Archive for the ‘Market Action’ Category

September 5, 2018

Wednesday, September 5th, 2018

PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, unchanged from the figure reported August 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 -0.0407 % 3,074.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0407 % 5,641.8
Floater 3.51 % 3.74 % 40,658 17.89 4 -0.0407 % 3,251.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1661 % 3,241.7
SplitShare 4.59 % 4.43 % 52,699 4.84 5 0.1661 % 3,871.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1661 % 3,020.5
Perpetual-Premium 5.54 % -0.76 % 53,300 0.09 12 -0.0131 % 2,921.8
Perpetual-Discount 5.40 % 5.51 % 57,963 14.58 22 -0.2505 % 3,002.0
FixedReset Disc 4.08 % 4.79 % 129,790 15.84 39 -0.2128 % 2,595.8
Deemed-Retractible 5.16 % 5.76 % 64,313 5.40 27 -0.0031 % 2,995.3
FloatingReset 3.40 % 4.12 % 41,154 5.69 5 -0.1530 % 2,862.1
FixedReset Prem 4.81 % 4.01 % 185,358 2.91 35 -0.1730 % 2,574.3
FixedReset Bank Non 3.19 % 3.34 % 62,232 0.46 9 -0.0316 % 2,575.6
FixedReset Ins Non 4.25 % 4.83 % 93,795 5.39 22 -0.0656 % 2,593.6
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 22.41
Evaluated at bid price : 22.67
Bid-YTW : 5.43 %
BAM.PR.X FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.86 %
BIP.PR.E FixedReset Prem -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 23.16
Evaluated at bid price : 24.89
Bid-YTW : 5.05 %
BIP.PR.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 23.77
Evaluated at bid price : 24.11
Bid-YTW : 5.80 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.C FixedReset Disc 245,906 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 5.00 %
RY.PR.W Perpetual-Discount 127,410 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.96 %
BMO.PR.Q FixedReset Bank Non 109,191 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 3.74 %
MFC.PR.J FixedReset Ins Non 104,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.69 %
PWF.PR.L Perpetual-Discount 103,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 22.92
Evaluated at bid price : 23.19
Bid-YTW : 5.56 %
IFC.PR.C FixedReset Ins Non 78,082 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.41 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.E Deemed-Retractible Quote: 21.46 – 21.96
Spot Rate : 0.5000
Average : 0.3659

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 7.29 %

CM.PR.Q FixedReset Disc Quote: 24.41 – 24.82
Spot Rate : 0.4100
Average : 0.2849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 23.37
Evaluated at bid price : 24.41
Bid-YTW : 4.90 %

SLF.PR.H FixedReset Ins Non Quote: 21.90 – 22.35
Spot Rate : 0.4500
Average : 0.3320

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 5.93 %

MFC.PR.N FixedReset Ins Non Quote: 23.32 – 24.00
Spot Rate : 0.6800
Average : 0.5707

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.56 %

CU.PR.E Perpetual-Discount Quote: 22.67 – 23.05
Spot Rate : 0.3800
Average : 0.2783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 22.41
Evaluated at bid price : 22.67
Bid-YTW : 5.43 %

BAM.PR.K Floater Quote: 17.43 – 17.72
Spot Rate : 0.2900
Average : 0.2170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 3.76 %

September 4, 2018

Wednesday, September 5th, 2018

Something new today!

The old FixedReset subindex has been divided into:

  • FixedReset Discount
  • FixedReset Premium
  • FixedReset Bank NVCC Non-Compliant
  • FixedReset Insurance NVCC Non-Compliant

It will be noted that there are no NVCC-compliant insurance issues because the NVCC rules don’t apply to them. However, as I have been repeating until everybody’s tired of hearing it, I expect insurance NVCC rules similar (if not identical) to those imposed on banks to become applicable in the future.

I’ve been pondering such a split in the FixedReset subindex for quite some time, but have implemented it now because I’ve (finally!) programmed Attribution Analysis into HIMIPref™, which aims to provide some insight into the sources of differences between account return and index return. I’ll be publishing the MAPF Attribution Analysis for August, 2018, soon … stay tuned!

