June 29, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2500 % 2,991.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2500 % 5,489.0
Floater 3.36 % 3.57 % 77,330 18.35 4 -0.2500 % 3,163.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0159 % 3,180.7
SplitShare 4.62 % 4.51 % 66,286 4.96 5 0.0159 % 3,798.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0159 % 2,963.7
Perpetual-Premium 5.62 % -7.65 % 61,030 0.09 9 -0.1001 % 2,896.0
Perpetual-Discount 5.36 % 5.48 % 61,195 14.63 26 -0.0997 % 2,981.1
FixedReset 4.33 % 4.60 % 137,835 5.67 106 0.0014 % 2,536.0
Deemed-Retractible 5.15 % 5.85 % 70,218 5.52 27 -0.0967 % 2,967.8
FloatingReset 3.06 % 3.67 % 35,536 3.43 9 0.1103 % 2,801.5
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset -5.19 % A nonsensical quote from Nonsense Central, as this issue traded a whopping 1,000 shares in a ridiculous range of 23.77-29 (closing at the high) before being quoted at 23.00-24.40.

I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

It’s a real shame that this moronic quote is being foisted on the public at the end of the second quarter. Fund valuators with more than one working brain cell, who therefore use bid-ask quotes rather than closing prices, will be forced to make a decision regarding what price to use for this issue, with a wide range of perfectly reasonable possibilities. That is, of course, assuming that they notice something odd about the quote, which is by no means assured.

But who cares? It only affects retail investor scum. Fuck ’em.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.85 %

PWF.PR.P FixedReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.47 %
CU.PR.F Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.39 %
SLF.PR.H FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.93 %
SLF.PR.A Deemed-Retractible -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 6.88 %
HSE.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.05 %
SLF.PR.D Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 7.27 %
BAM.PR.X FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.87 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.Q FloatingReset 133,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.33 %
SLF.PR.D Deemed-Retractible 32,792 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 7.27 %
BAM.PR.B Floater 28,323 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 3.59 %
BNS.PR.R FixedReset 28,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 3.81 %
NA.PR.G FixedReset 20,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 23.13
Evaluated at bid price : 24.99
Bid-YTW : 4.72 %
EMA.PR.H FixedReset 19,109 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 23.20
Evaluated at bid price : 25.13
Bid-YTW : 4.81 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Quote: 23.00 – 24.40
Spot Rate : 1.4000
Average : 0.7886

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.85 %

BAM.PF.E FixedReset Quote: 22.90 – 23.70
Spot Rate : 0.8000
Average : 0.5172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 22.54
Evaluated at bid price : 22.90
Bid-YTW : 4.91 %

BAM.PR.K Floater Quote: 16.90 – 17.61
Spot Rate : 0.7100
Average : 0.4883

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.57 %

BAM.PF.G FixedReset Quote: 24.00 – 24.53
Spot Rate : 0.5300
Average : 0.3176

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 23.68
Evaluated at bid price : 24.00
Bid-YTW : 4.97 %

PWF.PR.P FixedReset Quote: 19.05 – 19.60
Spot Rate : 0.5500
Average : 0.3455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-29
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.47 %

MFC.PR.Q FixedReset Quote: 24.27 – 24.70
Spot Rate : 0.4300
Average : 0.2604

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.27
Bid-YTW : 5.23 %

3 Responses to “June 29, 2018”

  1. SafetyinNumbers says:

    I think the closing bid ask spread issue stemmed from a decision to allow bid/asks in the book to be cancelled right at and after 4pm.

    When that change happened quite a few years ago, I was helping run a prop book so our longs would be marked on the bid and the shorts on the ask. You can imagine what that would do to the P&L after 4pm! Turned a good day into a loser!

    Now I have noticed that RBC for example won’t have my orders with a GTD over a day in the market order book the next morning. Perhaps the trading software is getting more sophisticated and closing bid/ask spreads are the result.

  2. jiHymas says:

    I think the closing bid ask spread issue stemmed from a decision to allow bid/asks in the book to be cancelled right at and after 4pm.

    Yes, this is discussed in this post which is referenced by the one linked above.

    Perhaps the trading software is getting more sophisticated and closing bid/ask spreads are the result.

    Or perhaps they don’t care.

  3. SafetyinNumbers says:

    Sorry, didn’t click through the links.

    Thanks for all you do!

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