Archive for the ‘Market Action’ Category

March 6, 2019

Wednesday, March 6th, 2019
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The Bank of Canada rate announcement was gloomy:

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

Recent data suggest that the slowdown in the global economy has been more pronounced and widespread than the Bank had forecast in its January Monetary Policy Report (MPR). While the sources of moderation appear to be multiple, trade tensions and uncertainty are weighing heavily on confidence and economic activity. It is difficult to disentangle these confidence effects from other adverse factors, but it is clear that global economic prospects would be buoyed by the resolution of trade conflicts.

Many central banks have acknowledged the building headwinds to growth, and financial conditions have eased as a result. Meanwhile, progress in US-China trade talks and policy stimulus in China have improved market sentiment and contributed to firmer commodity prices.

For Canada, the Bank was projecting a temporary slowdown in late 2018 and early 2019, mainly because of last year’s drop in oil prices. The Bank had forecast weak exports and investment in the energy sector and a decline in household spending in oil-producing provinces. However, the slowdown in the fourth quarter was sharper and more broadly based. Consumer spending and the housing market were soft, despite strong growth in employment and labour income. Both exports and business investment also fell short of expectations. After growing at a pace of 1.8 per cent in 2018, it now appears that the economy will be weaker in the first half of 2019 than the Bank projected in January.

Core inflation measures remain close to 2 per cent. CPI inflation eased to 1.4 per cent in January, largely because of lower gasoline prices. The Bank expects CPI inflation to be slightly below the 2 per cent target through most of 2019, reflecting the impact of temporary factors, including the drag from lower energy prices and a wider output gap.

Governing Council judges that the outlook continues to warrant a policy interest rate that is below its neutral range. Given the mixed picture that the data present, it will take time to gauge the persistence of below-potential growth and the implications for the inflation outlook. With increased uncertainty about the timing of future rate increases, Governing Council will be watching closely developments in household spending, oil markets, and global trade policy.

There is, of course, no indication of how the voting broke down in the grandly named Governing Council, in sharp distinction to the FOMC, which is comprised of sharp, confident individuals not afraid to disagree publicly with a majority. One can only suppose they strongly believe in solidarity, like Unifor and the federal cabinet.

The announcement had immediate effect:

The Canadian dollar fell about half a cent in the wake of the bank’s announcement, trading at 74.46 US cents.

TXPR closed at 628.91, down 0.88% on the day. Volume was 2.56-million, which is better than the average of the past thirty days but not extraordinary.

CPD closed at 12.68, down 0.16% on the day. Volume of 165,931 was high in the context of the past thirty days.

ZPR closed at 10.21, down 0.87% on the day. Volume of 466,822 was the highest in the context of the past thirty days, outpacing the second place February 12, when 393,540 traded.

Five-year Canada yields were down sharply, down 7bp to 1.70% today, which goes a long way towards explaining the carnage.

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% 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 345bp, a slight (and perhaps spurious) widening from the 340bp reported February 27.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.0247 % 2,171.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0247 % 3,983.6
Floater 5.40 % 5.58 % 26,539 14.43 4 -1.0247 % 2,295.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0846 % 3,271.4
SplitShare 4.88 % 4.71 % 60,812 3.94 8 0.0846 % 3,906.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0846 % 3,048.2
Perpetual-Premium 5.82 % -5.48 % 81,110 0.08 4 0.0197 % 2,908.7
Perpetual-Discount 5.52 % 5.66 % 69,725 14.28 31 0.1139 % 3,015.7
FixedReset Disc 5.15 % 5.45 % 204,227 14.77 65 -1.2198 % 2,206.6
Deemed-Retractible 5.33 % 6.13 % 93,757 8.19 27 0.0516 % 3,005.0
FloatingReset 4.38 % 5.67 % 53,525 8.55 6 -0.7766 % 2,427.7
FixedReset Prem 5.10 % 4.10 % 302,197 2.22 18 -0.1469 % 2,549.4
FixedReset Bank Non 1.98 % 4.24 % 158,218 2.80 3 -0.3048 % 2,634.8
FixedReset Ins Non 5.03 % 6.80 % 137,434 8.32 22 -1.8121 % 2,237.8
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -6.17 % A pretty poor quote provided at high cost by Nonsense Central, but I won’t be as scathing as I usually am. The issue traded 3,814 shares today in a range of 15.09-30 before being quoted at 14.44-99. The closing price was 15.09, but the last trade was at 3:15. On the other hand, TXPR was more or less at its closing level at 3:15, so what happened, anyway?

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 : 2049-03-06
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 6.41 %

MFC.PR.M FixedReset Ins Non -5.80 % Again, this looks like a pretty poor quote provided at high cost by Nonsense Central, but I won’t be as scathing as I usually am because there are some mitigating factors. The issue traded 3,100 shares today in a range of 18.73-27 before being quoted at 18.36-88. The closing price was 18.88. So, not as bad as these things usually are, but a bid-offer spread of nearly 3% is a little high, don’t you think?

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 : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 7.81 %

