Archive for the ‘Market Action’ Category

June 10, 2019

Monday, June 10th, 2019
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TXPR closed at 601.79, up 0.88% on the day. Volume was 2.30-million, high but not extraordinary in the context of the past thirty days.

CPD closed at 12.04, up 0.84% on the day. Volume of 106,003 was high but not unusual in the context of the past thirty days.

ZPR closed at 9.68, up 1.15% on the day. Volume of 393,604 was the highest of the past thirty days, well ahead of the 261,690 posted on June 4.

Five-year Canada yields were up 7bp to 1.41% today.

A good day globally was attributed to the accord between Mexico and the US:

Equities around the world rose on Monday while U.S. Treasury prices fell as risk assets were in demand after the United States shelved plans to impose tariffs on Mexico, easing worries the global economy would face another trade war.

The U.S. dollar gained against a basket of major currencies while the Mexican peso was on track for its biggest one-day percentage gain against the dollar since July 2018.

The U.S.-Mexico trade and migration deal also boosted emerging market stocks and sent U.S. government bond yields higher as investors favored riskier assets.

“There’s a nice follow through on last week’s optimism that global growth is likely to continue with trade tensions with Mexico backing off. There’s clearly a growth bias to the tilt of today’s market,” said Carol Schleif, deputy chief investment officer at Abbot Downing in Minneapolis.

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 -1.1775 % 1,949.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1775 % 3,577.1
Floater 6.03 % 6.50 % 69,582 13.06 3 -1.1775 % 2,061.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1483 % 3,308.8
SplitShare 4.71 % 4.79 % 77,512 4.24 7 0.1483 % 3,951.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1483 % 3,083.0
Perpetual-Premium 5.62 % -10.19 % 78,064 0.08 7 0.4518 % 2,940.7
Perpetual-Discount 5.51 % 5.62 % 69,146 14.41 26 0.2341 % 3,054.7
FixedReset Disc 5.50 % 5.39 % 174,174 14.66 70 1.5157 % 2,072.7
Deemed-Retractible 5.32 % 5.98 % 87,587 8.04 27 0.2159 % 3,052.9
FloatingReset 4.12 % 4.99 % 55,439 2.53 4 -0.1731 % 2,321.7
FixedReset Prem 5.13 % 4.05 % 210,903 1.86 16 0.4813 % 2,572.7
FixedReset Bank Non 1.99 % 4.29 % 159,743 2.55 3 0.5758 % 2,635.4
FixedReset Ins Non 5.28 % 7.21 % 96,810 8.16 22 1.6157 % 2,156.9
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 10.81
Evaluated at bid price : 10.81
Bid-YTW : 6.53 %
BAM.PR.K Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 10.85
Evaluated at bid price : 10.85
Bid-YTW : 6.50 %
GWO.PR.P Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.91 %
BAM.PR.M Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.01 %
TRP.PR.G FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 6.05 %
SLF.PR.B Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 6.47 %
PWF.PR.R Perpetual-Premium 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 24.36
Evaluated at bid price : 24.75
Bid-YTW : 5.62 %
IAF.PR.B Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.47
Bid-YTW : 6.46 %
IFC.PR.F Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.93 %
TD.PF.G FixedReset Prem 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.98
Bid-YTW : 3.68 %
BMO.PR.W FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.51 %
PWF.PR.L Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 5.66 %
BAM.PF.J FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 22.60
Evaluated at bid price : 23.39
Bid-YTW : 5.13 %
TRP.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 5.86 %
BMO.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 5.39 %
TD.PF.K FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.25 %
MFC.PR.N FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.66
Bid-YTW : 8.57 %
MFC.PR.F FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.31
Bid-YTW : 9.87 %
BIP.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 23.34
Evaluated at bid price : 24.56
Bid-YTW : 6.01 %
IFC.PR.A FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.21
Bid-YTW : 9.24 %
CM.PR.Y FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 22.89
Evaluated at bid price : 24.30
Bid-YTW : 5.16 %
BIP.PR.E FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 6.13 %
RY.PR.M FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.37 %
BAM.PR.T FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 6.31 %
CM.PR.O FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.64 %
GWO.PR.N FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.60
Bid-YTW : 9.50 %
SLF.PR.G FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.62
Bid-YTW : 9.72 %
BAM.PF.I FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 23.23
Evaluated at bid price : 24.51
Bid-YTW : 5.30 %
RY.PR.Z FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.15 %
MFC.PR.R FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.24
Bid-YTW : 5.52 %
PWF.PR.P FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 12.92
Evaluated at bid price : 12.92
Bid-YTW : 5.73 %
MFC.PR.B Deemed-Retractible 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.58
Bid-YTW : 6.47 %
TD.PF.B FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.38 %
TRP.PR.E FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 5.94 %
CM.PR.R FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 21.37
Evaluated at bid price : 21.69
Bid-YTW : 5.48 %
BMO.PR.D FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 21.39
Evaluated at bid price : 21.72
Bid-YTW : 5.25 %
CM.PR.Q FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 5.64 %
BAM.PF.F FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 6.29 %
BAM.PF.G FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 6.28 %
IAF.PR.I FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.56 %
MFC.PR.Q FixedReset Ins Non 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.53
Bid-YTW : 7.30 %
BAM.PR.R FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 14.68
Evaluated at bid price : 14.68
Bid-YTW : 6.27 %
MFC.PR.K FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 7.43 %
RY.PR.H FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.27 %
TD.PF.I FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 21.28
Evaluated at bid price : 21.57
Bid-YTW : 5.19 %
BMO.PR.T FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 5.42 %
SLF.PR.I FixedReset Ins Non 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.18
Bid-YTW : 7.20 %
BMO.PR.Y FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 5.39 %
BAM.PR.Z FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.09 %
MFC.PR.L FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.94
Bid-YTW : 8.18 %
IFC.PR.C FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.64
Bid-YTW : 7.51 %
CM.PR.P FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.58 %
BIP.PR.D FixedReset Disc 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 5.95 %
BIP.PR.F FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 6.08 %
BAM.PF.A FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.91 %
MFC.PR.J FixedReset Ins Non 2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 7.21 %
NA.PR.E FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 5.40 %
TD.PF.E FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.31 %
NA.PR.G FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 5.17 %
NA.PR.W FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 16.39
Evaluated at bid price : 16.39
Bid-YTW : 5.65 %
TD.PF.D FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 5.27 %
BAM.PF.E FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.28 %
MFC.PR.H FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.96 %
SLF.PR.H FixedReset Ins Non 2.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.85
Bid-YTW : 8.73 %
TD.PF.C FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.39 %
CU.PR.C FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 5.50 %
TRP.PR.B FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 5.83 %
RY.PR.J FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.32 %
BAM.PR.X FixedReset Disc 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 6.09 %
TD.PF.A FixedReset Disc 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 5.36 %
MFC.PR.G FixedReset Ins Non 3.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.34
Bid-YTW : 7.30 %
BMO.PR.C FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 22.44
Evaluated at bid price : 23.00
Bid-YTW : 5.11 %
NA.PR.C FixedReset Disc 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 21.30
Evaluated at bid price : 21.59
Bid-YTW : 5.55 %
NA.PR.S FixedReset Disc 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 5.61 %
MFC.PR.I FixedReset Ins Non 3.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.81
Bid-YTW : 7.13 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.J FloatingReset 102,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.45
Bid-YTW : 10.34 %
CM.PR.Y FixedReset Disc 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 22.89
Evaluated at bid price : 24.30
Bid-YTW : 5.16 %
TD.PF.M FixedReset Disc 48,506 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 22.95
Evaluated at bid price : 24.45
Bid-YTW : 5.06 %
CM.PR.S FixedReset Disc 44,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.37 %
TD.PF.J FixedReset Disc 43,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.32 %
BMO.PR.S FixedReset Disc 35,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 5.39 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.K FixedReset Prem Quote: 25.35 – 26.06
Spot Rate : 0.7100
Average : 0.4530

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.88 %

BMO.PR.B FixedReset Prem Quote: 25.45 – 26.01
Spot Rate : 0.5600
Average : 0.3415

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.24 %

TRP.PR.F FloatingReset Quote: 13.42 – 13.99
Spot Rate : 0.5700
Average : 0.3619

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-10
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 6.70 %

GWO.PR.P Deemed-Retractible Quote: 24.00 – 24.46
Spot Rate : 0.4600
Average : 0.3187

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.91 %

SLF.PR.H FixedReset Ins Non Quote: 15.85 – 16.50
Spot Rate : 0.6500
Average : 0.5090

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.85
Bid-YTW : 8.73 %

BNS.PR.F FloatingReset Quote: 23.88 – 24.25
Spot Rate : 0.3700
Average : 0.2404

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.88
Bid-YTW : 4.99 %

June 7, 2019

Friday, June 7th, 2019

Jobs, jobs, jobs! The US report was weak:

  • 75,000 jobs were created last month. Analysts had expected a gain of about 175,000 jobs, according to Bloomberg.
  • The unemployment rate was 3.6 percent, the same as in April.
  • Average hourly earnings rose by 0.2 percent, the same rate as in April. Over the last 12 months, earnings have risen by a solid 3.1 percent.


