Archive for the ‘Market Action’ Category

April 18, 2019

Thursday, April 18th, 2019

On March 28 I highlighted an issue of structured notes from TD. Assiduous Reader AB writes in and provides me with a link to the National Bank Structured Solutions Group page, who issued five separate notes “linked to a Canadian preferred share ETF” between April 10 and April 18.

There was a disorderly close in the market today, as TXPR lost 49bp in the last five minutes to close down 28bp from yesterday on high volume of over 4-million shares.

txpr_190418
Click for Big

One of the hard-working geniuses who are such a feature of Canadian investment management made extensive use of the Market-on-Close facility, which I assume helped him leave early for the long weekend.

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 -1.3731 % 2,108.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3731 % 3,869.0
Floater 5.55 % 5.86 % 49,194 14.11 3 -1.3731 % 2,229.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0050 % 3,284.7
SplitShare 4.87 % 4.69 % 75,213 3.82 8 0.0050 % 3,922.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0050 % 3,060.6
Perpetual-Premium 5.58 % -8.49 % 86,667 0.09 10 -0.2043 % 2,953.7
Perpetual-Discount 5.41 % 5.52 % 80,810 14.60 23 -0.4501 % 3,100.4
FixedReset Disc 5.23 % 5.41 % 185,299 14.84 61 -0.2348 % 2,197.7
Deemed-Retractible 5.22 % 5.82 % 99,895 8.13 27 -0.2627 % 3,074.2
FloatingReset 4.23 % 4.35 % 57,414 2.67 5 -0.2798 % 2,414.9
FixedReset Prem 5.08 % 3.93 % 290,390 2.19 23 -0.4817 % 2,579.5
FixedReset Bank Non 1.98 % 4.02 % 149,013 2.69 3 0.0418 % 2,636.8
FixedReset Ins Non 5.02 % 6.89 % 109,903 8.25 22 -0.8244 % 2,246.0
Performance Highlights
Issue Index Change Notes
IAF.PR.G FixedReset Ins Non -5.54 % Not as unreasonable as it looks, as the issue traded 24,769 shares in a range of 20.42-39 before closing at 20.12-21.39. “Range” is kind of a misnomer, since the issue traded at around 21.30 for most of the day, then moved to the 20.42 MOC price with very little in between. The indicated MOC imbalance was a sell of 7,286 shares.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.12
Bid-YTW : 6.89 %

BAM.PR.K Floater -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 11.74
Evaluated at bid price : 11.74
Bid-YTW : 5.95 %
MFC.PR.L FixedReset Ins Non -2.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.49
Bid-YTW : 8.11 %
TRP.PR.B FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 5.79 %
PWF.PR.Z Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 22.96
Evaluated at bid price : 23.27
Bid-YTW : 5.54 %
PWF.PR.L Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 22.59
Evaluated at bid price : 22.84
Bid-YTW : 5.59 %
MFC.PR.Q FixedReset Ins Non -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.97 %
PWF.PR.S Perpetual-Discount -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 5.59 %
BAM.PF.I FixedReset Prem -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 23.14
Evaluated at bid price : 24.35
Bid-YTW : 5.50 %
BIP.PR.F FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.02 %
BAM.PR.B Floater -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 5.86 %
PWF.PR.K Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 5.63 %
BAM.PF.A FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.62 %
BAM.PR.Z FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.76 %
MFC.PR.B Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 6.39 %
BAM.PR.T FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.96 %
BNS.PR.H FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.04 %
GWO.PR.R Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.98 %
CU.PR.C FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.53 %
TRP.PR.K FixedReset Prem -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.67 %
IFC.PR.G FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 7.14 %
TRP.PR.G FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 5.97 %
HSE.PR.A FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 6.50 %
MFC.PR.J FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 6.82 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.44 %
SLF.PR.A Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 6.12 %
BMO.PR.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 22.08
Evaluated at bid price : 22.64
Bid-YTW : 4.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.T FixedReset Prem 271,288 Indicated MOC imbalance was a buy of 61,601 shares.

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.79 %

BAM.PR.K Floater 252,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 11.74
Evaluated at bid price : 11.74
Bid-YTW : 5.95 %
CU.PR.G Perpetual-Discount 218,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.37 %
TD.PF.L FixedReset Prem 217,051 Indicated MOC imbalance was a buy of 3,247 shares.

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.74 %

GWO.PR.R Deemed-Retractible 140,171 Indicated MOC imbalance was a sell of 154,494 shares.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.98 %

VNR.PR.A FixedReset Prem 118,662 Indicated MOC imbalance was a sell of 55,262 shares.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 23.26
Evaluated at bid price : 24.85
Bid-YTW : 4.43 %

BIK.PR.A FixedReset Prem 117,120 Indicated MOC imbalance was a buy of 51,183 shares.

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 5.57 %

BAM.PF.I FixedReset Prem 109,124 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 23.14
Evaluated at bid price : 24.35
Bid-YTW : 5.50 %
BMO.PR.Y FixedReset Disc 105,784 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 5.14 %
There were 88 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: 20.12 – 21.39
Spot Rate : 1.2700
Average : 0.7229

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.12
Bid-YTW : 6.89 %

IFC.PR.G FixedReset Ins Non Quote: 20.25 – 21.20
Spot Rate : 0.9500
Average : 0.5626

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 7.14 %

CU.PR.I FixedReset Prem Quote: 25.65 – 26.41
Spot Rate : 0.7600
Average : 0.4676

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.22 %

PWF.PR.S Perpetual-Discount Quote: 21.56 – 22.27
Spot Rate : 0.7100
Average : 0.4296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 5.59 %

MFC.PR.Q FixedReset Ins Non Quote: 20.40 – 20.90
Spot Rate : 0.5000
Average : 0.3045

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.97 %

TD.PF.J FixedReset Disc Quote: 21.42 – 22.00
Spot Rate : 0.5800
Average : 0.3899

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-18
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 5.18 %

April 17, 2019

Wednesday, April 17th, 2019

On March 18 I reported:

Assiduous Readers will remember that Manulife was bailed out by the regulators again after a hedge fund claimed the terms of its contract with the firm allowed it to deposit unlimited funds with the firm at a guaranteed rate of up to 5%.

