Archive for the ‘Market Action’ Category

May 4, 2018

Friday, May 4th, 2018
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 -0.3250 % 2,922.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3250 % 5,362.9
Floater 3.42 % 3.67 % 96,057 18.13 4 -0.3250 % 3,090.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0714 % 3,152.2
SplitShare 4.61 % 4.77 % 78,972 5.05 5 0.0714 % 3,764.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0714 % 2,937.1
Perpetual-Premium 5.63 % -3.93 % 72,005 0.09 10 -0.0473 % 2,867.8
Perpetual-Discount 5.40 % 5.46 % 65,478 14.72 24 -0.0447 % 2,943.6
FixedReset 4.30 % 4.70 % 164,144 5.69 103 -0.1887 % 2,524.3
Deemed-Retractible 5.15 % 5.64 % 82,659 5.61 27 -0.1342 % 2,935.2
FloatingReset 3.09 % 3.46 % 32,427 3.57 8 0.0057 % 2,772.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.04 %
MFC.PR.L FixedReset -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.04 %
BAM.PF.G FixedReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 23.17
Evaluated at bid price : 24.10
Bid-YTW : 5.08 %
HSE.PR.C FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 24.18
Evaluated at bid price : 24.50
Bid-YTW : 5.32 %
PWF.PR.Z Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 23.24
Evaluated at bid price : 23.55
Bid-YTW : 5.49 %
IFC.PR.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 329,982 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.66 %
TD.PF.G FixedReset 262,792 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.55 %
NA.PR.X FixedReset 251,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.90 %
TRP.PR.B FixedReset 249,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.04 %
BMO.PR.S FixedReset 211,266 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 22.80
Evaluated at bid price : 23.33
Bid-YTW : 4.71 %
RY.PR.R FixedReset 142,508 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 3.65 %
There were 19 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: 16.54 – 16.97
Spot Rate : 0.4300
Average : 0.2907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 3.78 %

TRP.PR.B FixedReset Quote: 16.24 – 16.61
Spot Rate : 0.3700
Average : 0.2757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-04
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.04 %

IFC.PR.A FixedReset Quote: 19.50 – 19.76
Spot Rate : 0.2600
Average : 0.1701

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.88 %

MFC.PR.L FixedReset Quote: 22.65 – 22.99
Spot Rate : 0.3400
Average : 0.2510

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.04 %

GWO.PR.F Deemed-Retractible Quote: 25.66 – 25.89
Spot Rate : 0.2300
Average : 0.1500

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-03
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : -18.49 %

RY.PR.E Deemed-Retractible Quote: 25.13 – 25.40
Spot Rate : 0.2700
Average : 0.1926

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-03
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : -4.76 %

May 3, 2018

Thursday, May 3rd, 2018
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 0.5112 % 2,932.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5112 % 5,380.4
Floater 3.41 % 3.65 % 96,413 18.18 4 0.5112 % 3,100.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1033 % 3,150.0
SplitShare 4.61 % 4.83 % 78,640 5.05 5 0.1033 % 3,761.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1033 % 2,935.0
Perpetual-Premium 5.63 % -7.92 % 74,197 0.09 10 -0.0118 % 2,869.2
Perpetual-Discount 5.40 % 5.44 % 66,023 14.76 24 0.0125 % 2,944.9
FixedReset 4.30 % 4.68 % 165,996 4.16 103 0.1528 % 2,529.0
Deemed-Retractible 5.14 % 5.54 % 85,387 5.61 27 0.0296 % 2,939.2
FloatingReset 3.09 % 3.38 % 31,129 3.57 8 0.2014 % 2,772.8
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.69 %
BAM.PF.F FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 24.40
Evaluated at bid price : 24.72
Bid-YTW : 5.03 %
MFC.PR.K FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 6.02 %
CU.PR.I FixedReset 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.63
Bid-YTW : 2.20 %
BAM.PF.G FixedReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 23.33
Evaluated at bid price : 24.46
Bid-YTW : 4.99 %
BAM.PR.C Floater 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 3.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset 208,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 21.95
Evaluated at bid price : 22.51
Bid-YTW : 4.96 %
IAG.PR.G FixedReset 112,596 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.15 %
TRP.PR.C FixedReset 108,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 5.01 %
BMO.PR.B FixedReset 87,490 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.59 %
BMO.PR.S FixedReset 74,126 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 22.95
Evaluated at bid price : 23.49
Bid-YTW : 4.68 %
BAM.PF.A FixedReset 53,934 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 24.26
Evaluated at bid price : 24.88
Bid-YTW : 5.05 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 21.23 – 25.00
Spot Rate : 3.7700
Average : 2.9979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 3.31 %

TRP.PR.G FixedReset Quote: 23.70 – 24.20
Spot Rate : 0.5000
Average : 0.3411

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 22.89
Evaluated at bid price : 23.70
Bid-YTW : 5.18 %

PWF.PR.T FixedReset Quote: 23.81 – 24.10
Spot Rate : 0.2900
Average : 0.1861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 23.16
Evaluated at bid price : 23.81
Bid-YTW : 4.68 %

BAM.PF.E FixedReset Quote: 23.52 – 23.86
Spot Rate : 0.3400
Average : 0.2398

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 23.17
Evaluated at bid price : 23.52
Bid-YTW : 4.96 %

GWO.PR.P Deemed-Retractible Quote: 25.19 – 25.38
Spot Rate : 0.1900
Average : 0.1391

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.38 %

TRP.PR.C FixedReset Quote: 17.28 – 17.50
Spot Rate : 0.2200
Average : 0.1713

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-03
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 5.01 %

May 2, 2018

Wednesday, May 2nd, 2018

The news of the day is the FOMC release:

Information received since the Federal Open Market Committee met in March indicates that the labor market has continued to strengthen and that economic activity has been rising at a moderate rate. Job gains have been strong, on average, in recent months, and the unemployment rate has stayed low. Recent data suggest that growth of household spending moderated from its strong fourth-quarter pace, while business fixed investment continued to grow strongly. On a 12-month basis, both overall inflation and inflation for items other than food and energy have moved close to 2 percent. Market-based measures of inflation compensation remain low; survey-based measures of longer-term inflation expectations are little changed, on balance.

Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee expects that, with further gradual adjustments in the stance of monetary policy, economic activity will expand at a moderate pace in the medium term and labor market conditions will remain strong. Inflation on a 12-month basis is expected to run near the Committee’s symmetric 2 percent objective over the medium term. Risks to the economic outlook appear roughly balanced.

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 1-1/2 to 1-3/4 percent. The stance of monetary policy remains accommodative, thereby supporting strong labor market conditions and a sustained return to 2 percent inflation.

The release was considered dovish:

U.S. stocks fell to their lowest in a week and the dollar jumped as investors assessed the Federal Reserve’s signal that it’s in no rush to raise rates even as inflation rises to its target.

The S&P 500 ended near session lows after briefly pushing higher following the central bank’s decision to hold rates steady. Equities tumbled in the final hour of trading as concern mounted that the Fed may let inflation run hot as it gradually tightens. Treasury yields resumed a march to 3 percent and the dollar strengthened versus major peers, adding to equity headwinds.

Central bank officials may have signaled their willingness to allow inflation to exceed their 2 percent goal somewhat by adding a reference to the “symmetric” nature of their target.

“This week’s government data showed inflation moving closer to its 2 percent target. This adjustment is simply an acknowledgment by the Fed that its inflation forecast is, in fact, playing out as predicted,” Robin Anderson, a senior economist at Principal Global Investors, said in an email. “Since inflation was running below 2 percent, this language indicates that the Fed might be willing to let it run a little above 2 percent for a little while.”

The BoC published a Staff Analytical Note by Corey Garriott and Jesse Johal titled Customer Liquidity Provision in Canadian Bond Markets:

This note assesses the provision of bond market liquidity by institutional customers (i.e., pension funds, hedge funds, mutual funds and insurance companies) in Canada. Customer liquidity provision occurs when a dealer, after filling an order from a customer, quickly makes an offsetting trade with an institutional investor.

Customer liquidity on a large scale could have positive and negative effects on bond markets. It can diversify the supply of liquidity beyond a small group of dealers and brokers, thus making bond markets more competitive and robust. However, customer liquidity may be more sensitive to a deterioration in market conditions and thus a less reliable source of liquidity. For example, sudden redemptions at a mutual fund can force the fund to switch from supplying liquidity to demanding it (Arora 2018). In contrast, dealers have a broad set of funding sources and may be more able to provide liquidity for their clients through a range of market conditions.

I don’t quite understand the reasoning behind the assertion “sudden redemptions at a mutual fund can force the fund to switch from supplying liquidity to demanding it”. According to their definition in paragraph 1, liquidity provision is bidirectional, so to a first approximation the opportunities for provision will not be affected – they might even be increased if everybody else is buying! However, it’s reasonable to assume that if one fund is suffering sudden redemptions and selling its holdings then similar conditions and similar effects prevail elsewhere.

Customer-supplied liquidity is uncommon in Canada, averaging between 4 and 9 per cent, depending on the type of bond, and is significantly less common than in the United States (Choi and Huh 2017). Customer liquidity provision is more frequent for less liquid securities such as corporate debt and the debt of provinces with low quantities of debt outstanding (i.e., provinces other than Ontario and Quebec). This is consistent with dealers seeking client liquidity to reduce inventory risk.

boc_chart1_180502
Click for Big

Chart 2 shows the average spreads for trades where liquidity was provided by customers and by dealers. Trades drawing on customer liquidity have higher average spreads than trades that draw solely on dealer liquidity. This contrasts with the US results seen in Choi and Huh (2017), in which trades using customer liquidity have lower average spreads. Our result is surprising because, as Choi and Huh point out, the effective spread for trades with some customer-liquidity supply should be biased downward by the prices of the offsetting trades. Yet, despite the potential bias, we still measure a larger spread for these trades.

Our explanation for this difference is that, in Canada, institutional investors are a discretionary source of liquidity for dealers, who use their customers selectively because customers demand a price concession to supply liquidity. If our explanation is correct, we should observe that the use of customer liquidity eats into dealer revenues and that dealers use customers mainly on days when liquidity is scarce or when volume is high (i.e., days when they are more likely to run into risk constraints).

boc_chart2_180502
Click for Big

It’s not clear to me whether the trades populating “Dealer Supplied” and “Client supplied” are directly comparable. It might be, for instance, that customer-supplied liquidity is tapped only when a highly motivated client desperately needs to execute a trade in something obscure … and only then do the dealers take out their rolodex, because they don’t want a position in that obscure stuff either!

We find the share of customer liquidity is small in Canada. However, data are only available from June 2016 on. Survey evidence suggests that the share of customer liquidity may be rising. Responses to the Survey on Market Liquidity, Transparency, and Market Access (Canadian Fixed-Income Forum 2016) indicate that a sizable minority of customers are supplying liquidity to markets: 30 per cent of buy-side respondents said they have increased their short-term trading to take advantage of short-term price dislocations. An equal number said they use their portfolio to provide liquidity.

