MAPF

MAPF Portfolio Composition : July, 2019

Turnover shot up to 18% in July, as the rally from mid-June that started to fade in early July bred dislocations in the market.

There is extreme segmentation in the marketplace, with OSFI’s NVCC rule changes in February 2011 having had the effect of splitting the formerly relatively homogeneous Straight Perpetual class of preferreds into three parts:

  • Unaffected Straight Perpetuals
  • DeemedRetractibles explicitly subject to the rules (banks)
  • DeemedRetractibles considered by me, but not (yet!) by the market, to be likely to be explicitly subject to the rules in the future (insurers and insurance holding companies)

This segmentation, and the extreme valuation differences between the segments, has cut down markedly on the opportunities for trading.

To make this more clear, it used to be that there were 70-odd Straight Perpetuals and I was more or less indifferent as to which ones I owned (subject, of course, to issuer concentration concerns and other risk management factors). Thus, if any one of these 70 were to go down in price by – say – $0.25, I would quite often have something in inventory that I’d be willing to swap for it. The segmentation means that I am no longer indifferent; in addition to checking the valuation of a potential buy to other Straights, I also have to check its peer group. This cuts down on the potential for trading.

And, of course, the same segmentation has the same effect on trading opportunities between FixedReset issues.

I have argued for a long time that insurers will become covered by NVCC rules similar to the banks, but regulatory process on the issue is very slow.

As a result of prior delays, I initially extended the Deemed Maturity date for insurers and insurance holding companies by three years (to 2025-1-31), in the expectation that when OSFI finally does provide clarity, they will allow the same degree of lead-in time for these companies as they did for banks. This had a major effect on the durations of preferred shares subject to the change but, fortunately, not much on their calculated yields as most of these issues were either trading near par when the change was made or were trading at sufficient premium that a par call was expected on economic grounds. However, with the declines in the market over the past nine months, the expected capital gain on redemption of the insurance-issued DeemedRetractibles has become an important component of the calculated yield.

In December, 2018, I extended the DeemedMaturity date for insurance issues by another five years, to 2030-1-31.

The new date has been chosen with the idea that a decision will be made by the IAIS (International Association of Insurance Supervisors) in 2019, and (if favourable) will be implemented with an 11-year grace period, similarly to the banks. We shall see just how accurate these suppositions might be!

I must emphasize that these extensions do not give rise to any desire on my part to alter the fundamentals of my analysis. It is simply a reaction to the excessive time the regulators are taking to discuss the issue.

Sectoral distribution of the MAPF portfolio on July 31 was as follows:

MAPF Sectoral Analysis 2019-7-31
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 0% N/A N/A
Fixed-Reset Discount 47.6% 5.86% 14.23
Deemed-Retractible 0% N/A N/A
FloatingReset 1.8% 10.52 8.05
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 40.0% 9.34% 8.30
Scraps – Ratchet 1.5% 7.16% 14.00
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 0% N/A N/A
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 8.9% 7.20% 12.38
Scraps – DeemedRet 0% N/A N/A
Scraps – FloatingReset 0.7% 8.17% 11.17
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash -0.6% 0.00% 0.00
Total 100% 7.53% 11.64
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or 2030-1-31 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018.
Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 1.40% and a constant 3-Month Bill rate of 1.65%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2019-7-31
DBRS Rating Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 23.0%
Pfd-2 36.5%
Pfd-2(low) 30.4%
Pfd-3(high) 3.7%
Pfd-3 4.0%
Pfd-3(low) 2.4%
Pfd-4(high) 0%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0.7%
Pfd-5 0.0%
Cash -0.6%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.C, which is rated P-5(high) by S&P and is unrated by DBRS; it is included in the Pfd-5(high) total.
The fund holds a position in EMA.PR.C, which is rated P-2(low) by S&P and is unrated by DBRS; it is included in the Pfd-2(low) total.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.

