Archive for the ‘Market Action’ Category

May 26, 2017

Friday, May 26th, 2017

S&P has downgraded Alberta:

  • •Alberta’s projected deficits after capex over the next two years are among the highest of rated non-U.S. local and regional governments and, absent other measures, our expectation is that this will lead to further rapid growth in the province’s debt burden.
  • •As a result, we are lowering our long-term issuer credit and senior unsecured debt ratings on Alberta two notches to ‘A+’ from ‘AA’ and affirming our short-term rating at ‘A-1+’.
  • •We are also lowering our senior unsecured debt rating on Alberta’s Crown Corporation, Alberta Capital Finance Authority, to ‘A+’ from ‘AA’.
  • •The stable outlook reflects our expectations that Alberta will, on average, continue to post after-capital deficits of greater than 23% of total adjusted revenues in the next two years.


The downgrade reflects our assessment of the continued impact of depressed oil prices on Alberta’s important resource revenues and the province’s approach toward addressing its structural budget shortfall in a timeframe that is unlikely to prevent excessive growth in debt. To help stimulate the economy, the province has elevated its level of spending on infrastructure. As a result, in our fiscal 2016-2020 base-case forecast, our assessment of the province’s budgetary performance particularly on an after-capital basis has significantly deteriorated and is materially weaker compared with that of both domestic and international peers. In addition, we expect that for Alberta to fund its growing capital expenditure program, its debt burden will continue to
grow rapidly.

Nevertheless, we recognize that Alberta has good budgetary flexibility. Although it possesses strong tax advantages, compared with other Canadian provinces, that could be tapped, we believe it has yet to use these in a significant way to improve its fiscal position. We estimate that modifiable revenues and capital spending, on average, will represent about 84% of operating revenues and about 13% of total expenditures, respectively, for the fiscal 2016-2020 period.

Naturally, the pretend-conservatives are outraged:

Progressive Conservative caucus leader Ric McIver said Ceci and Premier Rachel Notley were oblivious to the fact they were turning Alberta’s finances into a “train wreck.”

“It’s going to be more expensive to provide services or there will be less of everything, including teachers, doctors, roads, schools, hospitals, all the things Albertans care about,” said McIver.

In news releases, Wildrose said the situation was due to the government’s “budget disaster,” while the Alberta Party chalked it up to “poor choices” by the NDP.

Hey! Pretend-conservatives! How much of the oil revenue from the past forty years is on deposit with the reserve fund?

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 0.3356 % 2,171.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3356 % 3,984.6
Floater 3.51 % 3.66 % 57,051 18.11 4 0.3356 % 2,296.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0786 % 3,049.6
SplitShare 4.72 % 4.28 % 72,370 1.57 5 -0.0786 % 3,641.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0786 % 2,841.5
Perpetual-Premium 5.31 % 1.94 % 73,733 0.09 23 0.0711 % 2,783.8
Perpetual-Discount 5.11 % 5.08 % 99,346 15.23 14 0.1386 % 2,994.2
FixedReset 4.51 % 4.12 % 198,657 6.56 94 -0.2501 % 2,296.8
Deemed-Retractible 5.00 % 5.17 % 135,475 4.13 32 0.0356 % 2,889.9
FloatingReset 2.51 % 3.12 % 47,660 4.42 10 -0.0886 % 2,527.3
Performance Highlights
Issue Index Change Notes
BMO.PR.Q FixedReset -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 5.35 %
IFC.PR.A FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.95
Bid-YTW : 7.88 %
BAM.PF.H FixedReset -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.82 %
SLF.PR.G FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.20
Bid-YTW : 8.82 %
VNR.PR.A FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.Z Perpetual-Premium 755,121 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 24.64
Evaluated at bid price : 25.03
Bid-YTW : 5.15 %
CM.PR.Q FixedReset 275,286 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 21.99
Evaluated at bid price : 22.35
Bid-YTW : 4.18 %
BIP.PR.D FixedReset 217,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.84 %
RY.PR.E Deemed-Retractible 162,348 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -4.85 %
MFC.PR.M FixedReset 87,252 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.66
Bid-YTW : 6.41 %
IFC.PR.E Deemed-Retractible 84,305 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.23 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.F Perpetual-Premium Quote: 25.55 – 25.84
Spot Rate : 0.2900
Average : 0.1916

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.63 %

PWF.PR.F Perpetual-Premium Quote: 25.00 – 25.25
Spot Rate : 0.2500
Average : 0.1673

