Archive for the ‘Market Action’ Category

June 20, 2018

Wednesday, June 20th, 2018

Trade politics are complicating projections of Canadian interest rates:

The gap between September 2018 and December 2018 bankers’ acceptance futures narrowed to 14.5 basis points Tuesday amid record two-day volumes in the spread. Market participants are now pricing in just 41 basis points of additional policy tightening by year-end, down from more than 60 basis points as recently as last month. The Canadian dollar has declined in tandem, sliding 2.6 per cent against the greenback since the start of June.

Expectations for future BOC rate hikes are waning as the outlook for North American Free Trade Agreement negotiations grows increasingly fraught.

The odds of a rate increase at the BOC’s July 11 meeting have dwindled to about 67 percent, according to overnight index swap pricing, from roughly 80 percent in the aftermath of the bank’s May 30 meeting.

The Canadian dollar has tumbled more than 5 per cent versus the greenback in 2018, making the loonie the second-worst performing Group-of-10 currency in the span.

PerpetualDiscounts now yield 5.55%, equivalent to 7.22% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.80%, so the pre-tax interest-equivalent spread is now about 340bp, a significant widening from the 330bp reported June 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 0.0413 % 3,027.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0413 % 5,554.7
Floater 3.32 % 3.51 % 71,365 18.50 4 0.0413 % 3,201.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2235 % 3,173.6
SplitShare 4.63 % 4.63 % 74,319 4.98 5 0.2235 % 3,790.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2235 % 2,957.1
Perpetual-Premium 5.62 % -5.09 % 57,914 0.08 9 0.0174 % 2,879.9
Perpetual-Discount 5.38 % 5.55 % 63,357 14.50 26 -0.0016 % 2,963.6
FixedReset 4.31 % 4.63 % 154,998 5.65 106 0.1092 % 2,541.2
Deemed-Retractible 5.18 % 5.80 % 68,377 5.55 27 0.2156 % 2,949.3
FloatingReset 3.05 % 3.71 % 33,930 3.44 9 0.2850 % 2,800.2
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-20
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 4.95 %
BAM.PF.B FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-20
Maturity Price : 22.89
Evaluated at bid price : 23.52
Bid-YTW : 4.94 %
TD.PF.D FixedReset 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.63
Bid-YTW : 4.61 %
SLF.PR.J FloatingReset 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.69
Bid-YTW : 6.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.B Deemed-Retractible 162,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 7.23 %
BIP.PR.D FixedReset 74,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.99 %
TD.PF.I FixedReset 69,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.52 %
NA.PR.G FixedReset 63,645 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-20
Maturity Price : 23.15
Evaluated at bid price : 25.03
Bid-YTW : 4.78 %
MFC.PR.O FixedReset 53,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.84 %
IFC.PR.G FixedReset 30,925 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 5.06 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Deemed-Retractible Quote: 24.20 – 24.50
Spot Rate : 0.3000
Average : 0.1965

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.80 %

PWF.PR.A Floater Quote: 21.25 – 21.63
Spot Rate : 0.3800
Average : 0.3069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-20
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 2.86 %

IAG.PR.G FixedReset Quote: 23.51 – 23.85
Spot Rate : 0.3400
Average : 0.2678

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 5.29 %

BMO.PR.Q FixedReset Quote: 22.71 – 22.90
Spot Rate : 0.1900
Average : 0.1183

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.71
Bid-YTW : 4.83 %

TD.PF.F Perpetual-Discount Quote: 24.73 – 24.96
Spot Rate : 0.2300
Average : 0.1593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-20
Maturity Price : 24.30
Evaluated at bid price : 24.73
Bid-YTW : 5.00 %

POW.PR.D Perpetual-Discount Quote: 23.15 – 23.35
Spot Rate : 0.2000
Average : 0.1306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-20
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 5.49 %

