Archive for the ‘Market Action’ Category

August 4, 2017

Friday, August 4th, 2017

Jobs, jobs, jobs!

The U.S. labor market hit its stride in July, as employers added workers at a solid clip, the jobless rate matched a 16-year low and monthly wage growth picked up.

Highlights of Employment (July)

  • •Payrolls rose 209k (est. 180k); May-June revisions added 2k jobs
  • •Unemployment rate, derived from separate survey of households, fell to 4.3% (matching est.)
  • •Average hourly earnings rose 0.3% m/m (matching est.) after 0.2% gain; up 2.5% y/y (est. 2.4%)

Job gains were broad-based during July, led by the largest jump in leisure and hospitality employment since September 2015, a move driven by gains at restaurants. Hiring also hit five-month highs in manufacturing and education and health services. The drop in the jobless rate reflected a 345,000 rise in employed people in the household survey, while the number of unemployed was little changed.

Meanwhile, in the frozen North:

Canada’s labor market continued its stellar performance in July, with the jobless rate falling to the lowest since before the financial crisis.

The unemployment rate fell to 6.3 percent, the lowest since October 2008, as the labor market added another 10,900 jobs during the month, Statistics Canada reported from Ottawa. The total increase over the past year of 387,600 is the biggest 12-month gain since 2007.

Canada’s dollar fell 0.3 percent to C$1.2628 against its U.S. counterpart at 8:56 a.m. Toronto time. The greenback’s strength reflected a solid U.S. jobs report, with payrolls climbing by 209,000 and the jobless rate matching a 16-year low. Canada’s currency is still up 6.4 percent this year.

Two-year government bond yields rose 2 basis points to 1.25 percent, and the 10-year yield climbed 4 points to 1.93 percent. Traders were pricing in 64 percent odds of a Bank of Canada interest rate increase in October, versus 60 percent yesterday.

While the job gain in July was lower than the average over the previous few months, the numbers show a healthy labor market.
•The bulk of the gains over the past year have been full -time, with 353,500 jobs. In July, the economy created 35,100 full-time jobs while dropping 24,300 part-time jobs
•The full-time job gains means the total number of hours worked — a key determinant of income — are also accelerating. Total actual hours worked were up 1.9 percent in July from a year earlier, the fastest year-over-year gain since August 2015

I’m pleased to see that Shkreli is getting his just reward:

Shkreli, notorious for raising the price of a potentially life-saving drug by 5,000 percent, was found guilty Friday of defrauding investors in two hedge funds and in Retrophin Inc., a pharmaceutical company he co-founded.

He is now almost certain to go to prison. Shkreli faces as long as 20 years behind bars, although he’s likely to serve much less. U.S. District Judge Kiyo Matsumoto allowed him to return home and wished Shkreli well after the verdict was read. She said she would see him soon, though she hasn’t set a date for sentencing.

In the end, it was Shkreli’s lies to his investors that cost him his freedom, not his 2015 decision to jack up the price of an anti-parasitic drug. Prosecutors said Shkreli, 34, misled clients about the performance of his failing hedge funds, secretly used their money to start Retrophin, and then took $11 million from the drug-development company to repay them.

His attorneys sought to prove their case through cross-examination of government witnesses, claiming that Shkreli was an eccentric genius whose investors ultimately made millions of dollars — even if it took them years to recover their money.

“This is not a case where anybody was defrauded,” defense attorney Benjamin Brafman said in his closing argument to jurors.

I realize that his attorneys didn’t have much to work with, but I find the ‘everything worked out OK’ defence to be particularly obnoxious:

But no one said they lost money investing with the former pharmaceutical executive.

Shkreli’s lawyers urged jurors right from the start to keep an open mind because their client is “weird” and since then focused on a “no harm, no foul defense.”

Yeah, try the ‘no harm, no foul” defence when you’re a small-time bookkeeper taking a $50 advance on next week’s pay. See how far that’ll get you.

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 0.1372 % 2,447.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1372 % 4,490.1
Floater 3.54 % 3.56 % 124,438 18.36 3 0.1372 % 2,587.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0392 % 3,057.0
SplitShare 4.71 % 4.44 % 54,572 1.37 5 -0.0392 % 3,650.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0392 % 2,848.4
Perpetual-Premium 5.39 % 4.66 % 60,843 2.48 17 0.0278 % 2,786.2
Perpetual-Discount 5.30 % 5.29 % 68,947 14.91 20 0.0872 % 2,926.1
FixedReset 4.33 % 4.44 % 166,808 6.32 98 -0.0513 % 2,407.8
Deemed-Retractible 5.06 % 5.34 % 115,574 6.10 30 0.0360 % 2,867.1
FloatingReset 2.61 % 3.00 % 41,271 4.25 9 -0.1923 % 2,633.2
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.63
Bid-YTW : 6.25 %
BMO.PR.R FloatingReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 3.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.D Deemed-Retractible 29,533 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 7.11 %
RY.PR.Q FixedReset 26,074 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 3.54 %
MFC.PR.I FixedReset 21,902 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.02 %
TD.PF.I FixedReset 19,040 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.42 %
RY.PR.E Deemed-Retractible 17,837 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-03
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : -7.11 %
CM.PR.R FixedReset 17,361 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.51 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.R FloatingReset Quote: 24.20 – 24.58
Spot Rate : 0.3800
Average : 0.2528

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 3.00 %

MFC.PR.K FixedReset Quote: 21.63 – 21.95
Spot Rate : 0.3200
Average : 0.2060

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.63
Bid-YTW : 6.25 %

PWF.PR.F Perpetual-Discount Quote: 24.65 – 25.04
Spot Rate : 0.3900
Average : 0.2784

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-04
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.35 %

CU.PR.C FixedReset Quote: 22.00 – 22.24
Spot Rate : 0.2400
Average : 0.1543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-04
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 4.65 %

GWO.PR.I Deemed-Retractible Quote: 21.90 – 22.32
Spot Rate : 0.4200
Average : 0.3352

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.75 %

MFC.PR.O FixedReset Quote: 26.87 – 27.10
Spot Rate : 0.2300
Average : 0.1495

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.87
Bid-YTW : 3.73 %

August 3, 2017

Thursday, August 3rd, 2017

Remember the Teachers / BCE deal? Bloomberg has a look back, ten years later:

Another is what happened to BCE after the deal imploded. It flourished—with what Jim Leech, head of Ontario Teachers’ Pension Plan’s private capital arm at the time, says is much of the board and management team his bidding group would have put in charge.

Today the company’s shares are up more than 150 percent from the day the deal collapsed.

“It would have been a home run,” Mark Wiseman, then head of private investment at the competing bidder Canada Pension Plan Investment Board, says. “It didn’t beat what we projected—it crushed what we projected.”

