Archive for the ‘Market Action’ Category

November 2, 2018

Saturday, November 3rd, 2018

The Canadian jobs report was ho-hum:

The Canadian economy added 11,200 jobs in October on higher full-time hiring, and the unemployment rate dipped to 5.8 per cent, although wage growth was sluggish, Statistics Canada data indicated on Friday.

Although full-time jobs rose by 33,900 compared to a loss of 22,600 part-time positions, the labour participation rate dropped to 65.2 per cent, its lowest since October, 1998.

And the average year-over-year wage growth of permanent employees – a figure closely watched by the Bank of Canada – fell to just 1.9 per cent, the lowest since the 1.7 per cent recorded in August 2017.

Meanwhile, in the States:

  • ■ 250,000 jobs were added last month.
  • ■ The unemployment rate was unchanged at 3.7 percent, a nearly 50-year low.
  • ■ Average earnings rose by 0.2 percent and are up 3.1 percent over the past year.
  • ■ The number of people working or looking for a job increased by 711,000, nudging the labor force participation rate up to 62.9 percent, from 62.7 percent in September.

But so much for the rally!

A steep decline in shares of Apple Inc. further weighed on sentiment in the U.S. stock market after the iPhone maker warned that sales during the crucial holiday quarter would likely miss expectations.

White House economic adviser Larry Kudlow told CNBC that while President Donald Trump plans to meet China President Xi Jinping later this month, he has not asked U.S. officials to draw up a proposed trade plan, contradicting a report earlier in the day that had buoyed hopes of a trade dispute resolution.

That erased early gains in U.S. stocks and curtailed a rally in global markets that had lifted emerging market stocks by their largest daily gain since 2016.

The Dow Jones Industrial Average fell 111.34 points, or 0.44 per cent, to 25,269.4, the S&P 500 lost 17.6 points, or 0.64 per cent, to 2,722.77 and the Nasdaq Composite dropped 77.06 points, or 1.04 per cent, to 7,356.99.

Apple’s shares tumbled nearly 7 per cent, taking its market value below $1-trillion, after the company said sales for the final quarter would likely miss expectations.

In Toronto, Canada’s main stock index also erased early gains on Friday.

The Toronto Stock Exchange’s S&P/TSX composite index unofficially closed down 0.2 per cent, or 30.87 points, at 15,119.28.

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 -0.0274 % 3,065.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0274 % 5,625.0
Floater 3.79 % 4.03 % 41,189 17.34 4 -0.0274 % 3,241.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0959 % 3,201.8
SplitShare 4.65 % 4.97 % 54,750 4.67 5 -0.0959 % 3,823.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0959 % 2,983.3
Perpetual-Premium 5.72 % 5.78 % 70,779 14.15 12 -0.1891 % 2,868.8
Perpetual-Discount 5.67 % 5.78 % 75,499 14.20 21 -0.3435 % 2,894.2
FixedReset Disc 4.37 % 5.29 % 163,191 15.21 45 -0.9971 % 2,492.2
Deemed-Retractible 5.37 % 6.82 % 70,985 5.20 27 -0.1464 % 2,889.5
FloatingReset 3.82 % 3.96 % 47,276 5.45 4 -0.1310 % 2,774.1
FixedReset Prem 4.95 % 4.51 % 243,451 3.06 34 -0.3434 % 2,536.1
FixedReset Bank Non 2.97 % 3.77 % 115,898 0.31 6 -0.2469 % 2,571.0
FixedReset Ins Non 4.51 % 6.26 % 128,806 5.31 22 -0.9096 % 2,481.4
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -3.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.19
Bid-YTW : 6.46 %
BAM.PR.R FixedReset Disc -3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 5.67 %
BAM.PF.E FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 21.86
Evaluated at bid price : 22.38
Bid-YTW : 5.47 %
BAM.PR.T FixedReset Disc -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.63 %
IFC.PR.A FixedReset Ins Non -2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 8.11 %
BAM.PF.B FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 21.95
Evaluated at bid price : 22.49
Bid-YTW : 5.56 %
HSE.PR.C FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 22.61
Evaluated at bid price : 23.10
Bid-YTW : 5.90 %
BAM.PR.M Perpetual-Discount -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.09 %
BAM.PR.X FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 5.52 %
BIP.PR.F FixedReset Prem -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 22.81
Evaluated at bid price : 24.10
Bid-YTW : 5.44 %
BMO.PR.W FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 5.15 %
RY.PR.M FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 22.88
Evaluated at bid price : 23.21
Bid-YTW : 5.19 %
SLF.PR.H FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 7.30 %
RY.PR.J FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 23.30
Evaluated at bid price : 23.71
Bid-YTW : 5.24 %
NA.PR.W FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 5.30 %
RY.PR.Z FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 21.99
Evaluated at bid price : 22.55
Bid-YTW : 5.03 %
BMO.PR.T FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 21.70
Evaluated at bid price : 22.12
Bid-YTW : 5.16 %
BMO.PR.Q FixedReset Bank Non -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 4.92 %
MFC.PR.I FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.61
Bid-YTW : 5.88 %
BMO.PR.S FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 21.97
Evaluated at bid price : 22.52
Bid-YTW : 5.17 %
W.PR.H Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 23.69
Evaluated at bid price : 23.96
Bid-YTW : 5.78 %
TD.PF.B FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 22.03
Evaluated at bid price : 22.63
Bid-YTW : 5.08 %
SLF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 8.69 %
BAM.PF.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 23.17
Evaluated at bid price : 23.57
Bid-YTW : 5.49 %
TD.PF.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 23.66
Evaluated at bid price : 23.98
Bid-YTW : 5.29 %
PWF.PR.K Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.88 %
TD.PF.A FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 21.92
Evaluated at bid price : 22.47
Bid-YTW : 5.08 %
HSE.PR.G FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 23.62
Evaluated at bid price : 24.00
Bid-YTW : 6.05 %
HSE.PR.E FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 23.68
Evaluated at bid price : 24.10
Bid-YTW : 6.06 %
EMA.PR.F FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 22.78
Evaluated at bid price : 23.25
Bid-YTW : 5.30 %
CM.PR.S FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 22.64
Evaluated at bid price : 23.60
Bid-YTW : 4.99 %
BAM.PF.A FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 22.72
Evaluated at bid price : 23.85
Bid-YTW : 5.46 %
IAG.PR.G FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.59
Bid-YTW : 6.34 %
SLF.PR.B Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.44
Bid-YTW : 7.86 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 84,475 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.08 %
BNS.PR.H FixedReset Prem 74,039 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.03 %
BMO.PR.D FixedReset Prem 48,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.46 %
BNS.PR.I FixedReset Disc 25,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 23.13
Evaluated at bid price : 24.95
Bid-YTW : 4.76 %
NA.PR.C FixedReset Prem 23,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.74
Bid-YTW : 4.72 %
IFC.PR.A FixedReset Ins Non 20,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 8.11 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Disc Quote: 23.10 – 24.95
Spot Rate : 1.8500
Average : 1.2314

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 22.61
Evaluated at bid price : 23.10
Bid-YTW : 5.90 %

IFC.PR.G FixedReset Ins Non Quote: 23.19 – 24.19
Spot Rate : 1.0000
Average : 0.6387

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.19
Bid-YTW : 6.46 %

TD.PF.B FixedReset Disc Quote: 22.63 – 23.50
Spot Rate : 0.8700
Average : 0.5604

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 22.03
Evaluated at bid price : 22.63
Bid-YTW : 5.08 %

BAM.PR.K Floater Quote: 17.30 – 18.15
Spot Rate : 0.8500
Average : 0.5411

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-02
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.03 %

MFC.PR.N FixedReset Ins Non Quote: 22.01 – 23.19
Spot Rate : 1.1800
Average : 0.8955

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 6.99 %

EML.PR.A FixedReset Ins Non Quote: 25.60 – 26.40
Spot Rate : 0.8000
Average : 0.5418

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.84 %

November 1, 2018

Thursday, November 1st, 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 1.3895 % 3,066.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3895 % 5,626.5
Floater 3.79 % 4.03 % 41,439 17.35 4 1.3895 % 3,242.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.4896 % 3,204.8
SplitShare 4.64 % 4.95 % 56,721 4.67 5 0.4896 % 3,827.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4896 % 2,986.2
Perpetual-Premium 5.71 % 5.70 % 71,047 14.17 12 0.6150 % 2,874.2
Perpetual-Discount 5.65 % 5.76 % 75,442 14.24 21 0.4616 % 2,904.2
FixedReset Disc 4.33 % 5.22 % 163,395 15.23 45 0.8591 % 2,517.3
Deemed-Retractible 5.36 % 6.73 % 72,028 5.20 27 0.3508 % 2,893.8
FloatingReset 3.82 % 3.94 % 47,135 5.46 4 0.5510 % 2,777.7
FixedReset Prem 4.93 % 4.41 % 253,695 3.07 34 0.2018 % 2,544.8
FixedReset Bank Non 2.97 % 3.73 % 114,640 0.31 6 0.2347 % 2,577.4
FixedReset Ins Non 4.47 % 5.88 % 129,933 5.31 22 1.1941 % 2,504.2
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 23.55
Evaluated at bid price : 23.92
Bid-YTW : 5.24 %
TRP.PR.K FixedReset Prem -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 4.64 %
MFC.PR.N FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.17
Bid-YTW : 6.85 %
TRP.PR.C FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 5.46 %
MFC.PR.L FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 7.35 %
BMO.PR.Z Perpetual-Premium 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 23.98
Evaluated at bid price : 24.45
Bid-YTW : 5.09 %
CU.PR.G Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.66 %
NA.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 22.52
Evaluated at bid price : 23.40
Bid-YTW : 5.15 %
SLF.PR.E Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 8.63 %
IAG.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 : 20.99
Bid-YTW : 8.04 %
CU.PR.C FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.20 %
BAM.PF.H FixedReset Prem 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.15 %
SLF.PR.A Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 8.12 %
TRP.PR.F FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.66 %
PWF.PR.P FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.24 %
IFC.PR.C FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.88 %
PWF.PR.R Perpetual-Premium 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 23.77
Evaluated at bid price : 24.10
Bid-YTW : 5.73 %
MFC.PR.C Deemed-Retractible 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.58
Bid-YTW : 9.32 %
TRP.PR.G FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 23.02
Evaluated at bid price : 23.35
Bid-YTW : 5.57 %
TRP.PR.A FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.42 %
MFC.PR.K FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 7.04 %
POW.PR.A Perpetual-Premium 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 5.78 %
SLF.PR.C Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 8.52 %
MFC.PR.B Deemed-Retractible 1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 8.84 %
NA.PR.W FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 21.53
Evaluated at bid price : 21.90
Bid-YTW : 5.20 %
CM.PR.S FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 22.76
Evaluated at bid price : 23.85
Bid-YTW : 4.93 %
BAM.PF.J FixedReset Prem 1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.00 %
TRP.PR.B FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.36 %
SLF.PR.H FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.99 %
BAM.PR.R FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 5.46 %
BAM.PR.T FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.46 %
RY.PR.J FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 23.71
Evaluated at bid price : 24.10
Bid-YTW : 5.15 %
PWF.PR.T FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 22.06
Evaluated at bid price : 22.65
Bid-YTW : 5.22 %
PVS.PR.D SplitShare 2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.69 %
BAM.PF.A FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 22.83
Evaluated at bid price : 24.10
Bid-YTW : 5.39 %
BAM.PR.X FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.42 %
CM.PR.Q FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 23.60
Evaluated at bid price : 23.96
Bid-YTW : 5.21 %
BAM.PR.C Floater 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 4.03 %
BAM.PR.B Floater 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.03 %
HSE.PR.C FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 23.07
Evaluated at bid price : 23.58
Bid-YTW : 5.78 %
BAM.PR.M Perpetual-Discount 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.97 %
MFC.PR.J FixedReset Ins Non 2.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 5.71 %
BAM.PF.G FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 23.48
Evaluated at bid price : 23.87
Bid-YTW : 5.42 %
MFC.PR.F FixedReset Ins Non 3.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.67
Bid-YTW : 9.44 %
SLF.PR.G FixedReset Ins Non 3.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 8.44 %
TRP.PR.D FixedReset Disc 5.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 21.45
Evaluated at bid price : 21.76
Bid-YTW : 5.45 %
MFC.PR.I FixedReset Ins Non 5.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 5.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.I FixedReset Prem 85,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.53 %
CM.PR.R FixedReset Prem 83,099 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.36 %
BMO.PR.D FixedReset Prem 73,908 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.41 %
MFC.PR.K FixedReset Ins Non 59,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 7.04 %
RY.PR.Z FixedReset Disc 48,806 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 22.19
Evaluated at bid price : 22.89
Bid-YTW : 4.94 %
BNS.PR.Z FixedReset Bank Non 44,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 4.36 %
There were 34 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: 20.52 – 21.25
Spot Rate : 0.7300
Average : 0.5081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 6.05 %

