Archive for the ‘Market Action’ Category

January 20, 2017

Friday, January 20th, 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 4.06 % 4.86 % 22,357 18.03 1 0.0000 % 1,915.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6090 % 3,460.2
Floater 3.99 % 4.15 % 50,956 17.11 4 -0.6090 % 1,994.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0460 % 2,955.2
SplitShare 4.80 % 4.34 % 66,731 4.20 6 0.0460 % 3,529.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0460 % 2,753.6
Perpetual-Premium 5.58 % -5.84 % 73,749 0.09 12 0.2328 % 2,707.5
Perpetual-Discount 5.23 % 5.22 % 89,441 14.95 26 -0.2182 % 2,852.2
FixedReset 4.60 % 4.37 % 220,740 6.74 96 0.3017 % 2,229.6
Deemed-Retractible 5.12 % 3.97 % 131,533 0.34 32 -0.2007 % 2,783.0
FloatingReset 2.45 % 3.24 % 46,617 4.74 11 0.2145 % 2,429.6
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 23.34
Evaluated at bid price : 23.79
Bid-YTW : 5.20 %
CU.PR.G Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.52
Evaluated at bid price : 21.86
Bid-YTW : 5.21 %
CU.PR.F Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.56
Evaluated at bid price : 21.91
Bid-YTW : 5.19 %
BAM.PR.M Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.67
Evaluated at bid price : 21.92
Bid-YTW : 5.46 %
CU.PR.D Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 23.44
Evaluated at bid price : 23.90
Bid-YTW : 5.18 %
BAM.PF.D Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 22.21
Evaluated at bid price : 22.54
Bid-YTW : 5.47 %
BAM.PR.K Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 4.21 %
FTS.PR.H FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.55 %
BMO.PR.Z Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.66
Evaluated at bid price : 25.08
Bid-YTW : 5.04 %
NA.PR.W FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.29 %
SLF.PR.J FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.85
Bid-YTW : 9.13 %
RY.PR.H FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 4.26 %
BAM.PR.Z FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 4.93 %
ELF.PR.F Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.13
Evaluated at bid price : 24.38
Bid-YTW : 5.46 %
BMO.PR.W FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.21 %
BMO.PR.S FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 4.17 %
BMO.PR.T FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 4.18 %
POW.PR.G Perpetual-Premium 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 4.78 %
POW.PR.B Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : -6.74 %
TRP.PR.B FixedReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 4.25 %
TRP.PR.A FixedReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.44 %
POW.PR.D Perpetual-Discount 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset 402,392 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.31 %
POW.PR.D Perpetual-Discount 209,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.10 %
BAM.PR.X FixedReset 168,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 4.85 %
BMO.PR.R FloatingReset 152,583 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 3.23 %
TD.PR.S FixedReset 138,291 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 2.97 %
TD.PF.H FixedReset 126,668 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.22 %
BNS.PR.H FixedReset 121,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.04 %
GWO.PR.L Deemed-Retractible 113,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.50
Evaluated at bid price : 25.66
Bid-YTW : 1.59 %
TRP.PR.K FixedReset 112,256 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.47 %
TRP.PR.J FixedReset 107,317 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.15 %
GWO.PR.F Deemed-Retractible 104,608 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : -16.90 %
BAM.PR.T FixedReset 103,994 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.89 %
TD.PR.Z FloatingReset 102,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 3.14 %
BMO.PR.Q FixedReset 100,963 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.03
Bid-YTW : 5.59 %
There were 69 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 14.76 – 15.35
Spot Rate : 0.5900
Average : 0.4005

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.76
Bid-YTW : 9.83 %

GRP.PR.A SplitShare Quote: 25.51 – 26.00
Spot Rate : 0.4900
Average : 0.3382

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-19
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -16.59 %

VNR.PR.A FixedReset Quote: 20.50 – 20.94
Spot Rate : 0.4400
Average : 0.2990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.85 %

PWF.PR.P FixedReset Quote: 14.92 – 15.27
Spot Rate : 0.3500
Average : 0.2102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 4.44 %

CM.PR.Q FixedReset Quote: 22.61 – 22.97
Spot Rate : 0.3600
Average : 0.2391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 22.14
Evaluated at bid price : 22.61
Bid-YTW : 4.25 %

TRP.PR.E FixedReset Quote: 20.50 – 20.79
Spot Rate : 0.2900
Average : 0.1760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.40 %

