Archive for the ‘Market Action’ Category

December 13, 2019

Saturday, December 14th, 2019

I had a stray thought today regarding the HSE.PR.C reset fiasco … if they calculated the rate in good faith as of November 29, why didn’t they announce the rate on November 29?

But now it’s time for PrefLetter!

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 1.2857 % 2,016.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2857 % 3,699.4
Floater 6.05 % 6.18 % 57,958 13.67 4 1.2857 % 2,132.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0953 % 3,445.2
SplitShare 4.63 % 4.11 % 41,255 3.84 7 0.0953 % 4,114.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0953 % 3,210.1
Perpetual-Premium 5.55 % -11.63 % 58,385 0.09 10 -0.2889 % 3,039.7
Perpetual-Discount 5.28 % 5.36 % 70,921 14.87 25 0.3881 % 3,280.3
FixedReset Disc 5.58 % 5.81 % 205,252 14.19 66 0.1000 % 2,114.9
Deemed-Retractible 5.19 % 5.29 % 72,090 14.92 27 0.0668 % 3,217.2
FloatingReset 6.10 % 6.31 % 130,430 13.49 2 0.6273 % 2,525.3
FixedReset Prem 5.11 % 3.59 % 151,683 1.53 20 0.0273 % 2,633.2
FixedReset Bank Non 1.95 % 3.93 % 60,359 2.06 3 0.0411 % 2,712.4
FixedReset Ins Non 5.48 % 5.84 % 131,435 14.14 22 0.3629 % 2,139.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 5.94 %
PWF.PR.I Perpetual-Premium -1.96 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-12
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -11.63 %
HSE.PR.A FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 7.54 %
MFC.PR.R FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 23.31
Evaluated at bid price : 24.45
Bid-YTW : 5.46 %
PWF.PR.G Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-12
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : -12.30 %
MFC.PR.F FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 5.97 %
GWO.PR.N FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 5.30 %
SLF.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 5.77 %
MFC.PR.M FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.82 %
MFC.PR.I FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 5.94 %
IAF.PR.G FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.86 %
PWF.PR.E Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-12
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -5.93 %
TRP.PR.F FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 6.31 %
MFC.PR.L FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 5.72 %
PWF.PR.K Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 23.04
Evaluated at bid price : 23.31
Bid-YTW : 5.37 %
PWF.PR.S Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.40
Evaluated at bid price : 22.81
Bid-YTW : 5.31 %
BAM.PF.C Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.53 %
HSE.PR.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.43 %
IFC.PR.G FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.91 %
EMA.PR.F FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.23 %
SLF.PR.H FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.88 %
TRP.PR.A FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.13 %
PWF.PR.P FixedReset Disc 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.93 %
PWF.PR.A Floater 4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 5.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset Disc 210,314 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 5.82 %
MFC.PR.N FixedReset Ins Non 158,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 5.93 %
BMO.PR.E FixedReset Disc 89,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.77 %
PWF.PR.P FixedReset Disc 75,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.93 %
NA.PR.S FixedReset Disc 72,178 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 5.98 %
EMA.PR.C FixedReset Disc 71,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.19 %
There were 69 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.R Perpetual-Premium Quote: 25.37 – 25.96
Spot Rate : 0.5900
Average : 0.3635

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.87 %

PWF.PR.A Floater Quote: 12.29 – 12.94
Spot Rate : 0.6500
Average : 0.4488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 5.69 %

CM.PR.Y FixedReset Disc Quote: 24.34 – 24.74
Spot Rate : 0.4000
Average : 0.2716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.95
Evaluated at bid price : 24.34
Bid-YTW : 5.36 %

CU.PR.E Perpetual-Discount Quote: 23.07 – 23.46
Spot Rate : 0.3900
Average : 0.2690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.79
Evaluated at bid price : 23.07
Bid-YTW : 5.34 %

POW.PR.B Perpetual-Discount Quote: 24.84 – 25.15
Spot Rate : 0.3100
Average : 0.2123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 24.59
Evaluated at bid price : 24.84
Bid-YTW : 5.47 %

IFC.PR.A FixedReset Ins Non Quote: 14.16 – 14.43
Spot Rate : 0.2700
Average : 0.1791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 5.94 %

