Archive for the ‘Market Action’ Category

November 29, 2017

Wednesday, November 29th, 2017

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, a slight (and perhaps spurious) widening from the 300bp reported November 22.

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 0.2401 % 2,471.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2401 % 4,534.8
Floater 3.66 % 3.88 % 105,807 17.60 3 0.2401 % 2,613.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0328 % 3,124.0
SplitShare 4.72 % 3.55 % 53,985 1.08 6 0.0328 % 3,730.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,910.8
Perpetual-Premium 5.34 % 4.72 % 56,154 0.09 20 -0.0294 % 2,842.3
Perpetual-Discount 5.18 % 5.23 % 69,712 15.06 15 -0.2078 % 3,030.9
FixedReset 4.22 % 4.17 % 143,691 4.47 98 -0.0332 % 2,503.2
Deemed-Retractible 5.01 % 5.29 % 90,475 5.90 30 -0.1282 % 2,956.3
FloatingReset 2.71 % 2.72 % 41,729 3.94 8 0.2269 % 2,689.7
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 7.51 %
BAM.PR.N Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 5.41 %
HSE.PR.A FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 4.55 %
IFC.PR.C FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 4.73 %
PWF.PR.P FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 176,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.85 %
RY.PR.R FixedReset 168,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.87
Bid-YTW : 3.40 %
NA.PR.X FixedReset 75,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.58 %
NA.PR.A FixedReset 64,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 3.44 %
BNS.PR.R FixedReset 55,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 3.54 %
TD.PF.G FixedReset 55,410 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.88
Bid-YTW : 3.30 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.A Deemed-Retractible Quote: 23.45 – 23.84
Spot Rate : 0.3900
Average : 0.2483

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.78 %

POW.PR.B Perpetual-Discount Quote: 25.16 – 25.50
Spot Rate : 0.3400
Average : 0.2305

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 24.87
Evaluated at bid price : 25.16
Bid-YTW : 5.38 %

BAM.PF.H FixedReset Quote: 26.03 – 26.30
Spot Rate : 0.2700
Average : 0.1866

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 3.88 %

IFC.PR.A FixedReset Quote: 20.08 – 20.34
Spot Rate : 0.2600
Average : 0.1777

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.08
Bid-YTW : 7.06 %

MFC.PR.M FixedReset Quote: 23.51 – 23.84
Spot Rate : 0.3300
Average : 0.2479

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 4.94 %

SLF.PR.D Deemed-Retractible Quote: 22.14 – 22.40
Spot Rate : 0.2600
Average : 0.1841

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.14
Bid-YTW : 6.43 %

November 28, 2017

Wednesday, November 29th, 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 0.1530 % 2,465.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1530 % 4,524.0
Floater 3.67 % 3.90 % 105,759 17.57 3 0.1530 % 2,607.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1441 % 3,122.9
SplitShare 4.72 % 4.21 % 50,393 1.09 6 -0.1441 % 3,729.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1441 % 2,909.9
Perpetual-Premium 5.34 % 4.57 % 54,533 0.09 20 0.0490 % 2,843.1
Perpetual-Discount 5.17 % 5.25 % 70,414 15.03 15 0.2252 % 3,037.2
FixedReset 4.22 % 4.16 % 145,920 4.44 98 -0.0966 % 2,504.0
Deemed-Retractible 5.00 % 5.28 % 90,899 5.90 30 0.2510 % 2,960.1
FloatingReset 2.71 % 2.78 % 40,299 3.94 8 -0.1558 % 2,683.6
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.59 %
TRP.PR.A FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 4.34 %
TRP.PR.B FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 4.34 %
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 : 22.90
Bid-YTW : 5.24 %
GWO.PR.I Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.20 %
SLF.PR.B Deemed-Retractible 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.68
Bid-YTW : 5.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 163,228 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.67 %
TD.PF.C FixedReset 83,532 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 22.95
Evaluated at bid price : 23.26
Bid-YTW : 4.16 %
BMO.PR.C FixedReset 59,504 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 3.86 %
BAM.PR.K Floater 40,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 14.52
Evaluated at bid price : 14.52
Bid-YTW : 3.90 %
TD.PF.B FixedReset 33,522 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 23.09
Evaluated at bid price : 23.49
Bid-YTW : 4.14 %
TRP.PR.J FixedReset 31,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.55 %
There were 25 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: 26.15 – 26.60
Spot Rate : 0.4500
Average : 0.2980

