed-Retractible 175,541 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 6.32 %
POW.PR.D Perpetual-Discount 137,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 22.41
Evaluated at bid price : 22.67
Bid-YTW : 5.54 %
GWO.PR.M Deemed-Retractible 137,737 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-11-17
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -14.77 %
TRP.PR.D FixedReset Disc 119,098 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.14 %
MFC.PR.M FixedReset Ins Non 73,602 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 9.36 %
RY.PR.Z FixedReset Disc 54,267 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.51 %
There were 62 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.90 – 19.62
Spot Rate : 0.7200
Average : 0.4730

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.74 %
CM.PR.R FixedReset Disc Quote: 21.30 – 21.80
Spot Rate : 0.5000
Average : 0.2862

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.68 %
BAM.PF.I FixedReset Prem Quote: 25.30 – 25.69
Spot Rate : 0.3900
Average : 0.2183

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.41 %
W.PR.K FixedReset Prem Quote: 25.18 – 25.62
Spot Rate : 0.4400
Average : 0.2830

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.71 %
NA.PR.A FixedReset Prem Quote: 25.30 – 25.65
Spot Rate : 0.3500
Average : 0.2114

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.51 %
BMO.PR.C FixedReset Disc Quote: 22.17 – 22.59
Spot Rate : 0.4200
Average : 0.2923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-18
Maturity Price : 21.91
Evaluated at bid price : 22.17
Bid-YTW : 5.49 %

Posted in Market Action | No Comments »

October 17, 2019

Thursday, October 17th, 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 -0.0461 % 1,890.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0461 % 3,468.6
Floater 6.37 % 6.54 % 48,065 13.13 4 -0.0461 % 1,999.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0788 % 3,392.1
SplitShare 4.64 % 4.57 % 50,779 3.94 7 0.0788 % 4,050.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0788 % 3,160.7
Perpetual-Premium 5.50 % -20.81 % 56,200 0.09 8 -0.0490 % 3,023.6
Perpetual-Discount 5.39 % 5.39 % 69,550 14.75 25 0.1188 % 3,214.1
FixedReset Disc 5.65 % 5.72 % 166,632 14.32 66 0.1907 % 2,077.1
Deemed-Retractible 5.21 % 5.76 % 63,371 7.85 27 0.0598 % 3,163.8
FloatingReset 6.30 % 6.84 % 81,838 12.74 2 1.1115 % 2,411.5
FixedReset Prem 5.14 % 3.85 % 162,685 1.69 20 0.0628 % 2,600.4
FixedReset Bank Non 1.97 % 4.39 % 82,004 2.22 3 -0.0416 % 2,672.9
FixedReset Ins Non 5.46 % 8.18 % 116,260 7.78 21 0.1462 % 2,114.6
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 7.59 %
IFC.PR.C FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.52 %
SLF.PR.H FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.03
Bid-YTW : 8.96 %
BAM.PR.X FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 6.24 %
IAF.PR.G FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.73 %
BIP.PR.A FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.97 %
TD.PF.D FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.71 %
TRP.PR.B FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.35 %
BIP.PR.F FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 21.88
Evaluated at bid price : 22.30
Bid-YTW : 5.75 %
TD.PF.C FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.60 %
CM.PR.Q FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.94 %
BIP.PR.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 22.07
Evaluated at bid price : 22.50
Bid-YTW : 5.59 %
SLF.PR.J FloatingReset 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.15
Bid-YTW : 10.89 %
TRP.PR.C FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 6.41 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.E Deemed-Retractible 107,025 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.75 %
TD.PF.B FixedReset Disc 62,526 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.52 %
TRP.PR.E FixedReset Disc 48,318 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 15.52
Evaluated at bid price : 15.52
Bid-YTW : 6.28 %
TRP.PR.C FixedReset Disc 41,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 6.41 %
BMO.PR.F FixedReset Disc 40,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 22.95
Evaluated at bid price : 24.35
Bid-YTW : 5.19 %
MFC.PR.M FixedReset Ins Non 40,440 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.16
Bid-YTW : 9.42 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 16.94 – 17.43
Spot Rate : 0.4900
Average : 0.3345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 7.59 %
CU.PR.E Perpetual-Discount Quote: 23.02 – 23.40
Spot Rate : 0.3800
Average : 0.2767

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 22.74
Evaluated at bid price : 23.02
Bid-YTW : 5.39 %
BAM.PR.M Perpetual-Discount Quote: 21.03 – 21.36
Spot Rate : 0.3300
Average : 0.2313

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.71 %
BAM.PR.N Perpetual-Discount Quote: 20.79 – 21.18
Spot Rate : 0.3900
Average : 0.2931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 5.77 %
TD.PF.C FixedReset Disc Quote: 16.95 – 17.20
Spot Rate : 0.2500
Average : 0.1534

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.60 %
CM.PR.P FixedReset Disc Quote: 16.04 – 16.33
Spot Rate : 0.2900
Average : 0.1989

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-17
Maturity Price : 16.04
Evaluated at bid price : 16.04
Bid-YTW : 5.90 %

Posted in Market Action | No Comments »

October 16, 2019

Wednesday, October 16th, 2019

The Federal Reserve has announced the appointment of its Insurance Policy Advisory Committee:

The Federal Reserve Board on Wednesday announced the inaugural 21 members of the Insurance Policy Advisory Committee (IPAC). The IPAC provides information, advice, and recommendations to the Federal Reserve Board on domestic and international insurance issues, including negotiations at the International Association of Insurance Supervisors (IAIS).

