MAPF

MAPF Portfolio Composition: November, 2018

Turnover declined to minimal levels in November to 1%.

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.

There is no real hope that this situation will be corrected in the near-term. OSFI has indicated that the long-promised “Draft Definition of Capital” for insurers will not be issued “for public consultation in late 2012 or early 2013”, as they fear that it might encourage speculation in the marketplace. It is not clear why OSFI is so afraid of informed speculation, since the constant speculation in the marketplace is currently less informed than it would be with a little bit of regulatory clarity. While the framework has been updated, the modifications focus on the amount of capital required, not the required characteristics of that capital. However, OSFI has recently indicated that it would support a mechanism similar to the NVCC rule for banks, so we may see some developments as the IAIS deliberations regarding insurance capital continue.

As a result of this delay, I have 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.

Due to the footdragging by OSFI, I will be extending the DeemedMaturity date for insurance issues by another few years in the near future.

Sectoral distribution of the MAPF portfolio on November 30 was as follows:

MAPF Sectoral Analysis 2018-11-30
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 7.9% 5.39% 5.09
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 13.1% 6.09% 13.76
Fixed-Reset Discount 22.8% 6.45% 13.75
Deemed-Retractible 9.7% 8.34% 5.20
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 36.5% 10.78% 5.35
Scraps – Ratchet 0% N/A N/A
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 10.8% 7.73% 12.15
Scraps – DeemedRet 0% N/A N/A
Scraps – FloatingReset 0.7% 8.61% 10.65
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 -1.4% 0.00% 0.00
Total 100% 8.41% 9.17
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. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or 2025-1-3 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See OSFI Does Not Grandfather Extant Tier 1 Capital, CM.PR.D, CM.PR.E, CM.PR.G: NVCC Status Confirmed and the January, February, March and June, 2011, editions of PrefLetter 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.
Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 2.31% and a constant 3-Month Bill rate of 1.70%

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 2018-11-30
DBRS Rating Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 26.0%
Pfd-2 33.8%
Pfd-2(low) 30.2%
Pfd-3(high) 3.3%
Pfd-3 4.5%
Pfd-3(low) 3.0%
Pfd-4(high) 0%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0.7%
Pfd-5 0.0%
Cash -1.4%
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.
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 2018-11-30
Average Daily Trading Weighting
<$50,000 3.3%
$50,000 – $100,000 61.7%
$100,000 – $200,000 34.0%
$200,000 – $300,000 1.4%
>$300,000 1.0%
Cash -1.4%
Totals will not add precisely due to rounding.

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 is sold by offering memorandum rather than 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 somewhat more exposed to Straight Perpetuals
    • Neither portfolio is exposed to Operating Retractibles (there aren’t too many of those any more!)
    • MAPF is more exposed to SplitShares
    • MAPF is less exposed to FixFloat / Floater / Ratchet
    • MAPF is a little lower weighted in FixedResets, but has a greater emphasis on lower-spread issues
Issue Comments

ALA.PR.E To Be Extended

AltaGas Ltd. has announced (on November 28):

that it does not intend to exercise its right to redeem any or all of its currently outstanding Cumulative Redeemable Five-Year Rate Reset Preferred Shares, Series E (the “Series E Shares”) (TSX: ALA.PR.E) on December 31, 2018 (the “Conversion Date”).

As a result, subject to certain conditions, the holders of the Series E Shares have the right to convert all or part of their Series E Shares on a one-for-one basis into Cumulative Redeemable Floating Rate Preferred Shares, Series F (the “Series F Shares”) on the Conversion Date. Holders who do not exercise their right to convert their Series E Shares into Series F Shares will, subject to automatic conversion in the circumstances described below, retain their Series E Shares.

The foregoing conversion right is subject to the conditions that: (i) if AltaGas determines that after giving effect to all conversions there would be less than 1,000,000 Series E Shares outstanding after the Conversion Date, then all remaining Series E Shares will automatically be converted into Series F Shares on a one-for-one basis on the Conversion Date; and (ii) if AltaGas determines that after giving effect to all conversions there would be less than 1,000,000 Series F Shares outstanding after the Conversion Date, no Series E Shares will be converted into Series F Shares. There are currently 8,000,000 Series E Shares outstanding.

With respect to any Series E Shares that remain outstanding after the Conversion Date, holders shall be entitled to receive, as and when declared by the Board of Directors of AltaGas, fixed cumulative preferential cash dividends, payable quarterly. The new annual dividend rate applicable to the Series E Shares for the five-year period commencing on and including December 31, 2018 to, but excluding, December 31, 2023 will be set and announced on December 3, 2018, being equal to the sum of the five-year Government of Canada bond yield as of such date plus 3.17 percent.

With respect to any Series F Shares that may be issued on the Conversion Date, holders shall be entitled to receive, as and when declared by the Board of Directors of AltaGas, quarterly floating rate cumulative preferential cash dividends. The dividend rate applicable to the Series F Shares for the three-month floating rate period commencing on and including December 31, 2018 to, but excluding, March 31, 2019 will be set and announced on December 3, 2018, being equal to the sum of the annual rate of interest for the most recent auction of 90 day Government of Canada treasury bills plus 3.17 percent (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series E Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right during the conversion period, which runs from December 1, 2018 until 5:00 p.m. (Toronto time) on December 17, 2018. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps. Any notices received after this deadline will not be valid.

Subject to the terms and conditions of the Series E Shares and Series F Shares and AltaGas’ right to redeem such shares, holders of the Series E Shares and the Series F Shares will have the opportunity to convert their shares again on December 31, 2023, and every five years thereafter as long as the Series E Shares and Series F Shares remain outstanding.

ALA.PR.E is a FixedReset, 5.00%+317, that commenced trading 2013-12-13 after being announced 2013-12-4. It is tracked by HIMIPref™ but is relegated to the Scraps – FixedReset Discount subindex due to credit concerns.

Issue Comments

AQN.PR.A To Be Extended

Algonquin Power & Utilities Corp. has announced (on November 28):

that it does not intend to exercise its right to redeem all or part of the currently outstanding 4,800,000 Cumulative 5-Year Rate Reset Preferred Shares, Series A (the “Series A Preferred Shares”) on December 31, 2018. As a result, subject to certain conditions, the holders of the Series A Preferred Shares have the right to convert all or part of their Series A Preferred Shares, on a one-for-one basis, into Cumulative Floating Rate Preferred Shares, Series B (the “Series B Preferred Shares”) on December 31, 2018 (the “Conversion Date”) in accordance with the terms and conditions of the Series A Preferred Shares described in the short form prospectus of the Company dated November 2, 2012.

