Archive for the ‘Market Action’ Category

February 21, 2019

Thursday, February 21st, 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 0.1354 % 2,195.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1354 % 4,028.0
Floater 5.34 % 5.60 % 30,609 14.44 4 0.1354 % 2,321.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1760 % 3,257.0
SplitShare 4.89 % 4.62 % 59,129 3.93 8 0.1760 % 3,889.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1760 % 3,034.8
Perpetual-Premium 5.84 % 0.77 % 82,522 0.08 4 0.0099 % 2,896.1
Perpetual-Discount 5.57 % 5.72 % 79,082 14.22 31 -0.0014 % 2,988.5
FixedReset Disc 5.16 % 5.50 % 225,394 14.82 65 -0.1016 % 2,198.2
Deemed-Retractible 5.34 % 6.25 % 95,034 8.11 27 0.0501 % 2,968.6
FloatingReset 4.39 % 5.69 % 56,695 8.40 6 0.0282 % 2,427.5
FixedReset Prem 5.14 % 4.26 % 288,691 2.26 18 -0.0718 % 2,532.3
FixedReset Bank Non 2.78 % 4.44 % 178,509 2.82 5 0.2732 % 2,606.8
FixedReset Ins Non 5.02 % 7.01 % 132,227 8.24 22 -0.0641 % 2,218.8
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.71 %
TRP.PR.C FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 6.09 %
RY.PR.J FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.35 %
SLF.PR.I FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.17
Bid-YTW : 6.95 %
BAM.PR.Z FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.88 %
PWF.PR.T FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.52 %
SLF.PR.B Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.36
Bid-YTW : 6.84 %
IAF.PR.I FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 7.01 %
BAM.PR.K Floater -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 12.42
Evaluated at bid price : 12.42
Bid-YTW : 5.65 %
RY.PR.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.14 %
BAM.PR.B Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 12.53
Evaluated at bid price : 12.53
Bid-YTW : 5.60 %
MFC.PR.C Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.28
Bid-YTW : 7.16 %
HSE.PR.E FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.78 %
GWO.PR.N FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 8.95 %
PWF.PR.P FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.81 %
BAM.PR.T FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
W.PR.J Perpetual-Discount 410,474 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-23
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.74 %
TRP.PR.K FixedReset Disc 213,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 23.15
Evaluated at bid price : 24.50
Bid-YTW : 5.56 %
TD.PF.G FixedReset Prem 106,846 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 4.07 %
MFC.PR.R FixedReset Ins Non 100,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.55 %
CM.PR.O FixedReset Disc 82,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 5.36 %
CM.PR.R FixedReset Disc 80,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 22.29
Evaluated at bid price : 22.83
Bid-YTW : 5.51 %
There were 66 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 Disc Quote: 19.50 – 23.07
Spot Rate : 3.5700
Average : 2.2331

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.70 %

HSE.PR.G FixedReset Disc Quote: 19.70 – 21.60
Spot Rate : 1.9000
Average : 1.0611

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.79 %

BIP.PR.A FixedReset Disc Quote: 20.01 – 20.90
Spot Rate : 0.8900
Average : 0.5941

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.71 %

MFC.PR.I FixedReset Ins Non Quote: 20.99 – 22.80
Spot Rate : 1.8100
Average : 1.5569

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.77 %

RY.PR.J FixedReset Disc Quote: 21.00 – 21.72
Spot Rate : 0.7200
Average : 0.4890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.35 %

HSE.PR.C FixedReset Disc Quote: 18.76 – 19.50
Spot Rate : 0.7400
Average : 0.5133

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-21
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.65 %

February 20, 2019

Wednesday, February 20th, 2019

PerpetualDiscounts now yield 5.72%, equivalent to 7.44% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 355bp, a slight (and perhaps spurious) widening from the 350bp reported February 13.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,192.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,022.5
Floater 5.35 % 5.59 % 30,564 14.46 4 0.0000 % 2,318.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3771 % 3,251.3
SplitShare 4.87 % 4.52 % 59,931 3.93 8 0.3771 % 3,882.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3771 % 3,029.5
Perpetual-Premium 5.84 % 0.58 % 83,002 0.08 4 0.2083 % 2,895.8
Perpetual-Discount 5.57 % 5.72 % 73,206 14.21 31 0.4852 % 2,988.6
FixedReset Disc 5.16 % 5.45 % 222,373 14.80 65 0.3227 % 2,200.4
Deemed-Retractible 5.35 % 6.25 % 98,954 8.11 27 0.0566 % 2,967.1
FloatingReset 4.39 % 5.69 % 57,497 8.40 6 0.3961 % 2,426.8
FixedReset Prem 5.14 % 4.25 % 299,917 2.26 18 0.1417 % 2,534.2
FixedReset Bank Non 2.79 % 4.49 % 169,821 2.82 5 0.1243 % 2,599.7
FixedReset Ins Non 5.01 % 6.86 % 130,322 8.24 22 0.4296 % 2,220.3
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -2.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 7.10 %
MFC.PR.F FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 9.49 %
BAM.PF.D Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.82 %
BAM.PR.C Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 5.71 %
BIP.PR.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.55 %
CU.PR.F Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 5.54 %
TD.PF.I FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 22.52
Evaluated at bid price : 23.26
Bid-YTW : 5.10 %
HSE.PR.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.60 %
MFC.PR.N FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.52 %
EMA.PR.H FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 22.34
Evaluated at bid price : 23.05
Bid-YTW : 5.31 %
BAM.PR.K Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 5.59 %
MFC.PR.J FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 6.72 %
BMO.PR.Y FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.23 %
SLF.PR.B Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 6.69 %
MFC.PR.K FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 7.21 %
MFC.PR.M FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.51
Bid-YTW : 7.19 %
GWO.PR.N FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 9.11 %
W.PR.M FixedReset Prem 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.88 %
HSE.PR.A FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 13.34
Evaluated at bid price : 13.34
Bid-YTW : 6.42 %
TRP.PR.H FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.75 %
SLF.PR.G FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 9.14 %
RY.PR.S FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 21.64
Evaluated at bid price : 22.00
Bid-YTW : 4.94 %
BIP.PR.F FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 6.04 %
PVS.PR.G SplitShare 2.10 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.93 %
TRP.PR.B FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 5.92 %
W.PR.J Perpetual-Discount 5.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-22
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.55 %
W.PR.H Perpetual-Discount 6.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-22
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
W.PR.H Perpetual-Discount 1,147,724 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-22
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.82 %
W.PR.J Perpetual-Discount 553,410 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-22
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.55 %
NA.PR.C FixedReset Disc 139,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 21.99
Evaluated at bid price : 22.41
Bid-YTW : 5.66 %
CM.PR.S FixedReset Disc 104,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.22 %
BAM.PF.J FixedReset Disc 93,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 22.96
Evaluated at bid price : 24.20
Bid-YTW : 5.02 %
CU.PR.D Perpetual-Discount 79,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 22.05
Evaluated at bid price : 22.05
Bid-YTW : 5.58 %
There were 33 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 Ins Non Quote: 18.85 – 21.99
Spot Rate : 3.1400
Average : 2.1250