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-28
Maturity Price : 26.00
Evaluated at bid price : 26.15
Bid-YTW : -3.28 %

TD.PF.H FixedReset Quote: 26.18 – 26.54
Spot Rate : 0.3600
Average : 0.2248

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.67 %

MFC.PR.H FixedReset Quote: 24.91 – 25.30
Spot Rate : 0.3900
Average : 0.2939

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.79 %

CU.PR.F Perpetual-Discount Quote: 22.33 – 22.65
Spot Rate : 0.3200
Average : 0.2292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 22.01
Evaluated at bid price : 22.33
Bid-YTW : 5.05 %

SLF.PR.G FixedReset Quote: 18.65 – 18.99
Spot Rate : 0.3400
Average : 0.2592

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.34 %

GWO.PR.L Deemed-Retractible Quote: 26.00 – 26.24
Spot Rate : 0.2400
Average : 0.1592

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 26.00
Bid-YTW : -16.37 %

November 27, 2017

Monday, November 27th, 2017

Publication of the November 27 preferred share report has been delayed. I intend to post it shortly before publication of the November 28 report.

Update, 2017-11-29, finally:

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 0.1971 % 2,461.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1971 % 4,517.0
Floater 3.67 % 3.90 % 97,871 17.58 3 0.1971 % 2,603.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.5203 % 3,127.4
SplitShare 4.72 % 4.26 % 50,072 1.09 6 0.5203 % 3,734.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5203 % 2,914.1
Perpetual-Premium 5.34 % 4.67 % 44,065 0.10 20 -0.0431 % 2,841.8
Perpetual-Discount 5.18 % 5.22 % 65,513 15.03 15 0.1043 % 3,030.3
FixedReset 4.21 % 4.14 % 148,136 4.40 98 -0.0423 % 2,506.4
Deemed-Retractible 5.00 % 5.27 % 87,153 5.90 30 0.0804 % 2,952.7
FloatingReset 2.70 % 2.75 % 41,958 3.95 8 -0.1028 % 2,687.8
Performance Highlights
Issue Index Change Notes
W.PR.M FixedReset -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.94 %
CU.PR.G Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 21.97
Evaluated at bid price : 22.30
Bid-YTW : 5.05 %
BAM.PR.N Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.38 %
MFC.PR.K FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.19
Bid-YTW : 5.04 %
PVS.PR.E SplitShare 1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-27
Maturity Price : 26.00
Evaluated at bid price : 26.15
Bid-YTW : -3.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.A FixedReset 57,135 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.46 %
BAM.PF.F FixedReset 53,503 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 23.58
Evaluated at bid price : 24.88
Bid-YTW : 4.49 %
BMO.PR.M FixedReset 53,136 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.41 %
HSB.PR.C Deemed-Retractible 44,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-27
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.80 %
BAM.PF.C Perpetual-Discount 32,410 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 22.46
Evaluated at bid price : 22.81
Bid-YTW : 5.39 %
IFC.PR.E Deemed-Retractible 26,456 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.27 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Quote: 24.53 – 24.99
Spot Rate : 0.4600
Average : 0.2853

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.36 %

RY.PR.L FixedReset Quote: 25.32 – 25.63
Spot Rate : 0.3100
Average : 0.2183

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.25 %

TRP.PR.B FixedReset Quote: 16.61 – 16.86
Spot Rate : 0.2500
Average : 0.1708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 4.27 %