In addition, forthcoming regulations may lead to a greater share of client liquidity in Canada. The implementation of the Net Stable Funding Ratio and the Fundamental Review of the Trading Book will likely increase the cost to bank-owned dealers of carrying large inventories of bonds. After other capital and liquidity standards were implemented (e.g., Liquidity Coverage Ratio, Leverage Ratio), banks generally reduced their capital commitment to market-making in the United States (Adrian, Boyarchenko and Shachar 2017; Bessembinder et al. 2017; Schultz 2017; Bao, O’Hara and Zhou 2016), while the volume share of non-bank dealers grew in the same period (Bao, O’Hara and Zhou 2016). Finally, further proliferation of electronic bond trading platforms, together with a broader array of trading protocols, could make it possible for customers to supply liquidity at lower costs.

At times I wish I was back in the bond business. I would dearly love to see whether an asset manager could outperform by aggressively competing with the dealers.

This year’s Projection assumption guidelines have been published:

Among the changes to this year’s projections, projected fixed-income returns have been reduced “to account for the appreciation in historical bond prices that cannot be explained by changes in interest rates,” FPSC and IQPF say in a news release.

The projected guidelines for Canadian equities are 6.4%, below the 6.7% returns projected for other developed market equities and the 7.4% for emerging market equities. The return projection for fixed-income is 3.9%, with short-term returns projected at 2.9%.

Unusually, the report itself mentions our favourite asset class:

The projected fixed-income rate of return can also be applied to preferred share holdings. Please note that this is not an opinion regarding the volatility of preferred shares vs. fixed-income securities and that preferred shares can have different characteristics that can impact their pricing.

Their ballyhooed fixed income return adjustment is explained as:

“Fixed-income investments have experienced significant appreciation in value over the last 50 years. Given the current low rate interest environment, similar appreciation in value is not expected. The 50-year history of fixed-income investments can be adjusted to remove the price appreciation that cannot be reproduced in the future given the current low interest rate environment. Using 10-year bonds as a proxy for the price change of fixed-income investments, one can estimate the price appreciation that fixed-income investments have experienced over the past 50 years.

Interest rates available on 10-year bonds in 2018 are 3.45% lower than those that were available on a 10-year bond in 1968 (2.15% versus 5.60%). Going forward, because the potential magnitude of interest rate decreases on 10-year bonds are less than the decrease that was experienced on similar bonds between 1968 and 2018, the same annual price appreciation (0.289%) that those bonds have experienced over the past 50 years cannot be reproduced over the next 50 years. Similar results are expected for fixed-income investments. As such, the historical average return portion of the calculation used to develop the guideline for fixed-income investments can be reduced by 0.289% per year.”

Well, it’s about time they did something about that!

PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.00%, so the pre-tax interest equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, unchanged from the 305bp reported April 25.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1135 % 2,917.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1135 % 5,353.0
Floater 3.43 % 3.66 % 91,416 18.13 4 -0.1135 % 3,085.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0953 % 3,146.7
SplitShare 4.62 % 4.82 % 79,291 5.05 5 -0.0953 % 3,757.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0953 % 2,932.0
Perpetual-Premium 5.63 % -8.10 % 74,746 0.09 10 -0.0236 % 2,869.5
Perpetual-Discount 5.40 % 5.43 % 66,456 14.75 24 0.2045 % 2,944.5
FixedReset 4.30 % 4.67 % 166,681 4.41 103 0.1416 % 2,525.2
Deemed-Retractible 5.14 % 5.57 % 85,794 5.61 27 0.0500 % 2,938.3
FloatingReset 3.09 % 3.45 % 31,331 3.57 8 0.0922 % 2,767.2
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 6.26 %
BAM.PR.C Floater -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-02
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.71 %
PWF.PR.A Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-02
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 2.88 %
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 : 23.31
Bid-YTW : 5.56 %
IAG.PR.A Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 6.93 %
BAM.PF.E FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-02
Maturity Price : 23.15
Evaluated at bid price : 23.50
Bid-YTW : 4.96 %
CU.PR.C FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-02
Maturity Price : 21.91
Evaluated at bid price : 22.32
Bid-YTW : 4.82 %
MFC.PR.M FixedReset 2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 5.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.F FloatingReset 299,338 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-02
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 4.02 %
CM.PR.S FixedReset 203,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-02
Maturity Price : 22.94
Evaluated at bid price : 24.35
Bid-YTW : 4.61 %
RY.PR.R FixedReset 153,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.67 %
SLF.PR.G FixedReset 139,080 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.05
Bid-YTW : 7.75 %
TRP.PR.K FixedReset 132,167 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.14 %
BNS.PR.D FloatingReset 128,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 3.45 %
CM.PR.Q FixedReset 102,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.47
Bid-YTW : 4.63 %
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.Q FloatingReset Quote: 21.12 – 25.00
Spot Rate : 3.8800
Average : 2.1514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-02
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 3.33 %

MFC.PR.K FixedReset Quote: 22.51 – 23.17
Spot Rate : 0.6600
Average : 0.4656

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 6.26 %

SLF.PR.H FixedReset Quote: 21.00 – 21.50
Spot Rate : 0.5000
Average : 0.3084

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.56 %

GWO.PR.I Deemed-Retractible Quote: 21.31 – 21.74
Spot Rate : 0.4300
Average : 0.2676

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.31
Bid-YTW : 7.43 %

BAM.PF.F FixedReset Quote: 24.40 – 24.80
Spot Rate : 0.4000
Average : 0.2492

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-02
Maturity Price : 24.02
Evaluated at bid price : 24.40
Bid-YTW : 5.09 %

PWF.PR.P FixedReset Quote: 19.43 – 19.78
Spot Rate : 0.3500
Average : 0.2111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-02
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.52 %

May 1, 2018

Tuesday, May 1st, 2018

Bank of Canada Governor Stephen Poloz gave a speech today titled Canada’s Economy and Household Debt: How Big Is the Problem?:

But the Bank is also focused on the vulnerability of our economy to rising interest rates, given high household debt. There is little doubt that the economy is more sensitive to higher interest rates today than it was in the past, and that global and domestic interest rates are on the rise.