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.52 %

MFC.PR.I FixedReset Ins Non Quote: 20.91 – 22.80
Spot Rate : 1.8900
Average : 1.2794

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.91
Bid-YTW : 6.82 %

IFC.PR.F Deemed-Retractible Quote: 23.51 – 24.55
Spot Rate : 1.0400
Average : 0.6234

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 6.19 %

CCS.PR.C Deemed-Retractible Quote: 22.80 – 23.74
Spot Rate : 0.9400
Average : 0.6159

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.25 %

TD.PF.D FixedReset Disc Quote: 21.91 – 22.60
Spot Rate : 0.6900
Average : 0.4221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 21.54
Evaluated at bid price : 21.91
Bid-YTW : 5.16 %

CM.PR.O FixedReset Disc Quote: 19.36 – 19.95
Spot Rate : 0.5900
Average : 0.3446

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-20
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 5.35 %

February 19, 2019

Tuesday, February 19th, 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 0.1938 % 2,192.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1938 % 4,022.5
Floater 5.35 % 5.63 % 30,869 14.38 4 0.1938 % 2,318.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1344 % 3,239.1
SplitShare 4.88 % 4.55 % 58,830 3.93 8 0.1344 % 3,868.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1344 % 3,018.1
Perpetual-Premium 5.85 % -0.30 % 83,770 0.08 4 0.1192 % 2,889.7
Perpetual-Discount 5.59 % 5.74 % 75,891 14.24 31 0.2651 % 2,974.1
FixedReset Disc 5.18 % 5.43 % 225,440 14.80 65 0.3724 % 2,193.3
Deemed-Retractible 5.35 % 6.25 % 100,001 8.11 27 0.2090 % 2,965.5
FloatingReset 4.41 % 5.73 % 58,413 8.39 6 1.2703 % 2,417.2
FixedReset Prem 5.14 % 4.21 % 304,092 2.26 18 0.1550 % 2,530.6
FixedReset Bank Non 2.79 % 4.48 % 163,033 2.83 5 0.0249 % 2,596.4
FixedReset Ins Non 5.04 % 6.87 % 132,264 8.25 22 0.4593 % 2,210.8
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 13.14
Evaluated at bid price : 13.14
Bid-YTW : 6.51 %
NA.PR.G FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.49 %
BAM.PR.Z FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 5.81 %
MFC.PR.K FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 7.37 %
IAF.PR.G FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 7.30 %
BNS.PR.I FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 22.13
Evaluated at bid price : 22.75
Bid-YTW : 4.84 %
MFC.PR.F FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.30
Bid-YTW : 9.32 %
TRP.PR.D FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 5.89 %
TD.PF.K FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 21.68
Evaluated at bid price : 22.04
Bid-YTW : 5.10 %
POW.PR.B Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 23.30
Evaluated at bid price : 23.58
Bid-YTW : 5.74 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.51
Bid-YTW : 9.34 %
BMO.PR.S FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 5.35 %
TD.PF.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.31 %
MFC.PR.C Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 7.18 %
TRP.PR.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 6.06 %
BAM.PR.B Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 5.66 %
PWF.PR.Q FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.73 %
TRP.PR.G FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.90 %
TD.PF.J FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 21.85
Evaluated at bid price : 22.25
Bid-YTW : 5.13 %
BAM.PF.D Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 21.70
Evaluated at bid price : 21.70
Bid-YTW : 5.74 %
CM.PR.S FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.22 %
MFC.PR.N FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.65 %
BMO.PR.W FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 5.30 %
TD.PF.E FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.22 %
TD.PF.D FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 21.50
Evaluated at bid price : 21.85
Bid-YTW : 5.18 %
CU.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.43 %
RY.PR.J FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.26 %
TRP.PR.C FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.00 %
MFC.PR.M FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.35 %
MFC.PR.G FixedReset Ins Non 2.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.49
Bid-YTW : 6.95 %
TRP.PR.A FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 5.91 %
TRP.PR.H FloatingReset 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.84 %
TRP.PR.F FloatingReset 4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 5.83 %
MFC.PR.H FixedReset Ins Non 5.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 6.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.R FixedReset Disc 113,631 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.15 %
NA.PR.A FixedReset Prem 108,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.49 %
CU.PR.H Perpetual-Discount 85,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 22.92
Evaluated at bid price : 23.30
Bid-YTW : 5.64 %
NA.PR.C FixedReset Disc 76,857 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 22.00
Evaluated at bid price : 22.43
Bid-YTW : 5.65 %
PWF.PR.K Perpetual-Discount 54,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 5.84 %
CM.PR.T FixedReset Disc 40,396 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 23.17
Evaluated at bid price : 25.05
Bid-YTW : 5.07 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.E SplitShare Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.5995

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.55 %

TRP.PR.E FixedReset Disc Quote: 18.05 – 18.80
Spot Rate : 0.7500
Average : 0.4672

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.80 %

BAM.PR.R FixedReset Disc Quote: 16.25 – 16.90
Spot Rate : 0.6500
Average : 0.3783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.15 %

TD.PF.C FixedReset Disc Quote: 19.15 – 19.88
Spot Rate : 0.7300
Average : 0.4881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.31 %

BAM.PF.E FixedReset Disc Quote: 18.80 – 19.30
Spot Rate : 0.5000
Average : 0.3861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.88 %

PWF.PR.L Perpetual-Discount Quote: 22.20 – 22.73
Spot Rate : 0.5300
Average : 0.4235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-19
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 5.79 %

