Category: Market Action

Market Action

September 13, 2018

S&P downgraded Hydro One today:

•The Government of Ontario recently implemented legislation, requiring Hydro One’s board of directors to establish a new executive compensation framework for the board, CEO, and other executives. The legislation also amends the current Ontario Energy Board Act, requiring the Ontario Energy Board to exclude any compensation paid to the CEO and other executives from consumer rates.
•We consider such action as a governance deficiency related to Hydro One’s ownership structure and are lowering our management and governance (M&G) assessment on Hydro One Ltd. (HOL) and Hydro One Inc. (HOI) to fair from satisfactory.
•At the same time, we are lowering the issuer credit ratings on both HOL and HOI by one notch to ‘A-‘ from ‘A’, reflecting the change in our M&G assessment.
•We are also lowering the issue-level rating on HOI’s senior unsecured debt to ‘A-‘, the rating on its commercial paper program to ‘A-2’, and the global short-term and Canadian National Scale ratings to ‘A-1 (Low)’.•All ratings remain on CreditWatch with negative implications.

Well done, Doug Ford! Does anybody want to try their hand at calculating how much the downgrade may be expected to cost us due to increased interest charges on Hydro One’s debt as it rolls over?:

•Hydro One Inc. currently has $9,923 billion [sic] in public long-term debt outstanding.

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 1.9422 % 3,096.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.9422 % 5,681.2
Floater 3.51 % 3.69 % 38,818 18.11 4 1.9422 % 3,274.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0873 % 3,229.9
SplitShare 4.61 % 4.61 % 57,677 4.82 5 0.0873 % 3,857.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0873 % 3,009.6
Perpetual-Premium 5.54 % -0.72 % 50,396 0.13 12 0.0361 % 2,919.8
Perpetual-Discount 5.41 % 5.52 % 56,894 14.54 22 0.0810 % 3,005.4
FixedReset Disc 4.16 % 4.93 % 137,931 15.72 41 -0.0264 % 2,578.2
Deemed-Retractible 5.15 % 5.92 % 62,538 5.39 27 0.1277 % 3,000.7
FloatingReset 3.31 % 3.94 % 40,144 5.68 5 0.3344 % 2,864.5
FixedReset Prem 4.84 % 4.18 % 173,474 2.89 35 0.1070 % 2,565.9
FixedReset Bank Non 3.19 % 3.57 % 64,395 0.44 9 0.0271 % 2,572.5
FixedReset Ins Non 4.29 % 5.13 % 95,442 5.46 22 0.3857 % 2,574.9
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.21 %
BAM.PF.F FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 23.89
Evaluated at bid price : 24.37
Bid-YTW : 5.16 %
CU.PR.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 21.98
Evaluated at bid price : 22.40
Bid-YTW : 4.88 %
MFC.PR.R FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.96 %
BAM.PR.N Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.70 %
TRP.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 5.00 %
IFC.PR.E Deemed-Retractible 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.92 %
BAM.PR.K Floater 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.69 %
BAM.PR.C Floater 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 3.72 %
IFC.PR.C FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 5.32 %
PWF.PR.A Floater 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 3.04 %
TRP.PR.B FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 4.91 %
BAM.PR.B Floater 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 3.69 %
MFC.PR.L FixedReset Ins Non 2.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 946,070 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 23.13
Evaluated at bid price : 24.92
Bid-YTW : 4.73 %
BIP.PR.F FixedReset Disc 154,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 23.13
Evaluated at bid price : 24.95
Bid-YTW : 5.06 %
BNS.PR.H FixedReset Prem 136,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.66 %
BMO.PR.S FixedReset Disc 56,619 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 22.77
Evaluated at bid price : 23.42
Bid-YTW : 4.83 %
CM.PR.Q FixedReset Disc 51,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 23.41
Evaluated at bid price : 24.48
Bid-YTW : 4.93 %
BAM.PR.B Floater 33,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 3.69 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.B Deemed-Retractible Quote: 22.74 – 23.50
Spot Rate : 0.7600
Average : 0.4266

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.74
Bid-YTW : 6.55 %
BAM.PR.R FixedReset Disc Quote: 20.58 – 21.33
Spot Rate : 0.7500
Average : 0.4512

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.21 %
BAM.PF.F FixedReset Disc Quote: 24.37 – 24.94
Spot Rate : 0.5700
Average : 0.3452

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 23.89
Evaluated at bid price : 24.37
Bid-YTW : 5.16 %
BAM.PF.B FixedReset Disc Quote: 23.50 – 23.90
Spot Rate : 0.4000
Average : 0.2367

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 5.10 %
SLF.PR.J FloatingReset Quote: 20.05 – 20.50
Spot Rate : 0.4500
Average : 0.2931

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 6.73 %
BAM.PR.X FixedReset Disc Quote: 19.06 – 19.49
Spot Rate : 0.4300
Average : 0.2805

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 4.93 %
Market Action

September 12, 2018

PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield just a hair under 4.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a slight (and perhaps spurious) narrowing from the 325bp reported September 5.