However dramatic the fall off in hiring was in May, it’s part of a larger trend suggesting that the labor market has cooled from last year, when tax cuts provided a short-term lift. In the first five months of 2019, the economy added an average of 164,000 jobs, down from an average gain of 223,000 for all of 2018.

The retail sector, battered by the rise of e-commerce, lost jobs for the fourth month in a row. The sector has given up 50,000 jobs since January.

The share of Americans working or looking for a job was unchanged at 62.8 percent. Some economists had thought that number would rise as people were lured back into the labor market by signs of growth earlier this year.

Friday’s report also revised employment data for April and March downward by a total of 75,000 jobs.

In the financial markets, investors saw the bright side of the disappointing report, with bond markets pricing in a growing likelihood that the Fed would act to cut interest rates. Yields on short- and long-term Treasury securities fell sharply after the report. The yield on the 10-year note dropped to 2.07 percent. Stocks rose, with the S&P 500 up 1.2 percent.

The Canadian report was better:

The Canadian dollar strengthened to a seven-week high against its U.S. counterpart on Friday, boosted by domestic data showing a record low unemployment rate that could give the Bank of Canada some confidence in its rosy outlook for the economy.

Canada added a higher-than-expected 27,700 net new jobs in May, which followed a record gain of 106,500 positions in April, and the unemployment rate dipped to a record low of 5.4 per cent, official data showed.

The Bank of Canada has said that a slowdown in the domestic economy was temporary. But chances of an interest rate cut this year by the central bank stayed high, at about 85 per cent, after the Canadian jobs report, with data from the United States showing a sharp slowdown in U.S. job growth.

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 0.2591 % 1,972.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2591 % 3,619.8
Floater 5.96 % 6.40 % 69,417 13.22 3 0.2591 % 2,086.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0228 % 3,303.9
SplitShare 4.71 % 4.81 % 77,202 4.25 7 0.0228 % 3,945.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0228 % 3,078.5
Perpetual-Premium 5.65 % -6.62 % 74,221 0.08 7 -0.2479 % 2,927.4
Perpetual-Discount 5.53 % 5.65 % 71,465 14.36 26 -0.2488 % 3,047.5
FixedReset Disc 5.58 % 5.45 % 172,016 14.68 70 0.4165 % 2,041.8
Deemed-Retractible 5.33 % 6.06 % 91,240 8.05 27 0.1404 % 3,046.3
FloatingReset 4.12 % 5.00 % 53,147 2.53 4 -0.1197 % 2,325.8
FixedReset Prem 5.15 % 4.26 % 213,755 1.87 16 0.1615 % 2,560.4
FixedReset Bank Non 2.00 % 4.63 % 161,879 2.56 3 0.3099 % 2,620.3
FixedReset Ins Non 5.37 % 7.51 % 100,086 8.15 22 -0.0269 % 2,122.6
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.45
Bid-YTW : 8.99 %
BAM.PF.A FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.00 %
SLF.PR.J FloatingReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.50
Bid-YTW : 10.29 %
EMA.PR.F FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.87 %
IFC.PR.F Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 6.06 %
MFC.PR.N FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.46
Bid-YTW : 8.66 %
BIP.PR.D FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.05 %
PWF.PR.R Perpetual-Premium -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 24.26
Evaluated at bid price : 24.50
Bid-YTW : 5.68 %
ELF.PR.H Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 24.25
Evaluated at bid price : 24.65
Bid-YTW : 5.65 %
SLF.PR.C Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.42
Bid-YTW : 6.91 %
CCS.PR.C Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 5.86 %
SLF.PR.I FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 7.40 %
HSE.PR.E FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.20 %
BAM.PF.J FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 22.45
Evaluated at bid price : 23.13
Bid-YTW : 5.19 %
HSE.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 6.28 %
BAM.PR.Z FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.15 %
BAM.PF.B FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.08 %
TD.PF.D FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.34 %
RY.PR.S FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.82 %
CM.PR.S FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.31 %
RY.PR.M FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 5.38 %
HSE.PR.G FixedReset Disc 5.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.20 %
HSE.PR.A FixedReset Disc 6.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 6.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.Q Deemed-Retractible 100,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.92
Bid-YTW : 6.23 %
CM.PR.Y FixedReset Disc 78,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 22.76
Evaluated at bid price : 23.98
Bid-YTW : 5.20 %
BAM.PR.K Floater 70,104 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 6.40 %
CM.PR.S FixedReset Disc 50,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.31 %
TD.PF.M FixedReset Disc 46,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 22.95
Evaluated at bid price : 24.44
Bid-YTW : 5.02 %
CU.PR.E Perpetual-Discount 42,534 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.53 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Deemed-Retractible Quote: 23.50 – 24.46
Spot Rate : 0.9600
Average : 0.5826

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.02 %

BAM.PF.A FixedReset Disc Quote: 18.99 – 19.36
Spot Rate : 0.3700
Average : 0.2414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.00 %

GWO.PR.R Deemed-Retractible Quote: 21.83 – 22.47
Spot Rate : 0.6400
Average : 0.5172

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 6.46 %

CU.PR.F Perpetual-Discount Quote: 20.61 – 21.00
Spot Rate : 0.3900
Average : 0.2747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.50 %

BAM.PF.J FixedReset Disc Quote: 23.13 – 23.49
Spot Rate : 0.3600
Average : 0.2494

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 22.45
Evaluated at bid price : 23.13
Bid-YTW : 5.19 %

PWF.PR.S Perpetual-Discount Quote: 21.61 – 21.94
Spot Rate : 0.3300
Average : 0.2263

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-07
Maturity Price : 21.61
Evaluated at bid price : 21.61
Bid-YTW : 5.63 %

June 6, 2019

Thursday, June 6th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2871 % 1,967.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2871 % 3,610.4
Floater 5.97 % 6.41 % 64,424 13.20 3 -0.2871 % 2,080.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0114 % 3,303.1
SplitShare 4.71 % 4.80 % 78,150 4.25 7 0.0114 % 3,944.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0114 % 3,077.8
Perpetual-Premium 5.63 % -9.56 % 75,021 0.08 7 0.1749 % 2,934.7
Perpetual-Discount 5.51 % 5.59 % 71,410 14.43 26 0.1339 % 3,055.1
FixedReset Disc 5.60 % 5.45 % 172,449 14.69 70 -0.5706 % 2,033.3
Deemed-Retractible 5.34 % 6.01 % 92,371 8.04 27 0.0113 % 3,042.0
FloatingReset 4.12 % 4.98 % 53,718 2.54 4 -0.2917 % 2,328.5
FixedReset Prem 5.16 % 4.34 % 214,979 1.87 16 -0.2295 % 2,556.3
FixedReset Bank Non 2.00 % 4.66 % 162,492 2.56 3 -0.1828 % 2,612.2
FixedReset Ins Non 5.36 % 7.53 % 101,828 8.17 22 -0.3293 % 2,123.2
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -6.22 % A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 1000 shares today in a range of 12.20-37 before being quoted at 11.60-31. The closing price was 12.20, reached at 3:25pm.

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 : 2049-06-06
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 6.57 %

GWO.PR.N FixedReset Ins Non -4.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 9.61 %
HSE.PR.G FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.56 %
PWF.PR.P FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 5.76 %
RY.PR.M FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 5.49 %
BMO.PR.F FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 22.78
Evaluated at bid price : 24.00
Bid-YTW : 5.14 %
MFC.PR.M FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.11
Bid-YTW : 8.24 %
BAM.PR.Z FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.23 %
BMO.PR.W FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.50 %
TD.PF.D FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 5.43 %
NA.PR.C FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 5.72 %
GWO.PR.T Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.29 %
TD.PF.A FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 5.41 %
CM.PR.T FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 22.77
Evaluated at bid price : 23.98
Bid-YTW : 5.01 %
MFC.PR.H FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.32 %
CM.PR.Q FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.67 %
CM.PR.S FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.41 %
TD.PF.I FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.28 %
TD.PF.L FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 22.87
Evaluated at bid price : 24.21
Bid-YTW : 4.91 %
TRP.PR.B FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 11.19
Evaluated at bid price : 11.19
Bid-YTW : 5.83 %
CCS.PR.C Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.07
Bid-YTW : 5.98 %
CM.PR.R FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 5.54 %
BAM.PF.I FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 22.96
Evaluated at bid price : 23.91
Bid-YTW : 5.41 %
MFC.PR.L FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.46
Bid-YTW : 8.46 %
BAM.PF.J FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 22.29
Evaluated at bid price : 22.85
Bid-YTW : 5.26 %
EMA.PR.F FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.79 %
BMO.PR.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 21.90
Evaluated at bid price : 22.20
Bid-YTW : 5.26 %
IFC.PR.F Deemed-Retractible 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.M FixedReset Disc 157,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 22.89
Evaluated at bid price : 24.30
Bid-YTW : 5.06 %
CM.PR.R FixedReset Disc 117,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 5.54 %
CM.PR.Y FixedReset Disc 103,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 22.77
Evaluated at bid price : 24.00
Bid-YTW : 5.20 %
RY.PR.Z FixedReset Disc 95,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.20 %
BAM.PR.K Floater 89,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 6.41 %
CM.PR.O FixedReset Disc 56,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 5.68 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Disc Quote: 18.90 – 19.92
Spot Rate : 1.0200
Average : 0.5758