BAM.PR.X FixedReset Disc Quote: 18.00 – 18.93
Spot Rate : 0.9300
Average : 0.7349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.42 %

BMO.PR.Y FixedReset Disc Quote: 23.77 – 24.35
Spot Rate : 0.5800
Average : 0.3892

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 23.41
Evaluated at bid price : 23.77
Bid-YTW : 5.19 %

SLF.PR.D Deemed-Retractible Quote: 20.14 – 20.58
Spot Rate : 0.4400
Average : 0.2953

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 8.67 %

RY.PR.W Perpetual-Discount Quote: 23.78 – 24.08
Spot Rate : 0.3000
Average : 0.1768

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 23.51
Evaluated at bid price : 23.78
Bid-YTW : 5.15 %

PWF.PR.H Perpetual-Premium Quote: 24.80 – 25.11
Spot Rate : 0.3100
Average : 0.2029

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-01
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.83 %

October 31, 2018

Wednesday, October 31st, 2018

No cashiers here!

Think of it as the ultimate self check-out experience. Instead of waiting for someone to ring up your grocery items, customers can now simply pick out what they need, scan an app and walk out of the store.

Amazon started it first with its cashier-less Amazon Go store, but now Sam’s Club (owned by Walmart) is following suit with its Sam’s Club Now store, which will open in Dallas next month.

It’s a relatively simple concept that requires zero cashiers. Customers use the Sam’s Club Scan & Go app to add products to their receipt as they shop. When they’re done shopping, customers pay through the app with a single click and just walk out of the store. Instead of traditional checkout lines, there are 700 cameras to keep customers honest and monitor inventory.

Fortunately, Canadian retailers don’t have to worry about all this technology guff – we’ve got cheap labour! Productivity, schmoductivity!

There haven’t been too many good days this month, but we’re closing on a good note!

rainbow_181031
Click for Big

The TXPR price index was up 1.69% today after six straight trading days of losses; it was only the sixth gain in the month and most of the other five were pretty skimpy!

PerpetualDiscounts now yield 5.80%, equivalent to 7.54% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a slight (and perhaps spurious) widening from the 335bp reported October 24.

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 1.0531 % 3,024.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0531 % 5,549.4
Floater 3.84 % 4.06 % 41,265 17.29 4 1.0531 % 3,198.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.7252 % 3,189.2
SplitShare 4.67 % 4.98 % 54,054 4.68 5 -0.7252 % 3,808.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.7252 % 2,971.6
Perpetual-Premium 5.74 % 5.84 % 65,816 14.10 12 0.5812 % 2,856.7
Perpetual-Discount 5.68 % 5.80 % 75,355 14.18 21 0.9801 % 2,890.8
FixedReset Disc 4.37 % 5.29 % 164,673 15.16 45 2.0546 % 2,495.8
Deemed-Retractible 5.38 % 6.57 % 72,421 5.21 27 1.0771 % 2,883.7
FloatingReset 3.84 % 3.95 % 47,902 5.46 4 2.0039 % 2,762.5
FixedReset Prem 4.94 % 4.49 % 255,239 3.07 34 0.8560 % 2,539.7
FixedReset Bank Non 3.13 % 4.05 % 102,165 3.03 7 0.0662 % 2,571.3
FixedReset Ins Non 4.52 % 6.22 % 131,584 5.32 22 1.5210 % 2,474.6
Performance Highlights
Issue Index Change Notes
PVS.PR.D SplitShare -3.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.49 %
MFC.PR.I FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.74
Bid-YTW : 6.58 %
PVS.PR.F SplitShare -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.97 %
PWF.PR.T FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.75
Evaluated at bid price : 22.18
Bid-YTW : 5.34 %
TRP.PR.J FixedReset Prem 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : 4.00 %
TD.PF.I FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 4.78 %
MFC.PR.L FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 7.54 %
BAM.PF.H FixedReset Prem 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.73 %
MFC.PR.B Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 9.18 %
PWF.PR.F Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.39
Evaluated at bid price : 22.65
Bid-YTW : 5.82 %
MFC.PR.C Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 9.60 %
BAM.PF.I FixedReset Prem 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.32 %
GWO.PR.Q Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 7.18 %
NA.PR.W FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 5.32 %
EIT.PR.B SplitShare 1.13 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.98 %
GWO.PR.F Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -7.25 %
GWO.PR.M Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.13 %
IAG.PR.A Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 8.26 %
BIP.PR.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.82
Evaluated at bid price : 24.00
Bid-YTW : 5.48 %
PWF.PR.S Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.78 %
BMO.PR.D FixedReset Prem 1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 4.62 %
CM.PR.S FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.55
Evaluated at bid price : 23.42
Bid-YTW : 5.03 %
GWO.PR.L Deemed-Retractible 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.90 %
W.PR.K FixedReset Prem 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.81 %
SLF.PR.E Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.03
Bid-YTW : 8.84 %
GWO.PR.I Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 8.86 %
PWF.PR.Q FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 3.95 %
SLF.PR.D Deemed-Retractible 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.04
Bid-YTW : 8.77 %
GWO.PR.G Deemed-Retractible 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 7.14 %
CM.PR.Q FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.02
Evaluated at bid price : 23.40
Bid-YTW : 5.33 %
HSE.PR.C FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 5.93 %
EMA.PR.F FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.02
Evaluated at bid price : 23.50
Bid-YTW : 5.24 %
TD.PF.A FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.03
Evaluated at bid price : 22.65
Bid-YTW : 5.03 %
BAM.PR.T FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.57 %
TRP.PR.K FixedReset Prem 1.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.32 %
BAM.PF.D Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.00 %
BAM.PR.N Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.01 %
SLF.PR.A Deemed-Retractible 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 8.34 %
CU.PR.D Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.67 %
BAM.PR.K Floater 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.06 %
SLF.PR.B Deemed-Retractible 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 8.07 %
POW.PR.D Perpetual-Discount 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.32
Evaluated at bid price : 21.59
Bid-YTW : 5.83 %
IAG.PR.G FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.28 %
CM.PR.O FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.00
Evaluated at bid price : 22.59
Bid-YTW : 5.13 %
BMO.PR.Y FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.44
Evaluated at bid price : 23.80
Bid-YTW : 5.18 %
GWO.PR.R Deemed-Retractible 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 7.89 %
POW.PR.B Perpetual-Discount 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.97
Evaluated at bid price : 23.24
Bid-YTW : 5.80 %
TRP.PR.G FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.68
Evaluated at bid price : 23.00
Bid-YTW : 5.65 %
GWO.PR.S Deemed-Retractible 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.57 %
BAM.PF.C Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.97 %
MFC.PR.H FixedReset Ins Non 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.28
Bid-YTW : 6.20 %
BAM.PR.R FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.56 %
BMO.PR.T FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.91
Evaluated at bid price : 22.44
Bid-YTW : 5.07 %
CU.PR.H Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.09
Evaluated at bid price : 23.46
Bid-YTW : 5.68 %
CU.PR.F Perpetual-Discount 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.69 %
VNR.PR.A FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.90
Evaluated at bid price : 24.10
Bid-YTW : 5.21 %
TD.PF.J FixedReset Prem 2.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.47 %
BMO.PR.W FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 5.04 %
TD.PF.C FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.03
Evaluated at bid price : 22.65
Bid-YTW : 5.02 %
CU.PR.G Perpetual-Discount 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.72 %
TD.PF.B FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 5.05 %
SLF.PR.C Deemed-Retractible 2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 8.85 %
IAG.PR.I FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.83
Bid-YTW : 5.90 %
SLF.PR.H FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 7.34 %
PWF.PR.A Floater 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.28 %
NA.PR.G FixedReset Prem 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.11
Evaluated at bid price : 24.85
Bid-YTW : 5.03 %
SLF.PR.I FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.57 %
IFC.PR.C FixedReset Ins Non 2.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.12 %
IGM.PR.B Perpetual-Premium 2.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.86 %
BAM.PF.F FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.11
Evaluated at bid price : 23.70
Bid-YTW : 5.50 %
RY.PR.H FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.19
Evaluated at bid price : 22.90
Bid-YTW : 4.98 %
NA.PR.S FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.88
Evaluated at bid price : 22.38
Bid-YTW : 5.29 %
BAM.PF.E FixedReset Disc 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.57
Evaluated at bid price : 23.00
Bid-YTW : 5.32 %
RY.PR.Z FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.14
Evaluated at bid price : 22.80
Bid-YTW : 4.97 %
HSE.PR.E FixedReset Prem 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.79
Evaluated at bid price : 24.20
Bid-YTW : 6.03 %
BAM.PR.X FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 5.54 %
BMO.PR.S FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.12
Evaluated at bid price : 22.77
Bid-YTW : 5.10 %
MFC.PR.M FixedReset Ins Non 2.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.98 %
RY.PR.M FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.07 %
MFC.PR.G FixedReset Ins Non 2.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 5.70 %
CM.PR.P FixedReset Disc 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.84
Evaluated at bid price : 22.35
Bid-YTW : 5.07 %
BIP.PR.F FixedReset Prem 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.97
Evaluated at bid price : 24.50
Bid-YTW : 5.33 %
MFC.PR.N FixedReset Ins Non 2.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 7.03 %
TD.PF.E FixedReset Disc 2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.30
Evaluated at bid price : 24.30
Bid-YTW : 5.18 %
HSE.PR.G FixedReset Prem 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.84
Evaluated at bid price : 24.20
Bid-YTW : 6.00 %
BAM.PR.Z FixedReset Disc 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.68
Evaluated at bid price : 23.65
Bid-YTW : 5.46 %
BAM.PF.B FixedReset Disc 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.20
Evaluated at bid price : 22.90
Bid-YTW : 5.44 %
IFC.PR.E Deemed-Retractible 3.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.51 %
TRP.PR.F FloatingReset 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 4.72 %
TD.PF.D FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.86
Evaluated at bid price : 24.20
Bid-YTW : 5.18 %
MFC.PR.Q FixedReset Ins Non 3.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.86 %
IFC.PR.A FixedReset Ins Non 3.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 7.73 %
SLF.PR.J FloatingReset 3.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.91
Bid-YTW : 8.25 %
CU.PR.C FixedReset Disc 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.26 %
HSE.PR.A FixedReset Disc 4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 5.79 %
TRP.PR.A FixedReset Disc 4.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.50 %
TRP.PR.C FixedReset Disc 4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.51 %
TRP.PR.E FixedReset Disc 5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 5.41 %
TRP.PR.B FixedReset Disc 5.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.46 %
IFC.PR.G FixedReset Ins Non 6.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset Bank Non 167,372 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 2.93 %
CM.PR.Q FixedReset Disc 124,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.02
Evaluated at bid price : 23.40
Bid-YTW : 5.33 %
TD.PF.C FixedReset Disc 117,175 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 22.03
Evaluated at bid price : 22.65
Bid-YTW : 5.02 %
BAM.PF.I FixedReset Prem 81,118 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.32 %
SLF.PR.I FixedReset Ins Non 64,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.57 %
TD.PF.H FixedReset Prem 59,764 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 3.97 %
There were 66 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 21.02 – 25.00
Spot Rate : 3.9800
Average : 2.1929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 3.95 %