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 -0.6280 % 3,037.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6280 % 5,572.9
Floater 3.56 % 3.78 % 37,825 17.81 4 -0.6280 % 3,211.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1505 % 3,227.1
SplitShare 4.61 % 4.61 % 58,400 4.82 5 -0.1505 % 3,853.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1505 % 3,006.9
Perpetual-Premium 5.54 % -1.38 % 50,174 0.14 12 -0.0197 % 2,918.8
Perpetual-Discount 5.40 % 5.53 % 58,764 14.54 22 0.0216 % 3,003.0
FixedReset Disc 4.13 % 4.94 % 129,886 15.69 40 0.0292 % 2,578.9
Deemed-Retractible 5.16 % 5.94 % 63,012 5.38 27 0.0110 % 2,996.8
FloatingReset 3.33 % 3.98 % 40,660 5.69 5 0.2264 % 2,854.9
FixedReset Prem 4.84 % 4.23 % 175,425 3.09 35 0.0514 % 2,563.2
FixedReset Bank Non 3.19 % 3.96 % 66,549 3.14 9 0.0181 % 2,571.8
FixedReset Ins Non 4.30 % 5.17 % 96,511 5.45 22 -0.1734 % 2,565.0
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.10 %
IFC.PR.E Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 6.20 %
MFC.PR.F FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.32
Bid-YTW : 8.46 %
IFC.PR.C FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.62 %
BAM.PF.G FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 23.54
Evaluated at bid price : 24.75
Bid-YTW : 5.07 %
TD.PF.E FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 4.53 %
SLF.PR.G FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 7.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.F FixedReset Disc 414,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 23.10
Evaluated at bid price : 24.88
Bid-YTW : 5.07 %
BNS.PR.H FixedReset Prem 162,093 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.72 %
RY.PR.J FixedReset Disc 90,223 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 24.15
Evaluated at bid price : 24.47
Bid-YTW : 4.96 %
CM.PR.R FixedReset Prem 59,365 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.23 %
CM.PR.Q FixedReset Disc 54,070 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 23.37
Evaluated at bid price : 24.40
Bid-YTW : 4.95 %
EMA.PR.H FixedReset Prem 52,961 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 23.20
Evaluated at bid price : 25.10
Bid-YTW : 4.82 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.P FixedReset Disc Quote: 23.05 – 23.60
Spot Rate : 0.5500
Average : 0.3789

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 22.61
Evaluated at bid price : 23.05
Bid-YTW : 4.79 %
VNR.PR.A FixedReset Prem Quote: 24.50 – 25.00
Spot Rate : 0.5000
Average : 0.3381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 23.06
Evaluated at bid price : 24.50
Bid-YTW : 5.02 %
BAM.PR.B Floater Quote: 17.22 – 17.85
Spot Rate : 0.6300
Average : 0.4909

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 3.81 %
IFC.PR.C FixedReset Ins Non Quote: 23.20 – 23.55
Spot Rate : 0.3500
Average : 0.2164

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.62 %
SLF.PR.E Deemed-Retractible Quote: 21.41 – 21.96
Spot Rate : 0.5500
Average : 0.4167

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 7.36 %
HSE.PR.C FixedReset Prem Quote: 24.58 – 25.08
Spot Rate : 0.5000
Average : 0.3685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 24.21
Evaluated at bid price : 24.58
Bid-YTW : 5.36 %
Market Action