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.56 %

HSE.PR.A FixedReset Disc Quote: 11.60 – 12.31
Spot Rate : 0.7100
Average : 0.4028

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 6.57 %

GWO.PR.N FixedReset Ins Non Quote: 13.40 – 14.07
Spot Rate : 0.6700
Average : 0.4804

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 9.61 %

GWO.PR.R Deemed-Retractible Quote: 21.80 – 22.36
Spot Rate : 0.5600
Average : 0.3826

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 6.48 %

HSE.PR.E FixedReset Disc Quote: 19.84 – 20.34
Spot Rate : 0.5000
Average : 0.3364

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 6.29 %

BAM.PR.Z FixedReset Disc Quote: 18.02 – 18.55
Spot Rate : 0.5300
Average : 0.3880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-06
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.23 %

June 5, 2019

Wednesday, June 5th, 2019
rollercoaster_190605
Click for Big

It was a wild day, with new 52-week lows all over the place, but the cavalry arrived at 3:40pm to stave off disaster.

TXPR closed at 596.46, down 0.34% on the day after touching a new 52-week low of 593.67 (down 80bp). Volume was 3.12-million, the highest of the past thirty days.

txpr_190605
Click for Big

CPD closed at 11.915, down 0.46% on the day, after hitting a new 52-week low of 11.85. Volume of 231,500 was the second-highest of the past thirty days – eclipsed only by yesterday.

ZPR closed at 9.565, down 0.16% on the day, after hitting a new 52-week low of 9.47. Volume of 254,264 was the third-highest of the past thirty days, eclipsed only by yesterday and (just barely) May 31.

Five-year Canada yields were down 4bp to 1.30% today.

Bond strength (lowering yields) has been attributed to a poor US jobs outlook:

U.S. private employers added 27,000 jobs in May, well below economists’ expectations and the smallest monthly gain in more than nine years, a report by a payrolls processor showed on Wednesday.

Economists surveyed by Reuters had forecast the ADP National Employment Report would show a gain of 180,000 jobs, with estimates ranging from 123,000 to 230,000.

May’s increase was the smallest since March 2010.

PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.60%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 365bp, a sharp widening from the 345bp reported May 29.

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 -0.2577 % 1,973.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2577 % 3,620.8
Floater 5.95 % 6.38 % 62,668 13.25 3 -0.2577 % 2,086.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0343 % 3,302.7
SplitShare 4.72 % 4.77 % 77,242 4.25 7 0.0343 % 3,944.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0343 % 3,077.4
Perpetual-Premium 5.64 % -6.52 % 78,012 0.08 7 0.0113 % 2,929.6
Perpetual-Discount 5.52 % 5.59 % 71,805 14.43 26 -0.2569 % 3,051.0
FixedReset Disc 5.57 % 5.44 % 174,848 14.67 70 -0.1004 % 2,045.0
Deemed-Retractible 5.34 % 6.12 % 95,867 8.05 27 -0.2751 % 3,041.7
FloatingReset 4.11 % 4.99 % 50,818 2.54 4 -0.2117 % 2,335.4
FixedReset Prem 5.15 % 4.05 % 223,247 1.88 16 0.5079 % 2,562.1
FixedReset Bank Non 2.00 % 4.54 % 162,651 2.56 3 0.2396 % 2,617.0
FixedReset Ins Non 5.35 % 7.60 % 102,879 8.17 22 0.0732 % 2,130.2
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 6.19 %
RY.PR.Z FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.16 %
RY.PR.H FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 5.29 %
BMO.PR.S FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.40 %
MFC.PR.I FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.88
Bid-YTW : 7.69 %
NA.PR.E FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.49 %
CU.PR.F Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.54 %
BIP.PR.D FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.02 %
MFC.PR.L FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.28
Bid-YTW : 8.59 %
SLF.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 : 18.46
Bid-YTW : 7.62 %
CM.PR.S FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 5.34 %
POW.PR.B Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 23.26
Evaluated at bid price : 23.56
Bid-YTW : 5.76 %
TRP.PR.E FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.95 %
NA.PR.S FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 5.73 %
PWF.PR.F Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 5.71 %
BAM.PF.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 15.77
Evaluated at bid price : 15.77
Bid-YTW : 6.36 %
EMA.PR.F FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.86 %
IAF.PR.I FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 6.68 %
MFC.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 : 18.80
Bid-YTW : 7.60 %
CU.PR.I FixedReset Prem 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.82 %
BAM.PF.H FixedReset Prem 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.28 %
TD.PF.H FixedReset Prem 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.23 %
TRP.PR.D FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 16.39
Evaluated at bid price : 16.39
Bid-YTW : 5.85 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.61
Bid-YTW : 9.64 %
RY.PR.M FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 5.38 %
CM.PR.R FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.47 %
MFC.PR.M FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.41
Bid-YTW : 8.03 %
TRP.PR.A FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.99 %
IAF.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 : 20.59
Bid-YTW : 6.36 %
BMO.PR.D FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.33 %
IFC.PR.C FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.24
Bid-YTW : 7.71 %
IFC.PR.A FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.96
Bid-YTW : 9.38 %
BIP.PR.F FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.20 %
SLF.PR.H FixedReset Ins Non 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.79
Bid-YTW : 8.72 %
NA.PR.G FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 5.29 %
BAM.PF.J FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 22.13
Evaluated at bid price : 22.60
Bid-YTW : 5.32 %
GWO.PR.N FixedReset Ins Non 2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 9.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 203,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.23 %
TD.PF.M FixedReset Disc 173,410 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 22.99
Evaluated at bid price : 24.54
Bid-YTW : 5.00 %
CM.PR.Y FixedReset Disc 133,615 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 22.86
Evaluated at bid price : 24.22
Bid-YTW : 5.14 %
BAM.PR.K Floater 111,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 11.03
Evaluated at bid price : 11.03
Bid-YTW : 6.39 %
BMO.PR.T FixedReset Disc 92,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.39 %
PWF.PR.L Perpetual-Discount 80,087 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 22.40
Evaluated at bid price : 22.66
Bid-YTW : 5.69 %
There were 63 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.D Perpetual-Discount Quote: 20.60 – 21.20
Spot Rate : 0.6000
Average : 0.3701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.07 %

MFC.PR.K FixedReset Ins Non Quote: 18.42 – 19.09
Spot Rate : 0.6700
Average : 0.4605

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.42
Bid-YTW : 7.65 %

BMO.PR.C FixedReset Disc Quote: 21.94 – 22.40
Spot Rate : 0.4600
Average : 0.2788

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 21.55
Evaluated at bid price : 21.94
Bid-YTW : 5.32 %

BAM.PF.E FixedReset Disc Quote: 15.77 – 16.18
Spot Rate : 0.4100
Average : 0.2456

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 15.77
Evaluated at bid price : 15.77
Bid-YTW : 6.36 %

TD.PF.L FixedReset Disc Quote: 24.47 – 24.90
Spot Rate : 0.4300
Average : 0.2674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-05
Maturity Price : 22.98
Evaluated at bid price : 24.47
Bid-YTW : 4.85 %

GWO.PR.Q Deemed-Retractible Quote: 22.85 – 23.26
Spot Rate : 0.4100
Average : 0.2717

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.26 %

June 4, 2019

Tuesday, June 4th, 2019
explosion_190604
Click for Big

TXPR closed at 598.47, down 0.63% on the day. Volume was 2.39-million, high but nothing special in the context of the past thirty days.

txpr_190604
Click for Big

A mid-afternoon wave of selling changed a sub-par day into a bad one. Note that TXPR’s 52-week low is 596.56 – that’s not too far off!

CPD closed at 11.97, down 0.25% on the day. Volume of 351,301 was by far the highest of the past thirty days – second place belongs to May 13 with 168,630.

