Archive for the ‘Market Action’ Category

October 4, 2017

Wednesday, October 4th, 2017

PerpetualDiscounts now yield 5.40%, equivalent to 7.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 4.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 295bp, a narrowing from the 305bp reported September 27.

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 -0.0511 % 2,392.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0511 % 4,389.7
Floater 3.82 % 3.97 % 26,672 17.53 4 -0.0511 % 2,529.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0132 % 3,074.8
SplitShare 4.74 % 4.51 % 83,434 1.22 6 -0.0132 % 3,672.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0132 % 2,865.0
Perpetual-Premium 5.37 % 4.84 % 59,592 5.77 17 -0.0232 % 2,795.1
Perpetual-Discount 5.38 % 5.40 % 61,738 14.73 19 0.0659 % 2,915.6
FixedReset 4.29 % 4.40 % 150,877 4.61 99 0.2722 % 2,447.9
Deemed-Retractible 5.12 % 5.64 % 99,211 6.03 30 0.2572 % 2,874.0
FloatingReset 2.85 % 3.09 % 51,335 4.06 8 -0.2453 % 2,656.1
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.90 %
IFC.PR.C FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 5.51 %
TD.PR.T FloatingReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.06 %
TD.PF.A FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 22.72
Evaluated at bid price : 23.04
Bid-YTW : 4.38 %
CM.PR.O FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 22.56
Evaluated at bid price : 22.91
Bid-YTW : 4.42 %
BMO.PR.S FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 22.98
Evaluated at bid price : 23.38
Bid-YTW : 4.40 %
NA.PR.W FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 22.15
Evaluated at bid price : 22.46
Bid-YTW : 4.50 %
CM.PR.Q FixedReset 1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.46
Bid-YTW : 4.35 %
PWF.PR.T FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 23.28
Evaluated at bid price : 23.75
Bid-YTW : 4.40 %
NA.PR.S FixedReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 22.86
Evaluated at bid price : 23.26
Bid-YTW : 4.51 %
MFC.PR.C Deemed-Retractible 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 6.86 %
SLF.PR.B Deemed-Retractible 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.33 %
MFC.PR.F FixedReset 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.10 %
PWF.PR.P FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 4.59 %
MFC.PR.K FixedReset 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.I FixedReset 166,110 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.90 %
RY.PR.Q FixedReset 137,136 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.79
Bid-YTW : 3.58 %
CM.PR.R FixedReset 95,508 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.13 %
BMO.PR.C FixedReset 65,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.16 %
PWF.PR.I Perpetual-Premium 62,928 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-11-03
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : -13.50 %
RY.PR.I FixedReset 55,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.76 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Quote: 20.15 – 20.85
Spot Rate : 0.7000
Average : 0.4336

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.90 %

TRP.PR.F FloatingReset Quote: 19.80 – 20.40
Spot Rate : 0.6000
Average : 0.4275

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 3.68 %

NA.PR.Q FixedReset Quote: 25.18 – 25.50
Spot Rate : 0.3200
Average : 0.1762

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 2.06 %

TD.PR.T FloatingReset Quote: 24.50 – 24.85
Spot Rate : 0.3500
Average : 0.2127

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.06 %

HSE.PR.A FixedReset Quote: 16.90 – 17.40
Spot Rate : 0.5000
Average : 0.3744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.88 %

PWF.PR.S Perpetual-Discount Quote: 22.75 – 23.08
Spot Rate : 0.3300
Average : 0.2215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-04
Maturity Price : 22.42
Evaluated at bid price : 22.75
Bid-YTW : 5.35 %