It turns out the bail-out was unnecessary! Manulife won the court case

‘Not so fast!’ scream the plaintiffs:

A pivotal court ruling that dismissed three lawsuits against Canadian life insurers has been formally appealed, extending a battle between the companies and three investment funds over the fine print of decades-old contracts.

This week the funds appealed all three cases, arguing that the core argument made by Justice Brian Scherman of the Court of Queen’s Bench for Saskatchewan when dismissing the lawsuits is incorrect. Justice Scherman ruled that the contracts were designed to be used for insurance purposes only, and that “in the some 30 years since universal life insurance policies have been sold, there is no judicial record of these policies being used in the manner proposed” by the investment funds.

In its appeal of the ruling that related to Manulife, Mosten Investment LP argued “the learned Chambers Judge erred in law in his interpretation of the contract.”

There is a fascinating chart made available in the OECD release of its publication “Taxing Wages”:

figure-1-web-full
Click for Big

Of course, this just refers to taxes on wages; it does not include things like sales tax and property tax. In the interest of avoiding vitriolic attacks by worshippers of the Awesome and Holy United States of Free America, I will also publish a chart more favourable to that glorious nation:

3_1_4_-_figure_1
Click for Big

Of course, neither chart includes the cost of health insurance, which is a big ticket item in the Awesome and Holy United States of Free America, but that’s because health insurance is FREE ENTERPRISE, dammit, and any free citizen has a CHOICE between between buying Health Insurance, dying, or being bankrupted by medical bills.

Reasonable people can argue all day and all night regarding whether a single-payer system like Canada’s is better or worse than the US system. Each has its own advantages and disadvantages. But to take tax rates as a straight-up, single-number meaningful comparison of anything at all is simply ridiculous and annoys me.

PerpetualDiscounts now yield 5.45%, equivalent to 7.08% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, unchanged from the figure reported April 10.

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 -0.4469 % 2,137.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4469 % 3,922.8
Floater 5.48 % 5.76 % 45,645 14.26 3 -0.4469 % 2,260.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1292 % 3,284.6
SplitShare 4.87 % 4.61 % 75,842 3.82 8 0.1292 % 3,922.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1292 % 3,060.5
Perpetual-Premium 5.57 % -17.16 % 81,232 0.09 10 -0.0079 % 2,959.7
Perpetual-Discount 5.39 % 5.45 % 78,217 14.68 23 0.0019 % 3,114.4
FixedReset Disc 5.22 % 5.42 % 184,836 14.89 61 0.0987 % 2,202.9
Deemed-Retractible 5.20 % 5.80 % 99,151 8.13 27 0.0094 % 3,082.3
FloatingReset 4.22 % 4.34 % 53,154 2.68 5 0.0754 % 2,421.7
FixedReset Prem 5.06 % 3.63 % 282,841 2.19 23 0.1432 % 2,592.0
FixedReset Bank Non 1.98 % 4.02 % 145,072 2.69 3 -0.1809 % 2,635.7
FixedReset Ins Non 4.98 % 6.69 % 106,882 8.27 22 -0.0930 % 2,264.6
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.92
Bid-YTW : 8.87 %
TRP.PR.C FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 13.27
Evaluated at bid price : 13.27
Bid-YTW : 5.84 %
TRP.PR.A FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 6.05 %
MFC.PR.J FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.92
Bid-YTW : 6.69 %
HSE.PR.E FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.47 %
RY.PR.Z FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 5.17 %
MFC.PR.M FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.39 %
TRP.PR.G FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.90 %
IAF.PR.B Deemed-Retractible 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.16
Bid-YTW : 6.11 %
TRP.PR.B FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 5.66 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.F FixedReset Prem 2,191,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.93 %
PWF.PR.K Perpetual-Discount 150,395 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 22.08
Evaluated at bid price : 22.36
Bid-YTW : 5.54 %
IFC.PR.G FixedReset Ins Non 149,035 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.99 %
POW.PR.G Perpetual-Premium 101,854 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-17
Maturity Price : 25.50
Evaluated at bid price : 25.70
Bid-YTW : -3.64 %
PVS.PR.F SplitShare 82,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.93 %
TRP.PR.E FixedReset Disc 63,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.90 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.H Perpetual-Discount Quote: 24.95 – 25.50
Spot Rate : 0.5500
Average : 0.3163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 24.41
Evaluated at bid price : 24.95
Bid-YTW : 5.52 %

TD.PF.B FixedReset Disc Quote: 18.85 – 19.24
Spot Rate : 0.3900
Average : 0.2480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.20 %

TD.PF.D FixedReset Disc Quote: 21.03 – 21.63
Spot Rate : 0.6000
Average : 0.4699

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.21 %

IFC.PR.E Deemed-Retractible Quote: 23.86 – 24.25
Spot Rate : 0.3900
Average : 0.2818

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.86
Bid-YTW : 5.84 %

BAM.PF.D Perpetual-Discount Quote: 21.85 – 22.20
Spot Rate : 0.3500
Average : 0.2521

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 21.85
Evaluated at bid price : 21.85
Bid-YTW : 5.66 %

NA.PR.C FixedReset Disc Quote: 22.28 – 22.57
Spot Rate : 0.2900
Average : 0.2117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-17
Maturity Price : 21.91
Evaluated at bid price : 22.28
Bid-YTW : 5.53 %

April 16, 2019

Tuesday, April 16th, 2019

I noticed another recent corporate long bond issue, this one some thirty-year notes from Pembina:

Pembina Pipeline Corporation (“Pembina” or the “Company”) (TSX: PPL; NYSE: PBA) is pleased to announce that it has closed its previously announced offering of $800 million of senior unsecured medium-term notes (the “Offering”). The Offering was conducted in two tranches consisting of $400 million in senior unsecured medium-term notes, series 12 (the “Series 12 Notes”) having a fixed coupon of 3.62% per annum, paid semi-annually, and maturing on April 3, 2029, and $400 million in senior unsecured medium-term notes, series 13 (the “Series 13 Notes”) having a fixed coupon of 4.54% per annum, paid semi-annually, and maturing on April 3, 2049.