December 12, 2019

Friday, December 13th, 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 1.1893 % 1,990.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1893 % 3,652.5
Floater 6.13 % 6.21 % 58,235 13.63 4 1.1893 % 2,104.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,441.9
SplitShare 4.63 % 4.13 % 42,946 3.84 7 0.0168 % 4,110.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,207.1
Perpetual-Premium 5.53 % -16.78 % 56,415 0.09 10 0.0547 % 3,048.5
Perpetual-Discount 5.30 % 5.39 % 71,015 14.77 25 0.0091 % 3,267.6
FixedReset Disc 5.59 % 5.78 % 202,768 14.20 66 0.9170 % 2,112.8
Deemed-Retractible 5.18 % 5.29 % 74,585 14.91 27 -0.0204 % 3,215.1
FloatingReset 6.13 % 6.38 % 134,799 13.39 2 1.6504 % 2,509.5
FixedReset Prem 5.11 % 3.58 % 152,930 1.54 20 -0.0443 % 2,632.5
FixedReset Bank Non 1.95 % 3.94 % 60,272 2.07 3 0.0549 % 2,711.3
FixedReset Ins Non 5.49 % 5.85 % 131,491 14.11 22 0.7558 % 2,132.0
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.12 %
BIK.PR.A FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 5.17 %
TD.PF.C FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.71 %
BAM.PF.J FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 23.37
Evaluated at bid price : 25.00
Bid-YTW : 4.66 %
CM.PR.Y FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 23.03
Evaluated at bid price : 24.56
Bid-YTW : 5.28 %
TD.PF.K FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 5.66 %
NA.PR.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.98 %
BMO.PR.Y FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.74 %
CM.PR.Q FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.95 %
SLF.PR.I FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.85 %
CM.PR.P FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.98 %
BAM.PF.G FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.24 %
CM.PR.O FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 5.92 %
BAM.PR.T FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 6.27 %
HSE.PR.C FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 7.13 %
RY.PR.S FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 5.58 %
NA.PR.S FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.91 %
SLF.PR.H FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.97 %
BMO.PR.E FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 5.73 %
BAM.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 6.21 %
BMO.PR.T FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.70 %
BAM.PR.C Floater 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 11.06
Evaluated at bid price : 11.06
Bid-YTW : 6.26 %
BAM.PF.E FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 6.24 %
BIP.PR.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 6.18 %
EMA.PR.F FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 6.31 %
MFC.PR.N FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 5.87 %
TRP.PR.E FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.18 %
BAM.PF.B FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 5.95 %
BAM.PR.K Floater 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 6.21 %
TRP.PR.B FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 11.61
Evaluated at bid price : 11.61
Bid-YTW : 6.19 %
TRP.PR.C FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 6.38 %
PWF.PR.P FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 6.15 %
HSE.PR.G FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.33 %
BMO.PR.S FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.61 %
IFC.PR.G FixedReset Ins Non 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.00 %
SLF.PR.G FixedReset Ins Non 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 12.96
Evaluated at bid price : 12.96
Bid-YTW : 5.80 %
IFC.PR.A FixedReset Ins Non 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 5.80 %
NA.PR.W FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 6.00 %
TRP.PR.D FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.11 %
MFC.PR.F FixedReset Ins Non 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 5.88 %
GWO.PR.N FixedReset Ins Non 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.32 %
SLF.PR.J FloatingReset 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 5.89 %
BAM.PR.X FixedReset Disc 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 6.17 %
HSE.PR.A FixedReset Disc 4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 11.07
Evaluated at bid price : 11.07
Bid-YTW : 7.39 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.P FixedReset Disc 179,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 6.15 %
CM.PR.R FixedReset Disc 145,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 5.85 %
CM.PR.S FixedReset Disc 143,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.89 %
TD.PF.J FixedReset Disc 135,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 5.72 %
BNS.PR.G FixedReset Prem 129,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.53 %
MFC.PR.M FixedReset Ins Non 116,608 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.86 %
There were 59 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: 18.48 – 19.17
Spot Rate : 0.6900
Average : 0.4317

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 5.90 %

PVS.PR.F SplitShare Quote: 25.35 – 25.82
Spot Rate : 0.4700
Average : 0.3266

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.51 %

CM.PR.Q FixedReset Disc Quote: 18.55 – 18.97
Spot Rate : 0.4200
Average : 0.2906

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.95 %

MFC.PR.G FixedReset Ins Non Quote: 18.62 – 18.99
Spot Rate : 0.3700
Average : 0.2473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 5.98 %

CU.PR.I FixedReset Prem Quote: 25.18 – 25.55
Spot Rate : 0.3700
Average : 0.2540

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.89 %

BAM.PF.E FixedReset Disc Quote: 16.69 – 17.05
Spot Rate : 0.3600
Average : 0.2447

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-12
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 6.24 %

December 11, 2019

Wednesday, December 11th, 2019

Nothing surprising in today’s FOMC release:

Information received since the Federal Open Market Committee met in October indicates that the labor market remains strong and that economic activity has been rising at a moderate rate. Job gains have been solid, on average, in recent months, and the unemployment rate has remained low. Although household spending has been rising at a strong pace, business fixed investment and exports remain weak. On a 12‑month basis, overall inflation and inflation for items other than food and energy are running below 2 percent. Market-based measures of inflation compensation remain low; survey-based measures of longer-term inflation expectations are little changed.

Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee decided to maintain the target range for the federal funds rate at 1‑1/2 to 1-3/4 percent. The Committee judges that the current stance of monetary policy is appropriate to support sustained expansion of economic activity, strong labor market conditions, and inflation near the Committee’s symmetric 2 percent objective. The Committee will continue to monitor the implications of incoming information for the economic outlook, including global developments and muted inflation pressures, as it assesses the appropriate path of the target range for the federal funds rate.

In determining the timing and size of future adjustments to the target range for the federal funds rate, the Committee will assess realized and expected economic conditions relative to its maximum employment objective and its symmetric 2 percent inflation objective. This assessment will take into account a wide range of information, including measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; James Bullard; Richard H. Clarida; Charles L. Evans; Esther L. George; Randal K. Quarles; and Eric S. Rosengren.

PerpetualDiscounts now yield 5.42%, equivalent to 7.05% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.37%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 370bp from the 375bp reported December 4.

