{"id":50091,"date":"2019-03-28T21:06:00","date_gmt":"2019-03-29T01:06:00","guid":{"rendered":"https:\/\/prefblog.com\/?p=50091"},"modified":"2025-09-19T21:07:05","modified_gmt":"2025-09-20T01:07:05","slug":"march-28-2019","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=50091","title":{"rendered":"March 28, 2019"},"content":{"rendered":"

There was a late afternoon rally in the market yesterday<\/a> which I mentioned but did not even guess at a cause. Assiduous Reader AB writes in and says:<\/p>\n

\n

TD issued a note tied to ZPR. They had to hedge some of their risk into the close.<\/p>\n<\/blockquote>\n

He even provided a link to the product description<\/a>. There’s an ongoing link to the prospectus, which states:<\/p>\n

\n

As of the date of this Pricing Supplement, the Bank estimates that the value of the Notes is $97.10 per $100 in principal amount.<\/p>\n<\/blockquote>\n

There are a lot of moving parts in the valuation of this note and I’m not even going to try to come up with my own valuation. But the issue sold out<\/a>, $20-million worth, so there’s clearly some speculative interest in buying at these levels.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-3.1071 %<\/td>\n2,006.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-3.1071 %<\/td>\n3,682.5<\/td>\n<\/tr>\n
Floater<\/td>\n5.83 %<\/td>\n5.96 %<\/td>\n41,243<\/td>\n13.96<\/td>\n3<\/td>\n-3.1071 %<\/td>\n2,122.3<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1789 %<\/td>\n3,284.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.87 %<\/td>\n4.45 %<\/td>\n75,064<\/td>\n3.87<\/td>\n8<\/td>\n0.1789 %<\/td>\n3,922.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1789 %<\/td>\n3,060.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.67 %<\/td>\n-3.59 %<\/td>\n61,997<\/td>\n0.08<\/td>\n7<\/td>\n-0.0393 %<\/td>\n2,934.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.36 %<\/td>\n5.42 %<\/td>\n86,145<\/td>\n14.64<\/td>\n26<\/td>\n-0.0043 %<\/td>\n3,113.6<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.28 %<\/td>\n5.27 %<\/td>\n194,193<\/td>\n14.99<\/td>\n64<\/td>\n0.1287 %<\/td>\n2,159.6<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.21 %<\/td>\n5.74 %<\/td>\n100,210<\/td>\n8.19<\/td>\n27<\/td>\n-0.1479 %<\/td>\n3,077.1<\/td>\n<\/tr>\n
FloatingReset<\/td>\n4.27 %<\/td>\n4.11 %<\/td>\n41,066<\/td>\n2.71<\/td>\n5<\/td>\n-0.2951 %<\/td>\n2,368.4<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.08 %<\/td>\n3.83 %<\/td>\n314,807<\/td>\n2.22<\/td>\n19<\/td>\n-0.1264 %<\/td>\n2,568.1<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n1.98 %<\/td>\n4.04 %<\/td>\n146,938<\/td>\n2.74<\/td>\n3<\/td>\n0.1255 %<\/td>\n2,630.1<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.03 %<\/td>\n6.37 %<\/td>\n117,981<\/td>\n8.37<\/td>\n22<\/td>\n0.4075 %<\/td>\n2,242.8<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset Disc<\/td>\n-7.97 %<\/td>\nA nonsensical quote provided at high cost by Nonsense Central<\/a>, as the issue traded 1400 shares today<\/a> in a range of 16.00-03 before being quoted at 14.79-16.25. The closing price was 16.03.<\/p>\n

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting<\/a> or inadequate Toronto Stock Exchange supervision of market-makers<\/a>.<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 14.79
\nEvaluated at bid price : 14.79
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n

BAM.PR.B<\/td>\nFloater<\/td>\n-5.15 %<\/td>\nA nonsensical quote provided at high cost by Nonsense Central<\/a>, as the issue traded 3212 shares today<\/a> in a range of 11.99-08 before being quoted at 11.41-00. The closing price was 12.00.<\/p>\n

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting<\/a> or inadequate Toronto Stock Exchange supervision of market-makers<\/a>.<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 11.41
\nEvaluated at bid price : 11.41
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n

