Archive for the ‘Market Action’ Category

February 23, 2017

Thursday, February 23rd, 2017

Assiduous Reader Adrian2 sends me a link to a discussion of drones in Engineering school:

Among the biggest adopters of drones, and experimenters with them, have been universities. As the director of the University of California system’s Center of Excellence on Unmanned Aircraft System Safety – effectively the drone headquarters of our whole 10-campus system – I have an excellent view of the drone industry’s past, present and future.

Some introductory engineering classes involve students building and flying drones; more advanced students learn about flight dynamics and algorithms that help drones stay aloft.

In recent years, though, our engineering departments are focusing less on building the aircraft and more on improving safety, navigation and ability to carry equipment that allows drones to help with different tasks.

For example, researchers are developing navigation systems that don’t rely on GPS satellites. This could help allow drones to navigate autonomously inside buildings, in deep canyons, underground or other places where GPS signals are unavailable or unreliable.

Another research group is working on ways for drones to help detect gas leaks from oil pipelines. With millions of miles of pipelines across the country, that is a monumental task. Attaching methane-sniffing sensors to drones could make it much easier: Autonomous drones could fly the routes of every pipeline nearly constantly, registering the location and volume of leaks, and alerting repair and cleanup crews.

For example, drones with special thermal cameras are allowing researchers to investigate water consumption rates of several varieties of crops in the Sacramento-San Joaquin Delta. The drones’ data collection is so detailed that the scholars can count individual melons, allowing much better estimates of crop yield.

For instance, when monitoring giant sequoias, a team of five to seven people would have to map the area, which would take about a week. A drone flight has been able to replace that work with a two-minute flight. That makes it easier to track how the trees are growing and responding to changes in their environment.

There will be some Assiduous Readers, of course, who hate drones and hate it when I talk about them. For you guys, I recommend Siberian Tigers.

I remember once trying to find a chart showing the federal deficit during the nineties, to buttress a point I was making on social media. I couldn’t find one … so in memory of that wasted hour, here’s a federal deficit chart from Bloomberg:

federaldeficit
Click for Big
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5611 % 2,076.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5611 % 3,809.9
Floater 3.64 % 3.87 % 55,463 17.65 4 0.5611 % 2,195.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1775 % 2,992.7
SplitShare 4.72 % 4.08 % 62,448 0.78 4 0.1775 % 3,574.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1775 % 2,788.6
Perpetual-Premium 5.41 % -6.50 % 73,431 0.09 16 0.0976 % 2,738.8
Perpetual-Discount 5.16 % 5.14 % 99,235 15.06 22 0.2480 % 2,916.6
FixedReset 4.41 % 4.02 % 231,790 6.78 97 0.1947 % 2,335.7
Deemed-Retractible 5.01 % 0.84 % 135,448 0.10 31 0.3316 % 2,856.7
FloatingReset 2.48 % 3.10 % 51,386 4.66 9 0.2886 % 2,474.9
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 21.60
Evaluated at bid price : 21.96
Bid-YTW : 3.99 %
PWF.PR.P FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 4.26 %
TRP.PR.G FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 22.62
Evaluated at bid price : 23.46
Bid-YTW : 4.24 %
TRP.PR.D FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 4.05 %
SLF.PR.D Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.63
Bid-YTW : 6.11 %
MFC.PR.N FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.37
Bid-YTW : 5.19 %
MFC.PR.B Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 5.72 %
TRP.PR.E FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 22.36
Evaluated at bid price : 22.82
Bid-YTW : 3.91 %
MFC.PR.M FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 5.30 %
TRP.PR.B FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 14.84
Evaluated at bid price : 14.84
Bid-YTW : 4.01 %
BMO.PR.S FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 22.16
Evaluated at bid price : 22.45
Bid-YTW : 3.90 %
BMO.PR.T FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 21.58
Evaluated at bid price : 21.99
Bid-YTW : 3.87 %
MFC.PR.C Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.09 %
SLF.PR.C Deemed-Retractible 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 6.16 %
TRP.PR.H FloatingReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 3.31 %
BMO.PR.Y FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 22.98
Evaluated at bid price : 24.15
Bid-YTW : 3.88 %
IFC.PR.A FixedReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.03 %
TRP.PR.C FixedReset 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.I FixedReset 182,362 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.11 %
BNS.PR.G FixedReset 153,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.99
Bid-YTW : 3.66 %
MFC.PR.R FixedReset 150,510 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.27 %
BAM.PR.T FixedReset 143,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 4.46 %
TRP.PR.K FixedReset 106,005 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.23 %
MFC.PR.H FixedReset 85,278 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.98
Bid-YTW : 4.85 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Quote: 15.42 – 15.75
Spot Rate : 0.3300
Average : 0.1966

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.42
Bid-YTW : 9.23 %

CU.PR.C FixedReset Quote: 21.96 – 22.32
Spot Rate : 0.3600
Average : 0.2350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 21.60
Evaluated at bid price : 21.96
Bid-YTW : 3.99 %

PWF.PR.P FixedReset Quote: 15.56 – 15.84
Spot Rate : 0.2800
Average : 0.1730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 4.26 %

RY.PR.Z FixedReset Quote: 21.94 – 22.24
Spot Rate : 0.3000
Average : 0.1999

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 21.55
Evaluated at bid price : 21.94
Bid-YTW : 3.86 %

SLF.PR.I FixedReset Quote: 23.60 – 23.88
Spot Rate : 0.2800
Average : 0.1898

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 4.78 %

TD.PF.E FixedReset Quote: 24.39 – 24.59
Spot Rate : 0.2000
Average : 0.1254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 23.06
Evaluated at bid price : 24.39
Bid-YTW : 3.96 %

February 22, 2017

Thursday, February 23rd, 2017

Here’s a switch! Pricing went nuts on some sub-debt because it was called on its pretend-maturity!

