Archive for the ‘Market Action’ Category

August 20, 2018

Monday, August 20th, 2018
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 0.1479 % 3,106.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1479 % 5,700.8
Floater 3.48 % 3.70 % 47,725 18.03 4 0.1479 % 3,285.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.2346 % 3,221.4
SplitShare 4.56 % 4.47 % 49,482 4.82 5 0.2346 % 3,847.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2346 % 3,001.6
Perpetual-Premium 5.62 % -9.83 % 59,100 0.09 10 -0.0354 % 2,911.9
Perpetual-Discount 5.41 % 5.53 % 54,750 14.56 25 -0.1449 % 2,990.5
FixedReset 4.31 % 4.71 % 120,036 4.10 107 -0.1027 % 2,574.1
Deemed-Retractible 5.14 % 5.90 % 65,339 5.38 26 -0.0626 % 2,981.8
FloatingReset 3.43 % 3.79 % 34,518 5.69 7 -0.0586 % 2,838.9
Performance Highlights
Issue Index Change Notes
GWO.PR.R Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 7.12 %
IAG.PR.I FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.02 %
MFC.PR.G FixedReset 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.49
Bid-YTW : 4.47 %
TRP.PR.G FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 23.18
Evaluated at bid price : 24.18
Bid-YTW : 5.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.F Deemed-Retractible 38,134 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : -22.14 %
TD.PF.C FixedReset 21,143 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 22.98
Evaluated at bid price : 23.42
Bid-YTW : 4.69 %
MFC.PR.H FixedReset 20,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.98 %
CM.PR.P FixedReset 18,676 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 22.70
Evaluated at bid price : 23.13
Bid-YTW : 4.73 %
BMO.PR.M FixedReset 18,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.35 %
IFC.PR.G FixedReset 15,160 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.78 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.F SplitShare Quote: 25.90 – 26.45
Spot Rate : 0.5500
Average : 0.3584

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.33 %

BAM.PR.X FixedReset Quote: 19.07 – 19.60
Spot Rate : 0.5300
Average : 0.3918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 4.93 %

HSE.PR.G FixedReset Quote: 25.23 – 25.50
Spot Rate : 0.2700
Average : 0.1991

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.47 %

CU.PR.C FixedReset Quote: 22.39 – 22.75
Spot Rate : 0.3600
Average : 0.2912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 21.97
Evaluated at bid price : 22.39
Bid-YTW : 4.83 %

SLF.PR.H FixedReset Quote: 21.76 – 22.08
Spot Rate : 0.3200
Average : 0.2544

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.76
Bid-YTW : 6.16 %

TRP.PR.C FixedReset Quote: 17.54 – 17.75
Spot Rate : 0.2100
Average : 0.1455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.07 %

August 17, 2018

Friday, August 17th, 2018
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 0.3238 % 3,102.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3238 % 5,692.4
Floater 3.48 % 3.71 % 48,461 18.00 4 0.3238 % 3,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0314 % 3,213.8
SplitShare 4.57 % 4.79 % 48,491 4.83 5 -0.0314 % 3,838.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0314 % 2,994.6
Perpetual-Premium 5.62 % -10.37 % 57,642 0.09 10 -0.0275 % 2,912.9
Perpetual-Discount 5.40 % 5.53 % 55,022 14.58 25 0.0276 % 2,994.9
FixedReset 4.30 % 4.77 % 120,722 3.90 107 0.1050 % 2,576.8
Deemed-Retractible 5.13 % 5.93 % 66,266 5.39 26 0.1049 % 2,983.6
FloatingReset 3.43 % 3.73 % 34,385 5.70 7 -0.0326 % 2,840.6
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.43
Bid-YTW : 4.87 %
MFC.PR.R FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 3.48 %
GWO.PR.R Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.53
Bid-YTW : 6.88 %
BAM.PR.K Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-17
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 3.71 %
MFC.PR.K FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.91 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.I FixedReset 144,371 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.20 %
GWO.PR.S Deemed-Retractible 100,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.56 %
BAM.PF.H FixedReset 92,877 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 3.48 %
RY.PR.R FixedReset 92,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.45 %
SLF.PR.B Deemed-Retractible 64,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.78 %
BNS.PR.H FixedReset 53,687 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 3.55 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Quote: 24.15 – 25.00
Spot Rate : 0.8500
Average : 0.5938