Wiseman:Hindsight is 20-20. As it turns out, the company could have easily supported the debt, given its outperformance. What’s missed in the middle of this is that [KPMG’s] Susan Glass helped save Citibank. If she had gone the other way on her going-concern opinion, Citi would have been on the hook for at least C$20 billion in the middle of the financial crisis. Could you imagine the loss they would have taken in trying to place that debt?

Joel Wagner of the BoC has published a Staff Paper, Downward Nominal Wage Rigidity in Canada: Evidence Against a “Greasing Effect”:

The existence of downward nominal wage rigidity (DNWR) has often been used to justify a positive inflation target. It is traditionally assumed that positive inflation could “grease the wheels” of the labour market by putting downward pressure on real wages, easing labour market adjustments during a recession. A rise in the inflation target would attenuate the long-run level of unemployment and hasten economic recovery after an adverse shock. Following Daly and Hobijn (2014), we re-examine these issues in a model that accounts for precautionary motives in wage-setting behaviour. We confirm that DNWR generates a long-run negative relation between inflation and unemployment, in line with previous contributions to the literature. However, we also find that the increase in the number of people bound by DNWR following a negative demand shock rises with inflation, offsetting the beneficial effects of a higher inflation target. As an implication, contrary to previous contributions that neglected precautionary behaviour, the speed at which unemployment returns to pre-crisis levels during recessions is relatively unaffected by variations in the inflation target.

Global bonds were strong today:

•The yield on 10-year Treasuries held at 2.22 percent after declining five basis points on Thursday.
•Ten-year yield on Australian government notes fell five basis points to 2.62 percent

Canada was not immune, with the five-year Canada yield falling to 1.51%, from 1.65% at month-end.

Americans are doing better with their retirement plans:

A string of record 401(k) and IRA account totals now stretches across three consecutive quarters, according to second-quarter data from Fidelity Investments. The data covers 22,155 companies and 15.1 million 401(k) plan participants, as well as 8.8 million IRA accounts. The performance reflects the impressive display of endurance training by a stock market that just keeps on running, as well as increased employee and employer contributions to retirement accounts.

The average 401(k) account balance stands at $97,700 as of June 30. That’s a 9.6 percent gain from the $89,100 average of a year ago, and a big leap from the $73,300 average of five years ago. Average IRA totals, meanwhile, rose to $100,200 from $89,600 a year ago and $73,100 in 2012. For the 12 months ending June 30, market gains accounted for 72 percent of the rise in retirement account balances at Fidelity. Over that same period, the Standard & Poor’s 500 had a total return of 17.9 percent.

Employees put a record average of $5,850 into their 401(k)s over the past 12 months, a 4 percent increase from a year ago. Ninety-five percent of active employees contribute to their 401(k)s, and many defer enough of their pre-tax salary to get the average company match, which is 4.5 percent. But about 21 percent of employees can’t, or aren’t, contributing enough to get the full match. Many are likely to have been auto-enrolled into their 401(k) at a salary deferral rate of 3 percent, and left it there.

The bit of good news is that many savers don’t have that far to go before getting the full match—53 percent are 1 or 2 percentage points away. Competing financial priorities may mean saving another 1 or 2 percent of salary isn’t feasible until a raise or bonus comes into play. But if extra cash flow exists, a relatively small increase in savings rates can make a big difference over a long career.

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 -0.0457 % 2,443.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0457 % 4,484.0
Floater 3.54 % 3.56 % 128,595 18.36 3 -0.0457 % 2,584.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1332 % 3,058.2
SplitShare 4.71 % 4.39 % 55,285 1.38 5 -0.1332 % 3,652.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1332 % 2,849.6
Perpetual-Premium 5.39 % 4.61 % 61,671 5.96 17 0.0232 % 2,785.4
Perpetual-Discount 5.30 % 5.29 % 69,270 14.90 20 -0.3245 % 2,923.6
FixedReset 4.33 % 4.43 % 168,840 6.33 98 -0.1546 % 2,409.1
Deemed-Retractible 5.06 % 5.38 % 110,816 6.10 30 0.0055 % 2,866.1
FloatingReset 2.60 % 2.96 % 41,804 4.25 9 -0.0809 % 2,638.2
Performance Highlights
Issue Index Change Notes
VNR.PR.A FixedReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 21.56
Evaluated at bid price : 21.90
Bid-YTW : 5.12 %
IFC.PR.C FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 5.72 %
MFC.PR.J FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 5.12 %
BAM.PF.G FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.67 %
BAM.PF.D Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 22.14
Evaluated at bid price : 22.40
Bid-YTW : 5.53 %
NA.PR.W FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.49 %
BAM.PR.N Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.59 %
BAM.PF.C Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 21.67
Evaluated at bid price : 22.02
Bid-YTW : 5.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 152,492 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.94
Bid-YTW : 3.60 %
MFC.PR.R FixedReset 66,124 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 4.16 %
RY.PR.Q FixedReset 56,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.56 %
TRP.PR.D FixedReset 39,480 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 22.30
Evaluated at bid price : 22.64
Bid-YTW : 4.45 %
RY.PR.J FixedReset 29,009 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 22.92
Evaluated at bid price : 23.82
Bid-YTW : 4.43 %
CM.PR.R FixedReset 28,534 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.51 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 21.90 – 22.45
Spot Rate : 0.5500
Average : 0.3714

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 21.56
Evaluated at bid price : 21.90
Bid-YTW : 5.12 %

IFC.PR.C FixedReset Quote: 22.13 – 22.69
Spot Rate : 0.5600
Average : 0.4010

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 5.72 %

GWO.PR.I Deemed-Retractible Quote: 21.91 – 22.28
Spot Rate : 0.3700
Average : 0.2422

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.91
Bid-YTW : 6.74 %

NA.PR.W FixedReset Quote: 21.70 – 22.05
Spot Rate : 0.3500
Average : 0.2268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.49 %

BAM.PF.G FixedReset Quote: 24.00 – 24.29
Spot Rate : 0.2900
Average : 0.1825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.67 %

PWF.PR.F Perpetual-Discount Quote: 24.63 – 24.88
Spot Rate : 0.2500
Average : 0.1560

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-03
Maturity Price : 24.32
Evaluated at bid price : 24.63
Bid-YTW : 5.35 %

August 2, 2017

Wednesday, August 2nd, 2017

PerpetualDiscounts now yield 5.25%, equivalent to 6.82% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.0%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 280bp, a sharp narrowing from the 295bp reported July 26.