Liquidity Distribution is:

MAPF Liquidity Analysis 2019-7-31
Average Daily Trading Weighting
<$50,000 17.3%
$50,000 – $100,000 60.5%
$100,000 – $200,000 19.5%
$200,000 – $300,000 9.5%
>$300,000 2.8%
Cash -0.6%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 28.2%
150-199bp 23.1%
200-249bp 23.9%
250-299bp 14.8%
300-349bp 0.8%
350-399bp 4.0%
400-449bp 1.8%
450-499bp 1.3%
500-549bp 1.3%
550-599bp 0%
>= 600bp 0%
Undefined 0.9%

Distribution of Floating Rate Start Dates is shown in the table below. This is the date of the next adjustment to the dividend rate, if the issue is currently paying a fixed rate for a limited time; which in practice is successive terms of 5 years. Issues that adjust quarterly are considered “Currently Floating”.

Range MAPF Weight
Currently Floating 7.1%
0-1 Year 26.1%
1-2 Years 36.6%
2-3 Years 19.0%
3-4 Years 10.2%
4-5 Years 1.6%
5-6 Years 0%
>6 Years 0%
Not Floating Rate -0.6%

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited. A “unit trust” is like a regular mutual fund, but are not sold with a prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) (and other funds) as of July 31, 2017, and published in the August, 2017, PrefLetter. It is fair to say:

  • MAPF credit quality is much better
  • MAPF liquidity is lower
  • MAPF Yield is higher
  • Weightings
    • MAPF is much less exposed to Straight Perpetuals
    • Neither portfolio is exposed to Operating Retractibles (there aren’t too many of those any more!)
    • MAPF is equally exposed to SplitShares (that is to say, currently no exposure)
    • MAPF is less exposed to FixFloat / Floater / Ratchet
    • MAPF is significantly higher weighted in FixedResets, with a much greater emphasis on lower-spread and insurance issues
Issue Comments

BMO.PR.T : Convert or Hold?

It will be recalled that BMO.PR.T will reset at 3.624% effective August 25, 2019

BMO.PR.T is a FixedReset, 3.90%+224, NVCC-compliant issue that commenced trading 2014-6-6 after being announced 2019-05-28. It is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g. BMO.PR.T and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_190802
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +1.07% and +1.18%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the BMO.PR.T FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for BMO.PR.T) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
BMO.PR.T 17.57 224bp 17.69 17.18 16.68

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, BMO.PR.T. Therefore, I recommend that holders of BMO.PR.T continue to hold the issue and not to convert. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (EDT) on August 12, 2019. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.

Issue Comments

RY.PR.H : Convert or Hold?

It will be recalled that RY.PR.H will reset At 3.65% effective August 24, 2019.

RY.PR.H is a FixedReset, 3.90%+226, NVCC-Compliant issue that commenced trading 2014-6-3 after being announced 2014-5-23. The bank gave notice of extension on 2019-7-22. The issue is tracked by HIMIPref™ and has been assigned to the FixedReset-Discount subindex.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g. RY.PR.H and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).

pairs_fr_190802
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +1.07% and +1.18%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the RY.PR.H FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for RY.PR.H) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
RY.PR.H 17.95 226bp 18.06 17.56 17.05

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, RY.PR.H. Therefore, I recommend that holders of RY.PR.H continue to hold the issue and not to convert. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (EST) on August 9, 2019. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.

Issue Comments

ENB.PR.Y To Reset to 3.737%

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series 3 (Series 3 Shares) (TSX: ENB.PR.Y) on September 1, 2019. As a result, subject to certain conditions, the holders of the Series 3 Shares have the right to convert all or part of their Series 3 Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series 4 of Enbridge (Series 4 Shares) on September 1, 2019. Holders who do not exercise their right to convert their Series 3 Shares into Series 4 Shares will retain their Series 3 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series 3 Shares outstanding after September 1, 2019, then all remaining Series 3 Shares will automatically be converted into Series 4 Shares on a one-for-one basis on September 1, 2019; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series 4 Shares outstanding after September 1, 2019, no Series 3 Shares will be converted into Series 4 Shares. There are currently 24,000,000 Series 3 Shares outstanding.