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-17
Maturity Price : 23.75
Evaluated at bid price : 24.15
Bid-YTW : 5.04 %

MFC.PR.M FixedReset Quote: 23.58 – 24.22
Spot Rate : 0.6400
Average : 0.4464

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.58
Bid-YTW : 5.70 %

MFC.PR.G FixedReset Quote: 24.43 – 24.87
Spot Rate : 0.4400
Average : 0.3469

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.43
Bid-YTW : 4.87 %

SLF.PR.B Deemed-Retractible Quote: 22.65 – 22.95
Spot Rate : 0.3000
Average : 0.2105

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.78 %

EIT.PR.A SplitShare Quote: 25.25 – 25.58
Spot Rate : 0.3300
Average : 0.2465

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.79 %

MFC.PR.L FixedReset Quote: 23.17 – 23.70
Spot Rate : 0.5300
Average : 0.4514

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 5.91 %

August 16, 2018

Thursday, August 16th, 2018

Apparently there’s another “mini-tender” offer being made by TRC Capital:

TransCanada Corporation (TSX, NYSE: TRP) (TransCanada) has been notified of an unsolicited mini-tender offer by TRC Capital Corporation (TRC Capital) to purchase up to 2,500,000 common shares of TransCanada, representing approximately 0.28 per cent of TransCanada’s outstanding common shares at a price of CDN $55.35 per common share. TransCanada does not endorse this unsolicited mini-tender offer.

Shareholders are cautioned that the mini-tender offer has been made at a 4.32 per cent discount to the closing price of TransCanada’s common shares on the Toronto Stock Exchange on August 14, 2018, the last trading day before the mini-tender offer was announced.

Any person considering tendering to the offer should consult his or her financial advisor.

TransCanada does not endorse TRC Capital’s unsolicited mini-tender offer and is not associated with TRC Capital, the mini-tender offer, or the offer documentation. TRC Capital has made similar unsolicited mini-tender offers for shares of other companies.

The Financial Post did a piece on a similar offer a few years back for Enbridge stock (emphasis added):

Shareholders sometimes accept a below-market mini tender to avoid paying brokerage commissions for trading their shares and are therefore willing to accept a discount. However, a CSA advisory notes this is a very limited circumstance.

“These are bad news, I would say,” University of Calgary finance professor Ari Pandes said, calling mini-tender offers an “unscrupulous and unethical tactic.”

He said mini tenders often catch investors “off-guard” and cause them to “push the panic button so that some investors decide to sell.”

“The important thing is for the companies to get on top of it quickly,” Pandes said. He said companies should warn their shareholders not to accept the mini-tenders before retail investors, who might not do their homework, accept the offer.

Lorne Albaum, a Toronto securities lawyer who heads TRC Capital, did not respond to a request for comment.

The practice is discussed in CSA Staff Notice 61-301, issued in 1999.

Well, I won’t be doing any business with Lorne Albaum, I can tell you that much! Nor, I hope, with any entity that has done business with him!

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 0.1757 % 3,092.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1757 % 5,674.0
Floater 3.49 % 3.72 % 50,197 17.99 4 0.1757 % 3,270.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0866 % 3,214.8
SplitShare 4.57 % 4.75 % 48,396 4.83 5 0.0866 % 3,839.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0866 % 2,995.5
Perpetual-Premium 5.62 % -10.55 % 56,809 0.09 10 -0.0157 % 2,913.7
Perpetual-Discount 5.40 % 5.52 % 55,889 14.59 25 0.0881 % 2,994.0
FixedReset 4.30 % 4.78 % 118,165 3.91 107 0.0656 % 2,574.1
Deemed-Retractible 5.13 % 5.93 % 61,351 5.39 26 -0.0951 % 2,980.5
FloatingReset 3.43 % 3.77 % 34,789 5.70 7 0.0456 % 2,841.5
Performance Highlights
Issue Index Change Notes
GWO.PR.R Deemed-Retractible -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 7.10 %
TRP.PR.J FixedReset -1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.91 %
BAM.PR.K Floater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.76 %
EMA.PR.H FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.54 %
PWF.PR.A Floater 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 2.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.E FixedReset 179,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 22.82
Evaluated at bid price : 24.06
Bid-YTW : 4.94 %
BMO.PR.W FixedReset 93,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 22.58
Evaluated at bid price : 23.04
Bid-YTW : 4.83 %
PWF.PR.K Perpetual-Discount 70,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.56 %
NA.PR.S FixedReset 67,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 22.86
Evaluated at bid price : 23.50
Bid-YTW : 4.96 %
TD.PF.H FixedReset 66,152 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 3.58 %
POW.PR.G Perpetual-Premium 56,128 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 5.35 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 19.05 – 19.60
Spot Rate : 0.5500
Average : 0.3504