October 3, 2017

Tuesday, October 3rd, 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 -1.0121 % 2,393.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0121 % 4,391.9
Floater 3.82 % 3.97 % 26,986 17.53 4 -1.0121 % 2,531.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0658 % 3,075.2
SplitShare 4.74 % 4.44 % 86,644 1.23 6 -0.0658 % 3,672.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0658 % 2,865.4
Perpetual-Premium 5.37 % 4.90 % 62,042 2.35 17 0.1207 % 2,795.7
Perpetual-Discount 5.38 % 5.40 % 61,775 14.74 19 0.0045 % 2,913.7
FixedReset 4.30 % 4.43 % 147,498 6.14 99 0.1172 % 2,441.3
Deemed-Retractible 5.13 % 5.63 % 99,452 6.03 30 -0.1465 % 2,866.6
FloatingReset 2.84 % 2.89 % 50,989 4.06 8 0.0273 % 2,662.6
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-03
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 4.87 %
SLF.PR.B Deemed-Retractible -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.59 %
TRP.PR.B FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-03
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 4.68 %
MFC.PR.C Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.42
Bid-YTW : 7.11 %
BAM.PR.K Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-03
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 3.99 %
BAM.PR.C Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-03
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 3.99 %
MFC.PR.K FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.57
Bid-YTW : 6.40 %
BAM.PR.B Floater -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-03
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 3.97 %
TD.PF.I FixedReset 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 3.84 %
IFC.PR.C FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 5.29 %
MFC.PR.M FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 5.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 251,886 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.82
Bid-YTW : 3.54 %
RY.PR.I FixedReset 121,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 3.67 %
BNS.PR.Y FixedReset 98,323 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.14
Bid-YTW : 4.05 %
BMO.PR.Q FixedReset 59,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.98
Bid-YTW : 5.13 %
CU.PR.E Perpetual-Discount 51,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-03
Maturity Price : 22.65
Evaluated at bid price : 23.05
Bid-YTW : 5.36 %
BAM.PF.J FixedReset 38,880 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.31 %
There were 21 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 – 25.00
Spot Rate : 1.0000
Average : 0.5948

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-03
Maturity Price : 22.95
Evaluated at bid price : 24.00
Bid-YTW : 4.74 %

GWO.PR.L Deemed-Retractible Quote: 25.53 – 26.00
Spot Rate : 0.4700
Average : 0.2809

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.53
Bid-YTW : 1.24 %

TRP.PR.B FixedReset Quote: 15.68 – 16.14
Spot Rate : 0.4600
Average : 0.2957

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-03
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 4.68 %

TD.PF.C FixedReset Quote: 22.73 – 23.15
Spot Rate : 0.4200
Average : 0.2814

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-03
Maturity Price : 22.35
Evaluated at bid price : 22.73
Bid-YTW : 4.43 %

MFC.PR.C Deemed-Retractible Quote: 21.42 – 21.80
Spot Rate : 0.3800
Average : 0.2620