TRP.PR.D FixedReset Disc Quote: 20.69 – 22.80
Spot Rate : 2.1100
Average : 1.2929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 5.75 %

MFC.PR.M FixedReset Ins Non Quote: 22.15 – 23.77
Spot Rate : 1.6200
Average : 0.9540

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.98 %

BAM.PF.F FixedReset Disc Quote: 23.70 – 25.15
Spot Rate : 1.4500
Average : 1.0037

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 23.11
Evaluated at bid price : 23.70
Bid-YTW : 5.50 %

GWO.PR.G Deemed-Retractible Quote: 22.75 – 23.99
Spot Rate : 1.2400
Average : 0.8042

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 7.14 %

BAM.PR.R FixedReset Disc Quote: 20.02 – 21.28
Spot Rate : 1.2600
Average : 0.8755

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-31
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.56 %

October 30, 2018

Tuesday, October 30th, 2018

The equity markets did well today:

Broad gains in the U.S. equity market boosted a measure of global stock markets on Tuesday after President Donald Trump said a “great deal” could be struck with China that would relieve fears of a growing trade war between the world’s two largest economies.

MSCI’s gauge of stocks across the globe gained 1 per cent. Still, the index is down nearly 9 per cent for the month.

Trump said during an interview with Fox News late on Monday that he thought there could be an agreement with China on trade. But he also said he had billions of dollars worth of new tariffs ready to be imposed if a deal was not possible.

The Dow Jones Industrial Average rose 431.96 points, or 1.77 per cent, to 24,874.88, the S&P 500 gained 41.39 points, or 1.57 per cent, to 2,682.64 and the Nasdaq Composite added 111.36 points, or 1.58 per cent, to 7,161.65.

The gains were broad in the U.S., with all 11 sectors of the benchmark S&P index up for the day. Trade-sensitive industrial shares rose 2 per cent.

Correlation is not causation and I’m pretty skeptical of the claim that suddenly kindled trade hopes were at the bottom of this. But then, I’m not a talking head with a desperate need to make everything sound clear and logical!

Somebody forgot to tell the preferred market about the wonderful news: TXPR was down 0.66%, touching a new 52-week low of 669.90 … it spend a good chunk of the day near that level, down 1.25% or so; volume, at 3.81-million (constituent) shares, was the second-highest for the month; CPD hit a new low of 13.37, with about $3.6-million worth being traded, the highest volume of the month by far; and ZPR hit a new 52-week low of 11.005 on its second-highest volume of the month, which was only a little more than half of yesterday’s volume.

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 -1.2068 % 2,992.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2068 % 5,491.6
Floater 3.88 % 4.13 % 41,193 17.15 4 -1.2068 % 3,164.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4522 % 3,212.5
SplitShare 4.63 % 4.95 % 53,359 4.68 5 -0.4522 % 3,836.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4522 % 2,993.3
Perpetual-Premium 5.77 % 5.87 % 66,624 14.06 12 -0.7151 % 2,840.2
Perpetual-Discount 5.73 % 5.83 % 74,175 14.14 21 -0.4380 % 2,862.8
FixedReset Disc 4.45 % 5.37 % 160,499 14.99 45 -0.5291 % 2,445.6
Deemed-Retractible 5.44 % 7.14 % 72,794 5.20 27 -0.8747 % 2,852.9
FloatingReset 3.91 % 4.01 % 47,444 5.44 4 -0.0366 % 2,708.2
FixedReset Prem 4.98 % 4.93 % 257,024 3.03 34 -0.2672 % 2,518.2
FixedReset Bank Non 3.06 % 4.04 % 96,199 3.04 7 -0.2692 % 2,569.6
FixedReset Ins Non 4.59 % 6.58 % 127,377 5.29 22 -0.2443 % 2,437.6
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.69 %
IFC.PR.G FixedReset Ins Non -3.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.78
Bid-YTW : 6.79 %
HSE.PR.A FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.03 %
TRP.PR.B FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 15.36
Evaluated at bid price : 15.36
Bid-YTW : 5.75 %
IAG.PR.I FixedReset Ins Non -2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.32 %
BAM.PF.G FixedReset Disc -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.67
Evaluated at bid price : 23.05
Bid-YTW : 5.61 %
BAM.PF.B FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.76
Evaluated at bid price : 22.19
Bid-YTW : 5.64 %
CU.PR.H Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.67
Evaluated at bid price : 23.00
Bid-YTW : 5.79 %
IFC.PR.E Deemed-Retractible -2.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 7.14 %
BAM.PF.A FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.47
Evaluated at bid price : 23.34
Bid-YTW : 5.59 %
IGM.PR.B Perpetual-Premium -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 24.09
Evaluated at bid price : 24.38
Bid-YTW : 6.08 %
SLF.PR.C Deemed-Retractible -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.51
Bid-YTW : 9.29 %
BAM.PF.F FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.56
Evaluated at bid price : 23.11
Bid-YTW : 5.65 %
BIP.PR.E FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.68
Evaluated at bid price : 23.70
Bid-YTW : 5.56 %
HSE.PR.E FixedReset Prem -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.11
Evaluated at bid price : 23.56
Bid-YTW : 6.19 %
BAM.PR.Z FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.29
Evaluated at bid price : 22.93
Bid-YTW : 5.65 %
CU.PR.G Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 5.84 %
NA.PR.G FixedReset Prem -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.89
Evaluated at bid price : 24.28
Bid-YTW : 5.17 %
BIP.PR.F FixedReset Prem -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.68
Evaluated at bid price : 23.80
Bid-YTW : 5.51 %
EIT.PR.B SplitShare -1.71 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 5.19 %
NA.PR.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.36
Evaluated at bid price : 23.10
Bid-YTW : 5.23 %
BIP.PR.D FixedReset Prem -1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.83 %
W.PR.H Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.75 %
HSE.PR.G FixedReset Prem -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.10
Evaluated at bid price : 23.50
Bid-YTW : 6.18 %
SLF.PR.A Deemed-Retractible -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 8.67 %
BAM.PR.K Floater -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.13 %
TD.PF.I FixedReset Prem -1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.06 %
SLF.PR.B Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 8.40 %
BAM.PR.C Floater -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.13 %
BMO.PR.D FixedReset Prem -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 5.00 %
PWF.PR.O Perpetual-Premium -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.92 %
GWO.PR.I Deemed-Retractible -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 9.13 %
CU.PR.F Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.80 %
RY.PR.O Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.04
Evaluated at bid price : 23.40
Bid-YTW : 5.22 %
BAM.PR.R FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.64
Evaluated at bid price : 19.64
Bid-YTW : 5.67 %
SLF.PR.J FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.22
Bid-YTW : 8.94 %
BAM.PR.T FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.65 %
SLF.PR.E Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 9.10 %
RY.PR.W Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 5.13 %
PWF.PR.R Perpetual-Premium -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.24
Evaluated at bid price : 23.70
Bid-YTW : 5.82 %
PWF.PR.T FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.91
Evaluated at bid price : 22.42
Bid-YTW : 5.27 %
CU.PR.D Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.63
Evaluated at bid price : 21.63
Bid-YTW : 5.77 %
GWO.PR.M Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 6.01 %
TRP.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.75 %
W.PR.J Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.82 %
HSE.PR.C FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.03
Evaluated at bid price : 22.65
Bid-YTW : 6.01 %
GWO.PR.N FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.68
Bid-YTW : 8.39 %
BMO.PR.Y FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.23
Evaluated at bid price : 23.60
Bid-YTW : 5.29 %
W.PR.K FixedReset Prem -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.46 %
IAG.PR.G FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.61 %
BMO.PR.T FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.78
Evaluated at bid price : 22.25
Bid-YTW : 5.19 %
PWF.PR.A Floater -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 3.36 %
BMO.PR.S FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.89
Evaluated at bid price : 22.40
Bid-YTW : 5.27 %
BMO.PR.W FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.72
Evaluated at bid price : 22.17
Bid-YTW : 5.17 %
GWO.PR.G Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 7.44 %
BNS.PR.Z FixedReset Bank Non -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 4.77 %
TRP.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.71 %
BMO.PR.E FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.10
Evaluated at bid price : 24.84
Bid-YTW : 4.98 %
GWO.PR.L Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 6.16 %
GWO.PR.P Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.62
Bid-YTW : 6.62 %
SLF.PR.D Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 9.05 %
TD.PF.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.81
Evaluated at bid price : 22.30
Bid-YTW : 5.12 %
RY.PR.Z FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.68
Evaluated at bid price : 23.05
Bid-YTW : 5.41 %
VNR.PR.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.68
Evaluated at bid price : 23.62
Bid-YTW : 5.33 %
RY.PR.J FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.22
Evaluated at bid price : 23.64
Bid-YTW : 5.25 %
NA.PR.A FixedReset Prem 1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.45 %
TRP.PR.K FixedReset Prem 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.81 %
BAM.PF.E FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.87
Evaluated at bid price : 22.40
Bid-YTW : 5.46 %
MFC.PR.Q FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.92
Bid-YTW : 6.53 %
TRP.PR.J FixedReset Prem 1.97 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.41 %
TRP.PR.F FloatingReset 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 4.88 %
BAM.PF.C Perpetual-Discount 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.08 %
TRP.PR.D FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.77 %
TD.PF.G FixedReset Prem 2.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.11 %
SLF.PR.I FixedReset Ins Non 2.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.01 %
BAM.PR.N Perpetual-Discount 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.11 %
TD.PF.E FixedReset Disc 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.26
Evaluated at bid price : 23.60
Bid-YTW : 5.37 %
BAM.PR.M Perpetual-Discount 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.11 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.R FixedReset Bank Non 378,836 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.47 %
TD.PF.H FixedReset Prem 220,356 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.07 %
CM.PR.R FixedReset Prem 144,064 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 4.76 %
RY.PR.D Deemed-Retractible 101,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-29
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.21 %
BNS.PR.H FixedReset Prem 85,856 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.96 %
BNS.PR.I FixedReset Disc 60,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 23.07
Evaluated at bid price : 24.77
Bid-YTW : 4.80 %
There were 83 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.O FixedReset Disc Quote: 22.19 – 23.25
Spot Rate : 1.0600
Average : 0.6201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.75
Evaluated at bid price : 22.19
Bid-YTW : 5.23 %