February 15, 2019

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.0169 % 2,187.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0169 % 4,014.7
Floater 5.36 % 5.58 % 30,113 14.48 4 -1.0169 % 2,313.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0299 % 3,234.7
SplitShare 4.89 % 4.66 % 59,223 3.94 8 0.0299 % 3,862.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0299 % 3,014.0
Perpetual-Premium 5.86 % 3.02 % 85,067 0.08 4 0.1592 % 2,886.3
Perpetual-Discount 5.61 % 5.78 % 76,340 14.21 31 0.0042 % 2,966.3
FixedReset Disc 5.20 % 5.46 % 220,769 14.83 65 0.3699 % 2,185.2
Deemed-Retractible 5.36 % 6.24 % 99,121 8.12 27 0.1152 % 2,959.3
FloatingReset 4.42 % 5.75 % 60,315 8.42 6 -0.1431 % 2,386.9
FixedReset Prem 5.15 % 4.31 % 306,745 2.27 18 0.1115 % 2,526.7
FixedReset Bank Non 2.79 % 4.44 % 163,744 2.84 5 -0.0580 % 2,595.8
FixedReset Ins Non 5.06 % 6.96 % 132,040 8.23 22 0.6411 % 2,200.7
Performance Highlights
Issue Index Change Notes
MFC.PR.H FixedReset Ins Non -4.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 6.95 %
BAM.PR.B Floater -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 5.72 %
BIP.PR.F FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.17 %
TRP.PR.F FloatingReset -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 6.03 %
MFC.PR.G FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 7.23 %
GWO.PR.N FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 9.30 %
PWF.PR.A Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.83 %
HSE.PR.E FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.88 %
SLF.PR.G FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.35
Bid-YTW : 9.46 %
W.PR.H Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.91 %
HSE.PR.A FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.34 %
BNS.PR.I FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 21.99
Evaluated at bid price : 22.52
Bid-YTW : 4.89 %
RY.PR.Z FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.19 %
SLF.PR.A Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.31
Bid-YTW : 6.80 %
SLF.PR.I FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.28
Bid-YTW : 6.87 %
TRP.PR.D FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.95 %
IFC.PR.G FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 6.64 %
MFC.PR.Q FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.82 %
TD.PF.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 21.35
Evaluated at bid price : 21.66
Bid-YTW : 5.30 %
BMO.PR.T FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.35 %
BMO.PR.Y FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.31 %
NA.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.75 %
RY.PR.H FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 5.22 %
TD.PF.D FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.28 %
TD.PF.I FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 22.37
Evaluated at bid price : 23.00
Bid-YTW : 5.16 %
SLF.PR.D Deemed-Retractible 1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.23
Bid-YTW : 7.10 %
TRP.PR.G FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.97 %
NA.PR.G FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 21.58
Evaluated at bid price : 21.90
Bid-YTW : 5.34 %
PWF.PR.Q FloatingReset 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.75 %
MFC.PR.M FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.86
Bid-YTW : 7.59 %
MFC.PR.N FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.38
Bid-YTW : 7.82 %
BAM.PR.X FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.93 %
IAF.PR.G FixedReset Ins Non 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 7.13 %
RY.PR.M FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.23 %
IAF.PR.I FixedReset Ins Non 2.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.73 %
PWF.PR.T FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.40 %
BMO.PR.W FixedReset Disc 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.38 %
MFC.PR.J FixedReset Ins Non 3.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.87 %
MFC.PR.L FixedReset Ins Non 3.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.27
Bid-YTW : 7.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.I FixedReset Disc 56,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 22.37
Evaluated at bid price : 23.00
Bid-YTW : 5.16 %
TD.PF.A FixedReset Disc 50,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.32 %
TRP.PR.K FixedReset Disc 41,476 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 23.06
Evaluated at bid price : 24.28
Bid-YTW : 5.61 %
MFC.PR.K FixedReset Ins Non 41,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.17 %
BNS.PR.I FixedReset Disc 35,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 21.99
Evaluated at bid price : 22.52
Bid-YTW : 4.89 %
NA.PR.C FixedReset Disc 29,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 21.98
Evaluated at bid price : 22.40
Bid-YTW : 5.65 %
There were 19 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 Ins Non Quote: 18.38 – 21.99
Spot Rate : 3.6100
Average : 1.9903

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.38
Bid-YTW : 7.82 %

MFC.PR.I FixedReset Ins Non Quote: 20.65 – 22.80
Spot Rate : 2.1500
Average : 1.1911

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.96 %

EMA.PR.F FixedReset Disc Quote: 19.48 – 23.07
Spot Rate : 3.5900
Average : 2.8443

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.70 %

MFC.PR.H FixedReset Ins Non Quote: 21.01 – 22.20
Spot Rate : 1.1900
Average : 0.7082

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 6.95 %

TRP.PR.G FixedReset Disc Quote: 19.50 – 20.50
Spot Rate : 1.0000
Average : 0.6784

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.97 %

TRP.PR.C FixedReset Disc Quote: 13.25 – 14.50
Spot Rate : 1.2500
Average : 0.9681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-15
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 6.11 %

February 14, 2019

Thursday, February 14th, 2019
rollercoaster_190214
Click for Big

TXPR closed at 622.57, down 0.09% on the day. Volume was 3.40-million, exceeded only by February 13 and January 18 in the past thirty days.

CPD closed at 12.49, up 0.32% on the day. Volume of 139,785 was more or less average in the context of the past thirty days.

ZPR closed at 10.09, down 0.10% on the day. Volume of 180,073 was average in the context of the past thirty days.

Getting there was all the fun though, with a roller-coaster day. The day’s low for TXPR was 617.27, down 0.99% from yesterday’s close, which it reached at 12:50pm. It then rose fairly steadily to 621.00 at 4:00pm, still down 0.34% on the day, but then (I think; I confess that a lot of the intricacies of Exchange calculations are not a major interest of mine) hit lots of MOC orders, although most were small. The reported close was, as mentioned before, 622.57, down 0.09% on the day.

txpr_190214
Click for Big

Five-year Canada yields eased off, down 6bp to 1.79% today.