TD.PF.D FixedReset Disc -4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.40 %
MFC.PR.L FixedReset Ins Non -3.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.85
Bid-YTW : 7.93 %
IAF.PR.G FixedReset Ins Non -3.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.62
Bid-YTW : 7.21 %
MFC.PR.H FixedReset Ins Non -3.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 6.26 %
TRP.PR.F FloatingReset -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.98 %
MFC.PR.N FixedReset Ins Non -3.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.41
Bid-YTW : 7.69 %
TRP.PR.B FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 6.00 %
BMO.PR.W FixedReset Disc -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.43 %
IFC.PR.G FixedReset Ins Non -2.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.74 %
MFC.PR.Q FixedReset Ins Non -2.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.48
Bid-YTW : 6.91 %
BAM.PR.R FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 16.44
Evaluated at bid price : 16.44
Bid-YTW : 6.09 %
NA.PR.S FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.71 %
HSE.PR.G FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.87 %
CM.PR.Q FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.45 %
BMO.PR.C FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 22.70
Evaluated at bid price : 23.50
Bid-YTW : 5.32 %
TD.PF.A FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.32 %
IFC.PR.A FixedReset Ins Non -2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 8.33 %
BIP.PR.A FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.62 %
RY.PR.M FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.25 %
TD.PF.J FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 22.12
Evaluated at bid price : 22.65
Bid-YTW : 5.04 %
MFC.PR.I FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 6.61 %
RY.PR.H FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 5.25 %
TD.PF.B FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.35 %
HSE.PR.A FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 6.46 %
NA.PR.E FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.45 %
MFC.PR.F FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 8.93 %
BAM.PR.X FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 14.77
Evaluated at bid price : 14.77
Bid-YTW : 5.89 %
NA.PR.G FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 21.43
Evaluated at bid price : 21.70
Bid-YTW : 5.41 %
BMO.PR.E FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 22.20
Evaluated at bid price : 22.84
Bid-YTW : 5.00 %
MFC.PR.G FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 6.57 %
BAM.PR.K Floater -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 5.67 %
BAM.PF.G FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.97 %
RY.PR.Z FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.25 %
BAM.PR.Z FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.89 %
PWF.PR.A Floater -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.06 %
BAM.PR.T FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 6.06 %
PWF.PR.T FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 5.54 %
TD.PF.I FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 22.71
Evaluated at bid price : 23.62
Bid-YTW : 5.02 %
BMO.PR.T FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.38 %
SLF.PR.G FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.85
Bid-YTW : 8.99 %
CM.PR.P FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 5.46 %
TD.PF.C FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.29 %
CU.PR.C FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 5.50 %
MFC.PR.J FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.73 %
IFC.PR.C FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.19 %
MFC.PR.K FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.41
Bid-YTW : 7.22 %
BIP.PR.E FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.97 %
RY.PR.J FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.25 %
CM.PR.O FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 5.43 %
CM.PR.S FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 5.28 %
HSE.PR.E FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.74 %
CM.PR.R FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 22.44
Evaluated at bid price : 23.07
Bid-YTW : 5.46 %
BIP.PR.F FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.00 %
SLF.PR.I FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.59 %
TRP.PR.H FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 5.82 %
IFC.PR.F Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 6.00 %
PWF.PR.Z Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 22.46
Evaluated at bid price : 22.83
Bid-YTW : 5.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset Prem 115,282 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.91 %
NA.PR.X FixedReset Prem 103,880 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.93
Bid-YTW : 3.98 %
NA.PR.A FixedReset Prem 101,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.38 %
W.PR.M FixedReset Prem 82,151 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.87 %
IFC.PR.C FixedReset Ins Non 60,327 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.19 %
SLF.PR.H FixedReset Ins Non 60,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.55
Bid-YTW : 7.73 %
There were 39 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: 22.01 – 23.35
Spot Rate : 1.3400
Average : 0.8420

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 6.26 %

HSE.PR.G FixedReset Disc Quote: 19.50 – 20.50
Spot Rate : 1.0000
Average : 0.5754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.87 %

MFC.PR.K FixedReset Ins Non Quote: 19.41 – 20.59
Spot Rate : 1.1800
Average : 0.8112

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.41
Bid-YTW : 7.22 %

VNR.PR.A FixedReset Disc Quote: 22.39 – 23.39
Spot Rate : 1.0000
Average : 0.7148

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 21.99
Evaluated at bid price : 22.39
Bid-YTW : 5.20 %

NA.PR.E FixedReset Disc Quote: 20.50 – 21.14
Spot Rate : 0.6400
Average : 0.4182

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.45 %

TD.PF.D FixedReset Disc Quote: 21.12 – 21.81
Spot Rate : 0.6900
Average : 0.4893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-06
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.40 %

March 5, 2019

Tuesday, March 5th, 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 -0.0966 % 2,193.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0966 % 4,024.8
Floater 5.35 % 5.57 % 27,690 14.45 4 -0.0966 % 2,319.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0298 % 3,268.6
SplitShare 4.89 % 4.72 % 60,652 3.94 8 -0.0298 % 3,903.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0298 % 3,045.6
Perpetual-Premium 5.82 % -5.21 % 84,307 0.08 4 0.0691 % 2,908.1
Perpetual-Discount 5.52 % 5.67 % 69,821 14.28 31 0.1349 % 3,012.3
FixedReset Disc 5.09 % 5.37 % 209,702 14.87 65 0.4750 % 2,233.9
Deemed-Retractible 5.34 % 6.13 % 94,690 8.20 27 0.0759 % 3,003.4
FloatingReset 4.34 % 5.63 % 53,771 8.55 6 0.0374 % 2,446.7
FixedReset Prem 5.10 % 3.97 % 304,802 2.23 18 0.1992 % 2,553.1
FixedReset Bank Non 1.97 % 3.93 % 159,511 2.80 3 0.1388 % 2,642.9
FixedReset Ins Non 4.93 % 6.58 % 130,985 8.38 22 0.6594 % 2,279.1
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.98 %
TRP.PR.H FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 5.76 %
SLF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.05
Bid-YTW : 8.83 %
RY.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 22.12
Evaluated at bid price : 22.73
Bid-YTW : 4.77 %
IFC.PR.C FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.03 %
IFC.PR.E Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 6.08 %
TD.PF.D FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 21.64
Evaluated at bid price : 22.05
Bid-YTW : 5.14 %
TD.PF.J FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 22.36
Evaluated at bid price : 23.06
Bid-YTW : 4.93 %
BAM.PR.K Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 12.59
Evaluated at bid price : 12.59
Bid-YTW : 5.58 %
BMO.PR.W FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 5.27 %
CM.PR.S FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 5.22 %
NA.PR.G FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 21.69
Evaluated at bid price : 22.06
Bid-YTW : 5.32 %
NA.PR.E FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.36 %
HSE.PR.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 6.66 %
TD.PF.E FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 5.18 %
TRP.PR.G FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.80 %
BIP.PR.E FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.89 %
BAM.PR.X FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.79 %
CU.PR.H Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 24.02
Evaluated at bid price : 24.51
Bid-YTW : 5.37 %
EMA.PR.F FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.65 %
HSE.PR.A FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 6.35 %
MFC.PR.L FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.54
Bid-YTW : 7.47 %
MFC.PR.M FixedReset Ins Non 2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.49
Bid-YTW : 7.08 %
EMA.PR.H FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 22.39
Evaluated at bid price : 23.15
Bid-YTW : 5.30 %
MFC.PR.G FixedReset Ins Non 2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.37 %
IFC.PR.G FixedReset Ins Non 2.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.78
Bid-YTW : 6.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 265,285 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.30 %
RY.PR.H FixedReset Disc 240,619 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 5.16 %
BAM.PF.I FixedReset Prem 105,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.77 %
IFC.PR.C FixedReset Ins Non 97,240 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.03 %
TD.PF.L FixedReset Prem 57,623 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 23.28
Evaluated at bid price : 25.41
Bid-YTW : 4.96 %
BAM.PF.A FixedReset Disc 55,102 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 5.67 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Disc Quote: 22.57 – 23.18
Spot Rate : 0.6100
Average : 0.4020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 22.11
Evaluated at bid price : 22.57
Bid-YTW : 5.15 %