The inaugural IPAC members include expertise in life insurance, property and casualty insurance, and reinsurance. Members have professional backgrounds in insurance accounting, actuarial science, academia, insurance regulation, policyholder advocacy, capital markets, and other areas.

The inaugural IPAC members will serve staggered terms ranging from one to three years. Starting next year, the Board intends to annually appoint new members to the IPAC to serve three-year terms.

PerpetualDiscounts now yield 5.40%, equivalent to 7.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.42%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed precipitously to 360bp from the 380bp reported October 9.

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 1.0242 % 1,891.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0242 % 3,470.2
Floater 6.37 % 6.54 % 46,184 13.13 4 1.0242 % 1,999.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1068 % 3,389.4
SplitShare 4.65 % 4.57 % 52,075 3.95 7 -0.1068 % 4,047.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1068 % 3,158.2
Perpetual-Premium 5.49 % -23.10 % 57,701 0.09 8 0.0343 % 3,025.1
Perpetual-Discount 5.39 % 5.40 % 69,435 14.70 25 0.1985 % 3,210.3
FixedReset Disc 5.67 % 5.73 % 167,059 14.33 66 -0.0539 % 2,073.1
Deemed-Retractible 5.21 % 5.73 % 65,987 7.85 27 0.0189 % 3,161.9
FloatingReset 6.37 % 6.85 % 80,996 12.73 2 -0.4578 % 2,384.9
FixedReset Prem 5.14 % 4.04 % 161,030 1.69 20 0.0471 % 2,598.8
FixedReset Bank Non 1.97 % 4.44 % 81,768 2.22 3 -0.1801 % 2,674.0
FixedReset Ins Non 5.47 % 8.16 % 115,530 7.77 21 0.0601 % 2,111.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.71
Evaluated at bid price : 10.71
Bid-YTW : 7.47 %
TRP.PR.C FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 11.53
Evaluated at bid price : 11.53
Bid-YTW : 6.56 %
CM.PR.Q FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.03 %
TD.PF.L FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 22.75
Evaluated at bid price : 23.86
Bid-YTW : 5.08 %
BIP.PR.F FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 5.84 %
NA.PR.S FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 5.80 %
BAM.PF.C Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.73 %
RY.PR.S FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 5.26 %
HSE.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 7.32 %
BAM.PR.K Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.66
Evaluated at bid price : 10.66
Bid-YTW : 6.56 %
BAM.PR.C Floater 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 6.54 %
IAF.PR.I FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.55 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.E Deemed-Retractible 142,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.75 %
TD.PF.C FixedReset Disc 80,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 5.68 %
TRP.PR.C FixedReset Disc 72,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 11.53
Evaluated at bid price : 11.53
Bid-YTW : 6.56 %
BMO.PR.F FixedReset Disc 64,804 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 22.97
Evaluated at bid price : 24.40
Bid-YTW : 5.18 %
TRP.PR.A FixedReset Disc 60,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 6.58 %
IFC.PR.C FixedReset Ins Non 59,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.68
Bid-YTW : 8.35 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.R FixedReset Ins Non Quote: 24.25 – 24.66
Spot Rate : 0.4100
Average : 0.2794

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.69 %
HSE.PR.A FixedReset Disc Quote: 10.71 – 11.00
Spot Rate : 0.2900
Average : 0.1893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 10.71
Evaluated at bid price : 10.71
Bid-YTW : 7.47 %
BAM.PF.F FixedReset Disc Quote: 17.55 – 17.79
Spot Rate : 0.2400
Average : 0.1534

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.16 %
BIP.PR.E FixedReset Disc Quote: 22.15 – 22.50
Spot Rate : 0.3500
Average : 0.2681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.83
Evaluated at bid price : 22.15
Bid-YTW : 5.68 %
HSE.PR.G FixedReset Disc Quote: 17.15 – 17.40
Spot Rate : 0.2500
Average : 0.1726

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.43 %
BIP.PR.F FixedReset Disc Quote: 22.00 – 22.30
Spot Rate : 0.3000
Average : 0.2247

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-16
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 5.84 %

Posted in Market Action | No Comments »