September 11, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6181 % 3,056.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6181 % 5,608.2
Floater 3.54 % 3.78 % 37,812 17.79 4 0.6181 % 3,232.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1266 % 3,232.0
SplitShare 4.60 % 4.42 % 56,598 4.82 5 -0.1266 % 3,859.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1266 % 3,011.5
Perpetual-Premium 5.54 % -1.57 % 50,626 0.14 12 -0.0262 % 2,919.4
Perpetual-Discount 5.40 % 5.53 % 57,573 14.55 22 0.0805 % 3,002.3
FixedReset Disc 4.11 % 4.95 % 126,828 15.70 39 -0.0258 % 2,578.1
Deemed-Retractible 5.16 % 5.89 % 63,593 5.39 27 0.1692 % 2,996.5
FloatingReset 3.33 % 4.11 % 37,639 5.69 5 0.1815 % 2,848.5
FixedReset Prem 4.84 % 4.17 % 174,427 2.89 35 0.0916 % 2,561.8
FixedReset Bank Non 3.19 % 3.89 % 67,462 3.14 9 0.0271 % 2,571.3
FixedReset Ins Non 4.29 % 5.19 % 97,859 5.36 22 0.0916 % 2,569.4
Performance Highlights
Issue Index Change Notes
SLF.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 : 19.65
Bid-YTW : 7.50 %
MFC.PR.F FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.56
Bid-YTW : 8.22 %
BAM.PF.I FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 4.07 %
PWF.PR.A Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.05 %
IFC.PR.E Deemed-Retractible 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.89 %
BAM.PR.K Floater 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 3.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 229,829 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.29 %
BMO.PR.S FixedReset Disc 104,024 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 22.84
Evaluated at bid price : 23.50
Bid-YTW : 4.81 %
MFC.PR.O FixedReset Ins Non 80,425 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.29
Bid-YTW : 3.61 %
BNS.PR.G FixedReset Prem 79,462 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.78 %
RY.PR.R FixedReset Prem 77,192 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 3.65 %
BAM.PR.T FixedReset Disc 61,213 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.10 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 22.41 – 23.80
Spot Rate : 1.3900
Average : 1.1625

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 6.33 %
BAM.PR.B Floater Quote: 17.32 – 17.85
Spot Rate : 0.5300
Average : 0.3383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.78 %
MFC.PR.K FixedReset Ins Non Quote: 22.44 – 23.50
Spot Rate : 1.0600
Average : 0.9449

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.44
Bid-YTW : 6.42 %
BAM.PR.K Floater Quote: 17.29 – 17.88
Spot Rate : 0.5900
Average : 0.4760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 3.79 %
TD.PF.E FixedReset Disc Quote: 24.42 – 24.72
Spot Rate : 0.3000
Average : 0.1874

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 23.32
Evaluated at bid price : 24.42
Bid-YTW : 5.03 %
HSE.PR.C FixedReset Prem Quote: 24.75 – 25.08
Spot Rate : 0.3300
Average : 0.2242

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.15 %
Market Action

September 10, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.7769 % 3,037.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7769 % 5,573.7
Floater 3.56 % 3.77 % 38,296 17.84 4 -0.7769 % 3,212.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0475 % 3,236.1
SplitShare 4.60 % 4.42 % 53,020 4.82 5 0.0475 % 3,864.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0475 % 3,015.3
Perpetual-Premium 5.54 % -0.32 % 50,240 0.09 12 -0.0753 % 2,920.1
Perpetual-Discount 5.41 % 5.55 % 58,329 14.51 22 -0.0745 % 2,999.9
FixedReset Disc 4.11 % 4.94 % 127,949 15.70 39 -0.0999 % 2,578.8
Deemed-Retractible 5.17 % 5.97 % 64,387 5.39 27 -0.0298 % 2,991.5
FloatingReset 3.34 % 4.10 % 38,984 5.69 5 -0.0181 % 2,843.3
FixedReset Prem 4.84 % 4.25 % 176,821 2.89 35 -0.1863 % 2,559.5
FixedReset Bank Non 3.19 % 3.94 % 67,763 3.15 9 -0.0632 % 2,570.6
FixedReset Ins Non 4.30 % 5.16 % 101,166 5.37 22 -0.2101 % 2,567.1
Performance Highlights
Issue Index Change Notes
BAM.PF.I FixedReset Prem -1.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.43 %
BAM.PR.K Floater -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-10
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.86 %
MFC.PR.L FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.21
Bid-YTW : 6.49 %
MFC.PR.F FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 8.41 %
MFC.PR.I FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.59
Bid-YTW : 4.80 %
IFC.PR.G FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.24 %
CU.PR.C FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-10
Maturity Price : 22.15
Evaluated at bid price : 22.65
Bid-YTW : 4.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 84,271 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.32 %
TD.PF.H FixedReset Prem 81,114 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.89 %
BAM.PR.R FixedReset Disc 58,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-10
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.11 %
MFC.PR.R FixedReset Ins Non 54,975 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.92 %
EMA.PR.F FixedReset Disc 52,448 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-10
Maturity Price : 23.57
Evaluated at bid price : 24.00
Bid-YTW : 5.02 %
TD.PF.I FixedReset Prem 44,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.63 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 22.21 – 23.80
Spot Rate : 1.5900
Average : 0.9130

