Archive for the ‘Market Action’ Category

September 25, 2017

Monday, September 25th, 2017
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 -1.0033 % 2,393.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0033 % 4,391.1
Floater 3.96 % 3.96 % 100,641 17.51 3 -1.0033 % 2,530.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0529 % 3,063.1
SplitShare 4.76 % 4.83 % 92,284 4.42 6 -0.0529 % 3,657.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0529 % 2,854.1
Perpetual-Premium 5.43 % 4.87 % 56,380 5.99 16 0.0396 % 2,777.0
Perpetual-Discount 5.38 % 5.46 % 70,663 14.62 19 -0.1988 % 2,886.4
FixedReset 4.36 % 4.62 % 147,308 6.21 99 -0.1020 % 2,406.4
Deemed-Retractible 5.15 % 5.73 % 99,133 6.04 31 -0.2157 % 2,846.8
FloatingReset 2.84 % 3.19 % 53,979 4.08 8 -0.2291 % 2,648.0
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 3.95 %
PWF.PR.F Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 5.48 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.E FixedReset 130,566 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 23.15
Evaluated at bid price : 24.44
Bid-YTW : 4.58 %
BAM.PF.J FixedReset 111,796 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.65 %
TD.PF.H FixedReset 110,157 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 3.91 %
CU.PR.C FixedReset 89,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.92 %
BNS.PR.H FixedReset 84,843 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.87 %
TD.PR.T FloatingReset 66,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.68
Bid-YTW : 2.85 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Quote: 23.85 – 24.30
Spot Rate : 0.4500
Average : 0.2722

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 22.92
Evaluated at bid price : 23.85
Bid-YTW : 4.59 %

HSE.PR.C FixedReset Quote: 23.40 – 23.95
Spot Rate : 0.5500
Average : 0.3750

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 23.10
Evaluated at bid price : 23.40
Bid-YTW : 5.20 %

MFC.PR.O FixedReset Quote: 26.78 – 27.30
Spot Rate : 0.5200
Average : 0.3864

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.60 %

HSE.PR.E FixedReset Quote: 24.21 – 24.50
Spot Rate : 0.2900
Average : 0.1742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 23.15
Evaluated at bid price : 24.21
Bid-YTW : 5.36 %

TRP.PR.D FixedReset Quote: 22.20 – 22.50
Spot Rate : 0.3000
Average : 0.1887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 21.74
Evaluated at bid price : 22.20
Bid-YTW : 4.72 %

RY.PR.R FixedReset Quote: 26.66 – 26.95
Spot Rate : 0.2900
Average : 0.1838

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 3.82 %

September 22, 2017

Friday, September 22nd, 2017
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 0.7759 % 2,417.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7759 % 4,435.6
Floater 3.92 % 3.93 % 102,055 17.58 3 0.7759 % 2,556.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0264 % 3,064.7
SplitShare 4.76 % 4.83 % 90,941 4.43 6 0.0264 % 3,659.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0264 % 2,855.6
Perpetual-Premium 5.43 % 4.93 % 55,566 6.00 16 -0.0470 % 2,775.9
Perpetual-Discount 5.37 % 5.42 % 71,238 14.71 19 0.0366 % 2,892.2
FixedReset 4.36 % 4.62 % 153,055 6.21 99 0.1225 % 2,408.8
Deemed-Retractible 5.14 % 5.69 % 99,899 6.06 31 -0.0420 % 2,852.9
FloatingReset 2.85 % 2.96 % 49,972 4.09 8 0.1530 % 2,654.1
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.90 %
IAG.PR.A Deemed-Retractible 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 6.52 %
PWF.PR.P FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.72 %
TRP.PR.F FloatingReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 3.65 %
TRP.PR.A FixedReset 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 203,863 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.89 %
BNS.PR.H FixedReset 184,568 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.84 %
MFC.PR.R FixedReset 178,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.12 %
MFC.PR.F FixedReset 165,422 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.10
Bid-YTW : 8.54 %
RY.PR.D Deemed-Retractible 141,361 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-22
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -3.74 %
CM.PR.R FixedReset 135,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.43 %
TD.PR.Y FixedReset 102,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.67 %
BMO.PR.R FloatingReset 100,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.38
Bid-YTW : 3.21 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Quote: 22.30 – 22.60
Spot Rate : 0.3000
Average : 0.1959