Each of the four FixedReset subindices was set to the same value as of May 31, 2018.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1630 % 3,075.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1630 % 5,644.1
Floater 3.51 % 3.74 % 42,248 17.90 4 0.1630 % 3,252.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1505 % 3,236.3
SplitShare 4.60 % 4.43 % 53,084 4.84 5 0.1505 % 3,864.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1505 % 3,015.5
Perpetual-Premium 5.54 % -0.46 % 53,042 0.09 12 0.0328 % 2,922.1
Perpetual-Discount 5.39 % 5.51 % 58,525 14.59 22 0.0960 % 3,009.5
FixedReset Disc 4.07 % 4.73 % 131,875 15.81 39 -0.0546 % 2,601.3
Deemed-Retractible 5.16 % 5.76 % 63,172 5.41 27 -0.0344 % 2,995.4
FloatingReset 3.39 % 4.12 % 41,584 5.70 5 0.1262 % 2,866.5
FixedReset Prem 4.81 % 3.94 % 176,568 2.91 35 -0.0621 % 2,578.7
FixedReset Bank Non 3.19 % 3.32 % 62,756 0.47 9 0.0857 % 2,576.4
FixedReset Ins Non 4.25 % 4.81 % 93,089 5.39 22 -0.0328 % 2,595.3
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.56 %
BAM.PR.K Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 3.76 %
SLF.PR.C Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.46 %
CM.PR.O FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 22.98
Evaluated at bid price : 23.57
Bid-YTW : 4.73 %
NA.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 22.89
Evaluated at bid price : 24.22
Bid-YTW : 4.82 %
BAM.PF.C Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.68 %
SLF.PR.I FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.59 %
BAM.PR.X FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.79 %
BAM.PR.C Floater 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 3.77 %
BAM.PR.R FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.G FixedReset Prem 61,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.73 %
MFC.PR.J FixedReset Ins Non 56,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.70 %
PWF.PR.K Perpetual-Discount 53,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 5.57 %
EMA.PR.H FixedReset Prem 49,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.66 %
MFC.PR.R FixedReset Ins Non 41,309 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 3.79 %
TD.PF.J FixedReset Prem 41,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.43 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 24.01 – 24.74
Spot Rate : 0.7300
Average : 0.4613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 23.28
Evaluated at bid price : 24.01
Bid-YTW : 5.00 %

MFC.PR.N FixedReset Ins Non Quote: 23.32 – 23.96
Spot Rate : 0.6400
Average : 0.4508

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.56 %

NA.PR.S FixedReset Disc Quote: 23.55 – 23.98
Spot Rate : 0.4300
Average : 0.2662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 22.89
Evaluated at bid price : 23.55
Bid-YTW : 4.83 %

MFC.PR.C Deemed-Retractible Quote: 21.15 – 21.59
Spot Rate : 0.4400
Average : 0.3189

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 7.58 %

EIT.PR.B SplitShare Quote: 25.02 – 25.30
Spot Rate : 0.2800
Average : 0.1839

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.79 %

NA.PR.E FixedReset Disc Quote: 24.22 – 24.50
Spot Rate : 0.2800
Average : 0.1870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 22.89
Evaluated at bid price : 24.22
Bid-YTW : 4.82 %

August 31, 2018

Friday, August 31st, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.9155 % 3,070.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9155 % 5,635.0
Floater 3.52 % 3.70 % 42,308 18.01 4 -0.9155 % 3,247.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0238 % 3,230.0
SplitShare 4.60 % 4.47 % 53,513 4.85 5 0.0238 % 3,857.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0238 % 3,009.6
Perpetual-Premium 5.60 % -10.55 % 51,791 0.09 10 0.0668 % 2,921.2
Perpetual-Discount 5.38 % 5.52 % 56,667 14.57 25 -0.0155 % 3,006.6
FixedReset 4.30 % 4.65 % 128,349 3.77 106 -0.0563 % 2,590.9
Deemed-Retractible 5.15 % 5.82 % 64,004 5.42 26 -0.0906 % 2,996.5
FloatingReset 3.50 % 3.64 % 42,172 5.71 6 0.0542 % 2,862.9
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.85 %
BAM.PR.R FixedReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.16 %
MFC.PR.L FixedReset -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.99 %
SLF.PR.I FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.00 %
SLF.PR.A Deemed-Retractible -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 6.96 %
TRP.PR.C FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 5.07 %
BAM.PF.E FixedReset 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 23.55
Evaluated at bid price : 23.95
Bid-YTW : 5.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.G Perpetual-Premium 21,573 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.34 %
PWF.PR.R Perpetual-Premium 21,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.22 %
RY.PR.W Perpetual-Discount 19,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.95 %
NA.PR.X FixedReset 18,890 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.83 %
CM.PR.R FixedReset 13,809 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.97 %
IFC.PR.G FixedReset 12,770 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 5.12 %
There were 1 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 20.04 – 21.04
Spot Rate : 1.0000
Average : 0.6069