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.04 %

TRP.PR.J FixedReset Quote: 26.00 – 26.39
Spot Rate : 0.3900
Average : 0.2416

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.91 %

W.PR.M FixedReset Quote: 25.90 – 26.35
Spot Rate : 0.4500
Average : 0.3142

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.15 %

GWO.PR.R Deemed-Retractible Quote: 22.27 – 22.65
Spot Rate : 0.3800
Average : 0.2548

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 7.10 %

BAM.PR.K Floater Quote: 17.40 – 17.78
Spot Rate : 0.3800
Average : 0.2588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.76 %

IAG.PR.I FixedReset Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.8806

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.74 %

August 15, 2018

Wednesday, August 15th, 2018

PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a slight (and perhaps spurious) widening from the 320bp reported August 8.

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 -0.2965 % 3,086.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2965 % 5,664.0
Floater 3.50 % 3.71 % 50,096 18.00 4 -0.2965 % 3,264.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0157 % 3,212.1
SplitShare 4.57 % 4.72 % 49,063 4.83 5 0.0157 % 3,835.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0157 % 2,992.9
Perpetual-Premium 5.62 % -11.35 % 55,271 0.09 10 0.0590 % 2,914.2
Perpetual-Discount 5.41 % 5.53 % 56,587 14.58 25 0.0778 % 2,991.4
FixedReset 4.31 % 4.78 % 117,599 3.92 107 -0.0795 % 2,572.4
Deemed-Retractible 5.13 % 6.04 % 56,919 5.39 26 0.0952 % 2,983.3
FloatingReset 3.43 % 3.77 % 34,813 5.70 7 -0.1496 % 2,840.2
Performance Highlights
Issue Index Change Notes
EMA.PR.H FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 23.21
Evaluated at bid price : 25.15
Bid-YTW : 4.78 %
SLF.PR.H FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 6.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 106,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.16 %
TD.PF.B FixedReset 85,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 22.93
Evaluated at bid price : 23.50
Bid-YTW : 4.82 %
TRP.PR.E FixedReset 79,037 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 21.85
Evaluated at bid price : 22.36
Bid-YTW : 5.17 %
RY.PR.P Perpetual-Premium 64,880 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.18 %
CU.PR.H Perpetual-Discount 47,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 23.85
Evaluated at bid price : 24.30
Bid-YTW : 5.40 %
MFC.PR.C Deemed-Retractible 45,575 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 7.68 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.I FixedReset Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.7497

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.73 %

MFC.PR.L FixedReset Quote: 22.88 – 23.68
Spot Rate : 0.8000
Average : 0.5684

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.14 %

MFC.PR.R FixedReset Quote: 26.07 – 26.42
Spot Rate : 0.3500
Average : 0.2057

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.81 %

MFC.PR.K FixedReset Quote: 23.00 – 23.50
Spot Rate : 0.5000
Average : 0.3586

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.19 %

BAM.PR.T FixedReset Quote: 21.11 – 21.48
Spot Rate : 0.3700
Average : 0.2669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.22 %

PWF.PR.A Floater Quote: 21.21 – 21.55
Spot Rate : 0.3400
Average : 0.2412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 3.05 %