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 1.0862 % 2,444.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0862 % 4,486.0
Floater 3.54 % 3.56 % 130,013 18.36 3 1.0862 % 2,585.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1333 % 3,062.3
SplitShare 4.70 % 4.37 % 54,379 1.38 5 0.1333 % 3,657.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1333 % 2,853.4
Perpetual-Premium 5.39 % 4.59 % 60,190 2.49 17 0.1206 % 2,784.8
Perpetual-Discount 5.29 % 5.25 % 69,476 14.95 20 0.1444 % 2,933.1
FixedReset 4.32 % 4.42 % 171,191 6.34 98 0.0952 % 2,412.8
Deemed-Retractible 5.06 % 5.40 % 111,710 6.11 30 0.1122 % 2,865.9
FloatingReset 2.60 % 2.95 % 41,946 4.26 9 -0.0657 % 2,640.4
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-02
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.56 %
TD.PF.D FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-02
Maturity Price : 23.02
Evaluated at bid price : 24.10
Bid-YTW : 4.42 %
NA.PR.A FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 3.85 %
BAM.PR.B Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-02
Maturity Price : 14.54
Evaluated at bid price : 14.54
Bid-YTW : 3.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset 202,776 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 27.13
Bid-YTW : 3.45 %
RY.PR.L FixedReset 163,108 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.63 %
CM.PR.R FixedReset 161,237 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.53 %
SLF.PR.D Deemed-Retractible 129,325 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 7.08 %
RY.PR.Q FixedReset 102,017 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 3.57 %
TRP.PR.J FixedReset 98,373 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 3.48 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.O Perpetual-Premium Quote: 25.55 – 26.25
Spot Rate : 0.7000
Average : 0.5520

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-31
Maturity Price : 25.25
Evaluated at bid price : 25.55
Bid-YTW : 1.04 %

TRP.PR.J FixedReset Quote: 27.05 – 27.35
Spot Rate : 0.3000
Average : 0.1733

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 3.48 %

BNS.PR.H FixedReset Quote: 26.11 – 26.40
Spot Rate : 0.2900
Average : 0.1981

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.80 %

TD.PR.S FixedReset Quote: 24.76 – 24.98
Spot Rate : 0.2200
Average : 0.1388

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 3.53 %

IFC.PR.A FixedReset Quote: 19.83 – 20.27
Spot Rate : 0.4400
Average : 0.3589

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.83
Bid-YTW : 7.14 %

PWF.PR.S Perpetual-Discount Quote: 23.03 – 23.28
Spot Rate : 0.2500
Average : 0.1689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-02
Maturity Price : 22.67
Evaluated at bid price : 23.03
Bid-YTW : 5.22 %

August 1, 2017

Tuesday, August 1st, 2017

There’s some good news from S&P:

S&P said Monday that it would no longer consider companies with multiple share classes for its main U.S. stock indexes. The one that matters is the S&P 500, which is tracked by about $2.2 trillion worth of assets and which serves as a benchmark for more than $7.8 trillion of investments. The share structures S&P is targeting usually grant insiders control of the company by giving their shares far more votes than shares held by outside investors.

The shift mainly targets Silicon Valley, where companies from Facebook to Google and, most recently, Snap , have sold shares while giving investors virtually no say in how the companies are run. Snap, now down more than 20% from its IPO price, was seen as the tipping point because it gave investors no say at all. Companies already in the index will be allowed to stay.

With billions flowing into index funds every month, blocking these companies will likely reduce their potential valuation.

The rise of index funds, and companies such as Vanguard, BlackRock and State Street that dominate the business, has concentrated power in the hands of investors in a way never seen before. The three companies have long said they believe in one share, one vote. And they pay a lot of money to index providers like S&P to use their products. The fund managers, of course, are paid by investors.

It is regrettable that the dominant Canadian index firm is the Toronto Stock Exchange, which is owned by the banks, who also own fool service brokerage houses while running many index-linked ETFs and closet-indexing mutual funds; so don’t hold your breath waiting for participating debentures masquerading as equity to be out of our indices any time soon. Fortunately, we know that the oligopoly is wonderful and works in our favour, because many of the oligopoly’s future employees currently at the Canadian Securities Administrators say so.

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 -0.0462 % 2,418.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0462 % 4,437.8
Floater 3.58 % 3.60 % 125,438 18.28 3 -0.0462 % 2,557.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0549 % 3,058.2
SplitShare 4.71 % 4.38 % 54,934 3.77 5 -0.0549 % 3,652.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0549 % 2,849.6
Perpetual-Premium 5.40 % 4.65 % 60,918 2.49 17 0.0813 % 2,781.4
Perpetual-Discount 5.29 % 5.31 % 70,581 14.93 20 0.2043 % 2,928.8
FixedReset 4.32 % 4.43 % 176,747 6.34 98 -0.0573 % 2,410.5
Deemed-Retractible 5.07 % 5.38 % 113,895 6.11 30 0.0735 % 2,862.7
FloatingReset 2.60 % 3.01 % 41,186 4.26 9 -0.1009 % 2,642.1
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 7.02 %
NA.PR.A FixedReset -1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 4.16 %
PWF.PR.L Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-01
Maturity Price : 24.06
Evaluated at bid price : 24.32
Bid-YTW : 5.26 %
TRP.PR.B FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-01
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset 438,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-01
Maturity Price : 22.36
Evaluated at bid price : 22.70
Bid-YTW : 4.46 %
NA.PR.X FixedReset 286,861 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 3.65 %
TRP.PR.D FixedReset 197,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-01
Maturity Price : 22.42
Evaluated at bid price : 22.77
Bid-YTW : 4.42 %
BAM.PF.I FixedReset 116,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 4.14 %
W.PR.K FixedReset 100,523 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.10 %
TRP.PR.E FixedReset 91,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-01
Maturity Price : 22.80
Evaluated at bid price : 23.10
Bid-YTW : 4.36 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.O Perpetual-Premium Quote: 25.55 – 26.20
Spot Rate : 0.6500
Average : 0.3897

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-31
Maturity Price : 25.25
Evaluated at bid price : 25.55
Bid-YTW : 1.03 %

HSE.PR.E FixedReset Quote: 24.23 – 24.72
Spot Rate : 0.4900
Average : 0.3199

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-01
Maturity Price : 23.13
Evaluated at bid price : 24.23
Bid-YTW : 5.26 %

POW.PR.D Perpetual-Discount Quote: 24.03 – 24.49
Spot Rate : 0.4600
Average : 0.3215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-01
Maturity Price : 23.72
Evaluated at bid price : 24.03
Bid-YTW : 5.23 %

BMO.PR.Y FixedReset Quote: 23.90 – 24.35
Spot Rate : 0.4500
Average : 0.3227

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-01
Maturity Price : 22.92
Evaluated at bid price : 23.90
Bid-YTW : 4.41 %