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.04
Bid-YTW : 6.74 %

BAM.PR.C Floater Quote: 17.00 – 17.80
Spot Rate : 0.8000
Average : 0.5274

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.85 %

BAM.PR.R FixedReset Quote: 21.03 – 21.68
Spot Rate : 0.6500
Average : 0.3913

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.16 %

GWO.PR.G Deemed-Retractible Quote: 23.91 – 24.50
Spot Rate : 0.5900
Average : 0.3830

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.99 %

EIT.PR.A SplitShare Quote: 25.18 – 25.59
Spot Rate : 0.4100
Average : 0.2672

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.64 %

MFC.PR.L FixedReset Quote: 22.80 – 23.20
Spot Rate : 0.4000
Average : 0.2592

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.99 %

August 30, 2018

Thursday, August 30th, 2018

Well, we’re moving closer to a surveillance society:

For the past year, select Google advertisers have had access to a potent new tool to track whether the ads they ran online led to a sale at a physical store in the U.S. That insight came thanks in part to a stockpile of Mastercard transactions that Google paid for.

But most of the two billion Mastercard holders aren’t aware of this behind-the-scenes tracking. That’s because the companies never told the public about the arrangement.

I’ve been assuming this was happening already, so I’ve been using my credit cards sparingly for the past while. I’ve recently started using DuckDuckGo as my search engine … it has one of world’s stupider names, but they did attract $10-million in OMERS-led financing:

The Ontario Municipal Employees Retirement System is leading a US$10-million investment in the profitable U.S. firm, which handles about 24 million searches a day and generates more than US$25-million in annual revenue. DuckDuckGo has steadily grown following a rash of disclosures in recent years about how much personal data is harvested online and used by Google, Facebook and the U.S. National Security Agency.

It’s a small but symbolic investment by the pension giant. OMERS Ventures, the pension plan’s venture capital arm, recently stated it believes emerging blockchain technologies will empower a “decentralized web” where users will regain greater control over their own data, potentially disrupting the business models of internet giants that extensively collect and mine user information.

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 0.0539 % 3,099.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0539 % 5,687.0
Floater 3.49 % 3.70 % 42,875 18.01 4 0.0539 % 3,277.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0950 % 3,229.2
SplitShare 4.61 % 4.41 % 53,996 4.85 5 -0.0950 % 3,856.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0950 % 3,008.9
Perpetual-Premium 5.61 % -9.83 % 53,926 0.08 10 0.0275 % 2,919.2
Perpetual-Discount 5.38 % 5.52 % 58,883 14.56 25 0.1514 % 3,007.1
FixedReset 4.29 % 4.66 % 127,901 3.82 106 0.1336 % 2,592.4
Deemed-Retractible 5.15 % 5.81 % 62,186 5.42 26 0.1391 % 2,999.2
FloatingReset 3.50 % 3.66 % 42,779 5.71 6 0.2554 % 2,861.4
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.13 %
BAM.PR.T FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.12 %
BAM.PR.X FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.88 %
IAG.PR.I FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 4.45 %
BAM.PR.N Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.69 %
TRP.PR.B FixedReset 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.91 %
Volume Highlights
Issue Index Shares
Traded
Notes
EMA.PR.C FixedReset 50,913 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 22.84
Evaluated at bid price : 24.13
Bid-YTW : 4.97 %
PWF.PR.K Perpetual-Discount 46,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 5.56 %
MFC.PR.Q FixedReset 45,143 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.67 %
TRP.PR.C FixedReset 34,561 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.13 %
BNS.PR.Z FixedReset 32,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 4.14 %
TD.PF.A FixedReset 30,484 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 23.26
Evaluated at bid price : 23.77
Bid-YTW : 4.67 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Quote: 24.98 – 26.20
Spot Rate : 1.2200
Average : 0.6807