June 19, 2018

Tuesday, June 19th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1923 % 3,025.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1923 % 5,552.4
Floater 3.32 % 3.53 % 71,685 18.47 4 -0.1923 % 3,199.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0399 % 3,166.6
SplitShare 4.64 % 4.80 % 76,775 4.99 5 0.0399 % 3,781.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0399 % 2,950.5
Perpetual-Premium 5.62 % -5.27 % 58,447 0.08 9 0.0523 % 2,879.4
Perpetual-Discount 5.38 % 5.55 % 63,816 14.50 26 0.1726 % 2,963.7
FixedReset 4.32 % 4.66 % 160,192 5.69 106 -0.1931 % 2,538.4
Deemed-Retractible 5.19 % 5.80 % 70,757 5.55 27 -0.0330 % 2,943.0
FloatingReset 3.06 % 3.72 % 35,328 3.44 9 -0.2344 % 2,792.3
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 6.97 %
TRP.PR.B FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.78 %
BAM.PR.R FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.11 %
HSE.PR.A FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.E FixedReset 102,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 22.72
Evaluated at bid price : 23.86
Bid-YTW : 4.84 %
BNS.PR.E FixedReset 64,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.46
Bid-YTW : 3.64 %
MFC.PR.N FixedReset 63,067 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 5.51 %
NA.PR.W FixedReset 54,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 22.83
Evaluated at bid price : 23.22
Bid-YTW : 4.63 %
MFC.PR.Q FixedReset 53,975 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.05 %
BMO.PR.S FixedReset 53,552 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 22.89
Evaluated at bid price : 23.46
Bid-YTW : 4.67 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 19.30 – 19.72
Spot Rate : 0.4200
Average : 0.2595

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 6.97 %

BAM.PF.A FixedReset Quote: 24.60 – 24.87
Spot Rate : 0.2700
Average : 0.1722

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 23.74
Evaluated at bid price : 24.60
Bid-YTW : 5.01 %

EMA.PR.H FixedReset Quote: 25.15 – 25.40
Spot Rate : 0.2500
Average : 0.1585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 23.20
Evaluated at bid price : 25.15
Bid-YTW : 4.80 %

HSE.PR.G FixedReset Quote: 24.80 – 25.10
Spot Rate : 0.3000
Average : 0.2099

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.98 %

CM.PR.S FixedReset Quote: 23.95 – 24.19
Spot Rate : 0.2400
Average : 0.1613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 22.78
Evaluated at bid price : 23.95
Bid-YTW : 4.70 %

PWF.PR.F Perpetual-Discount Quote: 23.90 – 24.18
Spot Rate : 0.2800
Average : 0.2020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-19
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.57 %

June 18, 2018

Monday, June 18th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2341 % 3,031.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2341 % 5,563.1
Floater 3.32 % 3.51 % 68,957 18.50 4 0.2341 % 3,206.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1039 % 3,165.3
SplitShare 4.64 % 4.81 % 74,453 4.99 5 0.1039 % 3,780.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1039 % 2,949.3
Perpetual-Premium 5.62 % -6.83 % 59,091 0.08 9 0.0218 % 2,877.9
Perpetual-Discount 5.39 % 5.54 % 64,236 14.52 26 0.0181 % 2,958.6
FixedReset 4.31 % 4.62 % 162,255 5.66 106 0.0799 % 2,543.3
Deemed-Retractible 5.19 % 5.78 % 70,382 5.55 27 0.0063 % 2,944.0
FloatingReset 3.05 % 3.70 % 34,580 3.44 9 0.0949 % 2,798.8
Performance Highlights
Issue Index Change Notes
IFC.PR.F Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.66 %
TD.PF.F Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 24.39
Evaluated at bid price : 24.85
Bid-YTW : 4.98 %
IFC.PR.A FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.60 %
TRP.PR.B FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.71 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset 75,071 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 22.89
Evaluated at bid price : 23.46
Bid-YTW : 4.67 %
NA.PR.G FixedReset 62,209 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 23.13
Evaluated at bid price : 24.98
Bid-YTW : 4.79 %
IFC.PR.G FixedReset 28,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.07 %
EMA.PR.H FixedReset 23,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 23.19
Evaluated at bid price : 25.11
Bid-YTW : 4.81 %
BMO.PR.W FixedReset 22,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 22.59
Evaluated at bid price : 23.01
Bid-YTW : 4.63 %
TRP.PR.B FixedReset 15,408 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.71 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Quote: 25.90 – 26.20
Spot Rate : 0.3000
Average : 0.2041

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.07 %

TRP.PR.G FixedReset Quote: 23.92 – 24.24
Spot Rate : 0.3200
Average : 0.2302

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 23.02
Evaluated at bid price : 23.92
Bid-YTW : 5.06 %

BAM.PR.B Floater Quote: 17.09 – 17.42
Spot Rate : 0.3300
Average : 0.2440

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 3.53 %

BAM.PR.C Floater Quote: 17.13 – 17.39
Spot Rate : 0.2600
Average : 0.1795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.52 %