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 -1.0630 % 2,210.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0630 % 4,056.0
Floater 5.31 % 5.56 % 29,562 14.51 4 -1.0630 % 2,337.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0299 % 3,233.8
SplitShare 4.89 % 4.93 % 60,013 3.95 8 0.0299 % 3,861.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0299 % 3,013.1
Perpetual-Premium 5.87 % 3.11 % 85,983 0.08 4 -0.2085 % 2,881.7
Perpetual-Discount 5.61 % 5.78 % 77,130 14.19 31 -0.4939 % 2,966.2
FixedReset Disc 5.21 % 5.50 % 223,952 14.69 65 -0.5698 % 2,177.1
Deemed-Retractible 5.37 % 6.24 % 99,865 8.12 27 -0.4249 % 2,955.9
FloatingReset 4.41 % 5.86 % 62,296 8.44 6 -1.4197 % 2,390.3
FixedReset Prem 5.16 % 4.33 % 309,611 2.27 18 -0.1419 % 2,523.8
FixedReset Bank Non 2.79 % 4.33 % 169,469 2.84 5 0.0083 % 2,597.3
FixedReset Ins Non 5.09 % 7.08 % 132,708 8.21 22 -0.7617 % 2,186.6
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -4.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.15
Bid-YTW : 7.29 %
PWF.PR.Q FloatingReset -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 5.86 %
BAM.PR.R FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.14 %
BAM.PR.T FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.22 %
TRP.PR.B FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 6.15 %
TRP.PR.H FloatingReset -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 5.96 %
BAM.PR.X FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 6.05 %
SLF.PR.D Deemed-Retractible -2.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.87
Bid-YTW : 7.32 %
TRP.PR.F FloatingReset -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.90 %
IAF.PR.G FixedReset Ins Non -2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.49
Bid-YTW : 7.39 %
TRP.PR.G FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.08 %
TRP.PR.D FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.02 %
TRP.PR.C FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 6.07 %
BAM.PR.C Floater -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 5.58 %
BMO.PR.W FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 5.53 %
IFC.PR.G FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 6.79 %
CU.PR.C FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.52 %
HSE.PR.G FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 6.89 %
RY.PR.S FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 5.03 %
TRP.PR.A FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 6.03 %
BIP.PR.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.61 %
BAM.PF.B FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.97 %
BAM.PF.F FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.05 %
BMO.PR.Y FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.39 %
MFC.PR.N FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.02
Bid-YTW : 8.06 %
MFC.PR.Q FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.97 %
TD.PF.L FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 23.10
Evaluated at bid price : 24.85
Bid-YTW : 5.08 %
POW.PR.D Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.53
Evaluated at bid price : 21.79
Bid-YTW : 5.80 %
NA.PR.S FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.83 %
BAM.PF.D Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.80 %
BAM.PF.C Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.86 %
BAM.PR.N Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.95 %
CM.PR.T FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 23.09
Evaluated at bid price : 24.82
Bid-YTW : 5.12 %
BMO.PR.E FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.92
Evaluated at bid price : 22.40
Bid-YTW : 5.09 %
TD.PF.I FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 22.12
Evaluated at bid price : 22.60
Bid-YTW : 5.26 %
MFC.PR.B Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 7.19 %
PWF.PR.K Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.84 %
TRP.PR.E FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.85 %
SLF.PR.A Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.08
Bid-YTW : 6.93 %
POW.PR.G Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 23.99
Evaluated at bid price : 24.35
Bid-YTW : 5.81 %
BIP.PR.F FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 5.98 %
PWF.PR.S Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.77 %
POW.PR.B Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 5.83 %
PWF.PR.Z Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 22.10
Evaluated at bid price : 22.40
Bid-YTW : 5.79 %
PWF.PR.F Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 22.53
Evaluated at bid price : 22.78
Bid-YTW : 5.81 %
BMO.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.45 %
BAM.PR.K Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 12.42
Evaluated at bid price : 12.42
Bid-YTW : 5.64 %
PWF.PR.L Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 5.81 %
HSE.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.69 %
TD.PF.J FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 5.20 %
CM.PR.P FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 5.48 %
CM.PR.O FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.44 %
CM.PR.S FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.31 %
PWF.PR.P FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 5.84 %
HSE.PR.A FixedReset Disc 3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 6.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.S FixedReset Disc 208,305 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.31 %
TD.PF.L FixedReset Prem 132,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 23.10
Evaluated at bid price : 24.85
Bid-YTW : 5.08 %
BNS.PR.Y FixedReset Bank Non 114,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.24
Bid-YTW : 3.60 %
PWF.PR.K Perpetual-Discount 100,142 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.84 %
IAF.PR.I FixedReset Ins Non 79,850 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 7.02 %
TD.PF.H FixedReset Prem 70,224 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.27 %
There were 61 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 Disc Quote: 19.48 – 23.07
Spot Rate : 3.5900
Average : 2.0266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.70 %

HSE.PR.A FixedReset Disc Quote: 13.65 – 15.50
Spot Rate : 1.8500
Average : 1.0594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 6.27 %

TRP.PR.C FixedReset Disc Quote: 13.33 – 14.50
Spot Rate : 1.1700
Average : 0.6591

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 6.07 %

TD.PF.I FixedReset Disc Quote: 22.60 – 23.80
Spot Rate : 1.2000
Average : 0.7077

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 22.12
Evaluated at bid price : 22.60
Bid-YTW : 5.26 %

HSE.PR.C FixedReset Disc Quote: 18.61 – 19.75
Spot Rate : 1.1400
Average : 0.6813

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-14
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.69 %

MFC.PR.J FixedReset Ins Non Quote: 20.15 – 21.20
Spot Rate : 1.0500
Average : 0.6123

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.15
Bid-YTW : 7.29 %

February 13, 2019

Wednesday, February 13th, 2019
explosion_190213
Click for Big

TXPR closed at 623.12, down 0.89% on the day. Volume was a staggering 5.02-million, by far the highest of the past thirty days.

CPD closed at 12.45, down 1.11% on the day. Volume of 144,771 was more or less average in the context of the past thirty days.

ZPR closed at 10.10, down 0.98% on the day. Volume of 180,470 was average in the context of the past thirty days.

Something of this size is almost definitely a big player shifting position, and it looks like a reasonably well executed take-down, provided you ignore the fact that doing it all in one day cost them good money. TXPR was actually up a little on the day until 1:05, when a wave of selling took it down 40bp in a span of 15 minutes. It was then stable until 2:45pm, when another wave took it down 51bp in 20 minutes; it was then fairly stable through the close with no MOC orders.

txpr_190213Click for Big

The first wave, I’d guess, had the purpose of attracting buyers, who were able to satiate their appetites in the second wave.

It doesn’t look like this was in reaction to sudden changes in the five-year Canada yield, which was up 2bp to 1.84% today.

PerpetualDiscounts now yield 5.72%, equivalent to 7.44% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 350bp, a significant widening from the 340bp reported February 6.