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.21
Bid-YTW : 6.49 %
SLF.PR.A Deemed-Retractible Quote: 22.25 – 23.80
Spot Rate : 1.5500
Average : 0.9214

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.90 %
PVS.PR.B SplitShare Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.5787

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 3.15 %
MFC.PR.K FixedReset Ins Non Quote: 22.45 – 23.50
Spot Rate : 1.0500
Average : 0.8188

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 6.40 %
BAM.PF.I FixedReset Prem Quote: 25.56 – 26.20
Spot Rate : 0.6400
Average : 0.4148

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.43 %
MFC.PR.G FixedReset Ins Non Quote: 24.40 – 24.95
Spot Rate : 0.5500
Average : 0.3592

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.68 %
Market Action

September 7, 2018

Does anybody know what has happened to the Perimeter Financial website at www.pfin.ca? It’s been down for three days now and I have been unable to find any information about it … or to have various eMails returned …

Jobs, jobs, jobs!

The American economy’s stamina was showcased Friday as the government reported that wages in August sprinted forward at their fastest pace since the recession ended and that the job creation streak extended to 95 months.
…
Employers fattened payrolls by 201,000 jobs; the jobless rate remained under 4 percent, near territory not seen since the 1960s; and average hourly earnings rose by 10 cents, up 2.9 percent from a year earlier.

The manufacturing sector, however, which Mr. Trump has made a centerpiece of his economic and trade policies, registered fewer gains than had been previously thought. The combined addition of 93,000 jobs that the government originally reported for May, June and July was revised down to 62,000. And in August, the sector shed 3,000 jobs. The auto industry, which is particularly exposed to trade, eliminated 4,900 jobs last month after cutting 3,500 in July.

In Canada, not so much:

Canada’s seesawing employment report posted particularly volatile numbers last month that showed big, mid-summer gains had essentially been wiped out by August.

The economy lost 51,600 net jobs last month in a decrease that helped drive the national unemployment rate to six per cent, up from 5.8 per cent in July, Statistics Canada reported Friday in its monthly labour force survey.

Last month’s drop, fuelled by the loss of 92,000 part-time positions, largely eliminated July’s healthy net increase of 54,100 positions.

However, August also featured a notable bright spot: full-time jobs rose by 40,400.
…
Ontario lost 80,100 jobs last month after gaining 60,600 in July — with both data points almost entirely driven by swings in part time work.
…
The report showed that average hourly wage growth, which is closely watched by the Bank of Canada ahead of rate decisions, continued its gradual slide last month to 2.9 per cent after expanding 3.2 per cent in July and 3.6 per cent in June.

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 0.3694 % 3,061.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3694 % 5,617.3
Floater 3.53 % 3.74 % 38,878 17.89 4 0.3694 % 3,237.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0712 % 3,234.5
SplitShare 4.60 % 4.45 % 51,445 4.83 5 -0.0712 % 3,862.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0712 % 3,013.9
Perpetual-Premium 5.53 % -2.30 % 50,950 0.09 12 0.0360 % 2,922.3
Perpetual-Discount 5.40 % 5.52 % 57,387 14.57 22 0.0589 % 3,002.2
FixedReset Disc 4.10 % 4.88 % 131,015 15.80 39 -0.0348 % 2,581.4
Deemed-Retractible 5.16 % 5.99 % 64,671 5.40 27 -0.1002 % 2,992.3
FloatingReset 3.42 % 4.09 % 40,582 5.68 5 -0.1088 % 2,843.8
FixedReset Prem 4.83 % 4.10 % 177,861 2.90 35 -0.0212 % 2,564.3
FixedReset Bank Non 3.19 % 3.74 % 67,534 0.46 9 -0.0677 % 2,572.2
FixedReset Ins Non 4.28 % 5.16 % 98,456 5.49 22 0.6285 % 2,572.5
Performance Highlights
Issue Index Change Notes
IFC.PR.E Deemed-Retractible -2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.19 %
IFC.PR.G FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 5.44 %
TRP.PR.B FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-07
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.90 %
PWF.PR.Q FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-07
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.74 %
IFC.PR.A FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 7.84 %
W.PR.M FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.21 %
W.PR.H Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-07
Maturity Price : 24.68
Evaluated at bid price : 24.99
Bid-YTW : 5.58 %
BAM.PR.K Floater 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-07
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.78 %
MFC.PR.Q FixedReset Ins Non 6.66 % Reversing almost all of yesterday’s nonsense.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.07 %
IAG.PR.I FixedReset Ins Non 10.22 % Reversing almost all of yesterday’s nonsense.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.81
Bid-YTW : 4.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 152,299 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-07
Maturity Price : 22.57
Evaluated at bid price : 23.10
Bid-YTW : 4.74 %
BMO.PR.D FixedReset Prem 59,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.30 %
EMA.PR.F FixedReset Disc 53,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-07
Maturity Price : 23.59
Evaluated at bid price : 24.01
Bid-YTW : 4.96 %
GWO.PR.F Deemed-Retractible 51,805 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-07
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : -29.38 %
TRP.PR.G FixedReset Disc 51,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-07
Maturity Price : 23.25
Evaluated at bid price : 24.31
Bid-YTW : 5.07 %
NA.PR.G FixedReset Prem 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-07
Maturity Price : 23.26
Evaluated at bid price : 25.36
Bid-YTW : 4.84 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.H FixedReset Ins Non Quote: 25.15 – 26.15
Spot Rate : 1.0000
Average : 0.5484