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 4.74 %

TRP.PR.K FixedReset Quote: 25.78 – 26.00
Spot Rate : 0.2200
Average : 0.1387

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.26 %

IFC.PR.F Deemed-Retractible Quote: 24.45 – 24.73
Spot Rate : 0.2800
Average : 0.2055

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.80 %

BMO.PR.W FixedReset Quote: 21.88 – 22.05
Spot Rate : 0.1700
Average : 0.1046

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 4.60 %

TRP.PR.F FloatingReset Quote: 19.92 – 20.40
Spot Rate : 0.4800
Average : 0.4187

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 3.65 %

RY.PR.Q FixedReset Quote: 26.55 – 26.70
Spot Rate : 0.1500
Average : 0.0960

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.82 %

September 21, 2017

Thursday, September 21st, 2017

Ash Alankar has an interesting piece on Bloomberg about Treasury / Junk decoupling:

The Treasury yield curve has inverted ahead of the past six downturns going back to the 1960s, including prior to the last two recessions in 2000 and 2006. But that was before the era of central bank quantitative easing. Years of unconventional monetary accommodation have led to many market distortions, one of which has been the disappearing term premium, which measures the extra compensation investors need to own long-term bonds instead of continuously rolling over short-term debt. By guaranteeing unprecedented levels of liquidity through its asset purchases, the so-called Fed put has taken risk out of the system and the term premium along with it.

But [the flattened yield curve] should not be a reason for concern, because all the above distortions mean the shape of the Treasury yield curve is no longer a reliable indicator of an impending recession. A much truer assessment of the threat of a slowdown can be gleaned from the high-yield credit curve, where the impact of central bank policy is much less pronounced.

The spread between two- and five-year Treasuries is less than half the average since the end of the global financial crisis, at 41 basis points versus a mean of 90 basis points. By contrast, the extra yield enjoyed by sellers of five-year high-yield credit default swaps versus two-year high-yield credit default swaps stands 30 basis points higher than the average.

treasury_2_5_spread_170921
Click for Big
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 -0.4448 % 2,398.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4448 % 4,401.5
Floater 3.95 % 3.95 % 101,632 17.54 3 -0.4448 % 2,536.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1457 % 3,063.9
SplitShare 4.76 % 4.83 % 85,169 4.44 6 0.1457 % 3,658.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1457 % 2,854.8
Perpetual-Premium 5.43 % 4.86 % 56,055 6.00 16 0.1093 % 2,777.2
Perpetual-Discount 5.37 % 5.43 % 72,179 14.70 19 0.3061 % 2,891.1
FixedReset 4.36 % 4.62 % 154,521 6.22 99 0.0502 % 2,405.9
Deemed-Retractible 5.14 % 5.60 % 100,302 6.06 31 0.1059 % 2,854.1
FloatingReset 2.86 % 2.97 % 50,404 4.09 8 0.2300 % 2,650.1
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.33
Bid-YTW : 5.36 %
SLF.PR.J FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.02
Bid-YTW : 8.27 %
TRP.PR.B FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 4.69 %
W.PR.H Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.65 %
HSE.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.98 %
SLF.PR.G FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.44 %
TRP.PR.F FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 3.70 %
BAM.PR.T FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 4.87 %
PWF.PR.P FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 805,473 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.88 %
RY.PR.F Deemed-Retractible 266,677 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : -0.64 %
RY.PR.C Deemed-Retractible 246,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : -1.32 %
BNS.PR.B FloatingReset 205,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.74
Bid-YTW : 2.90 %
BMO.PR.C FixedReset 174,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 4.23 %
TD.PF.G FixedReset 118,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 3.53 %
TRP.PR.K FixedReset 117,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.27 %
RY.PR.R FixedReset 117,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.76 %
CM.PR.P FixedReset 115,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 21.55
Evaluated at bid price : 21.94
Bid-YTW : 4.61 %
RY.PR.A Deemed-Retractible 102,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : -1.60 %
BAM.PR.T FixedReset 102,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 4.87 %
RY.PR.D Deemed-Retractible 101,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -3.42 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Quote: 23.37 – 23.95
Spot Rate : 0.5800
Average : 0.3508