RY.PR.O Perpetual-Discount Quote: 24.56 – 24.85
Spot Rate : 0.2900
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-18
Maturity Price : 24.13
Evaluated at bid price : 24.56
Bid-YTW : 5.01 %

MFC.PR.G FixedReset Quote: 24.04 – 24.38
Spot Rate : 0.3400
Average : 0.2614

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.04
Bid-YTW : 5.09 %

June 15, 2018

Friday, June 15th, 2018

The New York Fed has released a paper by Andreas Fuster and James Vickery titled Regulation and Risk Shuffling in Bank Securities Portfolios:

Bank capital requirements are based on a mix of market values and book values. We investigate the effects of a policy change that ties regulatory capital to the market value of the “available-for-sale” investment securities portfolio for some banking organizations. Our analysis is based on security-level data on individual bank portfolios matched to bond characteristics. We find little clear evidence that banks respond by reducing the riskiness of their securities portfolios, although there is some evidence of a greater use of derivatives to hedge securities exposures. Instead, banks respond by reclassifying securities to mitigate the effects of the policy change. This shift is most pronounced for securities with high levels of interest rate risk.

Quantitatively more importantly, we nd evidence that treated banks respond by actively reshuing their portfolios, and in particular classifying risky securities as \held to maturity” (HTM) rather than available for sale (AFS). The use of detailed security-level data allow us to control in a precise way for security characteristics – most finely by including both BHC fixed effects and a vector of CUSIP-by-calendar quarter fixed effects in our specifications. This is an important feature of our analysis, since it allows us to isolate the effects of the accounting classification decision for a given security from changes in the composition in investment securities portfolios which was occurring during this period. In these specifications, our preferred point estimates suggest that a security is 20 percentage points more likely to be classified as HTM rather than AFS if owned by a BHC subject to the AOCI rule (measured on a fully phased-in basis), or 38 percentage points measured on a weighted basis. For both agency MBS and Treasury securities, we find that these effects are concentrated among bonds with higher duration.

It’s a common fallacy – you will often find people arguing vociferously that a five year GIC is less risky than a five year bond because the reported price doesn’t change and the holder doesn’t intend to sell it anyway. Crazy.

In another paper released today, Richard Crump, Domenico Giannone, and Sean Hundtofte claim that volatility has meaning in a paper titled Changing Risk-Return Profiles:

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time. Current realized volatility has the most information content on the uncertainty of future returns, whereas it has only limited content about the location of the future return distribution. When volatility is low, the predicted distribution of returns is less dispersed and probabilistic forecasts are sharper. Given this finding on the importance of financial sector volatility not just to financial equity return uncertainty but to the broader market, we test for changes in the realized volatility of banks over a $50 billion threshold associated with more stringent Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank) requirements. We find that the equity volatility of these large banks is differentially lower by 9 percentage points after Dodd-Frank compared to pre-crisis levels, controlling for changes over the same period for all banks and all large firms.

Our paper is most closely related to Cenesizoglu and Timmermann (2008) who study whether economic and financial variables can help improve prediction of the quantiles of the return distribution. Cenesizoglu and Timmermann (2008) also find evidence of predictive power especially in the upper tail of the return distribution. Our paper is also related to Massacci (2015) who evaluates the accuracy of density forecasts but restricts the economic and financial variables to predict the location of the distribution only. Durham and Geweke (2014) predict higher-frequency, daily returns allowing for realized intraday volatility and option-implied volatility but restrict these variables to predict the scale of the distribution only.

Our paper is also related to those papers that investigate interactions between financial crises (high periods of market volatility) and equity returns. For example, Baron and Xiong (2017) ex-amine changes in skew of bank equity returns in response to changes in economic leverage (bank credit/GDP). Moreira and Muir (2017) look at the returns of a market portfolio managed by lagged volatility, finding investors are not compensated for risk in periods of lagged high volatility. Similarly, when we examine the distribution of aggregate returns conditional on realized volatility we find no predictability in the average return, but do find predictability in the risk to holding the
market portfolio (either in terms of variance at short horizon, or skew at longer horizons), indicating a breakdown in a risk-return tradeoff. Adrian et al. (2017b) document a strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX with expected stock returns increasing for stocks when volatility increases from moderate to high levels.