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.29 %

GWO.PR.M Deemed-Retractible Quote: 26.00 – 26.18
Spot Rate : 0.1800
Average : 0.1289

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-25
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : -7.13 %

HSE.PR.E FixedReset Quote: 23.74 – 23.92
Spot Rate : 0.1800
Average : 0.1297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 22.87
Evaluated at bid price : 23.74
Bid-YTW : 4.78 %

BMO.PR.Q FixedReset Quote: 21.41 – 21.70
Spot Rate : 0.2900
Average : 0.2415

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 5.35 %

MFC.PR.O FixedReset Quote: 26.60 – 26.80
Spot Rate : 0.2000
Average : 0.1550

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.82 %

May 25, 2017

Thursday, May 25th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0933 % 2,164.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0933 % 3,971.2
Floater 3.52 % 3.69 % 55,196 18.03 4 0.0933 % 2,288.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1883 % 3,052.0
SplitShare 4.72 % 4.28 % 72,740 1.57 5 -0.1883 % 3,644.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1883 % 2,843.8
Perpetual-Premium 5.32 % 2.25 % 68,389 0.09 22 0.1175 % 2,781.8
Perpetual-Discount 5.12 % 5.10 % 100,516 15.24 14 0.0181 % 2,990.0
FixedReset 4.50 % 4.12 % 191,709 6.57 94 -0.1926 % 2,302.5
Deemed-Retractible 5.00 % 5.17 % 135,724 4.13 32 0.1464 % 2,888.8
FloatingReset 2.50 % 3.14 % 46,509 4.43 10 0.1869 % 2,529.6
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.83 %
SLF.PR.G FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 8.62 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.R FixedReset 354,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 3.30 %
BMO.PR.C FixedReset 175,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 23.28
Evaluated at bid price : 25.36
Bid-YTW : 4.22 %
RY.PR.R FixedReset 163,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.97
Bid-YTW : 3.51 %
IFC.PR.E Deemed-Retractible 163,011 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.27 %
TD.PF.H FixedReset 160,041 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.87 %
RY.PR.H FixedReset 106,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 3.94 %
TD.PF.D FixedReset 101,538 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 22.03
Evaluated at bid price : 22.40
Bid-YTW : 4.17 %
MFC.PR.R FixedReset 100,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.26 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.B SplitShare Quote: 25.10 – 25.45
Spot Rate : 0.3500
Average : 0.2335

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.02 %

BAM.PF.I FixedReset Quote: 26.06 – 26.35
Spot Rate : 0.2900
Average : 0.1813

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.01 %

CU.PR.H Perpetual-Premium Quote: 25.40 – 25.70
Spot Rate : 0.3000
Average : 0.2045

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.00 %

TRP.PR.G FixedReset Quote: 22.90 – 23.21
Spot Rate : 0.3100
Average : 0.2293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 22.32
Evaluated at bid price : 22.90
Bid-YTW : 4.23 %

MFC.PR.I FixedReset Quote: 22.30 – 22.49
Spot Rate : 0.1900
Average : 0.1221

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 5.56 %

BAM.PR.R FixedReset Quote: 18.40 – 18.64
Spot Rate : 0.2400
Average : 0.1748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.42 %

May 24, 2017

Wednesday, May 24th, 2017

PerpetualDiscounts now yield 5.11%, equivalent to 6.64% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a widening from the 285bp reported May 17.

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 0.0373 % 2,162.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0373 % 3,967.5
Floater 3.53 % 3.70 % 57,208 18.02 4 0.0373 % 2,286.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2596 % 3,057.7
SplitShare 4.71 % 4.12 % 73,861 1.57 5 0.2596 % 3,651.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2596 % 2,849.1
Perpetual-Premium 5.33 % 0.86 % 67,554 0.09 22 -0.0231 % 2,778.5
Perpetual-Discount 5.12 % 5.11 % 101,151 15.23 14 0.0482 % 2,989.5
FixedReset 4.49 % 4.11 % 198,825 6.58 94 0.0688 % 2,307.0
Deemed-Retractible 5.01 % 5.24 % 135,105 6.26 32 -0.0460 % 2,884.6
FloatingReset 2.51 % 3.08 % 46,720 4.43 10 0.0093 % 2,524.9
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.33 %
SLF.PR.J FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 9.13 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.E Deemed-Retractible 601,313 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.29 %
GWO.PR.T Deemed-Retractible 183,066 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.22 %
BNS.PR.H FixedReset 171,363 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 3.63 %
TD.PF.C FixedReset 127,703 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 3.99 %
SLF.PR.H FixedReset 101,504 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.08 %
TRP.PR.K FixedReset 94,579 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
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
VNR.PR.A FixedReset Quote: 20.85 – 21.30
Spot Rate : 0.4500
Average : 0.3406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.59 %