BAM.PR.Z FixedReset Disc Quote: 22.93 – 24.12
Spot Rate : 1.1900
Average : 0.8009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.29
Evaluated at bid price : 22.93
Bid-YTW : 5.65 %

IFC.PR.G FixedReset Ins Non Quote: 22.78 – 23.78
Spot Rate : 1.0000
Average : 0.6662

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.78
Bid-YTW : 6.79 %

CM.PR.P FixedReset Disc Quote: 21.72 – 22.50
Spot Rate : 0.7800
Average : 0.4816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 5.23 %

BAM.PF.F FixedReset Disc Quote: 23.11 – 23.90
Spot Rate : 0.7900
Average : 0.5143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.56
Evaluated at bid price : 23.11
Bid-YTW : 5.65 %

CU.PR.H Perpetual-Discount Quote: 23.00 – 23.81
Spot Rate : 0.8100
Average : 0.5372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-30
Maturity Price : 22.67
Evaluated at bid price : 23.00
Bid-YTW : 5.79 %

October 29, 2018

Monday, October 29th, 2018

I’ve been getting a few inquiries regarding what the hell is going on in the Canadian preferred share lately – here’s my best answer:

I ascribe the downturn to uncertainty.

Perpetual Discounts now yield 5.78%, equivalent to 7.51% interest at the standard conversion factor of 1.3x. Long-Term corporate bonds now yield a little over 4.10%, so the pre-tax interest-equivalent spread is now about 340bp, an enormous widening from the 315bp reported on September 26 that has been achieved entirely through the increase in PerpetualDiscount yields – the long term corporate bond yield has not changed noticeably.

At the same time, we’re seeing comparable weakness in FixedResets, which really should stay relatively stable regardless of the overall level of interest rates , but which should be expected to continue to recover from the lows of 2014-16 with an increase in yields.

It is possible that this is being driven by funds like CPD – as units are created and destroyed, individual issues are bought and sold in lockstep, regardless of their characteristics – but I’m not sure that this is the case; and while this would explain the correlation between the two sub-classes, it wouldn’t explain why the units are being created and destroyed in the first place.

It seems to me that investors in both subsectors are fearing the worst, regardless of the fact that their worst fears are of opposite environments. I suggest that this may be due to uncertainties regarding the global economy; we’re seeing the IMF cut its growth forecasts due to trade concerns; Trump trying to pick a fight with the Fed (I think this is probably because he wants some political cover in case a US slowdown does occur to a noticeable degree); and, of course, the approaching US mid-term elections.

Due to the retail nature of preferred share investors, the sector is prone to episodes like this, in which the market behaves irrationally for a while until people take a deep breath and look at the comparable after-tax yields. I just wish there was some way of predicting the outbreak and duration of such events!

My second-best answer (because it’s rather dated, but is still generally applicable) is Shut Up and Clip Your Coupons! I mean, what else are you going to put your money into that will pay such a high rate of after-tax income while providing first-loss protection?

In the equity markets today:

All sectors on the TSX lost ground on Monday, led by cannabis-heavy health care which was down more than 10 per cent. Aphria Inc. closed down 17.35 per cent, Canopy Growth Corp. 14.12 per cent and Aurora Cannabis 16.10 per cent.

Since Canada legalized recreational marijuana use Oct. 17, pot stocks have lost up to about 45 per cent of their value.

The energy sector closed off more than three cent as the price of crude oil continued to fall as investors remained concerned about slowing global demand led by weakness in China

In New York, the Dow Jones industrial average was down 245.39 to 24,442.92. The S&P 500 index was off 17.44 points to 2,641.25, while the Nasdaq composite lost 116.92 points to 7,050.29.

U.S. markets sustained sharp losses late in the day on reports that Trump is planning new tariffs on all remaining imports from China if the two sides don’t make progress in trade talks next month.

As an aside, I don’t agree with Andrew Jackson (Adjunct Research Professor in the Institute of Political Economy at Carleton University, and senior policy adviser to the Broadbent Institute) very often – but sometimes he has things right:

Further, cuts to the corporate-tax rate are costly since most of the benefit goes to existing firms making profits from past investments, rather than to new firms or those thinking about expansion. A cut in the tax rate is also irrelevant to companies earning so-called rents or above-average profits compared to the international norm. For example, during the resource-boom companies would have invested in the oil sands even if the corporate-tax rate had been much higher, since expected profits were very high.

Canadian banks, utilities, airlines, railways, retailers and cultural industries among others all have to operate mainly in Canada to serve the Canadian market, so they are not very responsive to changes in tax rates compared to other countries.

If the politicians want to make Canada more competitive, they will break up the banks. Let them bank; don’t let them do much else. The enormous size of the heavily protected Canadian banking sector soaks up talent, soaks up capital, soaks up real-estate and soaks up political attention – for what? Second-rate (or, at best, plain vanilla) products made very cheaply as a consequence of scale and sold on the basis of the brand name. That not the basis of a competitive economy – that’s the basis of rentier economy, which is what we got.

I’ve rearranged my data collection routines in an effort that will eventually improve the attribution analysis I’ve been working on. Here are some spot results that some might find of interest:

Total Return
2018-9-28 to 2018-10-29
Tracking
Account
Performance
HIMI Index – Floater -3.23%
HIMI Index – Split Share -0.10%
HIMI Index – Perpetual (Premium) -2.21%
HIMI Index – Perpetual (Discount) -4.25%
HIMI Index – FixedReset Discount -5.05%
HIMI Index – Deemed Retractible -3.93%
HIMI Index – FloatingReset -5.13%
HIMI Index – FixedReset Premium -1.98%
HIMI Index – FixedReset Bank nonNVCC +0.16%
HIMI Index – FixedReset Insurance nonNVCC -5.83%
HIMI Index – Scraps Ratchet -1.35%
HIMI Index – Scraps FixedFloater -1.49%
HIMI Index – Scraps Floater -2.35%
HIMI Index – Scraps OpRet +1.61%
HIMI Index – Scraps Split Share -0.50%
HIMI Index – Scraps PerpPrem -4.23%
HIMI Index – Scraps PerpDisc -4.57%
HIMI Index – Scraps FR Discount -5.86%
HIMI Index – Scraps DeemedRet -5.62%
HIMI Index – Scraps FloatingReset -3.79%
HIMI Index – Scraps FR Premium -2.47%

Note that issues may be relegated to “Scraps” on either credit or volume concerns.

All of which is by way of introducing a snapshot of today’s preferred share market action:

explosion_181029
Click for Big
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 -0.6203 % 3,029.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6203 % 5,558.7
Floater 3.84 % 4.06 % 41,613 17.29 4 -0.6203 % 3,203.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0635 % 3,227.1
SplitShare 4.61 % 4.86 % 50,916 4.68 5 0.0635 % 3,853.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0635 % 3,006.9
Perpetual-Premium 5.73 % 5.75 % 65,601 14.11 12 -0.3983 % 2,860.6
Perpetual-Discount 5.71 % 5.80 % 74,333 14.20 21 -0.9345 % 2,875.4
FixedReset Disc 4.43 % 5.41 % 154,686 14.98 45 -2.8808 % 2,458.6
Deemed-Retractible 5.39 % 6.74 % 67,782 5.21 27 -0.5609 % 2,878.1
FloatingReset 3.91 % 3.99 % 46,209 5.45 4 -1.9873 % 2,709.2
FixedReset Prem 4.96 % 4.82 % 233,259 3.04 34 -0.6970 % 2,524.9
FixedReset Bank Non 3.05 % 4.04 % 89,083 3.04 7 -0.0102 % 2,576.6
FixedReset Ins Non 4.58 % 6.51 % 125,407 5.31 22 -1.1287 % 2,443.5
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -7.91 % A highly suspicious quote, since the issue traded 29,954 shares today in a range of 20.77-21.95 before closing at 20.13-85.

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 : 2048-10-29
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 5.91 %

TRP.PR.F FloatingReset -7.80 % A nonsensical quote as the issue traded 7,200 shares today in a range of 19.49-28 before closing at 18.44-20.27.

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 : 2048-10-29
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 4.99 %

TD.PF.E FixedReset Disc -5.69 % Another nonsensical quote, as the issue traded 8,245 shares today in a range of 23.66-22 before closing at 22.88-72.

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 : 2048-10-29
Maturity Price : 22.56
Evaluated at bid price : 22.88
Bid-YTW : 5.54 %

TRP.PR.G FixedReset Disc -5.30 % A highly suspicious quote as the issue traded 15,750 shares today in a range of 23.03-00 before closing at 22.53-23.67.

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 : 2048-10-29
Maturity Price : 22.24
Evaluated at bid price : 22.53
Bid-YTW : 5.77 %

BAM.PF.E FixedReset Disc -5.13 % Another highly suspicious quote from Nonsense Central, as the issue traded 8,269 shares in a range of 22.71-46 before being quoted at 22.01-23.07 in NC’s very expensive reports.

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 : 2048-10-29
Maturity Price : 21.61
Evaluated at bid price : 22.01
Bid-YTW : 5.56 %

TRP.PR.B FixedReset Disc -5.11 % This one is actually credible, as there was a little bit of trading below $16.00 in the last half hour of the regular market, during which one board lot touched the low of 15.75.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 15.79
Evaluated at bid price : 15.79
Bid-YTW : 5.60 %

CM.PR.Q FixedReset Disc -5.04 % But our lack of faith in the reliability of these expensively purchased quotes is restored when we see that this issue traded 11,559 shares in a range of 23.41-10 before being quoted at 22.79-43.