Holders of Series A Preferred Shares who do not exercise their right to convert their Series A Preferred Shares into Series B Preferred Shares on the Conversion Date will retain their Series A Preferred Shares.

The dividend rate applicable to the Series A Preferred Shares for the 5-year period from December 31, 2018 to but excluding December 31, 2023, and the dividend rate applicable to the Series B Preferred Shares for the 3-month period from December 31, 2018 to but excluding March 31, 2019, will be determined and announced by the Company by way of a news release on December 3, 2018.

Beneficial owners of Series A Preferred Shares who wish to exercise their conversion right during the conversion period, which runs from December 3, 2018 until December 17, 2018 at 5:00 p.m. (EST), should communicate as soon as possible with their broker or other nominee for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other nominee time to complete the necessary steps. Any notices received after this deadline will not be valid.

The foregoing conversion rights are subject to the conditions that: (i) if APUC determines that there would remain outstanding on the Conversion Date fewer than 1,000,000 Series B Preferred Shares, after having taken into account all Series A Preferred Shares tendered for conversion into Series B Preferred Shares, then holders of Series A Preferred Shares will not be entitled to convert their Series A Preferred Shares into Series B Preferred Shares, and (ii) alternatively, if APUC determines that there would remain outstanding on the Conversion Date fewer than 1,000,000 Series A Preferred Shares, after having taken into account all Series A Preferred Shares tendered for conversion into Series B Preferred Shares, then all remaining Series A Preferred Shares will automatically be converted into Series B Preferred Shares without the consent of the holders of Series A Preferred Shares, on a one-for-one basis, on the Conversion Date.

In either case, APUC will give written notice to that effect to the registered holder of Series A Preferred Shares no later than December 24, 2018.

AQN.PR.A is a FixedReset, 4.50%+294, that commenced trading 2012-11-9 after being announced 2012-10-25. The issue is tracked by HIMIPref™, but relegated to the Scraps – FixedReset Discount index on credit concerns.

Issue Comments

EFN.PR.A To Be Extended

Element Fleet Management Corp. has announced (on November 20):

that, pursuant to the rights, privileges, restrictions and conditions attaching to the Cumulative 5-Year Rate Reset Preferred Shares, Series A of the Corporation (the “Series A shares”), as provided in the Corporation’s restated articles of incorporation dated October 4, 2016, the holders of Series A shares have the right, at their option, on December 31, 2018 (the “Conversion Date”) to convert all, or any part, of the then outstanding Series A shares into Cumulative Floating Rate Preferred Shares, Series B of the Corporation (the “Series B shares”) on the basis of one Series B share for each Series A share converted (the “Conversion Privilege”).

The dividend rate applicable to the Series A shares for the period from and including December 31, 2018 up to, but excluding, December 31, 2023, and the dividend rate applicable to the Series B shares for the period from and including December 31, 2018 up to, but excluding, March 31, 2019, will be determined by the Corporation and announced by way of a news release on December 3, 2018.

Beneficial owners of Series A shares who wish to exercise their Conversion Privilege should communicate with their broker or other nominee to obtain instructions for exercising such Conversion Privilege during the notice period, which will run from December 3, 2018 until December 17, 2018 at 5:00 p.m. (EST).

The foregoing Conversion Privilege is subject to the following: (i) holders of Series A shares shall not be entitled to convert their Series A shares into Series B shares on the Conversion Date if the Corporation determines that there would remain outstanding on the Conversion Date less than 500,000 Series B shares, after taking into account all Series A shares tendered for conversion into Series B shares, and (ii) alternatively, if the Corporation determines that there would remain outstanding on the Conversion Date less than 500,000 Series A shares after taking into account all Series A shares tendered for conversion into Series B shares, then all, but not part, of the remaining Series A shares shall automatically be converted into Series B shares on the basis of one Series B share for each Series A share on the Conversion Date. In either case, the Corporation will give written notice to that effect to the sole registered holder of the Series A shares at least seven days prior to the Conversion Date.

EFN.PR.A is a FixedReset, 6.60%+471, that was announced 2013-12-9; HIMIPref™ commenced tracking the issue in September 2015 after it received a DBRS rating. It is relegated to the Scraps – FixedReset Discount subindex on credit concerns.

Market Action

November 30, 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 -2.4918 % 2,614.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.4918 % 4,797.6
Floater 4.44 % 4.81 % 40,040 15.75 4 -2.4918 % 2,764.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3252 % 3,168.8
SplitShare 4.65 % 5.32 % 82,992 4.64 7 -0.3252 % 3,784.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3252 % 2,952.6
Perpetual-Premium 5.96 % 6.01 % 53,746 13.84 3 0.1878 % 2,849.7
Perpetual-Discount 5.74 % 5.94 % 77,457 13.91 31 -0.0620 % 2,856.6
FixedReset Disc 4.90 % 5.68 % 172,997 14.50 58 -0.4026 % 2,279.1
Deemed-Retractible 5.52 % 7.53 % 88,956 5.18 26 0.0831 % 2,857.8
FloatingReset 4.12 % 4.81 % 34,985 5.37 6 -0.0351 % 2,556.0
FixedReset Prem 5.13 % 4.73 % 242,852 2.50 22 -0.1955 % 2,497.6
FixedReset Bank Non 2.98 % 4.26 % 123,820 2.94 6 0.0413 % 2,567.5
FixedReset Ins Non 4.93 % 7.90 % 126,190 5.22 22 -0.2216 % 2,288.3
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.83 %
CM.PR.S FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 5.61 %
BAM.PR.C Floater -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 4.81 %
HSE.PR.A FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 6.74 %
PWF.PR.A Floater -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.74 %
RY.PR.M FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.64 %
BAM.PR.K Floater -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 4.81 %
BMO.PR.E FixedReset Prem -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 22.36
Evaluated at bid price : 23.14
Bid-YTW : 5.41 %
TD.PF.K FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 22.16
Evaluated at bid price : 22.80
Bid-YTW : 5.40 %
BAM.PF.B FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.18 %
NA.PR.E FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.77 %
HSE.PR.E FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 6.89 %
EML.PR.A FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 5.64 %
BNS.PR.I FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 22.56
Evaluated at bid price : 23.56
Bid-YTW : 5.09 %
TD.PF.E FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 22.07
Evaluated at bid price : 22.36
Bid-YTW : 5.65 %
VNR.PR.A FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 21.68
Evaluated at bid price : 21.99
Bid-YTW : 5.76 %
MFC.PR.F FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.53
Bid-YTW : 11.84 %
BAM.PR.N Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.31 %
BIP.PR.A FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.80 %
TD.PF.I FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 22.67
Evaluated at bid price : 23.60
Bid-YTW : 5.45 %
HSE.PR.G FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.83 %
GWO.PR.Q Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 7.53 %
EIT.PR.B SplitShare -1.06 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.16
Bid-YTW : 5.43 %
TRP.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.25 %
HSE.PR.C FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 6.76 %
MFC.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 8.11 %
BAM.PF.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 6.16 %
NA.PR.S FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 5.69 %
GWO.PR.N FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.96
Bid-YTW : 11.38 %
ELF.PR.H Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 23.55
Evaluated at bid price : 23.88
Bid-YTW : 5.83 %
BMO.PR.S FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.57 %
MFC.PR.K FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 8.65 %
BIP.PR.E FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.19 %
BIP.PR.F FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 21.60
Evaluated at bid price : 21.95
Bid-YTW : 6.03 %
IFC.PR.G FixedReset Ins Non 2.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset Prem 192,776 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.44 %
TD.PF.G FixedReset Prem 148,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.39 %
TRP.PR.J FixedReset Prem 55,610 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.84 %
RY.PR.H FixedReset Disc 51,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 5.48 %
CM.PR.O FixedReset Disc 51,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.64 %
RY.PR.R FixedReset Prem 49,062 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.24 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Deemed-Retractible Quote: 23.01 – 23.96
Spot Rate : 0.9500
Average : 0.6622