NA.PR.A FixedReset Quote: 26.12 – 26.54
Spot Rate : 0.4200
Average : 0.2976

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 4.16 %

MFC.PR.M FixedReset Quote: 22.61 – 23.00
Spot Rate : 0.3900
Average : 0.2734

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 5.66 %

July 31, 2017

Monday, July 31st, 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 0.5341 % 2,419.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5341 % 4,439.9
Floater 3.58 % 3.61 % 126,016 18.25 3 0.5341 % 2,558.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0785 % 3,059.9
SplitShare 4.70 % 4.43 % 52,351 1.39 5 0.0785 % 3,654.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0785 % 2,851.1
Perpetual-Premium 5.38 % 4.75 % 62,349 5.96 21 0.0699 % 2,779.1
Perpetual-Discount 5.29 % 5.29 % 79,132 14.96 15 -0.1300 % 2,922.9
FixedReset 4.32 % 4.43 % 177,007 6.34 98 -0.0226 % 2,411.9
Deemed-Retractible 5.07 % 5.39 % 114,459 6.11 30 -0.0859 % 2,860.6
FloatingReset 2.60 % 2.94 % 40,866 4.26 10 0.1079 % 2,644.8
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.73 %
TRP.PR.B FixedReset -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-31
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 4.54 %
NA.PR.W FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-31
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.41 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 33,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-31
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 4.35 %
TD.PF.I FixedReset 31,081 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.50 %
BIP.PR.A FixedReset 28,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-31
Maturity Price : 23.02
Evaluated at bid price : 24.06
Bid-YTW : 5.29 %
BMO.PR.D FixedReset 23,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.45 %
RY.PR.L FixedReset 20,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.56 %
CM.PR.R FixedReset 19,930 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.52 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 15.60 – 17.00
Spot Rate : 1.4000
Average : 0.8685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-31
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 3.19 %

IFC.PR.C FixedReset Quote: 22.11 – 22.78
Spot Rate : 0.6700
Average : 0.4427

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.73 %

IAG.PR.G FixedReset Quote: 23.21 – 23.74
Spot Rate : 0.5300
Average : 0.3494

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 5.26 %

SLF.PR.I FixedReset Quote: 23.74 – 24.25
Spot Rate : 0.5100
Average : 0.3537

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 4.90 %

BMO.PR.B FixedReset Quote: 26.15 – 26.50
Spot Rate : 0.3500
Average : 0.2045

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.69 %

CCS.PR.C Deemed-Retractible Quote: 23.60 – 23.95
Spot Rate : 0.3500
Average : 0.2058

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 6.05 %

July 28, 2017

Friday, July 28th, 2017

I’m always happy when somebody agrees with me:

The report, released Thursday by the School of Public Policy at the University of Calgary1 and authored by Henri-Paul Rousseau, examines the option of banning embedded sales commissions for Canadian financial advisers and the broader, public-interest issues arising from such a ban.

According to Mr. Rousseau, the ban on these commissions would create a number of public policy issues. Firstly, it would likely create an advice gap in Canada, due to households being averse to paying up front for an advice fee. Secondly, it will likely cause a loss of choice for Canadians who have varying needs and preferences. The report says that smaller and independent product manufacturers and distributors would be squeezed out, creating a market concentration in the hands of the bigger financial-advice players, as well as a loss in pricing transparency for clients.

The full report is titled WHY BANNING EMBEDDED SALES COMMISSIONS IS A PUBLIC POLICY ISSUE: A commentary adapted from notes for the concluding panel of “The New Paradigm of Financial Advice” conference, held in Toronto on March 31, 2017:

The U.K. provides an example which should not be followed. Regulators there have banned embedded commissions, forcing clients to pay directly for financial advice. The result is that modest-income clients have decided not to seek financial advice, even though that decision will likely negatively affect their portfolios.

The dangers of this “advice gap” are being downplayed by those who believe that robo-advisors and banks can fill the need instead. In fact, robo-advisors and banks are mostly not equipped to step into the gamma role of coaching their clients.

A ban would also mean less choice in the market for a service that needs to be competitive and innovative to serve the broad spectrum of clients’ circumstances, risk appetites and needs. In addition, smaller and independent product manufacturers and distributors would be squeezed out, creating a market concentration in the hands of
the bigger players.

The second paragraph quoted above is incomplete, it seems to me, with respect to the role of robo-advisors. That channel seems best suited for ‘those who know not and know that they know not’. Those are the guys who earnestly seek out an advisor and are greatly impressed when he repeats that morning’s headlines from the Wall Street Journal, together with commentary on what “Janet” and “Stephen” are going to do with “interest rates” in the next six months, but they’re not really all that interested. ‘Get me invested and don’t bother me’ is their motto and a robo-advisor can scratch that itch really well.

The problem is with ‘those who know not and know not that they know not’. These are the people with a profound disinterest in financial markets. They’re the people who, unless they happen to know somebody in the business, will go to the bank and ask for something “safe”, so the friendly banker will put them into a grossly unsuitable portfolio of GICs that are immensely profitable for the bank. What we should want, as a matter of public policy, is for them to know that Charlie down at the club ‘does something with stocks and bonds’, so they go to Charlie. I will agree that Charlie is probably not the greatest advisor around, but he knows more than a bank teller and has access to a wider range of investments. Sure, he takes his half-point cut on the deal. It’s worth it. Not because his advice, considered objectively, is so wonderful, but because his advice has given his new clients confidence and because – in most, although certainly not all, cases – the portfolio his clients end up with is reasonable. Not great, not particularly cheap, but reasonable.

Banks? My attention was drawn recently to the RBC Managed Payout Solution. My God. How can anybody offer up that marketing strategy without blushing? I just about had a coronary.

So maybe the economy’s not so good:

Employers created an average of 11,000 new jobs a month for the first five months of the year, according to Statistics Canada’s Survey of Employment, Payrolls and Hours (SEPH) for May, released on Thursday.

The weak jobs data suggest that “paid employment creation so far this year is the worst since the 2009 recession,” said Krishen Rangasamy, senior economist with National Bank of Canada.

The payroll survey results stand in sharp contrast to Statscan’s other labour report, the Labour Force Survey (LFS), which has exceeded expectations for months and paints a much rosier picture of the country’s job market. The difference in the numbers reported by the two employment surveys is not unusual because the SEPH report is based on payroll data from Canada Revenue Agency, while the LFS relies on people providing information about their wages and job status to data collectors. The SEPH numbers are considered more reliable; the labour force survey is volatile and not as dependable given that it has a huge margin of error.

LIBOR is on its way out:

The U.K. Financial Conduct Authority will phase out the key interest-rate indicator by the end of 2021 after it became clear there wasn’t enough meaningful data to sustain the benchmark that underpins more than $350 trillion in securities, Andrew Bailey, the head of the regulator, said in a speech Thursday at Bloomberg’s London office.

But the 58-year-old Bailey said the market supporting Libor — where banks provide each other with unsecured lending — was no longer “sufficiently active” to determine a reliable rate and alternatives must be found. For one currency and lending period there were only 15 transactions in 2016, he said.

The FCA only started regulating Libor in 2013, the same year legislation was passed making it a criminal offense to take any misleading action in relation to financial benchmarks.