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.04 %
MFC.PR.K FixedReset Ins Non Quote: 22.56 – 23.50
Spot Rate : 0.9400
Average : 0.5653

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 6.25 %
PWF.PR.Q FloatingReset Quote: 21.30 – 22.08
Spot Rate : 0.7800
Average : 0.5146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-07
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.74 %
GWO.PR.H Deemed-Retractible Quote: 22.25 – 22.82
Spot Rate : 0.5700
Average : 0.3517

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.99 %
PWF.PR.A Floater Quote: 21.15 – 21.75
Spot Rate : 0.6000
Average : 0.4226

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-07
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.08 %
GWO.PR.G Deemed-Retractible Quote: 23.93 – 24.40
Spot Rate : 0.4700
Average : 0.3003

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.93
Bid-YTW : 5.99 %
Market Action

September 6, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.8007 % 3,050.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8007 % 5,596.7
Floater 3.54 % 3.74 % 40,394 17.89 4 -0.8007 % 3,225.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1500 % 3,236.8
SplitShare 4.60 % 4.44 % 53,252 4.83 5 -0.1500 % 3,865.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1500 % 3,016.0
Perpetual-Premium 5.54 % -2.00 % 52,947 0.09 12 -0.0164 % 2,921.3
Perpetual-Discount 5.41 % 5.54 % 57,789 14.53 22 -0.0530 % 3,000.4
FixedReset Disc 4.10 % 4.88 % 128,738 15.79 39 -0.5214 % 2,582.3
Deemed-Retractible 5.16 % 5.80 % 65,061 5.40 27 0.0000 % 2,995.3
FloatingReset 3.41 % 4.15 % 41,204 5.69 5 -0.5319 % 2,846.9
FixedReset Prem 4.83 % 4.22 % 184,238 2.90 35 -0.3667 % 2,564.8
FixedReset Bank Non 3.19 % 3.38 % 67,227 0.46 9 -0.0631 % 2,574.0
FixedReset Ins Non 4.31 % 5.42 % 93,926 5.50 22 -1.4320 % 2,556.4
Performance Highlights
Issue Index Change Notes
IAG.PR.I FixedReset Ins Non -11.03 % A nonsensical quote from Nonsense Central, as this issue traded 17,020 shares in a range of 24.95-31 before being quoted at 22.51-24.97 by the Exchange.

I have not checked whether this lamentable state of affairs 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 : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 6.75 %
MFC.PR.Q FixedReset Ins Non -7.75 % Another nonsensical quote from Nonsense Central (well done, guys!), as this issue traded 22,531 shares in a range of 24.81-98 before being quoted at 22.97-24.92 by the Exchange.