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 7.14 %
RY.PR.M FixedReset Disc Quote: 21.35 – 22.01
Spot Rate : 0.6600
Average : 0.4343

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.64 %
BAM.PR.T FixedReset Disc Quote: 17.90 – 18.43
Spot Rate : 0.5300
Average : 0.3713

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.20 %
MFC.PR.Q FixedReset Ins Non Quote: 20.51 – 21.00
Spot Rate : 0.4900
Average : 0.3353

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 8.54 %
RY.PR.W Perpetual-Discount Quote: 23.75 – 24.18
Spot Rate : 0.4300
Average : 0.2943

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.18 %
HSE.PR.C FixedReset Disc Quote: 19.89 – 20.43
Spot Rate : 0.5400
Average : 0.4047

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-30
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 6.76 %
Market Action

November 29, 2018

So much for the rally! The market’s back to normal …

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 0.2199 % 2,681.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2199 % 4,920.2
Floater 4.33 % 4.65 % 39,565 16.05 4 0.2199 % 2,835.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0606 % 3,179.2
SplitShare 4.63 % 5.23 % 82,441 4.65 7 0.0606 % 3,796.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0606 % 2,962.3
Perpetual-Premium 5.97 % 6.04 % 54,101 13.81 3 0.1478 % 2,844.3
Perpetual-Discount 5.73 % 5.92 % 78,392 13.94 31 0.3224 % 2,858.3
FixedReset Disc 4.88 % 5.69 % 175,032 14.52 58 -0.5188 % 2,288.3
Deemed-Retractible 5.50 % 7.32 % 87,754 5.12 26 0.1139 % 2,855.4
FloatingReset 4.12 % 4.80 % 34,517 5.38 6 -0.9463 % 2,556.9
FixedReset Prem 5.12 % 4.67 % 246,848 2.51 22 0.0015 % 2,502.5
FixedReset Bank Non 2.98 % 4.25 % 124,563 2.95 6 -0.0344 % 2,566.4
FixedReset Ins Non 4.92 % 7.85 % 125,088 5.23 22 -0.2867 % 2,293.3
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset Disc -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.69 %
BIP.PR.F FixedReset Disc -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 6.17 %
PWF.PR.Q FloatingReset -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.51 %
TRP.PR.G FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.27 %
TRP.PR.H FloatingReset -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 5.38 %
BIP.PR.E FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 6.30 %
HSE.PR.G FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 6.76 %
BMO.PR.S FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.65 %
HSE.PR.E FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.78 %
MFC.PR.N FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.47
Bid-YTW : 9.21 %
TRP.PR.F FloatingReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.35 %
NA.PR.S FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.76 %
CM.PR.Q FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.46
Evaluated at bid price : 21.80
Bid-YTW : 5.70 %
TRP.PR.A FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 6.31 %
TRP.PR.B FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 14.02
Evaluated at bid price : 14.02
Bid-YTW : 6.18 %
MFC.PR.M FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.77
Bid-YTW : 9.03 %
MFC.PR.F FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.71
Bid-YTW : 11.61 %
BMO.PR.W FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.56 %
GWO.PR.N FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.89
Bid-YTW : 11.62 %
BMO.PR.T FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.58 %
MFC.PR.Q FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.59
Bid-YTW : 8.46 %
HSE.PR.A FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 6.59 %
MFC.PR.B Deemed-Retractible -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 9.33 %
TRP.PR.D FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 6.29 %
TRP.PR.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.18 %
IFC.PR.C FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 8.37 %
MFC.PR.J FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 7.59 %
RY.PR.M FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.44
Evaluated at bid price : 21.78
Bid-YTW : 5.51 %
BAM.PR.Z FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 6.14 %
CM.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 5.45 %
SLF.PR.H FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.05
Bid-YTW : 8.72 %
ELF.PR.H Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 23.11
Evaluated at bid price : 23.55
Bid-YTW : 5.91 %
BAM.PR.B Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.65 %
BIP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 22.63
Evaluated at bid price : 23.40
Bid-YTW : 6.24 %
BAM.PR.N Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 6.24 %
PWF.PR.L Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 21.52
Evaluated at bid price : 21.78
Bid-YTW : 5.91 %
GWO.PR.S Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 6.76 %
TD.PF.E FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 22.35
Evaluated at bid price : 22.67
Bid-YTW : 5.57 %
CU.PR.H Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 22.78
Evaluated at bid price : 23.12
Bid-YTW : 5.70 %
GWO.PR.Q Deemed-Retractible 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.29
Bid-YTW : 7.32 %
SLF.PR.G FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.09
Bid-YTW : 10.38 %
IAG.PR.I FixedReset Ins Non 2.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.87
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset Prem 623,797 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 4.28 %
TD.PF.H FixedReset Prem 292,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.40 %
TD.PF.G FixedReset Prem 278,486 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.30 %
BNS.PR.F FloatingReset 228,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.79
Bid-YTW : 4.80 %
RY.PR.I FixedReset Bank Non 143,206 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 3.40 %
EMA.PR.H FixedReset Disc 122,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 22.88
Evaluated at bid price : 24.20
Bid-YTW : 5.03 %
TRP.PR.H FloatingReset 111,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 5.38 %
There were 50 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Disc Quote: 20.07 – 21.09
Spot Rate : 1.0200
Average : 0.7564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.15 %
BIP.PR.D FixedReset Disc Quote: 23.40 – 23.98
Spot Rate : 0.5800
Average : 0.4075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 22.63
Evaluated at bid price : 23.40
Bid-YTW : 6.24 %
MFC.PR.G FixedReset Ins Non Quote: 20.91 – 21.43
Spot Rate : 0.5200
Average : 0.3683

