So much for private equity:
Henry Kravis called it private equity’s golden age. From 2005 to 2007, buyout firms paid fat prices to buy about 20 supersized companies, from Hilton Worldwide Holdings Inc. to Hertz Global Holdings Inc.
Now, a decade later, the results of that debt-fueled spree can be tabulated — and it’s hardly golden. The mega-deals produced mostly mediocre returns, falling well short of the profits that leveraged buyout shops typically seek, according to separate compilations by Bloomberg and asset manager Hamilton Lane Advisors. In more than half the deals — each valued at more than $10 billion — the firms would have been better off if they had put their investors’ money into a stock index fund.
…
The results also pale when compared with the 70 percent median return yielded by all private equity transactions during that period, the Hamilton Lane study shows. That group includes thousands of smaller deals.On an annualized basis, the largest deals generated a median 4 percent return, according to the Hamilton Lane study, which looked at 25 transactions from the era. The Standard and Poor’s 500 Index, by comparison, returned 7.3 percent a year from the start of 2006 through 2015.
Meanwhile, players are increasing bets on a dovish Fed:
Traders have gone from betting on two Fed increases in the next year — half the pace policy makers signaled last month — to just about one, as inflation expectations have tumbled to multiyear lows and stocks worldwide have crashed. That’s comparable with the market’s predicted pace in 2013 when the Fed started talking about winding down its bond-buying program, according to a Morgan Stanley index.
Judging by futures prices, investors see the fed funds effective rate rising to 0.61 percent by year-end. That’s nearly in line with the 0.62 percent level that would signal one rate increase, assuming the Fed raises its target range by 0.25 percentage point, following liftoff from near zero last month. Futures imply a one-in-five chance the Fed will boost rates at its March meeting, and it’s not until September that the chances exceed a coin flip, data compiled by Bloomberg show.
Preferred share investors were feeling buoyant today!
Click for Big
It was a strong day for the Canadian preferred share market, with PerpetualDiscounts gaining 39bp, FixedResets up 99bp and DeemedRetractibles winning 131bp. The Performance Highlight table was the Performance Highlights table. Volume was very high.
For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.
Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread
Here’s TRP:
Click for Big
TRP.PR.E, which resets 2019-10-30 at +235, is bid at 15.95 to be $1.13 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.44 cheap at its bid price of 17.10.
Click for Big
Most expensive is MFC.PR.M, resetting at +236bp on 2019-12-19, bid at 16.60 to be 0.65 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.10 to be 0.79 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.05 to be $1.85 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 17.20 and appears to be $1.06 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 14.98, looks $0.32 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 14.42 and is $0.59 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.02%, with no outliers. There are five junk outliers below -1.00%.
Click for Big
Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?
| 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 | 5.49 % | 6.68 % | 21,807 | 15.82 | 1 | 12.7854 % | 1,416.0 |
| FixedFloater | 7.79 % | 6.79 % | 29,394 | 15.48 | 1 | 1.1609 % | 2,553.1 |
| Floater | 4.88 % | 5.07 % | 75,453 | 15.38 | 4 | 0.0776 % | 1,564.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1257 % | 2,690.7 |
| SplitShare | 4.91 % | 7.03 % | 73,934 | 2.73 | 6 | 0.1257 % | 3,148.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1257 % | 2,456.7 |
| Perpetual-Premium | 6.01 % | 5.98 % | 93,006 | 13.94 | 6 | 0.5501 % | 2,456.4 |
| Perpetual-Discount | 5.99 % | 6.00 % | 102,115 | 13.90 | 33 | 0.3852 % | 2,400.9 |
| FixedReset | 5.91 % | 5.09 % | 241,674 | 14.73 | 82 | 0.9904 % | 1,744.0 |
| Deemed-Retractible | 5.42 % | 5.88 % | 134,105 | 6.93 | 34 | 1.3176 % | 2,482.8 |
| FloatingReset | 2.84 % | 5.04 % | 64,133 | 5.60 | 13 | 0.7810 % | 1,960.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.E | FixedReset | -3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 13.76 Evaluated at bid price : 13.76 Bid-YTW : 7.81 % |
| TRP.PR.B | FixedReset | -2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 9.37 Evaluated at bid price : 9.37 Bid-YTW : 5.17 % |
| HSE.PR.C | FixedReset | -2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 13.07 Evaluated at bid price : 13.07 Bid-YTW : 7.59 % |