Goldman Sachs Group Inc. handed a surprise gift to bondholders in Canada this week by redeeming debt sooner than investors had expected, and some money managers are betting that other banks will follow its lead.

The New York-based bank said Tuesday that it was redeeming all of its C$500 million ($380 million) in subordinated notes maturing in April 2022 for a price equal to principal plus accrued interest. The bonds jumped by about 1.76 cents to as much as 100.376 cents on the news. The move was unexpected after JPMorgan Chase & Co. opted not to call similar bonds last year, said Mark Carpani, a portfolio manager at Ridgewood Capital Asset Management.

goldmansubdebtcall
Click for Big
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.7211 % 2,064.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7211 % 3,788.6
Floater 3.66 % 3.89 % 55,943 17.60 4 0.7211 % 2,183.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0197 % 2,987.4
SplitShare 4.73 % 4.12 % 61,290 0.78 4 0.0197 % 3,567.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0197 % 2,783.6
Perpetual-Premium 5.42 % -4.40 % 74,333 0.09 16 -0.0829 % 2,736.1
Perpetual-Discount 5.17 % 5.16 % 100,195 15.03 22 0.0821 % 2,909.3
FixedReset 4.42 % 4.04 % 234,953 6.78 97 0.4163 % 2,331.2
Deemed-Retractible 5.02 % 1.65 % 132,763 0.11 31 0.1067 % 2,847.2
FloatingReset 2.49 % 3.17 % 53,287 4.66 9 -0.1867 % 2,467.8
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.77
Evaluated at bid price : 23.71
Bid-YTW : 3.97 %
NA.PR.S FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.34
Evaluated at bid price : 22.70
Bid-YTW : 3.93 %
BMO.PR.T FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.93 %
CU.PR.I FixedReset 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 27.21
Bid-YTW : 2.04 %
BIP.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.54
Evaluated at bid price : 23.25
Bid-YTW : 5.02 %
BAM.PF.E FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.41
Evaluated at bid price : 22.97
Bid-YTW : 4.13 %
TD.PF.B FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 3.94 %
TD.PF.C FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 21.35
Evaluated at bid price : 21.66
Bid-YTW : 3.95 %
RY.PR.J FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.64
Evaluated at bid price : 23.40
Bid-YTW : 4.03 %
TRP.PR.B FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 4.06 %
BMO.PR.W FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 21.36
Evaluated at bid price : 21.67
Bid-YTW : 3.91 %
BAM.PF.B FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.32
Evaluated at bid price : 22.61
Bid-YTW : 4.23 %
MFC.PR.F FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.40
Bid-YTW : 9.24 %
TRP.PR.C FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.09 %
RY.PR.Z FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 21.50
Evaluated at bid price : 21.87
Bid-YTW : 3.87 %
TRP.PR.E FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.18
Evaluated at bid price : 22.55
Bid-YTW : 3.96 %
TRP.PR.G FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.75
Evaluated at bid price : 23.73
Bid-YTW : 4.18 %
FTS.PR.M FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.21
Evaluated at bid price : 22.60
Bid-YTW : 4.04 %
CM.PR.O FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 21.99
Evaluated at bid price : 22.25
Bid-YTW : 3.94 %
CM.PR.P FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.92 %
RY.PR.H FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 21.54
Evaluated at bid price : 21.93
Bid-YTW : 3.91 %
MFC.PR.J FixedReset 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 4.90 %
SLF.PR.H FixedReset 2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 6.35 %
HSE.PR.A FixedReset 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.31 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 218,891 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.23 %
MFC.PR.R FixedReset 102,898 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.22 %
HSE.PR.G FixedReset 100,256 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 23.06
Evaluated at bid price : 24.30
Bid-YTW : 4.75 %
BAM.PF.I FixedReset 85,092 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.38 %
BAM.PF.H FixedReset 83,940 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.65 %
BAM.PF.A FixedReset 66,673 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 23.43
Evaluated at bid price : 23.83
Bid-YTW : 4.28 %
There were 72 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: 15.54 – 16.95
Spot Rate : 1.4100
Average : 0.8647

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.54
Bid-YTW : 9.18 %

FTS.PR.M FixedReset Quote: 22.60 – 23.05
Spot Rate : 0.4500
Average : 0.2754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.21
Evaluated at bid price : 22.60
Bid-YTW : 4.04 %

MFC.PR.M FixedReset Quote: 22.03 – 22.50
Spot Rate : 0.4700
Average : 0.3160

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.03
Bid-YTW : 5.48 %

IFC.PR.C FixedReset Quote: 21.70 – 22.14
Spot Rate : 0.4400
Average : 0.2875

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.69 %

BMO.PR.Y FixedReset Quote: 23.71 – 24.19
Spot Rate : 0.4800
Average : 0.3372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-22
Maturity Price : 22.77
Evaluated at bid price : 23.71
Bid-YTW : 3.97 %

PWF.PR.E Perpetual-Premium Quote: 25.32 – 25.68
Spot Rate : 0.3600
Average : 0.2188

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : -6.08 %

February 21, 2017

Tuesday, February 21st, 2017

You know, if Trump can put a dent in supply management, I’ll forgive him one of his lies:

While growers and exporters of U.S. crops and food products have expressed anxiety over Trump’s restrictive immigration policies and determination to renegotiate trade deals, dairies see him as an opportunity to crack what they see as Canada’s protectionist milk practices and to help ease oversupply in some regions.