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 0.1331 % 2,234.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1331 % 4,099.6
Floater 5.25 % 5.45 % 30,016 14.70 4 0.1331 % 2,362.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1246 % 3,232.8
SplitShare 4.89 % 4.93 % 59,836 3.95 8 0.1246 % 3,860.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1246 % 3,012.2
Perpetual-Premium 5.86 % -0.02 % 85,692 0.08 4 -0.0794 % 2,887.7
Perpetual-Discount 5.58 % 5.72 % 74,278 14.29 31 -0.3412 % 2,980.9
FixedReset Disc 5.18 % 5.48 % 213,762 14.69 65 -1.7059 % 2,189.6
Deemed-Retractible 5.35 % 6.23 % 97,609 8.14 27 -0.1323 % 2,968.5
FloatingReset 4.35 % 5.62 % 58,913 8.45 6 -0.2064 % 2,424.8
FixedReset Prem 5.15 % 4.25 % 309,800 2.28 18 -0.1265 % 2,527.4
FixedReset Bank Non 2.79 % 4.22 % 156,863 2.84 5 -0.1572 % 2,597.1
FixedReset Ins Non 5.05 % 6.99 % 131,727 8.23 22 -0.7318 % 2,203.4
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset Disc -5.40 % A reasonable quote. The issue traded 30,015 shares in a range of 19.77-21.08 (closing at 19.80) and was quoted at 19.80-86.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.79 %

HSE.PR.G FixedReset Disc -5.09 % Another reasonable quote. The issue traded 4,241 shares in a range of 19.75-20.80 (closing at 19.75) before being quoted at 19.75-06.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.76 %

HSE.PR.A FixedReset Disc -4.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 6.50 %
NA.PR.G FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 5.42 %
HSE.PR.C FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.62 %
CM.PR.P FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.55 %
TD.PF.J FixedReset Disc -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 5.25 %
RY.PR.J FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.41 %
PWF.PR.P FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 5.95 %
NA.PR.W FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.80 %
BMO.PR.D FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.25
Evaluated at bid price : 22.78
Bid-YTW : 5.31 %
TD.PF.C FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.38 %
BAM.PR.Z FixedReset Disc -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 5.76 %
CM.PR.Q FixedReset Disc -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.46 %
TD.PF.B FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.39 %
BNS.PR.I FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.90
Evaluated at bid price : 22.38
Bid-YTW : 4.93 %
BIP.PR.D FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.92
Evaluated at bid price : 22.24
Bid-YTW : 6.22 %
NA.PR.S FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.75 %
BAM.PR.M Perpetual-Discount -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.89 %
TD.PF.A FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 5.37 %
CM.PR.S FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.40 %
MFC.PR.I FixedReset Ins Non -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 7.01 %
BAM.PR.N Perpetual-Discount -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.86 %
NA.PR.C FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.99
Evaluated at bid price : 22.41
Bid-YTW : 5.65 %
MFC.PR.N FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.31
Bid-YTW : 7.86 %
CM.PR.O FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.41 %
RY.PR.H FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.30 %
IAF.PR.I FixedReset Ins Non -2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.83
Bid-YTW : 6.97 %
BMO.PR.T FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.41 %
MFC.PR.M FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.73 %
BIP.PR.A FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.48 %
TD.PF.D FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.38 %
BAM.PF.D Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.72 %
CM.PR.R FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.46
Evaluated at bid price : 23.12
Bid-YTW : 5.42 %
RY.PR.Z FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.24 %
BMO.PR.Y FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.30 %
TD.PF.I FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.31
Evaluated at bid price : 22.90
Bid-YTW : 5.18 %
BAM.PF.C Perpetual-Discount -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.78 %
TD.PF.E FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.41 %
TRP.PR.D FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 5.87 %
TRP.PR.A FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 5.92 %
BMO.PR.C FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.75
Evaluated at bid price : 23.61
Bid-YTW : 5.27 %
MFC.PR.L FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.91
Bid-YTW : 8.01 %
BAM.PF.B FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.86 %
BIP.PR.F FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.53
Evaluated at bid price : 21.85
Bid-YTW : 5.91 %
BMO.PR.S FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.39 %
TD.PF.K FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 5.21 %
MFC.PR.H FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 6.37 %
CU.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.41 %
RY.PR.M FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.36 %
MFC.PR.G FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.99 %
SLF.PR.B Deemed-Retractible -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 6.79 %
BAM.PF.E FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.89 %
BMO.PR.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.11
Evaluated at bid price : 22.70
Bid-YTW : 5.02 %
PWF.PR.S Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.70 %
BAM.PF.F FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.94 %
MFC.PR.J FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.77 %
TRP.PR.G FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.93 %
PWF.PR.L Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.11
Evaluated at bid price : 22.33
Bid-YTW : 5.75 %
MFC.PR.F FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.30
Bid-YTW : 9.31 %
RY.PR.S FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.65
Evaluated at bid price : 22.02
Bid-YTW : 4.93 %
SLF.PR.G FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.25 %
TRP.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 13.66
Evaluated at bid price : 13.66
Bid-YTW : 5.92 %
CU.PR.E Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.02
Evaluated at bid price : 22.02
Bid-YTW : 5.58 %
BAM.PR.C Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 12.86
Evaluated at bid price : 12.86
Bid-YTW : 5.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Disc 259,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.75
Evaluated at bid price : 23.61
Bid-YTW : 5.27 %
CM.PR.T FixedReset Disc 174,132 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 23.20
Evaluated at bid price : 25.16
Bid-YTW : 5.04 %
CM.PR.R FixedReset Disc 150,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.46
Evaluated at bid price : 23.12
Bid-YTW : 5.42 %
CU.PR.G Perpetual-Discount 114,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.65 %
NA.PR.C FixedReset Disc 85,080 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.99
Evaluated at bid price : 22.41
Bid-YTW : 5.65 %
CU.PR.C FixedReset Disc 77,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.41 %
There were 99 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 21.71 – 22.43
Spot Rate : 0.7200
Average : 0.4428

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 5.25 %

IAF.PR.I FixedReset Ins Non Quote: 20.83 – 21.41
Spot Rate : 0.5800
Average : 0.3487

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.83
Bid-YTW : 6.97 %

BAM.PR.Z FixedReset Disc Quote: 20.89 – 21.40
Spot Rate : 0.5100
Average : 0.2978

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 5.76 %

PVS.PR.F SplitShare Quote: 25.10 – 25.59
Spot Rate : 0.4900
Average : 0.2799

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.93 %

BAM.PR.M Perpetual-Discount Quote: 20.50 – 21.25
Spot Rate : 0.7500
Average : 0.5405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.89 %

BIP.PR.D FixedReset Disc Quote: 22.24 – 22.78
Spot Rate : 0.5400
Average : 0.3409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.92
Evaluated at bid price : 22.24
Bid-YTW : 6.22 %