June 19, 2017

Friday, January 20th, 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 4.06 % 4.86 % 22,638 18.04 1 0.2410 % 1,915.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3766 % 3,481.4
Floater 3.97 % 4.12 % 50,725 17.18 4 -0.3766 % 2,006.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0131 % 2,953.8
SplitShare 4.80 % 4.33 % 69,461 4.20 6 -0.0131 % 3,527.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0131 % 2,752.3
Perpetual-Premium 5.59 % -4.13 % 70,050 0.09 12 -0.0983 % 2,701.2
Perpetual-Discount 5.22 % 5.30 % 87,078 14.87 26 0.0599 % 2,858.4
FixedReset 4.61 % 4.37 % 227,833 6.74 96 -0.0983 % 2,222.9
Deemed-Retractible 5.11 % 3.87 % 129,670 0.27 32 -0.1035 % 2,788.6
FloatingReset 2.46 % 3.31 % 44,844 4.74 11 0.0569 % 2,424.4
Performance Highlights
Issue Index Change Notes
W.PR.M FixedReset -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.62 %
BAM.PR.B Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 4.12 %
SLF.PR.G FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 8.80 %
GWO.PR.N FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 9.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.R FloatingReset 201,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 3.21 %
TRP.PR.D FixedReset 162,282 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.58 %
RY.PR.R FixedReset 57,383 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.02
Bid-YTW : 3.80 %
NA.PR.S FixedReset 56,494 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.39 %
CM.PR.Q FixedReset 53,292 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 22.16
Evaluated at bid price : 22.64
Bid-YTW : 4.24 %
BNS.PR.P FixedReset 37,216 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 3.36 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.M FixedReset Quote: 25.66 – 25.95
Spot Rate : 0.2900
Average : 0.2182

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.62 %

TRP.PR.B FixedReset Quote: 13.73 – 14.14
Spot Rate : 0.4100
Average : 0.3414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 4.34 %

GRP.PR.A SplitShare Quote: 25.50 – 25.74
Spot Rate : 0.2400
Average : 0.1718

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-18
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -16.34 %

SLF.PR.J FloatingReset Quote: 14.70 – 15.00
Spot Rate : 0.3000
Average : 0.2349

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 9.27 %

BIP.PR.C FixedReset Quote: 25.80 – 26.03
Spot Rate : 0.2300
Average : 0.1780

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.68 %

TRP.PR.D FixedReset Quote: 19.55 – 19.72
Spot Rate : 0.1700
Average : 0.1197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.58 %

January 18, 2017

Wednesday, January 18th, 2017

PerpetualDiscounts now yield 5.30%, equivalent to 6.89% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread is now 285bp, a slight (and perhaps spurious) narrowing from the 290bp reported January 11.

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 4.07 % 4.87 % 23,455 18.02 1 0.0000 % 1,910.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1047 % 3,494.6
Floater 3.95 % 4.07 % 51,356 17.28 4 0.1047 % 2,013.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0394 % 2,954.2
SplitShare 4.80 % 4.32 % 52,656 4.20 6 0.0394 % 3,528.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0394 % 2,752.7
Perpetual-Premium 5.58 % -4.78 % 71,083 0.09 12 0.1181 % 2,703.9
Perpetual-Discount 5.22 % 5.30 % 88,331 14.89 26 0.3425 % 2,856.7
FixedReset 4.61 % 4.34 % 229,733 6.74 96 -0.4164 % 2,225.1
Deemed-Retractible 5.11 % 3.77 % 130,014 0.20 32 -0.0517 % 2,791.5
FloatingReset 2.46 % 3.34 % 43,241 4.74 11 -0.1181 % 2,423.1
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.96 %
MFC.PR.H FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.27 %
MFC.PR.L FixedReset -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.94
Bid-YTW : 6.90 %
CU.PR.C FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 4.20 %
MFC.PR.K FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.82
Bid-YTW : 6.94 %
BMO.PR.Y FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 22.42
Evaluated at bid price : 23.08
Bid-YTW : 4.16 %
MFC.PR.N FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.34
Bid-YTW : 6.71 %
SLF.PR.G FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.82
Bid-YTW : 8.97 %
MFC.PR.I FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 5.57 %
SLF.PR.I FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
MFC.PR.M FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 6.82 %
BAM.PF.H FixedReset -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.61 %
MFC.PR.J FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 5.74 %
BAM.PF.G FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.97
Evaluated at bid price : 22.35
Bid-YTW : 4.56 %
BAM.PR.N Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 5.39 %
TRP.PR.C FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.34 %
BAM.PR.M Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 21.95
Evaluated at bid price : 22.19
Bid-YTW : 5.39 %
BAM.PF.C Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 22.15
Evaluated at bid price : 22.41
Bid-YTW : 5.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 211,844 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.23 %
BAM.PF.I FixedReset 159,887 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.30 %
MFC.PR.G FixedReset 92,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.17
Bid-YTW : 5.80 %
FTS.PR.H FixedReset 59,821 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.47 %
MFC.PR.C Deemed-Retractible 55,085 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.64
Bid-YTW : 6.80 %
SLF.PR.I FixedReset 52,604 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.H FixedReset Quote: 23.50 – 23.81
Spot Rate : 0.3100
Average : 0.1999

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.27 %

SLF.PR.G FixedReset Quote: 15.82 – 16.08
Spot Rate : 0.2600
Average : 0.1702

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.82
Bid-YTW : 8.97 %

GWO.PR.G Deemed-Retractible Quote: 24.48 – 24.73
Spot Rate : 0.2500
Average : 0.1636