October 15, 2019

Tuesday, October 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 1.1061 % 1,872.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1061 % 3,435.0
Floater 6.44 % 6.62 % 47,836 13.03 4 1.1061 % 1,979.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1067 % 3,393.1
SplitShare 4.64 % 4.56 % 54,125 3.95 7 -0.1067 % 4,052.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1067 % 3,161.6
Perpetual-Premium 5.50 % -22.43 % 57,169 0.09 8 -0.0832 % 3,024.1
Perpetual-Discount 5.41 % 5.45 % 69,773 14.70 25 -0.0121 % 3,204.0
FixedReset Disc 5.66 % 5.73 % 168,986 14.34 66 0.2500 % 2,074.3
Deemed-Retractible 5.21 % 5.76 % 66,772 7.85 27 0.1151 % 3,161.3
FloatingReset 6.34 % 6.81 % 81,051 12.79 2 0.8077 % 2,395.9
FixedReset Prem 5.15 % 4.12 % 160,861 1.69 20 -0.0177 % 2,597.6
FixedReset Bank Non 1.97 % 4.23 % 78,607 2.22 3 -0.0554 % 2,678.8
FixedReset Ins Non 5.47 % 8.20 % 106,936 7.78 21 0.2988 % 2,110.2
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.36 %
TRP.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 15.36
Evaluated at bid price : 15.36
Bid-YTW : 6.34 %
GWO.PR.N FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.82
Bid-YTW : 9.73 %
TD.PF.L FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 22.87
Evaluated at bid price : 24.15
Bid-YTW : 5.01 %
NA.PR.W FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.91 %
IAF.PR.G FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.68
Bid-YTW : 7.88 %
BAM.PF.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.46 %
TRP.PR.B FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.93
Evaluated at bid price : 10.93
Bid-YTW : 6.44 %
BAM.PF.B FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.18 %
TRP.PR.C FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 11.74
Evaluated at bid price : 11.74
Bid-YTW : 6.44 %
TRP.PR.A FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 6.60 %
BIP.PR.A FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.01 %
NA.PR.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 5.77 %
TRP.PR.F FloatingReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 6.81 %
HSE.PR.A FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.97
Evaluated at bid price : 10.97
Bid-YTW : 7.29 %
BAM.PR.K Floater 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.65 %
BAM.PR.C Floater 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 6.66 %
SLF.PR.H FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.79 %
IFC.PR.A FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.40
Bid-YTW : 10.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 171,692 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.78 %
EMA.PR.F FixedReset Disc 62,314 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.43 %
NA.PR.S FixedReset Disc 57,709 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.73 %
BMO.PR.E FixedReset Disc 56,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.59 %
EMA.PR.C FixedReset Disc 36,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.17 %
BAM.PR.C Floater 33,736 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 6.66 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Y FixedReset Bank Non Quote: 24.60 – 25.11
Spot Rate : 0.5100
Average : 0.3414

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.14 %
RY.PR.S FixedReset Disc Quote: 19.75 – 20.15
Spot Rate : 0.4000
Average : 0.2529

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.32 %
BAM.PF.G FixedReset Disc Quote: 17.22 – 17.65
Spot Rate : 0.4300
Average : 0.2843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.42 %
TD.PF.D FixedReset Disc Quote: 18.65 – 19.09
Spot Rate : 0.4400
Average : 0.3228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.78 %
PWF.PR.S Perpetual-Discount Quote: 21.95 – 22.26
Spot Rate : 0.3100
Average : 0.2102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 21.95
Evaluated at bid price : 21.95
Bid-YTW : 5.49 %
BAM.PR.K Floater Quote: 10.51 – 10.85
Spot Rate : 0.3400
Average : 0.2438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-15
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.65 %

Posted in Market Action | No Comments »

October 11, 2019

Friday, October 11th, 2019

The hiccup in the US repo market, last discussed on September 20, is now being addressed by the Fed:

The Federal Reserve said Friday that it would buy more government-backed securities in a move meant to keep an obscure but critical corner of financial markets functioning smoothly.

The central bank said that it had decided to begin buying Treasury bills — expanding its balance sheet for the first time since 2014 — and would begin the purchases on Tuesday. The Fed will continue buying “at least into the second quarter of next year,” it said in a statement.

The Fed will also continue to intervene in the market for repurchase agreements, essentially short-term loans between banks and financial institutions. It started doing so last month for the first time since the financial crisis after rates on repos shot up briefly, spilling over to push the central bank’s benchmark interest rate higher. The Fed will conduct the operations “at least through January of next year,” according to the release, “to ensure that the supply of reserves remains ample even during periods of sharp increases in nonreserve liabilities.”

Unlike its previous bond buying campaign, which began during the Great Recession, the Fed stressed on Friday that its new effort is not meant to boost the economy.

Jobs, jobs, jobs!

Canada’s unemployment rate nudged down to a near four-decade low last month as the economy added more jobs than analysts expect – dropping an economic figure into a tight electoral race, and warnings from economists that things may not be as rosy as they seem.