A key battleground is the little known market for ultrafiltered milk, a concentrated ingredient used to boost protein content in cheese and yogurt. Canada is creating incentives for processors to buy from domestic manufacturers. U.S. producers say that could be a disaster, and they allege the new policy would violate trade agreements. Companies in Wisconsin and New York alone might lose $150 million in sales north of the border.

The Globe republished a housing affordability index from Fitch:

houseaffordability_170221
Click for Big

I have problems with this kind of graph: it looks at the income per capita for the whole population, instead of just the upper two-thirds who have historically been the owners among us. While I am sure that Price to Income ratio will still increase once the “income” is defined according to the upper two thirds, I am also sure – given rising income inequality – that the increase will be less dramatic.

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 0.4699 % 2,049.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4699 % 3,761.5
Floater 3.68 % 3.91 % 55,639 17.56 4 0.4699 % 2,167.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0888 % 2,986.8
SplitShare 4.73 % 4.12 % 59,314 0.78 4 0.0888 % 3,566.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0888 % 2,783.1
Perpetual-Premium 5.41 % -9.13 % 74,238 0.09 16 0.1856 % 2,738.4
Perpetual-Discount 5.17 % 5.16 % 101,171 15.02 22 -0.0191 % 2,907.0
FixedReset 4.44 % 4.10 % 232,062 6.79 97 0.8960 % 2,321.5
Deemed-Retractible 5.03 % 3.49 % 125,871 0.11 31 0.0040 % 2,844.2
FloatingReset 2.48 % 3.17 % 53,338 4.66 9 0.4987 % 2,472.4
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 4.85 %
TD.PF.D FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.64
Evaluated at bid price : 23.44
Bid-YTW : 4.08 %
PWF.PR.T FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.52
Evaluated at bid price : 22.85
Bid-YTW : 3.89 %
BMO.PR.S FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.61
Evaluated at bid price : 22.03
Bid-YTW : 3.96 %
SLF.PR.I FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.48
Bid-YTW : 4.70 %
IFC.PR.C FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.69 %
BMO.PR.Y FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.90
Evaluated at bid price : 23.98
Bid-YTW : 3.92 %
BAM.PF.E FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.25
Evaluated at bid price : 22.72
Bid-YTW : 4.18 %
NA.PR.W FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.97 %
BAM.PF.F FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 23.03
Evaluated at bid price : 23.98
Bid-YTW : 4.21 %
BAM.PF.B FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.08
Evaluated at bid price : 22.32
Bid-YTW : 4.29 %
RY.PR.J FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.49
Evaluated at bid price : 23.13
Bid-YTW : 4.09 %
BAM.PF.A FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 23.39
Evaluated at bid price : 23.79
Bid-YTW : 4.29 %
FTS.PR.H FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.04 %
BAM.PR.R FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.33 %
MFC.PR.F FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.20
Bid-YTW : 9.43 %
HSE.PR.A FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 4.43 %
PWF.PR.P FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 4.24 %
FTS.PR.K FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 4.05 %
TRP.PR.B FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 4.11 %
RY.PR.H FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 3.98 %
BAM.PR.Z FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.17
Evaluated at bid price : 22.88
Bid-YTW : 4.50 %
BAM.PR.X FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 4.55 %
NA.PR.S FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.18
Evaluated at bid price : 22.47
Bid-YTW : 3.98 %
TRP.PR.D FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.11 %
CM.PR.P FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 4.02 %
TD.PF.C FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 4.02 %
BMO.PR.W FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.99 %
MFC.PR.N FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.97
Bid-YTW : 5.45 %
MFC.PR.M FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 5.53 %
GWO.PR.N FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.49
Bid-YTW : 9.22 %
MFC.PR.K FixedReset 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 5.81 %
RY.PR.M FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.41
Evaluated at bid price : 23.09
Bid-YTW : 3.98 %
FTS.PR.M FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.97
Evaluated at bid price : 22.27
Bid-YTW : 4.10 %
CM.PR.Q FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.76
Evaluated at bid price : 23.68
Bid-YTW : 4.03 %
CU.PR.I FixedReset 1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.92
Bid-YTW : 2.34 %
BMO.PR.T FixedReset 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 4.00 %
TRP.PR.A FixedReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 4.18 %
MFC.PR.L FixedReset 1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 5.85 %
TD.PF.A FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 3.94 %
TRP.PR.E FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.97
Evaluated at bid price : 22.25
Bid-YTW : 4.02 %
FTS.PR.G FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 4.01 %
CM.PR.O FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 3.99 %
RY.PR.Z FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.29
Evaluated at bid price : 21.58
Bid-YTW : 3.93 %
TD.PF.B FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.28
Evaluated at bid price : 21.57
Bid-YTW : 3.99 %
BAM.PR.T FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.49 %
CU.PR.C FixedReset 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.91
Evaluated at bid price : 22.42
Bid-YTW : 3.89 %
IFC.PR.A FixedReset 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.66
Bid-YTW : 7.38 %
TRP.PR.C FixedReset 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 4.15 %
TRP.PR.F FloatingReset 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 204,856 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.14 %
BIP.PR.C FixedReset 160,845 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 4.86 %
RY.PR.Q FixedReset 154,949 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.67 %
BNS.PR.E FixedReset 116,083 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.88
Bid-YTW : 3.66 %
BNS.PR.H FixedReset 111,545 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.00 %
BMO.PR.R FloatingReset 83,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 3.07 %
There were 73 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 23.39 – 23.77
Spot Rate : 0.3800
Average : 0.2435