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.42
Bid-YTW : 7.11 %

PVS.PR.D SplitShare Quote: 25.16 – 25.48
Spot Rate : 0.3200
Average : 0.2108

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.44 %

October 2, 2017

Monday, October 2nd, 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 0.8506 % 2,418.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8506 % 4,436.8
Floater 3.78 % 3.92 % 27,957 17.62 4 0.8506 % 2,557.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3435 % 3,077.2
SplitShare 4.74 % 4.43 % 86,595 1.23 6 0.3435 % 3,674.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3435 % 2,867.3
Perpetual-Premium 5.38 % 4.89 % 59,445 5.78 17 0.2520 % 2,792.4
Perpetual-Discount 5.38 % 5.40 % 61,112 14.78 19 0.2110 % 2,913.6
FixedReset 4.30 % 4.45 % 148,870 6.10 99 0.4447 % 2,438.4
Deemed-Retractible 5.13 % 5.69 % 100,003 6.04 30 0.0098 % 2,870.8
FloatingReset 2.84 % 2.88 % 49,922 4.06 8 0.0917 % 2,661.9
Performance Highlights
Issue Index Change Notes
ELF.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.06
Evaluated at bid price : 22.29
Bid-YTW : 5.33 %
MFC.PR.K FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 6.20 %
RY.PR.H FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.37
Evaluated at bid price : 22.70
Bid-YTW : 4.45 %
PWF.PR.F Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 24.43
Evaluated at bid price : 24.67
Bid-YTW : 5.40 %
TRP.PR.A FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.57 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.92 %
CM.PR.P FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.00
Evaluated at bid price : 22.25
Bid-YTW : 4.45 %
RY.PR.M FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.96
Evaluated at bid price : 24.02
Bid-YTW : 4.41 %
BMO.PR.Y FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 23.21
Evaluated at bid price : 24.50
Bid-YTW : 4.43 %
BAM.PR.T FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.74 %
TD.PF.A FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.43
Evaluated at bid price : 22.73
Bid-YTW : 4.44 %
NA.PR.W FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.56 %
TD.PF.C FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.33
Evaluated at bid price : 22.70
Bid-YTW : 4.43 %
GWO.PR.N FixedReset 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.40
Bid-YTW : 8.24 %
HSE.PR.A FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.78 %
BNS.PR.Y FixedReset 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 4.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
VNR.PR.A FixedReset 206,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.28
Evaluated at bid price : 23.00
Bid-YTW : 5.03 %
BMO.PR.C FixedReset 160,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.20 %
NA.PR.C FixedReset 153,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.32 %
BAM.PF.J FixedReset 54,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.39 %
NA.PR.W FixedReset 52,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.56 %
BMO.PR.T FixedReset 52,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.20
Evaluated at bid price : 22.51
Bid-YTW : 4.47 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Quote: 22.52 – 22.95
Spot Rate : 0.4300
Average : 0.2888

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 5.50 %

RY.PR.M FixedReset Quote: 24.02 – 24.40
Spot Rate : 0.3800
Average : 0.2662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-10-02
Maturity Price : 22.96
Evaluated at bid price : 24.02
Bid-YTW : 4.41 %

MFC.PR.L FixedReset Quote: 21.43 – 21.74
Spot Rate : 0.3100
Average : 0.1975

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 6.45 %

IFC.PR.A FixedReset Quote: 19.50 – 19.78
Spot Rate : 0.2800
Average : 0.1777

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.52 %

MFC.PR.M FixedReset Quote: 22.35 – 22.72
Spot Rate : 0.3700
Average : 0.2875

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 5.91 %

MFC.PR.J FixedReset Quote: 23.72 – 23.98
Spot Rate : 0.2600
Average : 0.1807

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.26 %

September 29, 2017

Friday, September 29th, 2017

That’s it for another month! It turned out pretty well, with TXPR up 1.36% … with roughly half that coming in the last two days!

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 -0.5614 % 2,397.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5614 % 4,399.4
Floater 3.95 % 3.96 % 94,574 17.50 3 -0.5614 % 2,535.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0661 % 3,066.7
SplitShare 4.76 % 4.71 % 87,444 4.42 6 0.0661 % 3,662.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0661 % 2,857.5
Perpetual-Premium 5.42 % 4.84 % 57,851 5.78 16 0.1483 % 2,785.3
Perpetual-Discount 5.35 % 5.41 % 72,851 14.70 19 0.4020 % 2,907.4
FixedReset 4.33 % 4.52 % 154,789 6.13 99 0.5185 % 2,427.6
Deemed-Retractible 5.13 % 5.68 % 101,429 6.04 30 0.3361 % 2,870.5
FloatingReset 2.83 % 2.90 % 51,774 4.07 8 0.3003 % 2,659.5
Performance Highlights
Issue Index Change Notes
BAM.PF.H FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.24
Bid-YTW : 3.39 %
BAM.PF.B FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.75
Evaluated at bid price : 23.17
Bid-YTW : 4.75 %
BAM.PF.A FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.63
Evaluated at bid price : 24.16
Bid-YTW : 4.84 %
RY.PR.M FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.83
Evaluated at bid price : 23.75
Bid-YTW : 4.49 %
PWF.PR.K Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.44 %
SLF.PR.H FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.19 %
POW.PR.D Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.32 %
HSE.PR.C FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.20
Evaluated at bid price : 24.20
Bid-YTW : 4.99 %
BMO.PR.T FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 21.82
Evaluated at bid price : 22.33
Bid-YTW : 4.51 %
BAM.PR.T FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.82 %
CM.PR.Q FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.99
Evaluated at bid price : 23.99
Bid-YTW : 4.55 %
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 : 21.65
Bid-YTW : 6.92 %
TD.PF.D FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.18
Evaluated at bid price : 24.40
Bid-YTW : 4.52 %
GWO.PR.H Deemed-Retractible 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.35 %
TD.PF.B FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.17
Evaluated at bid price : 22.48
Bid-YTW : 4.53 %
BAM.PR.X FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.82 %
BAM.PR.R FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.82 %
MFC.PR.B Deemed-Retractible 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 6.53 %
BNS.PR.Z FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 4.46 %
TRP.PR.D FixedReset 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 21.65
Evaluated at bid price : 22.08
Bid-YTW : 4.68 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Z FixedReset 210,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 4.46 %
TRP.PR.K FixedReset 124,187 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.12 %
CM.PR.R FixedReset 120,488 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.22 %
RY.PR.Q FixedReset 119,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.58 %
BMO.PR.B FixedReset 111,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.73 %
BMO.PR.R FloatingReset 109,765 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.06 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Quote: 24.20 – 25.00
Spot Rate : 0.8000
Average : 0.5034