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 5.60 %

W.PR.M FixedReset Quote: 25.96 – 26.17
Spot Rate : 0.2100
Average : 0.1394

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.34 %

RY.PR.W Perpetual-Discount Quote: 24.96 – 25.20
Spot Rate : 0.2400
Average : 0.1777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-18
Maturity Price : 24.68
Evaluated at bid price : 24.96
Bid-YTW : 4.97 %

CCS.PR.C Deemed-Retractible Quote: 23.52 – 23.89
Spot Rate : 0.3700
Average : 0.3106

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 6.02 %

January 17, 2017

Tuesday, January 17th, 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 4.07 % 4.87 % 23,380 18.03 1 -0.3003 % 1,910.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4629 % 3,490.9
Floater 3.96 % 4.09 % 53,248 17.24 4 0.4629 % 2,011.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0066 % 2,953.0
SplitShare 4.80 % 4.45 % 72,172 4.21 6 -0.0066 % 3,526.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0066 % 2,751.6
Perpetual-Premium 5.59 % -6.06 % 71,622 0.09 12 -0.0098 % 2,700.7
Perpetual-Discount 5.24 % 5.32 % 89,110 14.87 26 0.4647 % 2,847.0
FixedReset 4.59 % 4.32 % 229,138 6.75 96 0.0776 % 2,234.4
Deemed-Retractible 5.10 % 3.67 % 130,849 0.27 32 0.1774 % 2,792.9
FloatingReset 2.46 % 3.29 % 44,197 4.74 11 0.3203 % 2,425.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 4.33 %
BNS.PR.B FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.56
Bid-YTW : 3.29 %
CU.PR.D Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 23.74
Evaluated at bid price : 24.22
Bid-YTW : 5.10 %
BMO.PR.Y FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 22.60
Evaluated at bid price : 23.40
Bid-YTW : 4.09 %
FTS.PR.J Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 22.87
Evaluated at bid price : 23.28
Bid-YTW : 5.15 %
CCS.PR.C Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 5.87 %
TRP.PR.F FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 3.51 %
FTS.PR.F Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 5.21 %
IAG.PR.G FixedReset 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 5.34 %
CU.PR.G Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 21.83
Evaluated at bid price : 22.17
Bid-YTW : 5.13 %
VNR.PR.A FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.85 %
HSE.PR.A FixedReset 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.78 %
CU.PR.F Perpetual-Discount 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 21.85
Evaluated at bid price : 22.17
Bid-YTW : 5.13 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 201,943 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.44 %
BAM.PF.I FixedReset 110,423 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.28 %
BAM.PR.T FixedReset 93,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.84 %
MFC.PR.R FixedReset 82,891 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.55 %
BNS.PR.E FixedReset 68,408 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.61 %
BMO.PR.B FixedReset 52,998 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.21 %
There were 33 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: 13.76 – 14.15
Spot Rate : 0.3900
Average : 0.2731

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 4.33 %

BMO.PR.M FixedReset Quote: 24.60 – 24.85
Spot Rate : 0.2500
Average : 0.1648

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.44 %

IGM.PR.B Perpetual-Premium Quote: 25.50 – 25.78
Spot Rate : 0.2800
Average : 0.1994

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-16
Maturity Price : 25.50
Evaluated at bid price : 25.50
Bid-YTW : 2.91 %

RY.PR.P Perpetual-Premium Quote: 25.39 – 25.70
Spot Rate : 0.3100
Average : 0.2355

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 5.16 %

CCS.PR.C Deemed-Retractible Quote: 23.73 – 24.04
Spot Rate : 0.3100
Average : 0.2455

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 5.87 %

PWF.PR.T FixedReset Quote: 21.25 – 21.49
Spot Rate : 0.2400
Average : 0.1771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-17
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.22 %

January 16, 2017

Monday, January 16th, 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 4.05 % 4.85 % 24,287 18.05 1 2.4615 % 1,916.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5075 % 3,474.8
Floater 3.98 % 4.10 % 51,733 17.22 4 0.5075 % 2,002.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0724 % 2,953.2
SplitShare 4.80 % 4.31 % 72,110 4.21 6 0.0724 % 3,526.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0724 % 2,751.7
Perpetual-Premium 5.59 % -4.19 % 72,458 0.09 12 0.0361 % 2,700.9
Perpetual-Discount 5.26 % 5.31 % 89,098 14.88 26 0.4389 % 2,833.8
FixedReset 4.59 % 4.31 % 230,689 6.76 96 0.0350 % 2,232.6
Deemed-Retractible 5.11 % 3.58 % 129,508 0.27 32 0.0272 % 2,788.0
FloatingReset 2.46 % 3.51 % 40,898 4.74 11 -0.0789 % 2,418.2
Performance Highlights
Issue Index Change Notes
IAG.PR.G FixedReset -1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 5.60 %
NA.PR.S FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.37 %
CU.PR.G Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 21.45
Evaluated at bid price : 21.76
Bid-YTW : 5.23 %
CU.PR.D Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 23.51
Evaluated at bid price : 23.97
Bid-YTW : 5.16 %
CU.PR.E Perpetual-Discount 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 23.52
Evaluated at bid price : 23.99
Bid-YTW : 5.15 %
BAM.PR.E Ratchet 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 25.00
Evaluated at bid price : 16.65
Bid-YTW : 4.85 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 316,931 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.16 %
BAM.PF.I FixedReset 115,562 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.21 %
BMO.PR.T FixedReset 112,402 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.25 %
MFC.PR.R FixedReset 80,366 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.24 %
TRP.PR.K FixedReset 77,743 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.13 %
TD.PF.D FixedReset 61,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 22.09
Evaluated at bid price : 22.53
Bid-YTW : 4.27 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 14.91 – 16.00
Spot Rate : 1.0900
Average : 0.5938