With respect to any Series 3 Shares that remain outstanding after September 1, 2019, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series 3 Shares for the five-year period commencing on September 1, 2019 to, but excluding, September 1, 2024 will be 3.737 percent, being equal to the five-year Government of Canada bond yield of 1.357 percent determined as of today plus 2.38 percent in accordance with the terms of the Series 3 Shares.

With respect to any Series 4 Shares that may be issued on September 1, 2019, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series 4 Shares for the three-month floating rate period commencing on September 1, 2019 to, but excluding, December 1, 2019 will be 1.00474 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 1.65 percent plus 2.38 percent in accordance with the terms of the Series 4 Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 3 Shares who wish to exercise their right of conversion during the conversion period, which runs from August 2, 2019 until 5:00 p.m. (EST) on August 19, 2019, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PR.Y is a FixedReset, 4.00%+238, that commenced trading 2013-6-6 after being announced 2013-5-28. It is tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., ENB.PR.Y and the FloatingReset that will exist if enough holders convert). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated). Inspection of the graph and the overall average break-even rates for extant pairs will provide a guide for estimating the break-even rate for the pair now under consideration assuming, of course, that enough conversions occur so that the pair is in fact created.

pairs_fr_190802
Click for Big

The market has lost enthusiasm for floating rate product; the implied rates until the next interconversion are generally well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +1.07% and +1.18%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the ENB.PR.Y FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for ENB.PR.Y) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
ENB.PR.Y 14.76 238bp 14.90 14.42 13.94

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, ENB.PR.Y. Therefore, it seems likely that I will recommend that holders of ENB.PR.Y continue to hold the issue and not to convert, but I will wait until it’s closer to the August 19 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Market Action

August 2, 2019

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 -0.6292 % 1,978.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6292 % 3,630.2
Floater 6.04 % 6.13 % 38,510 13.67 4 -0.6292 % 2,092.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0958 % 3,342.3
SplitShare 4.66 % 4.71 % 72,720 4.10 7 -0.0958 % 3,991.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0958 % 3,114.3
Perpetual-Premium 5.60 % -18.70 % 56,110 0.09 7 0.0280 % 2,992.0
Perpetual-Discount 5.43 % 5.58 % 58,756 14.49 25 0.2792 % 3,135.7
FixedReset Disc 5.43 % 5.27 % 158,823 14.99 69 -0.2434 % 2,121.3
Deemed-Retractible 5.21 % 5.78 % 63,150 7.93 27 0.1136 % 3,124.3
FloatingReset 4.06 % 4.41 % 35,005 2.40 4 0.0529 % 2,348.0
FixedReset Prem 5.14 % 3.88 % 156,875 1.88 17 -0.0710 % 2,597.7
FixedReset Bank Non 1.98 % 4.06 % 84,320 2.42 3 -0.0139 % 2,656.6
FixedReset Ins Non 5.26 % 7.46 % 82,643 8.02 22 -0.1296 % 2,167.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 6.37 %
TD.PF.D FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.20 %
TD.PF.E FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 5.22 %
BMO.PR.B FixedReset Prem -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.33 %
TRP.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 11.78
Evaluated at bid price : 11.78
Bid-YTW : 6.16 %
BAM.PR.R FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 6.22 %
PWF.PR.A Floater -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 11.61
Evaluated at bid price : 11.61
Bid-YTW : 5.97 %
CM.PR.Q FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.52 %
TRP.PR.D FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 6.00 %
BMO.PR.D FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.16 %
MFC.PR.H FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 6.84 %
RY.PR.J FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 5.27 %
BAM.PF.G FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 6.28 %
PWF.PR.P FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.55 %
GWO.PR.R Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.36
Bid-YTW : 6.28 %
HSE.PR.C FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 6.41 %
IAF.PR.B Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.78
Bid-YTW : 6.39 %
SLF.PR.A Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 6.23 %
MFC.PR.M FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.51
Bid-YTW : 8.17 %
MFC.PR.K FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.21
Bid-YTW : 7.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
POW.PR.D Perpetual-Discount 257,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.62 %
TD.PF.L FixedReset Disc 73,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 23.06
Evaluated at bid price : 24.66
Bid-YTW : 4.80 %
IFC.PR.A FixedReset Ins Non 43,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 9.32 %
NA.PR.A FixedReset Prem 30,672 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.68 %
RY.PR.M FixedReset Disc 30,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 5.25 %
SLF.PR.I FixedReset Ins Non 28,913 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 7.35 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 16.05 – 16.53
Spot Rate : 0.4800
Average : 0.3071