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 -0.3101 % 1,967.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3101 % 3,609.5
Floater 6.14 % 6.33 % 59,014 13.30 4 -0.3101 % 2,080.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,441.3
SplitShare 4.63 % 4.11 % 44,706 3.84 7 0.0168 % 4,109.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,206.6
Perpetual-Premium 5.54 % -16.96 % 56,415 0.09 10 0.0430 % 3,046.8
Perpetual-Discount 5.29 % 5.42 % 71,169 14.72 25 0.0965 % 3,267.3
FixedReset Disc 5.63 % 5.81 % 203,897 14.13 66 0.2434 % 2,093.6
Deemed-Retractible 5.18 % 5.29 % 75,454 14.91 27 0.1192 % 3,215.7
FloatingReset 6.24 % 6.40 % 135,427 13.36 2 0.0000 % 2,468.8
FixedReset Prem 5.11 % 3.72 % 127,894 1.54 20 0.0156 % 2,633.7
FixedReset Bank Non 1.95 % 3.94 % 61,496 2.07 3 -0.0411 % 2,709.8
FixedReset Ins Non 5.53 % 5.91 % 123,682 14.06 22 0.0835 % 2,116.0
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 13.12
Evaluated at bid price : 13.12
Bid-YTW : 5.47 %
BIP.PR.C FixedReset Prem 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.91 %
TD.PF.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 5.77 %
BAM.PF.B FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.07 %
MFC.PR.N FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 5.95 %
RY.PR.H FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.61 %
HSE.PR.C FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 7.22 %
IFC.PR.C FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 158,855 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 5.64 %
CM.PR.S FixedReset Disc 123,009 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.91 %
HSE.PR.C FixedReset Disc 67,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 7.22 %
TD.PF.K FixedReset Disc 61,190 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 5.72 %
TRP.PR.E FixedReset Disc 59,597 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 6.28 %
IFC.PR.C FixedReset Ins Non 59,213 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.02 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.E Perpetual-Discount Quote: 21.22 – 21.60
Spot Rate : 0.3800
Average : 0.2326

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.36 %

HSE.PR.A FixedReset Disc Quote: 10.62 – 11.20
Spot Rate : 0.5800
Average : 0.4516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 10.62
Evaluated at bid price : 10.62
Bid-YTW : 7.70 %

MFC.PR.K FixedReset Ins Non Quote: 16.90 – 17.29
Spot Rate : 0.3900
Average : 0.2713

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.88 %

BAM.PF.H FixedReset Prem Quote: 25.95 – 26.26
Spot Rate : 0.3100
Average : 0.1942

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 2.28 %

BAM.PR.M Perpetual-Discount Quote: 21.69 – 22.04
Spot Rate : 0.3500
Average : 0.2498

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-11
Maturity Price : 21.43
Evaluated at bid price : 21.69
Bid-YTW : 5.57 %

BAM.PF.I FixedReset Prem Quote: 25.82 – 26.14
Spot Rate : 0.3200
Average : 0.2321

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 3.74 %

December 10, 2019

Tuesday, December 10th, 2019

How about them ETFs, eh?:

Canadian-listed exchange-traded funds (ETFs) recently crossed the $200-billion asset mark and record inflows are expected in 2019, amid an increase in purchases of conservative fixed-income funds from retail investors seeking more safety.

The year’s inflows to the end of November amounted to $23.5-billion, on pace with the record $26-billion flow for all of 2017, according to data from the National Bank Financial Inc. (NBF) ETF research and strategy group.

ETFs crossed the $200-billion mark on the last day of November and the month’s inflow of $4.5-billion was the highest of the year and one of the highest ever, says Daniel Straus, vice-president of ETFs and financial products research at NBF.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 1,973.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,620.8
Floater 6.12 % 6.29 % 59,742 13.36 4 0.0000 % 2,086.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0617 % 3,440.8
SplitShare 4.63 % 4.30 % 44,706 3.85 7 0.0617 % 4,109.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0617 % 3,206.0
Perpetual-Premium 5.54 % -17.13 % 56,011 0.09 10 0.0626 % 3,045.5
Perpetual-Discount 5.29 % 5.44 % 71,802 14.69 25 0.0603 % 3,264.2
FixedReset Disc 5.64 % 5.83 % 201,994 14.09 66 0.0596 % 2,088.5
Deemed-Retractible 5.19 % 5.29 % 75,852 14.91 27 -0.0674 % 3,211.9
FloatingReset 6.24 % 6.40 % 136,294 13.37 2 2.3417 % 2,468.8
FixedReset Prem 5.11 % 3.54 % 147,146 1.54 20 0.0351 % 2,633.2
FixedReset Bank Non 1.95 % 3.93 % 63,724 2.07 3 0.0000 % 2,710.9
FixedReset Ins Non 5.54 % 5.91 % 120,652 14.06 22 0.1520 % 2,114.2
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 21.64
Evaluated at bid price : 21.89
Bid-YTW : 5.32 %
BAM.PF.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.13 %
NA.PR.G FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.99 %
SLF.PR.G FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 5.95 %
BMO.PR.W FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.70 %
BIP.PR.F FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 21.89
Evaluated at bid price : 22.30
Bid-YTW : 5.71 %
BAM.PR.M Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.52 %
MFC.PR.L FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 5.86 %
MFC.PR.M FixedReset Ins Non 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.78 %
SLF.PR.J FloatingReset 4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 6.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.K FixedReset Disc 131,433 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.74 %
RY.PR.Z FixedReset Disc 122,049 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.66 %
BNS.PR.I FixedReset Disc 73,077 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.73 %
CM.PR.O FixedReset Disc 72,916 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 6.02 %
TRP.PR.E FixedReset Disc 71,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.30 %
BMO.PR.Y FixedReset Disc 66,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.81 %
There were 63 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Disc Quote: 15.96 – 16.37
Spot Rate : 0.4100
Average : 0.2414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 6.11 %

