January 3, 2019

Quote quality has been dropping recently and today plumbed new depths of woefulness.

Given that mutual fund annual reporting season is nearly upon us, I’ve got half a mind to write an article pointing out just how shitty these quotes are, and that they aren’t even derived from an “Active Market” as defined by the accountants, in the first place.

And, I will continue to ponder the question: is the abysmal quality of these quotes a matter of negligence or malevolence? Poor quotes help market makers and their associated salesmen rip off their clients and counterparties (as the true state of the market is somewhat obscured) and has the additional benefit of retarding the development of quantitative historical investment analysis – which must be done with some kind of bid-offer spread, preferably something approximating market conditions, since otherwise your estimate of transaction cost is just flim-flam and fairy dust.

It’s generally wiser to go with negligence, but it’s very hard to tell from the outside!

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 -0.3282 % 2,441.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3282 % 4,480.2
Floater 4.79 % 5.04 % 44,270 15.47 4 -0.3282 % 2,582.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3870 % 3,161.3
SplitShare 4.66 % 5.51 % 90,201 4.54 7 0.3870 % 3,775.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3870 % 2,945.6
Perpetual-Premium 5.59 % -3.38 % 149,183 0.08 2 0.2389 % 2,862.2
Perpetual-Discount 5.75 % 5.95 % 72,221 14.00 33 -0.1379 % 2,886.2
FixedReset Disc 5.21 % 5.70 % 203,606 14.31 66 -1.9755 % 2,159.3
Deemed-Retractible 5.50 % 6.64 % 89,483 8.18 27 -0.5621 % 2,877.8
FloatingReset 4.17 % 4.69 % 42,993 2.94 7 -1.1038 % 2,431.4
FixedReset Prem 5.20 % 4.52 % 275,610 2.23 14 -0.2270 % 2,503.7
FixedReset Bank Non 2.98 % 3.89 % 136,065 0.14 6 0.0967 % 2,569.8
FixedReset Ins Non 5.14 % 7.23 % 141,300 8.29 22 -1.4441 % 2,165.3
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -7.59 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 5,342 shares today in a range of 15.14-02 before being quoted at 14.74-16.01. The closing price was 16.01.

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 14.74
Evaluated at bid price : 14.74
Bid-YTW : 5.95 %

EMA.PR.F FixedReset Disc -7.53 % This crazy quote has a little justification, as the issue traded 3,190 shares today in a range of 17.94-19.25 before being quoted at 17.80-19.35. The closing price was 18.26.

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.41 %

HSE.PR.E FixedReset Disc -7.32 % This crazy quote is another product of Nonsense Central, as the issue traded 5,706 shares today in a range of 19.42-90 before being quoted at 19.00-81. The closing price was 19.42.

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.12 %

BAM.PR.Z FixedReset Disc -5.72 % More nonsense, as the issue traded 5,489 shares today in a range of 20.78-57 before being quoted at 20.43-21.49. The closing price was 21.48.

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 5.93 %

CU.PR.C FixedReset Disc -5.70 % More nonsense, as the issue traded 2,204 shares today in a range of 17.75-36 before being quoted at 17.38-18.47. The closing price was 17.96.

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 5.97 %

GWO.PR.N FixedReset Ins Non -5.60 % More nonsense, as the issue traded 3,100 shares today in a range of 14.67-03 before being quoted at 14.16-74. The closing price was 14.67.

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 : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.16
Bid-YTW : 9.35 %

HSE.PR.A FixedReset Disc -5.41 % More nonsense, as the issue traded 1,800 shares today in a range of 13.01-67 before being quoted at 12.95-73. The closing price was 13.67.

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 : 2049-01-03
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 6.70 %