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 -0.5083 % 2,406.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5083 % 4,416.3
Floater 3.60 % 3.63 % 127,190 18.23 3 -0.5083 % 2,545.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0864 % 3,057.5
SplitShare 4.71 % 4.43 % 52,317 3.78 5 0.0864 % 3,651.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0864 % 2,848.9
Perpetual-Premium 5.39 % 4.71 % 63,188 6.09 21 -0.0278 % 2,777.2
Perpetual-Discount 5.28 % 5.25 % 80,086 14.97 15 0.0607 % 2,926.7
FixedReset 4.32 % 4.32 % 179,116 6.38 98 0.1529 % 2,412.4
Deemed-Retractible 5.07 % 5.42 % 118,276 6.12 30 -0.0595 % 2,863.0
FloatingReset 2.54 % 2.89 % 42,339 4.27 10 -0.1573 % 2,641.9
Performance Highlights
Issue Index Change Notes
VNR.PR.A FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-28
Maturity Price : 21.74
Evaluated at bid price : 22.15
Bid-YTW : 4.92 %
SLF.PR.G FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 7.91 %
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 : 21.99
Bid-YTW : 5.86 %
MFC.PR.H FixedReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.78 %
IAG.PR.G FixedReset 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.29 %
MFC.PR.J FixedReset 1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.24
Bid-YTW : 4.72 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset 269,117 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-28
Maturity Price : 21.73
Evaluated at bid price : 22.19
Bid-YTW : 4.22 %
TRP.PR.D FixedReset 166,736 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-28
Maturity Price : 22.27
Evaluated at bid price : 22.61
Bid-YTW : 4.34 %
RY.PR.L FixedReset 128,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.54 %
RY.PR.J FixedReset 117,621 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-28
Maturity Price : 22.93
Evaluated at bid price : 23.86
Bid-YTW : 4.32 %
NA.PR.X FixedReset 111,178 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 3.56 %
RY.PR.Q FixedReset 109,410 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 3.55 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Quote: 21.64 – 22.05
Spot Rate : 0.4100
Average : 0.2733

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-28
Maturity Price : 21.33
Evaluated at bid price : 21.64
Bid-YTW : 4.38 %

BAM.PF.I FixedReset Quote: 25.75 – 26.00
Spot Rate : 0.2500
Average : 0.1441

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.20 %

VNR.PR.A FixedReset Quote: 22.15 – 22.47
Spot Rate : 0.3200
Average : 0.2318

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-28
Maturity Price : 21.74
Evaluated at bid price : 22.15
Bid-YTW : 4.92 %

BAM.PF.F FixedReset Quote: 23.87 – 24.27
Spot Rate : 0.4000
Average : 0.3172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-28
Maturity Price : 23.05
Evaluated at bid price : 23.87
Bid-YTW : 4.61 %

POW.PR.G Perpetual-Premium Quote: 25.24 – 25.49
Spot Rate : 0.2500
Average : 0.1716

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2047-07-28
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 5.59 %

GWO.PR.N FixedReset Quote: 17.23 – 17.60
Spot Rate : 0.3700
Average : 0.2926

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.23
Bid-YTW : 8.15 %

July 27, 2017

Thursday, July 27th, 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 0.4176 % 2,419.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4176 % 4,438.9
Floater 3.58 % 3.61 % 127,597 18.27 3 0.4176 % 2,558.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4689 % 3,054.9
SplitShare 4.71 % 4.49 % 52,771 3.79 5 -0.4689 % 3,648.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4689 % 2,846.4
Perpetual-Premium 5.38 % 4.68 % 64,200 5.90 21 0.0982 % 2,778.0
Perpetual-Discount 5.28 % 5.27 % 79,321 15.00 15 0.0636 % 2,924.9
FixedReset 4.32 % 4.33 % 181,584 6.38 98 -0.0981 % 2,408.7
Deemed-Retractible 5.06 % 5.38 % 119,212 6.13 30 0.0028 % 2,864.7
FloatingReset 2.53 % 2.80 % 43,243 4.27 10 0.0898 % 2,646.1
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.84
Bid-YTW : 4.98 %
BMO.PR.Q FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 5.64 %
PVS.PR.E SplitShare -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 4.68 %
BAM.PF.F FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 23.06
Evaluated at bid price : 23.89
Bid-YTW : 4.61 %
CU.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 21.56
Evaluated at bid price : 21.90
Bid-YTW : 5.20 %
BAM.PR.T FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset 212,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 22.29
Evaluated at bid price : 22.63
Bid-YTW : 4.33 %
CM.PR.R FixedReset 92,822 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.51 %
TD.PF.B FixedReset 75,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 21.64
Evaluated at bid price : 22.06
Bid-YTW : 4.30 %
TD.PF.C FixedReset 74,160 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.29 %
CM.PR.O FixedReset 65,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 22.13
Evaluated at bid price : 22.37
Bid-YTW : 4.32 %
BMO.PR.Q FixedReset 57,930 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 5.64 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.D Perpetual-Discount Quote: 22.59 – 23.44
Spot Rate : 0.8500
Average : 0.5420

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 22.30
Evaluated at bid price : 22.59
Bid-YTW : 5.47 %

PVS.PR.D SplitShare Quote: 25.28 – 25.65
Spot Rate : 0.3700
Average : 0.2816

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.39 %

MFC.PR.J FixedReset Quote: 23.84 – 24.12
Spot Rate : 0.2800
Average : 0.1926

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.84
Bid-YTW : 4.98 %

BAM.PF.F FixedReset Quote: 23.89 – 24.20
Spot Rate : 0.3100
Average : 0.2265

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-27
Maturity Price : 23.06
Evaluated at bid price : 23.89
Bid-YTW : 4.61 %

MFC.PR.M FixedReset Quote: 22.41 – 22.69
Spot Rate : 0.2800
Average : 0.2038

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.71 %

MFC.PR.H FixedReset Quote: 24.66 – 24.93
Spot Rate : 0.2700
Average : 0.2052

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 4.99 %

July 26, 2017

Wednesday, July 26th, 2017

Some timely commentary from Pew Research:

Manufacturing jobs in the United States have declined considerably over the past several decades, even as manufacturing output – the value of goods and products manufactured in the U.S. – has grown strongly. But while most Americans are aware of the decline in employment, relatively few know about the increase in output, according to a new Pew Research Center survey.

Four of every five Americans (81%) know that the total number of manufacturing jobs in the U.S. has decreased over the past three decades, according to the survey of 4,135 adults from Pew Research Center’s nationally representative American Trends Panel. But just 35% know that the nation’s manufacturing output has risen over the same time span, versus 47% who say output has decreased and 17% who say it’s stayed about the same. Only 26% of those surveyed got both questions right.

ft_17_07_18_manufacturing_decline
Click for Big

But the news of the day was the FOMC statement:

Information received since the Federal Open Market Committee met in June indicates that the labor market has continued to strengthen and that economic activity has been rising moderately so far this year. Job gains have been solid, on average, since the beginning of the year, and the unemployment rate has declined. Household spending and business fixed investment have continued to expand. On a 12-month basis, overall inflation and the measure excluding food and energy prices have declined and are running below 2 percent. Market-based measures of inflation compensation remain low; survey-based measures of longer-term inflation expectations are little changed, on balance.