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 -0.2622 % 2,147.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2622 % 3,940.5
Floater 5.45 % 5.72 % 45,085 14.33 3 -0.2622 % 2,270.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0397 % 3,280.3
SplitShare 4.88 % 4.66 % 75,844 3.82 8 -0.0397 % 3,917.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0397 % 3,056.5
Perpetual-Premium 5.57 % -16.50 % 81,851 0.09 10 -0.0589 % 2,960.0
Perpetual-Discount 5.39 % 5.43 % 77,151 14.71 23 0.1202 % 3,114.4
FixedReset Disc 5.23 % 5.43 % 183,042 14.88 61 -0.0477 % 2,200.7
Deemed-Retractible 5.21 % 5.74 % 99,449 8.13 27 -0.0739 % 3,082.0
FloatingReset 4.22 % 4.29 % 52,991 2.68 5 0.0215 % 2,419.9
FixedReset Prem 5.06 % 3.71 % 293,626 2.20 22 0.0194 % 2,588.2
FixedReset Bank Non 1.98 % 3.95 % 146,077 2.69 3 -0.0278 % 2,640.4
FixedReset Ins Non 4.97 % 6.55 % 108,241 8.27 22 -0.0861 % 2,266.7
Performance Highlights
Issue Index Change Notes
IAF.PR.B Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 6.34 %
BAM.PF.I FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 5.40 %
IFC.PR.C FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.05
Bid-YTW : 7.31 %
TRP.PR.B FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.79 %
BAM.PF.J FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 22.95
Evaluated at bid price : 24.15
Bid-YTW : 4.89 %
BMO.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.33 %
MFC.PR.J FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 6.55 %
SLF.PR.H FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 7.47 %
BAM.PF.C Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.76 %
BMO.PR.W FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.33 %
MFC.PR.L FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.94
Bid-YTW : 7.79 %
BAM.PR.Z FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 116,121 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.16 %
BAM.PF.A FixedReset Disc 84,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 5.56 %
TRP.PR.E FixedReset Disc 45,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 5.93 %
BAM.PR.Z FixedReset Disc 43,519 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.65 %
TD.PF.H FixedReset Prem 43,035 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.71 %
GWO.PR.I Deemed-Retractible 42,346 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 6.44 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.B Deemed-Retractible Quote: 21.75 – 22.21
Spot Rate : 0.4600
Average : 0.3270

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 6.34 %

BMO.PR.W FixedReset Disc Quote: 18.40 – 18.84
Spot Rate : 0.4400
Average : 0.3095

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.33 %

TRP.PR.D FixedReset Disc Quote: 17.00 – 17.39
Spot Rate : 0.3900
Average : 0.2630

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.94 %

BIP.PR.A FixedReset Disc Quote: 20.21 – 20.72
Spot Rate : 0.5100
Average : 0.3946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.44 %

CCS.PR.C Deemed-Retractible Quote: 22.91 – 23.41
Spot Rate : 0.5000
Average : 0.3868

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 6.13 %

CM.PR.Q FixedReset Disc Quote: 19.90 – 20.28
Spot Rate : 0.3800
Average : 0.2878

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-16
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.50 %

April 15, 2019

Monday, April 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 0.1313 % 2,153.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1313 % 3,950.8
Floater 5.44 % 5.70 % 41,793 14.37 3 0.1313 % 2,276.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2190 % 3,281.6
SplitShare 4.88 % 4.69 % 78,738 3.82 8 0.2190 % 3,919.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2190 % 3,057.7
Perpetual-Premium 5.57 % -16.68 % 85,051 0.09 10 -0.0196 % 2,961.7
Perpetual-Discount 5.39 % 5.47 % 75,937 14.69 23 -0.0469 % 3,110.7
FixedReset Disc 5.22 % 5.42 % 184,858 14.87 61 -0.0393 % 2,201.7
Deemed-Retractible 5.20 % 5.72 % 92,650 8.14 27 -0.1178 % 3,084.3
FloatingReset 4.22 % 4.29 % 54,767 2.68 5 -0.0646 % 2,419.4
FixedReset Prem 5.06 % 3.63 % 304,767 2.20 22 -0.0053 % 2,587.7
FixedReset Bank Non 1.98 % 3.95 % 136,763 2.70 3 0.1393 % 2,641.2
FixedReset Ins Non 4.97 % 6.68 % 111,951 8.26 22 -0.0883 % 2,268.7
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -2.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.64
Bid-YTW : 8.00 %
EMA.PR.F FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.72 %
BAM.PR.Z FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.76 %
NA.PR.W FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.55 %
MFC.PR.M FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 7.45 %
TD.PF.J FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 5.10 %
BAM.PF.C Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.83 %
BMO.PR.W FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.40 %
PWF.PR.S Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 5.50 %
CU.PR.D Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.48 %
BAM.PF.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.54 %
GWO.PR.R Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.81 %
NA.PR.G FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 21.61
Evaluated at bid price : 21.94
Bid-YTW : 5.16 %
HSE.PR.E FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 6.50 %
HSE.PR.A FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.41 %
GWO.PR.N FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.89
Bid-YTW : 8.67 %
HSE.PR.C FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.42 %
MFC.PR.F FixedReset Ins Non 2.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 8.57 %
HSE.PR.G FixedReset Disc 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.52 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Z FixedReset Bank Non 93,550 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 3.95 %
RY.PR.J FixedReset Disc 68,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 5.35 %
RY.PR.M FixedReset Disc 49,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.28 %
BMO.PR.E FixedReset Disc 39,913 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 21.96
Evaluated at bid price : 22.45
Bid-YTW : 5.01 %
MFC.PR.Q FixedReset Ins Non 36,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.75 %
HSE.PR.C FixedReset Disc 34,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.42 %
There were 23 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: 20.25 – 20.90
Spot Rate : 0.6500
Average : 0.4100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.76 %