ZPR closed at 9.58, down 0.62% on the day, hitting a new 52-week low. Volume of 261,689 was the highest of the past thirty days, edging May 31 and its volume of 254,910

Five-year Canada yields were up 5bp to 1.34% today, but the increase didn’t help the Canadian preferred share market! Where are the GIC refugees?

Meanwhile, Powell suggested policy rates might ease:

The Federal Reserve chairman, Jerome H. Powell, said on Tuesday that the central bank was prepared to act to sustain the economic expansion if President Trump’s trade war weakened the economy. His remarks sent stocks soaring as investors predicted a cut in interest rates.

“We do not know how or when these issues will be resolved,” Mr. Powell said of the United States’ trade disputes with Mexico, China and other nations. “We are closely monitoring the implications of these developments for the U.S. economic outlook and, as always, we will act as appropriate to sustain the expansion, with a strong labor market and inflation near our symmetric 2 percent objective.”

Mr. Powell did not explicitly say that the Fed would cut interest rates, but his comments sent a signal that the central bank was watching Mr. Trump’s trade wars warily, ready to fend off any economic damage. While the Fed has been closely monitoring the effects of Mr. Trump’s trade war on the economy, Mr. Powell’s comments were his first since the president escalated his dispute by threatening tariffs on all Mexican goods.

The rebound in stock markets coaxed some investors out of the safety of government bonds, pushing prices down and yields — which move in the opposite direction — up. The rise in yields reversed some of a sharp decline in recent days that had reflected growing investor concern about the outlook for economic growth and inflation. The yield on the 10-year Treasury note was 2.12 percent at 3 p.m., according to Bloomberg data.

But in signaling that it is prepared to limit economic damage from the trade war, the Fed could perpetuate the feedback loop that has developed among financial markets, the central bank and Mr. Trump — and could embolden the president to continue his fight.

Bullard of the St. Louis Fed said much the same thing yesterday.

However, Senate Republicans took up a collection today and were able to scrape together a pair of balls:

Mr. Trump’s latest threat — 5 percent tariffs on all goods imported from Mexico, rising to as high as 25 percent until the Mexican government stems the flow of migrants — has riled Republican senators who fear its impact on the economy and their home states. They emerged from a closed-door lunch in the Capitol angered by the briefing they received from a deputy White House counsel, Patrick F. Philbin, and Assistant Attorney General Steven A. Engel on the legal basis for imposing new tariffs by declaring a national emergency.

Senator Ron Johnson, Republican of Wisconsin, said he warned the lawyers that the Senate could muster an overwhelming majority to beat back the tariffs, even if Mr. Trump were to veto a resolution disapproving them. Republicans may be broadly supportive of Mr. Trump’s push to build a wall and secure the border, he said, but they are almost uniformly opposed to the imposition of tariffs on Mexico.

There was some good drone news today:

Shares of Drone Delivery Canada Corp. surged as much as 18 per cent in trading Tuesday after the company announced a 10-year contract with Air Canada that sees the cargo division of the country’s largest airline market and sell the Toronto-based company’s drone delivery services in Canada.

Analysts and investors say the agreement adds credibility to the pre-revenue startup company, known as DDC, which has developed a system for autonomous cargo delivery through unmanned aerial vehicles, known as drones.

I want to order pizza at 4am and I want to do it yesterday!

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 0.4025 % 1,978.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4025 % 3,630.2
Floater 5.94 % 6.38 % 58,161 13.26 3 0.4025 % 2,092.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0228 % 3,301.6
SplitShare 4.72 % 4.77 % 77,489 4.26 7 0.0228 % 3,942.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0228 % 3,076.3
Perpetual-Premium 5.64 % -3.91 % 78,680 0.08 7 -0.0169 % 2,929.2
Perpetual-Discount 5.51 % 5.57 % 70,365 14.47 26 -0.0743 % 3,058.9
FixedReset Disc 5.56 % 5.44 % 170,684 14.68 70 -0.7970 % 2,047.0
Deemed-Retractible 5.32 % 6.07 % 95,225 8.06 27 -0.2632 % 3,050.1
FloatingReset 4.10 % 4.88 % 47,069 2.54 4 -0.1189 % 2,340.3
FixedReset Prem 5.17 % 4.54 % 224,302 1.88 16 -0.1372 % 2,549.2
FixedReset Bank Non 2.00 % 4.56 % 159,849 2.57 3 -0.3372 % 2,610.7
FixedReset Ins Non 5.35 % 7.46 % 102,842 8.18 22 -0.7486 % 2,128.7
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset Ins Non -2.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.20
Bid-YTW : 8.17 %
EMA.PR.F FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 5.79 %
RY.PR.M FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.44 %
BAM.PF.G FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 6.40 %
BAM.PR.T FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.38 %
BMO.PR.Y FixedReset Disc -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.44 %
SLF.PR.H FixedReset Ins Non -2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.56
Bid-YTW : 8.89 %
BMO.PR.C FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 5.32 %
SLF.PR.G FixedReset Ins Non -2.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.46
Bid-YTW : 9.77 %
BAM.PR.R FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 6.33 %
CU.PR.C FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.55 %
BAM.PR.Z FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 6.17 %
BIP.PR.A FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.62 %
MFC.PR.L FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.51
Bid-YTW : 8.42 %
TRP.PR.E FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.88 %
TD.PF.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.34 %
BAM.PF.B FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 6.04 %
BAM.PR.X FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 6.09 %
CM.PR.Q FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.61 %
BIP.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 23.23
Evaluated at bid price : 24.30
Bid-YTW : 6.03 %
TD.PF.D FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.31 %
TRP.PR.G FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.02 %
SLF.PR.I FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.46 %
SLF.PR.C Deemed-Retractible -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.26
Bid-YTW : 7.00 %
RY.PR.J FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.41 %
BAM.PF.E FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 6.28 %
MFC.PR.N FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.85
Bid-YTW : 8.36 %
TRP.PR.K FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 23.24
Evaluated at bid price : 24.61
Bid-YTW : 5.19 %
GWO.PR.N FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.70
Bid-YTW : 9.34 %
BAM.PF.J FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 21.82
Evaluated at bid price : 22.15
Bid-YTW : 5.44 %
IAF.PR.B Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.31
Bid-YTW : 6.54 %
TRP.PR.A FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 6.06 %
MFC.PR.G FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.99
Bid-YTW : 7.47 %
BMO.PR.S FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 5.31 %
TRP.PR.C FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 12.33
Evaluated at bid price : 12.33
Bid-YTW : 5.81 %
POW.PR.A Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.77 %
CM.PR.O FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 5.58 %
TD.PF.B FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.34 %
POW.PR.B Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 23.59
Evaluated at bid price : 23.86
Bid-YTW : 5.68 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.Y FixedReset Disc 1,022,019 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 22.92
Evaluated at bid price : 24.37
Bid-YTW : 5.10 %
TD.PF.M FixedReset Disc 680,093 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 23.05
Evaluated at bid price : 24.70
Bid-YTW : 4.96 %
HSE.PR.A FixedReset Disc 129,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 6.20 %
SLF.PR.A Deemed-Retractible 88,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 6.59 %
BAM.PR.K Floater 72,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 11.03
Evaluated at bid price : 11.03
Bid-YTW : 6.39 %
RY.PR.Z FixedReset Disc 47,617 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 5.06 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 17.20 – 17.74
Spot Rate : 0.5400
Average : 0.3557

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.20
Bid-YTW : 8.17 %

BAM.PR.Z FixedReset Disc Quote: 18.17 – 18.74
Spot Rate : 0.5700
Average : 0.3995

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 6.17 %

SLF.PR.H FixedReset Ins Non Quote: 15.56 – 15.98
Spot Rate : 0.4200
Average : 0.2860

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.56
Bid-YTW : 8.89 %

BAM.PR.T FixedReset Disc Quote: 14.50 – 14.89
Spot Rate : 0.3900
Average : 0.2585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.38 %

EMA.PR.F FixedReset Disc Quote: 17.39 – 17.90
Spot Rate : 0.5100
Average : 0.3898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 5.79 %

TRP.PR.K FixedReset Disc Quote: 24.61 – 24.89
Spot Rate : 0.2800
Average : 0.1645

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 23.24
Evaluated at bid price : 24.61
Bid-YTW : 5.19 %

June 3, 2019

Monday, June 3rd, 2019

James Bullard of the St. Louis Fed gave an exciting presentation today:

KEY THEMES
  • • Global trade disputes may be more protracted and more difficult to resolve than previously envisioned.
  • • The U.S. economy is expected to grow more slowly in 2019.
  • • Inflation expectations appear to be too low to be consistent with the inflation target of the Federal Open Market Committee (FOMC).
  • • The Treasury yield curve has moved more decisively toward inversion.
  • • These considerations suggest a downward adjustment in the policy rate—the federal funds rate target range—may be warranted soon.