Statistics Canada’s monthly labour force survey showed the country added about 54,000 net new jobs in September, driven largely by gains in full-time work, and dropping the jobless rate nationally by 0.2 points to 5.5 per cent.
…
The national statistics office said September’s jobs growth was largely concentrated in an expansion of public-sector staff and self-employed workers. The report also said 70,000 of the new jobs were full-time, as the number of part-time workers declined.

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 1.0223 % 1,851.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0223 % 3,397.5
Floater 6.51 % 6.68 % 48,283 12.96 4 1.0223 % 1,958.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1574 % 3,396.7
SplitShare 4.64 % 4.52 % 54,786 3.96 7 0.1574 % 4,056.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1574 % 3,164.9
Perpetual-Premium 5.49 % -22.27 % 57,952 0.09 8 0.0832 % 3,026.6
Perpetual-Discount 5.40 % 5.45 % 69,721 14.71 25 0.1451 % 3,204.3
FixedReset Disc 5.68 % 5.74 % 170,272 14.36 66 0.5714 % 2,069.1
Deemed-Retractible 5.22 % 5.78 % 66,331 7.86 27 -0.1401 % 3,157.6
FloatingReset 6.39 % 6.90 % 81,750 12.68 2 2.2817 % 2,376.7
FixedReset Prem 5.15 % 4.05 % 163,110 1.70 20 0.1258 % 2,598.0
FixedReset Bank Non 1.97 % 4.21 % 76,682 2.23 3 0.0693 % 2,680.3
FixedReset Ins Non 5.49 % 8.14 % 103,202 7.79 21 0.9525 % 2,104.0
Performance Highlights
Issue Index Change Notes
NA.PR.E FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 5.85 %
BMO.PR.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.63 %
RY.PR.S FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 5.27 %
GWO.PR.T Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.81 %
CM.PR.P FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.94 %
TD.PF.J FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.56 %
TRP.PR.D FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 6.19 %
BAM.PF.F FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.19 %
TD.PF.C FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 5.71 %
CM.PR.Q FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.93 %
TD.PF.B FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.52 %
TD.PF.A FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.56 %
PWF.PR.A Floater 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 6.16 %
NA.PR.S FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.71 %
BAM.PR.T FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 6.42 %
MFC.PR.G FixedReset Ins Non 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 8.14 %
BMO.PR.T FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.55 %
TRP.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 11.58
Evaluated at bid price : 11.58
Bid-YTW : 6.52 %
BMO.PR.Y FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 5.69 %
TRP.PR.F FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 6.90 %
BMO.PR.W FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 5.74 %
TRP.PR.A FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 6.69 %
BAM.PR.B Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 6.68 %
MFC.PR.N FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.76
Bid-YTW : 9.65 %
CU.PR.C FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.73 %
HSE.PR.A FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 7.40 %
MFC.PR.F FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.56
Bid-YTW : 11.03 %
MFC.PR.M FixedReset Ins Non 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.10
Bid-YTW : 9.45 %
BAM.PF.G FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.37 %
SLF.PR.H FixedReset Ins Non 2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.91
Bid-YTW : 9.04 %
BAM.PR.X FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 12.93
Evaluated at bid price : 12.93
Bid-YTW : 6.30 %
BAM.PR.R FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 14.78
Evaluated at bid price : 14.78
Bid-YTW : 6.40 %
GWO.PR.N FixedReset Ins Non 2.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.96
Bid-YTW : 9.60 %
IFC.PR.C FixedReset Ins Non 2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.39 %
HSE.PR.G FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 7.44 %
PWF.PR.P FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 6.11 %
SLF.PR.J FloatingReset 3.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.89
Bid-YTW : 11.13 %
SLF.PR.G FixedReset Ins Non 3.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.91
Bid-YTW : 10.84 %
TRP.PR.B FixedReset Disc 3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 10.79
Evaluated at bid price : 10.79
Bid-YTW : 6.52 %
IFC.PR.A FixedReset Ins Non 3.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.07
Bid-YTW : 10.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Disc 146,863 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.56 %
CM.PR.S FixedReset Disc 103,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.83 %
RY.PR.Z FixedReset Disc 69,098 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 5.51 %
SLF.PR.G FixedReset Ins Non 51,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.91
Bid-YTW : 10.84 %
CM.PR.T FixedReset Disc 51,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 22.62
Evaluated at bid price : 23.60
Bid-YTW : 5.19 %
BMO.PR.Y FixedReset Disc 46,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 5.69 %
There were 56 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.E FixedReset Disc Quote: 18.02 – 18.56
Spot Rate : 0.5400
Average : 0.3469

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 5.85 %
SLF.PR.H FixedReset Ins Non Quote: 15.91 – 16.40
Spot Rate : 0.4900
Average : 0.3548

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.91
Bid-YTW : 9.04 %
HSE.PR.E FixedReset Disc Quote: 17.07 – 17.43
Spot Rate : 0.3600
Average : 0.2299