| BAM.PR.X | FixedReset | -2.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 12.34 Evaluated at bid price : 12.34 Bid-YTW : 5.20 % |
| PWF.PR.A | Floater | -2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 10.90 Evaluated at bid price : 10.90 Bid-YTW : 4.39 % |
| W.PR.H | Perpetual-Discount | -2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 21.31 Evaluated at bid price : 21.58 Bid-YTW : 6.42 % |
| W.PR.J | Perpetual-Discount | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 21.57 Evaluated at bid price : 21.83 Bid-YTW : 6.46 % |
| BAM.PR.B | Floater | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 5.07 % |
| CIU.PR.C | FixedReset | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 10.18 Evaluated at bid price : 10.18 Bid-YTW : 4.87 % |
| PWF.PR.T | FixedReset | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 4.21 % |
| HSE.PR.A | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 8.18 Evaluated at bid price : 8.18 Bid-YTW : 7.10 % |
| GWO.PR.O | FloatingReset | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.25 Bid-YTW : 11.66 % |
| PWF.PR.R | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 22.71 Evaluated at bid price : 23.06 Bid-YTW : 5.98 % |
| ELF.PR.F | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.24 % |
| PWF.PR.H | Perpetual-Premium | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 23.86 Evaluated at bid price : 24.11 Bid-YTW : 5.98 % |
| BNS.PR.C | FloatingReset | 1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.24 % |
| BAM.PR.G | FixedFloater | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 25.00 Evaluated at bid price : 12.20 Bid-YTW : 6.79 % |
| POW.PR.D | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.00 % |
| TRP.PR.D | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 15.03 Evaluated at bid price : 15.03 Bid-YTW : 5.24 % |
| MFC.PR.L | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.79 Bid-YTW : 9.53 % |
| BMO.PR.W | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.67 % |
| VNR.PR.A | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 5.45 % |
| CM.PR.O | FixedReset | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.58 Evaluated at bid price : 16.58 Bid-YTW : 4.67 % |
| MFC.PR.F | FixedReset | 1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.50 Bid-YTW : 12.17 % |
| IAG.PR.G | FixedReset | 1.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.75 Bid-YTW : 8.27 % |
| GWO.PR.S | Deemed-Retractible | 1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.87 Bid-YTW : 6.60 % |
| BAM.PF.E | FixedReset | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.01 % |
| MFC.PR.G | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.10 Bid-YTW : 8.82 % |
| GWO.PR.P | Deemed-Retractible | 1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.18 Bid-YTW : 6.57 % |
| PWF.PR.S | Perpetual-Discount | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.96 % |
| GWO.PR.Q | Deemed-Retractible | 1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.13 Bid-YTW : 6.97 % |
| FTS.PR.J | Perpetual-Discount | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.99 % |
| IFC.PR.C | FixedReset | 1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.25 Bid-YTW : 10.05 % |
| BAM.PF.A | FixedReset | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 5.10 % |
| FTS.PR.F | Perpetual-Discount | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.93 % |
| SLF.PR.H | FixedReset | 1.85 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 10.84 % |
| TD.PF.A | FixedReset | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.60 % |
| TD.PF.C | FixedReset | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.58 % |
| TRP.PR.F | FloatingReset | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 10.95 Evaluated at bid price : 10.95 Bid-YTW : 5.14 % |
| SLF.PR.I | FixedReset | 1.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.80 Bid-YTW : 9.69 % |
| NA.PR.S | FixedReset | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.86 % |
| GWO.PR.G | Deemed-Retractible | 1.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.19 Bid-YTW : 6.99 % |
| CCS.PR.C | Deemed-Retractible | 1.92 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 7.74 % |
| CM.PR.P | FixedReset | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.16 Evaluated at bid price : 16.16 Bid-YTW : 4.69 % |
| BNS.PR.P | FixedReset | 1.97 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 4.64 % |
| SLF.PR.G | FixedReset | 2.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.30 Bid-YTW : 11.34 % |
| MFC.PR.J | FixedReset | 2.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.70 Bid-YTW : 8.94 % |
| MFC.PR.M | FixedReset | 2.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 9.04 % |
| RY.PR.Z | FixedReset | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 4.50 % |
| TRP.PR.E | FixedReset | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 5.02 % |