IFC.PR.A FixedReset Quote: 18.22 – 18.72
Spot Rate : 0.5000
Average : 0.3967

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.22
Bid-YTW : 7.64 %

BMO.PR.C FixedReset Quote: 25.56 – 25.80
Spot Rate : 0.2400
Average : 0.1478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 23.34
Evaluated at bid price : 25.56
Bid-YTW : 4.18 %

TRP.PR.F FloatingReset Quote: 18.57 – 18.80
Spot Rate : 0.2300
Average : 0.1637

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.33 %

SLF.PR.D Deemed-Retractible Quote: 22.50 – 22.70
Spot Rate : 0.2000
Average : 0.1356

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.25 %

BNS.PR.D FloatingReset Quote: 21.65 – 21.91
Spot Rate : 0.2600
Average : 0.2041

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 4.79 %

May 23, 2017

Wednesday, May 24th, 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 -0.3349 % 2,161.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3349 % 3,966.1
Floater 3.53 % 3.68 % 58,069 18.06 4 -0.3349 % 2,285.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0157 % 3,049.8
SplitShare 4.72 % 4.17 % 75,056 1.57 5 0.0157 % 3,642.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0157 % 2,841.7
Perpetual-Premium 5.32 % 4.28 % 67,815 0.09 22 0.0819 % 2,779.2
Perpetual-Discount 5.12 % 5.14 % 101,326 15.23 14 -0.1625 % 2,988.1
FixedReset 4.50 % 4.11 % 201,015 6.58 94 0.2566 % 2,305.4
Deemed-Retractible 5.00 % 5.21 % 136,929 4.14 31 0.1448 % 2,885.9
FloatingReset 2.51 % 3.17 % 48,434 4.43 10 0.5166 % 2,524.6
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.94
Evaluated at bid price : 23.33
Bid-YTW : 5.31 %
CM.PR.Q FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.20
Evaluated at bid price : 22.65
Bid-YTW : 4.11 %
SLF.PR.I FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 5.24 %
BNS.PR.C FloatingReset 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.09
Bid-YTW : 3.30 %
IFC.PR.C FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 5.68 %
IAG.PR.G FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 5.56 %
HSE.PR.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 4.33 %
TRP.PR.F FloatingReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 3.29 %
TRP.PR.C FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 3.96 %
TRP.PR.B FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 14.47
Evaluated at bid price : 14.47
Bid-YTW : 3.90 %
SLF.PR.H FixedReset 1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.07
Bid-YTW : 7.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.T Deemed-Retractible 164,775 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.22 %
TRP.PR.G FixedReset 69,904 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.22
Evaluated at bid price : 22.73
Bid-YTW : 4.27 %
HSE.PR.C FixedReset 25,259 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.62
Evaluated at bid price : 23.21
Bid-YTW : 4.49 %
HSE.PR.E FixedReset 23,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.96
Evaluated at bid price : 23.92
Bid-YTW : 4.74 %
BMO.PR.C FixedReset 19,721 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 23.33
Evaluated at bid price : 25.55
Bid-YTW : 4.18 %
MFC.PR.R FixedReset 16,587 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.27 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.A Deemed-Retractible Quote: 25.22 – 25.57
Spot Rate : 0.3500
Average : 0.2215

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-22
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : -6.27 %

BAM.PF.D Perpetual-Discount Quote: 23.33 – 23.70
Spot Rate : 0.3700
Average : 0.2795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.94
Evaluated at bid price : 23.33
Bid-YTW : 5.31 %

BAM.PF.F FixedReset Quote: 22.43 – 22.86
Spot Rate : 0.4300
Average : 0.3402

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.13
Evaluated at bid price : 22.43
Bid-YTW : 4.40 %

BAM.PF.C Perpetual-Discount Quote: 23.04 – 23.28
Spot Rate : 0.2400
Average : 0.1581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 22.68
Evaluated at bid price : 23.04
Bid-YTW : 5.33 %

MFC.PR.B Deemed-Retractible Quote: 23.34 – 23.65
Spot Rate : 0.3100
Average : 0.2295

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.34
Bid-YTW : 5.70 %

VNR.PR.A FixedReset Quote: 21.00 – 21.30
Spot Rate : 0.3000
Average : 0.2206

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-23
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.55 %