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 : 2048-10-29
Maturity Price : 22.44
Evaluated at bid price : 22.79
Bid-YTW : 5.47 %

BAM.PR.M Perpetual-Discount -4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.33 %
TRP.PR.A FixedReset Disc -4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.74 %
SLF.PR.I FixedReset Ins Non -4.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.39
Bid-YTW : 6.51 %
TRP.PR.E FixedReset Disc -4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 5.65 %
VNR.PR.A FixedReset Disc -4.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.52
Evaluated at bid price : 23.31
Bid-YTW : 5.41 %
MFC.PR.Q FixedReset Ins Non -4.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 6.88 %
TRP.PR.C FixedReset Disc -4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.68 %
NA.PR.W FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.39 %
RY.PR.Z FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.59
Evaluated at bid price : 21.95
Bid-YTW : 5.18 %
BAM.PF.C Perpetual-Discount -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.22 %
NA.PR.S FixedReset Disc -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.56
Evaluated at bid price : 21.91
Bid-YTW : 5.41 %
BAM.PR.N Perpetual-Discount -3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 6.29 %
CM.PR.O FixedReset Disc -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.75
Evaluated at bid price : 22.20
Bid-YTW : 5.23 %
BIP.PR.E FixedReset Disc -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.91
Evaluated at bid price : 24.21
Bid-YTW : 5.43 %
RY.PR.H FixedReset Disc -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.76
Evaluated at bid price : 22.21
Bid-YTW : 5.15 %
TD.PF.C FixedReset Disc -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.60
Evaluated at bid price : 21.99
Bid-YTW : 5.18 %
CM.PR.P FixedReset Disc -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.53
Evaluated at bid price : 21.90
Bid-YTW : 5.18 %
RY.PR.M FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.69
Evaluated at bid price : 23.01
Bid-YTW : 5.23 %
TD.PF.D FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.08
Evaluated at bid price : 23.46
Bid-YTW : 5.33 %
TD.PF.B FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.76
Evaluated at bid price : 22.21
Bid-YTW : 5.18 %
BMO.PR.S FixedReset Disc -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.05
Evaluated at bid price : 22.65
Bid-YTW : 5.21 %
GWO.PR.R Deemed-Retractible -2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 8.24 %
HSE.PR.A FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.85 %
RY.PR.J FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.88
Evaluated at bid price : 23.29
Bid-YTW : 5.33 %
BAM.PR.Z FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.55
Evaluated at bid price : 23.40
Bid-YTW : 5.53 %
HSE.PR.C FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.46
Evaluated at bid price : 22.93
Bid-YTW : 5.94 %
TD.PF.A FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.65
Evaluated at bid price : 22.06
Bid-YTW : 5.18 %
BAM.PR.R FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.59 %
BMO.PR.Y FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.52
Evaluated at bid price : 23.88
Bid-YTW : 5.23 %
BIP.PR.F FixedReset Prem -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.86
Evaluated at bid price : 24.22
Bid-YTW : 5.40 %
BMO.PR.T FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 5.13 %
TRP.PR.K FixedReset Prem -2.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.30 %
PWF.PR.T FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.09
Evaluated at bid price : 22.70
Bid-YTW : 5.20 %
CU.PR.C FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.48 %
BMO.PR.W FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.88
Evaluated at bid price : 22.41
Bid-YTW : 5.11 %
SLF.PR.H FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.09
Bid-YTW : 7.80 %
EMA.PR.F FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.85
Evaluated at bid price : 23.32
Bid-YTW : 5.36 %
TD.PF.G FixedReset Prem -1.99 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.22 %
POW.PR.A Perpetual-Premium -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.85 %
BAM.PF.G FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.30
Evaluated at bid price : 23.69
Bid-YTW : 5.46 %
PWF.PR.A Floater -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 3.32 %
HSE.PR.G FixedReset Prem -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.51
Evaluated at bid price : 23.89
Bid-YTW : 6.07 %
NA.PR.A FixedReset Prem -1.83 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.03 %
CM.PR.S FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.46
Evaluated at bid price : 23.24
Bid-YTW : 5.07 %
MFC.PR.N FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 7.52 %
BAM.PF.A FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.74
Evaluated at bid price : 23.90
Bid-YTW : 5.44 %
MFC.PR.B Deemed-Retractible -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 9.31 %
IFC.PR.G FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 6.11 %
BAM.PF.F FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.04
Evaluated at bid price : 23.62
Bid-YTW : 5.52 %
MFC.PR.G FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.04
Bid-YTW : 6.19 %
TRP.PR.J FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.24 %
IFC.PR.C FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 6.49 %
BAM.PR.X FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.45 %
HSE.PR.E FixedReset Prem -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.63
Evaluated at bid price : 24.05
Bid-YTW : 6.07 %
MFC.PR.J FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 6.36 %
BAM.PR.T FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.58 %
BAM.PF.H FixedReset Prem -1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.23 %
GWO.PR.Q Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 7.30 %
TD.PF.F Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.17
Evaluated at bid price : 23.54
Bid-YTW : 5.21 %
CU.PR.F Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.72 %
BAM.PF.B FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.11
Evaluated at bid price : 22.74
Bid-YTW : 5.49 %
GWO.PR.S Deemed-Retractible -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 6.74 %
SLF.PR.A Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.84
Bid-YTW : 8.34 %
CU.PR.G Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.72 %
EMA.PR.H FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.07
Evaluated at bid price : 24.69
Bid-YTW : 4.96 %
POW.PR.D Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.91 %
GWO.PR.G Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 7.22 %
PWF.PR.P FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 5.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.L FixedReset Bank Non 407,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 2.83 %
BMO.PR.E FixedReset Prem 81,440 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.92 %
TD.PF.H FixedReset Prem 71,202 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.25 %
BNS.PR.I FixedReset Disc 69,005 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 23.06
Evaluated at bid price : 24.76
Bid-YTW : 4.80 %
IFC.PR.E Deemed-Retractible 59,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.67 %
RY.PR.Q FixedReset Prem 58,833 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.18 %
There were 53 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 18.44 – 20.27
Spot Rate : 1.8300
Average : 1.0966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 4.99 %

TRP.PR.A FixedReset Disc Quote: 18.50 – 20.11
Spot Rate : 1.6100
Average : 0.9725

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.74 %

SLF.PR.I FixedReset Ins Non Quote: 22.39 – 23.55
Spot Rate : 1.1600
Average : 0.6272

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.39
Bid-YTW : 6.51 %

RY.PR.M FixedReset Disc Quote: 23.01 – 24.20
Spot Rate : 1.1900
Average : 0.6871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.69
Evaluated at bid price : 23.01
Bid-YTW : 5.23 %

TRP.PR.G FixedReset Disc Quote: 22.53 – 23.67
Spot Rate : 1.1400
Average : 0.6876

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 22.24
Evaluated at bid price : 22.53
Bid-YTW : 5.77 %

BAM.PF.E FixedReset Disc Quote: 22.01 – 23.07
Spot Rate : 1.0600
Average : 0.6162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-29
Maturity Price : 21.61
Evaluated at bid price : 22.01
Bid-YTW : 5.56 %

October 26, 2018

Saturday, October 27th, 2018

It looks like the situation at Fortress is unravelling:

Senior lenders have moved to seize control of 13 real estate development projects co-ordinated by Fortress Real Developments Inc. as the loans mature or fall into default.

A new report from FAAN Mortgage Administrators Inc., a court-appointed receiver that took control of Fortress’s affiliated mortgage brokerage firm, says 24 of the 45 syndicated mortgage loans it is overseeing have matured but the principal has not been repaid, while 13 projects are now facing enforcement actions from senior lenders who rank first on any prospective claim.

The Globe, in the apparent belief that if it ignores the Internet it will go away, did not supply hyperlinks to the source material, but the FAAN website contains many links, including one to the second report of the Trustee dated October 23, 2018. It makes pretty sad reading, f’rinstance:

90. In addition to projects facing enforcement actions by senior lenders, the Trustee faces challenges to recoveries on the syndicated mortgage loan made to 2309918 Ontario Inc. (“Eden Borrower”). The Eden Borrower is indebted to BDMC in respect of loans made for a real estate development project in King City, Ontario, consisting of approximately 28 residential homes (“Eden Project”). These homes have been sold and the senior loans have been discharged. The mortgages in favour of BDMC have not been discharged and, to date, no payments of the sums secured by BDMC’s mortgages have been repaid. The Investors are owed in excess of $7 million (including accrued interest) in respect of the Eden Project.

91. As late as June 2018, Fortress was advising participants who attend certain periodic update conference calls hosted by Fortress that the syndicated mortgage loan secured on the Eden Project would be repaid in full within a matter of months.

92. In early July, 2018, the Trustee was advised by PACE Developments Inc. (“PACE”), the developer on the Eden Project, on behalf of the Eden Borrower, that there would be no recovery to Investors on the Eden Project, notwithstanding the communications by Fortress of full payment expressed weeks earlier. PACE advised that certain cost overruns not previously accounted for had absorbed the over $7 million payable to Investors. In light of the very concerning representations made to the Trustee and others, the Trustee engaged with PACE to obtain the financial information related to the Eden Project to undertake a detailed review of the sources and uses of funds advanced throughout the Eden Project.

93. Since July, 2018, the Trustee faced increasing pressure from representatives of the Eden Borrower, PACE and CDCM to discharge BDMC’s security on all of the homes to permit buyers to own the properties free and clear of any pre-existing security.

94. The Eden Borrower and PACE continued to insist that the Trustee discharge BDMC’s security without repayment of any of the amounts owing. When the Trustee refused to do so, the Eden Borrower threatened to bring legal action against the Trustee and also appears to have advised certain of the homeowners to seek a remedy against the Trustee.

95. As a result, on September 12, 2018, the Trustee made demand against the Eden Borrower and PACE. In addition to demanding repayment of the full amount owed to Investors and 29 professional fees incurred to the date of the letter, the Trustee demanded additional documents to explain the significant change in the Eden Borrower’s financial position over such a short timeframe.

96. While PACE has responded to the Trustee’s requests for documents, the Trustee is continuing to investigate the cause of the significant change in forecast recoveries to the Investors while pursuing remedies against the Eden Borrower.

97. Since the issuance of the demand letter on September 12, 2018, the Trustee followed up in writing seeking advice as to when repayment would be made. As no response has been received, the Trustee delivered a demand letter and a 244 Notice on October 19, 2018.