MFC.PR.L FixedReset Ins Non Quote: 17.64 – 18.20
Spot Rate : 0.5600
Average : 0.3951

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.64
Bid-YTW : 8.00 %

PWF.PR.L Perpetual-Discount Quote: 23.15 – 23.60
Spot Rate : 0.4500
Average : 0.3178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 5.51 %

CU.PR.D Perpetual-Discount Quote: 22.60 – 23.07
Spot Rate : 0.4700
Average : 0.3407

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.48 %

TRP.PR.A FixedReset Disc Quote: 15.15 – 15.63
Spot Rate : 0.4800
Average : 0.3523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.92 %

CU.PR.G Perpetual-Discount Quote: 21.31 – 21.78
Spot Rate : 0.4700
Average : 0.3586

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-15
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.36 %

April 12, 2019

Friday, April 12th, 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 0.1314 % 2,150.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1314 % 3,945.6
Floater 5.44 % 5.70 % 41,446 14.37 3 0.1314 % 2,273.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0050 % 3,274.5
SplitShare 4.89 % 4.70 % 78,695 3.83 8 0.0050 % 3,910.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0050 % 3,051.0
Perpetual-Premium 5.57 % -11.86 % 87,538 0.09 10 -0.2116 % 2,962.3
Perpetual-Discount 5.39 % 5.42 % 73,979 14.74 23 -0.0563 % 3,112.1
FixedReset Disc 5.22 % 5.42 % 187,507 14.88 61 0.3666 % 2,202.6
Deemed-Retractible 5.20 % 5.68 % 92,351 8.15 27 0.0456 % 3,088.0
FloatingReset 4.22 % 4.32 % 55,083 2.69 5 0.3131 % 2,420.9
FixedReset Prem 5.06 % 3.65 % 308,725 2.21 22 0.0336 % 2,587.9
FixedReset Bank Non 1.98 % 4.04 % 142,168 2.70 3 0.1395 % 2,637.5
FixedReset Ins Non 4.96 % 6.57 % 112,557 8.28 22 0.2043 % 2,270.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 8.84 %
HSE.PR.G FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 6.71 %
GWO.PR.N FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.61
Bid-YTW : 8.89 %
HSE.PR.A FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 6.49 %
BAM.PF.J FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 23.00
Evaluated at bid price : 24.26
Bid-YTW : 4.86 %
MFC.PR.N FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.15
Bid-YTW : 7.80 %
TD.PF.C FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.11 %
PWF.PR.S Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 21.86
Evaluated at bid price : 22.15
Bid-YTW : 5.42 %
TRP.PR.F FloatingReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 6.10 %
IAF.PR.B Deemed-Retractible 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.11 %
TD.PF.I FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 22.39
Evaluated at bid price : 23.01
Bid-YTW : 4.99 %
EMA.PR.F FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 5.62 %
PWF.PR.T FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.11 %
TRP.PR.C FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.74 %
TD.PF.A FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.16 %
BAM.PR.R FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 5.92 %
SLF.PR.G FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 8.56 %
TRP.PR.B FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 12.73
Evaluated at bid price : 12.73
Bid-YTW : 5.68 %
PWF.PR.P FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 5.48 %
MFC.PR.M FixedReset Ins Non 2.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.05
Bid-YTW : 7.28 %
NA.PR.W FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.47 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.S FixedReset Disc 80,043 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 21.65
Evaluated at bid price : 22.01
Bid-YTW : 4.85 %
HSE.PR.G FixedReset Disc 61,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 6.71 %
IAF.PR.G FixedReset Ins Non 53,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.24 %
TD.PF.E FixedReset Disc 47,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.13 %
TRP.PR.E FixedReset Disc 38,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.88 %
BIP.PR.F FixedReset Disc 34,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 21.76
Evaluated at bid price : 22.16
Bid-YTW : 5.78 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Disc Quote: 19.27 – 20.07
Spot Rate : 0.8000
Average : 0.4890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 6.71 %

BAM.PF.A FixedReset Disc Quote: 21.07 – 21.65
Spot Rate : 0.5800
Average : 0.3997

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.60 %

CM.PR.O FixedReset Disc Quote: 18.35 – 18.82
Spot Rate : 0.4700
Average : 0.2986

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.41 %

EMA.PR.F FixedReset Disc Quote: 19.32 – 19.98
Spot Rate : 0.6600
Average : 0.4893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-12
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 5.62 %

SLF.PR.B Deemed-Retractible Quote: 22.50 – 22.96
Spot Rate : 0.4600
Average : 0.2899

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.13 %

IFC.PR.C FixedReset Ins Non Quote: 19.29 – 19.84
Spot Rate : 0.5500
Average : 0.3816