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.05
Bid-YTW : 8.73 %
BAM.PF.G FixedReset Disc Quote: 17.19 – 17.70
Spot Rate : 0.5100
Average : 0.3761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 6.28 %
HSE.PR.E FixedReset Disc Quote: 18.80 – 19.50
Spot Rate : 0.7000
Average : 0.5887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.67 %
CM.PR.S FixedReset Disc Quote: 18.85 – 19.19
Spot Rate : 0.3400
Average : 0.2352

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.33 %
PWF.PR.S Perpetual-Discount Quote: 21.64 – 21.95
Spot Rate : 0.3100
Average : 0.2076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-02
Maturity Price : 21.64
Evaluated at bid price : 21.64
Bid-YTW : 5.58 %
BMO.PR.B FixedReset Prem Quote: 25.25 – 25.60
Spot Rate : 0.3500
Average : 0.2573

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.33 %
Market Action

August 1, 2019

Interesting survey from the UK:

Concerns putting people off accessing impartial professional retirement planning advice

44% of people are put off by the perceived cost of advice
45% fear that the financial adviser would not act in their best interests.

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 -0.5609 % 1,990.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5609 % 3,653.1
Floater 6.00 % 6.12 % 39,042 13.69 4 -0.5609 % 2,105.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0507 % 3,345.5
SplitShare 4.65 % 4.71 % 72,810 4.10 7 0.0507 % 3,995.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0507 % 3,117.3
Perpetual-Premium 5.60 % -18.87 % 56,880 0.09 7 0.0280 % 2,991.2
Perpetual-Discount 5.45 % 5.59 % 58,804 14.50 25 -0.1022 % 3,127.0
FixedReset Disc 5.42 % 5.29 % 160,473 14.99 69 -0.1600 % 2,126.5
Deemed-Retractible 5.22 % 5.81 % 64,206 7.93 27 -0.0142 % 3,120.7
FloatingReset 4.06 % 4.42 % 35,171 2.41 4 -0.1057 % 2,346.8
FixedReset Prem 5.14 % 3.72 % 158,088 1.88 17 -0.0710 % 2,599.5
FixedReset Bank Non 1.98 % 4.06 % 87,788 2.42 3 0.0696 % 2,656.9
FixedReset Ins Non 5.26 % 7.43 % 83,781 8.03 22 -0.2490 % 2,170.3
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset Ins Non -2.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.97
Bid-YTW : 8.15 %
TRP.PR.B FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 11.29
Evaluated at bid price : 11.29
Bid-YTW : 5.95 %
HSE.PR.E FixedReset Disc -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 6.66 %
PWF.PR.T FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.37 %
RY.PR.M FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 5.26 %
TRP.PR.G FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.10 %
CM.PR.S FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.33 %
RY.PR.N Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 23.28
Evaluated at bid price : 23.72
Bid-YTW : 5.15 %
IAF.PR.G FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 6.54 %
RY.PR.S FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.85 %
PWF.PR.A Floater -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 11.77
Evaluated at bid price : 11.77
Bid-YTW : 5.88 %
HSE.PR.G FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.53 %
MFC.PR.I FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.44
Bid-YTW : 7.50 %
CU.PR.C FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.36 %
IFC.PR.E Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.81 %
TRP.PR.C FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 6.08 %
TD.PF.D FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.08 %
BIP.PR.F FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 5.95 %
BAM.PR.X FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.08 %
EMA.PR.F FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.85 %
HSE.PR.A FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 6.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.K Perpetual-Discount 204,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 21.83
Evaluated at bid price : 22.07
Bid-YTW : 5.63 %
BMO.PR.W FixedReset Disc 54,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 5.16 %
CM.PR.R FixedReset Disc 49,327 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 21.91
Evaluated at bid price : 22.21
Bid-YTW : 5.32 %
GWO.PR.N FixedReset Ins Non 40,234 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.21
Bid-YTW : 9.13 %
BNS.PR.H FixedReset Prem 36,113 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.11 %
RY.PR.E Deemed-Retractible 23,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-08-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -13.03 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 19.88 – 20.45
Spot Rate : 0.5700
Average : 0.4348