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 23.20
Evaluated at bid price : 24.20
Bid-YTW : 4.99 %

TD.PF.B FixedReset Quote: 22.48 – 23.00
Spot Rate : 0.5200
Average : 0.3323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 22.17
Evaluated at bid price : 22.48
Bid-YTW : 4.53 %

SLF.PR.A Deemed-Retractible Quote: 22.40 – 22.80
Spot Rate : 0.4000
Average : 0.2724

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.60 %

BIP.PR.C FixedReset Quote: 25.76 – 26.10
Spot Rate : 0.3400
Average : 0.2226

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.54 %

GWO.PR.N FixedReset Quote: 17.12 – 17.55
Spot Rate : 0.4300
Average : 0.3321

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.12
Bid-YTW : 8.49 %

CM.PR.P FixedReset Quote: 22.00 – 22.25
Spot Rate : 0.2500
Average : 0.1603

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-29
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.51 %

September 28, 2017

Thursday, September 28th, 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 0.7779 % 2,411.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7779 % 4,424.3
Floater 3.93 % 3.93 % 95,481 17.56 3 0.7779 % 2,549.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0264 % 3,064.7
SplitShare 4.76 % 4.71 % 90,340 4.42 6 -0.0264 % 3,659.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0264 % 2,855.6
Perpetual-Premium 5.43 % 4.87 % 56,575 5.98 16 0.0939 % 2,781.2
Perpetual-Discount 5.37 % 5.43 % 70,329 14.67 19 0.2824 % 2,895.8
FixedReset 4.35 % 4.58 % 151,067 6.20 99 0.1346 % 2,415.1
Deemed-Retractible 5.14 % 5.70 % 101,615 6.04 30 0.2807 % 2,860.9
FloatingReset 2.84 % 3.17 % 52,331 4.07 8 0.0492 % 2,651.5
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-28
Maturity Price : 21.53
Evaluated at bid price : 21.90
Bid-YTW : 4.79 %
MFC.PR.N FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.01 %
SLF.PR.J FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.07
Bid-YTW : 8.22 %
IAG.PR.A Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 6.42 %
BAM.PR.B Floater 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-28
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 3.92 %
MFC.PR.K FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.48
Bid-YTW : 6.47 %
MFC.PR.G FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 5.23 %
HSE.PR.G FixedReset 1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 5.18 %
ELF.PR.G Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-28
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.A FixedReset 215,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.57 %
NA.PR.C FixedReset 208,387 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 4.42 %
CM.PR.R FixedReset 164,025 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.26 %
BMO.PR.C FixedReset 162,146 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 4.20 %
RY.PR.R FixedReset 125,764 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.78 %
RY.PR.Z FixedReset 104,381 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-28
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 4.51 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSB.PR.D Deemed-Retractible Quote: 25.25 – 27.88
Spot Rate : 2.6300
Average : 1.4297