May 19, 2017

Friday, May 19th, 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 3.0483 % 2,168.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 3.0483 % 3,979.4
Floater 3.52 % 3.67 % 58,785 18.09 4 3.0483 % 2,293.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0157 % 3,049.3
SplitShare 4.72 % 4.21 % 73,062 1.58 5 0.0157 % 3,641.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0157 % 2,841.3
Perpetual-Premium 5.33 % 2.24 % 67,411 0.09 22 0.0339 % 2,776.9
Perpetual-Discount 5.11 % 5.16 % 102,517 15.21 14 0.2535 % 2,992.9
FixedReset 4.51 % 4.15 % 202,490 6.58 94 0.2240 % 2,299.5
Deemed-Retractible 5.01 % 5.16 % 142,243 3.45 31 0.0263 % 2,881.8
FloatingReset 2.52 % 3.34 % 49,086 4.44 10 0.0376 % 2,511.7
Performance Highlights
Issue Index Change Notes
TD.PR.Y FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 3.29 %
MFC.PR.H FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 4.41 %
TRP.PR.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 4.06 %
BAM.PF.D Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 23.22
Evaluated at bid price : 23.65
Bid-YTW : 5.23 %
BMO.PR.Q FixedReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 5.13 %
TRP.PR.E FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.16 %
BAM.PF.H FixedReset 1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.32 %
IFC.PR.A FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.31
Bid-YTW : 7.60 %
TD.PF.H FixedReset 1.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.70 %
BAM.PR.B Floater 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.67 %
BAM.PR.K Floater 4.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.71 %
BAM.PR.C Floater 4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.T Deemed-Retractible 279,028 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.22 %
TD.PF.C FixedReset 79,535 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.06 %
BMO.PR.C FixedReset 71,116 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.12 %
HSE.PR.C FixedReset 50,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 22.64
Evaluated at bid price : 23.25
Bid-YTW : 4.52 %
MFC.PR.R FixedReset 40,592 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.44 %
EIT.PR.A SplitShare 34,050 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.32 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 24.89 – 26.13
Spot Rate : 1.2400
Average : 0.7190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 24.64
Evaluated at bid price : 24.89
Bid-YTW : 5.16 %

TD.PF.E FixedReset Quote: 22.67 – 23.05
Spot Rate : 0.3800
Average : 0.2363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 22.18
Evaluated at bid price : 22.67
Bid-YTW : 4.23 %

MFC.PR.R FixedReset Quote: 25.37 – 25.76
Spot Rate : 0.3900
Average : 0.2494

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.44 %

BNS.PR.D FloatingReset Quote: 21.60 – 21.99
Spot Rate : 0.3900
Average : 0.2665

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 4.82 %

TD.PR.T FloatingReset Quote: 24.19 – 24.50
Spot Rate : 0.3100
Average : 0.1925

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 2.90 %

BAM.PR.Z FixedReset Quote: 21.90 – 22.31
Spot Rate : 0.4100
Average : 0.2935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-19
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 4.59 %

May 18, 2017

Thursday, May 18th, 2017

The Toronto housing market is getting weird:

Agents are also reporting price cuts for some listings, bidding delirium for others, and a swarm of investors looking for deals.

After holding on to their rapidly appreciating asset for so long, some sellers in the Greater Toronto Area appear to be rushing headlong to cash in. Buyers who lamented that there were so few listings now seem incapacitated by the amount of choice.

“I think they’re overwhelmed – there are so many houses to look at,” says Ms. [Davelle] Morrison of Bosley Real Estate Ltd. “No matter what neighbourhood they want to be in, there are so many houses to look at.”

There will be ups and downs, all magnified by reporters who have to convince their readers that they will miss important news if they don’t read the story right now, but I continue to believe that the Canadian housing market and the preferred share market are linked by one thing: there won’t be a dramatic change until five-year yields start rising substantially.