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.58
Evaluated at bid price : 23.39
Bid-YTW : 4.25 %

TRP.PR.H FloatingReset Quote: 13.30 – 13.66
Spot Rate : 0.3600
Average : 0.2311

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.34 %

GWO.PR.N FixedReset Quote: 15.49 – 15.86
Spot Rate : 0.3700
Average : 0.2668

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.49
Bid-YTW : 9.22 %

BAM.PF.G FixedReset Quote: 24.33 – 24.60
Spot Rate : 0.2700
Average : 0.1849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 23.07
Evaluated at bid price : 24.33
Bid-YTW : 4.13 %

BNS.PR.D FloatingReset Quote: 21.49 – 21.76
Spot Rate : 0.2700
Average : 0.1943

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.49
Bid-YTW : 4.65 %

BMO.PR.Y FixedReset Quote: 23.98 – 24.23
Spot Rate : 0.2500
Average : 0.1806

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.90
Evaluated at bid price : 23.98
Bid-YTW : 3.92 %

February 16, 2017

Thursday, February 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 0.00 % 0.00 % 0 0.00 0 0.0795 % 2,012.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0795 % 3,691.9
Floater 3.75 % 3.94 % 50,062 17.49 4 0.0795 % 2,127.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1077 % 2,970.8
SplitShare 4.70 % 4.51 % 56,853 4.13 4 -0.1077 % 3,547.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1077 % 2,768.1
Perpetual-Premium 5.42 % -3.21 % 73,220 0.09 16 0.1247 % 2,733.1
Perpetual-Discount 5.16 % 5.16 % 103,752 15.06 22 0.0305 % 2,912.8
FixedReset 4.48 % 4.14 % 228,690 6.72 97 0.0278 % 2,296.8
Deemed-Retractible 5.02 % 0.46 % 128,088 0.12 31 0.2560 % 2,844.0
FloatingReset 2.49 % 3.22 % 48,030 4.67 9 0.1130 % 2,453.3
Performance Highlights
Issue Index Change Notes
GWO.PR.P Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.25
Evaluated at bid price : 25.83
Bid-YTW : 4.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.I FixedReset 364,210 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 5.33 %
MFC.PR.H FixedReset 200,896 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.04
Bid-YTW : 4.95 %
TD.PF.C FixedReset 144,747 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 4.08 %
BAM.PR.T FixedReset 109,586 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 4.54 %
RY.PR.H FixedReset 86,824 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.04 %
MFC.PR.R FixedReset 72,799 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.42 %
There were 33 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: 26.21 – 26.99
Spot Rate : 0.7800
Average : 0.5076

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 4.77 %

TRP.PR.E FixedReset Quote: 21.65 – 22.02
Spot Rate : 0.3700
Average : 0.2314

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.11 %

TRP.PR.D FixedReset Quote: 21.00 – 21.40
Spot Rate : 0.4000
Average : 0.2690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.24 %

PWF.PR.A Floater Quote: 14.14 – 14.60
Spot Rate : 0.4600
Average : 0.3431

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 3.36 %

SLF.PR.J FloatingReset Quote: 15.17 – 15.45
Spot Rate : 0.2800
Average : 0.1782

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.17
Bid-YTW : 8.94 %

BAM.PR.R FixedReset Quote: 19.05 – 19.34
Spot Rate : 0.2900
Average : 0.2151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-16
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.39 %

February 15, 2017

Thursday, February 16th, 2017

There’s a great piece in the WSJ about the practical effects of the fiduciary rule:

Judith Friedlander, an 80-year-old retiree from Murrieta, Calif., doesn’t appreciate the government trying to regulate how she manages her roughly $400,000 individual retirement account.

After the Labor Department last year approved the fiduciary rule, which generally requires advice on retirement assets to be conflict-free, Ms. Friedlander says her financial adviser suggested she transition from a commission-based account of the sort that could run afoul of the rule into a fee-only account.

But Ms. Friedlander isn’t interested in a switch. She trades only a few times a year and says moving to a fee-only account that charges a percentage of her assets would be far pricier than the periodic commissions she currently pays. “I don’t see any advantage to the regulation for someone like me,” says Ms Friedlander, who adds that she hasn’t decided what to do.

As brokerage firms over the past several months have announced their compliance plans, some approaches have put new limits on IRA investors. Bank of America Corp.’s Merrill Lynch, for example, has said it will no longer offer individual retirement accounts that charge commissions, and will instead favor charging retirement savers a fee based on a percentage of their assets. J.P. Morgan Chase is taking a similar tack, offering brokerage retirement clients only a fee-based IRA.

Of course, fee-based accounts in a sell-side brokerage is a whole nuther can of worms. New issue commissions, proxy solicitation fees … the potential for conflict is endless. I continue to advocate that buy-side and sell-side be strictly separated, with the former charging account fees and the latter charging commissions; that anybody on the buy-side be required to publish a performance history from inception that is subject to audit and in which any defined groups be strictly mapped onto the fiduciary’s contemporary KYC form; and that only one ‘side’ can be owned by a single entity (e.g., brokerages and advisory firms can’t have a common owner).