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.29
Bid-YTW : 7.15 %

April 11, 2019

Thursday, April 11th, 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 -0.3406 % 2,147.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3406 % 3,940.5
Floater 5.45 % 5.70 % 42,157 14.38 3 -0.3406 % 2,270.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1937 % 3,274.3
SplitShare 4.89 % 4.70 % 79,390 3.83 8 -0.1937 % 3,910.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1937 % 3,050.9
Perpetual-Premium 5.55 % -18.68 % 88,153 0.09 10 0.4052 % 2,968.6
Perpetual-Discount 5.39 % 5.46 % 75,649 14.74 23 -0.4240 % 3,113.9
FixedReset Disc 5.24 % 5.35 % 193,307 14.95 61 0.0487 % 2,194.6
Deemed-Retractible 5.20 % 5.75 % 92,754 8.15 27 -0.0267 % 3,086.6
FloatingReset 4.22 % 4.34 % 55,752 2.69 5 0.2815 % 2,413.4
FixedReset Prem 5.06 % 3.69 % 301,648 2.21 22 0.0779 % 2,587.0
FixedReset Bank Non 1.98 % 4.04 % 137,890 2.71 3 0.0279 % 2,633.8
FixedReset Ins Non 4.98 % 6.56 % 104,759 8.30 22 0.1637 % 2,266.1
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.98 %
GWO.PR.R Deemed-Retractible -1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 6.04 %
BAM.PR.N Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.78 %
BAM.PR.M Perpetual-Discount -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 5.79 %
PWF.PR.P FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.53 %
TD.PF.A FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.19 %
PWF.PR.S Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 21.89
Evaluated at bid price : 21.89
Bid-YTW : 5.50 %
NA.PR.W FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.56 %
BMO.PR.D FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 21.93
Evaluated at bid price : 22.29
Bid-YTW : 5.32 %
TRP.PR.C FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.76 %
MFC.PR.K FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.53
Bid-YTW : 7.11 %
BIP.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 23.30
Evaluated at bid price : 24.55
Bid-YTW : 6.21 %
BIP.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 21.90
Evaluated at bid price : 22.30
Bid-YTW : 5.63 %
CU.PR.C FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 5.35 %
GWO.PR.S Deemed-Retractible 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 5.50 %
SLF.PR.J FloatingReset 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 8.97 %
NA.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 21.43
Evaluated at bid price : 21.69
Bid-YTW : 5.18 %
GWO.PR.N FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 8.68 %
MFC.PR.F FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.02
Bid-YTW : 8.57 %
TRP.PR.G FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.92 %
BIP.PR.D FixedReset Disc 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 22.60
Evaluated at bid price : 23.26
Bid-YTW : 5.72 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.L FixedReset Ins Non 53,550 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.93
Bid-YTW : 7.72 %
MFC.PR.K FixedReset Ins Non 50,355 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.53
Bid-YTW : 7.11 %
POW.PR.G Perpetual-Premium 45,480 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-15
Maturity Price : 25.50
Evaluated at bid price : 25.70
Bid-YTW : -3.53 %
GWO.PR.M Deemed-Retractible 44,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-11
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : -14.43 %
GWO.PR.R Deemed-Retractible 35,466 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 6.04 %
IAF.PR.G FixedReset Ins Non 29,020 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.07
Bid-YTW : 6.28 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Ins Non Quote: 20.77 – 21.23
Spot Rate : 0.4600
Average : 0.2863

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.77
Bid-YTW : 6.59 %

BAM.PR.R FixedReset Disc Quote: 15.91 – 16.50
Spot Rate : 0.5900
Average : 0.4217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.98 %

PWF.PR.T FixedReset Disc Quote: 19.35 – 19.75
Spot Rate : 0.4000
Average : 0.2611

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.13 %

BAM.PF.J FixedReset Disc Quote: 24.00 – 24.40
Spot Rate : 0.4000
Average : 0.2668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 22.88
Evaluated at bid price : 24.00
Bid-YTW : 4.92 %

BAM.PF.B FixedReset Disc Quote: 18.72 – 19.12
Spot Rate : 0.4000
Average : 0.2797

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.78 %

BAM.PF.C Perpetual-Discount Quote: 21.27 – 21.60
Spot Rate : 0.3300
Average : 0.2138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-11
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 5.75 %

April 10, 2019

Wednesday, April 10th, 2019

I am pleased to pass on another data point illustrating just how absurdly cheap the preferred share market is at the moment:

DBRS Limited (DBRS) assigned a rating of A (low) with a Stable trend to TransCanada PipeLines Limited’s (TCPL or the Company) $1.0 billion 4.34% Unsecured Medium Term Note Debentures (the Notes) due 2049. The rating being assigned is based upon the rating on already-outstanding series of the above-mentioned debt instruments.

DBRS notes that the proceeds from the Notes issue will be used to repay existing indebtedness and for general corporate purposes.

The Notes will rank pari passu, except as to sinking funds and other claims preferred by operation of law, with all other unsecured and unsubordinated indebtedness of the Company.

Sadly, TRP does not have any Straight Preferreds outstanding, but they do have a slew of FixedResets, ranging from TRP.PR.C yielding 5.70% to TRP.PR.G yielding 6.04%. So, for the sake of an argument and assuming a reasonably normal relationship, let’s say a TRP discounted Straight Perpetual would yield about 6.00% dividend, equivalent to about 7.80% interest. Its interest-equivalent Modified Duration as a perpetual annuity will be the inverse of this, or about 12.8. I can’t be bothered to work out the Modified Duration of a 30-year par bond yielding 4.34, but it will be more than this. Options on either instrument will lower the Modified Duration, but basically we can say that the Straight Perpetual preferred will have a little bit lower interest rate risk than the new bond.

Credit Risk will be a little higher for the preferred, but I worked out a long time ago that reasonable assumptions regarding default rates lead to a required credit risk premium of about 20bp. OK, so the preferreds are issued by the holding company and the bonds are issued by the operating company. So tack on another 20bp for credit risk, if you’re so inclined. It doesn’t make much difference to the conclusion!

There’s markedly lower liquidity for the preferred, but not so much of a difference that most of us need to care. If you do have an investment portfolio in which such a liquidity difference is significant, please contact me because I would like to make a proposal to manage your account!

So we’re left with 4.34% on the bond and 7.80% on the notional Straight, with about 20bp of the difference accounted for by Credit Risk. And, what’s more, this difference is in-line with the overall Seniority Spread that I estimate weekly (with a bond indicator that has an average term of about 21.25 years), so it’s not just these particular issues, it’s the whole damn market.

Yep, preferreds are cheap, all right!

DBRS also has a warning for Premier Ford:

DBRS Limited (DBRS) confirmed the Issuer Rating and the Senior Unsecured Debentures rating of Hydro One Inc. (HOI or the Company) at A (high) and the Commercial Paper rating at R-1 (low). All trends are Stable.

However, should political interference adversely affect the Ontario Energy Board’s (OEB) independent regulatory rate making framework or HOI’s operating and financial decisions, DBRS could take a negative rating action.

PerpetualDiscounts now yield 5.40%, equivalent to 7.02% interest at the standard equivalency factor of 1.3x. Lonc corporates now yield 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a significant narrowing from the 335bp reported April 3.