MFC.PR.F FixedReset Quote: 18.00 – 18.28
Spot Rate : 0.2800
Average : 0.2135

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 7.72 %

HSE.PR.C FixedReset Quote: 24.70 – 24.90
Spot Rate : 0.2000
Average : 0.1343

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 23.45
Evaluated at bid price : 24.70
Bid-YTW : 4.70 %

PWF.PR.F Perpetual-Discount Quote: 24.86 – 25.07
Spot Rate : 0.2100
Average : 0.1448

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 24.60
Evaluated at bid price : 24.86
Bid-YTW : 5.33 %

November 24, 2017

Friday, November 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 0.1975 % 2,456.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1975 % 4,508.2
Floater 3.68 % 3.92 % 96,293 17.54 3 0.1975 % 2,598.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1906 % 3,111.3
SplitShare 4.74 % 4.53 % 67,110 4.32 6 -0.1906 % 3,715.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1906 % 2,899.0
Perpetual-Premium 5.34 % 4.68 % 56,311 0.11 20 -0.0078 % 2,843.0
Perpetual-Discount 5.19 % 5.22 % 64,825 15.03 15 0.0451 % 3,027.2
FixedReset 4.21 % 4.20 % 151,009 4.34 98 0.1152 % 2,507.5
Deemed-Retractible 5.00 % 5.31 % 86,800 5.91 30 0.1091 % 2,950.3
FloatingReset 2.70 % 2.74 % 42,231 3.96 8 0.1517 % 2,690.5
Performance Highlights
Issue Index Change Notes
BAM.PR.N Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 5.44 %
MFC.PR.K FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.28 %
HSE.PR.E FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.35 %
HSE.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.43 %
IFC.PR.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 7.05 %
HSE.PR.C FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 23.48
Evaluated at bid price : 24.78
Bid-YTW : 4.73 %
PWF.PR.P FixedReset 7.46 % Just a reversal of yesterday‘s nonsense.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.36 %

Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 147,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.24 %
IFC.PR.E Deemed-Retractible 83,950 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.37 %
CM.PR.P FixedReset 51,728 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 23.11
Evaluated at bid price : 23.42
Bid-YTW : 4.17 %
TRP.PR.G FixedReset 35,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 23.08
Evaluated at bid price : 24.25
Bid-YTW : 4.58 %
TD.PF.H FixedReset 20,466 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.63 %
BMO.PR.C FixedReset 19,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.93 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.N Perpetual-Discount Quote: 22.14 – 22.57
Spot Rate : 0.4300
Average : 0.2793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 5.44 %

MFC.PR.K FixedReset Quote: 22.90 – 23.42
Spot Rate : 0.5200
Average : 0.3957

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.28 %

PWF.PR.A Floater Quote: 16.76 – 17.09
Spot Rate : 0.3300
Average : 0.2280

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 3.36 %

IFC.PR.F Deemed-Retractible Quote: 25.20 – 25.47
Spot Rate : 0.2700
Average : 0.1850

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.45 %

MFC.PR.C Deemed-Retractible Quote: 22.15 – 22.40
Spot Rate : 0.2500
Average : 0.1685

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.49 %

BMO.PR.T FixedReset Quote: 23.10 – 23.35
Spot Rate : 0.2500
Average : 0.1690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 22.73
Evaluated at bid price : 23.10
Bid-YTW : 4.22 %

November 23, 2017

Thursday, November 23rd, 2017

Chris Bourke of Bloomberg wrote a piece about Australia’s housing market that interested me because of Canada’s presence in the charts:

housingbook
Click for Big

That represents the failure of Canada’s housing policy since 2006 – the vast expansion of the CMHC insurance books has enabled the banks – through lower risk and, importantly, lower risk weights feeding into their capital ratios – to load up on mortgages. It astonishes me that there are some people who are surprised by the housing bubble in Toronto and Vancouver; I am flabbergasted that there are some who blame foreign money for the problem.