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 -0.1650 % 3,024.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1650 % 5,550.1
Floater 3.33 % 3.52 % 69,860 18.49 4 -0.1650 % 3,198.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1038 % 3,162.0
SplitShare 4.65 % 4.81 % 77,123 5.00 5 -0.1038 % 3,776.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1038 % 2,946.3
Perpetual-Premium 5.62 % -7.38 % 58,754 0.08 9 0.0131 % 2,877.2
Perpetual-Discount 5.39 % 5.54 % 64,902 14.52 26 0.1779 % 2,958.0
FixedReset 4.31 % 4.71 % 166,698 5.66 106 -0.1117 % 2,541.3
Deemed-Retractible 5.19 % 5.78 % 70,434 5.56 27 0.0535 % 2,943.8
FloatingReset 3.13 % 3.83 % 35,795 3.45 9 -0.0449 % 2,796.2
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-15
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.02 %
BAM.PF.B FixedReset -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-15
Maturity Price : 22.80
Evaluated at bid price : 23.42
Bid-YTW : 5.04 %
IFC.PR.A FixedReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.79 %
PWF.PR.T FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-15
Maturity Price : 23.59
Evaluated at bid price : 24.26
Bid-YTW : 4.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
EMA.PR.H FixedReset 97,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-15
Maturity Price : 23.19
Evaluated at bid price : 25.11
Bid-YTW : 4.80 %
NA.PR.G FixedReset 65,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-15
Maturity Price : 23.13
Evaluated at bid price : 24.97
Bid-YTW : 4.85 %
TD.PF.I FixedReset 55,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.46 %
NA.PR.C FixedReset 41,570 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.59 %
BMO.PR.W FixedReset 31,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-15
Maturity Price : 22.60
Evaluated at bid price : 23.02
Bid-YTW : 4.70 %
RY.PR.Z FixedReset 30,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-15
Maturity Price : 22.93
Evaluated at bid price : 23.50
Bid-YTW : 4.62 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Quote: 24.05 – 24.57
Spot Rate : 0.5200
Average : 0.3215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-15
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.12 %

BAM.PF.E FixedReset Quote: 23.25 – 23.68
Spot Rate : 0.4300
Average : 0.3025

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-15
Maturity Price : 22.88
Evaluated at bid price : 23.25
Bid-YTW : 5.00 %

GWO.PR.Q Deemed-Retractible Quote: 23.60 – 23.97
Spot Rate : 0.3700
Average : 0.2459

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 6.19 %

IFC.PR.A FixedReset Quote: 19.55 – 19.85
Spot Rate : 0.3000
Average : 0.1978

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.79 %

IFC.PR.F Deemed-Retractible Quote: 24.80 – 25.22
Spot Rate : 0.4200
Average : 0.3247

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.44 %

BAM.PF.F FixedReset Quote: 24.41 – 24.80
Spot Rate : 0.3900
Average : 0.2950

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-15
Maturity Price : 24.00
Evaluated at bid price : 24.41
Bid-YTW : 5.08 %

June 14, 2018

Thursday, June 14th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.9577 % 3,029.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9577 % 5,559.3
Floater 3.32 % 3.53 % 68,077 18.47 4 0.9577 % 3,203.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2549 % 3,165.3
SplitShare 4.64 % 4.79 % 79,798 5.00 5 -0.2549 % 3,780.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2549 % 2,949.3
Perpetual-Premium 5.62 % -7.11 % 59,278 0.08 9 0.0872 % 2,876.9
Perpetual-Discount 5.40 % 5.56 % 64,535 14.49 26 0.2477 % 2,952.8
FixedReset 4.31 % 4.69 % 166,346 4.27 106 0.1525 % 2,544.2
Deemed-Retractible 5.19 % 5.80 % 71,312 5.56 27 0.0954 % 2,942.2
FloatingReset 3.13 % 3.83 % 34,073 3.45 9 0.0649 % 2,797.4
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 4.89 %
PVS.PR.F SplitShare -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.81 %
GWO.PR.N FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.26
Bid-YTW : 7.31 %
IFC.PR.A FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 7.56 %
BAM.PR.K Floater 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 3.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.R Perpetual-Discount 145,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 24.55
Evaluated at bid price : 24.85
Bid-YTW : 5.60 %
MFC.PR.M FixedReset 58,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 5.55 %
TD.PF.I FixedReset 52,410 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.46 %
TRP.PR.K FixedReset 44,059 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.39 %
TD.PR.Y FixedReset 43,220 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 3.91 %
NA.PR.G FixedReset 41,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 23.13
Evaluated at bid price : 24.97
Bid-YTW : 4.85 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Quote: 20.70 – 21.10
Spot Rate : 0.4000
Average : 0.2578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.13 %