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 -2.1205 % 2,104.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.1205 % 3,861.7
Floater 3.62 % 3.80 % 58,965 17.80 4 -2.1205 % 2,225.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0124 % 3,048.9
SplitShare 4.72 % 4.20 % 69,842 1.59 5 0.0124 % 3,641.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0124 % 2,840.8
Perpetual-Premium 5.33 % 1.00 % 67,070 0.09 22 -0.1104 % 2,776.0
Perpetual-Discount 5.13 % 5.16 % 103,661 15.20 14 -0.6713 % 2,985.4
FixedReset 4.52 % 4.16 % 204,085 6.57 94 -0.5646 % 2,294.4
Deemed-Retractible 5.01 % 4.94 % 140,518 0.10 31 -0.0966 % 2,881.0
FloatingReset 2.52 % 3.32 % 49,638 4.44 10 -0.6395 % 2,510.7
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 3.86 %
BAM.PR.K Floater -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 3.87 %
TRP.PR.A FixedReset -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.11 %
IFC.PR.A FixedReset -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 7.85 %
CM.PR.Q FixedReset -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 21.95
Evaluated at bid price : 22.29
Bid-YTW : 4.22 %
MFC.PR.G FixedReset -2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.53
Bid-YTW : 5.45 %
BAM.PR.B Floater -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 12.54
Evaluated at bid price : 12.54
Bid-YTW : 3.80 %
NA.PR.W FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.09 %
TD.PF.H FixedReset -1.90 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.79
Bid-YTW : 4.15 %
BAM.PF.H FixedReset -1.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.82 %
IAG.PR.G FixedReset -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.85 %
RY.PR.H FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 4.01 %
TRP.PR.E FixedReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.22 %
BAM.PR.R FixedReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.44 %
BAM.PF.D Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 22.98
Evaluated at bid price : 23.37
Bid-YTW : 5.30 %
SLF.PR.I FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.57
Bid-YTW : 5.44 %
SLF.PR.H FixedReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.63
Bid-YTW : 7.47 %
BIP.PR.A FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 22.53
Evaluated at bid price : 23.18
Bid-YTW : 4.94 %
MFC.PR.M FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.54 %
NA.PR.Q FixedReset -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 4.03 %
BAM.PF.C Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 22.67
Evaluated at bid price : 23.03
Bid-YTW : 5.32 %
BMO.PR.W FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 4.03 %
SLF.PR.J FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.20
Bid-YTW : 9.21 %
MFC.PR.K FixedReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 6.81 %
TD.PR.Y FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 3.54 %
TRP.PR.F FloatingReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 3.33 %
TD.PF.A FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 4.01 %
BAM.PR.Z FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 4.59 %
PWF.PR.K Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 23.88
Evaluated at bid price : 24.13
Bid-YTW : 5.16 %
MFC.PR.L FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 6.83 %
BAM.PR.N Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 22.50
Evaluated at bid price : 22.76
Bid-YTW : 5.28 %
TRP.PR.B FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.00 %
BMO.PR.S FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.T Deemed-Retractible 837,263 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.21 %
TRP.PR.D FixedReset 104,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 4.23 %
BMO.PR.C FixedReset 46,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.15 %
MFC.PR.M FixedReset 39,710 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.54 %
BAM.PF.I FixedReset 35,561 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.14 %
POW.PR.A Perpetual-Premium 24,764 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-17
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -14.26 %
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.C Floater Quote: 12.35 – 13.25
Spot Rate : 0.9000
Average : 0.5816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 3.86 %

IAG.PR.G FixedReset Quote: 22.11 – 22.85
Spot Rate : 0.7400
Average : 0.4318

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.85 %

TRP.PR.E FixedReset Quote: 20.67 – 21.28
Spot Rate : 0.6100
Average : 0.3632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.22 %

IFC.PR.A FixedReset Quote: 18.01 – 18.63
Spot Rate : 0.6200
Average : 0.3922

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 7.85 %

BIP.PR.A FixedReset Quote: 23.18 – 23.70
Spot Rate : 0.5200
Average : 0.3465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 22.53
Evaluated at bid price : 23.18
Bid-YTW : 4.94 %

BAM.PR.K Floater Quote: 12.32 – 12.89
Spot Rate : 0.5700
Average : 0.3975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-18
Maturity Price : 12.32
Evaluated at bid price : 12.32
Bid-YTW : 3.87 %

May 17, 2017

Wednesday, May 17th, 2017

FixedResets got whacked today, probably due to strength in the bond market. The five-year Canada yield dropped to 0.91%.

PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.80%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 285bp, a narrowing from the 295bp reported May 3.