TD.PF.E FixedReset Disc Quote: 19.24 – 19.75
Spot Rate : 0.5100
Average : 0.3711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 5.84 %

IFC.PR.C FixedReset Ins Non Quote: 17.27 – 17.70
Spot Rate : 0.4300
Average : 0.2958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.13 %

ELF.PR.H Perpetual-Premium Quote: 25.16 – 25.49
Spot Rate : 0.3300
Average : 0.2088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 24.86
Evaluated at bid price : 25.16
Bid-YTW : 5.54 %

BAM.PR.T FixedReset Disc Quote: 15.40 – 15.74
Spot Rate : 0.3400
Average : 0.2214

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 6.37 %

TD.PF.C FixedReset Disc Quote: 16.75 – 17.06
Spot Rate : 0.3100
Average : 0.1917

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-10
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.83 %

December 9, 2019

Monday, December 9th, 2019

There’s a good article in Forbes by Steve Denning about a new indicator, the Job Quality Index.

The U.S. Private Sector Job Quality Index (JQI) assesses job quality in the United States by measuring desirable higher-wage/higher-hour jobs versus lower-wage/lower-hour jobs. The JQI results also may serve as a proxy for the overall health of the U.S. jobs market, since the index enables month-by-month tracking of the direction and degree of change in high-to-low job composition.

By tracking this information, policymakers and financial market participants can be more fully informed of past developments, current trends, and likely future developments in the absence of policy intervention. Economists and international organizations have in recent years developed other, complementary conceptions of job quality such as those addressing the emotional satisfaction employees derive from their jobs.

For the purposes of this JQI, “job quality” means the weekly dollar-income a job generates for an employee. Payment, after all, is a primary reason why people work: the income generated by a job being necessary to maintain a standard of living, to provide for the essentials of life and, hopefully, to save for retirement, among other things.

jqi_191206
Click for Big

It’s a different world from the one where I got my start, all right.

I sent another eMail via Husky Energy’s on-line form about their anomalous reset calculation for HSE.PR.C. Still no answer, but I’m not the only one querying them.

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 0.0443 % 1,973.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0443 % 3,620.8
Floater 6.12 % 6.33 % 55,297 13.30 4 0.0443 % 2,086.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2813 % 3,438.6
SplitShare 4.64 % 4.34 % 44,519 3.85 7 0.2813 % 4,106.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2813 % 3,204.0
Perpetual-Premium 5.54 % -15.56 % 56,012 0.09 10 -0.0156 % 3,043.6
Perpetual-Discount 5.30 % 5.41 % 70,509 14.75 25 -0.0379 % 3,262.2
FixedReset Disc 5.65 % 5.84 % 193,509 14.13 66 -0.0166 % 2,087.3
Deemed-Retractible 5.19 % 5.29 % 76,118 14.95 27 -0.0172 % 3,214.0
FloatingReset 6.38 % 6.42 % 132,538 13.35 2 -1.6239 % 2,412.3
FixedReset Prem 5.11 % 3.71 % 150,515 1.55 20 0.1463 % 2,632.3
FixedReset Bank Non 1.95 % 3.82 % 66,143 2.07 3 -0.0411 % 2,710.9
FixedReset Ins Non 5.55 % 5.91 % 119,197 14.01 22 -0.1619 % 2,111.0
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 12.09
Evaluated at bid price : 12.09
Bid-YTW : 6.36 %
BIP.PR.F FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 5.79 %
MFC.PR.M FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 5.88 %
SLF.PR.H FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 6.04 %
MFC.PR.H FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 5.97 %
BNS.PR.I FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.77 %
MFC.PR.K FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.83 %
BMO.PR.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.86 %
NA.PR.E FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 6.08 %
IFC.PR.A FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 5.89 %
EIT.PR.B SplitShare 1.15 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.34 %
TRP.PR.D FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.24 %
PWF.PR.P FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 12.82
Evaluated at bid price : 12.82
Bid-YTW : 6.21 %
BAM.PR.R FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 6.40 %
TRP.PR.A FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 6.30 %
BAM.PF.B FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.06 %
GWO.PR.N FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 5.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.J FixedReset Disc 127,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 5.74 %
BAM.PR.Z FixedReset Disc 127,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 6.12 %
BMO.PR.E FixedReset Disc 91,946 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.86 %
RY.PR.P Perpetual-Premium 88,136 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-24
Maturity Price : 25.25
Evaluated at bid price : 25.66
Bid-YTW : 4.85 %
TRP.PR.A FixedReset Disc 76,071 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 6.30 %
MFC.PR.M FixedReset Ins Non 76,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 5.88 %
There were 65 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 12.09 – 12.65
Spot Rate : 0.5600
Average : 0.3520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 12.09
Evaluated at bid price : 12.09
Bid-YTW : 6.36 %

BIP.PR.F FixedReset Disc Quote: 22.00 – 22.55
Spot Rate : 0.5500
Average : 0.3510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 5.79 %

SLF.PR.I FixedReset Ins Non Quote: 17.99 – 18.47
Spot Rate : 0.4800
Average : 0.2950

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 5.95 %

RY.PR.S FixedReset Disc Quote: 18.61 – 18.98
Spot Rate : 0.3700
Average : 0.2135

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 5.67 %

TD.PF.L FixedReset Disc Quote: 23.63 – 23.98
Spot Rate : 0.3500
Average : 0.2132

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-09
Maturity Price : 22.65
Evaluated at bid price : 23.63
Bid-YTW : 5.25 %