I have not checked whether this lamentable state of affairs 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 : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.97
Bid-YTW : 6.27 %
BAM.PR.K Floater -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.85 %
GWO.PR.N FixedReset Ins Non -2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.54
Bid-YTW : 8.17 %
IAG.PR.G FixedReset Ins Non -2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 5.31 %
W.PR.H Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 5.68 %
NA.PR.E FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 22.76
Evaluated at bid price : 23.92
Bid-YTW : 4.89 %
BAM.PF.B FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 23.02
Evaluated at bid price : 23.75
Bid-YTW : 5.06 %
CU.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 21.90
Evaluated at bid price : 22.28
Bid-YTW : 4.86 %
MFC.PR.L FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.49
Bid-YTW : 6.20 %
RY.PR.H FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 22.76
Evaluated at bid price : 23.32
Bid-YTW : 4.71 %
TRP.PR.F FloatingReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.24 %
W.PR.M FixedReset Prem -1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.58 %
MFC.PR.G FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 4.65 %
BAM.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 5.07 %
PWF.PR.Q FloatingReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 3.67 %
TRP.PR.D FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 5.05 %
BAM.PF.J FixedReset Prem -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.W Perpetual-Discount 179,198 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.97 %
RY.PR.J FixedReset Disc 142,547 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 24.09
Evaluated at bid price : 24.41
Bid-YTW : 4.92 %
BAM.PF.F FixedReset Disc 92,608 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.06 %
NA.PR.G FixedReset Prem 87,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 23.29
Evaluated at bid price : 25.45
Bid-YTW : 4.82 %
EMA.PR.H FixedReset Prem 78,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 23.21
Evaluated at bid price : 25.15
Bid-YTW : 4.80 %
MFC.PR.J FixedReset Ins Non 77,316 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.74 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.I FixedReset Ins Non Quote: 22.51 – 24.97
Spot Rate : 2.4600
Average : 1.3153

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 6.75 %
MFC.PR.Q FixedReset Ins Non Quote: 22.97 – 24.90
Spot Rate : 1.9300
Average : 1.0679

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.97
Bid-YTW : 6.27 %
BAM.PR.K Floater Quote: 17.00 – 17.88
Spot Rate : 0.8800
Average : 0.5637

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.85 %
W.PR.H Perpetual-Discount Quote: 24.56 – 25.00
Spot Rate : 0.4400
Average : 0.2556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 5.68 %
BAM.PR.B Floater Quote: 17.50 – 17.88
Spot Rate : 0.3800
Average : 0.2324

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.74 %
TRP.PR.F FloatingReset Quote: 20.49 – 20.97
Spot Rate : 0.4800
Average : 0.3334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-06
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.24 %
Market Action

September 5, 2018

PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, unchanged from the figure reported August 29.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0407 % 3,074.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0407 % 5,641.8
Floater 3.51 % 3.74 % 40,658 17.89 4 -0.0407 % 3,251.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1661 % 3,241.7
SplitShare 4.59 % 4.43 % 52,699 4.84 5 0.1661 % 3,871.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1661 % 3,020.5
Perpetual-Premium 5.54 % -0.76 % 53,300 0.09 12 -0.0131 % 2,921.8
Perpetual-Discount 5.40 % 5.51 % 57,963 14.58 22 -0.2505 % 3,002.0
FixedReset Disc 4.08 % 4.79 % 129,790 15.84 39 -0.2128 % 2,595.8
Deemed-Retractible 5.16 % 5.76 % 64,313 5.40 27 -0.0031 % 2,995.3
FloatingReset 3.40 % 4.12 % 41,154 5.69 5 -0.1530 % 2,862.1
FixedReset Prem 4.81 % 4.01 % 185,358 2.91 35 -0.1730 % 2,574.3
FixedReset Bank Non 3.19 % 3.34 % 62,232 0.46 9 -0.0316 % 2,575.6
FixedReset Ins Non 4.25 % 4.83 % 93,795 5.39 22 -0.0656 % 2,593.6
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 22.41
Evaluated at bid price : 22.67
Bid-YTW : 5.43 %
BAM.PR.X FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.86 %
BIP.PR.E FixedReset Prem -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 23.16
Evaluated at bid price : 24.89
Bid-YTW : 5.05 %
BIP.PR.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 23.77
Evaluated at bid price : 24.11
Bid-YTW : 5.80 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.C FixedReset Disc 245,906 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 5.00 %
RY.PR.W Perpetual-Discount 127,410 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.96 %
BMO.PR.Q FixedReset Bank Non 109,191 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 3.74 %
MFC.PR.J FixedReset Ins Non 104,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.69 %
PWF.PR.L Perpetual-Discount 103,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 22.92
Evaluated at bid price : 23.19
Bid-YTW : 5.56 %
IFC.PR.C FixedReset Ins Non 78,082 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.41 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.E Deemed-Retractible Quote: 21.46 – 21.96
Spot Rate : 0.5000
Average : 0.3659

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 7.29 %
CM.PR.Q FixedReset Disc Quote: 24.41 – 24.82
Spot Rate : 0.4100
Average : 0.2849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 23.37
Evaluated at bid price : 24.41
Bid-YTW : 4.90 %
SLF.PR.H FixedReset Ins Non Quote: 21.90 – 22.35
Spot Rate : 0.4500
Average : 0.3320