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.91
Bid-YTW : 9.67 %

CU.PR.F Perpetual-Discount Quote: 21.54 – 22.02
Spot Rate : 0.4800
Average : 0.2962

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 21.54
Evaluated at bid price : 21.54
Bid-YTW : 5.30 %

IAG.PR.G FixedReset Quote: 22.52 – 22.96
Spot Rate : 0.4400
Average : 0.2901

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 5.60 %

VNR.PR.A FixedReset Quote: 20.12 – 20.57
Spot Rate : 0.4500
Average : 0.3163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.94 %

RY.PR.W Perpetual-Discount Quote: 25.00 – 25.34
Spot Rate : 0.3400
Average : 0.2072

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.96 %

TRP.PR.H FloatingReset Quote: 13.07 – 13.47
Spot Rate : 0.4000
Average : 0.2856

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-16
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 3.33 %

January 13, 2017

Saturday, January 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 4.15 % 4.99 % 24,130 17.89 1 -0.9146 % 1,870.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7971 % 3,457.3
Floater 4.00 % 4.12 % 52,065 17.19 4 -0.7971 % 1,992.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1383 % 2,951.1
SplitShare 4.80 % 4.36 % 74,742 4.22 6 0.1383 % 3,524.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1383 % 2,749.8
Perpetual-Premium 5.59 % -3.49 % 75,457 0.09 12 0.0262 % 2,700.0
Perpetual-Discount 5.28 % 5.34 % 89,622 14.87 26 0.1575 % 2,821.4
FixedReset 4.59 % 4.33 % 226,646 6.77 96 0.6717 % 2,231.8
Deemed-Retractible 5.11 % 3.34 % 131,885 0.28 32 0.1232 % 2,787.2
FloatingReset 2.46 % 3.43 % 41,192 4.75 11 0.7421 % 2,420.1
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 11.39
Evaluated at bid price : 11.39
Bid-YTW : 4.18 %
PWF.PR.A Floater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.70 %
BNS.PR.B FloatingReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.48
Bid-YTW : 3.36 %
VNR.PR.A FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 4.92 %
TD.PF.C FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 4.32 %
BMO.PR.Q FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 5.34 %
IFC.PR.A FixedReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.71
Bid-YTW : 8.07 %
BMO.PR.W FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 4.26 %
PWF.PR.T FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.21 %
BMO.PR.S FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 4.21 %
RY.PR.J FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 22.03
Evaluated at bid price : 22.42
Bid-YTW : 4.29 %
CU.PR.C FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 21.58
Evaluated at bid price : 21.58
Bid-YTW : 4.15 %
TRP.PR.A FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.54 %
TRP.PR.E FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 4.40 %
RY.PR.Z FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.26 %
TRP.PR.D FixedReset 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 4.58 %
BMO.PR.T FixedReset 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.23 %
RY.PR.M FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 21.94
Evaluated at bid price : 22.35
Bid-YTW : 4.18 %
BMO.PR.Y FixedReset 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 22.49
Evaluated at bid price : 23.20
Bid-YTW : 4.13 %
TRP.PR.B FixedReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 13.94
Evaluated at bid price : 13.94
Bid-YTW : 4.27 %
TRP.PR.C FixedReset 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 4.32 %
TRP.PR.F FloatingReset 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.57 %
TRP.PR.H FloatingReset 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.31 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 346,923 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.43 %
TRP.PR.E FixedReset 270,099 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 4.40 %
BNS.PR.H FixedReset 231,696 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.00 %
BAM.PR.X FixedReset 209,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 4.84 %
BMO.PR.B FixedReset 179,269 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 4.13 %
TD.PF.H FixedReset 162,152 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.15 %
TD.PF.A FixedReset 138,153 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.25 %
TRP.PR.D FixedReset 116,928 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 4.58 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.E Ratchet Quote: 16.25 – 16.90
Spot Rate : 0.6500
Average : 0.5133

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 25.00
Evaluated at bid price : 16.25
Bid-YTW : 4.99 %

TRP.PR.G FixedReset Quote: 23.07 – 23.53
Spot Rate : 0.4600
Average : 0.3279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 22.39
Evaluated at bid price : 23.07
Bid-YTW : 4.37 %