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 5.16 %
RY.PR.N Perpetual-Discount Quote: 23.72 – 24.08
Spot Rate : 0.3600
Average : 0.2341

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 23.28
Evaluated at bid price : 23.72
Bid-YTW : 5.15 %
TRP.PR.B FixedReset Disc Quote: 11.29 – 11.67
Spot Rate : 0.3800
Average : 0.2770

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 11.29
Evaluated at bid price : 11.29
Bid-YTW : 5.95 %
EIT.PR.A SplitShare Quote: 25.50 – 25.89
Spot Rate : 0.3900
Average : 0.2928

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.49 %
MFC.PR.Q FixedReset Ins Non Quote: 19.54 – 19.83
Spot Rate : 0.2900
Average : 0.1955

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.54
Bid-YTW : 7.43 %
CU.PR.F Perpetual-Discount Quote: 21.26 – 21.60
Spot Rate : 0.3400
Average : 0.2489

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-01
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.39 %
Market Action

July 31, 2019

The FOMC announcement came today:

Information received since the Federal Open Market Committee met in June indicates that the labor market remains strong and that economic activity has been rising at a moderate rate. Job gains have been solid, on average, in recent months, and the unemployment rate has remained low. Although growth of household spending has picked up from earlier in the year, growth of business fixed investment has been soft. On a 12-month basis, overall inflation and inflation for items other than food and energy are running below 2 percent. Market-based measures of inflation compensation remain low; survey-based measures of longer-term inflation expectations are little changed.
…
In light of the implications of global developments for the economic outlook as well as muted inflation pressures, the Committee decided to lower the target range for the federal funds rate to 2 to 2-1/4 percent. This action supports the Committee’s view that sustained expansion of economic activity, strong labor market conditions, and inflation near the Committee’s symmetric 2 percent objective are the most likely outcomes, but uncertainties about this outlook remain.
…
The Committee will conclude the reduction of its aggregate securities holdings in the System Open Market Account in August, two months earlier than previously indicated.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; James Bullard; Richard H. Clarida; Charles L. Evans; and Randal K. Quarles. Voting against the action were Esther L. George and Eric S. Rosengren, who preferred at this meeting to maintain the target range for the federal funds rate at 2-1/4 to 2-1/2 percent.

But the tone for the future was relatively hawkish:

The Dow and S&P 500 suffered their biggest daily percentage drops since May 31 on Wednesday after the Federal Reserve cut interest rates for the first time in a decade, but remarks by Fed Chair Jerome Powell dampened expectations for further cuts going forward.

Based on the latest available data, the Dow Jones Industrial Average fell 336.26 points, or 1.24 per cent, to 26,861.76, the S&P 500 lost 33.07 points, or 1.10 per cent, to 2,980.11, and the Nasdaq Composite dropped 98.20 points, or 1.19 per cent, to 8,175.42.

In Toronto, the S&P/TSX composite index also dropped, closing down 0.36 per cent, or 59.49 points, at 16,406.56.

The five-year Canada yield was unchanged at 1.45%.

PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.36%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now an amazing 390bp, a significant widening from the 375bp reported July 24. We also saw a spread this wide on June 19 … but it’s pretty damn rare!