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 23.62
Evaluated at bid price : 24.98
Bid-YTW : 5.01 %

SLF.PR.E Deemed-Retractible Quote: 21.50 – 21.96
Spot Rate : 0.4600
Average : 0.2688

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 7.23 %

BAM.PR.Z FixedReset Quote: 25.12 – 25.50
Spot Rate : 0.3800
Average : 0.2411

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.79 %

SLF.PR.G FixedReset Quote: 19.95 – 20.25
Spot Rate : 0.3000
Average : 0.1882

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 7.20 %

BAM.PF.E FixedReset Quote: 23.55 – 24.19
Spot Rate : 0.6400
Average : 0.5289

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 23.14
Evaluated at bid price : 23.55
Bid-YTW : 5.08 %

MFC.PR.K FixedReset Quote: 22.88 – 23.50
Spot Rate : 0.6200
Average : 0.5135

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.03 %

August 29, 2018

Wednesday, August 29th, 2018

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a slight (and perhaps spurious) narrowing from the 330bp reported August 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 -0.2821 % 3,097.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2821 % 5,684.0
Floater 3.49 % 3.70 % 43,400 18.01 4 -0.2821 % 3,275.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4492 % 3,232.3
SplitShare 4.60 % 4.42 % 50,200 4.86 5 -0.4492 % 3,860.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4492 % 3,011.8
Perpetual-Premium 5.61 % -10.01 % 55,732 0.08 10 0.0708 % 2,918.4
Perpetual-Discount 5.39 % 5.54 % 58,994 14.54 25 0.0723 % 3,002.6
FixedReset 4.30 % 4.67 % 127,671 3.78 106 0.1335 % 2,588.9
Deemed-Retractible 5.13 % 5.76 % 62,683 5.36 26 0.1016 % 2,995.0
FloatingReset 3.50 % 3.58 % 43,155 5.71 6 0.1008 % 2,854.1
Performance Highlights
Issue Index Change Notes
PVS.PR.F SplitShare -2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.42 %
TRP.PR.B FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.04 %
IFC.PR.F Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.56 %
GWO.PR.T Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 6.03 %
MFC.PR.F FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.88
Bid-YTW : 7.88 %
MFC.PR.L FixedReset 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.23
Bid-YTW : 5.64 %
MFC.PR.M FixedReset 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 5.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset 109,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.28
Bid-YTW : 3.65 %
RY.PR.W Perpetual-Discount 104,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.97 %
TD.PF.C FixedReset 69,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 23.14
Evaluated at bid price : 23.59
Bid-YTW : 4.70 %
BNS.PR.Y FixedReset 54,510 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.98
Bid-YTW : 3.96 %
IFC.PR.C FixedReset 52,395 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 5.38 %
BAM.PR.Z FixedReset 52,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.93 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.A FixedReset Quote: 25.00 – 25.75
Spot Rate : 0.7500
Average : 0.4432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 23.94
Evaluated at bid price : 25.00
Bid-YTW : 5.15 %

IFC.PR.F Deemed-Retractible Quote: 24.91 – 25.60
Spot Rate : 0.6900
Average : 0.4250

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.56 %

MFC.PR.K FixedReset Quote: 22.92 – 23.50
Spot Rate : 0.5800
Average : 0.3967

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.92
Bid-YTW : 5.99 %

TRP.PR.B FixedReset Quote: 16.90 – 17.45
Spot Rate : 0.5500
Average : 0.3847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.04 %

GWO.PR.G Deemed-Retractible Quote: 24.14 – 24.48
Spot Rate : 0.3400
Average : 0.2063

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.14
Bid-YTW : 6.05 %

BAM.PF.C Perpetual-Discount Quote: 21.50 – 21.90
Spot Rate : 0.4000
Average : 0.2717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-29
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.74 %