BMO.PR.R FloatingReset Quote: 23.47 – 23.87
Spot Rate : 0.4000
Average : 0.3091

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 3.43 %

TD.PF.B FixedReset Quote: 19.99 – 20.20
Spot Rate : 0.2100
Average : 0.1321

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 4.33 %

BAM.PR.K Floater Quote: 11.39 – 11.60
Spot Rate : 0.2100
Average : 0.1522

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 11.39
Evaluated at bid price : 11.39
Bid-YTW : 4.18 %

CU.PR.E Perpetual-Discount Quote: 23.50 – 23.70
Spot Rate : 0.2000
Average : 0.1481

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-13
Maturity Price : 23.05
Evaluated at bid price : 23.50
Bid-YTW : 5.26 %

January 12, 2017

Thursday, January 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 4.12 % 4.93 % 25,079 17.95 1 1.8634 % 1,887.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6758 % 3,485.1
Floater 3.96 % 4.09 % 52,168 17.26 4 0.6758 % 2,008.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0790 % 2,947.0
SplitShare 4.81 % 4.51 % 77,800 4.22 6 -0.0790 % 3,519.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0790 % 2,746.0
Perpetual-Premium 5.59 % -3.20 % 72,638 0.09 12 -0.1147 % 2,699.3
Perpetual-Discount 5.29 % 5.37 % 92,325 14.88 26 -0.0688 % 2,817.0
FixedReset 4.62 % 4.37 % 230,830 6.77 96 0.1355 % 2,217.0
Deemed-Retractible 5.12 % 3.44 % 133,393 0.28 32 -0.0389 % 2,783.8
FloatingReset 2.46 % 3.56 % 41,122 4.75 11 0.4081 % 2,402.3
Performance Highlights
Issue Index Change Notes
VNR.PR.A FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 4.94 %
IAG.PR.A Deemed-Retractible -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 6.53 %
IFC.PR.C FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.91
Bid-YTW : 6.14 %
BMO.PR.T FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.28 %
SLF.PR.J FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.90
Bid-YTW : 9.03 %
TRP.PR.H FloatingReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.36 %
TRP.PR.C FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 4.38 %
BAM.PR.E Ratchet 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 4.93 %
TRP.PR.B FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 13.66
Evaluated at bid price : 13.66
Bid-YTW : 4.31 %
TRP.PR.F FloatingReset 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 16.29
Evaluated at bid price : 16.29
Bid-YTW : 3.63 %
TRP.PR.A FixedReset 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 4.58 %
PWF.PR.A Floater 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 3.66 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 340,439 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.24 %
TD.PF.A FixedReset 128,697 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 4.26 %
TRP.PR.D FixedReset 121,583 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.63 %
MFC.PR.R FixedReset 117,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.63 %
NA.PR.A FixedReset 104,328 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.24
Bid-YTW : 4.12 %
TRP.PR.K FixedReset 99,747 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.49 %
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.R FloatingReset Quote: 23.51 – 23.83
Spot Rate : 0.3200
Average : 0.2094

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 3.37 %

BAM.PR.X FixedReset Quote: 15.26 – 15.56
Spot Rate : 0.3000
Average : 0.1983

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 4.84 %

IAG.PR.A Deemed-Retractible Quote: 22.11 – 22.58
Spot Rate : 0.4700
Average : 0.3986

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 6.53 %

FTS.PR.J Perpetual-Discount Quote: 22.64 – 22.86
Spot Rate : 0.2200
Average : 0.1519

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 22.34
Evaluated at bid price : 22.64
Bid-YTW : 5.30 %

FTS.PR.F Perpetual-Discount Quote: 23.08 – 23.36
Spot Rate : 0.2800
Average : 0.2126

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-12
Maturity Price : 22.80
Evaluated at bid price : 23.08
Bid-YTW : 5.37 %

BMO.PR.Q FixedReset Quote: 21.01 – 21.24
Spot Rate : 0.2300
Average : 0.1728

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 5.58 %

January 11, 2017

Wednesday, January 11th, 2017

PerpetualDiscounts now yield 5.36%, equivalent to 6.97% 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 290bp, a slight (and perhaps spurious) narrowing from the 295bp reported January 4.