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.52 %
MFC.PR.J FixedReset Ins Non Quote: 18.44 – 18.84
Spot Rate : 0.4000
Average : 0.2778

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.44
Bid-YTW : 8.31 %
CM.PR.Q FixedReset Disc Quote: 18.12 – 18.45
Spot Rate : 0.3300
Average : 0.2081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.93 %
GWO.PR.T Deemed-Retractible Quote: 23.85 – 24.15
Spot Rate : 0.3000
Average : 0.1929

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.81 %

Posted in Market Action | 12 Comments »

October 10, 2019

Thursday, October 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 -1.1980 % 1,832.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1980 % 3,363.1
Floater 6.57 % 6.79 % 47,573 12.82 4 -1.1980 % 1,938.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0225 % 3,391.4
SplitShare 4.65 % 4.64 % 56,722 3.96 7 -0.0225 % 4,050.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0225 % 3,160.0
Perpetual-Premium 5.50 % -21.59 % 60,242 0.09 8 0.0735 % 3,024.1
Perpetual-Discount 5.41 % 5.44 % 71,975 14.71 25 0.0795 % 3,199.7
FixedReset Disc 5.71 % 5.45 % 168,265 14.70 66 0.2580 % 2,057.3
Deemed-Retractible 5.21 % 5.77 % 61,419 7.87 27 0.0567 % 3,162.1
FloatingReset 6.50 % 6.97 % 80,878 12.60 2 0.1576 % 2,323.7
FixedReset Prem 5.15 % 3.96 % 169,823 1.71 20 0.0039 % 2,594.8
FixedReset Bank Non 1.97 % 4.09 % 79,251 2.24 3 0.0000 % 2,678.5
FixedReset Ins Non 5.54 % 7.96 % 103,256 7.87 21 0.2121 % 2,084.1
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 7.27 %
PWF.PR.A Floater -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 6.24 %
BAM.PR.B Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 10.27
Evaluated at bid price : 10.27
Bid-YTW : 6.80 %
PWF.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.56 %
TD.PF.D FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.43 %
RY.PR.M FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.38 %
BAM.PR.R FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 6.17 %
IFC.PR.C FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.14
Bid-YTW : 8.48 %
NA.PR.S FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.51 %
BIP.PR.E FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 21.97
Evaluated at bid price : 22.35
Bid-YTW : 5.62 %
GWO.PR.N FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.61
Bid-YTW : 9.61 %
BAM.PF.E FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.19 %
TRP.PR.C FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 6.11 %
BAM.PR.T FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.15 %
HSE.PR.C FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.M FixedReset Prem 111,178 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.04 %
PWF.PR.P FixedReset Disc 83,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 5.81 %
TRP.PR.E FixedReset Disc 60,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.84 %
BIP.PR.D FixedReset Disc 50,162 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 22.42
Evaluated at bid price : 22.86
Bid-YTW : 5.55 %
TD.PF.K FixedReset Disc 49,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.31 %
PWF.PR.A Floater 37,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 6.24 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Y FixedReset Bank Non Quote: 24.53 – 24.83
Spot Rate : 0.3000
Average : 0.1964

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 3.03 %
HSE.PR.G FixedReset Disc Quote: 16.66 – 17.00
Spot Rate : 0.3400
Average : 0.2410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 7.27 %
TRP.PR.E FixedReset Disc Quote: 15.60 – 15.94
Spot Rate : 0.3400
Average : 0.2427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.84 %
BNS.PR.I FixedReset Disc Quote: 20.17 – 20.45
Spot Rate : 0.2800
Average : 0.1919

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 4.94 %
TRP.PR.G FixedReset Disc Quote: 17.10 – 17.39
Spot Rate : 0.2900
Average : 0.2146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.25 %
PWF.PR.L Perpetual-Discount Quote: 23.31 – 23.74
Spot Rate : 0.4300
Average : 0.3546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 23.04
Evaluated at bid price : 23.31
Bid-YTW : 5.47 %

Posted in Market Action | No Comments »