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 0.3681 % 2,002.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3681 % 3,673.8
Floater 5.97 % 6.09 % 39,332 13.74 4 0.3681 % 2,117.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1182 % 3,343.8
SplitShare 4.66 % 4.66 % 75,236 4.11 7 -0.1182 % 3,993.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1182 % 3,115.7
Perpetual-Premium 5.61 % -18.18 % 56,449 0.09 7 0.0168 % 2,990.3
Perpetual-Discount 5.44 % 5.59 % 57,307 14.48 25 0.0160 % 3,130.2
FixedReset Disc 5.41 % 5.25 % 166,992 15.00 69 -0.1360 % 2,129.9
Deemed-Retractible 5.22 % 5.90 % 66,140 7.93 27 0.0932 % 3,121.2
FloatingReset 4.05 % 4.42 % 35,315 2.41 4 0.1986 % 2,349.3
FixedReset Prem 5.13 % 3.72 % 159,888 1.88 17 -0.0610 % 2,601.4
FixedReset Bank Non 1.98 % 4.05 % 86,910 2.42 3 -0.1489 % 2,655.1
FixedReset Ins Non 5.24 % 7.36 % 84,716 8.04 22 0.0287 % 2,175.7
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 5.14 %
HSE.PR.C FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 6.35 %
BIP.PR.F FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.04 %
NA.PR.G FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 5.34 %
RY.PR.Z FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.06 %
SLF.PR.J FloatingReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.41
Bid-YTW : 10.52 %
BAM.PF.B FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.12 %
TRP.PR.G FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.02 %
BAM.PR.K Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.09 %
MFC.PR.K FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.76 %
IFC.PR.A FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 9.39 %
EMA.PR.H FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 23.02
Evaluated at bid price : 24.40
Bid-YTW : 4.95 %
HSE.PR.A FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 6.29 %
TRP.PR.B FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 87,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.06 %
RY.PR.O Perpetual-Discount 31,723 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 23.62
Evaluated at bid price : 24.10
Bid-YTW : 5.06 %
TD.PF.K FixedReset Disc 31,720 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.14 %
MFC.PR.M FixedReset Ins Non 31,239 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.35
Bid-YTW : 8.28 %
SLF.PR.J FloatingReset 27,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.41
Bid-YTW : 10.52 %
RY.PR.M FixedReset Disc 27,506 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.19 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.B FixedReset Prem Quote: 25.60 – 26.00
Spot Rate : 0.4000
Average : 0.2387

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.74 %
TD.PF.D FixedReset Disc Quote: 20.37 – 20.85
Spot Rate : 0.4800
Average : 0.3286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 5.14 %
NA.PR.G FixedReset Disc Quote: 20.49 – 20.85
Spot Rate : 0.3600
Average : 0.2482

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 5.34 %
PVS.PR.E SplitShare Quote: 25.65 – 25.99
Spot Rate : 0.3400
Average : 0.2329

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.93 %
BMO.PR.Z Perpetual-Discount Quote: 24.99 – 25.34
Spot Rate : 0.3500
Average : 0.2467

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.96 %
PWF.PR.R Perpetual-Premium Quote: 25.02 – 25.31
Spot Rate : 0.2900
Average : 0.1881