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

For the time being, the Committee is maintaining its existing policy of reinvesting principal payments from its holdings of agency debt and agency mortgage-backed securities in agency mortgage-backed securities and of rolling over maturing Treasury securities at auction. The Committee expects to begin implementing its balance sheet normalization program relatively soon, provided that the economy evolves broadly as anticipated; this program is described in the June 2017 Addendum to the Committee’s Policy Normalization Principles and Plans.

Voting for the FOMC monetary policy action were: Janet L. Yellen, Chair; William C. Dudley, Vice Chairman; Lael Brainard; Charles L. Evans; Stanley Fischer; Patrick Harker; Robert S. Kaplan; Neel Kashkari; and Jerome H. Powell.

No dissent! And in the States that means something – not like in Canada, where the very idea of two people disagreeing is considered to be too embarrassing for words.

There was an immediate reaction on the FX markets:

The Bloomberg Dollar Spot Index fell to the lowest in more than a year, while the 10-year Treasury yield slipped back below 2.3 percent after the Fed held rates steady and indicated it would start unwinding its balance sheet “relatively soon.”

fx_170726
Click for Big

… but Treasuries regained most of the ground lost yesterday:

  • •The yield on 10-year Treasuries fell five basis points to 2.29 percent.

PerpetualDiscounts now yield 5.28%, equivalent to 6.86% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a significant narrowing from the 305bp reported July 19.

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 -0.4619 % 2,409.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4619 % 4,420.4
Floater 3.59 % 3.62 % 128,200 18.25 3 -0.4619 % 2,547.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2272 % 3,069.3
SplitShare 4.69 % 4.28 % 51,929 1.40 5 0.2272 % 3,665.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2272 % 2,859.8
Perpetual-Premium 5.39 % 4.71 % 64,755 6.10 21 0.0718 % 2,775.2
Perpetual-Discount 5.29 % 5.28 % 80,525 14.97 15 0.2639 % 2,923.0
FixedReset 4.32 % 4.32 % 183,535 6.37 98 0.0756 % 2,411.1
Deemed-Retractible 5.06 % 5.34 % 119,627 6.13 30 0.3193 % 2,864.7
FloatingReset 2.53 % 2.77 % 43,767 4.27 10 0.2881 % 2,643.7
Performance Highlights
Issue Index Change Notes
PVS.PR.E SplitShare 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-08-25
Maturity Price : 26.00
Evaluated at bid price : 26.45
Bid-YTW : -6.92 %
TD.PR.T FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 2.57 %
BAM.PF.D Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-26
Maturity Price : 22.27
Evaluated at bid price : 22.55
Bid-YTW : 5.48 %
TRP.PR.E FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-26
Maturity Price : 22.85
Evaluated at bid price : 23.15
Bid-YTW : 4.24 %
GWO.PR.I Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 6.70 %
MFC.PR.L FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 6.06 %
BAM.PR.M Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-26
Maturity Price : 21.46
Evaluated at bid price : 21.72
Bid-YTW : 5.51 %
IFC.PR.A FixedReset 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.28
Bid-YTW : 6.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 1,228,464 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.49 %
TRP.PR.D FixedReset 192,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-26
Maturity Price : 22.35
Evaluated at bid price : 22.69
Bid-YTW : 4.32 %
TD.PF.I FixedReset 151,905 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-26
Maturity Price : 23.17
Evaluated at bid price : 25.07
Bid-YTW : 4.43 %
TRP.PR.K FixedReset 134,207 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 4.14 %
TD.PF.D FixedReset 127,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-26
Maturity Price : 22.91
Evaluated at bid price : 23.86
Bid-YTW : 4.37 %
CU.PR.C FixedReset 122,429 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-26
Maturity Price : 21.72
Evaluated at bid price : 22.10
Bid-YTW : 4.49 %
BNS.PR.Z FixedReset 101,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 4.81 %
There were 26 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: 21.81 – 22.27
Spot Rate : 0.4600
Average : 0.3055

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.81
Bid-YTW : 5.99 %

EIT.PR.A SplitShare Quote: 25.76 – 26.20
Spot Rate : 0.4400
Average : 0.3104

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.39 %

VNR.PR.A FixedReset Quote: 22.55 – 22.88
Spot Rate : 0.3300
Average : 0.2393

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-26
Maturity Price : 22.00
Evaluated at bid price : 22.55
Bid-YTW : 4.82 %

TRP.PR.G FixedReset Quote: 24.70 – 25.00
Spot Rate : 0.3000
Average : 0.2130

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 4.39 %

SLF.PR.J FloatingReset Quote: 17.12 – 17.40
Spot Rate : 0.2800
Average : 0.1979

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.12
Bid-YTW : 7.67 %

BAM.PR.T FixedReset Quote: 20.70 – 20.98
Spot Rate : 0.2800
Average : 0.2035

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-26
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.58 %

July 25, 2017

Tuesday, July 25th, 2017

The SEC says cryptocurrencies are securities (link to full report added):

The Securities and Exchange Commission issued an investigative report today cautioning market participants that offers and sales of digital assets by “virtual” organizations are subject to the requirements of the federal securities laws. Such offers and sales, conducted by organizations using distributed ledger or blockchain technology, have been referred to, among other things, as “Initial Coin Offerings” or “Token Sales.” Whether a particular investment transaction involves the offer or sale of a security – regardless of the terminology or technology used – will depend on the facts and circumstances, including the economic realities of the transaction.

The SEC’s Report of Investigation found that tokens offered and sold by a “virtual” organization known as “The DAO” were securities and therefore subject to the federal securities laws. The Report confirms that issuers of distributed ledger or blockchain technology-based securities must register offers and sales of such securities unless a valid exemption applies. Those participating in unregistered offerings also may be liable for violations of the securities laws. Additionally, securities exchanges providing for trading in these securities must register unless they are exempt. The purpose of the registration provisions of the federal securities laws is to ensure that investors are sold investments that include all the proper disclosures and are subject to regulatory scrutiny for investors’ protection.

The SEC’s Office of Investor Education and Advocacy today issued an investor bulletin educating investors about ICOs.

The Ontario government’s pension fund manager has opened for business:

Toronto-based Investment Management Corporation of Ontario (IMCO) begins managing the $60-billion on behalf of its first two clients, Workplace Safety and Insurance Board (WSIB) and the Ontario Pension Board (OPB), on Monday after a lengthy integration process. IMCO hopes to add other small public-sector plans over time by offering them access to a broader range of asset classes at lower fees.