So, today I want to talk about household debt in Canada—the dynamics that led to its buildup, how big a problem it is for Canadians now, and how we can manage the risks in the years ahead.

In other words, the average Canadian owes about $1.70 for every dollar of income he or she earns per year, after taxes.

That ratio is a Canadian record, and up from about 100 per cent 20 years ago. Although this ratio is on the high side, other economies such as Sweden, Norway and Australia have even more household debt relative to disposable income.

If fiscal policy takes the lead in stimulating the economy, this can result in a buildup of government debt. If monetary policy takes the lead, this brings about a buildup in household debt. In both cases, stimulus leads to a buildup of debt over time, whether public or private. And excessive debt levels create a vulnerability, making the economy less resilient to future shocks.

Canadians, regardless of their age group, are increasingly relying on mortgages. Among people under 35 years old, the percentage of homeowners with a mortgage has edged higher from about 85 per cent in 1999 to 90 per cent in 2016. For people in the 55 to 64 age bracket, the increase was more dramatic—from 34 per cent to 46 per cent. This casts a new light on that 170 per cent debt-to-income ratio I cited before.

about 8 per cent of indebted households owe 350 per cent or more of their gross income, representing a bit more than 20 per cent of total household debt. These are the people who would be most affected by an increase in interest rates. We are closely watching the vulnerability represented by this group and the debt they carry, and how it poses a risk to both the financial system and the economy.

In our Monetary Policy Report (MPR) last month, we published our latest estimate of Canada’s neutral rate, saying it falls in a range between 2.50 and 3.50 per cent, assuming that all shocks affecting the economy have dissipated. At 1.25 per cent, our current policy rate is still well below our estimate of the neutral rate.

At the Bank of Canada, we have been watching these debt levels closely because of the growing risks they pose to financial stability and the economy. We know that a portion of Canadian households are carrying large debts, and the concern will become larger for them as interest rates rise. Of course, higher interest rates would likely reflect an economy that is on even more solid ground and less prone to a major economic setback. Furthermore, our financial system is resilient, and the new mortgage rules mean that it is becoming progressively more so. Even so, our economy is at risk should there be an unexpected increase in bond yields or a global slowdown, because both effects would be magnified by their interaction with high household debt.

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 -0.4800 % 2,920.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4800 % 5,359.1
Floater 3.43 % 3.66 % 88,300 18.16 4 -0.4800 % 3,088.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0555 % 3,149.7
SplitShare 4.61 % 4.83 % 77,029 5.06 5 -0.0555 % 3,761.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0555 % 2,934.8
Perpetual-Premium 5.62 % -9.65 % 76,162 0.09 10 0.0828 % 2,870.2
Perpetual-Discount 5.41 % 5.45 % 67,074 14.74 24 -0.0556 % 2,938.5
FixedReset 4.31 % 4.71 % 169,211 5.70 103 0.4217 % 2,521.6
Deemed-Retractible 5.15 % 5.63 % 86,590 5.62 27 -0.0686 % 2,936.8
FloatingReset 3.10 % 3.42 % 32,631 3.58 8 0.0749 % 2,764.7
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.01 %
BAM.PF.G FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 23.16
Evaluated at bid price : 24.09
Bid-YTW : 5.08 %
BAM.PF.B FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 22.95
Evaluated at bid price : 23.53
Bid-YTW : 5.03 %
BAM.PR.R FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 5.18 %
BMO.PR.Y FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 23.27
Evaluated at bid price : 24.40
Bid-YTW : 4.75 %
GWO.PR.N FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.83
Bid-YTW : 7.70 %
BAM.PF.E FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 22.88
Evaluated at bid price : 23.23
Bid-YTW : 5.02 %
BAM.PR.T FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.16 %
BAM.PR.Z FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 23.02
Evaluated at bid price : 24.55
Bid-YTW : 5.03 %
BAM.PF.F FixedReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 24.16
Evaluated at bid price : 24.52
Bid-YTW : 5.07 %
BAM.PR.X FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.06 %
BAM.PF.A FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 23.66
Evaluated at bid price : 24.43
Bid-YTW : 5.13 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.A FixedReset 313,090 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.97 %
RY.PR.R FixedReset 252,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 3.64 %
RY.PR.J FixedReset 242,876 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 23.21
Evaluated at bid price : 24.14
Bid-YTW : 4.83 %
BAM.PF.I FixedReset 169,738 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.82 %
CM.PR.R FixedReset 158,262 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.18 %
CM.PR.S FixedReset 135,187 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 22.96
Evaluated at bid price : 24.40
Bid-YTW : 4.59 %
BAM.PR.R FixedReset 119,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 5.18 %
TRP.PR.K FixedReset 103,305 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.20 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Quote: 22.85 – 24.25
Spot Rate : 1.4000
Average : 0.8072

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.01 %

IAG.PR.I FixedReset Quote: 25.26 – 25.95
Spot Rate : 0.6900
Average : 0.4137

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.78 %

TD.PF.E FixedReset Quote: 24.48 – 24.85
Spot Rate : 0.3700
Average : 0.2348

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 4.61 %

TRP.PR.H FloatingReset Quote: 16.52 – 16.97
Spot Rate : 0.4500
Average : 0.3258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 3.78 %

TRP.PR.B FixedReset Quote: 16.46 – 16.85
Spot Rate : 0.3900
Average : 0.2671

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-01
Maturity Price : 16.46
Evaluated at bid price : 16.46
Bid-YTW : 4.98 %

MFC.PR.R FixedReset Quote: 26.19 – 26.50
Spot Rate : 0.3100
Average : 0.2037

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.70 %

April 30, 2018

Monday, April 30th, 2018

Here’s a sign of the times:

Many Wall Street traders are concerned about being replaced by machines in the future, but at one Goldman Sachs Group Inc. unit it’s already happened.