October 9, 2019

Wednesday, October 9th, 2019

PerpetualDiscounts now yield 5.38%, equivalent to 6.99% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.18%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 380bp from the 385bp reported October 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 0.8529 % 1,855.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8529 % 3,403.9
Floater 6.50 % 6.69 % 44,102 12.95 4 0.8529 % 1,961.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1069 % 3,392.1
SplitShare 4.64 % 4.56 % 57,212 3.96 7 0.1069 % 4,050.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1069 % 3,160.7
Perpetual-Premium 5.50 % -21.76 % 60,592 0.09 8 0.3996 % 3,021.8
Perpetual-Discount 5.42 % 5.38 % 72,422 14.70 25 0.3697 % 3,197.2
FixedReset Disc 5.72 % 5.49 % 162,629 14.65 66 0.1363 % 2,052.0
Deemed-Retractible 5.21 % 5.77 % 67,391 7.86 27 0.0867 % 3,160.3
FloatingReset 6.51 % 6.99 % 81,458 12.57 2 0.3162 % 2,320.0
FixedReset Prem 5.15 % 4.11 % 161,816 1.71 20 0.0210 % 2,594.7
FixedReset Bank Non 1.97 % 4.09 % 82,512 2.24 3 -0.0277 % 2,678.5
FixedReset Ins Non 5.55 % 8.01 % 101,644 7.86 21 0.2312 % 2,079.7
Performance Highlights
Issue Index Change Notes
IAF.PR.B Deemed-Retractible -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 6.35 %
BAM.PF.F FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.02 %
TRP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 6.21 %
EMA.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.93 %
MFC.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.23
Bid-YTW : 8.10 %
BAM.PR.B Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 10.43
Evaluated at bid price : 10.43
Bid-YTW : 6.69 %
IFC.PR.C FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.95
Bid-YTW : 8.62 %
MFC.PR.K FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.33 %
TD.PF.A FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 5.27 %
IFC.PR.G FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.89
Bid-YTW : 7.86 %
IAF.PR.I FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 7.73 %
BAM.PR.C Floater 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 6.75 %
PWF.PR.R Perpetual-Premium 1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.20
Bid-YTW : 5.20 %
CM.PR.Q FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 5.66 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.B Deemed-Retractible 344,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 6.29 %
BMO.PR.T FixedReset Disc 106,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.36 %
MFC.PR.G FixedReset Ins Non 55,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.23
Bid-YTW : 8.10 %
BIP.PR.D FixedReset Disc 50,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 22.38
Evaluated at bid price : 22.80
Bid-YTW : 5.56 %
RY.PR.M FixedReset Disc 47,109 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 5.44 %
RY.PR.Q FixedReset Prem 47,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 3.85 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.B Perpetual-Discount Quote: 24.01 – 24.38
Spot Rate : 0.3700
Average : 0.2286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 5.59 %
PWF.PR.L Perpetual-Discount Quote: 23.15 – 23.53
Spot Rate : 0.3800
Average : 0.2719

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 5.51 %
BAM.PF.G FixedReset Disc Quote: 16.93 – 17.27
Spot Rate : 0.3400
Average : 0.2368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 6.16 %
BIP.PR.E FixedReset Disc Quote: 22.01 – 22.50
Spot Rate : 0.4900
Average : 0.3881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 21.72
Evaluated at bid price : 22.01
Bid-YTW : 5.71 %
CM.PR.P FixedReset Disc Quote: 15.70 – 16.00
Spot Rate : 0.3000
Average : 0.2071

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.63 %
BIP.PR.A FixedReset Disc Quote: 17.85 – 18.25
Spot Rate : 0.4000
Average : 0.3076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.83 %

Posted in Market Action | 1 Comment »

October 8, 2019

Wednesday, October 9th, 2019

Here’s a sign of the times:

The latest property owner to attempt an initial public offering is aiming to pay an annual yield around 2 per cent, an uncommonly low rate that illustrates the heavy demand for Canadian apartment buildings.

Late last week, Toronto-based Continuum Residential Real Estate Investment Trust filed the paperwork for its IPO. According to two people familiar with the offering, the issuer is looking to raise $300-million and would pay investors 2 per cent annually if its units are priced at the mid-point of their marketing range.
…
Amid such heavy demand, Minto Apartment REIT was able to go public in 2018 at a 2.8-per-cent yield and, 16 months later, Continuum is targeting an even lower level.
…
Continuum’s bet reflects the conditions of the current market. Canadian Apartment Properties REIT, the country’s largest publicly traded rental-unit owner, now trades at a 2.4-per-cent yield, and Minto’s units have performed so well since the REIT’s IPO that they now yield 1.9 per cent.

Sorry this is so late! A number of non-market things came up unexpectedly last night!