BAM.PF.E FixedReset Quote: 23.45 – 23.70
Spot Rate : 0.2500
Average : 0.1626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 23.08
Evaluated at bid price : 23.45
Bid-YTW : 4.96 %

SLF.PR.H FixedReset Quote: 21.65 – 21.95
Spot Rate : 0.3000
Average : 0.2169

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.03 %

MFC.PR.L FixedReset Quote: 22.76 – 22.99
Spot Rate : 0.2300
Average : 0.1499

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.76
Bid-YTW : 5.91 %

TRP.PR.K FixedReset Quote: 25.53 – 25.78
Spot Rate : 0.2500
Average : 0.1753

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.39 %

BAM.PR.N Perpetual-Discount Quote: 20.94 – 21.24
Spot Rate : 0.3000
Average : 0.2345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-14
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 5.69 %

June 13, 2018

Wednesday, June 13th, 2018

The FOMC hiked the US policy rate:

Information received since the Federal Open Market Committee met in May indicates that the labor market has continued to strengthen and that economic activity has been rising at a solid rate. Job gains have been strong, on average, in recent months, and the unemployment rate has declined. Recent data suggest that growth of household spending has picked up, while business fixed investment has continued to grow strongly. On a 12-month basis, both overall inflation and inflation for items other than food and energy have moved close to 2 percent. Indicators of longer-term inflation expectations are little changed, on balance.

Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee expects that further gradual increases in the target range for the federal funds rate will be consistent with sustained expansion of economic activity, strong labor market conditions, and inflation near the Committee’s symmetric 2 percent objective over the medium term. Risks to the economic outlook appear roughly balanced.

In view of realized and expected labor market conditions and inflation, the Committee decided to raise the target range for the federal funds rate to 1-3/4 to 2 percent. The stance of monetary policy remains accommodative, thereby supporting strong labor market conditions and a sustained return to 2 percent inflation.

In determining the timing and size of future adjustments to the target range for the federal funds rate, the Committee will assess realized and expected economic conditions relative to its maximum employment objective and its symmetric 2 percent inflation objective. This assessment will take into account a wide range of information, including measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial and international developments.

Voting for the FOMC monetary policy action were Jerome H. Powell, Chairman; William C. Dudley, Vice Chairman; Thomas I. Barkin; Raphael W. Bostic; Lael Brainard; Loretta J. Mester; Randal K. Quarles; and John C. Williams.

This had a minor effect on markets, unless it didn’t (there are always cross-currents!):

Benchmark 10-year U.S. Treasury notes last fell 9/32 in price to yield 2.9903 per cent, from 2.957 per cent late on Tuesday.

The 30-year bond last fell 11/32 in price to yield 3.1096 per cent, from 3.092 per cent Tuesday.

The dollar index, which measures the greenback against a basket of currencies, rose 0.09 per cent, with the euro up 0.06 per cent to $1.175.

The Dow Jones Industrial Average fell 117.74 points, or 0.46 per cent, to 25,202.99, the S&P 500 lost 11.19 points, or 0.40 per cent, to 2,775.66 and the Nasdaq Composite dropped 8.10 points, or 0.11 per cent, to 7,695.70

PerpetualDiscounts now yield 5.57%, equivalent to 7.24% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 330bp, a slight (and perhaps spurious) widening from the 325bp reported June 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 0.0000 % 3,000.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 5,506.5
Floater 3.33 % 3.58 % 67,820 18.25 4 0.0000 % 3,173.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0398 % 3,173.4
SplitShare 4.63 % 4.58 % 80,852 5.00 5 0.0398 % 3,789.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0398 % 2,956.9
Perpetual-Premium 5.63 % -6.37 % 61,726 0.09 9 0.1048 % 2,874.4
Perpetual-Discount 5.40 % 5.57 % 62,258 14.48 26 -0.1613 % 2,945.5
FixedReset 4.31 % 4.73 % 166,584 5.66 106 0.1686 % 2,540.3
Deemed-Retractible 5.19 % 5.80 % 70,760 5.55 27 -0.1650 % 2,939.4
FloatingReset 3.13 % 3.83 % 35,039 3.45 9 0.1801 % 2,795.6
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-13
Maturity Price : 23.28
Evaluated at bid price : 23.65
Bid-YTW : 4.99 %
TRP.PR.B FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-13
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.83 %
RY.PR.M FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-13
Maturity Price : 23.16
Evaluated at bid price : 24.21
Bid-YTW : 4.73 %
MFC.PR.M FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.T FloatingReset 245,692 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 2.76 %
TD.PF.B FixedReset 152,474 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-13
Maturity Price : 22.69
Evaluated at bid price : 23.19
Bid-YTW : 4.73 %
NA.PR.G FixedReset 125,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-13
Maturity Price : 23.13
Evaluated at bid price : 24.97
Bid-YTW : 4.85 %
NA.PR.C FixedReset 108,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.55 %
TRP.PR.J FixedReset 79,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.36 %
CM.PR.S FixedReset 73,015 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-13
Maturity Price : 22.81
Evaluated at bid price : 24.02
Bid-YTW : 4.74 %
There were 42 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: 19.06 – 19.45
Spot Rate : 0.3900
Average : 0.2628