“Equity trading: 15-20 years ago we had 500 people making markets in stocks. Today we have three,” Goldman Sachs President David Solomon said Monday at the Milken Institute Global Conference in Beverly Hills, California.

Solomon said the introduction of more technology into the trading business has made it more efficient for clients, while also introducing new risks. For Goldman Sachs, it has changed the mix of its workforce, as the bank has 9,000 engineers on staff and more employees are focused on regulation.

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 0.3257 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3257 % 5,384.9
Floater 3.41 % 3.64 % 88,944 18.18 4 0.3257 % 3,103.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1189 % 3,151.5
SplitShare 4.61 % 4.76 % 77,388 5.06 5 -0.1189 % 3,763.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1189 % 2,936.4
Perpetual-Premium 5.57 % -1.38 % 77,366 0.09 11 -0.0288 % 2,867.8
Perpetual-Discount 5.41 % 5.43 % 68,080 14.76 24 0.0847 % 2,940.1
FixedReset 4.33 % 4.75 % 165,449 5.72 103 -0.0128 % 2,511.0
Deemed-Retractible 5.15 % 5.67 % 85,764 5.62 28 -0.0903 % 2,938.9
FloatingReset 3.06 % 3.33 % 29,066 3.55 10 0.1126 % 2,762.6
Performance Highlights
Issue Index Change Notes
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 : 21.77
Bid-YTW : 7.15 %
GWO.PR.N FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.90 %
TRP.PR.B FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-30
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 4.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
VNR.PR.A FixedReset 76,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-30
Maturity Price : 23.01
Evaluated at bid price : 24.46
Bid-YTW : 4.91 %
TRP.PR.A FixedReset 51,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-30
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.12 %
BNS.PR.Z FixedReset 38,024 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 4.40 %
NA.PR.E FixedReset 35,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-30
Maturity Price : 22.98
Evaluated at bid price : 24.50
Bid-YTW : 4.68 %
CM.PR.R FixedReset 26,624 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.30 %
GWO.PR.M Deemed-Retractible 25,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-05-30
Maturity Price : 25.25
Evaluated at bid price : 26.05
Bid-YTW : -25.02 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Quote: 22.81 – 23.95
Spot Rate : 1.1400
Average : 0.6643

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 5.91 %

MFC.PR.K FixedReset Quote: 22.75 – 23.30
Spot Rate : 0.5500
Average : 0.3978

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.06 %

PVS.PR.B SplitShare Quote: 25.18 – 25.62
Spot Rate : 0.4400
Average : 0.2955

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.24 %

CCS.PR.C Deemed-Retractible Quote: 23.02 – 23.64
Spot Rate : 0.6200
Average : 0.4973

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.02
Bid-YTW : 6.58 %

MFC.PR.C Deemed-Retractible Quote: 21.00 – 21.26
Spot Rate : 0.2600
Average : 0.1609

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 7.72 %

HSE.PR.C FixedReset Quote: 24.40 – 24.64
Spot Rate : 0.2400
Average : 0.1542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-30
Maturity Price : 24.07
Evaluated at bid price : 24.40
Bid-YTW : 5.34 %

April 27, 2018

Friday, April 27th, 2018

The Toronto Schlock Exchange provided some entertainment today:

UPDATE 4 – TMX has decided to shut down all markets for the remainder of the day. Trading will not resume today, including market on close. We apologize for the inconvenience. Further updates will be provided.

UPDATE 3 – Please be aware that all TMX markets continue to experience issues. We apologize for the inconvenience. Further updates will be provided.

UPDATE 2 – Please be aware that TMX continues to experience issues on all markets. We apologize for the inconvenience. Further updates will be provided.

I can’t find the original notice or “Update 1” on their site, but they did have notices on Twitter:

UPDATE – All TMX markets, including Montreal Exchange, are experiencing issues with trading, all users are equally impacted and are unable to connect to our Exchanges. We apologize for the inconvenience and continue to investigate. Further updates will be provided.
1 reply 22 retweets 5 likes

Please be aware that TMX equity markets are experiencing issues with trading, all users are equally impacted and are unable to connect to our Exchanges. We apologize for the inconvenience and continue to investigate. Further updates will be provided.

There’s no real explanation been put forward as to why this happened. Maybe somebody unexpectedly traded a marijuana stock. Perhaps they forgot to pay the electric bill. Or maybe – given the season – somebody did spring cleaning:

keep
Click for Big

One way or another, I am advised that the Historical Prices service – where I get the closing quotes – will not be ready for several hours. So I’ll update this post with the statistics tomorrow.

Update, 2018-4-28: The Exchange has released some details. It appears their redundancy wasn’t quite as redundant as one might hope! But don’t worry, Exchange fans! I’m sure they’re still the regulators’ darlings!

TMX Group today provided further details regarding the market interruption that affected trading on Toronto Stock Exchange (TSX), TSX Venture Exchange (TSXV), TSX Alpha Exchange (TSX Alpha) and Montreal Exchange (MX), on Friday, April 27.

The outage, which began at 1:37:25 pm EDT Friday on MX and 1:39:13 pm EDT on TSX, TSXV, and TSX Alpha, was caused by a hardware failure in a central storage appliance of the trading system. This hardware failure impacted both the primary and the redundant components preventing storage failover procedures from engaging. TMX confirms that this incident was not the result of a cybersecurity attack.