PVS.PR.E SplitShare Quote: 25.68 – 25.99
Spot Rate : 0.3100
Average : 0.1812

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.53 %

December 6, 2019

Friday, December 6th, 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 0.0
0
0 -0.0443 % 1,972.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0443 % 3,619.2
Floater 6.13 % 6.29 % 55,052 13.37 4 -0.0443 % 2,085.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0506 % 3,429.0
SplitShare 4.65 % 4.43 % 44,846 3.85 7 -0.0506 % 4,095.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0506 % 3,195.0
Perpetual-Premium 5.54 % -15.65 % 55,592 0.09 10 0.1135 % 3,044.1
Perpetual-Discount 5.29 % 5.41 % 70,783 14.76 25 -0.0706 % 3,263.4
FixedReset Disc 5.64 % 5.75 % 193,111 14
.21
66 -0.0166 % 2,087.6
Deemed-Retractible 5.19 % 5.27 % 76,231 14.93 27 -0.0282 % 3,214.6
FloatingReset 6.28 % 6.46 % 131,329 13.29 2 0.7227 % 2,452.1
FixedReset Prem 5.12 % 3.71 % 152,298 1.55 20 0.0215 % 2,628.5
FixedReset Bank Non 1.95 % 3.96 % 66,836 2.09 3 0.0686 % 2,712.0
FixedReset Ins Non 5.54 % 5.83 % 121,171 14.17 22 -0.2070 % 2,114.4
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 5.87 %
MFC.PR.M FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.70 %
PWF.PR.A Floater -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 11.69
Evaluated at bid price : 11.69
Bid-YTW : 5.98 %
HSE.PR.A FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 7.60 %
BAM.PF.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.08 %
RY.PR.S FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.60 %
SLF.PR.J FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 6.08 %
TRP.PR.B FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.14 %
EMA.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 6.16 %
TRP.PR.F FloatingReset 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 6.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.C Floater 135,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 11.09
Evaluated at bid price : 11.09
Bid-YTW : 6.35 %
MFC.PR.M FixedReset Ins Non 81,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.70 %
TRP.PR.E FixedReset Disc 76,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 6.18 %
BAM.PF.D Perpetual-Discount 74,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 22.07
Evaluated at bid price : 22.41
Bid-YTW : 5.55 %
MFC.PR.B Deemed-Retractible 59,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 21.89
Evaluated at bid price : 22.13
Bid-YTW : 5.26 %
NA.PR.W FixedReset Disc 59,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 6.03 %
There were 53 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 17.80 – 18.34
Spot Rate : 0.5400
Average : 0.3434


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.08 %
HSE.PR.A FixedReset Disc Quote: 10.56 – 11.15
Spot Rate : 0.5900
Average : 0.4211


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 7.60 %
BIP.PR.A FixedReset Disc Quote: 20.51 – 21.00
Spot Rate : 0.4900
Average : 0.3565


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.22 %
PWF.PR.P FixedReset Disc Quote: 12.66 – 13.04
Spot Rate : 0.3800
Average : 0.2774


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 6.17 %
PWF.PR.F Perpetual-Discount Quote: 24.26 – 24.64
Spot Rate : 0.3800
Average : 0.2858


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 5.47 %
EMA.PR.F FixedReset Disc Quote: 16.71 – 17.00
Spot Rate : 0.2900
Average : 0.2057


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 6.31 %

December 5, 2019

Friday, December 6th, 2019

I was pleased to see that Atlantic Power ‘fessed up to their error regarding the reset rate for AZP.PR.B. Very impressive! It isn’t “making no errors” that makes you good; errors happen all the time. It’s recognizing, acknowledging and fixing errors that makes you good.

I just wish Husky Energy was as prompt! I have used their online form to contact Investor Relations:

I would appreciate greater detail regarding the reset rate for HSE.PR.C announced December 2, specifically the Government of Canada 5-Year Bond Yield used as the basis for this calculation.

Can you please tell me the effective date and time that the Government of Canada 5-Year Bond Yield was measured for the purpose of this calculation?

Sincerely,

I urge anybody who has a spare minute today to similarly contact the company to ask this question. This is a brief, simple question regarding a matter of fact and while I appreciate that they have a lot going on at the moment, this is my third eMail to them. First be polite, then be annoying, that’s my motto!

Shaw Communications issued 30-Year Notes today:

Shaw Communications Inc. (“Shaw” or the “Corporation”) announced today the terms of an offering of C$800 million of senior notes, comprised of C$500 million principal amount of 3.30% senior notes due 2029 (the “2029 Notes”) and C$300 million principal amount of 4.25% senior notes due 2049 (the “2049 Notes”, and together with the 2029 Notes, the “Notes”).

SJR.PR.A currently yields 6.59% (equivalent to interest of 8.57%) and SJR.PR.B yields 6.89% (equivalent to interest of 8.96%), based on GOC yields of 1.54% and 1.66% respectively. A Straight Perpetual would probably yield a little less, given the current state of the markets, but that’s quite a spread! No wonder that they – and nobody else, either – aren’t issuing new preferreds!