IMCO has roots in a 2012 report on what might be gained by pooling Ontario’s fragmented public-sector pension funds. It was penned by Bill Morneau, who was then president of Morneau Shepell and a pension investment adviser to Ontario’s Minister of Finance. His review suggested that size does matter in investing, that grouping these funds together would be a more efficient investment method and that plans might collectively save more than $75-million each year.

When the initial build out of IMCO’s investment teams is completed more than a year from now, he will need to be able to make a compelling argument to potential future clients that the improved returns and lower costs will lead to better results than what they would be able to source on their own. Otherwise, there’s no incentive for a prospective client to join the voluntary IMCO group.

But the model already has a strong track record in Western Canada. Alberta Investment Management Corp., known as AIMCo, manages more than $90-billion of assets for 26 pension, endowment and government funds in its province. British Columbia Investment Management Corp., or BCIMC, is even larger, managing $135-billion for more than 30 institutional clients.

Like its Western cousins, IMCO will also look to manage more of its money in house, rather than buying investments in asset through other fund managers.

It will not have escaped the intelligent and assiduous reader that, in the context of a $60-billion portfolio, $75-million in projected fee savings is only slightly greater than the square root of fuck-all. I don’t want to issue any doom-filled forecasts here, but as I have pointed out in the past:

I don’t think there’s anything wrong with the Yale model, but there are definitely problems with the implementation – as I told one guy recently, just because I believe the “Warren Buffet style” of investment CAN work, doesn’t mean I think YOU can do it.

The field is filled with ignoramuses and charlatans and institutional boards aren’t any better at picking winners than any other retail investor who handles his investments as a part-time job. Hiring a small group of specialists to farm out the work to third party firms just makes matters worse, because then allocations are made on the basis of two salesmen talking to each other.

For an institution to outperform, I believe that you have to have most, if not all, of the investment expertise in-house. ‘You don’t need to sell anything, guys, you just have to outperform on a rolling four year basis or you’re fired.’ This is the Teachers/OMERS model – and it works.

So, I will direct readers’ attention to the assertion in today’s Globe article: he will need to be able to make a compelling argument to potential future clients that the improved returns and lower costs will lead to better results. That is to say, sales. It must be remembered that, in government as in business, the guys in charge of pension plans are not professional investors and don’t have any more expertise in investing than any other accountant with a $200,000 RRSP. So they’re susceptible to just as much stockbroker flim-flam as any other member of the gullible investing public.

So you get investment decisions being made on the basis of how well it can be explained to an uninformed client and that view becomes pervasive throughout the organization; with people’s bonuses being paid not for performance, but for Assets Under Management. In the worst case scenario, people start brown-nosing the government of the day instead of asking themselves how, exactly, do I put more actual money into my actual clients’ actual pockets:

It’s a black day for the professionalism of the Canadian investment management industry, such as it is. It looks like the OTPP’s foray into politics (sneered at on October 7) comes straight from the top:
Ontario’s proposal to create a voluntary disclosure rule to boost women on boards is unlikely to cause much improvement and will likely have to be turned into a quota, warns the head of Ontario Teachers’ Pension Plan.

Speaking at a public forum Wednesday hosted by the Ontario Securities Commission, Jim Leech said Canada has a smaller proportion of women on corporate boards than countries like Turkey and Poland. He said voluntary disclosure rules can be tried for three or four years, but will probably end up being rejected as inadequate.

“Let’s skip this intermediate step we don’t think is going to work,” Mr. Leech proposed.

Teachers has urged regulators to instead require all public company boards to have at least three women directors.

Maybe Leech is sucking political arse in hopes of a position with the proposed Ontario Pension Plan.

So, let’s hope. And particularly, let us hope that the new entity looks more like HOOPP, one of the best organizations I know of and not so much like Honest Jimmy’s Best Mutual Funds:

Never let it be said that I never say anything nice on this blog! For instance, on March 25, 2009 and again on April 17, 2012, I said nice things about the Hospitals of Ontario Pension Plan (HOOPP). And now there are more nice things to say:
The Healthcare of Ontario Pension Plan (HOOPP) has posted returns for 2012 of 17.1 per cent, which boosted the pension plan for Ontario healthcare workers to a record $47.4 billion in assets, compared to $40.3 billion at the end of 2011. This strong double-digit return increased HOOPP’s 10-year average rate of return to more than 10 per cent, one of the best long-term records among pension plans worldwide.

At the end of 2012, HOOPP was 104 per cent funded – this fully funded status means the Plan has sufficient assets to pay for every promised member’s pension benefit, with no shortfall.

“HOOPP had a very strong year in 2012 – with our best investment results in more than a decade,” says HOOPP President & CEO Jim Keohane. “This was a year when all of our investment strategies worked. We were firing on all cylinders, with positive returns from every type of investment,” he said. HOOPP’s liability driven investment (LDI) strategy continues to contribute to HOOPP’s success, Keohane added.

“Liability Driven Investment” is the cool way of saying “paying attention to your client’s needs”. HOOPP is in a good position to do this, because they have exactly one client and aren’t looking for new ones, despite idiotic initiatives from Premier Dad’s office that would encourage large plans to stock up on salesmen and get rid of those dreary nerds. That’s the real secret – a focus on return made possible by a complete absence of pressure for sales. Then you can fire the moron whose sole useful attribute is being buddies with a large client; then you can do all kinds of things. In an interview with the Star, though, president and CEO Jim Keohane emphasized scale, which is probably more diplomatic.

It was a tough day for global bonds:

Markets took a risk-on tone Tuesday as generally positive earnings and economic data bolstered confidence in the strength of the global economy. The data come as the Fed will weigh robust global growth against feeble inflation and mixed U.S. economic data. Expectations are for policy makers to keep rates on hold; clues to the fate of its balance sheet will be key.
  • •The yield on 10-year Treasuries rose seven basis points to 2.33 percent, the most in a month.
  • •Germany’s 10-year yield rose six basis points to 0.566 percent.
  • •Britain’s 10-year yield rose seven basis points to 1.258 percent, the highest in more than a week.
  • •France’s 10-year yield rose seven basis points to 0.812 percent, the first advance in more than a week.

In Canada the five-year yield popped up to 1.63% and the ten-year rose to 2.02%.