TMX began remediation measures Friday afternoon, which included replacing the defective storage module, verifying the integrity of data of all impacted databases and conducting a successful start-up validation of the entire trading enterprise. Given the time of the incident, we could not engage disaster recovery systems in time to ensure an orderly market re-open and closing session.

TMX confirms that all systems are ready for the start of business on Monday, April 30, 2018.

“We apologize to all of our valued clients across Canada’s capital markets and around the world, and to all of TMX Group’s stakeholders for Friday’s interruption in trading,” said Lou Eccleston, Chief Executive Officer of TMX Group. “Our team took immediate action to diagnose the problem and communicate with all of our participants while determining the cause and impacts. Due to the timing and the nature of the issue, we made the difficult but necessary decision to shut down trading for the rest of the day. TMX is committed to applying the lessons learned from this incident to help us prevent such issues from recurring in the future.”

Update, 2018-4-28:

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 1.2185 % 2,925.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2185 % 5,367.4
Floater 3.42 % 3.67 % 89,971 18.14 4 1.2185 % 3,093.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2065 % 3,155.2
SplitShare 4.61 % 4.68 % 75,317 5.07 5 0.2065 % 3,768.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2065 % 2,939.9
Perpetual-Premium 5.57 % -2.43 % 78,127 0.09 11 0.1404 % 2,868.6
Perpetual-Discount 5.41 % 5.43 % 68,263 14.77 24 0.0879 % 2,937.7
FixedReset 4.32 % 4.79 % 162,930 5.71 104 0.1862 % 2,511.3
Deemed-Retractible 5.15 % 5.62 % 86,558 5.63 28 0.1749 % 2,941.5
FloatingReset 3.07 % 3.25 % 33,635 3.56 11 0.2261 % 2,759.5
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 3.67 %
TD.PF.F Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 23.97
Evaluated at bid price : 24.39
Bid-YTW : 5.03 %
BAM.PR.K Floater 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 3.67 %
PWF.PR.Q FloatingReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.29 %
PWF.PR.A Floater 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 2.88 %
BAM.PR.X FixedReset 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 5.17 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset 83,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.66 %
BAM.PR.X FixedReset 82,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 5.17 %
TD.PF.J FixedReset 71,084 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.60 %
TRP.PR.J FixedReset 69,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 3.92 %
BNS.PR.G FixedReset 61,315 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 3.79 %
BAM.PR.Z FixedReset 60,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 22.93
Evaluated at bid price : 24.30
Bid-YTW : 5.13 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.T FixedReset Quote: 22.79 – 23.07
Spot Rate : 0.2800
Average : 0.1718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 22.37
Evaluated at bid price : 22.79
Bid-YTW : 4.85 %

BAM.PR.C Floater Quote: 16.55 – 16.85
Spot Rate : 0.3000
Average : 0.1938

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 3.67 %

BNS.PR.A FloatingReset Quote: 24.99 – 25.25
Spot Rate : 0.2600
Average : 0.1674

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.25 %

BAM.PR.K Floater Quote: 16.57 – 16.81
Spot Rate : 0.2400
Average : 0.1645

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 3.67 %

TRP.PR.H FloatingReset Quote: 16.45 – 16.75
Spot Rate : 0.3000
Average : 0.2333

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 3.78 %

BMO.PR.Z Perpetual-Discount Quote: 24.79 – 24.95
Spot Rate : 0.1600
Average : 0.1237

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-27
Maturity Price : 24.33
Evaluated at bid price : 24.79
Bid-YTW : 5.10 %

April 26, 2018

Thursday, April 26th, 2018
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 -1.5662 % 2,889.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5662 % 5,302.8
Floater 3.46 % 3.70 % 90,737 18.06 4 -1.5662 % 3,056.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0952 % 3,148.7
SplitShare 4.62 % 4.73 % 78,435 5.08 5 -0.0952 % 3,760.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0952 % 2,933.9
Perpetual-Premium 5.58 % -0.62 % 79,192 0.09 11 -0.0144 % 2,864.6
Perpetual-Discount 5.42 % 5.43 % 68,724 14.76 24 -0.1076 % 2,935.1
FixedReset 4.33 % 4.82 % 162,141 5.72 104 0.1837 % 2,506.7
Deemed-Retractible 5.16 % 5.69 % 87,486 5.63 28 0.0437 % 2,936.4
FloatingReset 3.08 % 3.25 % 32,319 3.56 11 -0.0444 % 2,753.3
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-26
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 3.72 %
BAM.PR.X FixedReset -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-26
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.34 %
BAM.PR.C Floater -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-26
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 3.70 %
BAM.PR.B Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-26
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 3.70 %
W.PR.M FixedReset -1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.03 %
PWF.PR.Q FloatingReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-26
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 3.34 %
IFC.PR.A FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.79
Bid-YTW : 7.61 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 182,788 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 4.07 %
TRP.PR.J FixedReset 128,579 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.88 %
TRP.PR.F FloatingReset 96,871 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-26
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.01 %
CM.PR.R FixedReset 77,909 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.41 %
MFC.PR.R FixedReset 65,119 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.78 %
HSE.PR.G FixedReset 60,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.76 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 17.37 – 17.95
Spot Rate : 0.5800
Average : 0.3582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-26
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.34 %

MFC.PR.L FixedReset Quote: 22.74 – 23.07
Spot Rate : 0.3300
Average : 0.2117

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.74
Bid-YTW : 6.00 %

IAG.PR.A Deemed-Retractible Quote: 21.83 – 22.24
Spot Rate : 0.4100
Average : 0.2955

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 7.09 %

TD.PF.D FixedReset Quote: 24.11 – 24.40
Spot Rate : 0.2900
Average : 0.1803

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-26
Maturity Price : 23.15
Evaluated at bid price : 24.11
Bid-YTW : 4.92 %