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.91
Bid-YTW : 7.91 %
BMO.PR.W FixedReset Disc Quote: 20.35 – 20.83
Spot Rate : 0.4800
Average : 0.3297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.56 %
BAM.PF.G FixedReset Disc Quote: 20.80 – 21.42
Spot Rate : 0.6200
Average : 0.4706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.23 %
TRP.PR.G FixedReset Disc Quote: 20.42 – 20.85
Spot Rate : 0.4300
Average : 0.2941

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-29
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.27 %
Market Action

November 28, 2018

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Click for Big

The market turnaround is being ascribed to dovish hopes for the Fed:

Comments by U.S. Federal Reserve Chair Jerome Powell that interest rates were “just below” neutral propelled Wall Street higher on Wednesday, easing investor worries about the pace of interest rate hikes next year.

Hopes that the United States and China could call a trade war ceasefire at the upcoming G20 summit also helped stocks.

Meanwhile, the U.S. dollar retreated with potentially fewer rate increases on the horizon, and sterling rose after the Bank of England said the economy could shrink by as much as 8 per cent in about a year after a no-deal Brexit.

Equity investors reacted favorably to the comments by Powell, who indicated there may not be as many future interest rate hikes from the central bank as was initially anticipated.

The meaty section of Powell’s actual speech was:

Outlook and Monetary Policy

Congress assigned the Federal Reserve the job of promoting maximum employment and price stability. I am pleased to say that our economy is now close to both of those objectives. The unemployment rate is 3.7 percent, a 49-year low, and many other measures of labor market strength are at or near historic bests. Inflation is near our 2 percent target. The economy is growing at an annual rate of about 3 percent, well above most estimates of its longer-run trend.

For seven years during the crisis and its painful aftermath, the Federal Open Market Committee (FOMC) kept our policy interest rate unprecedentedly low–in fact, near zero–to support the economy as it struggled to recover. The health of the economy gradually but steadily improved, and about three years ago the FOMC judged that the interests of households and businesses, of savers and borrowers, were no longer best served by such extraordinarily low rates. We therefore began to raise our policy rate gradually toward levels that are more normal in a healthy economy. Interest rates are still low by historical standards, and they remain just below the broad range of estimates of the level that would be neutral for the economy‑‑that is, neither speeding up nor slowing down growth. My FOMC colleagues and I, as well as many private-sector economists, are forecasting continued solid growth, low unemployment, and inflation near 2 percent.

There is a great deal to like about this outlook. But we know that things often turn out to be quite different from even the most careful forecasts. For this reason, sound policymaking is as much about managing risks as it is about responding to the baseline forecast. Our gradual pace of raising interest rates has been an exercise in balancing risks. We know that moving too fast would risk shortening the expansion. We also know that moving too slowly–keeping interest rates too low for too long–could risk other distortions in the form of higher inflation or destabilizing financial imbalances. Our path of gradual increases has been designed to balance these two risks, both of which we must take seriously.

We also know that the economic effects of our gradual rate increases are uncertain, and may take a year or more to be fully realized. While FOMC participants’ projections are based on our best assessments of the outlook, there is no preset policy path. We will be paying very close attention to what incoming economic and financial data are telling us. As always, our decisions on monetary policy will be designed to keep the economy on track in light of the changing outlook for jobs and inflation.

Under the dual mandate, jobs and inflation are the Fed’s meat and potatoes. In the rest of my comments, I will focus on financial stability–a topic that has always been on the menu, but that, since the crisis, has become a more integral part of the meal.

It doesn’t seem all that dovish to me, but then I’m not trying to convince my clients that these are turbulent times in which Skilled Fed Watchers examine the entrails of Powell’s chickens between naps.

The Canadian preferred share market was on wheels today.

TXPR closed 647.04, up 0.96% (on a price basis). Volume was on the high side in the context of the last thirty days, but nothing special.

CPD closed at 12.93, up 0.47%. Volume was about average in the context of the last thirty days.

ZPR closed at 10.59, up 0.67%. Volume was the fourth-highest of the past thirty days, exceeded only by November 27, November 16 and October 29.

PerpetualDiscounts now yield 5.94% (!), equivalent to 7.72% at the standard equivalency factor of 1.3x. Long corporates now yield about 4.20%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 350bp (!), a significant widening from the 340bp reported November 21.