February 12, 2019

Tuesday, February 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 -1.6819 % 2,231.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6819 % 4,094.1
Floater 5.26 % 5.49 % 28,907 14.62 4 -1.6819 % 2,359.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1245 % 3,228.8
SplitShare 4.90 % 5.01 % 61,785 3.95 8 -0.1245 % 3,855.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1245 % 3,008.5
Perpetual-Premium 5.85 % -1.66 % 85,812 0.08 4 -0.0694 % 2,890.0
Perpetual-Discount 5.56 % 5.68 % 71,397 14.35 31 0.0630 % 2,991.1
FixedReset Disc 5.10 % 5.34 % 212,918 14.96 65 -0.5637 % 2,227.6
Deemed-Retractible 5.34 % 6.18 % 92,495 8.14 27 0.0307 % 2,972.4
FloatingReset 4.34 % 5.59 % 59,043 8.45 6 -0.0937 % 2,429.8
FixedReset Prem 5.14 % 4.26 % 309,722 2.28 18 -0.1328 % 2,530.6
FixedReset Bank Non 2.79 % 4.12 % 162,582 2.85 5 -0.0827 % 2,601.2
FixedReset Ins Non 5.01 % 6.82 % 127,368 8.27 22 -0.1005 % 2,219.7
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 5.64 %
PWF.PR.A Floater -2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.70 %
NA.PR.E FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 5.51 %
RY.PR.M FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.29 %
HSE.PR.E FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.42 %
HSE.PR.G FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.41 %
TD.PF.I FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 22.54
Evaluated at bid price : 23.31
Bid-YTW : 5.08 %
BIP.PR.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 5.93 %
HSE.PR.C FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.37 %
MFC.PR.J FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.62 %
TD.PF.E FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 21.36
Evaluated at bid price : 21.67
Bid-YTW : 5.30 %
HSE.PR.A FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 6.24 %
TRP.PR.G FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 5.86 %
RY.PR.J FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.25 %
TD.PF.K FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 21.60
Evaluated at bid price : 21.93
Bid-YTW : 5.13 %
BIP.PR.D FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 22.30
Evaluated at bid price : 22.80
Bid-YTW : 6.05 %
TD.PF.D FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.28 %
BAM.PF.H FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.10 %
RY.PR.S FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 21.81
Evaluated at bid price : 22.25
Bid-YTW : 4.87 %
GWO.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 : 14.26
Bid-YTW : 9.28 %
NA.PR.W FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.64 %
CCS.PR.C Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 6.17 %
MFC.PR.I FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 6.72 %
TD.PF.A FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.23 %
W.PR.J Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.89 %
PWF.PR.L Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 22.30
Evaluated at bid price : 22.57
Bid-YTW : 5.69 %
IFC.PR.G FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.48
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset Prem 147,533 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.24 %
PWF.PR.S Perpetual-Discount 135,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 5.63 %
POW.PR.D Perpetual-Discount 128,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 22.01
Evaluated at bid price : 22.24
Bid-YTW : 5.68 %
CM.PR.S FixedReset Disc 125,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.27 %
TRP.PR.D FixedReset Disc 119,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.76 %
BMO.PR.C FixedReset Disc 111,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 22.94
Evaluated at bid price : 24.00
Bid-YTW : 5.17 %
NA.PR.A FixedReset Prem 105,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.52 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.E FixedReset Disc Quote: 21.67 – 22.17
Spot Rate : 0.5000
Average : 0.3622

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 21.36
Evaluated at bid price : 21.67
Bid-YTW : 5.30 %

BAM.PR.K Floater Quote: 12.43 – 12.94
Spot Rate : 0.5100
Average : 0.3770

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 5.64 %

NA.PR.E FixedReset Disc Quote: 20.23 – 20.58
Spot Rate : 0.3500
Average : 0.2181

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 5.51 %

IFC.PR.F Deemed-Retractible Quote: 23.50 – 23.99
Spot Rate : 0.4900
Average : 0.3647

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.18 %

RY.PR.M FixedReset Disc Quote: 20.58 – 20.88
Spot Rate : 0.3000
Average : 0.2013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.29 %

TD.PF.I FixedReset Disc Quote: 23.31 – 23.63
Spot Rate : 0.3200
Average : 0.2313

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-12
Maturity Price : 22.54
Evaluated at bid price : 23.31
Bid-YTW : 5.08 %

February 11, 2019

Monday, February 11th, 2019

Fitch is warning about investment-fund induced liquidity mismatches:

Fitch says that investment in open-ended bond funds has surged since the global financial crisis, thanks to factors such as the prevalence of historically low interest rates and tougher bank regulation. It reports that the latest data from the Financial Stability Board shows that investment funds (including open-ended and other fund types) grew by an average of 12.3% annually between 2008 and 2016, and that assets under management in bond funds grew to a high of almost US$11 trillion last year.

“Open-ended bond funds provide daily liquidity for investors but are increasingly investing in longer-dated or lower-quality securities as bank regulation has reduced the supply of market liquidity and investors are seeking extra yield while interest rates remain low,” it says. “This exposes funds to liquidity pressure if there is a spike in redemptions, potentially leading to forced asset sales and a run on the fund as investors pull out.”

This sort of stress could, in turn, spread throughout the financial system, Fitch says, due to connections between funds, banks, non-bank financial institutions (NBFIs) and the rest of the financial market. “Transmission to other institutions could be as a result of market value declines in the types of collateral that they have in common with the funds. Banks and NBFIs could also be exposed through their short-term funding reliance on the funds or other counterparty exposure to them,” it says.