IFC.PR.F Deemed-Retractible Quote: 23.68 – 24.20
Spot Rate : 0.5200
Average : 0.3773

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.68
Bid-YTW : 6.13 %

MFC.PR.Q FixedReset Ins Non Quote: 21.04 – 21.50
Spot Rate : 0.4600
Average : 0.3248

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.04
Bid-YTW : 6.58 %

BAM.PF.B FixedReset Disc Quote: 18.92 – 19.44
Spot Rate : 0.5200
Average : 0.3987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.96 %

TRP.PR.H FloatingReset Quote: 12.80 – 13.30
Spot Rate : 0.5000
Average : 0.3969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-05
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 5.76 %

MFC.PR.B Deemed-Retractible Quote: 21.26 – 21.58
Spot Rate : 0.3200
Average : 0.2204

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 6.61 %

March 4, 2019

Monday, March 4th, 2019

The New York Fed has released its update of the estimate for r-star, the real short-term interest rate expected to prevail when an economy is at full strength and inflation is stable. It’s still not very high!

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 -0.1158 % 2,195.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1158 % 4,028.7
Floater 5.34 % 5.55 % 28,818 14.49 4 -0.1158 % 2,321.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1694 % 3,269.6
SplitShare 4.89 % 4.61 % 60,166 3.94 8 0.1694 % 3,904.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1694 % 3,046.5
Perpetual-Premium 5.82 % -4.46 % 87,663 0.08 4 -0.0592 % 2,906.1
Perpetual-Discount 5.53 % 5.61 % 69,567 14.26 31 0.1546 % 3,008.2
FixedReset Disc 5.11 % 5.40 % 210,786 14.72 65 -0.1905 % 2,223.3
Deemed-Retractible 5.34 % 6.14 % 98,589 8.20 27 -0.1836 % 3,001.2
FloatingReset 4.35 % 5.63 % 54,511 8.55 6 -0.4473 % 2,445.8
FixedReset Prem 5.11 % 4.01 % 298,292 2.23 18 -0.0390 % 2,548.1
FixedReset Bank Non 1.97 % 3.97 % 160,068 2.80 3 -0.2905 % 2,639.2
FixedReset Ins Non 4.97 % 6.69 % 121,279 8.36 22 0.0023 % 2,264.2
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 6.37 %
IFC.PR.E Deemed-Retractible -2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.33
Bid-YTW : 6.21 %
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 : 19.07
Bid-YTW : 7.34 %
IFC.PR.F Deemed-Retractible -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.68
Bid-YTW : 6.13 %
MFC.PR.J FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.92
Bid-YTW : 6.69 %
PWF.PR.A Floater -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 4.91 %
TRP.PR.A FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.99 %
TRP.PR.H FloatingReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 5.69 %
BAM.PF.B FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.96 %
TD.PF.E FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 21.50
Evaluated at bid price : 21.86
Bid-YTW : 5.27 %
NA.PR.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.44 %
BIP.PR.F FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.96 %
TRP.PR.F FloatingReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.81 %
MFC.PR.Q FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.02
Bid-YTW : 6.58 %
GWO.PR.N FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 8.64 %
IFC.PR.A FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.80
Bid-YTW : 8.18 %
RY.PR.O Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 23.40
Evaluated at bid price : 23.80
Bid-YTW : 5.16 %
BIP.PR.D FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 22.11
Evaluated at bid price : 22.50
Bid-YTW : 6.06 %
HSE.PR.G FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 6.62 %
CU.PR.H Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 23.63
Evaluated at bid price : 24.10
Bid-YTW : 5.46 %
MFC.PR.F FixedReset Ins Non 6.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.05
Bid-YTW : 8.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 179,119 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 22.52
Evaluated at bid price : 23.21
Bid-YTW : 5.42 %
BIK.PR.A FixedReset Prem 70,425 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 5.55 %
NA.PR.W FixedReset Disc 66,048 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 5.55 %
TD.PF.I FixedReset Disc 64,128 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 22.86
Evaluated at bid price : 23.93
Bid-YTW : 4.94 %
BAM.PF.B FixedReset Disc 61,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.96 %
GWO.PR.N FixedReset Ins Non 57,038 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 8.64 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 20.15 – 21.75
Spot Rate : 1.6000
Average : 0.9659

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.15
Bid-YTW : 6.88 %

ELF.PR.H Perpetual-Discount Quote: 24.51 – 24.97
Spot Rate : 0.4600
Average : 0.2799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 24.14
Evaluated at bid price : 24.51
Bid-YTW : 5.68 %

HSE.PR.C FixedReset Disc Quote: 19.25 – 19.75
Spot Rate : 0.5000
Average : 0.3467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-04
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.38 %

MFC.PR.J FixedReset Ins Non Quote: 20.92 – 21.59
Spot Rate : 0.6700
Average : 0.5185

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.92
Bid-YTW : 6.69 %

MFC.PR.M FixedReset Ins Non Quote: 19.07 – 19.65
Spot Rate : 0.5800
Average : 0.4364