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.46 %
Market Action

July 30, 2019

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 0.0433 % 1,994.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0433 % 3,660.3
Floater 5.99 % 6.06 % 39,640 13.79 4 0.0433 % 2,109.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1071 % 3,347.8
SplitShare 4.65 % 4.59 % 76,042 4.11 7 0.1071 % 3,998.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1071 % 3,119.4
Perpetual-Premium 5.61 % -18.36 % 58,671 0.09 7 0.0842 % 2,989.8
Perpetual-Discount 5.44 % 5.58 % 57,098 14.52 25 -0.0346 % 3,129.7
FixedReset Disc 5.40 % 5.21 % 162,651 14.99 69 0.0485 % 2,132.8
Deemed-Retractible 5.22 % 5.88 % 68,803 7.94 27 -0.1875 % 3,118.2
FloatingReset 4.06 % 4.41 % 35,768 2.41 4 -0.4483 % 2,344.6
FixedReset Prem 5.13 % 3.61 % 161,839 1.88 17 0.1626 % 2,603.0
FixedReset Bank Non 1.97 % 3.95 % 90,147 2.42 3 -0.0139 % 2,659.0
FixedReset Ins Non 5.24 % 7.39 % 85,605 8.03 22 0.1968 % 2,175.1
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.18 %
MFC.PR.K FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.30
Bid-YTW : 7.91 %
PWF.PR.F Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.65 %
HSE.PR.A FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 12.07
Evaluated at bid price : 12.07
Bid-YTW : 6.38 %
SLF.PR.J FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.27
Bid-YTW : 10.65 %
BIP.PR.F FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 5.94 %
IFC.PR.E Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.66
Bid-YTW : 5.99 %
BIP.PR.B FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 5.53 %
IFC.PR.C FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.55 %
BAM.PR.C Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.06 %
PWF.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.30 %
MFC.PR.N FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.18
Bid-YTW : 8.33 %
SLF.PR.H FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.49 %
NA.PR.W FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.44 %
BMO.PR.C FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 22.79
Evaluated at bid price : 23.58
Bid-YTW : 5.01 %
TRP.PR.B FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 11.37
Evaluated at bid price : 11.37
Bid-YTW : 5.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 5.03 %
BMO.PR.S FixedReset Disc 43,722 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.21 %
PWF.PR.R Perpetual-Premium 42,401 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.45 %
NA.PR.W FixedReset Disc 32,310 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.44 %
SLF.PR.G FixedReset Ins Non 25,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.65
Bid-YTW : 9.85 %
CM.PR.R FixedReset Disc 24,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 22.08
Evaluated at bid price : 22.45
Bid-YTW : 5.25 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.F Perpetual-Discount Quote: 23.33 – 23.76
Spot Rate : 0.4300
Average : 0.2470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.65 %
HSE.PR.E FixedReset Disc Quote: 19.38 – 19.88
Spot Rate : 0.5000
Average : 0.3281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 6.47 %
BNS.PR.F FloatingReset Quote: 24.17 – 24.68
Spot Rate : 0.5100
Average : 0.3549

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.17
Bid-YTW : 4.41 %
TRP.PR.A FixedReset Disc Quote: 13.63 – 13.99
Spot Rate : 0.3600
Average : 0.2459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 6.17 %
PWF.PR.Z Perpetual-Discount Quote: 22.85 – 23.30
Spot Rate : 0.4500
Average : 0.3403

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 22.46
Evaluated at bid price : 22.85
Bid-YTW : 5.65 %
HSE.PR.A FixedReset Disc Quote: 12.07 – 12.39
Spot Rate : 0.3200
Average : 0.2112

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 12.07
Evaluated at bid price : 12.07
Bid-YTW : 6.38 %
Issue Comments

NA : Trend Upgraded to Positive by DBRS

DBRS has announced that it:

changed the trend on all ratings of National Bank of Canada (National or the Bank) and its related entities to Positive from Stable, as well as confirmed all ratings, including the Bank’s Long-Term Issuer Rating at AA (low) and Short-Term Issuer Rating at R-1 (middle). National’s Long-Term Issuer Rating is composed of an Intrinsic Assessment of A (high) and a Support Assessment of SA2, reflecting the expectation of timely systemic support from the Government of Canada (rated AAA with a Stable trend by DBRS). The SA2 designation results in a one-notch uplift to the Long-Term Issuer Rating. Under the Canadian Bank Recapitalization Regime, DBRS expects to eventually remove the uplift from systemic support once the Bank has issued a sufficient level of bail-inable senior debt, which would provide an adequate buffer for non-bail-inable obligations and is expected to offset the removal of systemic support.

KEY RATING CONSIDERATIONS
The Positive trend and confirmation of the ratings recognize National’s dominance in its home province, the Province of Québec (Québec; rated A (high) with a Positive trend by DBRS), which continues to experience strong economic growth, in addition to the successful expansion of the Bank’s footprint in targeted markets across the rest of Canada, especially in Wealth Management (WM) and Financial Markets (FM). Furthermore, the Bank benefits from strong earnings, to which Personal and Commercial (P&C) and WM are now larger contributors, while transformation efforts in its P&C business and growth of its WM business have driven growth in client deposit capture.