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 23.07
Evaluated at bid price : 23.37
Bid-YTW : 5.23 %

IAG.PR.G FixedReset Quote: 22.65 – 23.11
Spot Rate : 0.4600
Average : 0.3180

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 5.66 %

MFC.PR.G FixedReset Quote: 23.33 – 23.61
Spot Rate : 0.2800
Average : 0.1800

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.33
Bid-YTW : 5.36 %

TRP.PR.F FloatingReset Quote: 19.62 – 20.07
Spot Rate : 0.4500
Average : 0.3514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 3.70 %

EML.PR.A FixedReset Quote: 26.20 – 26.74
Spot Rate : 0.5400
Average : 0.4496

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.19 %

TRP.PR.A FixedReset Quote: 19.53 – 19.94
Spot Rate : 0.4100
Average : 0.3230

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 4.73 %

September 20, 2017

Wednesday, September 20th, 2017

PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a significant tightening from the 310bp reported September 13.

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 -1.1569 % 2,409.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1569 % 4,421.2
Floater 3.93 % 3.93 % 105,045 17.57 3 -1.1569 % 2,547.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1851 % 3,059.4
SplitShare 4.77 % 4.81 % 85,529 4.43 6 -0.1851 % 3,653.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1851 % 2,850.7
Perpetual-Premium 5.42 % 4.87 % 54,541 6.00 16 0.0791 % 2,774.2
Perpetual-Discount 5.38 % 5.43 % 66,867 14.63 19 -0.1303 % 2,882.3
FixedReset 4.36 % 4.62 % 156,212 6.22 99 0.0091 % 2,404.7
Deemed-Retractible 5.15 % 5.71 % 101,220 6.06 31 -0.0705 % 2,851.1
FloatingReset 2.87 % 2.97 % 51,542 4.09 8 -0.0110 % 2,644.0
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-20
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 3.94 %
BAM.PR.B Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-20
Maturity Price : 14.23
Evaluated at bid price : 14.23
Bid-YTW : 3.93 %
CU.PR.E Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-20
Maturity Price : 22.44
Evaluated at bid price : 22.80
Bid-YTW : 5.41 %
BAM.PR.T FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.93 %
VNR.PR.A FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-20
Maturity Price : 22.12
Evaluated at bid price : 22.73
Bid-YTW : 5.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset 154,326 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-20
Maturity Price : 21.72
Evaluated at bid price : 22.19
Bid-YTW : 4.74 %
TD.PF.G FixedReset 104,493 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.82
Bid-YTW : 3.57 %
BNS.PR.B FloatingReset 104,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.74
Bid-YTW : 2.90 %
BAM.PF.J FixedReset 102,247 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.68 %
BNS.PR.E FixedReset 92,852 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 3.68 %
TRP.PR.J FixedReset 90,507 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.91 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.B FixedReset Quote: 15.65 – 16.49
Spot Rate : 0.8400
Average : 0.4946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-20
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 4.75 %

EML.PR.A FixedReset Quote: 26.20 – 26.75
Spot Rate : 0.5500
Average : 0.3506

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.19 %

BAM.PR.T FixedReset Quote: 20.15 – 20.54
Spot Rate : 0.3900
Average : 0.2363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.93 %

PVS.PR.E SplitShare Quote: 25.60 – 26.00
Spot Rate : 0.4000
Average : 0.2733

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 5.04 %

CU.PR.E Perpetual-Discount Quote: 22.80 – 23.23
Spot Rate : 0.4300
Average : 0.3127

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-20
Maturity Price : 22.44
Evaluated at bid price : 22.80
Bid-YTW : 5.41 %