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.07
Bid-YTW : 7.34 %

SLF.PR.J FloatingReset Quote: 14.95 – 15.43
Spot Rate : 0.4800
Average : 0.3407

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.95
Bid-YTW : 8.90 %

March 1, 2019

Friday, March 1st, 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 0.0579 % 2,198.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0579 % 4,033.4
Floater 5.33 % 5.58 % 28,948 14.44 4 0.0579 % 2,324.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1741 % 3,264.1
SplitShare 4.90 % 4.64 % 60,409 3.95 8 -0.1741 % 3,898.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1741 % 3,041.4
Perpetual-Premium 5.82 % -5.96 % 86,574 0.08 4 0.0395 % 2,907.8
Perpetual-Discount 5.54 % 5.59 % 72,414 14.26 31 -0.0418 % 3,003.6
FixedReset Disc 5.11 % 5.39 % 206,310 14.79 65 0.5091 % 2,227.6
Deemed-Retractible 5.33 % 6.02 % 96,817 8.21 27 0.0967 % 3,006.7
FloatingReset 4.34 % 5.62 % 54,336 8.55 6 0.2054 % 2,456.8
FixedReset Prem 5.11 % 3.99 % 300,994 2.24 18 0.0563 % 2,549.1
FixedReset Bank Non 1.97 % 3.92 % 166,078 2.81 3 0.4866 % 2,646.9
FixedReset Ins Non 4.97 % 6.68 % 123,177 8.37 22 0.4987 % 2,264.1
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.16
Bid-YTW : 9.38 %
RY.PR.O Perpetual-Discount -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 23.12
Evaluated at bid price : 23.50
Bid-YTW : 5.23 %
EMA.PR.F FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.79 %
TRP.PR.G FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 5.88 %
BAM.PR.N Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.90 %
BIP.PR.A FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.56 %
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 : 21.35
Bid-YTW : 6.69 %
BAM.PR.X FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.92 %
PVS.PR.F SplitShare -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.64 %
SLF.PR.I FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.59 %
IFC.PR.G FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.74 %
BAM.PF.F FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.90 %
BAM.PF.G FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.91 %
IFC.PR.C FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.07 %
PWF.PR.A Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 4.82 %
BAM.PF.B FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.89 %
NA.PR.S FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.56 %
TD.PF.K FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 22.06
Evaluated at bid price : 22.61
Bid-YTW : 4.99 %
BMO.PR.D FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 22.45
Evaluated at bid price : 23.11
Bid-YTW : 5.26 %
BMO.PR.W FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.31 %
TRP.PR.D FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.83 %
TD.PF.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.25 %
PWF.PR.Z Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 22.42
Evaluated at bid price : 22.79
Bid-YTW : 5.70 %
TRP.PR.K FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.74 %
NA.PR.E FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.39 %
MFC.PR.Q FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 6.45 %
MFC.PR.R FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.00 %
NA.PR.W FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.57 %
BIP.PR.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.00 %
CM.PR.R FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 22.58
Evaluated at bid price : 23.32
Bid-YTW : 5.41 %
IFC.PR.A FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 8.33 %
BIP.PR.C FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.20 %
HSE.PR.E FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.80 %
MFC.PR.I FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 6.42 %
MFC.PR.H FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.00 %
IAF.PR.G FixedReset Ins Non 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 6.86 %
HSE.PR.A FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.34 %
TD.PF.J FixedReset Disc 4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 22.30
Evaluated at bid price : 22.95
Bid-YTW : 4.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.H Deemed-Retractible 71,814 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 6.52 %
TD.PF.L FixedReset Prem 69,905 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 23.23
Evaluated at bid price : 25.25
Bid-YTW : 5.01 %
RY.PR.H FixedReset Disc 34,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 5.17 %
CM.PR.R FixedReset Disc 34,054 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 22.58
Evaluated at bid price : 23.32
Bid-YTW : 5.41 %
POW.PR.C Perpetual-Premium 30,035 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 1.82 %
CM.PR.O FixedReset Disc 29,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.39 %
There were 19 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: 19.30 – 23.07
Spot Rate : 3.7700
Average : 2.5743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.79 %

MFC.PR.K FixedReset Ins Non Quote: 19.64 – 20.59
Spot Rate : 0.9500
Average : 0.6712

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 7.08 %

CU.PR.H Perpetual-Discount Quote: 23.68 – 24.44
Spot Rate : 0.7600
Average : 0.5284

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 23.28
Evaluated at bid price : 23.68
Bid-YTW : 5.56 %

PWF.PR.A Floater Quote: 14.45 – 15.00
Spot Rate : 0.5500
Average : 0.3689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 4.82 %

EMA.PR.H FixedReset Disc Quote: 22.86 – 23.50
Spot Rate : 0.6400
Average : 0.4675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-01
Maturity Price : 22.23
Evaluated at bid price : 22.86
Bid-YTW : 5.37 %

MFC.PR.L FixedReset Ins Non Quote: 18.15 – 18.90
Spot Rate : 0.7500
Average : 0.5935

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.15
Bid-YTW : 7.74 %

February 28, 2019

Friday, March 1st, 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 -0.3271 % 2,196.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3271 % 4,031.1
Floater 5.34 % 5.59 % 30,253 14.44 4 -0.3271 % 2,323.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.3444 % 3,269.8
SplitShare 4.89 % 4.42 % 58,293 3.95 8 0.3444 % 3,904.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3444 % 3,046.7
Perpetual-Premium 5.82 % -5.69 % 89,617 0.08 4 0.1383 % 2,906.7
Perpetual-Discount 5.54 % 5.59 % 73,493 14.24 31 0.0014 % 3,004.8
FixedReset Disc 5.13 % 5.45 % 214,661 14.78 65 0.0030 % 2,216.3
Deemed-Retractible 5.34 % 6.05 % 93,130 8.21 27 0.2302 % 3,003.8
FloatingReset 4.35 % 5.59 % 55,037 8.54 6 -0.3864 % 2,451.7
FixedReset Prem 5.11 % 4.00 % 302,525 2.24 18 0.1258 % 2,547.6
FixedReset Bank Non 1.98 % 4.07 % 165,981 2.81 3 -0.1388 % 2,634.1
FixedReset Ins Non 4.99 % 6.77 % 128,111 8.36 22 0.5893 % 2,252.9
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Disc -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 5.23 %
HSE.PR.E FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 6.93 %
HSE.PR.A FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 6.48 %
TRP.PR.A FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.98 %
BAM.PR.C Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.64 %
BIP.PR.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 6.08 %
HSE.PR.C FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.55 %
BAM.PR.T FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 5.96 %
BNS.PR.I FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 22.42
Evaluated at bid price : 23.26
Bid-YTW : 4.74 %
MFC.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 : 21.15
Bid-YTW : 6.66 %
IFC.PR.F Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 5.99 %
TD.PF.E FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 5.23 %
IFC.PR.E Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.63
Bid-YTW : 6.04 %
VNR.PR.A FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 22.10
Evaluated at bid price : 22.56
Bid-YTW : 5.16 %
TD.PF.I FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 22.80
Evaluated at bid price : 23.81
Bid-YTW : 4.99 %
MFC.PR.K FixedReset Ins Non 3.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 7.08 %
MFC.PR.F FixedReset Ins Non 5.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.55
Bid-YTW : 9.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.A FixedReset Disc 100,954 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 5.69 %
BAM.PF.B FixedReset Disc 97,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.95 %
TD.PF.B FixedReset Disc 81,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.33 %
CU.PR.E Perpetual-Discount 77,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 22.05
Evaluated at bid price : 22.05
Bid-YTW : 5.59 %
CU.PR.D Perpetual-Discount 74,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 22.07
Evaluated at bid price : 22.07
Bid-YTW : 5.59 %
BAM.PF.H FixedReset Prem 41,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.29 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 19.00 – 19.63
Spot Rate : 0.6300
Average : 0.3914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.95 %