The other chart I liked was:

cranes
Click for Big

Wow. In Toronto, you can’t throw a brick without hitting a crane – Sydney must be something else!

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 -0.2626 % 2,452.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2626 % 4,499.3
Floater 3.69 % 3.91 % 99,610 17.55 3 -0.2626 % 2,593.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0987 % 3,117.2
SplitShare 4.73 % 4.14 % 53,442 1.10 6 0.0987 % 3,722.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0987 % 2,904.5
Perpetual-Premium 5.34 % 4.69 % 45,043 0.16 20 -0.0020 % 2,843.2
Perpetual-Discount 5.19 % 5.23 % 62,934 15.06 15 0.0338 % 3,025.8
FixedReset 4.22 % 4.20 % 152,585 4.41 98 -0.1509 % 2,504.6
Deemed-Retractible 5.01 % 5.31 % 87,901 5.91 30 -0.0450 % 2,947.1
FloatingReset 2.70 % 2.77 % 41,823 3.96 8 -0.1353 % 2,686.5
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -7.36 % Clearly a bogus quote (16.75-18.10), since the low for the day was 18.00 (three trades of 100 shares each, timestamped 3:36). I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.68 %

IFC.PR.A FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.91
Bid-YTW : 7.24 %
W.PR.K FixedReset -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.90 %
VNR.PR.A FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.E Perpetual-Discount 115,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 23.93
Evaluated at bid price : 24.41
Bid-YTW : 5.01 %
NA.PR.A FixedReset 62,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 3.42 %
GWO.PR.N FixedReset 24,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.43
Bid-YTW : 7.44 %
TRP.PR.J FixedReset 22,540 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.42 %
PWF.PR.Z Perpetual-Discount 14,436 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 24.39
Evaluated at bid price : 24.78
Bid-YTW : 5.23 %
BMO.PR.D FixedReset 13,190 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.90 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Quote: 16.75 – 18.10
Spot Rate : 1.3500
Average : 0.7509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.68 %

MFC.PR.L FixedReset Quote: 22.70 – 23.00
Spot Rate : 0.3000
Average : 0.1832

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 5.39 %

TRP.PR.G FixedReset Quote: 24.23 – 24.75
Spot Rate : 0.5200
Average : 0.4106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 23.08
Evaluated at bid price : 24.23
Bid-YTW : 4.58 %

W.PR.K FixedReset Quote: 26.15 – 26.50
Spot Rate : 0.3500
Average : 0.2650

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.90 %

SLF.PR.C Deemed-Retractible Quote: 22.10 – 22.32
Spot Rate : 0.2200
Average : 0.1519

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.66 %

IFC.PR.A FixedReset Quote: 19.91 – 20.20
Spot Rate : 0.2900
Average : 0.2252

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.91
Bid-YTW : 7.24 %

November 22, 2017

Wednesday, November 22nd, 2017

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% 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 300bp, a slight (and perhaps spurious) narrowing from the 305bp reported November 15

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 0.0876 % 2,458.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0876 % 4,511.1
Floater 3.68 % 3.90 % 98,567 17.57 3 0.0876 % 2,599.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0593 % 3,114.1
SplitShare 4.74 % 4.52 % 66,104 4.33 6 0.0593 % 3,718.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0593 % 2,901.7
Perpetual-Premium 5.34 % 2.46 % 44,925 0.11 20 0.1275 % 2,843.3
Perpetual-Discount 5.19 % 5.23 % 64,539 15.04 15 0.0734 % 3,024.8
FixedReset 4.21 % 4.19 % 155,101 4.41 98 0.1274 % 2,508.4
Deemed-Retractible 5.01 % 5.28 % 88,488 5.91 30 0.1625 % 2,948.4
FloatingReset 2.70 % 2.74 % 43,079 3.96 8 0.1463 % 2,690.1
Performance Highlights
Issue Index Change Notes
VNR.PR.A FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 22.78
Evaluated at bid price : 24.00
Bid-YTW : 4.68 %
MFC.PR.B Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.94
Bid-YTW : 6.06 %
HSE.PR.A FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 4.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset 466,895 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.49 %
RY.PR.Q FixedReset 289,136 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.20 %
TRP.PR.J FixedReset 257,205 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 3.45 %
TD.PF.G FixedReset 187,549 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.14 %
NA.PR.A FixedReset 178,206 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.89
Bid-YTW : 3.29 %
SLF.PR.H FixedReset 76,912 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.11 %
There were 23 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: 24.00 – 24.40
Spot Rate : 0.4000
Average : 0.2975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 22.78
Evaluated at bid price : 24.00
Bid-YTW : 4.68 %