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 0.0748 % 2,269.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0748 % 4,164.1
Floater 5.17 % 5.47 % 29,267 14.67 4 0.0748 % 2,399.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.3598 % 3,232.8
SplitShare 4.89 % 4.90 % 62,137 3.96 8 0.3598 % 3,860.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3598 % 3,012.2
Perpetual-Premium 5.85 % -2.81 % 85,865 0.08 4 -0.2669 % 2,892.0
Perpetual-Discount 5.57 % 5.65 % 72,280 14.34 31 0.0378 % 2,989.2
FixedReset Disc 5.07 % 5.37 % 213,138 14.92 65 0.1925 % 2,240.2
Deemed-Retractible 5.34 % 6.10 % 93,053 8.14 27 0.0921 % 2,971.5
FloatingReset 4.34 % 5.56 % 59,747 8.45 6 0.0657 % 2,432.1
FixedReset Prem 5.14 % 4.19 % 286,781 2.28 18 0.0087 % 2,534.0
FixedReset Bank Non 2.78 % 4.03 % 162,176 2.85 5 0.0248 % 2,603.3
FixedReset Ins Non 5.01 % 6.80 % 127,509 8.31 22 0.3669 % 2,221.9
Performance Highlights
Issue Index Change Notes
PWF.PR.Q FloatingReset -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 14.79
Evaluated at bid price : 14.79
Bid-YTW : 5.56 %
TD.PF.E FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.21 %
PWF.PR.A Floater -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.55 %
SLF.PR.I FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 6.97 %
CU.PR.C FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.33 %
MFC.PR.I FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.27
Bid-YTW : 6.59 %
RY.PR.Z FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 5.12 %
BAM.PR.Z FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.60 %
TRP.PR.H FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 5.75 %
BIP.PR.D FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 22.47
Evaluated at bid price : 23.08
Bid-YTW : 5.97 %
BIP.PR.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 21.53
Evaluated at bid price : 21.80
Bid-YTW : 5.81 %
CGI.PR.D SplitShare 1.22 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 4.11 %
PWF.PR.S Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.63 %
RY.PR.S FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 4.81 %
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 : 20.88
Bid-YTW : 6.70 %
MFC.PR.L FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.18
Bid-YTW : 7.82 %
MFC.PR.N FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.89
Bid-YTW : 7.47 %
MFC.PR.F FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.45
Bid-YTW : 9.18 %
IFC.PR.G FixedReset Ins Non 2.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 6.80 %
BIP.PR.A FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.31 %
CCS.PR.C Deemed-Retractible 3.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 6.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.E FixedReset Disc 99,445 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 22.37
Evaluated at bid price : 23.14
Bid-YTW : 4.91 %
CM.PR.T FixedReset Disc 82,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 23.21
Evaluated at bid price : 25.20
Bid-YTW : 5.03 %
RY.PR.Z FixedReset Disc 64,589 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 5.12 %
TRP.PR.F FloatingReset 62,094 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.71 %
TD.PF.L FixedReset Prem 57,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 23.23
Evaluated at bid price : 25.26
Bid-YTW : 4.97 %
MFC.PR.M FixedReset Ins Non 44,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 7.49 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.H FixedReset Ins Non Quote: 22.31 – 22.74
Spot Rate : 0.4300
Average : 0.2546

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 6.20 %

ELF.PR.H Perpetual-Discount Quote: 24.30 – 24.79
Spot Rate : 0.4900
Average : 0.3198

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 23.94
Evaluated at bid price : 24.30
Bid-YTW : 5.71 %

BIP.PR.D FixedReset Disc Quote: 23.08 – 23.49
Spot Rate : 0.4100
Average : 0.2459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 22.47
Evaluated at bid price : 23.08
Bid-YTW : 5.97 %

MFC.PR.Q FixedReset Ins Non Quote: 21.00 – 21.46
Spot Rate : 0.4600
Average : 0.3016

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.72 %

PWF.PR.L Perpetual-Discount Quote: 22.22 – 22.75
Spot Rate : 0.5300
Average : 0.3756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 21.98
Evaluated at bid price : 22.22
Bid-YTW : 5.78 %

CU.PR.F Perpetual-Discount Quote: 20.05 – 20.60
Spot Rate : 0.5500
Average : 0.4119

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-11
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.63 %

February 8, 2019

Friday, February 8th, 2019

Jobs, jobs, jobs!

Statistics Canada reported on Friday that employers added 66,800 jobs in January, far better than the gain of 8,000 that analysts forecast in a Reuters poll, while the unemployment rate ticked up to 5.8 per cent as more people sought work.

The economy added 99,200 services sector jobs in January, mostly in wholesale and retail trade, as well as professional, scientific and technical services. That was offset by a loss of 32,300 goods sector positions, mostly in agriculture and construction. Resource sector jobs fell by 4,600.

Part-time job gains outpaced full-time, 36,000 versus 30,900, and youth age 15 to 24 led employment growth, adding 52,800 jobs.

The average year-over-year wage growth of permanent employees, which is closely watched by the central bank, was 1.8 per cent in January, up slightly from 1.5 per cent in December.

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 1.1731 % 2,267.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1731 % 4,161.0
Floater 5.17 % 5.51 % 29,724 14.60 4 1.1731 % 2,398.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0499 % 3,221.2
SplitShare 4.91 % 5.00 % 64,692 3.96 8 -0.0499 % 3,846.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0499 % 3,001.4
Perpetual-Premium 5.83 % -4.33 % 89,078 0.08 4 0.3472 % 2,899.8
Perpetual-Discount 5.57 % 5.70 % 71,280 14.30 31 0.3117 % 2,988.1
FixedReset Disc 5.08 % 5.38 % 214,031 14.87 65 0.2745 % 2,235.9
Deemed-Retractible 5.34 % 6.23 % 96,793 8.15 27 0.1975 % 2,968.8
FloatingReset 4.34 % 5.42 % 62,000 8.45 6 0.0939 % 2,430.5
FixedReset Prem 5.14 % 4.20 % 286,345 2.29 18 0.0828 % 2,533.8
FixedReset Bank Non 2.78 % 3.76 % 168,008 2.86 5 0.1242 % 2,602.7
FixedReset Ins Non 5.03 % 6.85 % 124,894 8.28 22 0.2529 % 2,213.8
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 7.86 %
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 : 14.40
Bid-YTW : 9.16 %
VNR.PR.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 22.48
Evaluated at bid price : 23.20
Bid-YTW : 4.97 %
MFC.PR.L FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.93
Bid-YTW : 7.98 %
TRP.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.71 %
RY.PR.M FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.17 %
SLF.PR.E Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 6.95 %
HSE.PR.A FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 13.97
Evaluated at bid price : 13.97
Bid-YTW : 6.12 %
MFC.PR.K FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.28 %
TD.PF.E FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 21.79
Evaluated at bid price : 22.29
Bid-YTW : 5.13 %
EML.PR.A FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.40 %
BAM.PF.C Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.70 %
SLF.PR.G FixedReset Ins Non 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.76
Bid-YTW : 9.10 %
BAM.PR.M Perpetual-Discount 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 5.75 %
BAM.PR.N Perpetual-Discount 4.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.72 %
BAM.PR.K Floater 4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 109,011 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 22.67
Evaluated at bid price : 23.50
Bid-YTW : 5.32 %
RY.PR.J FixedReset Disc 107,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 21.28
Evaluated at bid price : 21.56
Bid-YTW : 5.18 %
BMO.PR.B FixedReset Prem 104,806 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.23 %
RY.PR.L FixedReset Bank Non 104,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-26
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.76 %
SLF.PR.B Deemed-Retractible 99,343 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 6.60 %
BNS.PR.Z FixedReset Bank Non 57,375 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 4.32 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.D SplitShare Quote: 25.27 – 25.70
Spot Rate : 0.4300
Average : 0.2741