The New York Times reported:

The broader S&P 500 index was down slightly, but investors remained watchful of developments on the trade front, after stocks suffered their sharpest monthly decline this year in May with a 6.6 percent drop. That nervousness lingered in the bond market Monday, with the yield on 10-year Treasury bonds falling, suggesting that investors increasingly believe trade tensions could hinder world economic growth.

But stocks were bolstered in part by rising expectations that the Federal Reserve could start cutting interest rates in response to the rising trade tensions. In a prepared statement, St. Louis Federal Reserve President James Bullard on Monday said lower Fed rates “may be warranted soon.”

The five-year Canada yield dropped 7bp to 1.29%, which caused some late-afternoon weakness in the Canadian preferred share market.

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 -0.3724 % 1,970.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3724 % 3,615.6
Floater 5.96 % 6.39 % 53,982 13.24 3 -0.3724 % 2,083.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0171 % 3,300.9
SplitShare 4.72 % 4.75 % 76,871 4.26 7 -0.0171 % 3,941.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0171 % 3,075.6
Perpetual-Premium 5.64 % -4.83 % 79,619 0.08 7 -0.0620 % 2,929.7
Perpetual-Discount 5.50 % 5.60 % 71,495 14.42 26 -0.1955 % 3,061.2
FixedReset Disc 5.54 % 5.43 % 168,597 14.67 68 -0.3189 % 2,063.5
Deemed-Retractible 5.31 % 6.04 % 94,907 8.07 27 -0.0289 % 3,058.1
FloatingReset 4.09 % 5.01 % 46,727 2.55 4 0.0264 % 2,343.1
FixedReset Prem 5.17 % 4.47 % 225,537 1.88 16 -0.1883 % 2,552.7
FixedReset Bank Non 2.00 % 4.38 % 148,064 2.57 3 0.0000 % 2,619.6
FixedReset Ins Non 5.31 % 7.33 % 104,376 8.19 22 -0.6499 % 2,144.7
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -3.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.86
Bid-YTW : 9.20 %
CU.PR.C FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.43 %
MFC.PR.K FixedReset Ins Non -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 7.68 %
NA.PR.G FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 5.43 %
CM.PR.O FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.64 %
TRP.PR.B FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 5.87 %
TD.PF.B FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 5.39 %
MFC.PR.H FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 7.12 %
PWF.PR.Z Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 22.69
Evaluated at bid price : 22.97
Bid-YTW : 5.66 %
TD.PF.C FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 5.35 %
PWF.PR.E Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 24.18
Evaluated at bid price : 24.44
Bid-YTW : 5.69 %
EML.PR.A FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 5.10 %
TRP.PR.G FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.94 %
BAM.PR.B Floater -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 11.02
Evaluated at bid price : 11.02
Bid-YTW : 6.39 %
CU.PR.H Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 23.53
Evaluated at bid price : 24.00
Bid-YTW : 5.48 %
TRP.PR.D FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 5.87 %
PVS.PR.G SplitShare -1.00 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.10 %
TRP.PR.K FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.09 %
BMO.PR.S FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 141,469 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.25 %
HSE.PR.A FixedReset Disc 126,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 6.20 %
RY.PR.J FixedReset Disc 110,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.34 %
RY.PR.A Deemed-Retractible 100,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-07-03
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -1.84 %
SLF.PR.E Deemed-Retractible 52,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.49
Bid-YTW : 6.91 %
PWF.PR.L Perpetual-Discount 51,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 5.68 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.G SplitShare Quote: 24.75 – 25.05
Spot Rate : 0.3000
Average : 0.1817

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.10 %

EML.PR.A FixedReset Ins Non Quote: 25.48 – 25.80
Spot Rate : 0.3200
Average : 0.2024

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 5.10 %

BAM.PF.I FixedReset Disc Quote: 23.66 – 23.94
Spot Rate : 0.2800
Average : 0.1734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-03
Maturity Price : 22.83
Evaluated at bid price : 23.66
Bid-YTW : 5.47 %

MFC.PR.K FixedReset Ins Non Quote: 18.36 – 18.70
Spot Rate : 0.3400
Average : 0.2427

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 7.68 %

MFC.PR.H FixedReset Ins Non Quote: 20.05 – 20.39
Spot Rate : 0.3400
Average : 0.2427

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 7.12 %

GWO.PR.N FixedReset Ins Non Quote: 13.86 – 14.20
Spot Rate : 0.3400
Average : 0.2447

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.86
Bid-YTW : 9.20 %

May 31, 2019

Friday, May 31st, 2019

Click for Big

TXPR closed at 604.01, down 0.72% on the day. Volume was 2.29-million, on the high side but nothing special in the context of the past thirty days. The low for the day was 601.96, down 1.06%, but the market commenced a slow (and feeble!) recovery just before 2pm.

txpr_190531
Click for Big

Note that TXPR’s 52-week low is 596.56 – that’s not too far off!

CPD closed at 12.10, down 0.74% on the day. Volume of 78,406 was slightly above average in the context of the past thirty days.

ZPR closed at 9.73, down 1.02% on the day, after hitting a new 52-week low of 9.65. Volume of 254,914 was the highest of the past thirty days.

Five-year Canada yields were down 9bp to 1.36% today, enough to be considered a glib explanation for the preferred market carnage … although I confess that it still doesn’t make any sense to me why spreads should widen as yields decline! Where are the GIC refugees?

The shambles included the equity markets:

Then the tweets on trade began. In early May, President Trump threatened new tariffs on Chinese products, shattering the calm as markets began a tailspin that was capped with a 1.3 percent drop for the S&P 500 on Friday.

The benchmark index ended May down 6.6 percent, its first monthly decline of the year and its worst drop since an ugly sell-off at the end of 2018.

The decline on Friday came after President Trump tweeted that he would impose a new tariff on all imports from Mexico — a tax that could rise to as high as 25 percent — unless the country’s government took steps to address the flow of migrants across the United States’ border, and Beijing announced plans to unveil a blacklist of foreign companies and people. China’s move was seen as a retaliation against the Trump administration’s efforts to deny American technology to Chinese companies.

Earlier this month, the White House issued an order effectively barring sales by Huawei, China’s leading networking company, broadening the conflict away from trade deficits and toward the difficult-to-resolve issues of technological dominance.

Investors worldwide responded by pricing in the growing economic cost to the fight. Stock markets in trade-dependent economies such as Japan, South Korea and Germany also saw steep losses in May.

On Friday, the drop in American stocks was sweeping: Investors dumped industrial and machinery stocks, shares of consumer products companies, and those of giant tech companies.

To a certain extent, those low yields are pricing in growing expectations that the Federal Reserve will cut interest rates. According to the market for Fed Funds futures, traders are putting roughly 90 percent odds on the Fed cutting interest rates by the end of the year, up from about 38 percent in the middle of April.

Some might consider it strange hubris for Trump to continue shaking his fist at logical allies while locked in a trade war with China – but I don’t consider it out of character at all. By me, he doesn’t care if it’s good policy; he doesn’t care if he can credibly claim a win after the dust has settled; he doesn’t care about the risks to the US economy. His base is convinced that the rest of the world is engaged in constant plotting to take away what is rightfully theirs, and they want a guy who will fight. So he fights. And, if he gets it right, the 29.1% of the voters who select him will outnumber the 28.9% of voters who don’t. That’s all that matters – and he’s proved himself to be a very astute counter of votes in the past.

That’s the dark side of the matter for those poseurs who proclaim their cynicism by not voting. Campaigns cease to be about swinging the undecided and become solely a matter of motivating your base.

There was a great big stack of new 52-week lows set for individual issues today, so the ‘new lows’ section of the newspaper should make for interesting reading!