MFC.PR.O FixedReset Quote: 26.76 – 27.05
Spot Rate : 0.2900
Average : 0.1973

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.76
Bid-YTW : 3.61 %

September 19, 2017

Tuesday, September 19th, 2017

Bloomberg ran a piece by Maciej Onoszko regarding the Canadian term spread:

The premium investors demand to hold 30-year bonds over two-year securities shrank to as little as 82 basis points this month, the least since 2008, as yields on shorter maturities shot up to a six-year high after the Bank of Canada tightened policy twice in a row. Yields on longer-maturity bonds remain depressed and are trading close to their six-year average.

canada_230_spread_170919
Click for Big
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 1.0521 % 2,437.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0521 % 4,472.9
Floater 3.89 % 3.88 % 106,331 17.68 3 1.0521 % 2,577.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1191 % 3,065.1
SplitShare 4.76 % 4.82 % 86,793 4.44 6 0.1191 % 3,660.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1191 % 2,856.0
Perpetual-Premium 5.43 % 4.89 % 54,640 6.00 16 0.0569 % 2,772.0
Perpetual-Discount 5.38 % 5.43 % 64,170 14.63 19 0.0183 % 2,886.1
FixedReset 4.36 % 4.61 % 157,388 6.22 99 0.0711 % 2,404.5
Deemed-Retractible 5.14 % 5.65 % 101,530 6.07 31 0.1522 % 2,853.1
FloatingReset 2.87 % 2.97 % 52,329 4.09 8 -0.0219 % 2,644.3
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 22.93
Evaluated at bid price : 23.88
Bid-YTW : 4.60 %
BAM.PR.B Floater 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.88 %
BAM.PR.K Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 3.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.J FixedReset 174,010 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.71 %
MFC.PR.L FixedReset 170,048 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.98
Bid-YTW : 6.80 %
RY.PR.B Deemed-Retractible 148,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-19
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.41 %
BNS.PR.B FloatingReset 130,369 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 2.91 %
BNS.PR.A FloatingReset 104,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-25
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.77 %
NA.PR.W FixedReset 103,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.69 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Quote: 22.12 – 22.45
Spot Rate : 0.3300
Average : 0.2156

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 21.68
Evaluated at bid price : 22.12
Bid-YTW : 4.76 %

VNR.PR.A FixedReset Quote: 22.44 – 22.75
Spot Rate : 0.3100
Average : 0.2413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 21.93
Evaluated at bid price : 22.44
Bid-YTW : 5.22 %

PWF.PR.F Perpetual-Discount Quote: 24.48 – 24.70
Spot Rate : 0.2200
Average : 0.1628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 24.22
Evaluated at bid price : 24.48
Bid-YTW : 5.43 %

BAM.PR.N Perpetual-Discount Quote: 21.25 – 21.47
Spot Rate : 0.2200
Average : 0.1688

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.62 %

MFC.PR.F FixedReset Quote: 17.02 – 17.20
Spot Rate : 0.1800
Average : 0.1323

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.02
Bid-YTW : 8.60 %

HSE.PR.A FixedReset Quote: 16.49 – 16.89
Spot Rate : 0.4000
Average : 0.3528

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-19
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 5.04 %

September 18, 2017

Monday, September 18th, 2017
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 -0.5580 % 2,412.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5580 % 4,426.3
Floater 3.93 % 3.92 % 106,931 17.59 3 -0.5580 % 2,550.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1899 % 3,061.4
SplitShare 4.76 % 4.81 % 86,270 4.45 6 -0.1899 % 3,656.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1899 % 2,852.6
Perpetual-Premium 5.43 % 4.93 % 55,052 6.11 16 -0.0074 % 2,770.4
Perpetual-Discount 5.38 % 5.43 % 63,852 14.63 19 -0.0251 % 2,885.6
FixedReset 4.36 % 4.63 % 146,072 6.22 99 0.0316 % 2,402.8
Deemed-Retractible 5.15 % 5.72 % 97,412 6.06 31 -0.0937 % 2,848.8
FloatingReset 2.86 % 2.97 % 48,441 4.10 8 0.2690 % 2,644.9
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.99
Bid-YTW : 6.08 %
BMO.PR.S FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-18
Maturity Price : 22.17
Evaluated at bid price : 22.51
Bid-YTW : 4.62 %
TRP.PR.B FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-18
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
PVS.PR.F SplitShare 234,295 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 4.86 %
BMO.PR.D FixedReset 209,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.63 %
BMO.PR.C FixedReset 102,720 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.35 %
TD.PR.T FloatingReset 100,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 2.84 %
TD.PF.I FixedReset 88,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.43 %
BAM.PF.J FixedReset 75,039 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.70 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 17.27 – 17.70
Spot Rate : 0.4300
Average : 0.2814