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 0.5340 % 2,420.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5340 % 4,440.9
Floater 3.58 % 3.60 % 129,741 18.29 3 0.5340 % 2,559.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0078 % 3,062.3
SplitShare 4.70 % 4.39 % 52,631 3.79 5 0.0078 % 3,657.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0078 % 2,853.4
Perpetual-Premium 5.39 % 4.73 % 64,752 6.10 21 0.0889 % 2,773.3
Perpetual-Discount 5.30 % 5.28 % 83,527 14.99 15 0.1103 % 2,915.3
FixedReset 4.32 % 4.32 % 184,384 6.38 98 0.3488 % 2,409.3
Deemed-Retractible 5.08 % 5.46 % 118,919 6.13 30 0.0014 % 2,855.6
FloatingReset 2.54 % 2.88 % 43,653 4.27 10 0.0225 % 2,636.1
Performance Highlights
Issue Index Change Notes
BNS.PR.Y FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.29
Bid-YTW : 4.78 %
TD.PR.T FloatingReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 2.82 %
MFC.PR.K FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.89
Bid-YTW : 5.93 %
VNR.PR.A FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 22.06
Evaluated at bid price : 22.65
Bid-YTW : 4.80 %
MFC.PR.N FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.34
Bid-YTW : 5.67 %
TRP.PR.H FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 3.10 %
IFC.PR.A FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.83
Bid-YTW : 7.00 %
BAM.PR.K Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 3.59 %
SLF.PR.I FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 4.87 %
SLF.PR.G FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.50
Bid-YTW : 8.12 %
BAM.PF.B FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 22.62
Evaluated at bid price : 23.00
Bid-YTW : 4.55 %
PWF.PR.P FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 4.38 %
MFC.PR.M FixedReset 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.44
Bid-YTW : 5.68 %
MFC.PR.F FixedReset 1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.98
Bid-YTW : 8.41 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset 355,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 21.64
Evaluated at bid price : 22.07
Bid-YTW : 4.30 %
TD.PR.S FixedReset 193,425 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.38 %
NA.PR.W FixedReset 158,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.36 %
TD.PF.C FixedReset 130,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 21.57
Evaluated at bid price : 21.97
Bid-YTW : 4.30 %
TD.PF.H FixedReset 128,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.63 %
RY.PR.Z FixedReset 124,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 21.69
Evaluated at bid price : 22.13
Bid-YTW : 4.23 %
RY.PR.H FixedReset 123,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 21.74
Evaluated at bid price : 22.21
Bid-YTW : 4.25 %
PWF.PR.P FixedReset 116,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 4.38 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Quote: 20.63 – 20.95
Spot Rate : 0.3200
Average : 0.2125

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.63
Bid-YTW : 6.20 %

TD.PR.T FloatingReset Quote: 24.26 – 24.60
Spot Rate : 0.3400
Average : 0.2396

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 2.82 %

IFC.PR.C FixedReset Quote: 22.42 – 22.75
Spot Rate : 0.3300
Average : 0.2379

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 5.45 %

BAM.PR.N Perpetual-Discount Quote: 21.50 – 21.84
Spot Rate : 0.3400
Average : 0.2504

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.59 %

MFC.PR.I FixedReset Quote: 24.17 – 24.43
Spot Rate : 0.2600
Average : 0.1719

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.17
Bid-YTW : 5.03 %

BAM.PR.M Perpetual-Discount Quote: 21.46 – 21.83
Spot Rate : 0.3700
Average : 0.2841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-25
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.60 %

July 24, 2017

Monday, July 24th, 2017

The Tembec Empty Voting controversy, discussed on July 20, now looks like a fizzle:

Shares in Tembec Inc. rose the most since May after Rayonier Advanced Materials Inc. won support from two key shareholders for its increased bid for the Canadian lumber and paper producer.

Rayonier Advanced is now offering Tembec investors the choice of receiving C$4.75 a share in cash — valuing the company at about C$475 million ($379 million) — or 0.2542 Rayonier Advanced shares for each Tembec share.

Paul Boynton, chief executive officer of Rayonier Advanced, said in an interview Sunday that the companies have entered into an irrevocable agreement with Tembec’s two biggest shareholders, Oaktree Capital Group LLC and Restructuring Capital Associates to support the deal. The pair collectively hold about 37 percent of the target’s shares.

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 0.3963 % 2,407.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3963 % 4,417.3
Floater 3.60 % 3.62 % 128,413 18.25 3 0.3963 % 2,545.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1799 % 3,062.1
SplitShare 4.70 % 4.33 % 52,316 3.80 5 -0.1799 % 3,656.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1799 % 2,853.1
Perpetual-Premium 5.39 % 4.74 % 65,793 6.10 21 0.0977 % 2,770.8
Perpetual-Discount 5.31 % 5.27 % 84,045 14.99 15 0.2211 % 2,912.1
FixedReset 4.33 % 4.35 % 185,099 6.38 98 0.1692 % 2,400.9
Deemed-Retractible 5.08 % 5.44 % 121,990 6.13 30 0.0861 % 2,855.5
FloatingReset 2.54 % 2.84 % 43,306 4.28 10 0.0315 % 2,635.5
Performance Highlights
Issue Index Change Notes
VNR.PR.A FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 21.90
Evaluated at bid price : 22.40
Bid-YTW : 4.86 %
SLF.PR.G FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.26
Bid-YTW : 8.33 %
PWF.PR.S Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 22.47
Evaluated at bid price : 22.80
Bid-YTW : 5.27 %
TRP.PR.E FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 22.54
Evaluated at bid price : 23.01
Bid-YTW : 4.26 %
BAM.PR.N Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.59 %
TRP.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 4.31 %
TRP.PR.B FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 4.31 %
BAM.PF.C Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 21.55
Evaluated at bid price : 21.86
Bid-YTW : 5.59 %
MFC.PR.K FixedReset 2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.67
Bid-YTW : 6.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 516,248 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.50 %
NA.PR.S FixedReset 51,084 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 21.86
Evaluated at bid price : 22.39
Bid-YTW : 4.38 %
BMO.PR.C FixedReset 49,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.24 %
TD.PF.I FixedReset 34,405 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 23.15
Evaluated at bid price : 25.03
Bid-YTW : 4.44 %
RY.PR.R FixedReset 29,338 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 3.53 %
CM.PR.P FixedReset 27,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 21.48
Evaluated at bid price : 21.84
Bid-YTW : 4.31 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.84 – 26.20
Spot Rate : 0.3600
Average : 0.2321

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 4.33 %

PVS.PR.E SplitShare Quote: 26.10 – 26.40
Spot Rate : 0.3000
Average : 0.1997

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.73 %

TRP.PR.F FloatingReset Quote: 20.12 – 20.50
Spot Rate : 0.3800
Average : 0.2940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 3.20 %

NA.PR.S FixedReset Quote: 22.39 – 22.65
Spot Rate : 0.2600
Average : 0.1867

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 21.86
Evaluated at bid price : 22.39
Bid-YTW : 4.38 %

POW.PR.D Perpetual-Discount Quote: 23.98 – 24.29
Spot Rate : 0.3100
Average : 0.2506

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-24
Maturity Price : 23.71
Evaluated at bid price : 23.98
Bid-YTW : 5.24 %

SLF.PR.J FloatingReset Quote: 17.00 – 17.18
Spot Rate : 0.1800
Average : 0.1276

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 7.77 %