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 5.93 %
MFC.PR.N FixedReset Ins Non Quote: 23.32 – 24.00
Spot Rate : 0.6800
Average : 0.5707

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.56 %
CU.PR.E Perpetual-Discount Quote: 22.67 – 23.05
Spot Rate : 0.3800
Average : 0.2783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-05
Maturity Price : 22.41
Evaluated at bid price : 22.67
Bid-YTW : 5.43 %
BAM.PR.K Floater Quote: 17.43 – 17.72
Spot Rate : 0.2900
Average : 0.2170

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

September 4, 2018

Something new today!

The old FixedReset subindex has been divided into:

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

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1630 % 3,075.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1630 % 5,644.1
Floater 3.51 % 3.74 % 42,248 17.90 4 0.1630 % 3,252.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1505 % 3,236.3
SplitShare 4.60 % 4.43 % 53,084 4.84 5 0.1505 % 3,864.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1505 % 3,015.5
Perpetual-Premium 5.54 % -0.46 % 53,042 0.09 12 0.0328 % 2,922.1
Perpetual-Discount 5.39 % 5.51 % 58,525 14.59 22 0.0960 % 3,009.5
FixedReset Disc 4.07 % 4.73 % 131,875 15.81 39 -0.0546 % 2,601.3
Deemed-Retractible 5.16 % 5.76 % 63,172 5.41 27 -0.0344 % 2,995.4
FloatingReset 3.39 % 4.12 % 41,584 5.70 5 0.1262 % 2,866.5
FixedReset Prem 4.81 % 3.94 % 176,568 2.91 35 -0.0621 % 2,578.7
FixedReset Bank Non 3.19 % 3.32 % 62,756 0.47 9 0.0857 % 2,576.4
FixedReset Ins Non 4.25 % 4.81 % 93,089 5.39 22 -0.0328 % 2,595.3
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.56 %
BAM.PR.K Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 3.76 %
SLF.PR.C Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.46 %
CM.PR.O FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 22.98
Evaluated at bid price : 23.57
Bid-YTW : 4.73 %
NA.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 22.89
Evaluated at bid price : 24.22
Bid-YTW : 4.82 %
BAM.PF.C Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.68 %
SLF.PR.I FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.59 %
BAM.PR.X FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.79 %
BAM.PR.C Floater 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 3.77 %
BAM.PR.R FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.99 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.G FixedReset Prem 61,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.73 %
MFC.PR.J FixedReset Ins Non 56,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.70 %
PWF.PR.K Perpetual-Discount 53,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 5.57 %
EMA.PR.H FixedReset Prem 49,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.66 %
MFC.PR.R FixedReset Ins Non 41,309 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 3.79 %
TD.PF.J FixedReset Prem 41,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.43 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 24.01 – 24.74
Spot Rate : 0.7300
Average : 0.4613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 23.28
Evaluated at bid price : 24.01
Bid-YTW : 5.00 %
MFC.PR.N FixedReset Ins Non Quote: 23.32 – 23.96
Spot Rate : 0.6400
Average : 0.4508

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.56 %
NA.PR.S FixedReset Disc Quote: 23.55 – 23.98
Spot Rate : 0.4300
Average : 0.2662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-04
Maturity Price : 22.89
Evaluated at bid price : 23.55
Bid-YTW : 4.83 %
MFC.PR.C Deemed-Retractible Quote: 21.15 – 21.59
Spot Rate : 0.4400
Average : 0.3189

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 7.58 %
EIT.PR.B SplitShare Quote: 25.02 – 25.30
Spot Rate : 0.2800
Average : 0.1839

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.79 %
NA.PR.E FixedReset Disc Quote: 24.22 – 24.50
Spot Rate : 0.2800
Average : 0.1870