Meanwhile, in the Canadian preferred share market:

explosion_181026
Click for Big

TXPR hit a new 52-week low of 688.16 and closed down 88bp; CPD touched a new 52-week low of 13.63 and closed down 115bp at 13.72 on very heavy volume of 571,500 shares (about 14 times yesterday’s volume and a little under 5 times the highest volume of the past thirty days); and ZPR set a new 52-week low of 11.36, closing at 11.36, down 130bp on the day on volume of almost 183,000 shares (about double yesterday’s volume and the highest of the past thirty days). All “new lows” are based on the price index, not the total return index, and therefore do not account for dividend receipts.

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 -1.8802 % 3,048.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8802 % 5,593.4
Floater 3.57 % 3.80 % 41,394 17.85 4 -1.8802 % 3,223.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0715 % 3,225.1
SplitShare 4.61 % 4.82 % 51,461 4.69 5 0.0715 % 3,851.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0715 % 3,005.0
Perpetual-Premium 5.71 % 5.71 % 65,334 14.20 12 -0.4804 % 2,872.1
Perpetual-Discount 5.66 % 5.78 % 74,224 14.22 21 -0.5937 % 2,902.5
FixedReset Disc 4.30 % 5.21 % 152,367 15.24 45 -0.9437 % 2,531.5
Deemed-Retractible 5.36 % 6.58 % 65,707 5.22 27 -0.2966 % 2,894.3
FloatingReset 3.76 % 3.92 % 44,037 5.48 4 -1.6831 % 2,764.2
FixedReset Prem 4.93 % 4.56 % 253,161 3.05 34 -0.5094 % 2,542.6
FixedReset Bank Non 3.18 % 3.92 % 87,953 0.33 8 -0.0663 % 2,576.8
FixedReset Ins Non 4.53 % 6.25 % 124,915 5.33 22 -1.0347 % 2,471.4
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -3.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 8.94 %
TRP.PR.A FixedReset Disc -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.51 %
SLF.PR.J FloatingReset -2.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.59
Bid-YTW : 8.47 %
BAM.PR.B Floater -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 3.81 %
PWF.PR.P FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.19 %
BAM.PR.K Floater -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.81 %
PWF.PR.T FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.37
Evaluated at bid price : 23.20
Bid-YTW : 5.10 %
BAM.PF.D Perpetual-Discount -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.10 %
TRP.PR.F FloatingReset -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.51 %
BAM.PR.X FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 5.40 %
BAM.PF.B FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.26
Evaluated at bid price : 23.01
Bid-YTW : 5.44 %
BAM.PR.C Floater -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 3.80 %
TRP.PR.C FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.49 %
RY.PR.J FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.49
Evaluated at bid price : 23.89
Bid-YTW : 5.22 %
PWF.PR.Q FloatingReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 3.92 %
IFC.PR.C FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.25 %
SLF.PR.H FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 7.42 %
HSE.PR.E FixedReset Prem -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.99
Evaluated at bid price : 24.37
Bid-YTW : 6.02 %
MFC.PR.G FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.90 %
MFC.PR.M FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 7.19 %
VNR.PR.A FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.03
Evaluated at bid price : 24.40
Bid-YTW : 5.16 %
BAM.PR.T FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.54 %
BAM.PR.N Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.08 %
MFC.PR.Q FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.05 %
SLF.PR.I FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.65 %
PWF.PR.Z Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 21.88
Evaluated at bid price : 22.21
Bid-YTW : 5.81 %
MFC.PR.J FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 6.12 %
NA.PR.G FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.10
Evaluated at bid price : 24.82
Bid-YTW : 5.05 %
BMO.PR.S FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.40
Evaluated at bid price : 23.27
Bid-YTW : 5.08 %
CU.PR.C FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.39 %
POW.PR.C Perpetual-Premium -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.89 %
MFC.PR.H FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 6.44 %
RY.PR.Z FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.11
Evaluated at bid price : 22.75
Bid-YTW : 5.01 %
CU.PR.I FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.14 %
BAM.PF.E FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.76
Evaluated at bid price : 23.20
Bid-YTW : 5.30 %
RY.PR.W Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 5.08 %
MFC.PR.I FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.29
Bid-YTW : 6.12 %
BAM.PR.R FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 5.49 %
IAG.PR.I FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.99
Bid-YTW : 5.76 %
TRP.PR.J FixedReset Prem -1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.64 %
RY.PR.M FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.38
Evaluated at bid price : 23.70
Bid-YTW : 5.11 %
TRP.PR.B FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 5.35 %
GWO.PR.P Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 6.45 %
POW.PR.G Perpetual-Premium -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 24.34
Evaluated at bid price : 24.67
Bid-YTW : 5.71 %
BAM.PR.M Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.03 %
BAM.PF.J FixedReset Prem -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.14 %
MFC.PR.O FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 4.83 %
MFC.PR.N FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 7.20 %
TRP.PR.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 21.50
Evaluated at bid price : 21.85
Bid-YTW : 5.40 %
BMO.PR.W FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.41
Evaluated at bid price : 22.89
Bid-YTW : 5.03 %
IFC.PR.A FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.54
Bid-YTW : 8.20 %
BAM.PF.F FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.43
Evaluated at bid price : 24.00
Bid-YTW : 5.46 %
CM.PR.Q FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.64
Evaluated at bid price : 24.00
Bid-YTW : 5.22 %
SLF.PR.C Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 8.69 %
BMO.PR.T FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.24
Evaluated at bid price : 23.00
Bid-YTW : 5.03 %
MFC.PR.L FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.72 %
NA.PR.C FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 4.80 %
GWO.PR.G Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 7.00 %
TRP.PR.D FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 21.52
Evaluated at bid price : 21.86
Bid-YTW : 5.45 %
GWO.PR.T Deemed-Retractible 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.86 %
IFC.PR.G FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 64,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.86 %
RY.PR.J FixedReset Disc 63,424 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 23.49
Evaluated at bid price : 23.89
Bid-YTW : 5.22 %
RY.PR.Z FixedReset Disc 62,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.11
Evaluated at bid price : 22.75
Bid-YTW : 5.01 %
RY.PR.Q FixedReset Prem 59,185 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 3.99 %
NA.PR.S FixedReset Disc 58,361 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.06
Evaluated at bid price : 22.67
Bid-YTW : 5.24 %
CM.PR.O FixedReset Disc 56,898 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 5.07 %
There were 66 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: 23.01 – 23.69
Spot Rate : 0.6800
Average : 0.4799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 22.26
Evaluated at bid price : 23.01
Bid-YTW : 5.44 %

PWF.PR.Q FloatingReset Quote: 20.77 – 21.39
Spot Rate : 0.6200
Average : 0.4575

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 3.92 %

TRP.PR.A FixedReset Disc Quote: 19.39 – 19.82
Spot Rate : 0.4300
Average : 0.2735

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.51 %

BAM.PF.D Perpetual-Discount Quote: 20.33 – 20.80
Spot Rate : 0.4700
Average : 0.3272

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.10 %

BAM.PR.N Perpetual-Discount Quote: 19.78 – 20.18
Spot Rate : 0.4000
Average : 0.2888

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.08 %

TRP.PR.F FloatingReset Quote: 20.00 – 20.40
Spot Rate : 0.4000
Average : 0.2925

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.51 %

October 25, 2018

Thursday, October 25th, 2018

TXPR continued its streak of hitting new 52-week lows, this time touching 694.69 compared to the prior lowest level of 694.81. Note that this is the price index, which ignores the effect of dividend receipts.

CPD also hit a low, touching 13.83 compared to the prior level of 13.93 … again ignoring the effect of dividend receipts.

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 0.1897 % 3,106.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1897 % 5,700.5
Floater 3.50 % 3.70 % 39,955 18.06 4 0.1897 % 3,285.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0318 % 3,222.8
SplitShare 4.62 % 4.85 % 48,402 4.70 5 -0.0318 % 3,848.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0318 % 3,002.9
Perpetual-Premium 5.68 % 5.29 % 78,758 14.20 12 -0.3448 % 2,885.9
Perpetual-Discount 5.62 % 5.75 % 73,810 14.31 21 0.0748 % 2,919.8
FixedReset Disc 4.26 % 5.15 % 147,683 15.34 45 -0.0646 % 2,555.7
Deemed-Retractible 5.34 % 6.49 % 66,544 5.22 27 0.4445 % 2,902.9
FloatingReset 3.70 % 3.85 % 44,568 5.50 4 -0.5502 % 2,811.5
FixedReset Prem 4.90 % 4.38 % 252,453 3.01 34 -0.0683 % 2,555.7
FixedReset Bank Non 3.18 % 3.40 % 89,106 0.33 8 -0.0204 % 2,578.6
FixedReset Ins Non 4.49 % 6.11 % 120,862 5.34 22 -0.4560 % 2,497.3
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -4.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.19 %
TRP.PR.D FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 21.54
Evaluated at bid price : 21.54
Bid-YTW : 5.55 %
PWF.PR.E Perpetual-Premium -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 5.81 %
PWF.PR.R Perpetual-Premium -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 23.69
Evaluated at bid price : 24.01
Bid-YTW : 5.74 %
SLF.PR.G FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.12
Bid-YTW : 8.32 %
IFC.PR.A FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.76
Bid-YTW : 7.99 %
SLF.PR.J FloatingReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 7.92 %
BAM.PF.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 23.79
Evaluated at bid price : 24.15
Bid-YTW : 5.38 %
MFC.PR.L FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.42
Bid-YTW : 7.51 %
BAM.PR.T FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 5.45 %
GWO.PR.G Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 7.20 %
RY.PR.R FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.24 %
BAM.PR.M Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.95 %
GWO.PR.R Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.54
Bid-YTW : 7.74 %
IFC.PR.F Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.39 %
TD.PF.D FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.15 %
BAM.PF.J FixedReset Prem 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.80 %
MFC.PR.B Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.15
Bid-YTW : 8.90 %
GWO.PR.P Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 6.20 %
CU.PR.C FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.31 %
HSE.PR.E FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.35 %
IFC.PR.E Deemed-Retractible 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.49 %
GWO.PR.L Deemed-Retractible 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.I FixedReset Ins Non 108,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 5.36 %
MFC.PR.J FixedReset Ins Non 103,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.08
Bid-YTW : 5.82 %
RY.PR.Q FixedReset Prem 66,285 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.86 %
TD.PR.Y FixedReset Bank Non 58,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.40 %
TRP.PR.D FixedReset Disc 51,948 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 21.54
Evaluated at bid price : 21.54
Bid-YTW : 5.55 %
PWF.PR.S Perpetual-Discount 50,855 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.76 %
There were 23 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: 22.30 – 23.45
Spot Rate : 1.1500
Average : 0.7444

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.86 %

IFC.PR.G FixedReset Ins Non Quote: 23.50 – 24.50
Spot Rate : 1.0000
Average : 0.6026

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.19 %

HSE.PR.C FixedReset Disc Quote: 23.49 – 24.50
Spot Rate : 1.0100
Average : 0.7055

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 22.99
Evaluated at bid price : 23.49
Bid-YTW : 5.83 %

HSE.PR.G FixedReset Prem Quote: 24.35 – 25.20
Spot Rate : 0.8500
Average : 0.5883

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 24.01
Evaluated at bid price : 24.35
Bid-YTW : 5.99 %

MFC.PR.I FixedReset Ins Non Quote: 23.60 – 24.40
Spot Rate : 0.8000
Average : 0.5483

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 5.87 %

BAM.PF.G FixedReset Disc Quote: 24.15 – 24.80
Spot Rate : 0.6500
Average : 0.4201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-25
Maturity Price : 23.79
Evaluated at bid price : 24.15
Bid-YTW : 5.38 %

October 24, 2018

Wednesday, October 24th, 2018

Equities got creamed today:

Stocks have fallen for 13 of the past 15 trading days, including a 3.3 percent drop on Oct. 10 that was the market’s worst fall in eight months. The S.&P. 500 is now down more than 0.6 percent for the year.