CU.PR.I FixedReset Prem Quote: 25.21 – 25.74
Spot Rate : 0.5300
Average : 0.3135

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.00 %

TRP.PR.K FixedReset Disc Quote: 24.85 – 25.37
Spot Rate : 0.5200
Average : 0.3039

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.14 %

MFC.PR.R FixedReset Ins Non Quote: 24.54 – 25.04
Spot Rate : 0.5000
Average : 0.2901

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.54
Bid-YTW : 5.45 %

TD.PF.J FixedReset Disc Quote: 21.95 – 22.76
Spot Rate : 0.8100
Average : 0.6022

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 5.23 %

PWF.PR.P FixedReset Disc Quote: 14.68 – 15.29
Spot Rate : 0.6100
Average : 0.4070

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-28
Maturity Price : 14.68
Evaluated at bid price : 14.68
Bid-YTW : 5.66 %

February 27, 2019

Wednesday, February 27th, 2019

PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a sharp narrowing from the 355bp reported February 20.

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 0.6196 % 2,204.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6196 % 4,044.3
Floater 5.32 % 5.57 % 30,456 14.46 4 0.6196 % 2,330.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0421 % 3,258.5
SplitShare 4.90 % 4.56 % 91,700 3.95 8 0.0421 % 3,891.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0421 % 3,036.2
Perpetual-Premium 5.83 % -4.47 % 89,965 0.08 4 -0.1479 % 2,902.6
Perpetual-Discount 5.54 % 5.58 % 73,170 14.25 31 0.0515 % 3,004.8
FixedReset Disc 5.13 % 5.43 % 216,512 14.77 65 0.2440 % 2,216.2
Deemed-Retractible 5.30 % 6.21 % 91,744 8.10 27 0.1845 % 2,996.9
FloatingReset 4.32 % 5.57 % 52,281 8.45 6 0.4556 % 2,461.2
FixedReset Prem 5.11 % 4.03 % 306,662 2.24 18 0.2195 % 2,544.4
FixedReset Bank Non 1.97 % 4.03 % 167,036 2.81 3 0.6287 % 2,637.8
FixedReset Ins Non 5.01 % 6.84 % 131,859 8.35 22 -0.0274 % 2,239.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -4.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 9.63 %
VNR.PR.A FixedReset Disc -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.80
Evaluated at bid price : 22.13
Bid-YTW : 5.27 %
MFC.PR.K FixedReset Ins Non -2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 7.51 %
TD.PF.I FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 22.54
Evaluated at bid price : 23.31
Bid-YTW : 5.11 %
RY.PR.S FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.94
Evaluated at bid price : 22.44
Bid-YTW : 4.85 %
CM.PR.S FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.41 %
MFC.PR.M FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.29
Bid-YTW : 7.21 %
TD.PF.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.31 %
TD.PF.D FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 5.31 %
BIP.PR.D FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.86
Evaluated at bid price : 22.16
Bid-YTW : 6.17 %
SLF.PR.J FloatingReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 8.89 %
EIT.PR.A SplitShare 1.01 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.73 %
GWO.PR.N FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 8.75 %
PWF.PR.P FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.67 %
SLF.PR.C Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 6.78 %
SLF.PR.H FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 7.62 %
RY.PR.W Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.05 %
SLF.PR.G FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.18
Bid-YTW : 8.84 %
SLF.PR.D Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.81
Bid-YTW : 6.78 %
TRP.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 5.96 %
CM.PR.Q FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.39 %
BMO.PR.C FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 22.94
Evaluated at bid price : 24.00
Bid-YTW : 5.21 %
TRP.PR.G FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.80 %
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 : 20.88
Bid-YTW : 6.56 %
HSE.PR.A FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.36 %
TRP.PR.A FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 15.78
Evaluated at bid price : 15.78
Bid-YTW : 5.89 %
BAM.PR.X FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.82 %
BIP.PR.A FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.44 %
BAM.PR.C Floater 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.57 %
HSE.PR.E FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.78 %
BAM.PF.I FixedReset Prem 2.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.73 %
MFC.PR.G FixedReset Ins Non 2.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.82
Bid-YTW : 6.64 %
BAM.PR.R FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.98 %
RY.PR.J FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.45
Evaluated at bid price : 21.78
Bid-YTW : 5.17 %
TD.PF.J FixedReset Disc 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 22.15
Evaluated at bid price : 22.70
Bid-YTW : 5.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.R FixedReset Disc 91,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.98 %
NA.PR.A FixedReset Prem 91,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.38 %
TD.PF.L FixedReset Prem 71,464 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 23.22
Evaluated at bid price : 25.20
Bid-YTW : 5.02 %
MFC.PR.R FixedReset Ins Non 61,298 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.21 %
TD.PF.J FixedReset Disc 56,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 22.15
Evaluated at bid price : 22.70
Bid-YTW : 5.04 %
CM.PR.O FixedReset Disc 47,370 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.42 %
There were 27 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: 19.60 – 23.07
Spot Rate : 3.4700
Average : 1.9578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.70 %

MFC.PR.N FixedReset Ins Non Quote: 19.00 – 21.99
Spot Rate : 2.9900
Average : 1.7360

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.31 %

MFC.PR.F FixedReset Ins Non Quote: 13.85 – 15.02
Spot Rate : 1.1700
Average : 0.7319

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 9.63 %

VNR.PR.A FixedReset Disc Quote: 22.13 – 23.30
Spot Rate : 1.1700
Average : 0.7356

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 21.80
Evaluated at bid price : 22.13
Bid-YTW : 5.27 %

MFC.PR.K FixedReset Ins Non Quote: 18.95 – 19.89
Spot Rate : 0.9400
Average : 0.6020

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 7.51 %

BAM.PR.X FixedReset Disc Quote: 15.00 – 15.98
Spot Rate : 0.9800
Average : 0.6776

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-27
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.82 %

February 26, 2019

Tuesday, February 26th, 2019

I seem to have a problem with comments.

PrefBlog uses a plug-in called WP-SpamShield to deflect the hundreds (literally!) of spam comments that flood in daily; regrettably, it appears to have gone berserk.

An Assiduous Reader notified me that his attempt to comment was frustrated due to the system thinking his comment was spam and telling him:

ERROR: Your comment appears to be spam.

Please go back and check all parts of your comment submission (including name, email, website, and comment content).

If you are a logged in user, and you are seeing this message repeatedly, then you may need to check your registered user information for spam data.