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 0.4734 % 2,675.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4734 % 4,909.4
Floater 4.34 % 4.70 % 37,937 15.96 4 0.4734 % 2,829.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0522 % 3,177.2
SplitShare 4.63 % 5.21 % 82,882 4.65 7 -0.0522 % 3,794.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0522 % 2,960.5
Perpetual-Premium 5.98 % 6.05 % 54,928 13.79 3 -0.0671 % 2,840.1
Perpetual-Discount 5.75 % 5.94 % 78,158 13.93 31 0.6021 % 2,849.2
FixedReset Disc 4.85 % 5.65 % 176,360 14.55 58 1.2648 % 2,300.2
Deemed-Retractible 5.50 % 7.54 % 87,175 5.12 26 0.3153 % 2,852.2
FloatingReset 4.07 % 4.81 % 35,085 5.38 6 0.1477 % 2,581.3
FixedReset Prem 5.11 % 4.50 % 249,453 2.51 22 0.2248 % 2,502.4
FixedReset Bank Non 2.98 % 4.26 % 115,338 2.95 6 0.0896 % 2,567.3
FixedReset Ins Non 4.90 % 7.75 % 125,200 5.23 22 1.5675 % 2,299.9
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -6.94 % Just a reversal of yesterday‘s nonsense.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 14.89
Evaluated at bid price : 14.89
Bid-YTW : 4.70 %
BIP.PR.F FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.81
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
IFC.PR.F Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.82
Bid-YTW : 7.30 %
IFC.PR.E Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 7.72 %
TRP.PR.H FloatingReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 5.27 %
POW.PR.B Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 22.13
Evaluated at bid price : 22.41
Bid-YTW : 6.05 %
BIP.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.69 %
PWF.PR.R Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 22.96
Evaluated at bid price : 23.34
Bid-YTW : 5.95 %
IAG.PR.A Deemed-Retractible 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.15
Bid-YTW : 8.96 %
TD.PF.I FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 22.86
Evaluated at bid price : 24.00
Bid-YTW : 5.34 %
RY.PR.H FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.44 %
TRP.PR.D FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.22 %
SLF.PR.A Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.45
Bid-YTW : 8.57 %
GWO.PR.R Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 8.10 %
MFC.PR.I FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.19
Bid-YTW : 7.79 %
BAM.PR.K Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 14.77
Evaluated at bid price : 14.77
Bid-YTW : 4.74 %
MFC.PR.B Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.83
Bid-YTW : 9.10 %
HSE.PR.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.36
Evaluated at bid price : 21.66
Bid-YTW : 6.63 %
BAM.PF.G FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.18 %
BNS.PR.I FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 22.64
Evaluated at bid price : 23.71
Bid-YTW : 5.05 %
BMO.PR.W FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.49 %
SLF.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.78
Bid-YTW : 10.72 %
GWO.PR.T Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 7.54 %
MFC.PR.O FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.33 %
MFC.PR.F FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.92
Bid-YTW : 11.35 %
GWO.PR.H Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.98
Bid-YTW : 8.46 %
PWF.PR.T FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.57
Evaluated at bid price : 21.91
Bid-YTW : 5.38 %
BAM.PF.F FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.22 %
CM.PR.O FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.62 %
RY.PR.M FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 5.45 %
BMO.PR.T FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.50 %
BIP.PR.E FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.19 %
PWF.PR.Z Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.56
Evaluated at bid price : 21.87
Bid-YTW : 5.94 %
TD.PF.E FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 22.07
Evaluated at bid price : 22.36
Bid-YTW : 5.65 %
BAM.PF.I FixedReset Prem 1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.43 %
NA.PR.S FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.66 %
TD.PF.F Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 23.76
Evaluated at bid price : 24.21
Bid-YTW : 5.09 %
CU.PR.H Perpetual-Discount 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 22.50
Evaluated at bid price : 22.80
Bid-YTW : 5.78 %
HSE.PR.G FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 6.60 %
BMO.PR.S FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.52 %
BAM.PR.X FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.01 %
PWF.PR.P FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 5.63 %
TD.PF.D FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 22.30
Evaluated at bid price : 22.65
Bid-YTW : 5.51 %
MFC.PR.M FixedReset Ins Non 2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 8.75 %
NA.PR.W FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 5.64 %
IFC.PR.G FixedReset Ins Non 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 7.71 %
HSE.PR.C FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 6.46 %
TRP.PR.E FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.12 %
MFC.PR.Q FixedReset Ins Non 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 8.21 %
TD.PF.B FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.48 %
PWF.PR.S Perpetual-Discount 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.90 %
IAG.PR.I FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.01 %
BAM.PR.T FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 6.21 %
CM.PR.S FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.52 %
BAM.PR.R FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.20 %
MFC.PR.N FixedReset Ins Non 2.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.84
Bid-YTW : 8.84 %
BAM.PR.C Floater 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 4.71 %
BAM.PR.Z FixedReset Disc 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.20 %
BAM.PF.B FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 6.09 %
RY.PR.J FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.89
Evaluated at bid price : 22.44
Bid-YTW : 5.50 %
BAM.PF.E FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.04 %
RY.PR.Z FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.39 %
TD.PF.C FixedReset Disc 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.51 %
TRP.PR.G FixedReset Disc 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.10 %
TD.PF.A FixedReset Disc 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.45 %
MFC.PR.L FixedReset Ins Non 3.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.23
Bid-YTW : 9.45 %
BAM.PF.A FixedReset Disc 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 6.00 %
BAM.PF.C Perpetual-Discount 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.26 %
MFC.PR.K FixedReset Ins Non 4.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.84
Bid-YTW : 8.94 %
W.PR.H Perpetual-Discount 4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 5.92 %
PWF.PR.A Floater 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 3.63 %
MFC.PR.H FixedReset Ins Non 7.10 % It was reported as being down 4.61% yesterday, I don’t know how legitimately. The day’s gain on a close/close basis was +1.37%.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.18
Bid-YTW : 7.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.H FloatingReset 161,437 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 5.27 %
GWO.PR.P Deemed-Retractible 138,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 6.65 %
BAM.PF.F FixedReset Disc 127,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.22 %
CM.PR.R FixedReset Disc 103,717 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 22.68
Evaluated at bid price : 23.56
Bid-YTW : 5.74 %
RY.PR.W Perpetual-Discount 81,509 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 23.45
Evaluated at bid price : 23.74
Bid-YTW : 5.18 %
TD.PF.G FixedReset Prem 79,495 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.38 %
There were 56 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.F FixedReset Disc Quote: 22.25 – 23.25
Spot Rate : 1.0000
Average : 0.5838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 21.81
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
EMA.PR.F FixedReset Disc Quote: 20.27 – 20.97
Spot Rate : 0.7000
Average : 0.4673

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.09 %
GWO.PR.G Deemed-Retractible Quote: 22.27 – 22.93
Spot Rate : 0.6600
Average : 0.4595

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 7.67 %
BAM.PF.D Perpetual-Discount Quote: 19.90 – 20.47
Spot Rate : 0.5700
Average : 0.3727

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.28 %
CM.PR.P FixedReset Disc Quote: 20.18 – 20.74
Spot Rate : 0.5600
Average : 0.3922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.62 %
BAM.PF.J FixedReset Disc Quote: 24.44 – 24.90
Spot Rate : 0.4600
Average : 0.2950

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-28
Maturity Price : 23.03
Evaluated at bid price : 24.44
Bid-YTW : 5.38 %
Administration

Telephone Troubles

I have just learned that my land-line, (416) 604-4204, has been telling many callers that the ‘phone has been disconnected and worse, it has been doing so for about two weeks. As the ‘phone has retained its dial tone and ability to make out-going calls through this period, I had no reason to suspect a problem.