The S.&P. 500 communications services sector — which includes tech giants like Google and Facebook — led the broad market lower.
  • •The tech-heavy Nasdaq composite index dropped more than 4.4 percent, as shares in the tech heavyweights Amazon, Microsoft and Facebook all fell more than 5 percent.
  • •Netflix stock fell more than 9 percent, after media reports said that Apple planned to announce a subscription television service that would go head-to-head with Amazon and Netflix.
  • •Homebuilding stocks slumped again. The S.&P. 500 homebuilding index dropped 3 percent after new economic data showed home sales slumped for the fourth straight month. The sector has been battered this year, falling more than 36 percent, as rising mortgage rates showed signs of slowing the sector.

TXPR touched a new 52-week low today, just like yesterday. Note that that’s the price index being referred to, which does not account for the value of dividends received. CPD volume returned to high-ish, but reasonably normal levels.

PerpetualDiscounts now yield 5.76%, equivalent to 7.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a significant widening from the 325bp reported October 17.

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 0.0152 % 3,100.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0152 % 5,689.7
Floater 3.51 % 3.73 % 41,428 18.01 4 0.0152 % 3,279.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1269 % 3,223.8
SplitShare 4.62 % 4.85 % 49,617 4.70 5 -0.1269 % 3,849.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1269 % 3,003.8
Perpetual-Premium 5.66 % 5.30 % 79,001 14.02 12 0.0128 % 2,895.9
Perpetual-Discount 5.63 % 5.76 % 76,907 14.27 21 -0.1380 % 2,917.6
FixedReset Disc 4.26 % 5.17 % 148,443 15.31 45 -0.3978 % 2,557.3
Deemed-Retractible 5.37 % 6.78 % 67,431 5.23 27 -0.0458 % 2,890.1
FloatingReset 3.68 % 3.83 % 44,592 5.51 4 -0.3034 % 2,827.0
FixedReset Prem 4.90 % 4.29 % 254,520 3.05 34 -0.0696 % 2,557.4
FixedReset Bank Non 3.12 % 3.30 % 85,864 0.33 8 0.0541 % 2,579.1
FixedReset Ins Non 4.47 % 5.82 % 118,302 5.34 22 -0.2752 % 2,508.7
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 5.33 %
TRP.PR.G FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.36
Evaluated at bid price : 23.68
Bid-YTW : 5.51 %
GWO.PR.L Deemed-Retractible -2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 6.07 %
TRP.PR.D FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 5.41 %
BAM.PF.J FixedReset Prem -1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 5.12 %
TRP.PR.B FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.24 %
IFC.PR.A FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.99
Bid-YTW : 7.77 %
GWO.PR.T Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.19 %
BAM.PR.X FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 5.29 %
PWF.PR.P FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.04 %
MFC.PR.F FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.47
Bid-YTW : 9.63 %
PWF.PR.L Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.88
Evaluated at bid price : 22.12
Bid-YTW : 5.78 %
MFC.PR.M FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.37
Bid-YTW : 6.79 %
RY.PR.O Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.35
Evaluated at bid price : 23.73
Bid-YTW : 5.14 %
PWF.PR.Q FloatingReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 3.83 %
SLF.PR.H FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.82
Bid-YTW : 7.14 %
MFC.PR.N FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.12
Bid-YTW : 6.89 %
CU.PR.C FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.38 %
TRP.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.34 %
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 : 23.49
Bid-YTW : 6.60 %
MFC.PR.G FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.54 %
HSE.PR.E FixedReset Prem 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 24.09
Evaluated at bid price : 24.46
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Prem 132,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.22 %
BAM.PF.B FixedReset Disc 85,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 22.52
Evaluated at bid price : 23.50
Bid-YTW : 5.31 %
TRP.PR.K FixedReset Prem 75,346 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.18 %
SLF.PR.A Deemed-Retractible 74,720 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 8.16 %
CM.PR.R FixedReset Prem 74,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.28 %
RY.PR.I FixedReset Bank Non 73,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 2.64 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 23.68 – 24.26
Spot Rate : 0.5800
Average : 0.3848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.36
Evaluated at bid price : 23.68
Bid-YTW : 5.51 %

GWO.PR.L Deemed-Retractible Quote: 24.61 – 25.16
Spot Rate : 0.5500
Average : 0.3675

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 6.07 %

RY.PR.O Perpetual-Discount Quote: 23.73 – 24.19
Spot Rate : 0.4600
Average : 0.2929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.35
Evaluated at bid price : 23.73
Bid-YTW : 5.14 %

TRP.PR.E FixedReset Disc Quote: 22.10 – 22.55
Spot Rate : 0.4500
Average : 0.2904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 5.33 %

TD.PF.G FixedReset Prem Quote: 25.76 – 26.08
Spot Rate : 0.3200
Average : 0.1812

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.19 %

TD.PF.A FixedReset Disc Quote: 22.76 – 23.20
Spot Rate : 0.4400
Average : 0.3048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 22.10
Evaluated at bid price : 22.76
Bid-YTW : 5.03 %

October 23, 2018

Tuesday, October 23rd, 2018

Another grim day for the Canadian preferred shares market. TXPR touched a new 52 Week low of 695.25 (note that this is the price index, not the total return index; saying that this is a 52-week low ignores interim dividends paid), while, unsurprisingly, CPD did the same, touching a new 52 Week low of 13.93 (with a similar not about dividends!). Volume in CPD was valued at $1.7-million the highest in the past month, while the calculated volume of TXPR was on the high side for the past month, but only a bit more than half the October 19 value.

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 0.3258 % 3,100.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3258 % 5,688.9
Floater 3.50 % 3.72 % 40,596 18.03 4 0.3258 % 3,278.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,227.9
SplitShare 4.61 % 4.79 % 50,654 4.70 5 0.0079 % 3,854.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,007.7
Perpetual-Premium 5.65 % 5.08 % 78,665 14.02 12 -0.1169 % 2,895.5
Perpetual-Discount 5.61 % 5.75 % 76,432 14.27 21 -0.0362 % 2,921.7
FixedReset Disc 4.24 % 5.16 % 148,400 15.32 45 -0.1914 % 2,567.5
Deemed-Retractible 5.35 % 6.80 % 63,847 5.23 27 -0.1135 % 2,891.4
FloatingReset 3.67 % 3.79 % 43,510 5.52 4 -0.5109 % 2,835.6
FixedReset Prem 4.89 % 4.29 % 259,630 3.06 34 -0.0162 % 2,559.2
FixedReset Bank Non 3.11 % 3.61 % 79,497 0.33 8 0.0713 % 2,577.7
FixedReset Ins Non 4.46 % 5.82 % 118,557 5.35 22 -0.0797 % 2,515.6
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 5.41 %
TRP.PR.F FloatingReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 4.41 %
CU.PR.C FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 5.33 %
MFC.PR.L FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 7.39 %
IGM.PR.B Perpetual-Premium -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 24.64
Evaluated at bid price : 24.95
Bid-YTW : 5.93 %
TRP.PR.C FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 5.28 %
MFC.PR.J FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.08
Bid-YTW : 5.82 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.63
Bid-YTW : 6.57 %
PWF.PR.R Perpetual-Premium 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 23.97
Evaluated at bid price : 24.30
Bid-YTW : 5.67 %
MFC.PR.F FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.69
Bid-YTW : 9.39 %
BAM.PF.D Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.97 %
IFC.PR.A FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.32
Bid-YTW : 7.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.D Deemed-Retractible 367,328 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-22
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 1.80 %
RY.PR.Q FixedReset Prem 111,908 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.82 %
TD.PR.Y FixedReset Bank Non 57,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.61 %
MFC.PR.H FixedReset Ins Non 54,985 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.28
Bid-YTW : 6.21 %
BMO.PR.E FixedReset Prem 44,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 4.82 %
BIP.PR.C FixedReset Prem 38,220 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.99 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Disc Quote: 20.68 – 21.28
Spot Rate : 0.6000
Average : 0.3956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 5.41 %

IFC.PR.F Deemed-Retractible Quote: 23.25 – 23.99
Spot Rate : 0.7400
Average : 0.5812

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 6.80 %

BAM.PF.F FixedReset Disc Quote: 24.27 – 24.84
Spot Rate : 0.5700
Average : 0.4177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 23.74
Evaluated at bid price : 24.27
Bid-YTW : 5.40 %

BAM.PR.N Perpetual-Discount Quote: 20.10 – 20.61
Spot Rate : 0.5100
Average : 0.3612

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.98 %

IGM.PR.B Perpetual-Premium Quote: 24.95 – 25.37
Spot Rate : 0.4200
Average : 0.2881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 24.64
Evaluated at bid price : 24.95
Bid-YTW : 5.93 %

BAM.PF.C Perpetual-Discount Quote: 20.71 – 21.17
Spot Rate : 0.4600
Average : 0.3373

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 5.92 %

October 22, 2018

Monday, October 22nd, 2018

There’s a new development in the Fortress scandal:

Officials at Fortress Real Developments Inc. told investors in 2013 that land slated for a new condo development in Winnipeg was worth more than three times the value cited in an independent appraisal commissioned by the company, the RCMP alleges.

In a search-warrant application filed in court on Oct. 4, RCMP investigators outlined new information that they had gleaned from an earlier search of Fortress’s head-office location in April, saying it supported their concern that Fortress misled investors about the value of land earmarked for several development projects so it could raise more financing.

The RCMP warrant application filed in October said investigators found a document at Fortress’s office during the search in April showing that an appraiser valued Winnipeg land earmarked for the SkyCity Centre condominium development at $5.92-million in August, 2013.

Another 2013 appraisal from the same company, a document also seized in the April search, said the land was worth $11-million “subject to hypothetical conditions and extraordinary assumptions as outlined in the report,” the RCMP said.

The same year, syndicated mortgage investors were offered an opportunity to invest in the Winnipeg project, and were told the “as is” value of the land was $18-million, the RCMP said. The valuation relied on assumptions about future profits and was not an “as is” valuation, according to the RCMP.