The ratings also consider the longevity of the current credit cycle and the potential negative impacts on the Québec economy that might arise due to escalations in trade disputes between Canada, the United States and China. Lastly, DBRS notes that National’s FM business segment is an important contributor to the Bank’s franchise. Although the majority of transactions are client driven, which DBRS views positively, the segment’s activities do expose the Bank to increased capital markets risk from significant market downturns or other adverse events.

Affected issues are: NA.PR.A, NA.PR.C, NA.PR.E, NA.PR.G, NA.PR.S, NA.PR.W and NA.PR.X.

Market Action

July 29, 2019

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 1.1394 % 1,993.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1394 % 3,658.7
Floater 5.99 % 6.11 % 40,112 13.71 4 1.1394 % 2,108.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1694 % 3,344.2
SplitShare 4.66 % 4.63 % 75,790 4.11 7 0.1694 % 3,993.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1694 % 3,116.0
Perpetual-Premium 5.61 % -17.66 % 58,999 0.09 7 0.0281 % 2,987.3
Perpetual-Discount 5.44 % 5.56 % 56,934 14.53 25 -0.0138 % 3,130.8
FixedReset Disc 5.40 % 5.18 % 163,790 14.98 69 -0.1080 % 2,131.8
Deemed-Retractible 5.21 % 5.84 % 67,891 7.94 27 -0.0047 % 3,124.1
FloatingReset 4.04 % 4.27 % 35,999 2.41 4 -0.1711 % 2,355.2
FixedReset Prem 5.13 % 3.82 % 162,734 1.89 17 0.0481 % 2,598.8
FixedReset Bank Non 1.97 % 3.99 % 91,449 2.42 3 0.0556 % 2,659.4
FixedReset Ins Non 5.25 % 7.39 % 85,899 8.03 22 -0.1701 % 2,170.8
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 6.01 %
IFC.PR.A FixedReset Ins Non -2.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.83
Bid-YTW : 9.53 %
SLF.PR.H FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.11
Bid-YTW : 8.67 %
NA.PR.W FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.53 %
TRP.PR.G FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.08 %
BMO.PR.Y FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.20 %
BIP.PR.D FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 5.89 %
CM.PR.Q FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.47 %
MFC.PR.L FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.21 %
CU.PR.F Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.40 %
BAM.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 6.15 %
CM.PR.P FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.38 %
BAM.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 6.22 %
HSE.PR.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.44 %
BAM.PF.A FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.96 %
RY.PR.S FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.82 %
CCS.PR.C Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.31 %
MFC.PR.K FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.70 %
TD.PF.D FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.04 %
BAM.PR.K Floater 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.11 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 72,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.10 %
NA.PR.S FixedReset Disc 55,091 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.38 %
BMO.PR.D FixedReset Disc 34,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 21.99
Evaluated at bid price : 22.33
Bid-YTW : 5.15 %
BMO.PR.W FixedReset Disc 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.18 %
TD.PF.M FixedReset Disc 28,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 23.18
Evaluated at bid price : 25.05
Bid-YTW : 4.96 %
NA.PR.W FixedReset Disc 27,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.53 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 14.83 – 15.49
Spot Rate : 0.6600
Average : 0.4322

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.83
Bid-YTW : 9.53 %
BAM.PR.X FixedReset Disc Quote: 12.90 – 13.35
Spot Rate : 0.4500
Average : 0.2956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 6.11 %
TRP.PR.B FixedReset Disc Quote: 11.17 – 11.63
Spot Rate : 0.4600
Average : 0.3076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 6.01 %
IAF.PR.I FixedReset Ins Non Quote: 21.10 – 21.61
Spot Rate : 0.5100
Average : 0.3608

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.60 %
TD.PF.K FixedReset Disc Quote: 20.30 – 20.65
Spot Rate : 0.3500
Average : 0.2218

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.17 %
BAM.PF.H FixedReset Prem Quote: 25.55 – 25.90
Spot Rate : 0.3500
Average : 0.2235

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.70 %