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-28
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -7.32 %

SLF.PR.B Deemed-Retractible Quote: 22.73 – 23.50
Spot Rate : 0.7700
Average : 0.4850

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.73
Bid-YTW : 6.40 %

MFC.PR.G FixedReset Quote: 23.52 – 24.45
Spot Rate : 0.9300
Average : 0.7043

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 5.23 %

W.PR.M FixedReset Quote: 25.90 – 26.45
Spot Rate : 0.5500
Average : 0.3313

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.19 %

MFC.PR.B Deemed-Retractible Quote: 22.00 – 22.61
Spot Rate : 0.6100
Average : 0.3923

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.81 %

W.PR.K FixedReset Quote: 25.80 – 26.30
Spot Rate : 0.5000
Average : 0.3192

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.15 %

September 27, 2017

Wednesday, September 27th, 2017

PerpetualDiscounts now yield 5.46%, equivalent to 7.10% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax, interest-equivalent spread (in this context, the “Seniority Spread” is now about 305bp, a slight (and perhaps spurious) widening from the 300bp reported September 20.

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 -0.5859 % 2,392.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5859 % 4,390.1
Floater 3.96 % 3.96 % 96,350 17.50 3 -0.5859 % 2,530.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0330 % 3,065.5
SplitShare 4.76 % 4.71 % 94,085 4.42 6 -0.0330 % 3,660.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0330 % 2,856.3
Perpetual-Premium 5.43 % 4.86 % 57,088 5.98 16 0.1238 % 2,778.6
Perpetual-Discount 5.38 % 5.46 % 70,408 14.65 19 0.0275 % 2,887.6
FixedReset 4.35 % 4.57 % 152,341 6.20 99 0.1781 % 2,411.9
Deemed-Retractible 5.14 % 5.70 % 103,476 6.04 31 0.1304 % 2,852.9
FloatingReset 2.84 % 3.18 % 54,177 4.07 8 0.0711 % 2,650.2
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 3.97 %
CM.PR.O FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.57 %
HSE.PR.C FixedReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 23.06
Evaluated at bid price : 23.92
Bid-YTW : 5.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 333,138 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.31 %
NA.PR.A FixedReset 118,429 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.14 %
RY.PR.R FixedReset 112,524 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 3.85 %
BAM.PF.F FixedReset 71,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 23.52
Evaluated at bid price : 23.85
Bid-YTW : 4.86 %
TRP.PR.G FixedReset 66,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 22.90
Evaluated at bid price : 23.90
Bid-YTW : 4.78 %
TD.PF.A FixedReset 62,223 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.56 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Quote: 21.20 – 22.14
Spot Rate : 0.9400
Average : 0.7233

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.68 %

MFC.PR.O FixedReset Quote: 26.80 – 27.30
Spot Rate : 0.5000
Average : 0.3519

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.58 %

VNR.PR.A FixedReset Quote: 22.75 – 23.20
Spot Rate : 0.4500
Average : 0.3182

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-27
Maturity Price : 22.13
Evaluated at bid price : 22.75
Bid-YTW : 5.11 %

IAG.PR.A Deemed-Retractible Quote: 22.18 – 22.58
Spot Rate : 0.4000
Average : 0.3272