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 -0.5784 % 2,150.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5784 % 3,945.3
Floater 3.55 % 3.73 % 60,958 17.96 4 -0.5784 % 2,273.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.7522 % 3,048.5
SplitShare 4.71 % 4.16 % 65,640 1.59 5 0.7522 % 3,640.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7522 % 2,840.5
Perpetual-Premium 5.32 % 3.76 % 69,819 0.09 22 -0.0480 % 2,779.0
Perpetual-Discount 5.09 % 5.10 % 104,377 15.30 14 -0.1347 % 3,005.5
FixedReset 4.49 % 4.13 % 206,233 6.57 94 -0.8627 % 2,307.4
Deemed-Retractible 5.00 % 5.03 % 137,429 3.46 30 -0.1616 % 2,883.8
FloatingReset 2.51 % 3.16 % 49,686 4.45 10 -0.5247 % 2,526.9
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -4.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.42 %
MFC.PR.N FixedReset -2.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.29 %
MFC.PR.M FixedReset -2.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.78
Bid-YTW : 6.33 %
TD.PF.D FixedReset -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.07
Evaluated at bid price : 22.47
Bid-YTW : 4.18 %
BAM.PF.B FixedReset -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.44 %
RY.PR.M FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 4.13 %
CM.PR.O FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 4.02 %
VNR.PR.A FixedReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.58 %
BAM.PR.T FixedReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.47 %
CU.PR.C FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.06 %
BAM.PF.A FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.71
Evaluated at bid price : 22.16
Bid-YTW : 4.48 %
TRP.PR.H FloatingReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 3.32 %
TRP.PR.G FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.13
Evaluated at bid price : 22.60
Bid-YTW : 4.33 %
CU.PR.I FixedReset -1.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.25 %
CM.PR.P FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 4.01 %
BAM.PR.Z FixedReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.72
Evaluated at bid price : 22.15
Bid-YTW : 4.53 %
MFC.PR.K FixedReset -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.06
Bid-YTW : 6.61 %
TD.PF.C FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.02 %
TD.PF.E FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 4.16 %
BAM.PF.E FixedReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.43 %
BAM.PR.K Floater -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 3.75 %
CM.PR.Q FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.29
Evaluated at bid price : 22.80
Bid-YTW : 4.11 %
RY.PR.J FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.02
Evaluated at bid price : 22.37
Bid-YTW : 4.14 %
TD.PF.B FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 3.99 %
MFC.PR.J FixedReset -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 5.64 %
MFC.PR.L FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.06
Bid-YTW : 6.67 %
SLF.PR.H FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.24 %
IFC.PR.C FixedReset -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 5.87 %
TRP.PR.C FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 15.42
Evaluated at bid price : 15.42
Bid-YTW : 4.07 %
TD.PF.A FixedReset -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 3.96 %
TRP.PR.B FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 3.96 %
TRP.PR.F FloatingReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 3.29 %
RY.PR.H FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.94 %
BAM.PF.G FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.32
Evaluated at bid price : 22.83
Bid-YTW : 4.35 %
NA.PR.W FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.01 %
MFC.PR.H FixedReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 4.58 %
BAM.PR.M Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.68
Evaluated at bid price : 22.92
Bid-YTW : 5.24 %
W.PR.K FixedReset -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.56 %
BAM.PR.X FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 4.34 %
TRP.PR.D FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 4.20 %
BMO.PR.Y FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.09
Evaluated at bid price : 22.50
Bid-YTW : 4.12 %
IFC.PR.A FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 7.47 %
BMO.PR.S FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.98 %
BMO.PR.W FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 3.98 %
TRP.PR.E FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.16 %
RY.PR.Z FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 3.88 %
RY.PR.I FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 3.57 %
EIT.PR.A SplitShare 1.05 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.37 %
PVS.PR.E SplitShare 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-16
Maturity Price : 26.00
Evaluated at bid price : 26.15
Bid-YTW : -5.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.D FixedReset 130,508 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.75 %
MFC.PR.R FixedReset 119,414 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.22 %
MFC.PR.O FixedReset 87,651 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.59 %
TD.PF.G FixedReset 76,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.97
Bid-YTW : 3.44 %
RY.PR.P Perpetual-Premium 67,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 4.62 %
BAM.PR.K Floater 42,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 3.75 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Quote: 20.75 – 21.31
Spot Rate : 0.5600
Average : 0.3846

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.29 %

W.PR.K FixedReset Quote: 25.71 – 26.20
Spot Rate : 0.4900
Average : 0.3421

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.56 %

HSE.PR.A FixedReset Quote: 15.24 – 15.72
Spot Rate : 0.4800
Average : 0.3356

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 4.42 %

GWO.PR.S Deemed-Retractible Quote: 25.35 – 25.76
Spot Rate : 0.4100
Average : 0.2665