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 0.3779 % 1,973.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3779 % 3,620.8
Floater 6.12 % 6.33 % 50,954 13.31 4 0.3779 % 2,086.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2198 % 3,430.7
SplitShare 4.65 % 4.45 % 44,031 3.86 7 0.2198 % 4,097.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2198 % 3,196.7
Perpetual-Premium 5.55 % -12.88 % 55,946 0.09 10 -0.1837 % 3,040.6
Perpetual-Discount 5.29 % 5.38 % 69,203 14.79 25 0.0517 % 3,265.7
FixedReset Disc 5.64 % 5.74 % 195,234 14.27 66 0.3857 % 2,088.0
Deemed-Retractible 5.18 % 5.26 % 70,573 14.96 27 -0.0141 % 3,215.5
FloatingReset 6.32 % 6.62 % 129,739 13.09 2 1.1932 % 2,434.5
FixedReset Prem 5.12 % 3.70 % 131,535 1.56 20 -0.0507 % 2,627.9
FixedReset Bank Non 1.95 % 3.99 % 62,683 2.09 3 0.2337 % 2,710.1
FixedReset Ins Non 5.53 % 5.80 % 125,460 14.21 22 0.4004 % 2,118.8
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.45 %
SLF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 5.89 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.98 %
SLF.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.70 %
MFC.PR.R FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 23.38
Evaluated at bid price : 24.65
Bid-YTW : 5.33 %
IFC.PR.A FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 5.90 %
GWO.PR.N FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.40 %
BAM.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 6.32 %
BAM.PR.X FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 6.30 %
BAM.PF.G FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.20 %
EMA.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.25 %
PWF.PR.P FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.13 %
SLF.PR.H FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.76 %
TRP.PR.B FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 6.22 %
HSE.PR.E FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 7.38 %
MFC.PR.Q FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 5.69 %
BAM.PF.B FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.01 %
PWF.PR.A Floater 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 5.89 %
SLF.PR.J FloatingReset 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 127,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 5.70 %
HSE.PR.A FixedReset Disc 116,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 7.50 %
GWO.PR.P Deemed-Retractible 83,810 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-04
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 0.72 %
RY.PR.Z FixedReset Disc 75,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.58 %
BMO.PR.E FixedReset Disc 64,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 5.67 %
TRP.PR.E FixedReset Disc 62,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.18 %
There were 68 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: 18.35 – 18.83
Spot Rate : 0.4800
Average : 0.3510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.87 %

IFC.PR.G FixedReset Ins Non Quote: 18.04 – 18.45
Spot Rate : 0.4100
Average : 0.2975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 6.05 %

POW.PR.C Perpetual-Premium Quote: 25.60 – 25.89
Spot Rate : 0.2900
Average : 0.1809

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-04
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -12.88 %

TRP.PR.G FixedReset Disc Quote: 17.45 – 17.83
Spot Rate : 0.3800
Average : 0.2811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.45 %

POW.PR.D Perpetual-Discount Quote: 23.09 – 23.35
Spot Rate : 0.2600
Average : 0.1698

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 22.81
Evaluated at bid price : 23.09
Bid-YTW : 5.48 %

PVS.PR.F SplitShare Quote: 25.40 – 25.69
Spot Rate : 0.2900
Average : 0.2055

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.45 %

December 4, 2019

Wednesday, December 4th, 2019

There was nothing particularly surprising in the Bank of Canada’s policy rate announcement this morning:

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

The Bank’s October projection for global economic growth appears to be intact. There is nascent evidence that the global economy is stabilizing, with growth still expected to edge higher over the next couple of years. Financial markets have been supported by central bank actions and waning recession concerns, while being buffeted by news on the trade front. Indeed, ongoing trade conflicts and related uncertainty are still weighing on global economic activity, and remain the biggest source of risk to the outlook. In this context, commodity prices and the Canadian dollar have remained relatively stable.

Growth in Canada slowed in the third quarter of 2019 to 1.3 percent, as expected. Consumer spending expanded moderately, underpinned by stronger wage growth. Housing investment was also a source of strength, supported by population growth and low mortgage rates. The Bank continues to monitor the evolution of financial vulnerabilities related to the household sector. As expected, exports contracted, driven by non-energy commodities. However, investment spending unexpectedly showed strong growth, notably in transportation equipment and engineering projects. The Bank will be assessing the extent to which this points to renewed momentum in investment.

CPI inflation in Canada remains at target, and measures of core inflation are around 2 percent, consistent with an economy operating near capacity. Inflation will increase temporarily in the coming months due to year-over-year movements in gasoline prices. The Bank continues to expect inflation to track close to the 2 percent target over the next two years.

Based on developments since October, Governing Council judges it appropriate to maintain the current level of the overnight rate target. Future interest rate decisions will be guided by the Bank’s continuing assessment of the adverse impact of trade conflicts against the sources of resilience in the Canadian economy – notably consumer spending and housing activity. Fiscal policy developments will also figure into the Bank’s updated outlook in January.

David Parkinson of the Globe reminds us that:

The Bank of Canada noted that last week’s third-quarter gross domestic product report, which pegged growth at a modest 1.3-per-cent annualized rate, showed strength in consumer spending, wage growth and housing investment.

But it said it remains concerned about the high household debts that have contributed to that strength. Those have been fed by low borrowing rates, the result of a slump in global bond yields over the summer amid escalating China-U.S. trade hostilities.

Alberta got downgraded:

Alberta’s credit rating has been downgraded by Moody’s, with the agency citing the volatility in the province’s dependence on oil and continued fiscal pressures.

The province’s rating was downgraded to Aa2 stable from Aa1 negative on Tuesday.

The downgrade, the agency states, reflects Moody’s “opinion of a structural weakness in the provincial economy that remains concentrated and dependent on non-renewable resources … and remains pressured by a lack of sufficient pipeline capacity to transport oil efficiently with no near-term expectation of a significant rebound in oil-related investments.”