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-18
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.93 %

IAG.PR.G FixedReset Quote: 22.65 – 23.05
Spot Rate : 0.4000
Average : 0.2841

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 5.66 %

IFC.PR.C FixedReset Quote: 22.15 – 22.50
Spot Rate : 0.3500
Average : 0.2418

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 5.75 %

PWF.PR.L Perpetual-Discount Quote: 23.37 – 23.70
Spot Rate : 0.3300
Average : 0.2257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-18
Maturity Price : 23.11
Evaluated at bid price : 23.37
Bid-YTW : 5.53 %

GWO.PR.G Deemed-Retractible Quote: 24.10 – 24.41
Spot Rate : 0.3100
Average : 0.2108

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.82 %

CU.PR.H Perpetual-Discount Quote: 24.60 – 25.00
Spot Rate : 0.4000
Average : 0.3152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-18
Maturity Price : 24.19
Evaluated at bid price : 24.60
Bid-YTW : 5.36 %

September 15, 2017

Friday, September 15th, 2017
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 -0.9443 % 2,425.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9443 % 4,451.2
Floater 3.91 % 3.91 % 108,473 17.63 3 -0.9443 % 2,565.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1188 % 3,067.3
SplitShare 4.75 % 4.55 % 81,640 3.69 5 0.1188 % 3,663.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1188 % 2,858.0
Perpetual-Premium 5.43 % 4.92 % 57,023 6.12 16 0.0297 % 2,770.6
Perpetual-Discount 5.38 % 5.42 % 63,880 14.64 19 -0.0366 % 2,886.3
FixedReset 4.36 % 4.52 % 146,824 6.25 99 0.0286 % 2,402.0
Deemed-Retractible 5.15 % 5.71 % 98,435 6.08 31 0.1631 % 2,851.5
FloatingReset 2.83 % 2.92 % 46,713 4.11 8 -0.1206 % 2,637.8
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-15
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.91 %
BAM.PR.B Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-15
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.88 %
BMO.PR.Q FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 5.66 %
SLF.PR.C Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.09
Bid-YTW : 7.23 %
IFC.PR.A FixedReset 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 7.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.I FixedReset 238,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.29 %
BAM.PF.J FixedReset 137,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.65 %
TD.PF.H FixedReset 114,420 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.87 %
RY.PR.A Deemed-Retractible 104,370 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 0.41 %
BAM.PF.A FixedReset 76,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-15
Maturity Price : 23.31
Evaluated at bid price : 23.85
Bid-YTW : 4.81 %
TD.PF.E FixedReset 53,504 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-15
Maturity Price : 23.09
Evaluated at bid price : 24.30
Bid-YTW : 4.54 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.S FixedReset Quote: 22.26 – 22.63
Spot Rate : 0.3700
Average : 0.2392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-15
Maturity Price : 21.77
Evaluated at bid price : 22.26
Bid-YTW : 4.54 %

IAG.PR.A Deemed-Retractible Quote: 21.95 – 22.54
Spot Rate : 0.5900
Average : 0.4732

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 6.73 %

TRP.PR.F FloatingReset Quote: 19.25 – 19.64
Spot Rate : 0.3900
Average : 0.2753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-15
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 3.72 %

CU.PR.D Perpetual-Discount Quote: 23.20 – 23.46
Spot Rate : 0.2600
Average : 0.1652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-15
Maturity Price : 22.78
Evaluated at bid price : 23.20
Bid-YTW : 5.30 %