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.16 %

BAM.PR.T FixedReset Quote: 19.01 – 19.37
Spot Rate : 0.3600
Average : 0.2228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.47 %

BAM.PR.M Perpetual-Discount Quote: 22.92 – 23.23
Spot Rate : 0.3100
Average : 0.1945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-17
Maturity Price : 22.68
Evaluated at bid price : 22.92
Bid-YTW : 5.24 %

May 16, 2017

Wednesday, May 17th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.1253 % 2,162.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1253 % 3,968.3
Floater 3.53 % 3.69 % 57,519 18.04 4 -1.1253 % 2,286.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1408 % 3,025.7
SplitShare 4.70 % 4.56 % 66,208 3.94 5 -0.1408 % 3,613.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1408 % 2,819.3
Perpetual-Premium 5.32 % -0.80 % 70,638 0.09 22 -0.2024 % 2,780.4
Perpetual-Discount 5.08 % 5.12 % 105,136 15.24 14 -0.0060 % 3,009.6
FixedReset 4.46 % 4.06 % 208,880 6.59 94 -0.0443 % 2,327.5
Deemed-Retractible 4.99 % 4.85 % 139,580 0.11 30 -0.0163 % 2,888.5
FloatingReset 2.49 % 3.06 % 49,497 4.45 10 0.2280 % 2,540.2
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 3.73 %
HSE.PR.A FixedReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 4.23 %
IAG.PR.A Deemed-Retractible -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.04 %
BAM.PR.B Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 12.91
Evaluated at bid price : 12.91
Bid-YTW : 3.69 %
POW.PR.D Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.12 %
TRP.PR.D FixedReset -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.14 %
TRP.PR.E FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 4.11 %
ELF.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 22.70
Evaluated at bid price : 22.94
Bid-YTW : 5.22 %
TRP.PR.B FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 3.90 %
TRP.PR.H FloatingReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 13.98
Evaluated at bid price : 13.98
Bid-YTW : 3.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSE.PR.G FixedReset 157,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 22.91
Evaluated at bid price : 23.91
Bid-YTW : 4.74 %
BMO.PR.C FixedReset 153,374 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.06 %
BMO.PR.K Deemed-Retractible 117,635 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-15
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.20 %
BAM.PR.M Perpetual-Discount 63,599 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 22.93
Evaluated at bid price : 23.21
Bid-YTW : 5.17 %
RY.PR.D Deemed-Retractible 57,762 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-15
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : -6.77 %
TD.PF.G FixedReset 56,630 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.40 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.A Deemed-Retractible Quote: 23.00 – 23.49
Spot Rate : 0.4900
Average : 0.3374

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.04 %

POW.PR.D Perpetual-Discount Quote: 24.60 – 25.05
Spot Rate : 0.4500
Average : 0.3177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.12 %

BAM.PR.C Floater Quote: 12.78 – 13.14
Spot Rate : 0.3600
Average : 0.2681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 3.73 %

TRP.PR.A FixedReset Quote: 18.91 – 19.20
Spot Rate : 0.2900
Average : 0.2038

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.97 %

EML.PR.A FixedReset Quote: 26.40 – 26.69
Spot Rate : 0.2900
Average : 0.2151

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 4.34 %

BAM.PF.D Perpetual-Discount Quote: 23.76 – 24.09
Spot Rate : 0.3300
Average : 0.2645

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-16
Maturity Price : 23.32
Evaluated at bid price : 23.76
Bid-YTW : 5.21 %

May 15, 2017

Monday, May 15th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6685 % 2,187.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6685 % 4,013.4
Floater 3.49 % 3.64 % 53,228 18.17 4 0.6685 % 2,313.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1253 % 3,030.0
SplitShare 4.69 % 4.49 % 66,554 3.94 5 0.1253 % 3,618.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1253 % 2,823.3
Perpetual-Premium 5.31 % -1.92 % 69,838 0.09 22 -0.0763 % 2,786.0
Perpetual-Discount 5.08 % 5.06 % 104,967 15.31 14 -0.1285 % 3,009.8
FixedReset 4.45 % 4.04 % 211,078 6.60 94 -0.1310 % 2,328.5
Deemed-Retractible 4.99 % 4.76 % 132,137 0.11 30 -0.0095 % 2,888.9
FloatingReset 2.50 % 3.11 % 48,509 4.46 10 0.0279 % 2,534.4
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 3.95 %
TRP.PR.G FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 22.27
Evaluated at bid price : 22.82
Bid-YTW : 4.28 %
ELF.PR.G Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 22.45
Evaluated at bid price : 22.71
Bid-YTW : 5.27 %
BAM.PR.B Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.64 %
BAM.PR.C Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.F FixedReset 115,960 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.20
Bid-YTW : 9.56 %
NA.PR.X FixedReset 62,604 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.67 %
RY.PR.R FixedReset 57,796 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.45 %
TRP.PR.D FixedReset 40,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 4.09 %
SLF.PR.I FixedReset 34,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.18 %
GWO.PR.H Deemed-Retractible 26,540 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 5.48 %
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.PF.I FixedReset Quote: 26.15 – 27.15
Spot Rate : 1.0000
Average : 0.5645