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.18
Bid-YTW : 6.59 %

CU.PR.I FixedReset Quote: 26.00 – 26.25
Spot Rate : 0.2500
Average : 0.1773

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.29 %

TD.PF.I FixedReset Quote: 25.31 – 25.51
Spot Rate : 0.2000
Average : 0.1311

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.45 %

September 26, 2017

Tuesday, September 26th, 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 0.5656 % 2,406.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5656 % 4,416.0
Floater 3.94 % 3.93 % 97,523 17.57 3 0.5656 % 2,545.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1124 % 3,066.5
SplitShare 4.76 % 4.66 % 92,952 4.43 6 0.1124 % 3,662.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1124 % 2,857.3
Perpetual-Premium 5.43 % 4.88 % 56,146 5.99 16 -0.0668 % 2,775.2
Perpetual-Discount 5.38 % 5.46 % 71,109 14.66 19 0.0137 % 2,886.8
FixedReset 4.36 % 4.59 % 153,976 6.21 99 0.0493 % 2,407.6
Deemed-Retractible 5.15 % 5.71 % 103,002 6.04 31 0.0857 % 2,849.2
FloatingReset 2.84 % 3.20 % 54,276 4.08 8 0.0109 % 2,648.3
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.08
Bid-YTW : 5.54 %
PWF.PR.L Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 5.56 %
PVS.PR.E SplitShare 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.66 %
BAM.PF.D Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 21.96
Evaluated at bid price : 22.30
Bid-YTW : 5.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset 267,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.58 %
TD.PF.H FixedReset 136,803 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.94 %
RY.PR.E Deemed-Retractible 133,540 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : -1.25 %
RY.PR.R FixedReset 130,240 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.78 %
BNS.PR.Q FixedReset 117,375 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.69 %
VNR.PR.A FixedReset 103,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 22.19
Evaluated at bid price : 22.85
Bid-YTW : 5.09 %
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.H FixedReset Quote: 24.00 – 24.88
Spot Rate : 0.8800
Average : 0.4867

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.64 %

PWF.PR.K Perpetual-Discount Quote: 22.72 – 23.53
Spot Rate : 0.8100
Average : 0.4551

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 22.46
Evaluated at bid price : 22.72
Bid-YTW : 5.53 %

MFC.PR.K FixedReset Quote: 21.35 – 22.14
Spot Rate : 0.7900
Average : 0.4857

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 6.56 %

HSE.PR.G FixedReset Quote: 24.30 – 24.98
Spot Rate : 0.6800
Average : 0.3981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 23.15
Evaluated at bid price : 24.30
Bid-YTW : 5.31 %

IAG.PR.G FixedReset Quote: 22.62 – 23.25
Spot Rate : 0.6300
Average : 0.4282

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.62
Bid-YTW : 5.69 %

TRP.PR.D FixedReset Quote: 22.28 – 22.89
Spot Rate : 0.6100
Average : 0.4090

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-26
Maturity Price : 21.79
Evaluated at bid price : 22.28
Bid-YTW : 4.70 %

September 25, 2017

Monday, September 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 -1.0033 % 2,393.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0033 % 4,391.1
Floater 3.96 % 3.96 % 100,641 17.51 3 -1.0033 % 2,530.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0529 % 3,063.1
SplitShare 4.76 % 4.83 % 92,284 4.42 6 -0.0529 % 3,657.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0529 % 2,854.1
Perpetual-Premium 5.43 % 4.87 % 56,380 5.99 16 0.0396 % 2,777.0
Perpetual-Discount 5.38 % 5.46 % 70,663 14.62 19 -0.1988 % 2,886.4
FixedReset 4.36 % 4.62 % 147,308 6.21 99 -0.1020 % 2,406.4
Deemed-Retractible 5.15 % 5.73 % 99,133 6.04 31 -0.2157 % 2,846.8
FloatingReset 2.84 % 3.19 % 53,979 4.08 8 -0.2291 % 2,648.0
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 3.95 %
PWF.PR.F Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 5.48 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.E FixedReset 130,566 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 23.15
Evaluated at bid price : 24.44
Bid-YTW : 4.58 %
BAM.PF.J FixedReset 111,796 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.65 %
TD.PF.H FixedReset 110,157 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 3.91 %
CU.PR.C FixedReset 89,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.92 %
BNS.PR.H FixedReset 84,843 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.87 %
TD.PR.T FloatingReset 66,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.68
Bid-YTW : 2.85 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Quote: 23.85 – 24.30
Spot Rate : 0.4500
Average : 0.2722