BAM.PR.R FixedReset Disc -4.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 6.07 %
TD.PF.B FixedReset Disc -4.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 5.74 %
TRP.PR.F FloatingReset -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.62 %
BAM.PF.E FixedReset Disc -4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.05 %
BAM.PF.B FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.80 %
RY.PR.H FixedReset Disc -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.66 %
HSE.PR.C FixedReset Disc -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.69 %
IFC.PR.C FixedReset Ins Non -3.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.59
Bid-YTW : 7.69 %
TRP.PR.B FixedReset Disc -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 5.97 %
TRP.PR.D FixedReset Disc -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.05 %
BMO.PR.T FixedReset Disc -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.71 %
IFC.PR.F Deemed-Retractible -3.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 6.80 %
TRP.PR.C FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 13.34
Evaluated at bid price : 13.34
Bid-YTW : 6.16 %
CCS.PR.C Deemed-Retractible -3.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 6.74 %
TRP.PR.G FixedReset Disc -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.08 %
BAM.PR.B Floater -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 5.21 %
MFC.PR.F FixedReset Ins Non -2.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.15
Bid-YTW : 9.40 %
EMA.PR.H FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 22.74
Evaluated at bid price : 23.85
Bid-YTW : 5.15 %
BAM.PR.T FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 6.00 %
BIP.PR.A FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.84 %
TD.PF.C FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.70 %
BIP.PR.E FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 21.69
Evaluated at bid price : 22.03
Bid-YTW : 5.70 %
EML.PR.A FixedReset Ins Non -2.62 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.54 %
MFC.PR.R FixedReset Ins Non -2.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 6.26 %
RY.PR.M FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 5.50 %
CM.PR.Q FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.83 %
CM.PR.S FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.34 %
TRP.PR.H FloatingReset -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 13.12
Evaluated at bid price : 13.12
Bid-YTW : 5.63 %
MFC.PR.H FixedReset Ins Non -2.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.92 %
TD.PF.D FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 5.69 %
MFC.PR.C Deemed-Retractible -2.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.36
Bid-YTW : 7.62 %
PWF.PR.Q FloatingReset -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 14.99
Evaluated at bid price : 14.99
Bid-YTW : 5.51 %
CM.PR.O FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.78 %
GWO.PR.H Deemed-Retractible -2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.62
Bid-YTW : 7.22 %
BMO.PR.W FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.60 %
NA.PR.W FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.85 %
NA.PR.E FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 5.55 %
BAM.PF.F FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.96 %
MFC.PR.I FixedReset Ins Non -2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.94
Bid-YTW : 7.35 %
RY.PR.J FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.61 %
CU.PR.G Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.80 %
CM.PR.P FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.78 %
IAG.PR.G FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.19 %
PWF.PR.P FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.90 %
PWF.PR.A Floater -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.15 %
BMO.PR.S FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.61 %
SLF.PR.B Deemed-Retractible -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 7.02 %
GWO.PR.I Deemed-Retractible -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.57
Bid-YTW : 7.46 %
BMO.PR.Y FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.49 %
SLF.PR.E Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.67
Bid-YTW : 7.40 %
MFC.PR.J FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.38
Bid-YTW : 7.10 %
HSE.PR.G FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.89 %
NA.PR.S FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 5.73 %
BAM.PR.M Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 6.08 %
PWF.PR.L Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.01 %
BIP.PR.F FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 21.78
Evaluated at bid price : 22.20
Bid-YTW : 5.76 %
CU.PR.I FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.32 %
BAM.PF.A FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.76 %
BAM.PF.G FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.94 %
RY.PR.Z FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.46 %
SLF.PR.G FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.86
Bid-YTW : 9.02 %
MFC.PR.G FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 7.47 %
W.PR.M FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.57 %
BAM.PR.N Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 6.02 %
TRP.PR.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 5.96 %
SLF.PR.C Deemed-Retractible -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.29 %
TD.PF.I FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 21.57
Evaluated at bid price : 21.83
Bid-YTW : 5.58 %
VNR.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.68 %
BAM.PF.C Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.03 %
POW.PR.B Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 6.04 %
MFC.PR.B Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.99
Bid-YTW : 7.40 %
POW.PR.G Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 23.08
Evaluated at bid price : 23.55
Bid-YTW : 5.95 %
CU.PR.H Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 23.55
Evaluated at bid price : 24.00
Bid-YTW : 5.52 %
SLF.PR.D Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.29 %
W.PR.J Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 23.24
Evaluated at bid price : 23.54
Bid-YTW : 5.96 %
BAM.PF.D Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 5.95 %
W.PR.H Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 5.83 %
RY.PR.O Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 23.13
Evaluated at bid price : 23.50
Bid-YTW : 5.26 %
IFC.PR.E Deemed-Retractible 1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 6.36 %
RY.PR.S FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 4.95 %
PVS.PR.F SplitShare 1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.58
Bid-YTW : 5.25 %
BIP.PR.D FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 22.41
Evaluated at bid price : 23.00
Bid-YTW : 6.03 %
BAM.PR.K Floater 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 13,541 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.66 %
BAM.PF.H FixedReset Prem 12,917 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 3.61 %
RY.PR.Q FixedReset Prem 12,120 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 4.38 %
TD.PF.C FixedReset Disc 11,986 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.70 %
CM.PR.O FixedReset Disc 11,967 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.78 %
CU.PR.I FixedReset Disc 11,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.32 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Disc Quote: 17.80 – 19.35
Spot Rate : 1.5500
Average : 0.9312

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.41 %

IFC.PR.C FixedReset Ins Non Quote: 18.59 – 20.20
Spot Rate : 1.6100
Average : 0.9980

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.59
Bid-YTW : 7.69 %

IAG.PR.I FixedReset Ins Non Quote: 21.20 – 22.80
Spot Rate : 1.6000
Average : 1.0488

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.72 %

MFC.PR.B Deemed-Retractible Quote: 19.99 – 21.40
Spot Rate : 1.4100
Average : 0.8994

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.99
Bid-YTW : 7.40 %

BAM.PR.R FixedReset Disc Quote: 16.64 – 17.78
Spot Rate : 1.1400
Average : 0.6313

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 6.07 %

BAM.PR.X FixedReset Disc Quote: 14.74 – 16.01
Spot Rate : 1.2700
Average : 0.7945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-03
Maturity Price : 14.74
Evaluated at bid price : 14.74
Bid-YTW : 5.95 %

4 Responses to “January 3, 2019”

  1. skeptical says:

    What’s going on with IAG.PR.A and other preferreds by IAG. Don’t see any quotes. I’m getting invalid ticker message.

  2. Kirok says:

    Hi – Please define shitty quote quality?

  3. jiHymas says:

    Please define shitty quote quality

    How well the quotes reflect what you could have actually traded at the end of the day.

    It’s related to the concept of an active market:

    active market – A market in which all the following conditions exist:
    (a) the items traded within the market are homogeneous;
    (b) willing buyers and sellers can normally be found at any time; and
    (c) prices are available to the public.
    [ IAS 36.6, IAS 38.8, IAS 41.8]

    active market – A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from an exchange, dealer, broker, industry group, pricing service or regulatory agency, and those prices represent actual and regularly occurring market transactions on an arm’s length basis. [IAS 39.AG71]

    The quality of quotes sold at extortionate prices by the Toronto Stock Exchange was lowered significantly when the Exchange introduced the extended trading session and forgot to adjust their database query for closing quotes.

    The quotes provided as of 4:30pm have no independent usefulness whatsoever; they are useful only insofar as they reflect the market at the 4pm close. And yesterday, that wasn’t very far at all.

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