August 28, 2018

Tuesday, August 28th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0671 % 3,106.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0671 % 5,700.0
Floater 3.48 % 3.70 % 43,780 18.01 4 -0.0671 % 3,285.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1421 % 3,246.9
SplitShare 4.58 % 3.72 % 49,713 2.90 5 0.1421 % 3,877.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1421 % 3,025.4
Perpetual-Premium 5.61 % -10.19 % 55,998 0.09 10 0.0197 % 2,916.4
Perpetual-Discount 5.39 % 5.53 % 57,270 14.54 25 0.1224 % 3,000.4
FixedReset 4.30 % 4.69 % 122,575 3.83 106 0.1484 % 2,585.5
Deemed-Retractible 5.13 % 5.81 % 61,253 5.35 26 0.0345 % 2,992.0
FloatingReset 3.51 % 3.58 % 39,947 5.72 6 -0.0226 % 2,851.2
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.69 %
GWO.PR.T Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 6.29 %
IFC.PR.F Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.37 %
BAM.PR.K Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 3.70 %
BAM.PR.X FixedReset 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.E Deemed-Retractible 271,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.81 %
TD.PF.I FixedReset 117,049 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.21 %
TD.PF.G FixedReset 101,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 3.42 %
BMO.PR.T FixedReset 68,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 22.67
Evaluated at bid price : 23.21
Bid-YTW : 4.77 %
NA.PR.E FixedReset 62,883 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 23.01
Evaluated at bid price : 24.52
Bid-YTW : 4.79 %
GWO.PR.N FixedReset 62,001 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.77 %
There were 25 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 Quote: 23.32 – 23.87
Spot Rate : 0.5500
Average : 0.3640

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.69 %

PVS.PR.B SplitShare Quote: 25.06 – 25.35
Spot Rate : 0.2900
Average : 0.1670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.40 %

GWO.PR.T Deemed-Retractible Quote: 23.77 – 24.05
Spot Rate : 0.2800
Average : 0.1626

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 6.29 %

TD.PF.J FixedReset Quote: 25.34 – 25.59
Spot Rate : 0.2500
Average : 0.1587

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.48 %

PWF.PR.Q FloatingReset Quote: 21.80 – 22.08
Spot Rate : 0.2800
Average : 0.1915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.58 %

TD.PF.I FixedReset Quote: 25.38 – 25.58
Spot Rate : 0.2000
Average : 0.1206

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.21 %

August 27, 2018

Tuesday, August 28th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2557 % 3,108.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2557 % 5,703.9
Floater 3.48 % 3.69 % 43,345 18.04 4 0.2557 % 3,287.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0237 % 3,242.3
SplitShare 4.59 % 4.16 % 48,982 4.86 5 0.0237 % 3,872.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0237 % 3,021.1
Perpetual-Premium 5.61 % -10.37 % 57,993 0.09 10 -0.0039 % 2,915.8
Perpetual-Discount 5.40 % 5.55 % 55,816 14.54 25 0.0621 % 2,996.7
FixedReset 4.31 % 4.72 % 123,282 3.83 106 0.1613 % 2,581.6
Deemed-Retractible 5.12 % 5.88 % 62,191 5.36 26 0.0290 % 2,991.0
FloatingReset 3.50 % 3.58 % 39,673 5.67 6 0.0909 % 2,851.8
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 4.49 %
PWF.PR.P FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-27
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 4.67 %
TRP.PR.G FixedReset 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.39
Bid-YTW : 4.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 205,013 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.63 %
BMO.PR.C FixedReset 67,203 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.13 %
BMO.PR.D FixedReset 30,815 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.06 %
MFC.PR.J FixedReset 28,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.76 %
NA.PR.X FixedReset 24,932 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.81 %
MFC.PR.G FixedReset 19,269 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 4.52 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Quote: 25.11 – 26.79
Spot Rate : 1.6800
Average : 0.9664

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 3.97 %

IFC.PR.A FixedReset Quote: 19.88 – 20.25
Spot Rate : 0.3700
Average : 0.2190

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.88
Bid-YTW : 7.79 %

IFC.PR.F Deemed-Retractible Quote: 24.91 – 25.24
Spot Rate : 0.3300
Average : 0.2052