I couldn’t see any problems, so after a bit of back-and-forth I captured a comment attempt by him on the ‘blocked log’. Yes, it was rejected – with a code. I have attempted to look up the code on the maker’s website … and it seems my Access to the website has been forbidden, due to:

unusual traffic from your web browser, device, or network, resulting in firewall security measures limiting your access to this website.

So it seems that either their Unusual Traffic detector has gone berserk and is now blocking networks on a wholesale basis or that somebody in Canada has been Very Naughty Indeed.

If the problem doesn’t resolve itself in the next few days, I’ll uninstall the spam blocker and try another solution. In the meantime, I would appreciate Assiduous Readers attempting to comment on this post and notifying me if blocked.

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 -0.2703 % 2,190.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2703 % 4,019.4
Floater 5.35 % 5.61 % 30,997 14.41 4 -0.2703 % 2,316.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0050 % 3,257.2
SplitShare 4.90 % 4.55 % 55,740 3.92 8 0.0050 % 3,889.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0050 % 3,034.9
Perpetual-Premium 5.82 % -4.19 % 88,463 0.08 4 0.0296 % 2,906.9
Perpetual-Discount 5.54 % 5.65 % 74,295 14.26 31 0.1087 % 3,003.3
FixedReset Disc 5.14 % 5.45 % 218,137 14.80 65 -0.1640 % 2,210.8
Deemed-Retractible 5.31 % 6.14 % 92,018 8.10 27 -0.0253 % 2,991.4
FloatingReset 4.33 % 5.57 % 52,888 8.43 6 0.3361 % 2,450.1
FixedReset Prem 5.13 % 4.18 % 305,421 2.24 18 -0.0261 % 2,538.9
FixedReset Bank Non 1.99 % 4.22 % 168,346 2.81 3 0.4491 % 2,621.3
FixedReset Ins Non 5.01 % 6.93 % 131,163 8.35 22 0.0595 % 2,240.3
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 5.23 %
HSE.PR.E FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.92 %
BAM.PF.I FixedReset Prem -1.98 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.45 %
BNS.PR.I FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.30
Evaluated at bid price : 23.03
Bid-YTW : 4.79 %
TRP.PR.C FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 6.04 %
BMO.PR.C FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.79
Evaluated at bid price : 23.69
Bid-YTW : 5.28 %
BMO.PR.E FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.31
Evaluated at bid price : 23.04
Bid-YTW : 4.96 %
MFC.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.32
Bid-YTW : 6.93 %
TD.PF.D FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 21.43
Evaluated at bid price : 21.76
Bid-YTW : 5.23 %
RY.PR.J FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.32 %
SLF.PR.J FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 9.01 %
BMO.PR.Z Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 24.33
Evaluated at bid price : 24.83
Bid-YTW : 5.04 %
BIP.PR.F FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 5.93 %
BAM.PR.X FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 14.73
Evaluated at bid price : 14.73
Bid-YTW : 5.92 %
IAF.PR.I FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.32
Bid-YTW : 6.73 %
PWF.PR.Q FloatingReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 5.57 %
BAM.PR.N Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 5.87 %
SLF.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 : 15.00
Bid-YTW : 8.98 %
CCS.PR.C Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 6.05 %
MFC.PR.N FixedReset Ins Non 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 7.34 %
PWF.PR.P FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.73 %
RY.PR.S FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.16
Evaluated at bid price : 22.80
Bid-YTW : 4.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset Prem 120,695 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.06 %
NA.PR.C FixedReset Disc 80,159 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.28
Evaluated at bid price : 22.86
Bid-YTW : 5.56 %
BNS.PR.G FixedReset Prem 71,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.85 %
TD.PF.H FixedReset Prem 63,887 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.18 %
BAM.PF.J FixedReset Disc 61,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 22.94
Evaluated at bid price : 24.15
Bid-YTW : 5.06 %
MFC.PR.N FixedReset Ins Non 61,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 7.34 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 12.43 – 13.37
Spot Rate : 0.9400
Average : 0.6177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 5.65 %

IFC.PR.C FixedReset Ins Non Quote: 19.32 – 19.89
Spot Rate : 0.5700
Average : 0.3636

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.32
Bid-YTW : 7.30 %

IFC.PR.E Deemed-Retractible Quote: 23.31 – 23.80
Spot Rate : 0.4900
Average : 0.2863

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 6.20 %

NA.PR.E FixedReset Disc Quote: 20.55 – 21.09
Spot Rate : 0.5400
Average : 0.3435

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.45 %

TD.PF.J FixedReset Disc Quote: 21.95 – 22.70
Spot Rate : 0.7500
Average : 0.5654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 5.23 %

TRP.PR.B FixedReset Disc Quote: 12.96 – 13.50
Spot Rate : 0.5400
Average : 0.3566

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-26
Maturity Price : 12.96
Evaluated at bid price : 12.96
Bid-YTW : 5.91 %

February 25, 2019

Monday, February 25th, 2019

Rob Carrick of the Globe published an article last week titled Critics of the overhauled CPP say it’s a bad deal – here’s why they’re wrong which contained the following puzzling statements:

Critics say the CPP pay outs offer a poor rate of return on contributions…

The Fraser Institute think tank critiqued this column, partly for not deploring the rate of return people will get on money contributed to the expanded CPP. The institute quotes a study saying the overall return is 2.5 per cent, which is described as “meagre.”

Based on numbers only, maybe so. Guidelines for financial planners set out after-fee returns of 3.2 per cent for conservative portfolios (25 per cent stocks, 75 per cent bonds and cash), 3.9 per cent for balanced portfolios (50 per cent stocks, 50 per cent bonds/cash) and 4.7 per cent for aggressive (75 per cent stocks, 25 per cent bonds/cash.

This puzzled me because the last time I reviewed it, I figured the CPP was doing a pretty good job. The primary reason for this is that they have a captive market; therefore they have no salesmen; and therefore they don’t have to come up with interesting stories and ensure their portfolios are aligned with that story. All they have to do is choose good investments. This is an extremely important determinant of investment management results, as I have stated in this blog to the point of weariness when discussing outfits like OMERS, Teachers and HOOPP. It also helps that they can fire people without having to worry about clients’ reactions.

So I did a little checking and a little digging and, after the Fraser Institute came out with another volley in their debate, had an eMail exchange with one of the Fraser Institute honchos which included the following, taken from my side of the exchange:

Aren’t the figures quoted by Carrick (which appear to be from the FPSC Projection Assumption Guidelines, published online at [LINK] ) nominal returns, gross of 2.0% inflation, as opposed to your figures, which are net of inflation?