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.40 %

BMO.PR.Y FixedReset Disc Quote: 21.48 – 21.99
Spot Rate : 0.5100
Average : 0.3552

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 5.19 %

SLF.PR.J FloatingReset Quote: 14.56 – 14.95
Spot Rate : 0.3900
Average : 0.2381

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.56
Bid-YTW : 9.29 %

BMO.PR.D FixedReset Disc Quote: 23.30 – 23.75
Spot Rate : 0.4500
Average : 0.3317

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 22.55
Evaluated at bid price : 23.30
Bid-YTW : 5.18 %

BMO.PR.E FixedReset Disc Quote: 22.98 – 23.33
Spot Rate : 0.3500
Average : 0.2425

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 22.28
Evaluated at bid price : 22.98
Bid-YTW : 4.94 %

TRP.PR.H FloatingReset Quote: 12.81 – 13.50
Spot Rate : 0.6900
Average : 0.5892

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-08
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 5.82 %

February 7, 2019

Thursday, February 7th, 2019
explosion_190207
Click for Big

TXPR closed at 629.23, down 0.56% on the day. Volume of 1.93-million was on the low side in the context of the past thirty days.

CPD closed at 12.60, down 0.32% on the day. Volume of 192,567 was on the high side in the context of the past thirty days.

ZPR closed at 10.22, down 0.87% on the day. Volume of 244,707 was high in the context of the past thirty days.

One may speculate that all this was in reaction to changes in the five-year Canada yield, which was down 5bp to 1.79% today.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -2.4548 % 2,241.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.4548 % 4,112.8
Floater 5.23 % 5.51 % 30,913 14.61 4 -2.4548 % 2,370.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1098 % 3,222.8
SplitShare 4.91 % 5.00 % 65,457 3.97 8 -0.1098 % 3,848.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1098 % 3,002.9
Perpetual-Premium 5.85 % -0.71 % 88,580 0.08 4 0.0993 % 2,889.7
Perpetual-Discount 5.58 % 5.70 % 72,371 14.31 31 -0.1402 % 2,978.8
FixedReset Disc 5.09 % 5.46 % 215,664 14.73 65 -0.7113 % 2,229.8
Deemed-Retractible 5.36 % 6.22 % 97,793 8.15 27 -0.1164 % 2,962.9
FloatingReset 4.34 % 5.47 % 64,348 8.47 6 -0.7363 % 2,428.2
FixedReset Prem 5.14 % 4.28 % 265,135 2.29 18 -0.0044 % 2,531.7
FixedReset Bank Non 2.79 % 4.00 % 158,940 2.86 5 0.0331 % 2,599.5
FixedReset Ins Non 5.04 % 6.91 % 129,821 8.24 22 -0.1950 % 2,208.2
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -5.52 % A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 1,700 shares today in a range of 12.69-87 before being quoted at 12.15-70. The closing price was 12.70.

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.77 %

BAM.PR.N Perpetual-Discount -3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 5.98 %
BAM.PR.M Perpetual-Discount -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.95 %
BAM.PF.F FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.02 %
BAM.PR.C Floater -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.56 %
BAM.PR.X FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 5.95 %
HSE.PR.A FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 6.32 %
PWF.PR.P FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.87 %
TRP.PR.H FloatingReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 5.80 %
BAM.PR.B Floater -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.39 %
BAM.PF.A FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.71 %
NA.PR.W FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.68 %
BMO.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 5.42 %
BAM.PF.B FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.85 %
BAM.PR.R FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.96 %
RY.PR.M FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.31 %
TRP.PR.F FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.78 %
EML.PR.A FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.16 %
BAM.PR.Z FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 5.76 %
HSE.PR.C FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.30 %
RY.PR.Z FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 5.29 %
MFC.PR.F FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.18
Bid-YTW : 9.47 %
PWF.PR.L Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 22.09
Evaluated at bid price : 22.37
Bid-YTW : 5.73 %
HSE.PR.G FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 6.41 %
BMO.PR.S FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.40 %
EMA.PR.F FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.77 %
CM.PR.O FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.52 %
TD.PF.C FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.37 %
RY.PR.J FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.34 %
SLF.PR.J FloatingReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.65
Bid-YTW : 9.21 %
TD.PF.B FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.32 %
TD.PF.E FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.29 %
RY.PR.H FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.27 %
NA.PR.S FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 5.64 %
TRP.PR.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 6.00 %
BAM.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 6.04 %
TD.PF.A FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.29 %
SLF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 6.84 %
IFC.PR.G FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.45
Bid-YTW : 7.18 %
TRP.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.88 %
MFC.PR.B Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.58
Bid-YTW : 7.12 %
CCS.PR.C Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 6.43 %
TRP.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 6.02 %
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 : 18.96
Bid-YTW : 7.60 %
IFC.PR.A FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 8.76 %
BIP.PR.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 5.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 170,315 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 22.66
Evaluated at bid price : 23.48
Bid-YTW : 5.39 %
MFC.PR.H FixedReset Ins Non 82,790 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 6.17 %
BMO.PR.D FixedReset Disc 43,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 22.50
Evaluated at bid price : 23.21
Bid-YTW : 5.27 %
TRP.PR.D FixedReset Disc 39,820 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.91 %
RY.PR.S FixedReset Disc 37,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.64
Evaluated at bid price : 22.00
Bid-YTW : 4.99 %
CM.PR.Q FixedReset Disc 37,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 5.42 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.I FixedReset Ins Non Quote: 20.99 – 22.80
Spot Rate : 1.8100
Average : 1.2011

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.79 %

MFC.PR.K FixedReset Ins Non Quote: 19.25 – 20.65
Spot Rate : 1.4000
Average : 0.8283

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.48 %

MFC.PR.F FixedReset Ins Non Quote: 14.18 – 15.50
Spot Rate : 1.3200
Average : 0.8363

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.18
Bid-YTW : 9.47 %

PWF.PR.P FixedReset Disc Quote: 14.32 – 15.75
Spot Rate : 1.4300
Average : 0.9540

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.87 %

SLF.PR.G FixedReset Ins Non Quote: 14.50 – 15.50
Spot Rate : 1.0000
Average : 0.6716

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 9.40 %

BAM.PR.M Perpetual-Discount Quote: 20.26 – 21.10
Spot Rate : 0.8400
Average : 0.5219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.95 %