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 -3.0278 % 1,977.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.0278 % 3,629.1
Floater 5.94 % 6.31 % 54,266 13.35 3 -3.0278 % 2,091.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0285 % 3,301.4
SplitShare 4.72 % 4.76 % 77,422 4.27 7 -0.0285 % 3,942.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0285 % 3,076.2
Perpetual-Premium 5.57 % 4.99 % 82,591 14.27 12 -0.0398 % 2,931.6
Perpetual-Discount 5.50 % 5.52 % 72,027 14.61 20 -0.3802 % 3,067.2
FixedReset Disc 5.55 % 5.60 % 162,900 14.48 63 -1.1818 % 2,070.1
Deemed-Retractible 5.31 % 6.00 % 98,405 8.08 27 -0.3182 % 3,059.0
FloatingReset 4.09 % 4.91 % 48,558 2.55 4 -1.1757 % 2,342.5
FixedReset Prem 5.18 % 4.49 % 228,726 2.10 21 -0.7163 % 2,557.5
FixedReset Bank Non 2.00 % 4.50 % 137,125 2.57 3 -0.7252 % 2,619.6
FixedReset Ins Non 5.28 % 7.32 % 107,957 8.18 22 -0.9678 % 2,158.8
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 6.39 %
TRP.PR.B FixedReset Disc -3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 11.29
Evaluated at bid price : 11.29
Bid-YTW : 6.09 %
BNS.PR.I FixedReset Disc -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 21.29
Evaluated at bid price : 21.57
Bid-YTW : 4.87 %
TRP.PR.C FixedReset Disc -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 6.02 %
TD.PF.A FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 17.14
Evaluated at bid price : 17.14
Bid-YTW : 5.53 %
BIP.PR.A FixedReset Disc -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.63 %
BAM.PR.B Floater -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 6.31 %
TRP.PR.F FloatingReset -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 13.59
Evaluated at bid price : 13.59
Bid-YTW : 6.62 %
BMO.PR.C FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 22.05
Evaluated at bid price : 22.40
Bid-YTW : 5.35 %
BIP.PR.D FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 6.00 %
BMO.PR.W FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.60 %
MFC.PR.G FixedReset Ins Non -2.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.37
Bid-YTW : 7.34 %
SLF.PR.H FixedReset Ins Non -2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 8.69 %
BAM.PR.R FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 14.64
Evaluated at bid price : 14.64
Bid-YTW : 6.43 %
NA.PR.C FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.77 %
MFC.PR.I FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.33
Bid-YTW : 7.49 %
RY.PR.J FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.54 %
TD.PF.B FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 5.52 %
CM.PR.Q FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.68 %
MFC.PR.Q FixedReset Ins Non -2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 7.27 %
BAM.PR.X FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 12.94
Evaluated at bid price : 12.94
Bid-YTW : 6.28 %
TRP.PR.A FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 6.23 %
PWF.PR.A Floater -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 5.47 %
BMO.PR.S FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 5.52 %
RY.PR.S FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 5.00 %
SLF.PR.D Deemed-Retractible -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.31
Bid-YTW : 6.96 %
TRP.PR.G FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 6.05 %
BAM.PF.G FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 6.41 %
NA.PR.S FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.73 %
RY.PR.Z FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.28 %
TD.PF.J FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.42 %
CU.PR.E Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 22.03
Evaluated at bid price : 22.27
Bid-YTW : 5.52 %
BAM.PR.T FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 6.46 %
CM.PR.O FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 5.77 %
CM.PR.R FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.63 %
TD.PF.I FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.28 %
IAF.PR.G FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.42
Bid-YTW : 6.56 %
TD.PF.C FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.49 %
BAM.PF.E FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.45 %
BMO.PR.B FixedReset Prem -1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.49 %
BAM.PR.Z FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 6.25 %
BAM.PF.J FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 21.99
Evaluated at bid price : 22.40
Bid-YTW : 5.37 %
MFC.PR.M FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.80
Bid-YTW : 7.92 %
IAF.PR.I FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.65 %
MFC.PR.J FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.62
Bid-YTW : 7.32 %
SLF.PR.J FloatingReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.95
Bid-YTW : 9.86 %
PWF.PR.F Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 5.64 %
BAM.PF.H FixedReset Prem -1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.57 %
NA.PR.W FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 16.43
Evaluated at bid price : 16.43
Bid-YTW : 5.77 %
BNS.PR.H FixedReset Prem -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.59 %
RY.PR.H FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.41 %
SLF.PR.C Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.84 %
TD.PF.D FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 5.42 %
TRP.PR.D FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.97 %
CU.PR.I FixedReset Prem -1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.09 %
BNS.PR.F FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 4.91 %
MFC.PR.N FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.11
Bid-YTW : 8.33 %
PWF.PR.P FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 13.12
Evaluated at bid price : 13.12
Bid-YTW : 5.81 %
BMO.PR.D FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.45 %
SLF.PR.G FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.63
Bid-YTW : 9.80 %
MFC.PR.H FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 7.05 %
MFC.PR.K FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.54 %
BMO.PR.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 5.23 %
SLF.PR.I FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.31 %
CM.PR.S FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.37 %
GWO.PR.T Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.26
Bid-YTW : 6.03 %
W.PR.K FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.92 %
CM.PR.T FixedReset Prem -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 23.01
Evaluated at bid price : 24.55
Bid-YTW : 4.98 %
TRP.PR.K FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 23.25
Evaluated at bid price : 24.65
Bid-YTW : 5.30 %
BNS.PR.Z FixedReset Bank Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 4.50 %
IFC.PR.E Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.91 %
BIP.PR.F FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.28 %
CM.PR.P FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 5.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSE.PR.A FixedReset Disc 117,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 6.46 %
BMO.PR.T FixedReset Disc 95,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 5.57 %
HSE.PR.C FixedReset Disc 57,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.61 %
RY.PR.J FixedReset Disc 53,816 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.54 %
RY.PR.S FixedReset Disc 51,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 5.00 %
RY.PR.M FixedReset Disc 51,105 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.47 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Disc Quote: 12.30 – 12.84
Spot Rate : 0.5400
Average : 0.3356

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 6.46 %

HSE.PR.C FixedReset Disc Quote: 17.85 – 18.27
Spot Rate : 0.4200
Average : 0.2404

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.61 %

CM.PR.Q FixedReset Disc Quote: 18.86 – 19.36
Spot Rate : 0.5000
Average : 0.3214

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.68 %

CU.PR.E Perpetual-Discount Quote: 22.27 – 22.76
Spot Rate : 0.4900
Average : 0.3290

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 22.03
Evaluated at bid price : 22.27
Bid-YTW : 5.52 %

TRP.PR.G FixedReset Disc Quote: 18.32 – 18.70
Spot Rate : 0.3800
Average : 0.2259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-31
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 6.05 %

IAF.PR.I FixedReset Ins Non Quote: 20.90 – 21.35
Spot Rate : 0.4500
Average : 0.3057

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.65 %

May 30, 2019

Thursday, May 30th, 2019
explosion_190530
Click for Big

TXPR closed at 608.40, down 0.88% on the day. Volume was 2.38-million, on the high side but nothing special in the context of the past thirty days.

CPD closed at 12.19, down 0.45% on the day. Volume of 85,182 was slightly above average in the context of the past thirty days.

ZPR closed at 9.83, down 0.41% on the day. Volume of 142,697 was above average in the context of the past thirty days.

Five-year Canada yields were up, down 2bp to 1.45% today, but that’s not sufficient to be considered a glib explanation. Wait … it’s near month end! Window-dressing! That’s glib! Window-dressing!