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 1.0056 % 2,154.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0056 % 3,953.9
Floater 5.43 % 5.70 % 42,363 14.38 3 1.0056 % 2,278.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1191 % 3,280.7
SplitShare 4.88 % 4.64 % 78,537 3.84 8 -0.1191 % 3,917.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1191 % 3,056.8
Perpetual-Premium 5.58 % -8.56 % 82,751 0.09 10 -0.0315 % 2,956.6
Perpetual-Discount 5.37 % 5.40 % 76,043 14.79 23 0.3223 % 3,127.1
FixedReset Disc 5.24 % 5.34 % 191,864 14.96 61 -0.2937 % 2,193.5
Deemed-Retractible 5.20 % 5.72 % 93,567 8.15 27 0.0487 % 3,087.4
FloatingReset 4.23 % 4.30 % 52,626 2.70 5 0.0975 % 2,406.6
FixedReset Prem 5.07 % 3.67 % 298,016 2.21 22 0.0088 % 2,585.0
FixedReset Bank Non 1.98 % 4.02 % 135,592 2.71 3 0.1118 % 2,633.1
FixedReset Ins Non 4.98 % 6.55 % 106,900 8.30 22 -0.0477 % 2,262.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.04 %
BAM.PR.R FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.86 %
BAM.PR.T FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.90 %
TD.PF.J FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 21.54
Evaluated at bid price : 21.81
Bid-YTW : 5.02 %
IFC.PR.G FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.79 %
BIP.PR.F FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 21.76
Evaluated at bid price : 22.15
Bid-YTW : 5.78 %
MFC.PR.H FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.06 %
EMA.PR.H FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 22.58
Evaluated at bid price : 23.49
Bid-YTW : 5.25 %
BAM.PR.K Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 12.24
Evaluated at bid price : 12.24
Bid-YTW : 5.70 %
MFC.PR.K FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 6.98 %
TRP.PR.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.95 %
PWF.PR.A Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.10 %
CU.PR.G Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.37 %
BAM.PR.N Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.67 %
SLF.PR.G FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.05
Bid-YTW : 8.69 %
MFC.PR.L FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.91
Bid-YTW : 7.74 %
Volume Highlights
Issue Index Shares
Traded
Notes
VNR.PR.A FixedReset Prem 241,633 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 23.25
Evaluated at bid price : 24.85
Bid-YTW : 4.38 %
BMO.PR.W FixedReset Disc 67,970 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.33 %
BIP.PR.F FixedReset Disc 52,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 21.76
Evaluated at bid price : 22.15
Bid-YTW : 5.78 %
BAM.PF.B FixedReset Disc 46,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.74 %
CU.PR.G Perpetual-Discount 41,295 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.37 %
BAM.PR.N Perpetual-Discount 40,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.67 %
There were 21 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: 20.19 – 20.69
Spot Rate : 0.5000
Average : 0.3465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.28 %

GWO.PR.S Deemed-Retractible Quote: 24.30 – 24.67
Spot Rate : 0.3700
Average : 0.2452

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.65 %

TRP.PR.E FixedReset Disc Quote: 16.90 – 17.20
Spot Rate : 0.3000
Average : 0.1980

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.86 %

MFC.PR.H FixedReset Ins Non Quote: 22.25 – 22.67
Spot Rate : 0.4200
Average : 0.3199

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.06 %

TD.PF.E FixedReset Disc Quote: 21.75 – 22.21
Spot Rate : 0.4600
Average : 0.3708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-10
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.03 %

GWO.PR.P Deemed-Retractible Quote: 24.80 – 25.09
Spot Rate : 0.2900
Average : 0.2089

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.55 %

April 9, 2019

Tuesday, April 9th, 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 -1.0733 % 2,133.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0733 % 3,914.6
Floater 5.49 % 5.76 % 42,463 14.29 3 -1.0733 % 2,256.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1041 % 3,284.6
SplitShare 4.87 % 4.63 % 79,642 3.84 8 -0.1041 % 3,922.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1041 % 3,060.5
Perpetual-Premium 5.57 % -10.58 % 86,153 0.09 10 -0.1021 % 2,957.5
Perpetual-Discount 5.38 % 5.43 % 75,562 14.76 23 -0.3144 % 3,117.1
FixedReset Disc 5.23 % 5.33 % 194,091 14.98 61 -0.2472 % 2,200.0
Deemed-Retractible 5.20 % 5.74 % 96,698 8.16 27 -0.0612 % 3,085.9
FloatingReset 4.23 % 4.23 % 54,490 2.70 5 -0.2595 % 2,404.3
FixedReset Prem 5.07 % 3.59 % 297,789 2.21 22 -0.0769 % 2,584.8
FixedReset Bank Non 1.99 % 4.08 % 136,791 2.71 3 -0.1395 % 2,630.2
FixedReset Ins Non 4.98 % 6.57 % 108,203 8.29 22 -0.1543 % 2,263.4
Performance Highlights
Issue Index Change Notes
BIP.PR.D FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 21.98
Evaluated at bid price : 22.31
Bid-YTW : 5.98 %
NA.PR.W FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.52 %
TRP.PR.F FloatingReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 6.23 %
MFC.PR.L FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.57
Bid-YTW : 7.97 %
NA.PR.S FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.42 %
NA.PR.G FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.29 %
TRP.PR.D FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.86 %
BAM.PR.N Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.76 %
MFC.PR.G FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.96
Bid-YTW : 6.48 %
MFC.PR.H FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 5.92 %
BAM.PR.B Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 12.08
Evaluated at bid price : 12.08
Bid-YTW : 5.77 %
BAM.PR.K Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 5.76 %
CU.PR.F Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.43 %
HSE.PR.A FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 6.37 %
PWF.PR.S Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 21.82
Evaluated at bid price : 22.10
Bid-YTW : 5.43 %
NA.PR.C FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 21.92
Evaluated at bid price : 22.30
Bid-YTW : 5.48 %
MFC.PR.K FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.52
Bid-YTW : 7.11 %
BMO.PR.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 22.16
Evaluated at bid price : 22.76
Bid-YTW : 4.88 %
PWF.PR.P FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.43 %
HSE.PR.E FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.60 %
NA.PR.E FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.26 %
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 : 21.01
Bid-YTW : 6.31 %
MFC.PR.F FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 8.78 %
BAM.PR.X FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset Prem 209,511 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.78 %
BAM.PF.F FixedReset Disc 139,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.65 %
BAM.PR.X FixedReset Disc 78,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.73 %
BAM.PR.K Floater 63,172 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 5.76 %
BMO.PR.Y FixedReset Disc 57,235 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 5.03 %
RY.PR.S FixedReset Disc 55,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 21.61
Evaluated at bid price : 21.95
Bid-YTW : 4.82 %
There were 32 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: 21.01 – 22.36
Spot Rate : 1.3500
Average : 0.9398