CU.PR.E Perpetual-Discount Quote: 23.01 – 23.30
Spot Rate : 0.2900
Average : 0.2008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-15
Maturity Price : 22.62
Evaluated at bid price : 23.01
Bid-YTW : 5.35 %

SLF.PR.H FixedReset Quote: 20.40 – 20.70
Spot Rate : 0.3000
Average : 0.2129

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.46 %

September 14, 2017

Thursday, September 14th, 2017
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 1.6560 % 2,448.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6560 % 4,493.6
Floater 3.87 % 3.84 % 107,783 17.77 3 1.6560 % 2,589.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0475 % 3,063.6
SplitShare 4.75 % 4.64 % 80,282 3.69 5 -0.0475 % 3,658.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0475 % 2,854.6
Perpetual-Premium 5.43 % 4.93 % 59,387 6.13 16 -0.0173 % 2,769.8
Perpetual-Discount 5.37 % 5.43 % 66,546 14.70 19 0.3323 % 2,887.3
FixedReset 4.36 % 4.52 % 146,082 6.26 99 0.0555 % 2,401.3
Deemed-Retractible 5.15 % 5.72 % 98,428 6.07 31 0.1605 % 2,846.8
FloatingReset 2.82 % 2.96 % 44,923 4.11 8 0.2308 % 2,640.9
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.26
Bid-YTW : 7.60 %
SLF.PR.A Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.29
Bid-YTW : 6.64 %
BAM.PR.M Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.56 %
BAM.PR.N Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.57 %
PWF.PR.P FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.68 %
BAM.PF.G FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 22.92
Evaluated at bid price : 23.82
Bid-YTW : 4.72 %
BAM.PR.K Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 3.91 %
BAM.PR.C Floater 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 3.84 %
BAM.PF.D Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 21.86
Evaluated at bid price : 22.17
Bid-YTW : 5.53 %
BAM.PR.B Floater 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 3.84 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.J FixedReset 302,088 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 23.18
Evaluated at bid price : 25.10
Bid-YTW : 4.68 %
BAM.PR.Z FixedReset 211,270 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 23.09
Evaluated at bid price : 24.02
Bid-YTW : 4.82 %
BNS.PR.G FixedReset 102,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 3.65 %
TD.PF.C FixedReset 81,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 4.48 %
BMO.PR.C FixedReset 81,035 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.35 %
TD.PF.H FixedReset 67,927 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.81 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Quote: 19.26 – 19.69
Spot Rate : 0.4300
Average : 0.2681

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.26
Bid-YTW : 7.60 %

TRP.PR.D FixedReset Quote: 21.89 – 22.35
Spot Rate : 0.4600
Average : 0.3043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-14
Maturity Price : 21.52
Evaluated at bid price : 21.89
Bid-YTW : 4.70 %

MFC.PR.K FixedReset Quote: 21.27 – 21.78
Spot Rate : 0.5100
Average : 0.3690

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.27
Bid-YTW : 6.51 %

MFC.PR.J FixedReset Quote: 23.40 – 23.80
Spot Rate : 0.4000
Average : 0.2920

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.38 %

GWO.PR.I Deemed-Retractible Quote: 21.35 – 21.65
Spot Rate : 0.3000
Average : 0.1921

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 7.08 %

MFC.PR.B Deemed-Retractible Quote: 21.93 – 22.23
Spot Rate : 0.3000
Average : 0.2142

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 6.82 %

September 13, 2017

Wednesday, September 13th, 2017

The Toronto Stock Exchange is persnickety about listed companies’ dividend declarations:

When Declaring Dividends or Distributions

1. Provide notice to TSX as soon as the dividend/distribution has been declared and at least seven (7) trading days’ notice to TSX prior to the record date.

2. File TSX Reporting Form 5, Dividend/Distribution Declaration as soon as the dividend/distribution has been declared. You must file TSX Reporting Form 5 by TSX SecureFile.