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 0.1991 % 2,010.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1991 % 3,688.9
Floater 3.76 % 3.94 % 48,490 17.51 4 0.1991 % 2,125.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0490 % 2,974.0
SplitShare 4.70 % 4.17 % 57,396 0.79 4 0.0490 % 3,551.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0490 % 2,771.1
Perpetual-Premium 5.43 % -3.39 % 70,487 0.09 16 -0.0196 % 2,729.7
Perpetual-Discount 5.17 % 5.17 % 102,773 15.07 22 -0.1161 % 2,911.9
FixedReset 4.48 % 4.13 % 229,690 6.72 97 0.3169 % 2,296.2
Deemed-Retractible 5.04 % 0.45 % 128,795 0.12 31 -0.0633 % 2,836.8
FloatingReset 2.49 % 3.22 % 49,177 4.68 9 0.0431 % 2,450.5
Performance Highlights
Issue Index Change Notes
FTS.PR.J Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 5.17 %
SLF.PR.J FloatingReset -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 8.96 %
TRP.PR.A FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 4.27 %
BNS.PR.P FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.32 %
VNR.PR.A FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 4.62 %
BAM.PR.R FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.35 %
PWF.PR.T FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 22.22
Evaluated at bid price : 22.52
Bid-YTW : 3.93 %
TRP.PR.D FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.20 %
BAM.PF.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 22.93
Evaluated at bid price : 23.33
Bid-YTW : 4.35 %
FTS.PR.H FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 4.08 %
BAM.PR.T FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.51 %
GWO.PR.N FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 9.42 %
CU.PR.C FixedReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 21.69
Evaluated at bid price : 22.09
Bid-YTW : 3.93 %
TRP.PR.F FloatingReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 3.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 236,521 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.41 %
BMO.PR.S FixedReset 120,938 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 4.00 %
MFC.PR.H FixedReset 105,781 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.94 %
BNS.PR.Z FixedReset 90,405 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.32
Bid-YTW : 4.61 %
TRP.PR.K FixedReset 86,235 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.38 %
IAG.PR.G FixedReset 79,902 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 5.21 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.J Perpetual-Discount Quote: 22.95 – 23.30
Spot Rate : 0.3500
Average : 0.2319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 5.17 %

GWO.PR.P Deemed-Retractible Quote: 25.51 – 25.80
Spot Rate : 0.2900
Average : 0.2024

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 5.22 %

FTS.PR.F Perpetual-Discount Quote: 23.65 – 23.90
Spot Rate : 0.2500
Average : 0.1772

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.18 %

CU.PR.I FixedReset Quote: 26.36 – 26.67
Spot Rate : 0.3100
Average : 0.2461

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 2.94 %

NA.PR.W FixedReset Quote: 21.04 – 21.22
Spot Rate : 0.1800
Average : 0.1162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-15
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 4.09 %

TD.PR.Z FloatingReset Quote: 23.64 – 23.88
Spot Rate : 0.2400
Average : 0.1815

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.64
Bid-YTW : 3.28 %

February 14, 2017

Wednesday, February 15th, 2017

Wow. Toshiba might be going down:

The chaos at Toshiba, the Japanese corporate giant, deepened Tuesday, with its chairman resigning and the company saying it would book a $6.3 billion loss related to its U.S. nuclear business.

Then, after the stock market had closed, Toshiba said that it would take a $6.3 billion hit related to Westinghouse’s acquisition in December of Stone & Webster, a nuclear construction business, from Chicago Bridge & Iron in December.

Analysts are now speculating about the possibility that Toshiba, which employs almost 200,000 people in Japan and has significant investments in the United States, will have to file for bankruptcy.

Toshiba, which bought a majority stake in Pennsylvania-based nuclear power company Westinghouse in 2006, earlier said that it had received internal information late last month about irregularities during the acquisition. It had learned that controls at Westinghouse had been “insufficient” and that the company had used “inappropriate pressure” to make the acquisition.

“We concluded on Monday afternoon that we need further research on the internal reporting . . . and its impact on financial results,” the company said in a statement, adding that its lawyers and an independent auditing firm were still poring over the details.

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 0.3798 % 2,006.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3798 % 3,681.6
Floater 3.76 % 3.95 % 48,314 17.49 4 0.3798 % 2,121.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0588 % 2,972.6
SplitShare 4.70 % 4.17 % 58,127 0.79 4 0.0588 % 3,549.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0588 % 2,769.7
Perpetual-Premium 5.43 % -1.72 % 70,961 0.09 16 0.0489 % 2,730.3
Perpetual-Discount 5.16 % 5.14 % 104,046 15.08 22 -0.0146 % 2,915.3
FixedReset 4.50 % 4.16 % 216,553 6.73 97 -0.2478 % 2,288.9
Deemed-Retractible 5.03 % 0.45 % 133,450 0.13 31 -0.1015 % 2,838.6
FloatingReset 2.49 % 3.20 % 45,810 4.68 9 -0.0054 % 2,449.4
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 21.88
Evaluated at bid price : 22.19
Bid-YTW : 4.28 %
GWO.PR.N FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.04
Bid-YTW : 9.62 %
BAM.PR.R FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.40 %
BAM.PF.A FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 22.66
Evaluated at bid price : 23.05
Bid-YTW : 4.41 %
BAM.PF.F FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 22.78
Evaluated at bid price : 23.51
Bid-YTW : 4.29 %
RY.PR.M FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 22.13
Evaluated at bid price : 22.63
Bid-YTW : 4.05 %
HSE.PR.A FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 4.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.C FixedReset 102,439 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.44
Bid-YTW : 5.85 %
IFC.PR.A FixedReset 81,454 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.18
Bid-YTW : 7.73 %
RY.PR.W Perpetual-Discount 75,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-16
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.29 %
IAG.PR.G FixedReset 74,139 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.97
Bid-YTW : 5.32 %
BIP.PR.D FixedReset 52,691 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 23.18
Evaluated at bid price : 25.09
Bid-YTW : 4.92 %
BAM.PF.B FixedReset 49,340 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 4.37 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 13.12 – 13.45
Spot Rate : 0.3300
Average : 0.2492