BAM.PF.E FixedReset Quote: 22.89 – 23.20
Spot Rate : 0.3100
Average : 0.2055

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-26
Maturity Price : 22.56
Evaluated at bid price : 22.89
Bid-YTW : 5.15 %

CCS.PR.C Deemed-Retractible Quote: 23.00 – 23.62
Spot Rate : 0.6200
Average : 0.5195

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.59 %

April 25, 2018

Wednesday, April 25th, 2018

The recently appointed SEC Commissioner Robert J. Jackson Jr. (a Trump appointee), had some interesting things to say about The Middle-Market IPO Tax:

A lot has changed since 1999: I was humbled by the dot-com crash, advised the Treasury during the financial crisis, and became a law professor. And in the two decades since I left Wall Street, our markets have been transformed by technology. Today stocks trade with dizzying speed and our markets move faster than ever.

But some things have remained the same. You see, when I was a banker, we charged a standard fee for a middle-market IPO: seven percent. We would negotiate a reduced price for large, high-profile companies, where the client’s bargaining power produced a better deal. But for middle-market companies, our fee was always seven percent. Whatever industry the company was in, whatever its growth profile, however qualified its management team was, if they were a smaller firm, they always paid seven percent.[4]

Back in 1999, I assumed that technology and competition would eventually lead bankers to give middle-market companies better pricing on IPOs. That’s why, when I arrived at the SEC, I asked my team to dig into the data to see how middle-market IPO pricing has changed. We’ll get into what we found in a moment. But the short version is that nothing has changed: middle-market entrepreneurs still have to pay 7% of what they’ve created to access our public markets.

As the figure below shows, from 2001 through 2016, we found that over 96% of midsized IPOs featured a spread of exactly 7%:[14]

From 1975 to 1991, one out of two U.S. public companies were worth less than $100 million in inflation-adjusted dollars. But public companies of that size are vanishing: today that fraction is less than one in four.[20]

Today, private markets provide a much more competitive alternative. Those markets are larger and more robust than ever—and can support a company’s growth well into the later stages of its life.[22] In short, when public markets were the only game in town, companies were more willing to pay the IPO tax. Today, that tax can lead many middle-market companies to choose to stay private—with significant implications for the broader economy.

But for two reasons I think the middle-market IPO tax poses real risks for our economic future. First, it’s bad for smaller companies because it puts them at a significant disadvantage. Without a realistic alternative to private capital, middle-market firms can be forced to accept less favorable terms when raising money. If we reduce the 7% middle-market IPO tax, private capital providers will face increased competition from public markets—improving financing terms for middle-market businesses.

Second, the middle-market IPO tax is bad for ordinary investors. When the tax causes our most exciting young companies to raise private capital rather than go public, retail investors are left out of a significant part of the Nation’s economic growth.

gross-spreads-ipos-2015-2017
Click for Big

PerpetualDiscounts now yield 5.43%, equivalent to 7.06% 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 305bp, a slight (and perhaps spurious) narrowing from the 310bp reported April 18.

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 -0.6727 % 2,935.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6727 % 5,387.2
Floater 3.41 % 3.63 % 91,646 18.22 4 -0.6727 % 3,104.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0159 % 3,151.7
SplitShare 4.61 % 4.60 % 78,813 5.08 5 0.0159 % 3,763.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0159 % 2,936.7
Perpetual-Premium 5.58 % -2.25 % 80,044 0.09 11 -0.1330 % 2,865.0
Perpetual-Discount 5.41 % 5.43 % 69,505 14.76 24 -0.0663 % 2,938.2
FixedReset 4.34 % 4.84 % 163,492 5.72 104 -0.1389 % 2,502.1
Deemed-Retractible 5.16 % 5.75 % 88,215 5.63 28 -0.0166 % 2,935.1
FloatingReset 3.08 % 2.95 % 31,802 3.57 11 -0.0847 % 2,754.5
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.82 %
TRP.PR.H FloatingReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-25
Maturity Price : 16.39
Evaluated at bid price : 16.39
Bid-YTW : 3.79 %
GWO.PR.T Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset 504,170 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 4.44 %
MFC.PR.H FixedReset 149,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 5.36 %
CM.PR.S FixedReset 117,035 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-25
Maturity Price : 22.92
Evaluated at bid price : 24.31
Bid-YTW : 4.65 %
SLF.PR.I FixedReset 100,653 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 5.25 %
TD.PF.B FixedReset 83,067 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-25
Maturity Price : 21.94
Evaluated at bid price : 22.51
Bid-YTW : 4.86 %
TRP.PR.J FixedReset 64,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.94 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Quote: 22.90 – 23.28
Spot Rate : 0.3800
Average : 0.2421

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 6.00 %

RY.PR.M FixedReset Quote: 23.71 – 24.05
Spot Rate : 0.3400
Average : 0.2273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-25
Maturity Price : 22.90
Evaluated at bid price : 23.71
Bid-YTW : 4.83 %

CM.PR.O FixedReset Quote: 22.69 – 22.94
Spot Rate : 0.2500
Average : 0.1622

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-25
Maturity Price : 22.27
Evaluated at bid price : 22.69
Bid-YTW : 4.89 %

TRP.PR.D FixedReset Quote: 22.15 – 22.40
Spot Rate : 0.2500
Average : 0.1623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-25
Maturity Price : 21.71
Evaluated at bid price : 22.15
Bid-YTW : 5.10 %

BAM.PR.B Floater Quote: 16.69 – 16.98
Spot Rate : 0.2900
Average : 0.2092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-25
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 3.64 %

TRP.PR.F FloatingReset Quote: 19.40 – 19.69
Spot Rate : 0.2900
Average : 0.2132

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-25
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.04 %

April 24, 2018

Tuesday, April 24th, 2018

There was a a bit of a milestone passed today in the Treasury market:

Stocks tumbled as a rout in the shares of industrial and technology companies sent indexes spiraling lower amid a raft of earnings and renewed selling in the bull market’s biggest winners. The 10-year Treasury yield pierced 3 percent for the first time in four years.