TD.PF.E<\/td>\nFixedReset Disc<\/td>\n-2.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 5.28 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n-2.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 12.50
\nEvaluated at bid price : 12.50
\nBid-YTW : 5.60 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n-2.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.10
\nBid-YTW : 8.36 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-2.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 11.64
\nEvaluated at bid price : 11.64
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
CCS.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.65
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nDeemed-Retractible<\/td>\n-1.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.30
\nBid-YTW : 5.63 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 21.82
\nEvaluated at bid price : 22.10
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 22.73
\nEvaluated at bid price : 23.02
\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n
NA.PR.G<\/td>\nFixedReset Disc<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 21.65
\nEvaluated at bid price : 22.00
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset Disc<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 18.75
\nEvaluated at bid price : 18.75
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
HSE.PR.C<\/td>\nFixedReset Disc<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 18.15
\nEvaluated at bid price : 18.15
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 13.68
\nEvaluated at bid price : 13.68
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset Disc<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 13.70
\nEvaluated at bid price : 13.70
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 23.25
\nEvaluated at bid price : 23.55
\nBid-YTW : 5.49 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 23.89
\nEvaluated at bid price : 24.36
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
BAM.PF.F<\/td>\nFixedReset Disc<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.62
\nBid-YTW : 7.32 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset Ins Non<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.60
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset Ins Non<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.60
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n
BMO.PR.E<\/td>\nFixedReset Disc<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 22.18
\nEvaluated at bid price : 22.80
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\n1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n
IAF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.70
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.28
\nBid-YTW : 7.68 %<\/td>\n<\/tr>\n
MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\n1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.70
\nBid-YTW : 7.68 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset Disc<\/td>\n17.60 %<\/td>\nIn response to the proposed acquisition at 25.00<\/a>.<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 23.32
\nEvaluated at bid price : 25.06
\nBid-YTW : 4.29 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset Disc<\/td>\n362,380<\/td>\nIn response to the proposed acquisition at 25.00<\/a>.<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 23.32
\nEvaluated at bid price : 25.06
\nBid-YTW : 4.29 %<\/td>\n<\/tr>\n

SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n207,600<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.10
\nBid-YTW : 6.51 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nDeemed-Retractible<\/td>\n89,300<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.30
\nBid-YTW : 5.63 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\n87,400<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-03-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.98
\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n
RY.PR.O<\/td>\nPerpetual-Discount<\/td>\n85,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 23.89
\nEvaluated at bid price : 24.36
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n82,910<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 21.64
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.68 %<\/td>\n<\/tr>\n
There were 39 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset Ins Non<\/td>\nQuote: 21.00 – 25.00
\nSpot Rate : 4.0000
\nAverage : 2.8193<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n

BAM.PR.T<\/td>\nFixedReset Disc<\/td>\nQuote: 14.79 – 16.25
\nSpot Rate : 1.4600
\nAverage : 0.8857<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 14.79
\nEvaluated at bid price : 14.79
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n

TD.PF.B<\/td>\nFixedReset Disc<\/td>\nQuote: 18.55 – 19.65
\nSpot Rate : 1.1000
\nAverage : 0.6569<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\nQuote: 16.10 – 16.88
\nSpot Rate : 0.7800
\nAverage : 0.4449<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2030-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.10
\nBid-YTW : 8.36 %<\/td>\n<\/tr>\n

TRP.PR.G<\/td>\nFixedReset Disc<\/td>\nQuote: 18.24 – 19.35
\nSpot Rate : 1.1100
\nAverage : 0.8310<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 18.24
\nEvaluated at bid price : 18.24
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n

BAM.PR.B<\/td>\nFloater<\/td>\nQuote: 11.41 – 12.00
\nSpot Rate : 0.5900
\nAverage : 0.3588<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2049-03-28
\nMaturity Price : 11.41
\nEvaluated at bid price : 11.41
\nBid-YTW : 6.08 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There was a late afternoon rally in the market yesterday which I mentioned but did not even guess at a cause. Assiduous Reader AB writes in and says: TD issued a note tied to ZPR. …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-50091","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/50091","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=50091"}],"version-history":[{"count":1,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/50091\/revisions"}],"predecessor-version":[{"id":50092,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/50091\/revisions\/50092"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=50091"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=50091"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=50091"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}