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 6.31 %

IFC.PR.G FixedReset Ins Non Quote: 21.10 – 21.63
Spot Rate : 0.5300
Average : 0.3174

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.57 %

TRP.PR.F FloatingReset Quote: 14.53 – 14.97
Spot Rate : 0.4400
Average : 0.2900

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 6.23 %

PWF.PR.L Perpetual-Discount Quote: 23.23 – 23.64
Spot Rate : 0.4100
Average : 0.2674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 5.49 %

RY.PR.S FixedReset Disc Quote: 21.95 – 22.24
Spot Rate : 0.2900
Average : 0.1846

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 21.61
Evaluated at bid price : 21.95
Bid-YTW : 4.82 %

TRP.PR.D FixedReset Disc Quote: 17.00 – 17.34
Spot Rate : 0.3400
Average : 0.2374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-09
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.86 %

April 8, 2019

Monday, April 8th, 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 1.5147 % 2,156.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5147 % 3,957.0
Floater 5.43 % 5.68 % 39,376 14.40 3 1.5147 % 2,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0941 % 3,288.0
SplitShare 4.87 % 4.69 % 79,975 3.85 8 -0.0941 % 3,926.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0941 % 3,063.7
Perpetual-Premium 5.57 % -12.13 % 86,090 0.09 10 0.1299 % 2,960.6
Perpetual-Discount 5.36 % 5.40 % 74,557 14.80 23 0.1525 % 3,126.9
FixedReset Disc 5.21 % 5.33 % 196,176 15.00 61 -0.2064 % 2,205.4
Deemed-Retractible 5.20 % 5.75 % 93,132 8.16 27 -0.0408 % 3,087.8
FloatingReset 4.22 % 4.23 % 54,210 2.70 5 -0.2248 % 2,410.5
FixedReset Prem 5.06 % 3.58 % 300,513 2.22 22 -0.0776 % 2,586.8
FixedReset Bank Non 1.98 % 3.96 % 134,431 2.72 3 -0.2088 % 2,633.8
FixedReset Ins Non 4.97 % 6.52 % 111,725 8.32 22 -0.5101 % 2,266.9
Performance Highlights
Issue Index Change Notes
NA.PR.G FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 21.35
Evaluated at bid price : 21.64
Bid-YTW : 5.19 %
MFC.PR.M FixedReset Ins Non -2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.48
Bid-YTW : 7.59 %
NA.PR.E FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.33 %
MFC.PR.F FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.55
Bid-YTW : 8.94 %
TD.PF.K FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 5.08 %
TD.PF.I FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 22.35
Evaluated at bid price : 22.95
Bid-YTW : 5.04 %
TRP.PR.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 6.04 %
BMO.PR.D FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 22.20
Evaluated at bid price : 22.69
Bid-YTW : 5.21 %
BAM.PR.X FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 5.83 %
GWO.PR.N FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.47
Bid-YTW : 8.93 %
CM.PR.Q FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.37 %
IFC.PR.A FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.25
Bid-YTW : 8.37 %
PVS.PR.F SplitShare -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.96 %
IAF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.46 %
MFC.PR.J FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.11
Bid-YTW : 6.52 %
EMA.PR.H FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 22.72
Evaluated at bid price : 23.78
Bid-YTW : 5.17 %
NA.PR.W FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.43 %
CU.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 5.34 %
CCS.PR.C Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 5.98 %
CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.29 %
BAM.PR.B Floater 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 12.24
Evaluated at bid price : 12.24
Bid-YTW : 5.69 %
PWF.PR.A Floater 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.12 %
HSE.PR.A FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 6.30 %
BAM.PR.K Floater 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 5.68 %
PWF.PR.P FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
IGM.PR.B Perpetual-Discount 683,011 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-08
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.06 %
BMO.PR.C FixedReset Disc 201,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 22.90
Evaluated at bid price : 23.89
Bid-YTW : 5.08 %
GWO.PR.S Deemed-Retractible 200,038 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.50 %
VNR.PR.A FixedReset Prem 179,733 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 23.30
Evaluated at bid price : 25.00
Bid-YTW : 4.35 %
TD.PF.C FixedReset Disc 124,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.11 %
RY.PR.H FixedReset Disc 83,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.13 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 14.62 – 15.35
Spot Rate : 0.7300
Average : 0.4948

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 6.04 %

NA.PR.E FixedReset Disc Quote: 20.01 – 20.50
Spot Rate : 0.4900
Average : 0.3078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.33 %

MFC.PR.M FixedReset Ins Non Quote: 18.48 – 19.00
Spot Rate : 0.5200
Average : 0.3575

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.48
Bid-YTW : 7.59 %

NA.PR.W FixedReset Disc Quote: 17.70 – 18.12
Spot Rate : 0.4200
Average : 0.2755

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.43 %

CM.PR.Q FixedReset Disc Quote: 20.15 – 20.60
Spot Rate : 0.4500
Average : 0.3065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.37 %

TD.PF.I FixedReset Disc Quote: 22.95 – 23.35
Spot Rate : 0.4000
Average : 0.3060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-08
Maturity Price : 22.35
Evaluated at bid price : 22.95
Bid-YTW : 5.04 %

April 5, 2019

Friday, April 5th, 2019

Well, today’s Canadian jobs report wasn’t too encouraging:

Following increases in January and February, employment held steady in March. The unemployment rate remained unchanged at 5.8%.