The Dow Jones Industrial Average fell for a fifth day, the longest losing streak since March 2017. The sell off accelerated after industrial bellwether Caterpillar Inc. said that the first quarter was its “high water mark” for the year. The Nasdaq 100 Index slumped 2.1 percent, with Alphabet Inc.’s rise in capital spending sending its shares lower 4.5 percent.

treasuries_180424
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 -0.1539 % 2,955.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1539 % 5,423.7
Floater 3.38 % 3.60 % 91,675 18.29 4 -0.1539 % 3,125.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0793 % 3,151.2
SplitShare 4.61 % 4.55 % 79,495 5.09 5 -0.0793 % 3,763.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0793 % 2,936.2
Perpetual-Premium 5.57 % -5.35 % 77,329 0.09 11 -0.0415 % 2,868.8
Perpetual-Discount 5.41 % 5.44 % 69,984 14.77 24 -0.1032 % 2,940.2
FixedReset 4.32 % 4.80 % 165,080 5.63 104 -0.1290 % 2,505.6
Deemed-Retractible 5.16 % 5.64 % 89,247 5.63 28 -0.0199 % 2,935.6
FloatingReset 3.08 % 3.03 % 30,478 3.57 11 -0.0040 % 2,756.8
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 5.84 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.C FixedReset 152,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-24
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 5.05 %
TRP.PR.J FixedReset 107,215 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.94 %
PWF.PR.Z Perpetual-Discount 86,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-24
Maturity Price : 23.50
Evaluated at bid price : 23.84
Bid-YTW : 5.41 %
IAG.PR.I FixedReset 61,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.86 %
RY.PR.A Deemed-Retractible 60,123 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 0.00 %
VNR.PR.A FixedReset 35,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-24
Maturity Price : 23.00
Evaluated at bid price : 24.45
Bid-YTW : 4.95 %
There were 18 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: 21.85 – 22.16
Spot Rate : 0.3100
Average : 0.2048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-24
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 5.15 %

PWF.PR.R Perpetual-Premium Quote: 25.07 – 25.33
Spot Rate : 0.2600
Average : 0.1720

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 5.40 %

BAM.PF.I FixedReset Quote: 25.70 – 25.94
Spot Rate : 0.2400
Average : 0.1675

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.13 %

IFC.PR.C FixedReset Quote: 22.60 – 22.87
Spot Rate : 0.2700
Average : 0.1985

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 5.84 %

CU.PR.F Perpetual-Discount Quote: 21.30 – 21.51
Spot Rate : 0.2100
Average : 0.1402

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-24
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.37 %

PVS.PR.F SplitShare Quote: 25.05 – 25.24
Spot Rate : 0.1900
Average : 0.1273

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.90 %

April 23, 2018

Monday, April 23rd, 2018
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 0.3381 % 2,960.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3381 % 5,432.1
Floater 3.38 % 3.60 % 94,896 18.30 4 0.3381 % 3,130.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.3102 % 3,153.7
SplitShare 4.61 % 4.55 % 79,410 5.09 5 0.3102 % 3,766.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3102 % 2,938.5
Perpetual-Premium 5.56 % -5.07 % 76,983 0.09 11 -0.0179 % 2,870.0
Perpetual-Discount 5.39 % 5.44 % 65,986 14.76 24 0.0286 % 2,943.2
FixedReset 4.31 % 4.80 % 165,582 4.43 104 0.2195 % 2,508.8
Deemed-Retractible 5.14 % 5.65 % 88,752 5.64 28 0.0918 % 2,936.2
FloatingReset 3.08 % 2.98 % 31,735 3.57 11 -0.0121 % 2,756.9
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-23
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 4.03 %
PWF.PR.T FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-23
Maturity Price : 22.98
Evaluated at bid price : 23.61
Bid-YTW : 4.77 %
IFC.PR.A FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 7.59 %
BAM.PR.X FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.20 %
BIP.PR.B FixedReset 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.89 %
PWF.PR.Z Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-23
Maturity Price : 23.59
Evaluated at bid price : 23.93
Bid-YTW : 5.39 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 187,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.95 %
MFC.PR.O FixedReset 107,307 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.77 %
TRP.PR.K FixedReset 107,005 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 4.09 %
TD.PF.J FixedReset 104,728 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.51 %
MFC.PR.M FixedReset 102,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.09
Bid-YTW : 5.85 %
TRP.PR.B FixedReset 80,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-23
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 5.05 %
There were 17 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: 16.52 – 17.00
Spot Rate : 0.4800
Average : 0.3659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-23
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 3.76 %

W.PR.H Perpetual-Discount Quote: 24.50 – 24.75
Spot Rate : 0.2500
Average : 0.1789

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-23
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.64 %

GWO.PR.Q Deemed-Retractible Quote: 24.21 – 24.48
Spot Rate : 0.2700
Average : 0.2032

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 5.81 %

MFC.PR.Q FixedReset Quote: 25.00 – 25.25
Spot Rate : 0.2500
Average : 0.1907

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.87 %

TRP.PR.F FloatingReset Quote: 19.46 – 19.67
Spot Rate : 0.2100
Average : 0.1606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-04-23
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 4.03 %

EIT.PR.A SplitShare Quote: 25.48 – 25.74
Spot Rate : 0.2600
Average : 0.2131

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.55 %