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 -0.5419 % 1,839.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5419 % 3,375.1
Floater 6.55 % 6.75 % 42,987 12.88 4 -0.5419 % 1,945.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,388.5
SplitShare 4.65 % 4.64 % 57,242 3.97 7 -0.0787 % 4,046.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,157.3
Perpetual-Premium 5.47 % -16.47 % 59,034 0.09 8 0.0683 % 3,009.8
Perpetual-Discount 5.42 % 5.49 % 68,169 14.55 25 0.1246 % 3,185.4
FixedReset Disc 5.72 % 5.48 % 164,532 14.61 66 -0.3118 % 2,049.2
Deemed-Retractible 5.22 % 5.78 % 62,195 7.87 27 -0.0016 % 3,157.5
FloatingReset 6.53 % 7.02 % 82,774 12.53 2 0.1980 % 2,312.7
FixedReset Prem 5.15 % 4.10 % 164,375 1.71 20 0.0373 % 2,594.1
FixedReset Bank Non 1.97 % 4.05 % 85,907 2.24 3 0.1804 % 2,679.2
FixedReset Ins Non 5.57 % 8.02 % 98,868 7.88 21 -0.2598 % 2,074.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 10.24
Evaluated at bid price : 10.24
Bid-YTW : 6.27 %
EMA.PR.C FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.99 %
EMA.PR.F FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 6.17 %
HSE.PR.C FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 7.15 %
BAM.PF.A FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 5.96 %
BAM.PF.E FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 15.42
Evaluated at bid price : 15.42
Bid-YTW : 6.30 %
TRP.PR.A FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 6.35 %
BAM.PR.X FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 6.13 %
BAM.PR.R FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 6.23 %
BIP.PR.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 6.80 %
IAF.PR.G FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.95 %
GWO.PR.N FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.52
Bid-YTW : 9.68 %
IAF.PR.B Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 6.18 %
SLF.PR.J FloatingReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.50
Bid-YTW : 11.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 74,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 23.09
Evaluated at bid price : 24.75
Bid-YTW : 5.01 %
EMA.PR.C FixedReset Disc 58,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.99 %
BAM.PF.D Perpetual-Discount 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.83 %
PWF.PR.L Perpetual-Discount 52,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 5.51 %
CM.PR.S FixedReset Disc 47,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 5.52 %
BMO.PR.Y FixedReset Disc 40,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 5.49 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.R FixedReset Ins Non Quote: 24.23 – 24.70
Spot Rate : 0.4700
Average : 0.3097

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 5.50 %
IFC.PR.C FixedReset Ins Non Quote: 16.74 – 17.19
Spot Rate : 0.4500
Average : 0.3134

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.74
Bid-YTW : 8.78 %
TD.PF.A FixedReset Disc Quote: 16.77 – 17.07
Spot Rate : 0.3000
Average : 0.2010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.35 %
NA.PR.G FixedReset Disc Quote: 19.73 – 19.98
Spot Rate : 0.2500
Average : 0.1576

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 5.39 %
PVS.PR.E SplitShare Quote: 25.51 – 25.78
Spot Rate : 0.2700
Average : 0.1816

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.97 %
NA.PR.C FixedReset Disc Quote: 21.14 – 21.35
Spot Rate : 0.2100
Average : 0.1302

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.51 %

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October 7, 2019

Monday, October 7th, 2019

Look what’s back!

Low borrowing costs and strong investor demand have led to a rush of activity in the “maple” bond market, as global public-sector entities tap the Canadian debt market for cash.

Public-sector borrowers have issued $5.2-billion worth of maple bonds in the past three months.
…
There have been nine Canadian-dollar bond offerings by SSAs [sovereigns, supranationals and agencies] totalling $7.2-billion since the start of 2019. That’s more than was issued in the past three years combined. Public-sector borrowers issued $5.5-billion worth of maple bonds in all of 2018, none in 2017 and $1-billion in 2016, according to data from RBC.

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 0.9515 % 1,849.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9515 % 3,393.5
Floater 6.52 % 6.71 % 43,184 12.93 4 0.9515 % 1,955.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1070 % 3,391.2
SplitShare 4.65 % 4.55 % 58,159 3.97 7 0.1070 % 4,049.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1070 % 3,159.8
Perpetual-Premium 5.48 % -12.23 % 59,607 0.09 8 0.0684 % 3,007.8
Perpetual-Discount 5.42 % 5.50 % 63,086 14.51 25 0.1630 % 3,181.4
FixedReset Disc 5.70 % 5.48 % 163,626 14.66 66 0.2768 % 2,055.6
Deemed-Retractible 5.22 % 5.74 % 62,900 7.87 27 0.2909 % 3,157.6
FloatingReset 6.54 % 6.98 % 86,156 12.59 2 0.3976 % 2,308.2
FixedReset Prem 5.15 % 4.19 % 160,830 1.71 20 0.0570 % 2,593.2
FixedReset Bank Non 1.97 % 4.08 % 85,780 2.25 3 0.0972 % 2,674.4
FixedReset Ins Non 5.55 % 8.07 % 98,696 7.88 21 0.5383 % 2,080.3
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.01 %
HSE.PR.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 7.02 %
TD.PF.D FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.48 %
MFC.PR.N FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.61
Bid-YTW : 9.43 %
TRP.PR.D FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 6.04 %
GWO.PR.S Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.49
Bid-YTW : 5.56 %
BAM.PR.C Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 6.78 %
BIP.PR.A FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.71 %
BAM.PF.A FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.86 %
TRP.PR.A FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 12.91
Evaluated at bid price : 12.91
Bid-YTW : 6.26 %
BAM.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 10.34
Evaluated at bid price : 10.34
Bid-YTW : 6.75 %
SLF.PR.H FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.56
Bid-YTW : 9.06 %
BAM.PR.Z FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 5.95 %
BAM.PR.R FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 6.15 %
MFC.PR.J FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 8.07 %
IAF.PR.B Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.34
Bid-YTW : 6.05 %
BAM.PR.K Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 10.40
Evaluated at bid price : 10.40
Bid-YTW : 6.71 %
PWF.PR.P FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 5.84 %
MFC.PR.Q FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 8.07 %
MFC.PR.F FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.44
Bid-YTW : 10.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Disc 95,239 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.44 %
TD.PF.M FixedReset Disc 79,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 23.09
Evaluated at bid price : 24.75
Bid-YTW : 5.00 %
TD.PF.L FixedReset Disc 79,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 22.94
Evaluated at bid price : 24.31
Bid-YTW : 4.85 %
PWF.PR.P FixedReset Disc 45,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 5.84 %
TRP.PR.J FixedReset Prem 40,105 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 3.55 %
TD.PF.H FixedReset Prem 37,068 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.61 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 16.25 – 16.85
Spot Rate : 0.6000
Average : 0.4087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.46 %
BAM.PF.B FixedReset Disc Quote: 17.02 – 17.48
Spot Rate : 0.4600
Average : 0.2721