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 4.19 % 5.04 % 25,992 17.83 1 0.0000 % 1,853.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0634 % 3,461.7
Floater 3.99 % 4.07 % 52,850 17.29 4 0.0634 % 1,995.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0725 % 2,949.4
SplitShare 4.80 % 4.43 % 78,953 4.22 6 0.0725 % 3,522.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0725 % 2,748.1
Perpetual-Premium 5.59 % -5.56 % 73,499 0.09 12 0.2431 % 2,702.4
Perpetual-Discount 5.29 % 5.36 % 95,038 14.88 26 0.2300 % 2,818.9
FixedReset 4.63 % 4.39 % 230,979 6.77 96 0.2439 % 2,214.0
Deemed-Retractible 5.12 % 3.78 % 132,269 0.29 32 0.1220 % 2,784.9
FloatingReset 2.47 % 3.58 % 41,521 4.76 11 -0.1329 % 2,392.5
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-11
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 3.41 %
MFC.PR.O FixedReset 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.63
Bid-YTW : 4.10 %
IFC.PR.C FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.13
Bid-YTW : 5.99 %
VNR.PR.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-11
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 4.87 %
IAG.PR.A Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 6.34 %
NA.PR.S FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-11
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 4.42 %
BMO.PR.Q FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.16
Bid-YTW : 5.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset 358,301 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.34 %
BAM.PR.Z FixedReset 323,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-11
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.93 %
RY.PR.Q FixedReset 275,811 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 3.84 %
TD.PF.H FixedReset 257,197 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 4.25 %
TRP.PR.K FixedReset 231,439 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.53 %
BNS.PR.H FixedReset 203,305 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.21 %
MFC.PR.R FixedReset 171,771 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.63 %
RY.PR.M FixedReset 112,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-11
Maturity Price : 21.64
Evaluated at bid price : 21.93
Bid-YTW : 4.25 %
BAM.PF.I FixedReset 108,810 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 4.39 %
BMO.PR.K Deemed-Retractible 106,012 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-10
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : -7.23 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.B FixedReset Quote: 25.92 – 26.39
Spot Rate : 0.4700
Average : 0.2884

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.55 %

CU.PR.C FixedReset Quote: 21.25 – 21.70
Spot Rate : 0.4500
Average : 0.3261

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.18 %

BAM.PF.A FixedReset Quote: 21.53 – 21.83
Spot Rate : 0.3000
Average : 0.1881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-11
Maturity Price : 21.26
Evaluated at bid price : 21.53
Bid-YTW : 4.71 %

TRP.PR.A FixedReset Quote: 16.49 – 16.78
Spot Rate : 0.2900
Average : 0.1898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-11
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 4.67 %

IFC.PR.A FixedReset Quote: 17.40 – 17.68
Spot Rate : 0.2800
Average : 0.1857

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.40
Bid-YTW : 8.30 %

SLF.PR.H FixedReset Quote: 18.05 – 18.39
Spot Rate : 0.3400
Average : 0.2507

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 7.74 %

January 10, 2017

Wednesday, January 11th, 2017

The Canadian Securities Administrators have released their latest plan to increase banks’ hegemony over the financial system, titled CSA CONSULTATION PAPER 81-408 – CONSULTATION ON THE OPTION OF DISCONTINUING EMBEDDED COMMISSIONS.

It is filled with hilarious assertions and disingenuous speculation, such as:

Based on a review of current actively managed fee-based (series F) fund offerings and their five year alphas, the data suggests that:
  • 87% of investment fund managers offering actively managed funds today have some funds with negative alphas which could be at risk of redemption if embedded commissions were discontinued and these managers were not able to adjust their fees or improve performance;
  • For active investment fund managers that manage funds with negative alphas, the proportion of assets at risk or redemption could be on average 53% of firm assets;
  • In aggregate, an estimated 44% of actively managed fund assets may experience redemption and reallocation pressure to competitor investment fund managers over time if embedded commissions were discontinued and these managers were not able to adjust their fees or improve performance; and
  • For active investment fund managers with little or no access to related party distribution97, on average 59% of assets at these firms may experience redemption pressure over time assuming once again these managers were not able to adjust their fees or improve performance.

As we have emphasized throughout this section, much depends on how investment fund managers react to the discontinuation of embedded commissions. And as noted earlier, we expect investment fund managers to alter the way that they compete over time by reducing prices and refocusing their distribution efforts toward improvements in risk adjusted performance to retain market share.

“Refocusing their distribution efforts towards improvements in risk adjusted performance to retain market share” … ha! The banks will refocus their distribution efforts towards in-branch sales. Fees will continue to be absurdly high – they might even get higher – and Granny’s going to put her nest-egg into GICs and house funds, just like the nice man at the bank tells her to do.

And we know the nice man at the bank is not just an expert on investments but is also recommending only those vehicles that he, personally, feels will deliver the best returns as part of the best asset mix for the all-important investor, right? We know this, because he’s on salary and doesn’t have to soil his hands with that evil embedded commission “work for a living” crap. PLUS, he works for a bank, so all of Granny’s worries are over.

Another good laugh was afforded by the paragraph:

As for the issue of low financial literacy potentially hindering investors’ ability to assess the value of advisory services or to negotiate fair fees for such services, the CSA anticipate continuing to work on investor literacy initiatives to increase investors’ awareness of investing costs and empower them to confidently engage in the negotiation of fees with their representative. We also expect that our recent POS and CRM2 reforms (further discussed in Part 6) will improve investors’ awareness and understanding of fund and dealer compensation costs in the lead up to any potential rule proposal discontinuing embedded commissions. This improved awareness and understanding in turn should give investors an initial point of reference from which to gauge the appropriateness of advisory fees under direct pay arrangements.