August 14, 2018

Tuesday, August 14th, 2018
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 -0.4962 % 3,095.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4962 % 5,680.9
Floater 3.49 % 3.71 % 50,904 18.01 4 -0.4962 % 3,273.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0551 % 3,211.6
SplitShare 4.57 % 4.69 % 49,250 4.84 5 -0.0551 % 3,835.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0551 % 2,992.4
Perpetual-Premium 5.62 % -10.91 % 57,447 0.09 10 0.0157 % 2,912.5
Perpetual-Discount 5.41 % 5.53 % 58,450 14.58 25 -0.0536 % 2,989.1
FixedReset 4.30 % 4.78 % 127,361 3.91 107 -0.0288 % 2,574.4
Deemed-Retractible 5.13 % 5.96 % 58,739 5.39 26 -0.1016 % 2,980.5
FloatingReset 3.43 % 3.65 % 32,230 5.71 7 0.0195 % 2,844.4
Performance Highlights
Issue Index Change Notes
No individual gains or losses exceeding 1%!
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 112,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.83 %
TD.PF.B FixedReset 104,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 23.08
Evaluated at bid price : 23.65
Bid-YTW : 4.79 %
GWO.PR.G Deemed-Retractible 104,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.04
Bid-YTW : 6.09 %
GWO.PR.Q Deemed-Retractible 53,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 6.13 %
MFC.PR.R FixedReset 52,632 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.81 %
RY.PR.R FixedReset 52,620 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.44 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Quote: 24.15 – 25.00
Spot Rate : 0.8500
Average : 0.5210

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 23.76
Evaluated at bid price : 24.15
Bid-YTW : 5.04 %

MFC.PR.N FixedReset Quote: 23.75 – 24.37
Spot Rate : 0.6200
Average : 0.4599

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.45 %

CM.PR.O FixedReset Quote: 23.44 – 23.88
Spot Rate : 0.4400
Average : 0.2921

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 22.88
Evaluated at bid price : 23.44
Bid-YTW : 4.88 %

CM.PR.Q FixedReset Quote: 24.45 – 24.75
Spot Rate : 0.3000
Average : 0.1869

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 4.89 %

MFC.PR.G FixedReset Quote: 24.50 – 24.95
Spot Rate : 0.4500
Average : 0.3462

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.76 %

RY.PR.H FixedReset Quote: 23.57 – 23.88
Spot Rate : 0.3100
Average : 0.2064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 23.02
Evaluated at bid price : 23.57
Bid-YTW : 4.78 %

August 13, 2018

Monday, August 13th, 2018
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 0.2959 % 3,111.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2959 % 5,709.2
Floater 3.47 % 3.69 % 50,042 18.05 4 0.2959 % 3,290.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0315 % 3,213.3
SplitShare 4.57 % 4.66 % 50,974 4.84 5 0.0315 % 3,837.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0315 % 2,994.1
Perpetual-Premium 5.62 % -10.64 % 57,689 0.09 10 0.0315 % 2,912.0
Perpetual-Discount 5.41 % 5.53 % 57,260 14.58 25 0.0449 % 2,990.7
FixedReset 4.30 % 4.75 % 128,643 3.91 107 -0.0666 % 2,575.2
Deemed-Retractible 5.13 % 5.96 % 56,045 5.40 26 0.0516 % 2,983.5
FloatingReset 3.43 % 3.65 % 32,247 5.71 7 0.1042 % 2,843.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 5.10 %
TD.PF.A FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 22.92
Evaluated at bid price : 23.41
Bid-YTW : 4.80 %
MFC.PR.L FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.87
Bid-YTW : 6.14 %
TD.PF.E FixedReset -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 4.62 %
TRP.PR.H FloatingReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 4.10 %
TRP.PR.F FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.R FloatingReset 333,878 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.05 %
BNS.PR.G FixedReset 106,912 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 3.55 %
TD.PF.H FixedReset 69,045 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.65 %
BAM.PR.Z FixedReset 53,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 5.00 %
EMA.PR.H FixedReset 45,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.43 %
BAM.PF.F FixedReset 41,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 24.57
Evaluated at bid price : 24.90
Bid-YTW : 5.18 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.I FixedReset Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.6235

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.73 %

VNR.PR.A FixedReset Quote: 24.80 – 25.35
Spot Rate : 0.5500
Average : 0.4060

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.96 %

HSE.PR.C FixedReset Quote: 24.85 – 25.25
Spot Rate : 0.4000
Average : 0.2734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 23.71
Evaluated at bid price : 24.85
Bid-YTW : 5.38 %

TD.PF.E FixedReset Quote: 24.56 – 24.89
Spot Rate : 0.3300
Average : 0.2124

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 4.62 %

EIT.PR.B SplitShare Quote: 25.17 – 25.57
Spot Rate : 0.4000
Average : 0.2906

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.84 %

TD.PF.A FixedReset Quote: 23.41 – 23.70
Spot Rate : 0.2900
Average : 0.1851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 22.92
Evaluated at bid price : 23.41
Bid-YTW : 4.80 %

August 10, 2018

Friday, August 10th, 2018

Jobs, jobs, … part-time civil-service jobs!:

The Canadian economy added about 54,000 new jobs last month, causing the jobless rate to fall two-tenths of a percentage point to 5.8 per cent.