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

August 31, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.9155 % 3,070.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9155 % 5,635.0
Floater 3.52 % 3.70 % 42,308 18.01 4 -0.9155 % 3,247.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0238 % 3,230.0
SplitShare 4.60 % 4.47 % 53,513 4.85 5 0.0238 % 3,857.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0238 % 3,009.6
Perpetual-Premium 5.60 % -10.55 % 51,791 0.09 10 0.0668 % 2,921.2
Perpetual-Discount 5.38 % 5.52 % 56,667 14.57 25 -0.0155 % 3,006.6
FixedReset 4.30 % 4.65 % 128,349 3.77 106 -0.0563 % 2,590.9
Deemed-Retractible 5.15 % 5.82 % 64,004 5.42 26 -0.0906 % 2,996.5
FloatingReset 3.50 % 3.64 % 42,172 5.71 6 0.0542 % 2,862.9
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.85 %
BAM.PR.R FixedReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.16 %
MFC.PR.L FixedReset -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.99 %
SLF.PR.I FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.00 %
SLF.PR.A Deemed-Retractible -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 6.96 %
TRP.PR.C FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 5.07 %
BAM.PF.E FixedReset 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 23.55
Evaluated at bid price : 23.95
Bid-YTW : 5.00 %
Volume Highlights
Issue Index Shares
Traded		 Notes
POW.PR.G Perpetual-Premium 21,573 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.34 %
PWF.PR.R Perpetual-Premium 21,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.22 %
RY.PR.W Perpetual-Discount 19,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.95 %
NA.PR.X FixedReset 18,890 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.83 %
CM.PR.R FixedReset 13,809 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.97 %
IFC.PR.G FixedReset 12,770 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 5.12 %
There were 1 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 20.04 – 21.04
Spot Rate : 1.0000
Average : 0.6069

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.04
Bid-YTW : 6.74 %
BAM.PR.C Floater Quote: 17.00 – 17.80
Spot Rate : 0.8000
Average : 0.5274

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.85 %
BAM.PR.R FixedReset Quote: 21.03 – 21.68
Spot Rate : 0.6500
Average : 0.3913

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-31
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.16 %
GWO.PR.G Deemed-Retractible Quote: 23.91 – 24.50
Spot Rate : 0.5900
Average : 0.3830

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.99 %
EIT.PR.A SplitShare Quote: 25.18 – 25.59
Spot Rate : 0.4100
Average : 0.2672

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.64 %
MFC.PR.L FixedReset Quote: 22.80 – 23.20
Spot Rate : 0.4000
Average : 0.2592

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

August 30, 2018

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

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

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

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0539 % 3,099.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0539 % 5,687.0
Floater 3.49 % 3.70 % 42,875 18.01 4 0.0539 % 3,277.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0950 % 3,229.2
SplitShare 4.61 % 4.41 % 53,996 4.85 5 -0.0950 % 3,856.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0950 % 3,008.9
Perpetual-Premium 5.61 % -9.83 % 53,926 0.08 10 0.0275 % 2,919.2
Perpetual-Discount 5.38 % 5.52 % 58,883 14.56 25 0.1514 % 3,007.1
FixedReset 4.29 % 4.66 % 127,901 3.82 106 0.1336 % 2,592.4
Deemed-Retractible 5.15 % 5.81 % 62,186 5.42 26 0.1391 % 2,999.2
FloatingReset 3.50 % 3.66 % 42,779 5.71 6 0.2554 % 2,861.4
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.13 %
BAM.PR.T FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.12 %
BAM.PR.X FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.88 %
IAG.PR.I FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 4.45 %
BAM.PR.N Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.69 %
TRP.PR.B FixedReset 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
EMA.PR.C FixedReset 50,913 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 22.84
Evaluated at bid price : 24.13
Bid-YTW : 4.97 %
PWF.PR.K Perpetual-Discount 46,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 5.56 %
MFC.PR.Q FixedReset 45,143 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.67 %
TRP.PR.C FixedReset 34,561 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.13 %
BNS.PR.Z FixedReset 32,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 4.14 %
TD.PF.A FixedReset 30,484 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 23.26
Evaluated at bid price : 23.77
Bid-YTW : 4.67 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Quote: 24.98 – 26.20
Spot Rate : 1.2200
Average : 0.6807

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 23.62
Evaluated at bid price : 24.98
Bid-YTW : 5.01 %
SLF.PR.E Deemed-Retractible Quote: 21.50 – 21.96
Spot Rate : 0.4600
Average : 0.2688

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 7.23 %
BAM.PR.Z FixedReset Quote: 25.12 – 25.50
Spot Rate : 0.3800
Average : 0.2411

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.79 %
SLF.PR.G FixedReset Quote: 19.95 – 20.25
Spot Rate : 0.3000
Average : 0.1882

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 7.20 %
BAM.PF.E FixedReset Quote: 23.55 – 24.19
Spot Rate : 0.6400
Average : 0.5289

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-30
Maturity Price : 23.14
Evaluated at bid price : 23.55
Bid-YTW : 5.08 %
MFC.PR.K FixedReset Quote: 22.88 – 23.50
Spot Rate : 0.6200
Average : 0.5135

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