“CSA anticipate continuing to work on investor literacy initiatives to increase investors’ awareness of investing costs and empower them to confidently engage in the negotiation of fees with their representative” … what, you mean both people who searched for and found and read and understood the official financial literacy educational pages put out and paid for by our Wise Masters? You mean, not just the self-proclaimed investor advocates who feverishly looked to see if their particular hobby-horse was addressed, but both of the people who actually read that earnestly presented gobbledy-gook in order to educate themselves? Wow. Quite the accomplishment!

But, really, you want to understand the point of all this verbiage? It’s well illustrated by this chart:

marketsharefunddistribution
Click for Big

Bank branch distribution has made huge gains over the past ten years and has now pulled equal with the independents. The point of eliminating trailer fees to eliminate the independent channel and move all the business to the banks … nice big banks with enormous compliance departments with lots of jobs for otherwise unemployable ex-regulators. Very expensive plain vanilla funds for everybody and lots of well paying compliance jobs … it’s the regulatory nirvana and it comes closer every day.

Speaking of government idiocy, this is just in from BC:

British Columbia raised the threshold on property tax grants to homes worth as much as C$1.6 million ($1.2 million) to help offset the cost of property taxes in Canada’s most expensive real estate market.

The move, which boosts the threshold from C$1.2 million, is the latest by the provincial government to address public anger over housing affordability ahead of a general election on May 9. On Jan. 16, it also will begin offering loans to plump the down payments of first-time home buyers.

The grant will reduce the annual property tax on a principal residence by up to C$570 a year in urban areas, according to the B.C. Ministry of Finance, which calculates that 83 percent of homes in the Metro Vancouver region will fall below the new threshold. The province expects to spend C$821 million on homeowner grants in 2017-2018, up from C$809 million in the previous year.

[BC Finance Minister Michael] De Jong said the grants were intended to help homeowners who, for example, had bought a property for C$50,000 decades ago but were now living on a fixed income and finding it difficult to pay the tax due on a house worth more than C$1 million.

“The loss of that grant which offsets their taxes would be very problematic,” he said. “That’s the target. Those are the circumstances we’re trying to address.”

It’s just craziness … increasing the complexity of the tax system and further eroding the separation of taxation powers between different levels of government.

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 4.19 % 5.04 % 26,320 17.83 1 0.0000 % 1,853.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6380 % 3,459.5
Floater 3.99 % 4.10 % 52,443 17.23 4 0.6380 % 1,993.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0923 % 2,947.2
SplitShare 4.81 % 4.49 % 79,804 4.23 6 0.0923 % 3,519.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0923 % 2,746.1
Perpetual-Premium 5.60 % -3.84 % 73,898 0.09 12 0.2536 % 2,695.8
Perpetual-Discount 5.30 % 5.37 % 94,261 14.88 26 0.1728 % 2,812.5
FixedReset 4.64 % 4.41 % 234,199 6.77 96 0.0024 % 2,208.6
Deemed-Retractible 5.12 % 4.50 % 131,649 4.48 32 0.1248 % 2,781.5
FloatingReset 2.46 % 3.52 % 40,443 4.76 11 0.1242 % 2,395.7
Performance Highlights
Issue Index Change Notes
CU.PR.I FixedReset -2.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 3.19 %
TRP.PR.B FixedReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-10
Maturity Price : 13.47
Evaluated at bid price : 13.47
Bid-YTW : 4.37 %
BNS.PR.Y FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 5.17 %
TD.PF.A FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-10
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 4.29 %
BAM.PR.Z FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-10
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.94 %
TRP.PR.H FloatingReset 4.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-10
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 965,730 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.56 %
BAM.PF.I FixedReset 201,110 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.41 %
BAM.PR.Z FixedReset 156,923 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-10
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.94 %
MFC.PR.R FixedReset 149,348 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.66 %
TRP.PR.E FixedReset 121,030 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-10
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.47 %
SLF.PR.I FixedReset 88,699 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.02
Bid-YTW : 5.73 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.E SplitShare Quote: 26.00 – 26.24
Spot Rate : 0.2400
Average : 0.1559

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.84 %

PWF.PR.L Perpetual-Discount Quote: 23.40 – 23.65
Spot Rate : 0.2500
Average : 0.1711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-10
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 5.45 %

TRP.PR.B FixedReset Quote: 13.47 – 13.75
Spot Rate : 0.2800
Average : 0.2078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-10
Maturity Price : 13.47
Evaluated at bid price : 13.47
Bid-YTW : 4.37 %

BIP.PR.A FixedReset Quote: 21.66 – 21.90
Spot Rate : 0.2400
Average : 0.1686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-10
Maturity Price : 21.35
Evaluated at bid price : 21.66
Bid-YTW : 5.37 %

CCS.PR.C Deemed-Retractible Quote: 23.30 – 23.59
Spot Rate : 0.2900
Average : 0.2251

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.14 %

CU.PR.F Perpetual-Discount Quote: 21.38 – 21.60
Spot Rate : 0.2200
Average : 0.1621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-10
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 5.34 %