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 0.1669 % 2,039.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1669 % 3,742.4
Floater 5.76 % 6.12 % 53,094 13.64 3 0.1669 % 2,156.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1171 % 3,302.4
SplitShare 4.72 % 4.79 % 77,875 4.27 7 -0.1171 % 3,943.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1171 % 3,077.0
Perpetual-Premium 5.56 % 4.95 % 83,547 14.21 12 -0.4786 % 2,932.7
Perpetual-Discount 5.48 % 5.50 % 72,876 14.62 20 -0.6143 % 3,078.9
FixedReset Disc 5.49 % 5.52 % 151,153 14.56 63 -0.8340 % 2,094.8
Deemed-Retractible 5.29 % 5.98 % 93,315 8.10 27 -0.4832 % 3,068.8
FloatingReset 4.05 % 4.44 % 49,013 2.56 4 -0.8557 % 2,370.3
FixedReset Prem 5.14 % 4.19 % 230,852 2.10 21 -0.1675 % 2,576.0
FixedReset Bank Non 1.98 % 4.10 % 137,586 2.58 3 -0.1115 % 2,638.7
FixedReset Ins Non 5.23 % 7.18 % 105,457 8.18 22 -0.7460 % 2,179.8
Performance Highlights
Issue Index Change Notes
CM.PR.P FixedReset Disc -4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.83 %
PWF.PR.P FixedReset Disc -3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 13.27
Evaluated at bid price : 13.27
Bid-YTW : 5.74 %
TRP.PR.F FloatingReset -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 6.42 %
TRP.PR.A FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.10 %
RY.PR.H FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 5.34 %
BAM.PF.F FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.43 %
BAM.PR.X FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 6.15 %
TD.PF.E FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.36 %
TD.PF.D FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.36 %
TD.PF.J FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.32 %
IAF.PR.I FixedReset Ins Non -2.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 6.46 %
BAM.PR.Z FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.15 %
TD.PF.K FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.40 %
MFC.PR.H FixedReset Ins Non -2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.57
Bid-YTW : 6.91 %
IFC.PR.G FixedReset Ins Non -2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 7.32 %
BAM.PF.C Perpetual-Discount -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.09 %
SLF.PR.G FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.78
Bid-YTW : 9.67 %
RY.PR.M FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.43 %
SLF.PR.E Deemed-Retractible -1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.62
Bid-YTW : 6.82 %
RY.PR.Z FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 5.19 %
SLF.PR.J FloatingReset -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.15
Bid-YTW : 9.68 %
CM.PR.O FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 5.67 %
BAM.PF.D Perpetual-Discount -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.94 %
IFC.PR.E Deemed-Retractible -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 6.04 %
BAM.PR.N Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.02 %
PWF.PR.L Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.62 %
NA.PR.C FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.63 %
BMO.PR.E FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.18 %
POW.PR.A Perpetual-Premium -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 24.44
Evaluated at bid price : 24.68
Bid-YTW : 5.75 %
TD.PF.I FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 21.64
Evaluated at bid price : 21.90
Bid-YTW : 5.19 %
IFC.PR.A FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.05
Bid-YTW : 9.40 %
SLF.PR.D Deemed-Retractible -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.68
Bid-YTW : 6.73 %
BMO.PR.C FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 22.45
Evaluated at bid price : 23.01
Bid-YTW : 5.19 %
BMO.PR.T FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.54 %
TRP.PR.K FixedReset Prem -1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.07 %
SLF.PR.H FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.36
Bid-YTW : 8.41 %
MFC.PR.J FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.91
Bid-YTW : 7.13 %
NA.PR.W FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 5.69 %
BAM.PR.M Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.00 %
SLF.PR.A Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.29 %
IFC.PR.F Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 6.07 %
GWO.PR.N FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 8.82 %
RY.PR.S FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.91 %
TRP.PR.G FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.94 %
BAM.PR.K Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.12 %
BAM.PR.R FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 6.29 %
BMO.PR.Y FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.40 %
HSE.PR.A FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 6.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.B FixedReset Disc 194,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 11.71
Evaluated at bid price : 11.71
Bid-YTW : 5.87 %
BMO.PR.F FixedReset Prem 151,613 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 23.17
Evaluated at bid price : 25.01
Bid-YTW : 4.99 %
TD.PF.A FixedReset Disc 109,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.35 %
MFC.PR.Q FixedReset Ins Non 106,257 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 7.01 %
CM.PR.T FixedReset Prem 87,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 23.10
Evaluated at bid price : 24.80
Bid-YTW : 4.92 %
TD.PF.H FixedReset Prem 81,667 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.91 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.K FixedReset Disc Quote: 20.01 – 20.52
Spot Rate : 0.5100
Average : 0.2996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.40 %

BAM.PF.C Perpetual-Discount Quote: 20.30 – 20.79
Spot Rate : 0.4900
Average : 0.3108

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-30
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.09 %

IFC.PR.F Deemed-Retractible Quote: 23.80 – 24.35
Spot Rate : 0.5500
Average : 0.3825

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 6.07 %

CCS.PR.C Deemed-Retractible Quote: 23.01 – 23.58
Spot Rate : 0.5700
Average : 0.4130

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 6.00 %

MFC.PR.L FixedReset Ins Non Quote: 17.10 – 17.44
Spot Rate : 0.3400
Average : 0.2061

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.10
Bid-YTW : 8.16 %

SLF.PR.E Deemed-Retractible Quote: 20.62 – 20.97
Spot Rate : 0.3500
Average : 0.2237

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.62
Bid-YTW : 6.82 %

May 29, 2019

Wednesday, May 29th, 2019

The BoC continued to hold today:

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 Canadian economic data are in line with the projections in the Bank’s April Monetary Policy Report (MPR), with accumulating evidence that the slowdown in late 2018 and early 2019 is being followed by a pickup starting in the second quarter. The oil sector is beginning to recover as production increases and prices remain above recent lows. Meanwhile, housing market indicators point to a more stable national market, albeit with continued weakness in some regions.

Continued strong job growth suggests that businesses see the weakness in the past two quarters as temporary. Recent data support a pickup in both consumer spending and exports in the second quarter, and it appears that overall growth in business investment has firmed. That said, inventories rose sharply in the first quarter, which may dampen production growth in coming months.

The global economy is also evolving largely as expected since April, although the recent escalation of trade conflicts is heightening uncertainty about economic prospects. In addition, trade restrictions introduced by China are having direct effects on Canadian exports. In contrast, the removal of steel and aluminum tariffs and increasing prospects for the ratification of CUSMA will have positive implications for Canadian exports and investment.

Inflation has evolved in line with the Bank’s April projection. The Bank expects CPI inflation to remain around the 2 per cent target in the coming months. Core inflation measures all remain close to 2 per cent.

Overall, recent data have reinforced Governing Council’s view that the slowdown in late 2018 and early 2019 was temporary, although global trade risks have increased. In this context, the degree of accommodation being provided by the current policy interest rate remains appropriate. In taking future policy decisions, Governing Council will remain data dependent and especially attentive to developments in household spending, oil markets and the global trade environment.

It’s too bad that the names of those voting in favour of the hold were not released and neither were the names and summarized rationales for those voting against. Only confident Central Banks with committees comprised of stellar people who can make a living doing something else publish such information.

The “global trade risks” mentioned in the final paragraph were blamed for today’s horrible equity performance:

Fears that an escalating trade war between the United States and China will slash global economic growth pulled world stock markets down to near two-and-a-half-month lows on Wednesday and continued to feed a rally in safe-haven government bonds.

German bond yields fell deeper into negative territory and inched toward record lows of minus 0.2 per cent. Ten-year U.S. Treasury note yields dropped to 20-month lows, having fallen almost 30 basis points this month.

Chinese newspapers warned on Wednesday that Beijing could use rare earths to strike back at the United States after U.S. President Donald Trump remarked he was “not yet ready” to make a deal with China over trade. China was the source of 80 per cent of the rare earths imported by the United States between 2014 and 2017.

The prospect of a prolonged standoff between the world’s two biggest economies and the likelihood of Europe and Japan getting dragged in have raised investor concerns about global growth.

Canada’s main stock index fell on Wednesday as the Bank of Canada held interest rates steady as expected.

The Toronto Stock Exchange’s S&P/TSX Composite index was unofficially down 165.99 points, or 1.02 per cent, at 16,131.47

On a brighter note, Candeal reported the 5-Year Canada yield unchanged at 1.47% today.

DBRS has been sold to Morningstar:

Canadian debt rating agency DBRS Ltd. is falling into the hands of U.S. investment research firm Morningstar Inc., marking its second ownership change in five years and the largest deal in Morningstar’s history.

Founded by Canadian Walter Schroeder and based in Toronto, DBRS was first sold in 2014 to two private equity firms, Carlyle Group and Warburg Pincus, for a reported US$500-million. Five years later, the private equity owners are selling DBRS to Morningstar for US$669-million.

Returns for the two private equity firms were not disclosed, and the sale price does not include any dividends that DBRS may have paid out over the past five years.

Carlyle and Warburg Pincus both declined to comment.

The Bank of Nova Scotia is redeeming some expensive Tier 1 Capital:

Scotiabank (BNS: TSX, NYSE) today announced that Scotiabank Tier 1 Trust, a closed-end trust wholly owned by The Bank of Nova Scotia, intends to redeem all outstanding 7.802% Scotiabank Tier 1 Securities – Series 2009-1 due June 30, 2108 (the “Scotia BaTS III Series 2009-1”) for 100% of their principal amount, together with accrued and unpaid interest to the redemption date. The redemption will occur on June 30, 2019. Formal notice will be delivered to Scotia BaTS III Series 2009-1 holders in accordance with the terms of the offering.

Scotia BaTS III Series 2009-1 constitute Additional Tier 1 capital of the Bank. The principal amount of Scotia BaTS III Series 2009-1 is currently $650,000,000. The redemption of the Scotia BaTS III Series 2009-1 will be financed out of the general funds of Scotiabank Tier 1 Trust.

PerpetualDiscounts now yield 5.48%, equivalent to 7.12% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.66%, 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 May 22.