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 13.12
Evaluated at bid price : 13.12
Bid-YTW : 3.36 %

RY.PR.P Perpetual-Premium Quote: 25.61 – 25.85
Spot Rate : 0.2400
Average : 0.1642

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.89 %

HSE.PR.C FixedReset Quote: 22.95 – 23.17
Spot Rate : 0.2200
Average : 0.1447

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 22.42
Evaluated at bid price : 22.95
Bid-YTW : 4.67 %

TRP.PR.F FloatingReset Quote: 16.71 – 17.05
Spot Rate : 0.3400
Average : 0.2669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-14
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 3.61 %

W.PR.K FixedReset Quote: 25.80 – 26.05
Spot Rate : 0.2500
Average : 0.1784

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.50 %

PVS.PR.E SplitShare Quote: 26.30 – 26.54
Spot Rate : 0.2400
Average : 0.1749

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-16
Maturity Price : 26.00
Evaluated at bid price : 26.30
Bid-YTW : 3.63 %

February 13, 2017

Tuesday, February 14th, 2017

Preferred shares? There’s drone news to report!

Dubai has tested a Chinese prototype of a self-driving hover-taxi, its transport authority said on Monday, with the aim of introducing the aerial vehicle in the emirate by July.

The test of the one-man electric vehicle comes as the city state in the United Arab Emirates seeks to ensure a quarter of its means of transport are self-driving by 2030.

The EHang 184 can travel on a programmed course at 100 kilometres an hour (60 mph) at an altitude of 300 metres (1,000 feet), the authority said in a statement. The new version has an endurance of about 30 minute flying time. This is about 30 mile range. The drones can handle a flier and a small bag weighing up to a combined total of 220 pounds.

A passenger simply needs to select a destination for the autonomous taxi to take off, fly the route and touch down in the chosen spot monitored by a ground control center, it said.

The EHang 184 is very similar to a multicopter UAV with an X8 configuration.

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 0.0800 % 1,998.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0800 % 3,667.7
Floater 3.78 % 3.97 % 47,430 17.45 4 0.0800 % 2,113.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0196 % 2,970.8
SplitShare 4.70 % 4.53 % 54,030 4.14 4 0.0196 % 3,547.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0196 % 2,768.1
Perpetual-Premium 5.43 % -1.91 % 75,103 0.09 16 0.0612 % 2,728.9
Perpetual-Discount 5.15 % 5.17 % 103,808 15.09 22 0.0914 % 2,915.7
FixedReset 4.48 % 4.14 % 216,888 6.73 97 0.2235 % 2,294.6
Deemed-Retractible 5.03 % 0.24 % 135,057 0.13 31 -0.0277 % 2,841.4
FloatingReset 2.49 % 3.24 % 47,269 4.68 9 0.1618 % 2,449.6
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 4.27 %
CU.PR.C FixedReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 21.51
Evaluated at bid price : 21.84
Bid-YTW : 3.98 %
TRP.PR.H FloatingReset 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 3.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.K Floater 170,890 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 12.02
Evaluated at bid price : 12.02
Bid-YTW : 3.97 %
TD.PF.H FixedReset 159,626 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 4.11 %
SLF.PR.D Deemed-Retractible 74,764 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.35 %
MFC.PR.B Deemed-Retractible 64,724 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 5.87 %
IAG.PR.G FixedReset 57,393 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.37 %
TRP.PR.K FixedReset 56,636 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.23 %
There were 30 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: 15.26 – 15.79
Spot Rate : 0.5300
Average : 0.3531

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.26
Bid-YTW : 9.41 %

CCS.PR.C Deemed-Retractible Quote: 23.80 – 24.24
Spot Rate : 0.4400
Average : 0.3299

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.90 %

TRP.PR.F FloatingReset Quote: 16.74 – 17.00
Spot Rate : 0.2600
Average : 0.1869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 3.60 %

BMO.PR.Z Perpetual-Premium Quote: 25.40 – 25.60
Spot Rate : 0.2000
Average : 0.1288

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.75 %

BNS.PR.D FloatingReset Quote: 21.35 – 21.55
Spot Rate : 0.2000
Average : 0.1330

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 4.76 %

BIP.PR.A FixedReset Quote: 23.15 – 23.35
Spot Rate : 0.2000
Average : 0.1356

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-13
Maturity Price : 22.49
Evaluated at bid price : 23.15
Bid-YTW : 5.02 %

February 10, 2017

Friday, February 10th, 2017

McJobs, McJobs, McJobs!