In the first quarter of 2019, employment rose by 116,000 (+0.6%).

On a year-over-year basis, employment grew by 332,000 (+1.8%), with gains in both full- (+204,000) and part-time (+128,000) work. Over the same period, total hours worked rose by 0.9%.

More people were working in the finance, insurance, real estate, rental and leasing industry, and in public administration. At the same time, employment declined in health care and social assistance; in business, building and other support services; and in accommodation and food services.

The number of employees held steady in March in both the public and private sectors. Self-employment was also virtually unchanged.

Both men and women aged 55 and older posted employment gains in March, while core-aged women experienced declines. At the same time, employment held steady for core-aged men and for youth.

… which didn’t do the loonie much good:

The Canadian dollar weakened to a one-week low against its U.S. counterpart on Friday as domestic data showing an unexpected decline in jobs diminished prospects of the Bank of Canada turning more upbeat on the economy.

A six-month string of employment gains, including blockbuster increases in January and February, had helped bolster investor sentiment for the loonie, offsetting weak gross domestic product data and a slowdown in the global economy that could hurt Canada’s exports.

But that sequence ended in March, as Canada shed 7,200 jobs. Analysts in a Reuters poll had forecast a marginal gain of 1,000.

Perceived chances of an interest-rate cut this year from the central bank nudged up to 40 per cent from 38 per cent before the data, the overnight index swaps market indicated.

Meanwhile, south of the border:

After an unexpectedly weak February — just 20,000 new jobs were initially reported — concerns arose that the remarkable wave of hiring might be ebbing. But employment surged again last month, beating the expectations of most economists with 196,000 new jobs, the Labor Department said Friday.

Even lowly February looked better: The department revised its report upward to 33,000 jobs. And unemployment remained at 3.8 percent in March, while wage growth kept its momentum, ensuring that pay is growing faster than inflation.

For years, even as the economy added jobs and unemployment kept falling, wage increases were lackluster. But employees now appear to be getting solid raises. Hourly wages in March were 3.2 percent higher than a year earlier, slightly lower than the 3.4 percent growth in February but still roughly double the annual inflation rate.

… and Trump continues to lobby the Fed for policy rate cuts and Quantitative Easing:

“Well I personally think the Fed should drop rates,” Mr. Trump said. “I think they really slowed us down. There’s no inflation. I would say in terms of quantitative tightening, it should actually now be quantitative easing. Very little if any inflation. And I think they should drop rates, and they should get rid of quantitative tightening. You would see a rocket ship. Despite that, we’re doing very well.”

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 0.8847 % 2,124.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8847 % 3,898.0
Floater 5.51 % 5.77 % 38,868 14.27 3 0.8847 % 2,246.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0297 % 3,291.1
SplitShare 4.86 % 4.55 % 83,261 3.85 8 0.0297 % 3,930.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0297 % 3,066.5
Perpetual-Premium 5.53 % -11.65 % 87,427 0.09 10 0.2150 % 2,956.7
Perpetual-Discount 5.36 % 5.41 % 75,215 14.64 23 -0.0168 % 3,122.1
FixedReset Disc 5.19 % 5.25 % 193,224 15.11 61 0.3336 % 2,210.0
Deemed-Retractible 5.19 % 5.74 % 91,188 8.16 27 0.1919 % 3,089.0
FloatingReset 4.21 % 4.08 % 52,982 2.71 5 0.3242 % 2,415.9
FixedReset Prem 5.05 % 3.52 % 294,966 2.23 22 0.1286 % 2,588.8
FixedReset Bank Non 1.98 % 3.81 % 136,116 2.72 3 -0.0557 % 2,639.3
FixedReset Ins Non 4.95 % 6.38 % 112,925 8.35 22 0.3511 % 2,278.6
Performance Highlights
Issue Index Change Notes
CM.PR.O FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 5.29 %
TRP.PR.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 5.88 %
BAM.PR.X FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.68 %
TD.PF.I FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 22.52
Evaluated at bid price : 23.25
Bid-YTW : 4.92 %
PWF.PR.Q FloatingReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 5.70 %
SLF.PR.G FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 8.82 %
TRP.PR.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 5.69 %
SLF.PR.E Deemed-Retractible 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 6.43 %
TRP.PR.K FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %
PWF.PR.A Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.19 %
IFC.PR.C FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 7.04 %
BAM.PR.Z FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.57 %
BAM.PR.R FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 5.65 %
BAM.PF.E FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.E Perpetual-Discount 100,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 22.68
Evaluated at bid price : 22.90
Bid-YTW : 5.41 %
W.PR.M FixedReset Prem 98,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.16 %
BMO.PR.C FixedReset Disc 76,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 22.89
Evaluated at bid price : 23.86
Bid-YTW : 5.04 %
CU.PR.G Perpetual-Discount 70,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.39 %
TD.PF.L FixedReset Prem 67,133 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 23.32
Evaluated at bid price : 25.53
Bid-YTW : 4.77 %
MFC.PR.Q FixedReset Ins Non 64,094 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.51 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Discount Quote: 22.56 – 23.25
Spot Rate : 0.6900
Average : 0.4092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 22.29
Evaluated at bid price : 22.56
Bid-YTW : 5.55 %

NA.PR.G FixedReset Disc Quote: 22.20 – 23.00
Spot Rate : 0.8000
Average : 0.5760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 21.79
Evaluated at bid price : 22.20
Bid-YTW : 5.00 %

IAF.PR.G FixedReset Ins Non Quote: 20.99 – 21.60
Spot Rate : 0.6100
Average : 0.3914

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.28 %

IFC.PR.C FixedReset Ins Non Quote: 19.30 – 19.84
Spot Rate : 0.5400
Average : 0.3689

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 7.04 %

BAM.PF.J FixedReset Disc Quote: 24.00 – 24.49
Spot Rate : 0.4900
Average : 0.3411

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 22.88
Evaluated at bid price : 24.00
Bid-YTW : 4.91 %

PWF.PR.A Floater Quote: 13.50 – 13.91
Spot Rate : 0.4100
Average : 0.2765

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-05
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.19 %