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.06
Bid-YTW : 7.48 %

TD.PF.E FixedReset Quote: 24.51 – 24.85
Spot Rate : 0.3400
Average : 0.2191

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 4.80 %

HSE.PR.E FixedReset Quote: 24.86 – 25.30
Spot Rate : 0.4400
Average : 0.3205

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 4.73 %

TRP.PR.A FixedReset Quote: 20.15 – 20.49
Spot Rate : 0.3400
Average : 0.2363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-13
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.96 %

MFC.PR.K FixedReset Quote: 22.50 – 22.87
Spot Rate : 0.3700
Average : 0.2731

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.23 %

IAG.PR.I FixedReset Quote: 25.00 – 25.32
Spot Rate : 0.3200
Average : 0.2236

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.78 %

June 12, 2018

Tuesday, June 12th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6391 % 3,000.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6391 % 5,506.5
Floater 3.33 % 3.58 % 67,544 18.25 4 0.6391 % 3,173.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1836 % 3,172.1
SplitShare 4.63 % 4.69 % 79,920 5.01 5 0.1836 % 3,788.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1836 % 2,955.7
Perpetual-Premium 5.63 % -7.47 % 64,064 0.09 9 -0.0655 % 2,871.4
Perpetual-Discount 5.39 % 5.57 % 63,106 14.49 26 0.1467 % 2,950.2
FixedReset 4.32 % 4.74 % 155,929 5.67 106 0.1270 % 2,536.0
Deemed-Retractible 5.18 % 5.77 % 68,873 5.56 27 0.0456 % 2,944.3
FloatingReset 3.14 % 3.85 % 34,870 3.45 9 -0.0350 % 2,790.6
Performance Highlights
Issue Index Change Notes
NA.PR.W FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-12
Maturity Price : 22.53
Evaluated at bid price : 22.90
Bid-YTW : 4.77 %
BAM.PR.K Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-12
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 3.58 %
TRP.PR.B FixedReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-12
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 4.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.G FixedReset 125,356 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-12
Maturity Price : 23.11
Evaluated at bid price : 24.92
Bid-YTW : 4.86 %
TD.PR.T FloatingReset 100,014 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 2.71 %
RY.PR.P Perpetual-Premium 83,857 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-12
Maturity Price : 24.55
Evaluated at bid price : 24.98
Bid-YTW : 5.28 %
NA.PR.C FixedReset 64,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.51 %
RY.PR.M FixedReset 52,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-12
Maturity Price : 23.02
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
BMO.PR.B FixedReset 51,475 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : 3.59 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Quote: 19.34 – 19.71
Spot Rate : 0.3700
Average : 0.2287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-12
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.60 %

CU.PR.C FixedReset Quote: 22.44 – 22.75
Spot Rate : 0.3100
Average : 0.2083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-12
Maturity Price : 21.99
Evaluated at bid price : 22.44
Bid-YTW : 4.79 %

TRP.PR.H FloatingReset Quote: 16.66 – 17.07
Spot Rate : 0.4100
Average : 0.3100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-12
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 3.85 %

VNR.PR.A FixedReset Quote: 24.96 – 25.20
Spot Rate : 0.2400
Average : 0.1429

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-12
Maturity Price : 23.20
Evaluated at bid price : 24.96
Bid-YTW : 4.85 %