Data released Friday show a labor market that’s finally beginning to create new jobs, while at the same time offering little evidence that’s translating into higher incomes for workers as wage growth and hours worked slump.

Still, wage data showed underlying weakness that may complicate matters for Bank of Canada policy makers. Average hourly wages for permanent employees increased 1 percent in January from a year earlier, the slowest pace of growth since at least 2003. Hours worked also fell 0.8 percent from a year earlier.

Most of the gains came from two categories — a 20,500 increase in finance, insurance, real estate and leasing and another 16,400 in business, building and other support services — and for men aged 25 to 54, with the increase of about 30,000 the largest in more than two years.

It was split between 32,400 part-time positions and 15,800 full-time jobs.

There’s a fascinating story about Nav Sarao, the Flash Crash scapegoat, that shows once again that trading and investment management are two completely different things:

After four months of dead ends, his legal team struck a deal with the authorities: If the U.S. Justice Department and the Commodity Futures Trading Commission agreed not to oppose a reduction in bail to 50,000 pounds, the firm would act as a bounty hunter, taking on responsibility for tracking down the missing millions on the condition that its fees be paid if it did.

They were going down a rabbit hole. A review of Sarao’s investments from 2005 to the present day, based on dozens of interviews and thousands of pages of documents, reveals another twist in an already remarkable story. Navinder Sarao, the trading savant accused of sabotaging the world’s financial markets from his bedroom, may himself have been the naïve victim of what his lawyers portray as a series of cons that stripped him of almost every cent he earned.

Sarao declined to comment for this article. His lawyer, Roger Burlingame of Kobre & Kim in London, told a U.S. judge in November that all of the defendant’s assets “have been stolen.” Sarao invested in ventures from which he, the law firm and the CFTC had been unable to recover the funds, Burlingame said. “Basically, he has some extraordinary abilities with respect to pattern recognition and certain sorts of mathematical abilities, but he has some fairly severe social limitations.”

The story also illustrates the regulatory penchant for going after the easy marks for trivial infringements of arbitrary rules while ignoring the real crooks in the industry.

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 0.1603 % 1,997.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1603 % 3,664.7
Floater 3.78 % 3.96 % 47,260 17.47 4 0.1603 % 2,112.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1079 % 2,970.2
SplitShare 4.70 % 4.51 % 56,174 4.15 4 0.1079 % 3,547.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1079 % 2,767.6
Perpetual-Premium 5.44 % -1.70 % 77,668 0.09 16 0.0245 % 2,727.3
Perpetual-Discount 5.16 % 5.18 % 107,437 15.10 22 0.2978 % 2,913.1
FixedReset 4.49 % 4.16 % 223,928 6.74 97 -0.1447 % 2,289.5
Deemed-Retractible 5.03 % 0.13 % 131,640 0.14 31 0.1980 % 2,842.2
FloatingReset 2.50 % 3.16 % 47,455 4.69 9 0.1837 % 2,445.6
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 5.84 %
TRP.PR.E FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 4.18 %
PWF.PR.P FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 4.24 %
CU.PR.I FixedReset -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 2.99 %
BNS.PR.Z FixedReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 4.72 %
SLF.PR.D Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.29
Bid-YTW : 6.32 %
CU.PR.C FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.07 %
MFC.PR.O FixedReset 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 27.08
Bid-YTW : 3.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.F FixedReset 46,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 22.81
Evaluated at bid price : 23.56
Bid-YTW : 4.27 %
TRP.PR.K FixedReset 36,821 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.24 %
RY.PR.J FixedReset 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 22.35
Evaluated at bid price : 22.91
Bid-YTW : 4.11 %
RY.PR.Z FixedReset 35,585 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 4.02 %
BIP.PR.D FixedReset 34,166 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 23.20
Evaluated at bid price : 25.13
Bid-YTW : 4.90 %
TRP.PR.E FixedReset 32,587 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 4.18 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 21.00 – 21.50
Spot Rate : 0.5000
Average : 0.3742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.71 %

IFC.PR.C FixedReset Quote: 21.43 – 21.75
Spot Rate : 0.3200
Average : 0.1989

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 5.84 %

HSE.PR.A FixedReset Quote: 14.94 – 15.35
Spot Rate : 0.4100
Average : 0.2983

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 14.94
Evaluated at bid price : 14.94
Bid-YTW : 4.62 %

BAM.PR.T FixedReset Quote: 18.80 – 19.10
Spot Rate : 0.3000
Average : 0.2005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.58 %

CU.PR.I FixedReset Quote: 26.30 – 26.67
Spot Rate : 0.3700
Average : 0.2763

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 2.99 %

CU.PR.C FixedReset Quote: 21.51 – 22.00
Spot Rate : 0.4900
Average : 0.4030

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-10
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.07 %