Statistics Canada said Friday that the economy added 82,000 part-time jobs, but that figure was offset by a loss of 28,000 full-time positions.

The public sector added 49,600 new jobs, while the private sector added 5,200 positions.

I was amused to see that everybody’s favourite whipping boys, the Credit Rating Agencies, received another touch of the lash today:

The lira has long been falling on worries about Erdogan’s influence over monetary policy and worsening relations with the United States. That turned into a rout on Friday, with the lira diving more than 18 percent at one point, the biggest one-day drop since Turkey’s 2001 financial crisis.

It has also lost more than 40 percent this year, hitting a new record low after Trump took steps to punish Turkey in a wide-ranging dispute.

Erdogan’s characteristic defiance in the face of the crisis has further unnerved investors. The president, who says a shadowy “interest rate lobby” and Western credit ratings agencies are attempting to bring down Turkey’s economy, appealed to Turks’ patriotism.

Perhaps Mr. Erdogan and his boys will pay them a friendly visit.

… and now it’s time for me to get to work on 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 -0.0538 % 3,102.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0538 % 5,692.4
Floater 3.48 % 3.69 % 51,821 18.05 4 -0.0538 % 3,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,212.3
SplitShare 4.57 % 4.38 % 47,201 4.85 5 0.0079 % 3,836.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0079 % 2,993.1
Perpetual-Premium 5.62 % -10.73 % 58,245 0.09 10 -0.0551 % 2,911.1
Perpetual-Discount 5.41 % 5.52 % 57,858 14.59 25 -0.1174 % 2,989.3
FixedReset 4.29 % 4.75 % 130,201 3.87 107 -0.2178 % 2,576.9
Deemed-Retractible 5.13 % 5.88 % 56,452 5.41 26 -0.0129 % 2,982.0
FloatingReset 3.43 % 3.63 % 29,850 5.72 7 0.1500 % 2,840.9
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset -1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 5.14 %
MFC.PR.O FixedReset -1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.91 %
HSE.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.36 %
MFC.PR.N FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.44 %
GWO.PR.N FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.98 %
TRP.PR.B FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 5.02 %
TRP.PR.H FloatingReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 4.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset 152,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 4.77 %
CM.PR.R FixedReset 109,963 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.13 %
NA.PR.S FixedReset 72,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 22.82
Evaluated at bid price : 23.45
Bid-YTW : 4.96 %
BNS.PR.R FixedReset 43,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.01 %
CM.PR.P FixedReset 38,270 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 22.68
Evaluated at bid price : 23.10
Bid-YTW : 4.84 %
TD.PF.I FixedReset 38,211 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.14 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Deemed-Retractible Quote: 24.29 – 24.58
Spot Rate : 0.2900
Average : 0.1926

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.29
Bid-YTW : 5.88 %

MFC.PR.O FixedReset Quote: 26.35 – 26.58
Spot Rate : 0.2300
Average : 0.1379

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.91 %

TRP.PR.G FixedReset Quote: 24.30 – 24.50
Spot Rate : 0.2000
Average : 0.1303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 23.23
Evaluated at bid price : 24.30
Bid-YTW : 5.23 %

BAM.PR.N Perpetual-Discount Quote: 20.80 – 20.98
Spot Rate : 0.1800
Average : 0.1140

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.79 %

GWO.PR.R Deemed-Retractible Quote: 22.38 – 22.55
Spot Rate : 0.1700
Average : 0.1057

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 6.98 %

TD.PF.J FixedReset Quote: 25.50 – 25.70
Spot Rate : 0.2000
Average : 0.1364

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.28 %

August 9, 2018

Thursday, August 9th, 2018

FinTech, eh?

Mobile trading apps and web platforms are much less secure than banking apps, according to a report from U.S. cybersecurity firm IOActive Inc., which found a variety of vulnerabilities in a series of recent tests.