MFC.PR.F FixedReset Quote: 19.00 – 19.28
Spot Rate : 0.2800
Average : 0.1840

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.56 %

W.PR.K FixedReset Quote: 25.80 – 26.18
Spot Rate : 0.3800
Average : 0.2851

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.30 %

June 11, 2018

Monday, June 11th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.7982 % 2,981.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7982 % 5,471.6
Floater 3.36 % 3.60 % 67,055 18.20 4 0.7982 % 3,153.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1116 % 3,166.3
SplitShare 4.64 % 4.65 % 80,996 5.01 5 -0.1116 % 3,781.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1116 % 2,950.3
Perpetual-Premium 5.63 % -5.36 % 63,714 0.09 9 0.0961 % 2,873.2
Perpetual-Discount 5.40 % 5.55 % 63,723 14.52 26 0.0610 % 2,945.9
FixedReset 4.32 % 4.75 % 156,074 5.67 106 0.0004 % 2,532.8
Deemed-Retractible 5.18 % 5.82 % 68,841 5.56 27 -0.0267 % 2,942.9
FloatingReset 3.14 % 3.82 % 34,926 3.45 9 0.0651 % 2,791.6
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 7.92 %
IAG.PR.I FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.82 %
BAM.PR.C Floater 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-11
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 3.60 %
TRP.PR.G FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-11
Maturity Price : 23.04
Evaluated at bid price : 23.95
Bid-YTW : 5.12 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.G FixedReset 711,342 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-11
Maturity Price : 23.12
Evaluated at bid price : 24.94
Bid-YTW : 4.85 %
BMO.PR.S FixedReset 87,322 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-11
Maturity Price : 22.69
Evaluated at bid price : 23.24
Bid-YTW : 4.79 %
BAM.PF.D Perpetual-Discount 53,353 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-11
Maturity Price : 21.52
Evaluated at bid price : 21.80
Bid-YTW : 5.72 %
EMA.PR.H FixedReset 39,251 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-11
Maturity Price : 23.15
Evaluated at bid price : 25.00
Bid-YTW : 4.83 %
CM.PR.R FixedReset 33,645 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.42 %
TRP.PR.K FixedReset 31,019 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.41 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.D SplitShare Quote: 25.20 – 25.70
Spot Rate : 0.5000
Average : 0.3485

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.28 %

RY.PR.P Perpetual-Premium Quote: 25.12 – 25.37
Spot Rate : 0.2500
Average : 0.1609

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 5.24 %

RY.PR.M FixedReset Quote: 23.90 – 24.20
Spot Rate : 0.3000
Average : 0.2150

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-11
Maturity Price : 23.01
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %

CU.PR.I FixedReset Quote: 25.95 – 26.14
Spot Rate : 0.1900
Average : 0.1147

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 2.96 %

RY.PR.F Deemed-Retractible Quote: 25.26 – 25.49
Spot Rate : 0.2300
Average : 0.1568

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-11
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -5.42 %

TRP.PR.F FloatingReset Quote: 20.02 – 20.41
Spot Rate : 0.3900
Average : 0.3240

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-11
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.00 %

June 8, 2018

Friday, June 8th, 2018
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5432 % 2,958.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5432 % 5,428.3
Floater 3.38 % 3.64 % 68,079 18.12 4 -0.5432 % 3,128.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0080 % 3,169.9
SplitShare 4.63 % 4.64 % 79,873 5.02 5 -0.0080 % 3,785.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0080 % 2,953.6
Perpetual-Premium 5.64 % -6.54 % 64,603 0.09 9 0.0218 % 2,870.5
Perpetual-Discount 5.40 % 5.54 % 61,402 14.53 26 0.1122 % 2,944.1
FixedReset 4.32 % 4.75 % 154,432 5.67 105 -0.0271 % 2,532.8
Deemed-Retractible 5.18 % 5.78 % 68,820 5.57 27 0.1196 % 2,943.7
FloatingReset 3.14 % 3.83 % 35,487 3.46 9 -0.0100 % 2,789.8
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.20 %
MFC.PR.M FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 5.75 %
BAM.PR.N Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-08
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.74 %
PWF.PR.P FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-08
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset 82,266 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 5.75 %
PWF.PR.R Perpetual-Discount 74,619 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-08
Maturity Price : 24.54
Evaluated at bid price : 24.84
Bid-YTW : 5.60 %
TD.PF.A FixedReset 68,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-08
Maturity Price : 22.71
Evaluated at bid price : 23.15
Bid-YTW : 4.71 %
RY.PR.H FixedReset 67,283 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-08
Maturity Price : 22.91
Evaluated at bid price : 23.40
Bid-YTW : 4.67 %
RY.PR.Q FixedReset 52,347 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.39
Bid-YTW : 3.60 %
BMO.PR.S FixedReset 52,135 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-08
Maturity Price : 22.75
Evaluated at bid price : 23.30
Bid-YTW : 4.78 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 16.75 – 17.16
Spot Rate : 0.4100
Average : 0.2984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-08
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 3.65 %