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 22.92
Evaluated at bid price : 23.85
Bid-YTW : 4.59 %

HSE.PR.C FixedReset Quote: 23.40 – 23.95
Spot Rate : 0.5500
Average : 0.3750

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 23.10
Evaluated at bid price : 23.40
Bid-YTW : 5.20 %

MFC.PR.O FixedReset Quote: 26.78 – 27.30
Spot Rate : 0.5200
Average : 0.3864

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.60 %

HSE.PR.E FixedReset Quote: 24.21 – 24.50
Spot Rate : 0.2900
Average : 0.1742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 23.15
Evaluated at bid price : 24.21
Bid-YTW : 5.36 %

TRP.PR.D FixedReset Quote: 22.20 – 22.50
Spot Rate : 0.3000
Average : 0.1887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-25
Maturity Price : 21.74
Evaluated at bid price : 22.20
Bid-YTW : 4.72 %

RY.PR.R FixedReset Quote: 26.66 – 26.95
Spot Rate : 0.2900
Average : 0.1838

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 3.82 %

September 22, 2017

Friday, September 22nd, 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 0.7759 % 2,417.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7759 % 4,435.6
Floater 3.92 % 3.93 % 102,055 17.58 3 0.7759 % 2,556.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0264 % 3,064.7
SplitShare 4.76 % 4.83 % 90,941 4.43 6 0.0264 % 3,659.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0264 % 2,855.6
Perpetual-Premium 5.43 % 4.93 % 55,566 6.00 16 -0.0470 % 2,775.9
Perpetual-Discount 5.37 % 5.42 % 71,238 14.71 19 0.0366 % 2,892.2
FixedReset 4.36 % 4.62 % 153,055 6.21 99 0.1225 % 2,408.8
Deemed-Retractible 5.14 % 5.69 % 99,899 6.06 31 -0.0420 % 2,852.9
FloatingReset 2.85 % 2.96 % 49,972 4.09 8 0.1530 % 2,654.1
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.90 %
IAG.PR.A Deemed-Retractible 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 6.52 %
PWF.PR.P FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.72 %
TRP.PR.F FloatingReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 3.65 %
TRP.PR.A FixedReset 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 203,863 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.89 %
BNS.PR.H FixedReset 184,568 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.84 %
MFC.PR.R FixedReset 178,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.12 %
MFC.PR.F FixedReset 165,422 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.10
Bid-YTW : 8.54 %
RY.PR.D Deemed-Retractible 141,361 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-22
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -3.74 %
CM.PR.R FixedReset 135,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.43 %
TD.PR.Y FixedReset 102,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.67 %
BMO.PR.R FloatingReset 100,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.38
Bid-YTW : 3.21 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Quote: 22.30 – 22.60
Spot Rate : 0.3000
Average : 0.1959

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 4.74 %

TRP.PR.K FixedReset Quote: 25.78 – 26.00
Spot Rate : 0.2200
Average : 0.1387

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.26 %

IFC.PR.F Deemed-Retractible Quote: 24.45 – 24.73
Spot Rate : 0.2800
Average : 0.2055

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.80 %

BMO.PR.W FixedReset Quote: 21.88 – 22.05
Spot Rate : 0.1700
Average : 0.1046

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 4.60 %

TRP.PR.F FloatingReset Quote: 19.92 – 20.40
Spot Rate : 0.4800
Average : 0.4187

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-22
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 3.65 %

RY.PR.Q FixedReset Quote: 26.55 – 26.70
Spot Rate : 0.1500
Average : 0.0960

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.82 %

September 21, 2017

Thursday, September 21st, 2017

Ash Alankar has an interesting piece on Bloomberg about Treasury / Junk decoupling:

The Treasury yield curve has inverted ahead of the past six downturns going back to the 1960s, including prior to the last two recessions in 2000 and 2006. But that was before the era of central bank quantitative easing. Years of unconventional monetary accommodation have led to many market distortions, one of which has been the disappearing term premium, which measures the extra compensation investors need to own long-term bonds instead of continuously rolling over short-term debt. By guaranteeing unprecedented levels of liquidity through its asset purchases, the so-called Fed put has taken risk out of the system and the term premium along with it.