Overall, the firm reports, its tests of the security on a variety of brokerage firms’ trading apps, which were carried out from mid-2017 to mid-2018, found brokers’ security measures to be much weaker than comparable banking apps. Among other things, it found weaknesses with encryption, denial of service and authentication measures.

In particular, it found desktop apps and mobile apps that transmitted some data unencrypted, including passwords and certain personal information. It also found passwords that are stored unencrypted, which could be vulnerable to hackers.

The company’s blog post about this, which includes a link to the full report, is titled Are You Trading Stocks Securely? Exposing Security Flaws in Trading Technologies.

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 -0.6544 % 3,103.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6544 % 5,695.4
Floater 3.48 % 3.69 % 51,688 18.06 4 -0.6544 % 3,282.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0236 % 3,212.1
SplitShare 4.57 % 4.38 % 47,959 4.85 5 0.0236 % 3,835.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0236 % 2,992.9
Perpetual-Premium 5.62 % -11.36 % 59,130 0.09 10 0.0197 % 2,912.7
Perpetual-Discount 5.40 % 5.51 % 60,051 14.62 25 0.2024 % 2,992.8
FixedReset 4.28 % 4.71 % 129,777 3.77 107 0.2440 % 2,582.5
Deemed-Retractible 5.13 % 5.88 % 55,289 5.41 26 0.2037 % 2,982.4
FloatingReset 3.35 % 3.53 % 29,650 5.74 7 -0.0391 % 2,836.7
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 3.69 %
NA.PR.E FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 22.84
Evaluated at bid price : 24.12
Bid-YTW : 4.91 %
TRP.PR.D FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 22.16
Evaluated at bid price : 22.85
Bid-YTW : 5.06 %
HSE.PR.A FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.Q Deemed-Retractible 154,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 6.17 %
NA.PR.E FixedReset 142,319 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 22.84
Evaluated at bid price : 24.12
Bid-YTW : 4.91 %
CM.PR.S FixedReset 122,470 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 22.82
Evaluated at bid price : 24.01
Bid-YTW : 4.82 %
TRP.PR.C FixedReset 75,715 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.10 %
MFC.PR.Q FixedReset 66,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.79 %
CM.PR.R FixedReset 61,656 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.07 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Quote: 24.03 – 24.50
Spot Rate : 0.4700
Average : 0.2737

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.03
Bid-YTW : 5.21 %

MFC.PR.R FixedReset Quote: 26.17 – 26.45
Spot Rate : 0.2800
Average : 0.1731

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.67 %

VNR.PR.A FixedReset Quote: 24.80 – 25.14
Spot Rate : 0.3400
Average : 0.2568

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.95 %

CM.PR.S FixedReset Quote: 24.01 – 24.24
Spot Rate : 0.2300
Average : 0.1511

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 22.82
Evaluated at bid price : 24.01
Bid-YTW : 4.82 %

BAM.PR.T FixedReset Quote: 21.25 – 21.48
Spot Rate : 0.2300
Average : 0.1547

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.17 %

TRP.PR.H FloatingReset Quote: 17.09 – 17.42
Spot Rate : 0.3300
Average : 0.2605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 4.00 %

August 8, 2018

Wednesday, August 8th, 2018

PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, unchanged from August 1.

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 0.3350 % 3,124.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3350 % 5,733.0
Floater 3.46 % 3.65 % 53,614 18.15 4 0.3350 % 3,303.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0551 % 3,211.3
SplitShare 4.57 % 4.38 % 47,761 4.85 5 -0.0551 % 3,835.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0551 % 2,992.2
Perpetual-Premium 5.62 % -11.09 % 59,610 0.09 10 -0.0157 % 2,912.1
Perpetual-Discount 5.40 % 5.53 % 56,651 14.60 25 0.0138 % 2,986.8
FixedReset 4.29 % 4.74 % 128,026 3.84 107 0.1093 % 2,576.2
Deemed-Retractible 5.14 % 5.98 % 55,704 5.41 26 0.0793 % 2,976.3
FloatingReset 3.35 % 3.55 % 30,735 5.74 7 -0.0521 % 2,837.8
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.34 %
BAM.PF.B FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 23.26
Evaluated at bid price : 23.95
Bid-YTW : 5.10 %
CU.PR.G Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 5.37 %
MFC.PR.L FixedReset 8.87 % Mostly reversing yesterday‘s reported loss of 4.93% – but still basically flat on the month-to-date.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.08
Bid-YTW : 5.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset 103,721 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.39
Bid-YTW : 3.59 %
TD.PF.C FixedReset 103,642 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 23.08
Evaluated at bid price : 23.51
Bid-YTW : 4.75 %
CM.PR.O FixedReset 103,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 22.89
Evaluated at bid price : 23.45
Bid-YTW : 4.85 %
PWF.PR.L Perpetual-Discount 101,375 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 22.81
Evaluated at bid price : 23.09
Bid-YTW : 5.55 %
PWF.PR.F Perpetual-Discount 99,086 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.56 %
BIP.PR.B FixedReset 90,822 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 4.68 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.P FixedReset Quote: 23.06 – 23.35
Spot Rate : 0.2900
Average : 0.1904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 22.64
Evaluated at bid price : 23.06
Bid-YTW : 4.82 %