MFC.PR.R FixedReset Quote: 26.18 – 26.39
Spot Rate : 0.2100
Average : 0.1517

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.59 %

BMO.PR.Y FixedReset Quote: 24.79 – 25.00
Spot Rate : 0.2100
Average : 0.1523

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.14 %

CU.PR.I FixedReset Quote: 26.00 – 26.25
Spot Rate : 0.2500
Average : 0.1956

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.08 %

RY.PR.A Deemed-Retractible Quote: 25.42 – 25.58
Spot Rate : 0.1600
Average : 0.1106

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-22
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -15.50 %

BAM.PF.J FixedReset Quote: 25.88 – 26.15
Spot Rate : 0.2700
Average : 0.2217

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.20 %

November 21, 2017

Tuesday, November 21st, 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 0.4843 % 2,456.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4843 % 4,507.2
Floater 3.68 % 3.90 % 97,362 17.57 3 0.4843 % 2,597.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.4971 % 3,112.3
SplitShare 4.74 % 4.53 % 50,368 4.33 6 0.4971 % 3,716.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4971 % 2,899.9
Perpetual-Premium 5.35 % 1.78 % 44,224 0.11 20 0.0451 % 2,839.6
Perpetual-Discount 5.20 % 5.22 % 66,720 15.08 15 0.3398 % 3,022.6
FixedReset 4.22 % 4.20 % 151,634 4.35 98 0.2440 % 2,505.2
Deemed-Retractible 5.02 % 5.31 % 88,261 5.92 30 0.0437 % 2,943.7
FloatingReset 2.70 % 2.76 % 43,378 3.96 8 0.0922 % 2,686.2
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 6.30 %
TRP.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 23.09
Evaluated at bid price : 24.26
Bid-YTW : 4.58 %
BAM.PR.X FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.60 %
PVS.PR.F SplitShare 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.59 %
BAM.PF.D Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 22.66
Evaluated at bid price : 23.01
Bid-YTW : 5.39 %
MFC.PR.N FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 4.76 %
VNR.PR.A FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 4.62 %
TD.PF.D FixedReset 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 4.27 %
PWF.PR.A Floater 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset 130,775 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 4.27 %
BNS.PR.H FixedReset 118,127 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 3.34 %
BAM.PF.B FixedReset 78,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 23.67
Evaluated at bid price : 24.10
Bid-YTW : 4.49 %
MFC.PR.N FixedReset 68,771 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 4.76 %
MFC.PR.M FixedReset 51,227 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.54
Bid-YTW : 4.94 %
IFC.PR.F Deemed-Retractible 40,417 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.34 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 17.57 – 18.09
Spot Rate : 0.5200
Average : 0.3663

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.64 %

IFC.PR.C FixedReset Quote: 23.50 – 23.85
Spot Rate : 0.3500
Average : 0.2325

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 4.88 %

MFC.PR.B Deemed-Retractible Quote: 22.61 – 22.90
Spot Rate : 0.2900
Average : 0.1970