| GWO.PR.I | Deemed-Retractible | 2.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.82 Bid-YTW : 7.83 % |
| GWO.PR.L | Deemed-Retractible | 2.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.26 Bid-YTW : 6.17 % |
| RY.PR.H | FixedReset | 2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.56 % |
| BMO.PR.T | FixedReset | 2.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.57 % |
| RY.PR.M | FixedReset | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 4.85 % |
| GWO.PR.H | Deemed-Retractible | 2.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.86 Bid-YTW : 7.49 % |
| GWO.PR.R | Deemed-Retractible | 2.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.67 Bid-YTW : 7.57 % |
| TRP.PR.A | FixedReset | 2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 12.55 Evaluated at bid price : 12.55 Bid-YTW : 5.35 % |
| RY.PR.J | FixedReset | 2.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.90 % |
| W.PR.K | FixedReset | 2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 22.87 Evaluated at bid price : 24.22 Bid-YTW : 5.42 % |
| MFC.PR.I | FixedReset | 2.92 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.50 % |
| TRP.PR.H | FloatingReset | 2.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 9.09 Evaluated at bid price : 9.09 Bid-YTW : 4.41 % |
| SLF.PR.B | Deemed-Retractible | 3.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.66 Bid-YTW : 7.58 % |
| MFC.PR.B | Deemed-Retractible | 3.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.96 Bid-YTW : 7.93 % |
| SLF.PR.A | Deemed-Retractible | 3.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.52 Bid-YTW : 7.62 % |
| TD.PF.B | FixedReset | 3.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 4.54 % |
| TD.PF.D | FixedReset | 3.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.84 % |
| SLF.PR.D | Deemed-Retractible | 3.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.29 Bid-YTW : 8.16 % |
| FTS.PR.M | FixedReset | 3.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.01 % |
| MFC.PR.C | Deemed-Retractible | 3.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.61 Bid-YTW : 8.01 % |
| BAM.PF.G | FixedReset | 4.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 5.08 % |
| SLF.PR.C | Deemed-Retractible | 4.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.48 Bid-YTW : 8.02 % |
| MFC.PR.H | FixedReset | 4.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.88 % |
| SLF.PR.E | Deemed-Retractible | 4.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.49 Bid-YTW : 8.07 % |
| BAM.PR.K | Floater | 6.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 9.15 Evaluated at bid price : 9.15 Bid-YTW : 5.21 % |
| FTS.PR.H | FixedReset | 6.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 12.05 Evaluated at bid price : 12.05 Bid-YTW : 4.47 % |
| TD.PF.E | FixedReset | 7.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.71 % |
| SLF.PR.J | FloatingReset | 7.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.35 Bid-YTW : 11.71 % |
| BAM.PR.E | Ratchet | 12.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 25.00 Evaluated at bid price : 12.35 Bid-YTW : 6.68 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.G | FixedReset | 130,018 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 23.25 Evaluated at bid price : 25.34 Bid-YTW : 5.15 % |
| RY.PR.Q | FixedReset | 93,630 | RBC crossed blocks of 29,700 and 10,000, both at 25.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 23.24 Evaluated at bid price : 25.30 Bid-YTW : 5.10 % |
| BAM.PR.X | FixedReset | 49,723 | TD crossed 30,000 at 12.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 12.34 Evaluated at bid price : 12.34 Bid-YTW : 5.20 % |
| HSE.PR.C | FixedReset | 47,180 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 13.07 Evaluated at bid price : 13.07 Bid-YTW : 7.59 % |
| HSE.PR.E | FixedReset | 46,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 13.76 Evaluated at bid price : 13.76 Bid-YTW : 7.81 % |
| RY.PR.Z | FixedReset | 42,293 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-21 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 4.50 % |
| There were 60 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.O | FloatingReset | Quote: 11.25 – 20.25 Spot Rate : 9.0000 Average : 5.5256 YTW SCENARIO |
| PWF.PR.T | FixedReset | Quote: 18.62 – 19.98 Spot Rate : 1.3600 Average : 0.9455 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 11.65 – 12.50 Spot Rate : 0.8500 Average : 0.5500 YTW SCENARIO |
| PWF.PR.P | FixedReset | Quote: 11.07 – 11.76 Spot Rate : 0.6900 Average : 0.4396 YTW SCENARIO |
| PVS.PR.C | SplitShare | Quote: 24.22 – 24.99 Spot Rate : 0.7700 Average : 0.5390 YTW SCENARIO |
| TD.PR.Y | FixedReset | Quote: 22.20 – 22.97 Spot Rate : 0.7700 Average : 0.5546 YTW SCENARIO |