But [the flattened yield curve] should not be a reason for concern, because all the above distortions mean the shape of the Treasury yield curve is no longer a reliable indicator of an impending recession. A much truer assessment of the threat of a slowdown can be gleaned from the high-yield credit curve, where the impact of central bank policy is much less pronounced.

The spread between two- and five-year Treasuries is less than half the average since the end of the global financial crisis, at 41 basis points versus a mean of 90 basis points. By contrast, the extra yield enjoyed by sellers of five-year high-yield credit default swaps versus two-year high-yield credit default swaps stands 30 basis points higher than the average.

treasury_2_5_spread_170921
Click for Big
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4448 % 2,398.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4448 % 4,401.5
Floater 3.95 % 3.95 % 101,632 17.54 3 -0.4448 % 2,536.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1457 % 3,063.9
SplitShare 4.76 % 4.83 % 85,169 4.44 6 0.1457 % 3,658.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1457 % 2,854.8
Perpetual-Premium 5.43 % 4.86 % 56,055 6.00 16 0.1093 % 2,777.2
Perpetual-Discount 5.37 % 5.43 % 72,179 14.70 19 0.3061 % 2,891.1
FixedReset 4.36 % 4.62 % 154,521 6.22 99 0.0502 % 2,405.9
Deemed-Retractible 5.14 % 5.60 % 100,302 6.06 31 0.1059 % 2,854.1
FloatingReset 2.86 % 2.97 % 50,404 4.09 8 0.2300 % 2,650.1
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.33
Bid-YTW : 5.36 %
SLF.PR.J FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.02
Bid-YTW : 8.27 %
TRP.PR.B FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 4.69 %
W.PR.H Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.65 %
HSE.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.98 %
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 : 17.45
Bid-YTW : 8.44 %
TRP.PR.F FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 3.70 %
BAM.PR.T FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 4.87 %
PWF.PR.P FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 805,473 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.88 %
RY.PR.F Deemed-Retractible 266,677 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : -0.64 %
RY.PR.C Deemed-Retractible 246,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : -1.32 %
BNS.PR.B FloatingReset 205,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.74
Bid-YTW : 2.90 %
BMO.PR.C FixedReset 174,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 4.23 %
TD.PF.G FixedReset 118,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 3.53 %
TRP.PR.K FixedReset 117,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.27 %
RY.PR.R FixedReset 117,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.76 %
CM.PR.P FixedReset 115,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 21.55
Evaluated at bid price : 21.94
Bid-YTW : 4.61 %
RY.PR.A Deemed-Retractible 102,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : -1.60 %
BAM.PR.T FixedReset 102,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 4.87 %
RY.PR.D Deemed-Retractible 101,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -3.42 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Quote: 23.37 – 23.95
Spot Rate : 0.5800
Average : 0.3508

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 23.07
Evaluated at bid price : 23.37
Bid-YTW : 5.23 %

IAG.PR.G FixedReset Quote: 22.65 – 23.11
Spot Rate : 0.4600
Average : 0.3180

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 5.66 %

MFC.PR.G FixedReset Quote: 23.33 – 23.61
Spot Rate : 0.2800
Average : 0.1800

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.33
Bid-YTW : 5.36 %

TRP.PR.F FloatingReset Quote: 19.62 – 20.07
Spot Rate : 0.4500
Average : 0.3514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 3.70 %

EML.PR.A FixedReset Quote: 26.20 – 26.74
Spot Rate : 0.5400
Average : 0.4496

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 4.19 %

TRP.PR.A FixedReset Quote: 19.53 – 19.94
Spot Rate : 0.4100
Average : 0.3230

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-21
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 4.73 %