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.56 %

PVS.PR.F SplitShare Quote: 25.85 – 26.25
Spot Rate : 0.4000
Average : 0.2965

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.16 %

W.PR.K FixedReset Quote: 26.00 – 26.35
Spot Rate : 0.3500
Average : 0.2736

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.77 %

PWF.PR.O Perpetual-Premium Quote: 25.70 – 25.90
Spot Rate : 0.2000
Average : 0.1251

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-26
Maturity Price : 25.25
Evaluated at bid price : 25.70
Bid-YTW : -10.37 %

August 24, 2018

Friday, August 24th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.7480 % 3,100.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7480 % 5,689.3
Floater 3.49 % 3.69 % 43,711 18.02 4 -0.7480 % 3,278.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,241.5
SplitShare 4.59 % 4.12 % 50,582 4.87 5 0.0079 % 3,871.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,020.4
Perpetual-Premium 5.61 % -11.35 % 58,348 0.09 10 0.0315 % 2,915.9
Perpetual-Discount 5.40 % 5.54 % 58,105 14.55 25 0.0345 % 2,994.9
FixedReset 4.30 % 4.69 % 120,167 4.06 107 0.0702 % 2,577.5
Deemed-Retractible 5.12 % 5.80 % 62,852 5.37 26 0.1968 % 2,990.1
FloatingReset 3.42 % 3.56 % 38,896 5.68 7 0.0390 % 2,849.3
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 3.77 %
PWF.PR.P FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.69 %
BMO.PR.Q FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.29
Bid-YTW : 4.18 %
TD.PF.A FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.17
Evaluated at bid price : 23.67
Bid-YTW : 4.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 60,097 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 22.63
Evaluated at bid price : 23.16
Bid-YTW : 4.73 %
HSE.PR.A FixedReset 19,017 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.19 %
MFC.PR.J FixedReset 17,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.68 %
BMO.PR.C FixedReset 17,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.18 %
CU.PR.C FixedReset 17,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 22.05
Evaluated at bid price : 22.50
Bid-YTW : 4.81 %
SLF.PR.I FixedReset 15,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.39
Bid-YTW : 4.81 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Quote: 24.40 – 25.00
Spot Rate : 0.6000
Average : 0.3552

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.36
Evaluated at bid price : 24.40
Bid-YTW : 4.91 %

BAM.PR.K Floater Quote: 17.36 – 17.89
Spot Rate : 0.5300
Average : 0.3636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 3.77 %

EMA.PR.F FixedReset Quote: 23.96 – 24.47
Spot Rate : 0.5100
Average : 0.3624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.54
Evaluated at bid price : 23.96
Bid-YTW : 4.98 %

RY.PR.M FixedReset Quote: 24.10 – 24.60
Spot Rate : 0.5000
Average : 0.3535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.15
Evaluated at bid price : 24.10
Bid-YTW : 4.79 %

MFC.PR.N FixedReset Quote: 23.40 – 23.96
Spot Rate : 0.5600
Average : 0.4220

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.48 %

BAM.PF.I FixedReset Quote: 26.05 – 26.40
Spot Rate : 0.3500
Average : 0.2249

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.78 %

August 23, 2018

Thursday, August 23rd, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2410 % 3,123.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2410 % 5,732.2
Floater 3.46 % 3.68 % 44,152 18.05 4 0.2410 % 3,303.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,241.3
SplitShare 4.59 % 4.11 % 51,352 4.87 5 0.0158 % 3,870.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,020.1
Perpetual-Premium 5.61 % -11.08 % 60,439 0.09 10 0.0590 % 2,915.0
Perpetual-Discount 5.40 % 5.54 % 55,960 14.56 25 0.0673 % 2,993.8
FixedReset 4.31 % 4.71 % 120,615 4.10 107 0.0128 % 2,575.7
Deemed-Retractible 5.13 % 5.87 % 63,533 5.37 26 -0.1353 % 2,984.2
FloatingReset 3.42 % 3.57 % 39,620 5.68 7 0.2410 % 2,848.1
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.97 %
PWF.PR.Q FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.57 %
PWF.PR.P FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.64 %
GWO.PR.N FixedReset 3.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 7.81 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset 283,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.01
Evaluated at bid price : 22.62
Bid-YTW : 5.00 %
PWF.PR.K Perpetual-Discount 128,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.14
Evaluated at bid price : 22.42
Bid-YTW : 5.56 %
TRP.PR.A FixedReset 102,328 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.01 %
MFC.PR.J FixedReset 68,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.71 %
RY.PR.W Perpetual-Discount 60,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 24.50
Evaluated at bid price : 24.73
Bid-YTW : 4.97 %
RY.PR.Z FixedReset 60,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.86
Evaluated at bid price : 23.50
Bid-YTW : 4.64 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 19.05 – 19.60
Spot Rate : 0.5500
Average : 0.3783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.94 %