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 6.30 %

MFC.PR.K FixedReset Quote: 23.09 – 23.45
Spot Rate : 0.3600
Average : 0.2686

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.09
Bid-YTW : 5.14 %

RY.PR.M FixedReset Quote: 24.34 – 24.63
Spot Rate : 0.2900
Average : 0.2042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 23.12
Evaluated at bid price : 24.34
Bid-YTW : 4.23 %

POW.PR.A Perpetual-Premium Quote: 25.40 – 25.69
Spot Rate : 0.2900
Average : 0.2074

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-21
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -6.77 %

November 20, 2017

Monday, November 20th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.8512 % 2,444.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8512 % 4,485.4
Floater 3.70 % 3.90 % 97,703 17.58 3 -0.8512 % 2,585.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0523 % 3,096.9
SplitShare 4.71 % 4.64 % 46,635 4.28 6 -0.0523 % 3,698.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0523 % 2,885.6
Perpetual-Premium 5.35 % 3.55 % 55,610 0.12 20 0.0393 % 2,838.4
Perpetual-Discount 5.21 % 5.25 % 67,306 15.03 15 0.1816 % 3,012.3
FixedReset 4.23 % 4.21 % 152,001 4.41 98 0.2179 % 2,499.1
Deemed-Retractible 5.02 % 5.38 % 87,932 5.92 30 0.2314 % 2,942.4
FloatingReset 2.71 % 2.75 % 42,239 3.97 8 -0.0379 % 2,683.7
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.41 %
TD.PF.D FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 23.16
Evaluated at bid price : 24.30
Bid-YTW : 4.42 %
MFC.PR.F FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 7.64 %
PWF.PR.P FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 4.31 %
GWO.PR.R Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 5.69 %
W.PR.M FixedReset 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.49 %
MFC.PR.K FixedReset 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset 189,555 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.43 %
BAM.PF.J FixedReset 84,223 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.22 %
TD.PF.E FixedReset 78,522 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.01 %
RY.PR.J FixedReset 78,492 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.26 %
MFC.PR.O FixedReset 53,086 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.37 %
PWF.PR.Z Perpetual-Discount 42,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 24.38
Evaluated at bid price : 24.77
Bid-YTW : 5.23 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 24.00 – 24.98
Spot Rate : 0.9800
Average : 0.6347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 22.97
Evaluated at bid price : 24.00
Bid-YTW : 4.63 %

PWF.PR.A Floater Quote: 16.50 – 16.94
Spot Rate : 0.4400
Average : 0.2777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.41 %

GWO.PR.S Deemed-Retractible Quote: 25.22 – 25.65
Spot Rate : 0.4300
Average : 0.2697

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 5.26 %

TD.PF.D FixedReset Quote: 24.30 – 24.72
Spot Rate : 0.4200
Average : 0.2737

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 23.16
Evaluated at bid price : 24.30
Bid-YTW : 4.42 %

TRP.PR.F FloatingReset Quote: 19.81 – 20.19
Spot Rate : 0.3800
Average : 0.2777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-20
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 3.55 %

MFC.PR.J FixedReset Quote: 24.41 – 24.73
Spot Rate : 0.3200
Average : 0.2323

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 4.63 %

November 17, 2017

Friday, November 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 -0.2829 % 2,465.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2829 % 4,524.0
Floater 3.67 % 3.91 % 96,700 17.57 3 -0.2829 % 2,607.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0982 % 3,098.5
SplitShare 4.71 % 4.67 % 48,463 4.29 6 0.0982 % 3,700.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0982 % 2,887.1
Perpetual-Premium 5.35 % 4.68 % 55,309 2.23 20 0.0924 % 2,837.2
Perpetual-Discount 5.22 % 5.25 % 67,770 15.05 15 0.1477 % 3,006.9
FixedReset 4.23 % 4.23 % 151,459 4.31 98 0.0421 % 2,493.6
Deemed-Retractible 5.03 % 5.38 % 88,741 5.93 30 0.1178 % 2,935.6
FloatingReset 2.78 % 2.83 % 41,374 3.97 8 0.0217 % 2,684.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 7.79 %
BMO.PR.T FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-17
Maturity Price : 22.78
Evaluated at bid price : 23.15
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 414,067 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 3.37 %
TD.PF.G FixedReset 194,110 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 3.46 %
HSB.PR.D Deemed-Retractible 88,869 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.82 %
BAM.PF.I FixedReset 83,876 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.80 %
RY.PR.C Deemed-Retractible 71,430 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -10.70 %
BAM.PR.R FixedReset 68,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-17
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.69 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Quote: 23.55 – 24.11
Spot Rate : 0.5600
Average : 0.4352