Bell Canada advises that the fault is on their premises and a technician will be fixing the problem during the afternoon on November 29. Until then, if you need to contact me, please send me an eMail with your number and I will call you.

Update 2018-11-29: Bell did nothing today. Maybe tomorrow.

Market Action

November 27, 2018

rollercoaster_181127
Click for Big

Today we learned that the recent – ongoing – market collapse is all the Fed’s fault:

President Trump placed responsibility for recent stock market declines and this week’s General Motors plant closures and layoffs on the Federal Reserve during an interview Tuesday, shirking any personal responsibility for cracks in the economy and declaring that he is “not even a little bit happy” with his hand-selected central bank chairman.

In a wide-ranging and sometimes discordant 20-minute interview with The Washington Post, Trump complained at length about Federal Reserve Chairman Jerome H. “Jay” Powell, whom he nominated earlier this year. He argued that rising interest rates and other Fed policies were damaging the economy — as evidenced by GM’s announcement this week that it was laying off 15 percent of its workforce — though he insisted that he is not worried about a recession.

“I’m doing deals, and I’m not being accommodated by the Fed,” Trump said. “They’re making a mistake because I have a gut, and my gut tells me more sometimes than anybody else’s brain can ever tell me.”

Well, I said on October 29:

Trump trying to pick a fight with the Fed (I think this is probably because he wants some political cover in case a US slowdown does occur to a noticeable degree)

Not the most astute prediction I’ve ever made, but it’s nice to have a winner nevertheless! And, of course, Trump’s huffing and puffing with his version of crony capitalism:

U.S. President Donald Trump said Tuesday that he was “very disappointed” that General Motors was closing plants in the United States and warned that the White House was “now looking at cutting all GM subsidies,” including for its electric cars program.

Trump unleashed on Twitter a day after GM announced it would shutter five plants and slash 14,000 jobs in North America, with many of the job cuts coming from the U.S.Midwest, where the president has promised a manufacturing rebirth.

Politicians are afraid to say it: highly paid manufacturing jobs will all disappear in the near future. Anything repetitive and finicky can be done better by a robot – it’s just a matter of time and money and not too much of those. But in the meantime, there are real people experiencing real pain, so they have to huff and puff.

But the market – according to the chatteratti – is so desperate for good news it will take anything!

The S&P 500 and Dow edged higher on Tuesday after White House economic adviser Larry Kudlow said a meeting between President Donald Trump and his Chinese counterpart on Saturday was an opportunity to “turn the page” on a trade war.
…
All three major U.S. indexes turned positive after spending much of the session in negative territory, after Kudlow’s comments days ahead of the high-stakes dinner between the two leaders after the G20 summit in Buenos Aires.

But Kudlow also said the White House has been disappointed so far in China’s response to trade issues with the United States. On Monday, Trump threatened to move ahead with additional tariffs on Chinese goods, due to take effect on Jan. 1.

But what a day it was!

TXPR touched a new 52-week low of 632.64 (1.02% down from yesterday‘s close) before closing at 640.91, up 0.28%. Volume was enormous at 4.21-million (shares in the underlying issues, I thing), easily the highest of the last thirty days.

CPD touched a new 52-week low of 12.63 (down 1.48% from yesterday’s close) before closing at 12.87, up 0.39%. Volume was the second-highest of the last thirty days (far ahead of yesterday’s), exceeded only by November 20.

ZPR touched a new 52-week low of 10.34 (down 1.43% from yesterday’s close) before closing at 10.52, up 0.29%. Volume was the third highest of the past thirty days, exceeded only by November 16 and October 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 1.5545 % 2,662.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5545 % 4,886.3
Floater 4.36 % 4.37 % 38,077 16.59 4 1.5545 % 2,816.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2488 % 3,178.9
SplitShare 4.63 % 5.14 % 80,536 4.65 7 -0.2488 % 3,796.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2488 % 2,962.0
Perpetual-Premium 5.97 % 6.02 % 53,058 13.77 3 0.1210 % 2,842.1
Perpetual-Discount 5.79 % 5.98 % 76,637 13.89 31 -0.1641 % 2,832.1
FixedReset Disc 4.91 % 5.74 % 163,813 14.46 58 0.1414 % 2,271.5
Deemed-Retractible 5.52 % 7.47 % 81,806 5.12 26 0.0146 % 2,843.2
FloatingReset 4.07 % 4.77 % 36,543 5.37 6 -0.4486 % 2,577.5
FixedReset Prem 5.12 % 4.70 % 234,443 2.51 22 0.1416 % 2,496.8
FixedReset Bank Non 2.98 % 4.26 % 119,245 2.95 6 0.0207 % 2,565.0
FixedReset Ins Non 4.97 % 8.12 % 127,019 5.21 22 -0.1830 % 2,264.4
Performance Highlights
Issue Index Change Notes
W.PR.H Perpetual-Discount -5.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.20 %
MFC.PR.H FixedReset Ins Non -4.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 9.11 %
MFC.PR.L FixedReset Ins Non -2.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 10.10 %
PWF.PR.Q FloatingReset -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.41 %
MFC.PR.K FixedReset Ins Non -2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 9.78 %
BAM.PF.C Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.51 %
TRP.PR.H FloatingReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 5.21 %
TD.PF.J FixedReset Prem -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 22.13
Evaluated at bid price : 22.70
Bid-YTW : 5.46 %
PWF.PR.S Perpetual-Discount -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.03 %
BAM.PR.C Floater -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.83 %
IFC.PR.F Deemed-Retractible -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 7.04 %
VNR.PR.A FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 21.73
Evaluated at bid price : 22.05
Bid-YTW : 5.74 %
RY.PR.S FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 22.30
Evaluated at bid price : 23.06
Bid-YTW : 5.13 %
POW.PR.G Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 23.83
Evaluated at bid price : 24.17
Bid-YTW : 5.86 %
TD.PF.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.74 %
PWF.PR.P FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.74 %
W.PR.J Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 6.03 %
TD.PF.K FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 22.34
Evaluated at bid price : 23.11
Bid-YTW : 5.31 %
TD.PF.A FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.63 %
PVS.PR.G SplitShare -1.21 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.32 %
BAM.PF.B FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.26 %
BIP.PR.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 6.29 %
BMO.PR.E FixedReset Prem -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 22.62
Evaluated at bid price : 23.65
Bid-YTW : 5.27 %
HSE.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.59 %
TRP.PR.D FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.28 %
TRP.PR.K FixedReset Prem 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 5.14 %
CM.PR.Q FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 21.57
Evaluated at bid price : 21.96
Bid-YTW : 5.65 %
BMO.PR.C FixedReset Prem 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.23 %
RY.PR.Z FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.54 %
MFC.PR.M FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 9.14 %
HSE.PR.A FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 6.55 %
CU.PR.D Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.79 %
POW.PR.D Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.06 %
TRP.PR.A FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 6.27 %
IAG.PR.G FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 7.74 %
TRP.PR.B FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 6.12 %
BAM.PF.F FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.31 %
CU.PR.E Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.89 %
MFC.PR.G FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 7.69 %
CM.PR.O FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.70 %
RY.PR.H FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.49 %
HSE.PR.E FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.73 %
RY.PR.M FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 21.37
Evaluated at bid price : 21.68
Bid-YTW : 5.53 %
EMA.PR.H FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 22.80
Evaluated at bid price : 24.00
Bid-YTW : 5.07 %
BAM.PR.B Floater 9.29 % The presumed bid of 16.00 is an artefact of my pricing algorithm. The closing quote was actually 17.00 offered, no bid, so my system assumes that a poor, but reasonable bid price is $1 less than the offer. Sadly, the offer price is ridiculous – the issue traded 3,398 shares today in a range of 14.45-85.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.37 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset Prem 578,123 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 4.29 %
TD.PF.H FixedReset Prem 316,362 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.45 %
BMO.PR.B FixedReset Prem 295,806 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.60 %
TD.PF.G FixedReset Prem 205,470 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.29 %
RY.PR.R FixedReset Prem 111,104 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.30 %
CM.PR.R FixedReset Disc 88,099 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 22.74
Evaluated at bid price : 23.69
Bid-YTW : 5.70 %
There were 58 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 18.27 – 21.00
Spot Rate : 2.7300
Average : 1.6139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 3.81 %
W.PR.H Perpetual-Discount Quote: 22.50 – 23.92
Spot Rate : 1.4200
Average : 0.7951

