Archive for January, 2020

January 2, 2020

Thursday, January 2nd, 2020

With every New Year, my long-held dream of 4am food deliveries draws nearer!

A Michigan company that makes self-driving food delivery vehicles will begin testing them out in Ann Arbor in January with patrons from four restaurants.

Ann Arbor-based Refraction AI makes the REV, an autonomous robot that’s five feet (1.5 meters) tall, with wheels and a fuselage that can hold delivery bags. The company will begin using its REVs on Jan. 3 to make meal deliveries from four restaurants to a test group of 300 customers in downtown Ann Arbor.

Canadian preferred share volume was very low today, but we’ll see what next week brings (tomorrow doesn’t count)!

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 -0.3073 % 2,147.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3073 % 3,940.7
Floater 5.68 % 5.80 % 48,905 14.24 4 -0.3073 % 2,271.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0457 % 3,443.4
SplitShare 4.78 % 4.53 % 36,267 3.78 6 -0.0457 % 4,112.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0457 % 3,208.5
Perpetual-Premium 5.56 % -3.10 % 63,371 0.09 11 -0.0608 % 3,046.2
Perpetual-Discount 5.27 % 5.36 % 69,500 14.86 24 -0.0287 % 3,285.5
FixedReset Disc 5.48 % 5.77 % 204,186 14.23 64 0.0192 % 2,168.6
Deemed-Retractible 5.17 % 5.28 % 68,398 14.89 27 -0.1981 % 3,227.2
FloatingReset 6.04 % 6.07 % 85,587 13.70 3 0.9289 % 2,550.6
FixedReset Prem 5.07 % 3.46 % 138,661 1.54 22 -0.0460 % 2,646.4
FixedReset Bank Non 1.93 % 3.66 % 65,736 2.01 3 0.2450 % 2,737.6
FixedReset Ins Non 5.32 % 5.73 % 143,820 14.25 22 -0.0268 % 2,203.7
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset Disc -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.22 %
BIP.PR.A FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.49 %
IFC.PR.A FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.89 %
NA.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 5.89 %
BNS.PR.I FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.49 %
TRP.PR.G FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.19 %
HSE.PR.A FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 6.76 %
IAF.PR.G FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.74 %
TRP.PR.F FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 14.33
Evaluated at bid price : 14.33
Bid-YTW : 6.33 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Disc 58,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.65 %
GWO.PR.S Deemed-Retractible 33,019 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 24.42
Evaluated at bid price : 24.75
Bid-YTW : 5.32 %
RY.PR.S FixedReset Disc 32,759 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 5.50 %
SLF.PR.A Deemed-Retractible 30,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.30 %
BMO.PR.E FixedReset Disc 18,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.67 %
IAF.PR.I FixedReset Ins Non 18,608 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.74 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 18.35 – 19.21
Spot Rate : 0.8600
Average : 0.6181

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.22 %

BIP.PR.A FixedReset Disc Quote: 20.30 – 20.80
Spot Rate : 0.5000
Average : 0.2985

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.49 %

BAM.PF.D Perpetual-Discount Quote: 22.25 – 22.65
Spot Rate : 0.4000
Average : 0.2840

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 21.96
Evaluated at bid price : 22.25
Bid-YTW : 5.53 %

ELF.PR.H Perpetual-Premium Quote: 24.91 – 25.27
Spot Rate : 0.3600
Average : 0.2544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 24.54
Evaluated at bid price : 24.91
Bid-YTW : 5.52 %

PWF.PR.E Perpetual-Premium Quote: 25.17 – 25.57
Spot Rate : 0.4000
Average : 0.3024

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 24.87
Evaluated at bid price : 25.17
Bid-YTW : 5.55 %

TD.PF.D FixedReset Disc Quote: 19.61 – 19.99
Spot Rate : 0.3800
Average : 0.2909

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 5.77 %

MAPF Portfolio Composition: December, 2019

Thursday, January 2nd, 2020

Turnover surged to 44% in December; the market strong during the month, with buying interest exceeding what must have been significant tax-loss selling pressure, making the market very liquid with good day-to-day volatility for some issues.

The fund’s trading will probably be higher in the future than has been normal for the past several years, since the extreme segmentation in the marketplace that I have been complaining about for so long is now effectively ended. Low-Reset insurance issues have been considered so cheap relative to their peers that the fund’s holdings were effectively frozen. However, this differentiating factor is no longer considered applicable.

I am no longer making any adjustments for special qualities of insurance issues but note that this policy may change again in the future – a requirement for a Principal Loss Absorbency Mechanism, whereby any security included in Tier 1 Capital will be wiped out prior to a government bail-out, even if technical bankruptcy is avoided, remains good public policy; it is a disgrace that the IAIS has rejected this principle and even worse that OSFI argued strenuously against it. I will continue to read notifications from these two entities with great interest, but while it is within the realm of possibility that ICS 2.0 will be revised following the expiry of the current five-year testing period, I can’t say I have any great confidence in the wisdom of the bureaucrats.

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

MAPF Sectoral Analysis 2019-12-31
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 0% N/A N/A
Fixed-Reset Discount 57.6% 6.00% 13.96
Deemed-Retractible 0% N/A N/A
FloatingReset 4.4% 5.89% 14.05
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 28.9% 5.77% 14.37
Scraps – Ratchet 1.5% 7.14% 14.01
Scraps – FixedFloater 0.0% 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 6.4% 7.55% 12.03
Scraps – DeemedRet 0% N/A N/A
Scraps – FloatingReset 0.8% 8.09% 11.29
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash +0.5% 0.00% 0.00
Total 100% 6.03% 13.87
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November..

Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 1.68% and a constant 3-Month Bill rate of 1.68%

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

Credit distribution is:

MAPF Credit Analysis 2019-12-31
DBRS Rating Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 37.1%
Pfd-2 29.3%
Pfd-2(low) 24.5%
Pfd-3(high) 2.0%
Pfd-3 3.5%
Pfd-3(low) 2.3%
Pfd-4(high) 0%
Pfd-4 0%
Pfd-4(low) 0.7%
Pfd-5(high) 0%
Pfd-5 0.0%
Cash +0.5%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.C (tendered for conversion to AZP.PR.B), which is rated P-4(low) by S&P and is unrated by DBRS; it is included in the Pfd-4(low) total.
The fund holds a position in EMA.PR.C, which are rated P-2(low) by S&P and is unrated by DBRS; it is included in the Pfd-2(low) total.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.

Liquidity Distribution is:

MAPF Liquidity Analysis 2019-12-31
Average Daily Trading Weighting
<$50,000 4.7%
$50,000 – $100,000 13.0%
$100,000 – $200,000 36.1%
$200,000 – $300,000 2.3%
>$300,000 43.4%
Cash +0.5%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 18.4%
150-199bp 11.4%
200-249bp 29.1%
250-299bp 25.6%
300-349bp 4.6%
350-399bp 5.8%
400-449bp 1.8%
450-499bp 0.0%
500-549bp 1.3%
550-599bp 0%
>= 600bp 0%
Undefined 2.0%

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

Range MAPF Weight
Currently Floating 6.6%
0-1 Year 5.3%
1-2 Years 23.0%
2-3 Years 11.3%
3-4 Years 30.9%
4-5 Years 22.5%
5-6 Years 0%
>6 Years 0%
Not Floating Rate +0.5%

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 directly from Hymas Investment Management. A “unit trust” is like a regular mutual fund, but are not sold with a prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

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

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

December 31, 2019

Wednesday, January 1st, 2020

Happy New Year, everybody!

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 0.5354 % 2,154.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5354 % 3,952.9
Floater 5.66 % 5.78 % 50,574 14.22 4 0.5354 % 2,278.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0841 % 3,445.0
SplitShare 4.63 % 4.43 % 36,798 3.79 7 0.0841 % 4,114.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0841 % 3,210.0
Perpetual-Premium 5.57 % -6.71 % 64,019 0.09 10 0.0983 % 3,048.0
Perpetual-Discount 5.28 % 5.37 % 69,715 14.84 25 0.0550 % 3,286.5
FixedReset Disc 5.46 % 5.76 % 210,555 14.26 66 0.4522 % 2,168.2
Deemed-Retractible 5.16 % 5.27 % 67,875 14.92 27 0.0671 % 3,233.6
FloatingReset 6.13 % 6.41 % 121,133 13.31 2 0.2203 % 2,527.1
FixedReset Prem 5.09 % 3.38 % 143,575 1.49 20 -0.0058 % 2,647.6
FixedReset Bank Non 1.94 % 3.71 % 66,320 2.02 3 0.0000 % 2,731.0
FixedReset Ins Non 5.32 % 5.73 % 148,378 14.29 22 0.5972 % 2,204.2
Performance Highlights
Issue Index Change Notes
IAF.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 5.74 %
MFC.PR.I FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.76 %
TRP.PR.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.26 %
CM.PR.R FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.82 %
BMO.PR.Y FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 5.76 %
TD.PF.D FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.73 %
BAM.PR.C Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.78 %
TD.PF.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.74 %
MFC.PR.G FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 5.77 %
TRP.PR.A FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.13 %
MFC.PR.K FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.67 %
CCS.PR.C Deemed-Retractible 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.29 %
HSE.PR.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.95 %
IFC.PR.G FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 5.81 %
HSE.PR.C FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.95 %
HSE.PR.A FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 6.83 %
SLF.PR.G FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.71 %
HSE.PR.G FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 6.93 %
RY.PR.J FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 5.62 %
BAM.PF.B FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 5.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.E FixedReset Disc 31,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.88 %
BMO.PR.D FixedReset Disc 27,313 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.71 %
TD.PF.G FixedReset Prem 26,406 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 3.29 %
EMA.PR.F FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.34 %
TD.PF.A FixedReset Disc 23,835 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.59 %
RY.PR.Z FixedReset Disc 19,435 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.56 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 17.60 – 18.49
Spot Rate : 0.8900
Average : 0.6054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.06 %

SLF.PR.J FloatingReset Quote: 13.17 – 13.69
Spot Rate : 0.5200
Average : 0.3693

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 5.89 %

SLF.PR.I FixedReset Ins Non Quote: 18.93 – 19.34
Spot Rate : 0.4100
Average : 0.2673

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 5.77 %

CU.PR.I FixedReset Prem Quote: 25.36 – 25.85
Spot Rate : 0.4900
Average : 0.3515

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 3.31 %

IFC.PR.A FixedReset Ins Non Quote: 14.40 – 14.86
Spot Rate : 0.4600
Average : 0.3282

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.95 %

TD.PF.C FixedReset Disc Quote: 17.64 – 17.96
Spot Rate : 0.3200
Average : 0.2287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 5.67 %