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.09 %

W.PR.M FixedReset Quote: 26.40 – 26.75
Spot Rate : 0.3500
Average : 0.2269

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.80 %

MFC.PR.H FixedReset Quote: 25.36 – 25.78
Spot Rate : 0.4200
Average : 0.3002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.65 %

W.PR.K FixedReset Quote: 26.04 – 26.50
Spot Rate : 0.4600
Average : 0.3488

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 4.02 %

MFC.PR.F FixedReset Quote: 18.05 – 18.35
Spot Rate : 0.3000
Average : 0.1986

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 7.79 %

MFC.PR.G FixedReset Quote: 24.65 – 25.00
Spot Rate : 0.3500
Average : 0.2612

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 4.46 %

November 16, 2017

Thursday, November 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 0.4372 % 2,472.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4372 % 4,536.8
Floater 3.66 % 3.91 % 97,573 17.56 3 0.4372 % 2,614.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1245 % 3,095.5
SplitShare 4.71 % 4.69 % 50,462 4.29 6 0.1245 % 3,696.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1245 % 2,884.3
Perpetual-Premium 5.36 % 4.69 % 44,793 2.24 20 0.0236 % 2,834.6
Perpetual-Discount 5.23 % 5.26 % 70,555 15.02 15 0.0654 % 3,002.4
FixedReset 4.23 % 4.22 % 145,257 4.31 99 0.1650 % 2,492.6
Deemed-Retractible 5.03 % 5.39 % 88,596 5.93 30 -0.0452 % 2,932.1
FloatingReset 2.78 % 2.84 % 42,008 3.97 8 0.2827 % 2,684.1
Performance Highlights
Issue Index Change Notes
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 : 23.14
Bid-YTW : 3.91 %
PWF.PR.A Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.C Deemed-Retractible 404,327 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.91 %
W.PR.M FixedReset 376,380 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.74 %
HSB.PR.D Deemed-Retractible 114,975 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.65 %
MFC.PR.O FixedReset 109,547 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.49 %
BNS.PR.E FixedReset 95,983 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.94
Bid-YTW : 3.21 %
RY.PR.Q FixedReset 87,413 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.85
Bid-YTW : 3.24 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 24.15 – 24.78
Spot Rate : 0.6300
Average : 0.4271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 23.04
Evaluated at bid price : 24.15
Bid-YTW : 4.66 %

PVS.PR.B SplitShare Quote: 25.35 – 25.87
Spot Rate : 0.5200
Average : 0.3237

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.87 %

NA.PR.W FixedReset Quote: 22.67 – 22.99
Spot Rate : 0.3200
Average : 0.2067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 22.32
Evaluated at bid price : 22.67
Bid-YTW : 4.32 %

HSE.PR.C FixedReset Quote: 24.52 – 24.80
Spot Rate : 0.2800
Average : 0.1898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 23.37
Evaluated at bid price : 24.52
Bid-YTW : 4.85 %

GWO.PR.I Deemed-Retractible Quote: 22.31 – 22.65
Spot Rate : 0.3400
Average : 0.2603

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 6.53 %

BMO.PR.T FixedReset Quote: 22.88 – 23.18
Spot Rate : 0.3000
Average : 0.2409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 22.52
Evaluated at bid price : 22.88
Bid-YTW : 4.26 %