PWF.PR.F Perpetual-Discount Quote: 23.87 – 24.15
Spot Rate : 0.2800
Average : 0.1861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-08
Maturity Price : 23.60
Evaluated at bid price : 23.87
Bid-YTW : 5.56 %

TRP.PR.F FloatingReset Quote: 20.00 – 20.34
Spot Rate : 0.3400
Average : 0.2516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-08
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.00 %

NA.PR.X FixedReset Quote: 26.22 – 26.45
Spot Rate : 0.2300
Average : 0.1541

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 3.97 %

BAM.PR.M Perpetual-Discount Quote: 20.88 – 21.19
Spot Rate : 0.3100
Average : 0.2375

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-08
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.80 %

W.PR.K FixedReset Quote: 25.80 – 26.18
Spot Rate : 0.3800
Average : 0.3137

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.28 %

June 7, 2018

Thursday, June 7th, 2018

So in Ontario we continue along the Pathway of Doom in today’s election. There have been a lot of complaints about the available choices – but consider this! The next government will have to try very hard to be worse than the outgoing one!

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 -0.1113 % 2,974.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1113 % 5,457.9
Floater 3.36 % 3.61 % 70,342 18.19 4 -0.1113 % 3,145.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1194 % 3,170.1
SplitShare 4.63 % 4.64 % 78,688 5.02 5 -0.1194 % 3,785.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1194 % 2,953.8
Perpetual-Premium 5.64 % -3.78 % 65,613 0.09 9 -0.0960 % 2,869.9
Perpetual-Discount 5.41 % 5.53 % 61,107 14.55 26 0.0116 % 2,940.8
FixedReset 4.31 % 4.72 % 151,955 5.68 105 -0.1034 % 2,533.5
Deemed-Retractible 5.19 % 5.78 % 69,311 5.57 27 -0.0189 % 2,940.2
FloatingReset 3.05 % 3.70 % 36,058 3.47 9 -0.0550 % 2,790.0
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 4.63 %
TRP.PR.G FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 22.88
Evaluated at bid price : 23.64
Bid-YTW : 5.19 %
TRP.PR.E FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 21.94
Evaluated at bid price : 22.51
Bid-YTW : 4.98 %
TRP.PR.C FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.00 %
MFC.PR.M FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 5.94 %
BAM.PF.C Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 21.54
Evaluated at bid price : 21.54
Bid-YTW : 5.74 %
GWO.PR.N FixedReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.36
Bid-YTW : 7.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.G FixedReset 140,862 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.68
Bid-YTW : 5.14 %
BNS.PR.R FixedReset 65,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.05 %
CM.PR.S FixedReset 62,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 22.84
Evaluated at bid price : 24.08
Bid-YTW : 4.71 %
RY.PR.R FixedReset 48,860 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.60 %
MFC.PR.M FixedReset 36,280 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 5.94 %
NA.PR.X FixedReset 36,198 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 3.97 %
There were 19 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: 16.50 – 17.25
Spot Rate : 0.7500
Average : 0.5248

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.97 %

TRP.PR.E FixedReset Quote: 22.51 – 23.20
Spot Rate : 0.6900
Average : 0.4890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 21.94
Evaluated at bid price : 22.51
Bid-YTW : 4.98 %

TRP.PR.C FixedReset Quote: 17.52 – 17.96
Spot Rate : 0.4400
Average : 0.2501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.00 %

PWF.PR.P FixedReset Quote: 19.13 – 19.61
Spot Rate : 0.4800
Average : 0.2907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 4.63 %

TRP.PR.G FixedReset Quote: 23.64 – 24.12
Spot Rate : 0.4800
Average : 0.3303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 22.88
Evaluated at bid price : 23.64
Bid-YTW : 5.19 %

BAM.PR.R FixedReset Quote: 20.45 – 20.85
Spot Rate : 0.4000
Average : 0.2599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-06-07
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.19 %