It makes quite a difference to the comparison!


As you are doubtless aware, the CPP was only 6% funded in 1996 (see [LINK] ) as the CPP was conceived as having a pay-as-you-go basis.

This was changed in 1997 to a requirement for steady-state funding and full funding (see [LINK] ).

It is clear that a transition from 6% funding to 100% funding must be paid for somehow, and I see only three avenues for accomplishing this task:
– reduce benefits for the ‘early benefiticiaries’ [sic], some of whom achieved staggering rates of return on their contributions, as discussed in [LINK]
– increase contributions for ‘late beneficiaries’
– make up the difference through government general revenue, i.e., taxpayers in general irrespective of CPP status.

The solution reached was to adjust the contribution and benefit rates with the effect that current contributors are over-funding their benefits. Right or wrong, that was a political decision that people seem happy with, although it leads to the gap you deprecate between the fund’s required rate of return and the rate of return realized in benefits to current contributors.

Thus, the existence of this gap is irrelevant to any discussion of CPP expansion, as the gap that existed in 1996 is slowly being erased through increased contribution rates. Any changes to the level of expected benefits must be fully funded; this implies that the gap, expressed in terms of fund- and contributor-returns will actually narrow as the plan is expanded (or, conversely, widen if the fund should become less ambitious; I note that as per the 16th Actuarial report referenced above, the contribution rate was projected to rise to 10.1% in 2016 and 14.2% in 2030.

Even after accounting for the gap in returns, contributors are expected to achieve a 2.5% real rate of return on their contributions according to your figures, a rate that can hardly be described as meagre. This is equivalent to a 4.5% nominal rate given generally accepted estimates of future inflation, handsomely exceeding the ‘conservative’ (3.2%) and ‘balanced’ (3.9%) portfolios of the FPSC Projection Assumption Guidelines quoted by Carrick. The projected contributor rate of return is exceeded only slightly by the ‘aggressive’ projection (4.7%). It is my experience in the investment management business that there are far more investors who will demand ‘conservative’ or ‘balanced’ investment portfolios – particularly among those who hold less than the median non-pension financial assets of a mere $11,600 in 2016 (see [LINK] ).

You claim that “the CPP has to earn a 4% ROR over time in order to sustainably provide a 2.5% ROR to retirees. No worker would likely make that deal voluntarily” This is absurd. There exist a huge number of Canadian equity mutual funds with MERs in excess of 1.5%, and (according to the OSC in 2013 (see [LINK] : “According to analysis from Strategic Insight on advisory fees charged by client asset size under U.S. fee-based programs (2011), 70% of U.S. investors with account sizes of $100,000 are charged advisory fees higher than 1.25% and 31% are charged over 1.50%”. Note also that, as discussed above, elimination of this gap with respect to current contributors would only move the requirement for increasing the CPP funded ratio onto other shoulders; this is in distinction to the extortionate levels of fees in the Canadian financial services industry which are paid very happily by investors.

I will also note that my analysis of annuity rates indicates that the expected rate of return on annuities offered to retail investors is 0% – the profits due to investment returns during the lives of the annuities are captured entirely by the sponsoring company – and are well in excess of 1.5% (the value of annuities lies not in their value as investments, but as insurance against unexpected longevity). Additionally, the Net Interest Margins achieved by Canadian banks are grossly in excess of the 1.5% that “no worker would likely make … voluntarily”. (see [LINK] ). It is also clear that almost every investor in Canada bonds for the past ten-plus years has voluntarily accepted a rate of return far below 2.5% real.

I remain perplexed by your statement that “please note that the CPP doesn’t offer any inheritable asset other than the death benefit. That issue isn’t included in the comparison.” Surely your analysis included all cash-flows from the CPP to beneficiaries; therefore your claim of a 2.5% expected rate of return will – under the “full funding” regime – be unaffected by whether any given outflow is labelled as a death benefit or otherwise.

Sincerely,

For the record, I don’t consider the Fraser Institute to be a think-tank at all. It’s just another murky mouthpiece for the vested interests … their funding is unusually opaque.

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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 0.1935 % 2,196.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1935 % 4,030.3
Floater 5.34 % 5.59 % 32,269 14.44 4 0.1935 % 2,322.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0748 % 3,257.0
SplitShare 4.90 % 4.63 % 57,717 3.92 8 -0.0748 % 3,889.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0748 % 3,034.8
Perpetual-Premium 5.82 % -8.10 % 89,025 0.08 4 0.2373 % 2,906.1
Perpetual-Discount 5.55 % 5.66 % 76,831 14.23 31 0.2558 % 3,000.0
FixedReset Disc 5.13 % 5.45 % 221,041 14.78 65 0.3436 % 2,214.5
Deemed-Retractible 5.30 % 6.21 % 92,572 8.10 27 0.4378 % 2,992.1
FloatingReset 4.35 % 5.64 % 53,662 8.42 6 0.4407 % 2,441.9
FixedReset Prem 5.12 % 4.16 % 282,760 2.25 18 0.2243 % 2,539.5
FixedReset Bank Non 2.00 % 4.40 % 170,441 2.81 3 0.1900 % 2,609.6
FixedReset Ins Non 4.97 % 6.88 % 132,091 8.25 22 0.3757 % 2,239.0
Performance Highlights
Issue Index Change Notes
RY.PR.S FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.78
Evaluated at bid price : 22.20
Bid-YTW : 4.91 %
CM.PR.O FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.41 %
RY.PR.J FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.27 %
HSE.PR.G FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 6.72 %
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 : 14.80
Bid-YTW : 9.14 %
MFC.PR.M FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.10 %
ELF.PR.H Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 24.19
Evaluated at bid price : 24.55
Bid-YTW : 5.66 %
SLF.PR.C Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.81 %
GWO.PR.R Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 6.38 %
GWO.PR.H Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.60 %
IAF.PR.I FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 6.88 %
SLF.PR.E Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 6.84 %
BAM.PR.B Floater 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 5.59 %
PWF.PR.Q FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 5.64 %
HSE.PR.C FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.49 %
GWO.PR.P Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.59 %
PWF.PR.Z Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 22.27
Evaluated at bid price : 22.61
Bid-YTW : 5.74 %
TD.PF.I FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 22.83
Evaluated at bid price : 23.87
Bid-YTW : 4.97 %
GWO.PR.N FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.90
Bid-YTW : 8.82 %
BMO.PR.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 22.47
Evaluated at bid price : 23.33
Bid-YTW : 4.89 %
TRP.PR.F FloatingReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 5.74 %
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 : 18.51
Bid-YTW : 7.65 %
BAM.PF.A FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 5.63 %
BAM.PR.M Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.76 %
BAM.PR.Z FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.72 %
PWF.PR.T FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.45 %
BAM.PF.I FixedReset Prem 2.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.73 %
BIP.PR.D FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 22.18
Evaluated at bid price : 22.61
Bid-YTW : 6.14 %
TD.PF.J FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.99
Evaluated at bid price : 22.45
Bid-YTW : 5.10 %
TRP.PR.C FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 5.95 %
HSE.PR.E FixedReset Disc 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 115,716 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.27 %
CU.PR.H Perpetual-Discount 97,820 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 23.08
Evaluated at bid price : 23.46
Bid-YTW : 5.61 %
RY.PR.Z FixedReset Disc 76,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 5.25 %
TD.PF.L FixedReset Prem 74,943 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 23.18
Evaluated at bid price : 25.10
Bid-YTW : 5.04 %
BMO.PR.S FixedReset Disc 69,909 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.39 %
GWO.PR.G Deemed-Retractible 63,910 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.29
Bid-YTW : 6.21 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 20.77 – 21.55
Spot Rate : 0.7800
Average : 0.5139