MFC.PR.N FixedReset Quote: 23.37 – 23.79
Spot Rate : 0.4200
Average : 0.2707

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.37
Bid-YTW : 5.50 %

HSE.PR.G FixedReset Quote: 25.18 – 25.63
Spot Rate : 0.4500
Average : 0.3096

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.60 %

TD.PF.A FixedReset Quote: 23.41 – 23.78
Spot Rate : 0.3700
Average : 0.2500

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.91
Evaluated at bid price : 23.41
Bid-YTW : 4.70 %

HSE.PR.E FixedReset Quote: 25.30 – 25.57
Spot Rate : 0.2700
Average : 0.1554

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.18 %

MFC.PR.I FixedReset Quote: 24.80 – 25.05
Spot Rate : 0.2500
Average : 0.1581

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.51 %

August 22, 2018

Wednesday, August 22nd, 2018

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 330bp, a slight (and perhaps spurious) widening from the 325bp reported August 15.

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 0.4303 % 3,116.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4303 % 5,718.4
Floater 3.47 % 3.68 % 45,954 18.07 4 0.4303 % 3,295.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2216 % 3,240.8
SplitShare 4.59 % 4.11 % 50,305 4.87 5 0.2216 % 3,870.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2216 % 3,019.6
Perpetual-Premium 5.62 % -9.47 % 60,793 0.08 10 0.0433 % 2,913.3
Perpetual-Discount 5.41 % 5.54 % 56,118 14.56 25 -0.0259 % 2,991.8
FixedReset 4.31 % 4.70 % 117,678 4.08 107 0.0454 % 2,575.3
Deemed-Retractible 5.13 % 5.94 % 63,927 5.37 26 0.1404 % 2,988.3
FloatingReset 3.43 % 3.68 % 37,978 5.68 7 -0.0130 % 2,841.3
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -3.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 8.46 %
BAM.PF.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 23.43
Evaluated at bid price : 24.51
Bid-YTW : 5.08 %
NA.PR.E FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 22.87
Evaluated at bid price : 24.17
Bid-YTW : 4.83 %
RY.PR.M FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 23.25
Evaluated at bid price : 24.33
Bid-YTW : 4.74 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset 127,724 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 21.99
Evaluated at bid price : 22.59
Bid-YTW : 5.00 %
MFC.PR.J FixedReset 59,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.71 %
RY.PR.W Perpetual-Discount 59,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 24.49
Evaluated at bid price : 24.72
Bid-YTW : 4.97 %
MFC.PR.O FixedReset 53,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.59 %
GWO.PR.N FixedReset 40,559 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 8.46 %
NA.PR.E FixedReset 37,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 22.87
Evaluated at bid price : 24.17
Bid-YTW : 4.83 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 18.33 – 19.15
Spot Rate : 0.8200
Average : 0.4825

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 8.46 %

VNR.PR.A FixedReset Quote: 24.81 – 25.32
Spot Rate : 0.5100
Average : 0.3278

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 23.17
Evaluated at bid price : 24.81
Bid-YTW : 4.91 %

BAM.PF.G FixedReset Quote: 24.51 – 24.90
Spot Rate : 0.3900
Average : 0.2367

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 23.43
Evaluated at bid price : 24.51
Bid-YTW : 5.08 %

BAM.PF.F FixedReset Quote: 24.80 – 25.10
Spot Rate : 0.3000
Average : 0.1727

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 24.43
Evaluated at bid price : 24.80
Bid-YTW : 5.10 %

MFC.PR.L FixedReset Quote: 22.80 – 23.11
Spot Rate : 0.3100
Average : 0.2398

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.93 %

PWF.PR.P FixedReset Quote: 19.30 – 19.80
Spot Rate : 0.5000
Average : 0.4325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.69 %