3. Call Kay Dhanraj (416-947-4663) at TSX to:

a) Confirm the details of information of TSX Reporting Form 5, and
b) Discuss the filing of a Form 5 for a suspended dividend/distribution.


Do not send TSX a copy of the news release as written advice of the dividend/distribution. Dividend/distribution announcements are usually part of a longer news release. To avoid TSX missing certain information, you are required to file TSX Reporting Form 5.

Do not publish the ex-dividend date unless Ms. Dhanraj has confirmed it.

Today, AltaGas was naughty:

AltaGas Ltd. (“AltaGas”) (TSX:ALA) announced today that the September dividend will be paid on October 16, 2017, to common shareholders of record on September 25, 2017. The ex-dividend date is September 21, 2017. The amount of the dividend will be $0.175 for each common share. This dividend is an eligible dividend for Canadian income tax purposes.

and had to ‘fess up:

AltaGas Ltd. (“AltaGas”) (TSX:ALA) announced today that it has revised the ex-dividend date of the September dividend to be paid on October 16, 2017, to common shareholders of record on September 25, 2017. The ex-dividend date is revised from September 21, 2017 to September 22, 2017.

Looks like they forgot about two-day settlement!

Daniel Moss of Bloomberg has some interesting things to say about BoC communications:

The Canadian central bank took the unusual step this week of publicly rebutting criticism by the chief economist of one of the country’s biggest banks. Doug Porter of Bank of Montreal wrote in his weekly note on Sept. 8 that the bank had failed to sufficiently communicate its intention to raise its benchmark interest rate — a move that many economists rather shockingly didn’t see coming.

The critique clearly struck a nerve with the Bank of Canada, and spokesman Jeremy Harrison came out swinging. Harrison said the bank indicated in July that policy would be forward-looking and data-dependent. And while most economists didn’t forecast a step up last week, Harrison said that financial markets saw it as a more or less 50-50 proposition.

Sure. All true. But why be so defensive? This response to an outsider’s critique makes the Bank of Canada look vulnerable and unsure of itself. Worse, it risks creating the perception that the bank will respond to economist notes that it doesn’t like or that it feels are wide of the mark. Investors could end up speculating that the central bank’s silence about some economist’s note is equal to an endorsement. This kind of speculation is exactly what banks want to avoid by trying to be tempered in their public statements. And the bank surely doesn’t want broadsides against analysts to be another form of forward guidance. That would be a mistake.

PerpetualDiscounts now yield 5.45%, equivalent to 7.08% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.00% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a marked widening from the 300bp reported September 6.

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 0.6069 % 2,409.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6069 % 4,420.4
Floater 3.90 % 3.95 % 106,698 17.44 3 0.6069 % 2,547.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0870 % 3,065.1
SplitShare 4.75 % 4.64 % 76,081 3.70 5 -0.0870 % 3,660.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0870 % 2,856.0
Perpetual-Premium 5.43 % 4.93 % 60,358 6.13 16 0.0470 % 2,770.3
Perpetual-Discount 5.38 % 5.45 % 69,323 14.64 19 0.0572 % 2,877.8
FixedReset 4.36 % 4.52 % 144,505 6.26 98 0.1368 % 2,400.0
Deemed-Retractible 5.16 % 5.80 % 98,996 6.06 31 -0.0204 % 2,842.2
FloatingReset 2.83 % 3.13 % 41,586 4.11 8 0.0935 % 2,634.9
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 6.20 %
BAM.PR.T FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-13
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.81 %
HSE.PR.G FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-13
Maturity Price : 23.07
Evaluated at bid price : 24.15
Bid-YTW : 5.27 %
BAM.PR.C Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-13
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 3.93 %
MFC.PR.B Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 6.80 %
CU.PR.C FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-13
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 4.72 %
VNR.PR.A FixedReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-13
Maturity Price : 22.12
Evaluated at bid price : 22.74
Bid-YTW : 5.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 110,620 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 3.72 %
BNS.PR.Q FixedReset 101,412 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.60 %
IAG.PR.G FixedReset 78,675 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.50 %
TD.PF.G FixedReset 75,701 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.83
Bid-YTW : 3.54 %
TRP.PR.K FixedReset 72,324 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.12 %
BMO.PR.W FixedReset 63,873 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-13
Maturity Price : 21.47
Evaluated at bid price : 21.82
Bid-YTW : 4.50 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 24.01 – 24.87
Spot Rate : 0.8600
Average : 0.6375