February 9, 2017

Thursday, February 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 0.00 % 0.00 % 0 0.00 0 0.5844 % 1,994.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5844 % 3,658.9
Floater 3.79 % 3.96 % 47,497 17.47 4 0.5844 % 2,108.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1861 % 2,967.0
SplitShare 4.71 % 4.65 % 58,272 4.15 4 -0.1861 % 3,543.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1861 % 2,764.6
Perpetual-Premium 5.44 % -2.20 % 80,135 0.09 16 0.1078 % 2,726.6
Perpetual-Discount 5.17 % 5.21 % 104,418 15.04 22 0.0974 % 2,904.4
FixedReset 4.49 % 4.12 % 226,318 6.74 97 0.0804 % 2,292.8
Deemed-Retractible 5.04 % -0.52 % 132,112 0.14 31 0.1719 % 2,836.6
FloatingReset 2.48 % 3.16 % 47,016 4.70 9 0.1895 % 2,441.1
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 4.63 %
MFC.PR.F FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 9.60 %
TRP.PR.D FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 4.24 %
BAM.PR.K Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 12.04
Evaluated at bid price : 12.04
Bid-YTW : 3.96 %
BNS.PR.D FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 4.73 %
CU.PR.I FixedReset 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.66 %
PWF.PR.T FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 21.76
Evaluated at bid price : 22.25
Bid-YTW : 3.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 214,856 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.07 %
IAG.PR.G FixedReset 97,106 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 5.21 %
GWO.PR.S Deemed-Retractible 86,478 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.96 %
BNS.PR.H FixedReset 56,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.98 %
TRP.PR.G FixedReset 51,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 22.21
Evaluated at bid price : 22.75
Bid-YTW : 4.36 %
BIP.PR.D FixedReset 43,891 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 23.20
Evaluated at bid price : 25.13
Bid-YTW : 4.90 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 22.75 – 23.20
Spot Rate : 0.4500
Average : 0.2932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 22.21
Evaluated at bid price : 22.75
Bid-YTW : 4.36 %

BAM.PF.D Perpetual-Discount Quote: 23.31 – 23.57
Spot Rate : 0.2600
Average : 0.1715

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 22.94
Evaluated at bid price : 23.31
Bid-YTW : 5.31 %

MFC.PR.F FixedReset Quote: 15.10 – 15.37
Spot Rate : 0.2700
Average : 0.1888

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 9.60 %

VNR.PR.A FixedReset Quote: 20.89 – 21.20
Spot Rate : 0.3100
Average : 0.2362

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 4.72 %

CU.PR.C FixedReset Quote: 21.27 – 21.65
Spot Rate : 0.3800
Average : 0.3077

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 4.10 %

BAM.PF.F FixedReset Quote: 23.75 – 23.94
Spot Rate : 0.1900
Average : 0.1186

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-09
Maturity Price : 22.91
Evaluated at bid price : 23.75
Bid-YTW : 4.22 %

February 8, 2017

Wednesday, February 8th, 2017

PerpetualDiscounts now yield 5.22%, equivalent to 6.79% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.0%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 280bp, a significant widening from the 270bp reported January 25.

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 -0.7600 % 1,982.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7600 % 3,637.6
Floater 3.81 % 3.97 % 46,934 17.45 4 -0.7600 % 2,096.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.3045 % 2,972.6
SplitShare 4.70 % 4.48 % 58,241 4.15 4 0.3045 % 3,549.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3045 % 2,769.7
Perpetual-Premium 5.44 % -2.39 % 75,050 0.09 16 0.1743 % 2,723.6
Perpetual-Discount 5.18 % 5.22 % 92,935 15.04 22 0.3143 % 2,901.6
FixedReset 4.49 % 4.13 % 228,123 6.74 97 -0.1409 % 2,291.0
Deemed-Retractible 5.05 % 0.41 % 131,833 0.14 31 0.1761 % 2,831.7
FloatingReset 2.48 % 3.14 % 48,934 4.70 9 -0.7469 % 2,436.5
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 12.59
Evaluated at bid price : 12.59
Bid-YTW : 3.46 %
TRP.PR.F FloatingReset -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 3.63 %
BAM.PR.C Floater -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.01 %
BAM.PR.K Floater -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 4.00 %
BAM.PR.B Floater -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 3.97 %
BAM.PR.R FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 4.37 %
FTS.PR.K FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 4.15 %
TRP.PR.C FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.18 %
BNS.PR.D FloatingReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.11
Bid-YTW : 4.97 %
FTS.PR.G FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 4.13 %
BAM.PR.N Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 22.76
Evaluated at bid price : 23.04
Bid-YTW : 5.21 %
PWF.PR.A Floater 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 3.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.B FloatingReset 108,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.78
Bid-YTW : 3.14 %
TD.PF.C FixedReset 101,102 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 4.09 %
TD.PF.A FixedReset 98,932 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 4.03 %
TD.PR.T FloatingReset 75,824 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 2.95 %
TD.PR.Z FloatingReset 51,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 3.08 %
BMO.PR.R FloatingReset 50,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 3.20 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.O FixedReset Quote: 26.77 – 27.04
Spot Rate : 0.2700
Average : 0.1857

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 4.04 %

PWF.PR.T FixedReset Quote: 21.96 – 22.34
Spot Rate : 0.3800
Average : 0.3198

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 21.57
Evaluated at bid price : 21.96
Bid-YTW : 4.00 %

PVS.PR.E SplitShare Quote: 26.19 – 26.39
Spot Rate : 0.2000
Average : 0.1441

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 4.77 %

HSB.PR.C Deemed-Retractible Quote: 25.31 – 25.48
Spot Rate : 0.1700
Average : 0.1178

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-10
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : -3.30 %

TRP.PR.A FixedReset Quote: 17.87 – 18.11
Spot Rate : 0.2400
Average : 0.1895

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-08
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 4.30 %

IFC.PR.A FixedReset Quote: 18.29 – 18.58
Spot Rate : 0.2900
Average : 0.2411

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.29
Bid-YTW : 7.61 %