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.77
Bid-YTW : 6.99 %

BAM.PR.X FixedReset Disc Quote: 14.55 – 15.21
Spot Rate : 0.6600
Average : 0.4292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.99 %

BAM.PR.N Perpetual-Discount Quote: 20.32 – 20.85
Spot Rate : 0.5300
Average : 0.3548

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.95 %

PWF.PR.P FixedReset Disc Quote: 14.21 – 14.65
Spot Rate : 0.4400
Average : 0.3064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 5.84 %

POW.PR.D Perpetual-Discount Quote: 22.05 – 22.44
Spot Rate : 0.3900
Average : 0.2749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.74 %

CU.PR.H Perpetual-Discount Quote: 23.46 – 23.90
Spot Rate : 0.4400
Average : 0.3359

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-25
Maturity Price : 23.08
Evaluated at bid price : 23.46
Bid-YTW : 5.61 %

February 22, 2019

Saturday, February 23rd, 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 -0.1352 % 2,192.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1352 % 4,022.5
Floater 5.35 % 5.64 % 30,313 14.37 4 -0.1352 % 2,318.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0746 % 3,259.4
SplitShare 4.90 % 4.62 % 59,776 3.93 8 0.0746 % 3,892.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0746 % 3,037.0
Perpetual-Premium 5.83 % -2.59 % 86,869 0.08 4 0.1089 % 2,899.2
Perpetual-Discount 5.56 % 5.63 % 77,973 14.25 31 0.1274 % 2,992.3
FixedReset Disc 5.14 % 5.41 % 224,319 14.79 65 0.3962 % 2,206.9
Deemed-Retractible 5.33 % 6.22 % 93,780 8.11 27 0.3522 % 2,979.1
FloatingReset 4.38 % 5.73 % 55,861 8.42 6 0.1503 % 2,431.2
FixedReset Prem 5.14 % 4.22 % 284,336 2.25 18 0.0588 % 2,533.8
FixedReset Bank Non 2.78 % 4.38 % 171,927 2.82 5 -0.0826 % 2,604.6
FixedReset Ins Non 4.99 % 6.97 % 132,694 8.26 22 0.5288 % 2,230.6
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset Disc -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 7.01 %
BAM.PF.I FixedReset Prem -1.71 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.43 %
TD.PF.J FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 5.21 %
BIP.PR.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 6.04 %
PWF.PR.Z Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.96
Evaluated at bid price : 22.31
Bid-YTW : 5.82 %
BAM.PR.B Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 5.66 %
BMO.PR.W FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.28 %
BAM.PR.T FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 6.03 %
SLF.PR.C Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.53
Bid-YTW : 6.93 %
BIP.PR.A FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.64 %
BAM.PF.D Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.73 %
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 : 21.64
Bid-YTW : 6.62 %
SLF.PR.J FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.86
Bid-YTW : 9.13 %
BIP.PR.F FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 5.98 %
SLF.PR.B Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.68 %
SLF.PR.D Deemed-Retractible 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.58
Bid-YTW : 6.90 %
SLF.PR.E Deemed-Retractible 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.54
Bid-YTW : 6.98 %
BAM.PR.Z FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.79 %
MFC.PR.I FixedReset Ins Non 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 6.59 %
HSE.PR.C FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.55 %
CM.PR.R FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 22.51
Evaluated at bid price : 23.20
Bid-YTW : 5.41 %
IAF.PR.G FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 7.03 %
BMO.PR.E FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 4.95 %
RY.PR.S FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 4.82 %
BNS.PR.I FixedReset Disc 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 22.55
Evaluated at bid price : 23.50
Bid-YTW : 4.66 %
RY.PR.J FixedReset Disc 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.37
Evaluated at bid price : 21.68
Bid-YTW : 5.16 %
MFC.PR.F FixedReset Ins Non 4.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 8.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.S Perpetual-Discount 102,867 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.73 %
TD.PF.K FixedReset Disc 88,489 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.67
Evaluated at bid price : 22.03
Bid-YTW : 5.11 %
RY.PR.H FixedReset Disc 86,245 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.16 %
RY.PR.P Perpetual-Discount 78,057 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 24.57
Evaluated at bid price : 25.05
Bid-YTW : 5.25 %
MFC.PR.R FixedReset Ins Non 72,363 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.55 %
BMO.PR.W FixedReset Disc 65,078 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.28 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.D FixedReset Disc Quote: 22.16 – 23.10
Spot Rate : 0.9400
Average : 0.5556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.86
Evaluated at bid price : 22.16
Bid-YTW : 6.25 %

BMO.PR.W FixedReset Disc Quote: 19.07 – 19.89
Spot Rate : 0.8200
Average : 0.5452

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.28 %

TD.PF.C FixedReset Disc Quote: 19.15 – 19.88
Spot Rate : 0.7300
Average : 0.4632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.31 %

RY.PR.S FixedReset Disc Quote: 22.50 – 23.20
Spot Rate : 0.7000
Average : 0.4368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-22
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 4.82 %

MFC.PR.L FixedReset Ins Non Quote: 18.22 – 18.90
Spot Rate : 0.6800
Average : 0.4216

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.22
Bid-YTW : 7.82 %

BAM.PF.I FixedReset Prem Quote: 24.75 – 25.30
Spot Rate : 0.5500
Average : 0.3223

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.43 %

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 %