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-13
Maturity Price : 22.95
Evaluated at bid price : 24.01
Bid-YTW : 4.67 %

CU.PR.F Perpetual-Discount Quote: 21.02 – 21.40
Spot Rate : 0.3800
Average : 0.2470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-13
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 5.40 %

BNS.PR.Z FixedReset Quote: 22.55 – 22.85
Spot Rate : 0.3000
Average : 0.1763

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 4.86 %

CCS.PR.C Deemed-Retractible Quote: 23.25 – 23.69
Spot Rate : 0.4400
Average : 0.3361

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 6.20 %

HSB.PR.D Deemed-Retractible Quote: 25.35 – 25.64
Spot Rate : 0.2900
Average : 0.1866

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-13
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 0.33 %

CU.PR.C FixedReset Quote: 21.85 – 22.25
Spot Rate : 0.4000
Average : 0.3136

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-13
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 4.72 %

September 12, 2017

Tuesday, September 12th, 2017
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 -0.5340 % 2,394.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5340 % 4,393.7
Floater 3.92 % 3.97 % 105,610 17.39 3 -0.5340 % 2,532.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1188 % 3,067.8
SplitShare 4.75 % 4.57 % 70,458 3.70 5 0.1188 % 3,663.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1188 % 2,858.4
Perpetual-Premium 5.43 % 4.92 % 61,349 6.13 16 -0.0643 % 2,769.0
Perpetual-Discount 5.38 % 5.43 % 72,118 14.67 19 -0.1348 % 2,876.1
FixedReset 4.36 % 4.54 % 143,595 6.26 98 0.0083 % 2,396.7
Deemed-Retractible 5.15 % 5.71 % 98,759 6.06 31 0.0830 % 2,842.8
FloatingReset 2.83 % 3.22 % 43,191 4.11 8 0.1929 % 2,632.4
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-12
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 4.69 %
TRP.PR.D FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-12
Maturity Price : 21.44
Evaluated at bid price : 21.78
Bid-YTW : 4.72 %
BMO.PR.Q FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.33
Bid-YTW : 5.79 %
BMO.PR.Y FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-12
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.B Deemed-Retractible 209,711 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-12
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 3.30 %
NA.PR.W FixedReset 111,465 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-12
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 4.57 %
CM.PR.R FixedReset 87,637 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.53 %
TD.PF.H FixedReset 84,804 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.81 %
BNS.PR.Q FixedReset 70,820 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 3.62 %
RY.PR.D Deemed-Retractible 66,635 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-12
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -4.73 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Quote: 23.10 – 23.57
Spot Rate : 0.4700
Average : 0.3837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-12
Maturity Price : 22.59
Evaluated at bid price : 23.10
Bid-YTW : 5.17 %

HSE.PR.G FixedReset Quote: 23.90 – 24.24
Spot Rate : 0.3400
Average : 0.2626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-12
Maturity Price : 22.96
Evaluated at bid price : 23.90
Bid-YTW : 5.33 %

CU.PR.C FixedReset Quote: 21.60 – 21.89
Spot Rate : 0.2900
Average : 0.2190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-12
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 4.79 %

BAM.PR.B Floater Quote: 14.26 – 14.50
Spot Rate : 0.2400
Average : 0.1717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-12
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 3.98 %

BAM.PF.D Perpetual-Discount Quote: 22.10 – 22.43
Spot Rate : 0.3300
Average : 0.2623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-12
Maturity Price : 21.81
Evaluated at bid price : 22.10
Bid-YTW : 5.64 %

BAM.PR.K Floater Quote: 14.28 – 14.60
Spot Rate : 0.3200
Average : 0.2601

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-12
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 3.97 %