The agency’s rating stated that continued spending cuts will be needed for the government to balance the budget by its set target of 2022.

It’s kind of a pity that those hard-nosed conservatives in Alberta don’t have some kind of Heritage Savings Trust Fund, eh? But all the oil money got blown on low taxes and high spending.

PerpetualDiscounts now yield 5.39%, equivalent to 7.01% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.26%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 375bp from the 370bp reported November 27.

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 0.1336 % 1,965.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1336 % 3,607.1
Floater 6.15 % 6.33 % 49,843 13.32 4 0.1336 % 2,078.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0056 % 3,423.2
SplitShare 4.66 % 4.49 % 44,406 3.86 7 0.0056 % 4,088.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0056 % 3,189.7
Perpetual-Premium 5.54 % -15.99 % 55,749 0.09 10 0.1291 % 3,046.2
Perpetual-Discount 5.29 % 5.39 % 68,371 14.79 25 0.0310 % 3,264.0
FixedReset Disc 5.66 % 5.75 % 188,204 14.26 66 0.0765 % 2,079.9
Deemed-Retractible 5.18 % 5.28 % 70,119 14.97 27 0.1349 % 3,216.0
FloatingReset 6.40 % 6.61 % 129,270 13.10 2 -0.9909 % 2,405.8
FixedReset Prem 5.11 % 3.71 % 156,808 1.56 20 0.0820 % 2,629.2
FixedReset Bank Non 1.95 % 4.13 % 62,401 2.09 3 0.2342 % 2,703.8
FixedReset Ins Non 5.55 % 5.80 % 126,276 14.17 22 0.3280 % 2,110.4
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.61 %
HSE.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.52 %
MFC.PR.Q FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 5.80 %
BIP.PR.E FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 5.64 %
BAM.PF.A FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 6.01 %
TRP.PR.B FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.34 %
MFC.PR.L FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.79 %
TRP.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.22 %
SLF.PR.I FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.82 %
BIP.PR.A FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.31 %
MFC.PR.M FixedReset Ins Non 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset Disc 174,176 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 6.31 %
BMO.PR.E FixedReset Disc 78,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 5.69 %
RY.PR.J FixedReset Disc 65,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.74 %
TRP.PR.F FloatingReset 64,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.61 %
BIP.PR.D FixedReset Disc 62,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 22.46
Evaluated at bid price : 22.90
Bid-YTW : 5.75 %
MFC.PR.I FixedReset Ins Non 60,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.90 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 18.27 – 18.69
Spot Rate : 0.4200
Average : 0.2611

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 5.80 %

BMO.PR.F FixedReset Disc Quote: 24.05 – 24.40
Spot Rate : 0.3500
Average : 0.2122

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 22.84
Evaluated at bid price : 24.05
Bid-YTW : 5.23 %

BIP.PR.E FixedReset Disc Quote: 22.15 – 22.66
Spot Rate : 0.5100
Average : 0.3837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 5.64 %

MFC.PR.O FixedReset Ins Non Quote: 25.61 – 25.94
Spot Rate : 0.3300
Average : 0.2135

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.83 %

ELF.PR.H Perpetual-Premium Quote: 25.21 – 25.61
Spot Rate : 0.4000
Average : 0.2894

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 5.43 %

EMA.PR.C FixedReset Disc Quote: 17.20 – 17.63
Spot Rate : 0.4300
Average : 0.3202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.34 %

December 3, 2019

Wednesday, December 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 -0.5535 % 1,963.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5535 % 3,602.3
Floater 6.16 % 6.33 % 49,493 13.32 4 -0.5535 % 2,076.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0788 % 3,423.0
SplitShare 4.66 % 4.53 % 45,919 3.86 7 -0.0788 % 4,087.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0788 % 3,189.5
Perpetual-Premium 5.55 % -16.17 % 54,987 0.09 10 -0.2264 % 3,042.3
Perpetual-Discount 5.29 % 5.40 % 67,017 14.77 25 -0.2528 % 3,263.0
FixedReset Disc 5.67 % 5.76 % 185,532 14.27 66 -0.7013 % 2,078.4
Deemed-Retractible 5.19 % 5.30 % 70,052 14.97 27 -0.3112 % 3,211.6
FloatingReset 6.34 % 6.51 % 119,643 13.23 2 -0.9811 % 2,429.9
FixedReset Prem 5.12 % 3.66 % 158,504 1.56 20 -0.0839 % 2,627.1
FixedReset Bank Non 1.96 % 4.14 % 60,364 2.09 3 -0.1651 % 2,697.5
FixedReset Ins Non 5.57 % 5.84 % 125,791 14.15 22 -1.0616 % 2,103.5
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.94
Evaluated at bid price : 12.94
Bid-YTW : 6.38 %
MFC.PR.L FixedReset Ins Non -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 5.85 %
MFC.PR.G FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 6.01 %
RY.PR.M FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.76 %
HSE.PR.A FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 7.48 %
SLF.PR.H FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 5.85 %
SLF.PR.I FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.90 %
BAM.PF.G FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 6.34 %
BAM.PF.B FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 6.07 %
MFC.PR.I FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 5.93 %
BAM.PR.K Floater -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.35 %
IFC.PR.A FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.01 %
NA.PR.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 5.94 %
BAM.PR.Z FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.16 %
BAM.PF.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 6.08 %
HSE.PR.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.44 %
SLF.PR.J FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.49
Evaluated at bid price : 12.49
Bid-YTW : 6.15 %
PWF.PR.T FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.72 %
MFC.PR.N FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.93 %
SLF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.68
Evaluated at bid price : 12.68
Bid-YTW : 5.80 %
EMA.PR.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.29 %
BMO.PR.Y FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 5.78 %
TD.PF.D FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.75 %
BAM.PR.T FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 6.39 %
MFC.PR.J FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 5.84 %
MFC.PR.H FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.79 %
MFC.PR.F FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.96 %
RY.PR.J FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.74 %
GWO.PR.N FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 5.47 %
BAM.PR.M Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 5.60 %
IAF.PR.G FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.88 %
CCS.PR.C Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.25 %
NA.PR.S FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 5.95 %
BAM.PR.N Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.61 %
BAM.PF.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 6.42 %
TRP.PR.B FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.98
Evaluated at bid price : 10.98
Bid-YTW : 6.40 %
BAM.PR.B Floater -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 6.33 %
TD.PF.I FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 5.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.C Floater 111,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.35 %
HSE.PR.A FixedReset Disc 105,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 7.48 %
BMO.PR.D FixedReset Disc 88,714 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 5.62 %
EMA.PR.C FixedReset Disc 66,190 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.29 %
BMO.PR.C FixedReset Disc 63,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 21.28
Evaluated at bid price : 21.57
Bid-YTW : 5.61 %
BAM.PR.T FixedReset Disc 63,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 6.39 %
There were 68 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.75 – 24.50
Spot Rate : 0.7500
Average : 0.5525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.25 %