EIT.PR.A SplitShare Quote: 25.24 – 25.59
Spot Rate : 0.3500
Average : 0.2639

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.78 %

MFC.PR.J FixedReset Quote: 25.11 – 25.40
Spot Rate : 0.2900
Average : 0.2072

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.92 %

EMA.PR.H FixedReset Quote: 25.55 – 25.85
Spot Rate : 0.3000
Average : 0.2202

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.41 %

RY.PR.H FixedReset Quote: 23.60 – 23.89
Spot Rate : 0.2900
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 23.06
Evaluated at bid price : 23.60
Bid-YTW : 4.75 %

TRP.PR.H FloatingReset Quote: 17.17 – 17.43
Spot Rate : 0.2600
Average : 0.1843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 3.98 %

August 7, 2018

Tuesday, August 7th, 2018
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 -0.2006 % 3,113.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2006 % 5,713.8
Floater 3.47 % 3.67 % 54,235 18.10 4 -0.2006 % 3,292.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0079 % 3,213.1
SplitShare 4.57 % 4.37 % 47,357 4.86 5 -0.0079 % 3,837.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0079 % 2,993.9
Perpetual-Premium 5.62 % -11.72 % 59,838 0.09 10 -0.0433 % 2,912.6
Perpetual-Discount 5.40 % 5.53 % 53,872 14.61 25 0.0224 % 2,986.4
FixedReset 4.30 % 4.73 % 128,385 3.84 107 0.0702 % 2,573.4
Deemed-Retractible 5.15 % 6.07 % 57,898 5.41 26 -0.0226 % 2,974.0
FloatingReset 3.35 % 3.55 % 31,110 5.75 7 0.2221 % 2,839.3
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset -4.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.51 %
CU.PR.G Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.44 %
BIP.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 23.67
Evaluated at bid price : 24.00
Bid-YTW : 5.98 %
EMA.PR.C FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 22.83
Evaluated at bid price : 24.12
Bid-YTW : 5.04 %
BAM.PF.F FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 23.84
Evaluated at bid price : 24.95
Bid-YTW : 5.10 %
TD.PF.E FixedReset 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.14 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.Q FixedReset 225,550 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 4.35 %
TD.PF.D FixedReset 71,816 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 4.57 %
MFC.PR.R FixedReset 57,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.86 %
SLF.PR.H FixedReset 56,909 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.88 %
W.PR.K FixedReset 49,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.43 %
BNS.PR.G FixedReset 46,818 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 3.60 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Quote: 21.20 – 23.19
Spot Rate : 1.9900
Average : 1.3039

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.51 %

IAG.PR.I FixedReset Quote: 25.16 – 26.16
Spot Rate : 1.0000
Average : 0.5873

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.80 %

MFC.PR.Q FixedReset Quote: 24.85 – 25.29
Spot Rate : 0.4400
Average : 0.2979

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.98 %

CU.PR.G Perpetual-Discount Quote: 21.06 – 21.40
Spot Rate : 0.3400
Average : 0.2056

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.44 %

BIP.PR.A FixedReset Quote: 24.00 – 24.34
Spot Rate : 0.3400
Average : 0.2163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 23.67
Evaluated at bid price : 24.00
Bid-YTW : 5.98 %

PWF.PR.Q FloatingReset Quote: 21.70 – 22.20
Spot Rate : 0.5000
Average : 0.4026

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.48 %