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 -0.3328 % 2,036.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3328 % 3,736.2
Floater 5.77 % 6.11 % 55,116 13.64 3 -0.3328 % 2,153.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0171 % 3,306.2
SplitShare 4.70 % 4.70 % 77,215 4.27 7 -0.0171 % 3,948.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0171 % 3,080.7
Perpetual-Premium 5.54 % 4.91 % 84,270 1.81 12 0.0132 % 2,946.8
Perpetual-Discount 5.45 % 5.48 % 73,854 14.65 20 -0.0684 % 3,097.9
FixedReset Disc 5.43 % 5.50 % 151,928 14.68 63 -0.9017 % 2,112.5
Deemed-Retractible 5.23 % 5.87 % 97,023 8.00 27 0.0744 % 3,083.7
FloatingReset 4.00 % 4.44 % 46,665 2.56 4 -0.4504 % 2,390.8
FixedReset Prem 5.13 % 3.97 % 228,376 2.11 21 -0.0595 % 2,580.3
FixedReset Bank Non 1.98 % 4.06 % 138,893 2.58 3 -0.2501 % 2,641.6
FixedReset Ins Non 5.18 % 7.05 % 104,500 8.19 22 -0.6827 % 2,196.2
Performance Highlights
Issue Index Change Notes
SLF.PR.I FixedReset Ins Non -4.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.17
Bid-YTW : 7.26 %
BMO.PR.Y FixedReset Disc -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.49 %
BAM.PR.R FixedReset Disc -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 6.36 %
CM.PR.Q FixedReset Disc -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.56 %
NA.PR.G FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.40 %
RY.PR.J FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 5.42 %
CM.PR.S FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.30 %
BAM.PR.T FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 6.35 %
MFC.PR.I FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.79
Bid-YTW : 7.19 %
MFC.PR.N FixedReset Ins Non -2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.31
Bid-YTW : 8.18 %
SLF.PR.G FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.05
Bid-YTW : 9.43 %
BAM.PF.E FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.41 %
TD.PF.D FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 5.22 %
TD.PF.E FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.22 %
NA.PR.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.50 %
RY.PR.M FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 5.33 %
BAM.PF.F FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 6.25 %
TD.PF.I FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 21.87
Evaluated at bid price : 22.20
Bid-YTW : 5.11 %
TD.PF.A FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.34 %
BAM.PF.G FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 6.24 %
BMO.PR.S FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 5.39 %
TD.PF.C FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.36 %
BAM.PF.H FixedReset Prem -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.75 %
NA.PR.S FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 5.59 %
MFC.PR.J FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 6.99 %
TD.PF.J FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.19 %
EMA.PR.F FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.83 %
BIP.PR.F FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.31 %
BMO.PR.D FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 5.33 %
CU.PR.H Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 23.85
Evaluated at bid price : 24.30
Bid-YTW : 5.41 %
BAM.PR.K Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 11.38
Evaluated at bid price : 11.38
Bid-YTW : 6.18 %
BIP.PR.D FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 22.33
Evaluated at bid price : 22.80
Bid-YTW : 5.81 %
CM.PR.R FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 21.75
Evaluated at bid price : 22.01
Bid-YTW : 5.48 %
TD.PF.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.36 %
BMO.PR.C FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 22.62
Evaluated at bid price : 23.30
Bid-YTW : 5.12 %
TRP.PR.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.92 %
IFC.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 : 20.41
Bid-YTW : 7.05 %
TD.PF.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 5.27 %
EIT.PR.B SplitShare 1.01 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.70 %
HSE.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.63 %
BIK.PR.A FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 5.31 %
HSE.PR.G FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.51 %
IAF.PR.I FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.03
Bid-YTW : 6.16 %
GWO.PR.S Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.75 %
PWF.PR.T FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.41 %
HSE.PR.E FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.B FixedReset Disc 170,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 5.88 %
CU.PR.D Perpetual-Discount 160,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 22.31
Evaluated at bid price : 22.66
Bid-YTW : 5.42 %
CU.PR.H Perpetual-Discount 111,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 23.85
Evaluated at bid price : 24.30
Bid-YTW : 5.41 %
TRP.PR.C FixedReset Disc 106,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 5.84 %
BMO.PR.F FixedReset Prem 73,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 23.18
Evaluated at bid price : 25.05
Bid-YTW : 4.98 %
HSE.PR.C FixedReset Disc 48,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.63 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 19.17 – 19.95
Spot Rate : 0.7800
Average : 0.4711

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.17
Bid-YTW : 7.26 %

NA.PR.G FixedReset Disc Quote: 20.76 – 21.34
Spot Rate : 0.5800
Average : 0.3969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.40 %

PWF.PR.A Floater Quote: 13.06 – 13.62
Spot Rate : 0.5600
Average : 0.4182

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 13.06
Evaluated at bid price : 13.06
Bid-YTW : 5.34 %

BAM.PR.R FixedReset Disc Quote: 14.80 – 15.16
Spot Rate : 0.3600
Average : 0.2435

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 6.36 %

SLF.PR.G FixedReset Ins Non Quote: 14.05 – 14.46
Spot Rate : 0.4100
Average : 0.3076

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.05
Bid-YTW : 9.43 %

CU.PR.C FixedReset Disc Quote: 17.60 – 17.99
Spot Rate : 0.3900
Average : 0.2925

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-29
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.45 %

May 28, 2019

Tuesday, May 28th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.6098 % 2,042.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6098 % 3,748.7
Floater 5.75 % 6.10 % 53,780 13.66 3 -1.6098 % 2,160.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0741 % 3,306.8
SplitShare 4.70 % 4.71 % 78,060 4.27 7 0.0741 % 3,949.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0741 % 3,081.2
Perpetual-Premium 5.54 % 4.93 % 83,517 1.81 12 -0.1352 % 2,946.4
Perpetual-Discount 5.44 % 5.48 % 72,316 14.65 20 -0.1367 % 3,100.0
FixedReset Disc 5.39 % 5.43 % 151,171 14.81 63 -0.4282 % 2,131.7
Deemed-Retractible 5.23 % 5.89 % 96,312 8.00 27 0.0544 % 3,081.4
FloatingReset 3.99 % 4.43 % 48,400 2.56 4 -0.3167 % 2,401.6
FixedReset Prem 5.12 % 3.85 % 229,531 2.08 21 -0.0390 % 2,581.8
FixedReset Bank Non 1.98 % 4.01 % 140,313 2.58 3 0.0695 % 2,648.3
FixedReset Ins Non 5.14 % 6.91 % 104,608 8.20 22 -0.5643 % 2,211.3
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -3.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.17
Bid-YTW : 10.07 %
PWF.PR.A Floater -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 13.04
Evaluated at bid price : 13.04
Bid-YTW : 5.35 %
SLF.PR.G FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.35
Bid-YTW : 9.17 %
SLF.PR.J FloatingReset -2.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 9.38 %
IAF.PR.G FixedReset Ins Non -2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.07
Bid-YTW : 6.31 %
SLF.PR.H FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.55
Bid-YTW : 8.27 %
BAM.PR.X FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 6.01 %
BAM.PF.G FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 6.15 %
BMO.PR.Y FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 5.32 %
NA.PR.E FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.40 %
EMA.PR.H FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 22.51
Evaluated at bid price : 23.34
Bid-YTW : 5.24 %
NA.PR.G FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.25 %
CM.PR.O FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.52 %
TD.PF.B FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.30 %
EMA.PR.F FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 5.75 %
BIK.PR.A FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 5.59 %
BAM.PR.B Floater -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.11 %
BAM.PR.Z FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.97 %
TD.PF.J FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 5.12 %
PWF.PR.T FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 5.49 %
TRP.PR.B FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 5.87 %
TRP.PR.A FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.95 %
BAM.PR.K Floater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 11.52
Evaluated at bid price : 11.52
Bid-YTW : 6.10 %
IFC.PR.G FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.62
Bid-YTW : 6.92 %
MFC.PR.G FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 6.96 %
MFC.PR.J FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.83 %
BAM.PF.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 6.27 %
HSE.PR.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 12.18
Evaluated at bid price : 12.18
Bid-YTW : 6.52 %
CCS.PR.C Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 5.92 %
HSE.PR.G FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.G FixedReset Disc 121,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.88 %
TD.PF.L FixedReset Prem 112,106 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 23.16
Evaluated at bid price : 24.99
Bid-YTW : 4.83 %
TD.PF.J FixedReset Disc 73,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 5.12 %
GWO.PR.I Deemed-Retractible 59,275 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.11
Bid-YTW : 6.69 %
PWF.PR.A Floater 54,922 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 13.04
Evaluated at bid price : 13.04
Bid-YTW : 5.35 %
SLF.PR.C Deemed-Retractible 54,643 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.63 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 13.17 – 13.64
Spot Rate : 0.4700
Average : 0.3303

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.17
Bid-YTW : 10.07 %

NA.PR.S FixedReset Disc Quote: 18.00 – 18.44
Spot Rate : 0.4400
Average : 0.3082

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.52 %

BIP.PR.A FixedReset Disc Quote: 20.00 – 20.48
Spot Rate : 0.4800
Average : 0.3485

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.40 %

PWF.PR.T FixedReset Disc Quote: 18.28 – 18.70
Spot Rate : 0.4200
Average : 0.2931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 5.49 %

BAM.PF.A FixedReset Disc Quote: 19.80 – 20.34
Spot Rate : 0.5400
Average : 0.4160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.88 %

POW.PR.G Perpetual-Premium Quote: 25.00 – 25.35
Spot Rate : 0.3500
Average : 0.2514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-05-28
Maturity Price : 24.63
Evaluated at bid price : 25.00
Bid-YTW : 5.67 %