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.91 %

TRP.PR.G FixedReset Quote: 22.82 – 23.25
Spot Rate : 0.4300
Average : 0.2533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-15
Maturity Price : 22.27
Evaluated at bid price : 22.82
Bid-YTW : 4.28 %

MFC.PR.N FixedReset Quote: 21.27 – 21.66
Spot Rate : 0.3900
Average : 0.2604

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.27
Bid-YTW : 5.90 %

MFC.PR.L FixedReset Quote: 20.30 – 20.62
Spot Rate : 0.3200
Average : 0.1982

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 6.48 %

PWF.PR.F Perpetual-Premium Quote: 25.08 – 25.49
Spot Rate : 0.4100
Average : 0.2897

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.00 %

W.PR.M FixedReset Quote: 26.25 – 26.56
Spot Rate : 0.3100
Average : 0.1945

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.09 %

May 12, 2017

Saturday, May 13th, 2017

You have no idea how happy I am that my technical difficulties have been resolved!

(table deleted)

Update, 2017-5-16 Recalculated Tables:

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 -0.1669 % 2,172.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1669 % 3,986.8
Floater 3.51 % 3.68 % 53,306 18.08 4 -0.1669 % 2,297.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0862 % 3,026.2
SplitShare 4.70 % 4.53 % 64,586 3.95 5 0.0862 % 3,613.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0862 % 2,819.7
Perpetual-Premium 5.31 % -3.35 % 72,125 0.09 22 -0.0142 % 2,788.1
Perpetual-Discount 5.08 % 5.04 % 105,471 15.32 14 -0.0836 % 3,013.6
FixedReset 4.45 % 4.04 % 214,072 6.60 94 -0.0799 % 2,331.5
Deemed-Retractible 4.99 % 4.42 % 133,442 0.12 30 -0.1636 % 2,889.2
FloatingReset 2.50 % 3.08 % 48,842 4.46 10 -0.0605 % 2,533.7
Performance Highlights
Issue Index Change Notes
MFC.PR.C Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.17 %
PWF.PR.P FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 4.03 %
MFC.PR.F FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.24
Bid-YTW : 9.51 %
MFC.PR.B Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.77 %
TRP.PR.A FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 3.97 %
TRP.PR.F FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 3.27 %
TRP.PR.B FixedReset 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 3.87 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.N FixedReset 333,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.79
Bid-YTW : 9.03 %
HSE.PR.C FixedReset 127,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 22.73
Evaluated at bid price : 23.42
Bid-YTW : 4.47 %
TD.PF.A FixedReset 116,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 3.86 %
BMO.PR.K Deemed-Retractible 110,091 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-11
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.48 %
HSE.PR.E FixedReset 109,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 23.00
Evaluated at bid price : 24.01
Bid-YTW : 4.74 %
BMO.PR.L Deemed-Retractible 99,290 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.42 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.I Deemed-Retractible Quote: 22.65 – 22.96
Spot Rate : 0.3100
Average : 0.1900

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.16 %

BNS.PR.D FloatingReset Quote: 21.70 – 22.05
Spot Rate : 0.3500
Average : 0.2506

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 4.70 %

TRP.PR.H FloatingReset Quote: 13.78 – 14.05
Spot Rate : 0.2700
Average : 0.1992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 13.78
Evaluated at bid price : 13.78
Bid-YTW : 3.31 %

HSE.PR.C FixedReset Quote: 23.42 – 23.65
Spot Rate : 0.2300
Average : 0.1661

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 22.73
Evaluated at bid price : 23.42
Bid-YTW : 4.47 %

BAM.PR.C Floater Quote: 12.95 – 13.20
Spot Rate : 0.2500
Average : 0.1862

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 3.68 %

PWF.PR.P FixedReset Quote: 15.88 – 16.08
Spot Rate : 0.2000
Average : 0.1378

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-12
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 4.03 %