In future rounds of fundraising, Fortress told other investors in 2014 that the Winnipeg land was worth $25-million, and said in 2015 that the value of the property was $37.3-million, the RCMP said.

The October search-warrant application also revealed that Fortress was trying to raise $2-million in new funding for SkyCity Centre earlier this year, and got a new appraisal on the land, valuing it at $7.3-million in 2018. Fortress cancelled the SkyCity project this spring.

But have no fear! The OSC is making a safer world for incompetent traders!

K2 & Associates Investment Management Inc., a well-known Toronto hedge fund, and two of its top employees have been fined a total of $1-million by the Ontario Securities Commission for “manipulative trading.”

Citing one example to illustrate the behaviour, the OSC alleged that Mr. Kimel would place an electronic order to buy or sell options for an unnamed security and that, soon after, Mr. Gosselin would call traders at a financial institution to negotiate a trade for options of the same security. “Very soon after a desk trade had been confirmed by a financial institution (often within seconds) the opposite [electronic] order previously entered would be cancelled,” the OSC’s statement said.

Well, we wouldn’t want the poor little darlings at the banks to think, would we? It’s their job to arbitrage markets and employ former regulators. The settlement agreement has a detailed example:

As an example of this calculation methodology, on December 1, 2016, the Respondents’ trading resulted in the Respondents purchasing 2,500 put options of a certain security at a price of $0.30 for an aggregate acquisition cost of $75,000. Immediately prior to the Respondents initiating their trading regarding these put options, the market spread for these put options was $0.10 / $0.50. If the Respondents had purchased the 2,500 put options prior to engaging in trading, all things being equal, the purchase price would have been at least $0.50, resulting in an aggregate acquisition cost of $125,000. This saved the Respondents $50,000 on this one transaction. The spoofing activity to achieve this calculated $50,000 acquisition cost saving comprised Kimel placing two DEA orders to sell the put options. Kimel first placed an order to sell the put options at $0.35 (which was never filled and cancelled after K2 successfully purchased 2,500 put options). Kimel immediately followed this by placing a second order to sell 10 put options at $0.25. Kimel cancelled this second sell order shortly after placing it and the market spread became $0.10 / $0.30. Within minutes, Gosselin negotiated a desk trade with a Financial Institution on the opposite side to buy 2,500 put options at the lower price of $0.30.

Spoofing should not be illegal. Manipulating markets is a tricksy thing, and while incompetent traders might consider themselves victimized, an actual investor will be very happy. If, in the above example, $0.25 was indeed an absurdly low price for the option then a market comprised of intelligent investors would have pounced on the offer immediately (a “pounce” strategy means that orders are placed very, very shortly after an opportunity occurs). So Joe Hotshot places an order to sell at 0.35 and nothing happens. He then places another order to sell at 0.25 and within about 10 milliseconds he’s filled. And then he’s behind the eight-ball. He’s just sold X options at a price less than he was willing to pay to buy them. So he goes broke and the market starts looking for another genius to take to the cleaners.

Besides practical difficulties that may be experienced by the spoofer in an intelligent market, there are also concerns about enforcement. I have grave doubts regarding the even-handedness of regulatory investigations and enforcement actions.

Deregulating spoofing, however, would be contrary to the business plans of the banks, who seek to use cheap, obsolete technology and second-rate staff to make huge profits screwing the bejesus out of their clients. And, of course, the regulators get terribly, terribly concerned when one of their future employers lose money.

A CBC squib led me to a release page which led me to a Credit Suisse report titled Global Wealth Report 2018:

Nations with wealth per adult above USD 100,000 are located in North America, Western Europe, and among the rich Asia-Pacific and Middle Eastern countries. Switzerland (USD 530,240), Australia (USD 411,060) and the United States (USD 403,970) again head the league table according to wealth per adult, followed by Belgium (313,050), Norway (291,100), and New Zealand (USD 289,800). Canada (288,260), Denmark (286,710), Singapore (283,260) and France (280,580) occupy the remaining places in the top ten.

The ranking by median wealth per adult favors countries with lower levels of wealth inequality and produces a slightly different table. This year, Australia (USD 191,450) edged ahead of Switzerland (USD 183,340) into first place according to our estimates. The median wealth placements of Belgium (USD 163,430), Canada (USD 106,340), New Zealand (98,610), the United Kingdom (97,170) and Singapore (USD 91,660) are similar to their mean wealth ranking, but lower inequality moves France (USD 106,830) up five places to fifth position, the Netherlands (USD 114,930) up eight places to fourth position, and Japan (USD 103,860) up ten places to seventh position. In contrast, high wealth inequality pushes Norway down seven places, and Denmark down 11 places, while median wealth of just USD 61,670 relegates the United States to 18th place, alongside Austria and Korea.

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Net worth, or “wealth,” is defined as the value of financial assets plus real assets (principally housing) owned by households, minus their debts. This corresponds to the balance sheet that a household might draw up, listing the items which are owned, and their net value if sold. Private pension fund assets are included, but not entitlements to state pensions. Human capital is excluded altogether, along with assets and debts owned by the state (which cannot easily be assigned to individuals).

Jamie Golombek in the Financial Post has some pretty critical information for real-estate purchasers:

If you’re buying a house or condo and you suspect that the current owner from whom you are purchasing the property is a non-resident of Canada, you could be personally liable for the vendor’s Canadian capital gains tax if you don’t take certain precautions.

That’s why the Canadian tax system, like other tax systems around the globe, has a special rule that states that if there is a gain from the sale of domestic real estate by a non-resident vendor, the purchaser of the property may be responsible for the capital gains tax.

To this end, our Income Tax Act imposes an obligation on the purchaser to withhold 25 per cent of the purchase price from a non-resident unless the vendor has obtained a clearance certificate from the Canada Revenue Agency indicating that the non-resident has made appropriate arrangements to pay the tax. To get this certificate, the vendor needs to file Form T2062, “Request by a Non-Resident of Canada for a Certificate of Compliance Related to the Disposition of Taxable Canadian Property” within ten days of the planned sale, accompanied by a payment of 25 per cent of the expected capital gain on the sale.

If the non-resident doesn’t get a certificate, the Canadian resident purchaser is responsible for the 25 per cent tax owing on behalf of the non-resident unless, “after reasonable inquiry the purchaser had no reason to believe that the non-resident person was not resident in Canada.”

It was a relatively quiet day after Friday‘s excitement; Straight Perpetuals got hammered again.

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 -0.7544 % 3,090.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7544 % 5,670.4
Floater 3.52 % 3.73 % 39,057 18.01 4 -0.7544 % 3,267.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,227.6
SplitShare 4.61 % 4.84 % 50,166 4.70 5 -0.0238 % 3,854.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,007.4
Perpetual-Premium 5.65 % 1.59 % 61,366 0.19 12 -0.2765 % 2,898.9
Perpetual-Discount 5.61 % 5.75 % 76,357 14.29 21 -0.4961 % 2,922.7
FixedReset Disc 4.23 % 5.15 % 144,222 15.33 45 -0.0262 % 2,572.4
Deemed-Retractible 5.34 % 6.92 % 65,768 5.23 27 0.4822 % 2,894.7
FloatingReset 3.65 % 3.75 % 42,375 5.52 4 0.6427 % 2,850.2
FixedReset Prem 4.89 % 4.29 % 256,546 3.06 34 0.2304 % 2,559.6
FixedReset Bank Non 3.12 % 3.53 % 73,604 0.34 8 0.0918 % 2,575.9
FixedReset Ins Non 4.45 % 5.68 % 116,645 5.35 22 0.0020 % 2,517.6
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 5.74 %
PWF.PR.R Perpetual-Premium -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 23.68
Evaluated at bid price : 24.00
Bid-YTW : 5.74 %
BAM.PF.D Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 6.05 %
W.PR.J Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.74 %
MFC.PR.Q FixedReset Ins Non -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 5.68 %
BAM.PR.X FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 5.23 %
BAM.PR.B Floater -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 3.74 %
POW.PR.B Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 22.93
Evaluated at bid price : 23.21
Bid-YTW : 5.80 %
BAM.PR.C Floater -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.73 %
W.PR.H Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 24.23
Evaluated at bid price : 24.53
Bid-YTW : 5.64 %
IAG.PR.A Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.92
Bid-YTW : 8.07 %
CU.PR.F Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 5.64 %
SLF.PR.A Deemed-Retractible 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.11
Bid-YTW : 8.06 %
CM.PR.P FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 22.02
Evaluated at bid price : 22.64
Bid-YTW : 5.02 %
MFC.PR.G FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.65 %
RY.PR.Z FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 22.72
Evaluated at bid price : 23.41
Bid-YTW : 4.93 %
PWF.PR.Q FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 21.29
Evaluated at bid price : 21.58
Bid-YTW : 3.75 %
IFC.PR.E Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.97
Bid-YTW : 6.92 %
TRP.PR.C FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 5.23 %
SLF.PR.D Deemed-Retractible 1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 8.63 %
BAM.PF.H FixedReset Prem 1.93 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.57 %
TD.PF.J FixedReset Prem 3.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.69 %
SLF.PR.B Deemed-Retractible 11.74 % Just a reversal of Friday‘s nonsense.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 8.01 %

Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.F FixedReset Disc 105,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 23.92
Evaluated at bid price : 24.42
Bid-YTW : 5.37 %
RY.PR.F Deemed-Retractible 102,196 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-21
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : -1.87 %
EMA.PR.F FixedReset Disc 79,803 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 23.44
Evaluated at bid price : 23.90
Bid-YTW : 5.25 %
TD.PF.G FixedReset Prem 61,555 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 3.73 %
BMO.PR.C FixedReset Prem 38,103 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.21 %
BAM.PF.G FixedReset Disc 37,067 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 24.07
Evaluated at bid price : 24.40
Bid-YTW : 5.32 %
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.E FixedReset Prem Quote: 24.07 – 25.02
Spot Rate : 0.9500
Average : 0.6512

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 23.65
Evaluated at bid price : 24.07
Bid-YTW : 6.08 %

HSE.PR.A FixedReset Disc Quote: 16.93 – 17.56
Spot Rate : 0.6300
Average : 0.3915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 5.74 %

HSE.PR.G FixedReset Prem Quote: 24.47 – 25.07
Spot Rate : 0.6000
Average : 0.4176

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 24.15
Evaluated at bid price : 24.47
Bid-YTW : 5.95 %

CU.PR.F Perpetual-Discount Quote: 20.28 – 20.72
Spot Rate : 0.4400
Average : 0.3039

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 5.64 %

BAM.PR.T FixedReset Disc Quote: 21.01 – 21.39
Spot Rate : 0.3800
Average : 0.2481

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.34 %

BAM.PF.F FixedReset Disc Quote: 24.42 – 24.80
Spot Rate : 0.3800
Average : 0.2507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-22
Maturity Price : 23.92
Evaluated at bid price : 24.42
Bid-YTW : 5.37 %