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.20 %
MFC.PR.H FixedReset Ins Non Quote: 20.71 – 21.89
Spot Rate : 1.1800
Average : 0.7146

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 9.11 %
TRP.PR.F FloatingReset Quote: 17.29 – 18.35
Spot Rate : 1.0600
Average : 0.6855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-27
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 5.31 %
IFC.PR.F Deemed-Retractible Quote: 23.12 – 24.25
Spot Rate : 1.1300
Average : 0.7687

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 7.04 %
EML.PR.A FixedReset Ins Non Quote: 25.70 – 26.40
Spot Rate : 0.7000
Average : 0.4243

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.81 %
Market Action

November 26, 2018

explosion_181126
Click for Big

Grim news from Government Motors didn’t help the mood:

General Motors said Monday that it planned to idle five factories in North America and cut more than 14,000 blue-collar and salaried jobs in a bid to trim costs.

The action follows similar job-cutting moves by Ford Motor in the face of slowing sales and a shift in consumer tastes, driven in part by low gasoline prices.

The five G.M. plants will halt production next year, resulting in the layoff of 3,300 production workers in the United States and about 3,000 in Canada. The company also aims to trim its salaried staff by 8,000.

Why do we subsidize them? Because they’re good jobs. Why are they good jobs? Because they’re subsidized.

TXPR closed at a new 52-week low of 639.14, down 0.94%. Volume was about average in the context of the last thirty days.

CPD touched a new 52-week low of 12.81 before closing at 12.82, down 1.08%. Volume was the second-highest of the last thirty days, exceeded only by November 20.

ZPR touched a new 52-week low of 10.47 before closing at 10.49, down 1.13%. Volume was high side in the context of the last thirty days, but not extraordinarily so. The high-volume days were at the end of October.