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.01 %
EMA.PR.F FixedReset Disc Quote: 16.45 – 16.99
Spot Rate : 0.5400
Average : 0.4213

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.05 %
MFC.PR.B Deemed-Retractible Quote: 21.55 – 21.93
Spot Rate : 0.3800
Average : 0.2860

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.58 %
HSE.PR.A FixedReset Disc Quote: 10.51 – 10.94
Spot Rate : 0.4300
Average : 0.3450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 7.07 %
BMO.PR.E FixedReset Disc Quote: 20.15 – 20.50
Spot Rate : 0.3500
Average : 0.2716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.25 %

Posted in Market Action | No Comments »

October 4, 2019

Friday, October 4th, 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 -0.2136 % 1,831.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2136 % 3,361.5
Floater 6.58 % 6.81 % 43,737 12.81 4 -0.2136 % 1,937.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,387.5
SplitShare 4.65 % 4.54 % 53,861 3.98 7 -0.0787 % 4,045.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,156.4
Perpetual-Premium 5.58 % -20.28 % 58,469 0.09 6 0.0583 % 3,005.7
Perpetual-Discount 5.41 % 5.49 % 68,512 14.51 28 0.1651 % 3,176.2
FixedReset Disc 5.63 % 5.59 % 178,416 14.36 72 0.1843 % 2,050.0
Deemed-Retractible 5.23 % 5.77 % 63,773 7.88 27 0.2298 % 3,148.4
FloatingReset 4.69 % 7.03 % 63,906 7.84 3 0.5676 % 2,299.0
FixedReset Prem 5.26 % 3.89 % 124,184 1.55 14 0.1474 % 2,591.7
FixedReset Bank Non 1.97 % 4.21 % 84,989 2.25 3 0.2367 % 2,671.8
FixedReset Ins Non 5.58 % 8.21 % 99,969 7.82 21 0.2190 % 2,069.2
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 5.64 %
EMA.PR.C FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 5.95 %
BMO.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.46 %
BAM.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.06 %
BMO.PR.E FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.38 %
BAM.PF.G FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.36 %
MFC.PR.J FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.24
Bid-YTW : 8.34 %
RY.PR.J FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.56 %
BAM.PF.F FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.21 %
SLF.PR.I FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 7.87 %
IAF.PR.B Deemed-Retractible 1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.24 %
BMO.PR.Z Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 24.22
Evaluated at bid price : 24.70
Bid-YTW : 5.10 %
TRP.PR.B FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 10.43
Evaluated at bid price : 10.43
Bid-YTW : 6.46 %
TRP.PR.F FloatingReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 7.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PVS.PR.E SplitShare 57,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 5.08 %
MFC.PR.H FixedReset Ins Non 51,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.96 %
NA.PR.S FixedReset Disc 30,853 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.71 %
BAM.PF.F FixedReset Disc 28,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.21 %
TD.PF.I FixedReset Disc 24,579 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.36 %
TD.PF.K FixedReset Disc 20,364 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.46 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Disc Quote: 18.13 – 18.47
Spot Rate : 0.3400
Average : 0.2061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 6.17 %
PWF.PR.P FixedReset Disc Quote: 12.16 – 12.51
Spot Rate : 0.3500
Average : 0.2307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 6.18 %
HSE.PR.G FixedReset Disc Quote: 17.20 – 17.69
Spot Rate : 0.4900
Average : 0.3787

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.22 %
CU.PR.G Perpetual-Discount Quote: 21.11 – 21.49
Spot Rate : 0.3800
Average : 0.2694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.40 %
EIT.PR.A SplitShare Quote: 25.46 – 25.88
Spot Rate : 0.4200
Average : 0.3133

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.43 %
PVS.PR.G SplitShare Quote: 25.50 – 25.75
Spot Rate : 0.2500
Average : 0.1473

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.63 %

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