HSE.PR.G FixedReset Disc Quote: 17.01 – 17.66
Spot Rate : 0.6500
Average : 0.4650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.44 %

HSE.PR.A FixedReset Disc Quote: 10.72 – 11.16
Spot Rate : 0.4400
Average : 0.3064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 7.48 %

TD.PF.D FixedReset Disc Quote: 18.96 – 19.29
Spot Rate : 0.3300
Average : 0.2063

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.75 %

GWO.PR.T Deemed-Retractible Quote: 24.16 – 24.55
Spot Rate : 0.3900
Average : 0.2851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 23.76
Evaluated at bid price : 24.16
Bid-YTW : 5.31 %

GWO.PR.S Deemed-Retractible Quote: 24.35 – 24.60
Spot Rate : 0.2500
Average : 0.1630

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 24.03
Evaluated at bid price : 24.35
Bid-YTW : 5.38 %

December 2, 2019

Monday, December 2nd, 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 0.4001 % 1,974.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4001 % 3,622.4
Floater 6.12 % 6.22 % 45,813 13.47 4 0.4001 % 2,087.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0902 % 3,425.7
SplitShare 4.65 % 4.52 % 46,388 3.86 7 0.0902 % 4,091.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0902 % 3,192.0
Perpetual-Premium 5.53 % -20.13 % 54,468 0.09 10 0.1290 % 3,049.2
Perpetual-Discount 5.28 % 5.34 % 67,749 14.86 25 0.1102 % 3,271.3
FixedReset Disc 5.63 % 5.71 % 185,126 14.30 66 -0.1452 % 2,093.0
Deemed-Retractible 5.17 % 5.27 % 64,942 14.98 27 0.1422 % 3,221.7
FloatingReset 6.27 % 6.47 % 110,686 13.30 2 0.6839 % 2,454.0
FixedReset Prem 5.11 % 3.63 % 156,587 1.56 20 0.1015 % 2,629.3
FixedReset Bank Non 1.96 % 4.16 % 61,139 2.09 3 0.0551 % 2,702.0
FixedReset Ins Non 5.51 % 5.75 % 118,978 14.26 22 -0.3219 % 2,126.0
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.40 %
MFC.PR.R FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 23.27
Evaluated at bid price : 24.39
Bid-YTW : 5.39 %
TD.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 5.68 %
MFC.PR.J FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.77 %
BAM.PR.B Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 6.26 %
BAM.PR.K Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 6.22 %
TRP.PR.F FloatingReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 6.47 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.T FixedReset Disc 149,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.31 %
TD.PF.E FixedReset Disc 111,859 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 5.66 %
BMO.PR.D FixedReset Disc 91,882 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.58 %
CM.PR.R FixedReset Disc 84,959 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.76 %
TD.PF.L FixedReset Disc 76,108 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 22.75
Evaluated at bid price : 23.85
Bid-YTW : 5.14 %
TD.PF.J FixedReset Disc 75,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.64 %
There were 53 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.P Deemed-Retractible Quote: 24.92 – 25.24
Spot Rate : 0.3200
Average : 0.2058

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-01
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 4.12 %

TD.PF.M FixedReset Disc Quote: 24.55 – 24.80
Spot Rate : 0.2500
Average : 0.1525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 23.03
Evaluated at bid price : 24.55
Bid-YTW : 5.17 %

GWO.PR.L Deemed-Retractible Quote: 25.36 – 25.59
Spot Rate : 0.2300
Average : 0.1388

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-01
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : -16.50 %

CU.PR.G Perpetual-Discount Quote: 21.24 – 21.49
Spot Rate : 0.2500
Average : 0.1648

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.33 %

BAM.PR.C Floater Quote: 11.11 – 11.33
Spot Rate : 0.2200
Average : 0.1459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 6.34 %

BAM.PR.K Floater Quote: 11.31 – 11.57
Spot Rate : 0.2600
Average : 0.1963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-02
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 6.22 %