January 11, 2019

The quality of quotes provided by the Toronto Stock Exchange seems to get worse every day.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -3.3646 % 2,393.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.3646 % 4,392.5
Floater 4.89 % 5.14 % 39,137 15.29 4 -3.3646 % 2,531.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.7600 % 3,209.1
SplitShare 4.64 % 4.78 % 90,129 4.53 6 0.7600 % 3,832.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7600 % 2,990.2
Perpetual-Premium 5.59 % 5.27 % 168,297 14.94 2 -0.3168 % 2,883.4
Perpetual-Discount 5.65 % 5.77 % 76,887 14.23 33 -0.0764 % 2,951.5
FixedReset Disc 4.91 % 5.28 % 199,221 14.98 66 -0.3896 % 2,298.6
Deemed-Retractible 5.38 % 6.33 % 84,479 8.20 27 0.0293 % 2,940.0
FloatingReset 4.02 % 4.06 % 42,006 2.92 7 -0.2064 % 2,502.1
FixedReset Prem 5.16 % 4.19 % 260,854 2.21 14 0.1033 % 2,532.1
FixedReset Bank Non 2.96 % 3.60 % 123,055 0.12 6 0.2471 % 2,590.0
FixedReset Ins Non 4.83 % 6.25 % 146,303 8.42 22 -0.1113 % 2,277.5
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -12.20 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 3,500 shares today in a range of 20.40-52 before being quoted at 18.00-20.50. The closing price was 20.52.

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 : 2049-01-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.77 %

MFC.PR.M FixedReset Ins Non -7.97 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 4,348 shares today in a range of 20.13-39 before being quoted at 18.35-20.39. The closing price was 20.33.

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

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.94 %

BAM.PR.B Floater -7.43 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 1,525 shares today in a range of 13.80-97 before being quoted at 12.71-13.97. The closing price was 13.97.

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 : 2049-01-11
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 5.49 %

VNR.PR.A FixedReset Disc -7.36 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 4,750 shares today in a range of 22.00-26 before being quoted at 20.01-22.00. The closing price was 22.00.

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 : 2049-01-11
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.88 %

BAM.PR.Z FixedReset Disc -7.21 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 11,775 shares today in a range of 22.89-22 before being quoted at 21.50-22.88. The closing price was 22.89.

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 : 2049-01-11
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.64 %

MFC.PR.K FixedReset Ins Non -6.06 % A nonsensical quote provided at high cost from Nonsense Central, as the issue traded 7,684 shares today in a range of 20.44-78 before being quoted at 19.22-20.65. The closing price was 20.69.

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 : 19.22
Bid-YTW : 7.44 %

BAM.PR.M Perpetual-Discount -4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.00 %
MFC.PR.L FixedReset Ins Non -4.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 7.90 %
PWF.PR.P FixedReset Disc -4.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.59 %
PWF.PR.A Floater -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.17 %
GWO.PR.S Deemed-Retractible -2.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.33 %
BAM.PR.T FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.81 %
BAM.PR.X FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 5.42 %
TRP.PR.F FloatingReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.38 %
TRP.PR.B FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.75 %
RY.PR.M FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.10 %
RY.PR.Z FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.99 %
CM.PR.O FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.20 %
BAM.PR.C Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.14 %
BAM.PR.R FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.61 %
TD.PF.E FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.13
Evaluated at bid price : 22.44
Bid-YTW : 5.17 %
TD.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.12 %
RY.PR.H FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.04 %
BAM.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.38
Evaluated at bid price : 23.15
Bid-YTW : 5.24 %
BAM.PF.G FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.72 %
BAM.PR.K Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 13.57
Evaluated at bid price : 13.57
Bid-YTW : 5.14 %
PVS.PR.F SplitShare 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.78 %
PWF.PR.S Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.69 %
HSE.PR.E FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.38 %
EIT.PR.B SplitShare 1.31 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 5.15 %
MFC.PR.J FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.86
Bid-YTW : 6.26 %
SLF.PR.A Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 6.61 %
BAM.PF.J FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 23.15
Evaluated at bid price : 24.72
Bid-YTW : 4.93 %
BMO.PR.W FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.08 %
MFC.PR.H FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 5.97 %
BIP.PR.D FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.67
Evaluated at bid price : 23.45
Bid-YTW : 5.91 %
BMO.PR.Q FixedReset Bank Non 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 4.35 %
MFC.PR.R FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 5.52 %
MFC.PR.Q FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.86
Bid-YTW : 6.22 %
BIP.PR.E FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.44
Evaluated at bid price : 23.20
Bid-YTW : 5.39 %
BIP.PR.F FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.44
Evaluated at bid price : 23.30
Bid-YTW : 5.47 %
IFC.PR.G FixedReset Ins Non 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.22 %
CM.PR.P FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.27 %
BMO.PR.D FixedReset Disc 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.59
Evaluated at bid price : 23.39
Bid-YTW : 5.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 253,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.63
Evaluated at bid price : 23.45
Bid-YTW : 5.38 %
TD.PF.E FixedReset Disc 132,956 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.13
Evaluated at bid price : 22.44
Bid-YTW : 5.17 %
TD.PF.I FixedReset Disc 76,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.47
Evaluated at bid price : 23.20
Bid-YTW : 5.15 %
BMO.PR.C FixedReset Disc 57,456 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.89
Evaluated at bid price : 23.93
Bid-YTW : 5.31 %
BNS.PR.I FixedReset Disc 49,761 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 22.77
Evaluated at bid price : 23.98
Bid-YTW : 4.58 %
TRP.PR.J FixedReset Prem 47,983 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.73 %
There were 41 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: 16.33 – 20.75
Spot Rate : 4.4200
Average : 3.0823

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 4.93 %

MFC.PR.N FixedReset Ins Non Quote: 19.45 – 22.15
Spot Rate : 2.7000
Average : 1.4822

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.14 %

TD.PF.B FixedReset Disc Quote: 18.00 – 20.50
Spot Rate : 2.5000
Average : 1.4131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.77 %

MFC.PR.Q FixedReset Ins Non Quote: 21.86 – 24.50
Spot Rate : 2.6400
Average : 1.5831

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.86
Bid-YTW : 6.22 %

MFC.PR.M FixedReset Ins Non Quote: 18.35 – 20.39
Spot Rate : 2.0400
Average : 1.3141

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.94 %

BAM.PR.Z FixedReset Disc Quote: 21.50 – 22.88
Spot Rate : 1.3800
Average : 0.8287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-11
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.64 %

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