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 -2.1483 % 2,622.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.1483 % 4,811.5
Floater 4.43 % 4.74 % 37,959 15.89 4 -2.1483 % 2,772.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0473 % 3,186.8
SplitShare 4.61 % 5.11 % 78,340 4.66 7 -0.0473 % 3,805.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0473 % 2,969.4
Perpetual-Premium 5.98 % 6.04 % 49,859 13.80 3 -0.9056 % 2,838.6
Perpetual-Discount 5.78 % 5.96 % 75,100 13.90 31 -0.9635 % 2,836.8
FixedReset Disc 4.92 % 5.72 % 159,656 14.49 58 -1.4852 % 2,268.3
Deemed-Retractible 5.50 % 7.45 % 80,311 5.12 26 -0.0861 % 2,842.8
FloatingReset 4.05 % 4.82 % 38,062 5.31 6 -0.2671 % 2,589.2
FixedReset Prem 5.13 % 4.76 % 217,150 2.51 22 -0.5128 % 2,493.3
FixedReset Bank Non 2.98 % 4.26 % 119,501 2.95 6 -0.1445 % 2,564.5
FixedReset Ins Non 4.96 % 8.16 % 126,402 5.21 22 -1.6313 % 2,268.6
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset Disc -4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 6.86 %
HSE.PR.A FixedReset Disc -4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 14.34
Evaluated at bid price : 14.34
Bid-YTW : 6.64 %
PWF.PR.A Floater -3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 3.79 %
BAM.PF.F FixedReset Disc -3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 6.42 %
IFC.PR.C FixedReset Ins Non -3.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 8.41 %
CM.PR.S FixedReset Disc -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 5.61 %
HSE.PR.G FixedReset Disc -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 6.75 %
MFC.PR.G FixedReset Ins Non -3.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 8.04 %
BAM.PF.A FixedReset Disc -3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.26 %
POW.PR.D Perpetual-Discount -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.16 %
CM.PR.O FixedReset Disc -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.80 %
PWF.PR.R Perpetual-Discount -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 23.08
Evaluated at bid price : 23.50
Bid-YTW : 5.90 %
MFC.PR.Q FixedReset Ins Non -2.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 8.52 %
IAG.PR.G FixedReset Ins Non -2.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 8.06 %
TRP.PR.B FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 6.22 %
NA.PR.E FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.73 %
BAM.PF.C Perpetual-Discount -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 6.38 %
TRP.PR.A FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 6.37 %
RY.PR.Z FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.60 %
RY.PR.M FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.66 %
NA.PR.G FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.04
Evaluated at bid price : 22.60
Bid-YTW : 5.60 %
BIP.PR.F FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.21
Evaluated at bid price : 22.90
Bid-YTW : 5.75 %
BAM.PF.G FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.26 %
MFC.PR.H FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 8.17 %
CU.PR.E Perpetual-Discount -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.99 %
MFC.PR.K FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 9.37 %
GWO.PR.N FixedReset Ins Non -2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.07
Bid-YTW : 11.38 %
TD.PF.J FixedReset Prem -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.40
Evaluated at bid price : 23.15
Bid-YTW : 5.34 %
MFC.PR.F FixedReset Ins Non -1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.79
Bid-YTW : 11.50 %
RY.PR.H FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.60 %
TD.PF.K FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.50
Evaluated at bid price : 23.40
Bid-YTW : 5.24 %
MFC.PR.I FixedReset Ins Non -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.91
Bid-YTW : 8.04 %
SLF.PR.H FixedReset Ins Non -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 9.14 %
BMO.PR.D FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.79
Evaluated at bid price : 23.81
Bid-YTW : 5.49 %
TRP.PR.G FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 6.33 %
PWF.PR.E Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 6.01 %
POW.PR.A Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 23.51
Evaluated at bid price : 23.78
Bid-YTW : 5.96 %
BMO.PR.C FixedReset Prem -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.99
Evaluated at bid price : 24.18
Bid-YTW : 5.57 %
NA.PR.C FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.57
Evaluated at bid price : 23.40
Bid-YTW : 5.82 %
IAG.PR.A Deemed-Retractible -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.91
Bid-YTW : 9.19 %
BAM.PR.B Floater -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 14.64
Evaluated at bid price : 14.64
Bid-YTW : 4.79 %
MFC.PR.L FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.05
Bid-YTW : 9.62 %
TRP.PR.D FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.35 %
PWF.PR.T FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.41
Evaluated at bid price : 21.70
Bid-YTW : 5.43 %
TRP.PR.F FloatingReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 5.33 %
MFC.PR.J FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 7.70 %
BAM.PR.X FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 6.16 %
BMO.PR.E FixedReset Prem -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.73
Evaluated at bid price : 23.90
Bid-YTW : 5.21 %
IAG.PR.I FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 7.26 %
BAM.PR.C Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 14.77
Evaluated at bid price : 14.77
Bid-YTW : 4.74 %
POW.PR.B Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.02 %
CM.PR.P FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 5.69 %
TD.PF.E FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 5.65 %
CU.PR.H Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.11
Evaluated at bid price : 22.41
Bid-YTW : 5.88 %
PWF.PR.L Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.00 %
BAM.PF.I FixedReset Prem -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 23.00
Evaluated at bid price : 24.15
Bid-YTW : 6.11 %
CU.PR.D Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.89 %
IFC.PR.A FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.57
Bid-YTW : 10.35 %
TD.PF.A FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.56 %
BNS.PR.I FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.48
Evaluated at bid price : 23.40
Bid-YTW : 5.13 %
PWF.PR.G Perpetual-Premium -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 24.35
Evaluated at bid price : 24.66
Bid-YTW : 6.04 %
RY.PR.J FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.61
Evaluated at bid price : 22.01
Bid-YTW : 5.62 %
GWO.PR.G Deemed-Retractible -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.77 %
TRP.PR.C FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 6.19 %
EMA.PR.F FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.10 %
TRP.PR.E FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.26 %
SLF.PR.I FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.32
Bid-YTW : 7.57 %
PWF.PR.O Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 24.13
Evaluated at bid price : 24.38
Bid-YTW : 6.01 %
PWF.PR.F Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 6.01 %
IFC.PR.G FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 8.16 %
BAM.PF.E FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.19 %
BAM.PR.T FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 6.36 %
MFC.PR.N FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.24
Bid-YTW : 9.43 %
CM.PR.Q FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 5.72 %
MFC.PR.M FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 9.39 %
W.PR.J Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 23.54
Evaluated at bid price : 23.81
Bid-YTW : 5.96 %
IGM.PR.B Perpetual-Premium -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 24.41
Evaluated at bid price : 24.65
Bid-YTW : 6.05 %
BAM.PR.R FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.39 %
ELF.PR.H Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.96
Evaluated at bid price : 23.34
Bid-YTW : 5.96 %
BAM.PR.K Floater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 14.63
Evaluated at bid price : 14.63
Bid-YTW : 4.79 %
PWF.PR.K Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 6.04 %
RY.PR.S FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.47
Evaluated at bid price : 23.38
Bid-YTW : 5.04 %
SLF.PR.G FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.79
Bid-YTW : 10.86 %
POW.PR.C Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 6.00 %
SLF.PR.E Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.72
Bid-YTW : 9.26 %
SLF.PR.D Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.66
Bid-YTW : 9.26 %
CU.PR.I FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.49 %
PWF.PR.Q FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.31 %
IFC.PR.F Deemed-Retractible 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PVS.PR.G SplitShare 217,100 YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.12 %
CM.PR.R FixedReset Disc 131,195 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.80
Evaluated at bid price : 23.80
Bid-YTW : 5.67 %
TRP.PR.C FixedReset Disc 88,165 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 6.19 %
EMA.PR.H FixedReset Disc 42,609 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.40
Evaluated at bid price : 23.20
Bid-YTW : 5.28 %
BAM.PF.J FixedReset Disc 38,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.90
Evaluated at bid price : 24.13
Bid-YTW : 5.46 %
BNS.PR.R FixedReset Bank Non 37,304 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.26 %
There were 47 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.H FixedReset Disc Quote: 23.20 – 24.10
Spot Rate : 0.9000
Average : 0.6538

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.40
Evaluated at bid price : 23.20
Bid-YTW : 5.28 %
POW.PR.A Perpetual-Discount Quote: 23.78 – 24.35
Spot Rate : 0.5700
Average : 0.3840

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 23.51
Evaluated at bid price : 23.78
Bid-YTW : 5.96 %
BMO.PR.D FixedReset Disc Quote: 23.81 – 24.34
Spot Rate : 0.5300
Average : 0.3532

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.79
Evaluated at bid price : 23.81
Bid-YTW : 5.49 %
BAM.PF.A FixedReset Disc Quote: 21.03 – 21.47
Spot Rate : 0.4400
Average : 0.2665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.26 %
BMO.PR.C FixedReset Prem Quote: 24.18 – 24.60
Spot Rate : 0.4200
Average : 0.2631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 22.99
Evaluated at bid price : 24.18
Bid-YTW : 5.57 %
RY.PR.Z FixedReset Disc Quote: 20.27 – 20.65
Spot Rate : 0.3800
Average : 0.2402

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-11-26
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.60 %