January 9, 2017

Monday, January 9th, 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 4.19 % 5.04 % 24,328 17.84 1 1.8987 % 1,853.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8364 % 3,437.5
Floater 4.02 % 4.13 % 53,010 17.17 4 0.8364 % 1,981.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0594 % 2,944.5
SplitShare 4.81 % 4.47 % 80,333 4.23 6 0.0594 % 3,516.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0594 % 2,743.6
Perpetual-Premium 5.62 % -1.15 % 76,416 0.09 12 -0.1939 % 2,689.0
Perpetual-Discount 5.31 % 5.37 % 92,919 14.88 26 -0.1364 % 2,807.6
FixedReset 4.64 % 4.43 % 231,806 6.78 96 -0.7094 % 2,208.5
Deemed-Retractible 5.13 % 3.61 % 130,185 0.29 32 -0.2256 % 2,778.0
FloatingReset 2.47 % 3.46 % 38,314 4.76 11 -0.0222 % 2,392.7
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset -2.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.91
Bid-YTW : 6.88 %
MFC.PR.H FixedReset -2.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 4.96 %
BAM.PF.B FixedReset -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.87 %
MFC.PR.N FixedReset -2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.62 %
MFC.PR.I FixedReset -2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.42 %
BAM.PF.A FixedReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 4.76 %
BAM.PF.G FixedReset -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 22.00
Evaluated at bid price : 22.39
Bid-YTW : 4.52 %
BAM.PR.R FixedReset -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 4.66 %
BAM.PF.F FixedReset -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 21.58
Evaluated at bid price : 21.98
Bid-YTW : 4.60 %
MFC.PR.G FixedReset -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.16
Bid-YTW : 5.78 %
MFC.PR.J FixedReset -1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 5.74 %
IAG.PR.G FixedReset -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.02
Bid-YTW : 5.22 %
IFC.PR.A FixedReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.67
Bid-YTW : 8.06 %
MFC.PR.M FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 6.61 %
BAM.PR.Z FixedReset -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 4.99 %
BAM.PF.E FixedReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.55 %
CM.PR.Q FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 21.82
Evaluated at bid price : 22.15
Bid-YTW : 4.31 %
TRP.PR.G FixedReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 22.06
Evaluated at bid price : 22.53
Bid-YTW : 4.46 %
TD.PF.E FixedReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 22.27
Evaluated at bid price : 22.86
Bid-YTW : 4.25 %
BAM.PR.X FixedReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 4.82 %
TRP.PR.H FloatingReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 3.49 %
IFC.PR.C FixedReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.07 %
TD.PF.A FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 4.33 %
BAM.PR.T FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.86 %
MFC.PR.F FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.97 %
BMO.PR.S FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.29 %
TD.PF.D FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 22.03
Evaluated at bid price : 22.45
Bid-YTW : 4.25 %
MFC.PR.K FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.86
Bid-YTW : 6.86 %
GWO.PR.R Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.43
Bid-YTW : 6.52 %
TRP.PR.E FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.51 %
PWF.PR.T FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.24 %
RY.PR.Z FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.32 %
RY.PR.J FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 21.49
Evaluated at bid price : 21.86
Bid-YTW : 4.37 %
TRP.PR.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.66 %
CM.PR.P FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.35 %
BAM.PR.B Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.13 %
BAM.PR.E Ratchet 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 25.00
Evaluated at bid price : 16.10
Bid-YTW : 5.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset 254,651 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 4.38 %
TRP.PR.K FixedReset 180,349 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 4.53 %
BAM.PF.I FixedReset 136,467 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.44 %
SLF.PR.I FixedReset 97,058 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.03
Bid-YTW : 5.72 %
TD.PF.H FixedReset 72,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.32 %
BMO.PR.T FixedReset 70,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 4.36 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.F Perpetual-Discount Quote: 24.60 – 24.95
Spot Rate : 0.3500
Average : 0.2098

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 24.20
Evaluated at bid price : 24.60
Bid-YTW : 4.97 %

TRP.PR.G FixedReset Quote: 22.53 – 22.99
Spot Rate : 0.4600
Average : 0.3231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 22.06
Evaluated at bid price : 22.53
Bid-YTW : 4.46 %

IFC.PR.A FixedReset Quote: 17.67 – 17.95
Spot Rate : 0.2800
Average : 0.1617

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.67
Bid-YTW : 8.06 %

CM.PR.Q FixedReset Quote: 22.15 – 22.50
Spot Rate : 0.3500
Average : 0.2534

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 21.82
Evaluated at bid price : 22.15
Bid-YTW : 4.31 %

VNR.PR.A FixedReset Quote: 20.25 – 20.63
Spot Rate : 0.3800
Average : 0.2852

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-01-09
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.87 %

BIP.PR.B FixedReset Quote: 25.95 – 26.20
Spot Rate : 0.2500
Average : 0.1653

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.51 %